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260503.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, May 3, 2026, Vol. 30, No. 123 Headlines A&D MORTGAGE 2026-NQM3: Fitch Assigns 'BBsf' Rating on Cl. B1 Certs ACCESS GROUP 2022-1: Fitch Lowers Rating on Two Tranches to 'BBsf' AIMCO CLO 21: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ALLEGRO CLO XVI: S&P Affirms BB-(sf) Rating on Class E Notes ANCHORAGE CAPITAL 7: Fitch Affirms 'B-' Rating on Class F-R3 Notes APIDOS CLO XLVII: Fitch Assigns 'BBsf' Rating on Class E-R Notes APIDOS CLO XLVII: Moody's Assigns B3 Rating to $500,000 F-R Notes ARES LXXX: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes BAIN CAPITAL 2019-1: Moody's Cuts Rating on $25MM E-R Notes to B1 BAMLL COMMERCIAL 2026-HRHB: S&P Assigns (P) B(sf) on Cl. HRR Certs BANK5 2026-5YR21: Fitch Assigns 'B-sf' Final Rating on Two Tranches BARINGS CLO 2026-1: Fitch Assigns 'BBsf' Rating on Class E Notes BARINGS CLO 2026-I: Moody's Assigns B3 Rating to $200,000 F Notes BBCMS MORTGAGE 2025-5C34: DBRS Confirms BB Rating on G-RR Certs BBCMS MORTGAGE 2026-5C41: Fitch Gives B-(EXP) Rating on G-RR Certs BCP TRUST 2021-330N: Moody's Cuts Rating on Cl. A Certs to Caa2 BDS 2026-FL17: DBRS Gives (P)B(low)(sf) Rating on Cl. G Notes BENCHMARK 2018-B7: Fitch Affirms 'CCCsf' Rating on Three Tranches BIRCH GROVE 8: Fitch Assigns 'BB-sf' Rating on Class E-R Notes BRIDGECREST LENDING 2026-2: S&P Assigns BB (sf) Rating on E Notes BWAY COMMERCIAL 2022-26BW: Moody's Cuts Rating on Cl. E Certs to B2 BX TRUST 2026-RISE: Fitch Assigns 'Bsf' Rating on Class F Certs CAPITAL FOUR II: Fitch Affirms 'BB-sf' Rating on Class E-R Notes CARLYLE US 2024-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CARLYLE US 2026-2: Fitch Assigns 'BB-sf' Rating on Class E Notes CBAMR 2020-13: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CITIGROUP 2014-GC21: Fitch Hikes Rating on Class F Certs to 'CCsf' COLT 2026-3: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs COLUMBIA CENT 27: Moody's Cuts Rating on $22.3MM Class E-R Notes CPS AUTO 2026-B: DBRS Finalizes BBsf Rating on Class E Notes CQS US 2023-3: S&P Assigns BB-(sf) Rating to Class E-R Notes CSAIL 2019-C15: Fitch Lowers Rating on Class G-RR Debt to 'CCsf' DEEPHAVEN RESIDENTIAL 2026-CES1: DBRS Rates Cl. B-2 Notes '(P)Bsf' ELMWOOD CLO 48: Fitch Assigns 'B-sf' Rating on Class F Notes FIGRE TRUST 2026-HE4: DBRS Gives (P)B(low) Rating on Class F Notes GARNET CLO 6: Fitch Assigns 'BB-sf' Rating on Class E Notes GARNET CLO 6: Moody's Assigns B3 Rating to $4MM Class F Notes GGP TRUST 2026-2PAK: DBRS Hikes Rating on HRR Certs to (P)BBsf GLS AUTO 2026-2: S&P Assigns Prelim. BB(sf) Rating on Class E Notes GOLUB CAPITAL 2025-1: Fitch Affirms 'BB-sf' Rating on Class E Notes GOLUB CAPITAL 88(B): Fitch Assigns 'BB-sf' Rating on Class E Notes GS MORTGAGE 2015-GC34: Moody's Lowers Rating on 2 Tranches to B1 GS MORTGAGE 2018-GS9: Fitch Lowers Rating on Cl. F-RR Debt to 'Csf' HARVEST US 2024-1: Fitch Affirms 'BB-sf' Rating on Class E Notes HLTN COMMERCIAL 2026-DPLO: DBRS Finalizes Bsf Rating on HRR Certs HMH TRUST 2017-NSS: DBRS Cuts Rating on Class A Certs to Csf HUDSON'S BAY 2015-HBS: DBRS Confirms CCC Rating on Cl. E-10 Certs INVESCO US 2026-1: Fitch Assigns 'BB-sf' Rating on Class E Notes INVESCO US 2026-1: Moody's Assigns B3 Rating to $500,000 F Notes JP MORGAN 2026-NQM2: Moody's Assigns (P)B3 Rating to Cl. B-2 Certs JPMCC COMMERCIAL 2019-COR4: Fitch Affirms B- Rating on G-RR Certs JPMMT TRUST 20-26-HE1: DBRS Gives (P)Bsf Rating on Cl. B-3 Certs JPMORGAN STUDENT 2007-A: Moody's Cuts Rating on Cl. B Certs to Ba2 JW COMMERCIAL 2026-MRCO: Fitch Gives BB-(EXP) Rating on HRR Certs KRE COMMERCIAL 2026-ICNA: DBRS Finalizes BB(low) on HRR Certs LOANCORE 2021-CRE6: DBRS Confirms B(low) Rating on Cl. G Notes LOBEL AUTOMOBILE 2026-1: DBRS Confirms (P)B(low) Rating on F Notes MAGNETITE LIV: Fitch Assigns 'BB-sf' Final Rating on Class E Notes MELLO WAREHOUSE 2026-1: DBRS Assigns Bsf Rating to Two Tranches MISSION LANE 2026-A: Fitch Gives B(EXP) Rating on Class F Notes MORGAN STANLEY 2012-C5: Moody's Cuts Rating on Cl. X-C Certs to Ca MORGAN STANLEY 2015-C27: DBRS Confirms Csf Rating on 4 Tranches MORGAN STANLEY 2016-UBS12: Fitch Lowers Rating on 2 Tranches to 'C' MORGAN STANLEY 2023-20: Fitch Affirms 'BB-sf' Rating on Cl. E Notes MORGAN STANLEY 2026-NEW1: S&P Assigns B (sf) Rating on B-2 Certs MTN COMMERCIAL 2026-LPFX: Fitch Gives B+(EXP) Rating on HRR Certs NALP BUSINESS 2025-1: DBRS Confirms BBsf Rating on Class C Notes NEUBERGER BERMAN II: Fitch Assigns 'BB-sf' Rating on Class E Notes NEUBERGER BERMAN II: Moody's Assigns Caa2 Rating to $1MM F-R Notes NEUBERGER BERMAN XXII: Fitch Assigns BB-sf Rating on Cl. E-R3 Notes NMR TRUST 2026-CGCTR: DBRS Finalizes BB(low) Rating on Cl. E Certs OBX 2026-INV2: Moody's Assigns B3 Rating to Cl. B-5 Certs OCTAGON 71: Fitch Affirms 'BB-sf' Rating on Class E Notes OZLM XXII: Moody's Affirms Ba3 Rating on $24MM Class D Notes PARLIAMENT FUNDING IV: DBRS Finalizes BB(low) Rating on C Notes PMT LOAN 2026-CNF4: Moody's Assigns B3 Rating to Cl. B-5 Certs PPM CLO 6-R: Fitch Affirms 'BBsf' Rating on Class E-R Notes PRKCM 2026-AFC3: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes RCKT MORTGAGE 2026-CES4: Fitch Assigns Bsf Rating on Five Tranches REGATTA IX FUNDING: Fitch Affirms 'B-sf' Rating on Class F Notes REGENTS CAPITAL 2026-1: DBRS Finalizes BB Rating on Cl. D Notes SEQUOIA MORTGAGE 2026-5: Fitch Assigns Bsf Final Rating on B5 Certs SFAVE COMMERCIAL 2015-5AVE: DBRS Cuts Rating on D Certs to BBsf SIXTH STREET 32: Fitch Assigns 'BB-sf' Rating on Class E Notes SIXTH STREET XXIV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes SOLRR AIRCRAFT 2021-1: Moody's Ups Rating on Ser. C Notes from Ba3 SOUND POINT VII-R: Moody's Affirms B3 Rating on $20MM Cl. E Notes SOUND POINT XXII: Moody's Affirms Ba3 Rating on $23.5MM E Notes SYMPHONY CLO XXIII: Fitch Affirms 'BB-sf' Rating on Cl. E-R2 Notes THOR 2026-A: Fitch Assigns 'Bsf' Final Rating on Class D Notes TIKEHAU US III: Fitch Affirms 'BB-sf' Rating on Class ER Notes TIKEHAU US VIII: Fitch Assigns 'BB-sf' Rating on Class E Notes TOWD POINT 2026-FIX2: DBRS Gives (P)B(low) Rating on 4 Tranches TRINITAS CLO XXVIII: S&P Assigns BB-(sf) Rating to Class E-R Notes VENTURE CLO XV: Moody's Cuts Rating on $35MM E-R2 Notes to Caa1 VERUS SECURITIZATION 2026-4: Moody's Assigns B2 Rating to B-2 Certs VERUS SECURITIZATION 2026-R3: Fitch Gives B Rating on Cl. B-2 Notes VISTA POINT 2026-CES2: DBRS Gives (P)B(low) Rating on B-2 Notes VISTA POINT 2026-CES2: S&P Assigns (P) B-(sf) Rating on B-2 Notes WARWICK CAPITAL 2: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Notes WELLINGTON MANAGEMENT 2: Fitch Assigns 'BB-sf' Rating on E-R Notes WELLS FARGO 2015-C26: Fitch Keeps 'Csf' Rating on Watch Evolving WELLS FARGO 2015-SG1: DBRS Cuts Rating on Clas D Certs to Csf WELLS FARGO 2017-C39: Fitch Lowers Rating on Cl. E-RR Debt to CCCsf WELLS FARGO 2026-C66: Fitch Assigns B-sf Final Rating on G-RR Certs ZAYO ISSUER 2026-1: Fitch Assigns BB-sf Rating on Class C Notes [] DBRS Confirms 11 Ratings From 4 Arivo Acceptance Deals [] DBRS Reviews 1,042 Classes on 40 US RMBS Transactions [] DBRS Takes Credit Rating Actions on 12 CMBS Transactions [] DBRS Takes Rating Actions on 13 Classes From 3 US RMBS Deals [] Moody's Upgrades Ratings on 38 Bonds from 5 US RMBS Deals ********* A&D MORTGAGE 2026-NQM3: Fitch Assigns 'BBsf' Rating on Cl. B1 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to A&D Mortgage Trust 2026-NQM3 (ADMT 2026-NQM3). Entity/Debt Rating Prior ----------- ------ ----- ADMT 2026-NQM3 A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A1FCF LT WDsf Withdrawn AAA(EXP)sf A1LCF LT WDsf Withdrawn AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT NRsf New Rating NR(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rates the residential mortgage-backed certificates issued by ADMT 2026-NQM3, as indicated above. The certificates are supported by 945 loans with a balance of $424,139,052.27 as of the cutoff date. This represents the 18th Fitch-rated ADMT transaction and the second Fitch-rated ADMT transaction of 2026. The certificates are secured by mortgage loans originated mainly by A&D Mortgage LLC (A&D) (77.8%), with the remainder originated by various third-party entities, each contributing less than 10%. Fitch considers ADMT to be an 'Acceptable' originator. The servicer of the loans is A&D (RPS3/Stable). The master servicer is Rocket Mortgage LLC (RMS1-/Stable). Of the loans, 44.77% are exempted mortgage loans that were not subject to the ability-to-repay (ATR) Rule, 31.48% are safe harbor QM loans, 20.77% are designated as nonqualified mortgage (non-QM) loans and 2.99% are qualified mortgage rebuttable presumption loans The class A-1A, A-1B, A-2 and A-3 certificates are fixed rate and capped at the net weighted average coupon (WAC) and have a step-up feature. The class M-1 certificate is based on the lower of a fixed rate or the net WAC rate for the related distribution date. The B-1, B-2, and B-3 classes will have a coupon based on the net WAC. Fitch was not asked to rate the B-2 or B-3 classes. After the presale was published, the issuer decided not to offer the following classes because of market demand: A-1FCF and A-1LCF. Because the classes are no longer offered, Fitch has withdrawn the ratings on the classes, which previously had expected ratings of 'AAA(EXP)sf' with a Stable Rating Outlook. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of 945 performing, fixed-rate and adjustable-rate loans fully amortizing loans, some of which have interest-only periods. It is secured by loans on primarily one- to four-family residential properties (including attached and detached single family homes, and planned unit developments [PUDs], condos/condotel, townhouses, manufactured housing, mixed-use properties, five- to 10-unit multi-family properties, and two- to four-unit multi-family properties, totaling $424,139,052.27. The majority of the loans are first liens (95.9%) while the remaining 4.0% are second liens. The loans are either exempt from QM, are Safe Harbor QM loans, are rebuttable presumption QM loans or are NQM loans. The majority of the loans are underwritten to 12-24 month bank statement or DSCR underwriting guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned at an average of two months. The pool has a weighted average (WA) original FICO score of 747 and DTI of 34.26% which are indicative of high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 69.8%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 77.4%. These strong collateral attributes are referenced in its analysis This transaction has a Final PD of 40.97% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 45.16%. The expected loss in the 'AAAsf' rating stress is 18.09%. Structural Analysis (Mixed): ADMT 2026-NQM3 has a modified sequential structure with limited advancing of delinquent P&I. The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1A, A-1B, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to classes first to the A-1A, A-1B, and then A-2 and A-3 until they are reduced to zero. The class A certificates have a step-up coupon feature whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. This step-up feature will occur on or after the distribution date in May 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1A, A-1B, A-2, and A-3 classes on and after May 2030. Specifically, on any distribution date occurring on or after the distribution date in May 2030 on which the aggregate unpaid cap carryover amount for class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1A, A-1B,certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 and M-1 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after May 2030, since classes A-1A, A-1B, A-2, and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. Losses are allocated reverse sequentially starting with B-3. Once the A-2 class is written off, losses will be allocated to A-1B first and then to A-1A once A-1B is written off. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a five basis point (bp) z-score reduction for loans fully reviewed by the third-party review (TPR) firm and have a final grade of either 'A' or 'B'. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. The transaction is a fully de-linked and bankruptcy remote special-purpose vehicle. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to this transaction and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 37.60% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Mission Global LLC, Maxwell Diligence Solutions, LLC and Clarifii. The third-party due diligence described in Form 15E focused on credit, compliance and valuations. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis due to the due diligence findings. Fitch applies a 5-bps z score reduction for each loan that receives a grade of 'A 'or 'B'. Based on the results of the 100% due diligence performed on the pool, and loans receiving a grade of 'A' or 'B', the overall expected losses were reduced. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Mission Global, LLC, Clarifii and Maxwell Diligence Solutions, LLC to perform the review. Loans reviewed under these engagements were given compliance, credit, and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ACCESS GROUP 2022-1: Fitch Lowers Rating on Two Tranches to 'BBsf' ------------------------------------------------------------------ Fitch Ratings has taken various rating actions on the outstanding notes of Access Funding LLC 2013-1, Access Funding 2015-1 LLC, Access Group, Inc. 2002 Indenture of Trust and Access Group, Inc. 2004-2 Indenture of Trust. All ratings were affirmed at their current levels with unchanged Outlooks, except for the senior A-3 and A-4 class notes of Access 2002-1, which have been downgraded to 'BBsf' from 'BBBsf' and have been assigned a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Access Group, Inc. – Federal Student Loan Notes, Series 2004-2 A-4 00432CBX8 LT BBBsf Affirmed BBBsf A-5 00432CBY6 LT CCCsf Affirmed CCCsf B 00432CBZ3 LT CCCsf Affirmed CCCsf Access Group, Inc. – Federal Student Loan Notes, Series 2003-1 A-5 00432CBB6 LT AAsf Affirmed AAsf A-6 00432CBC4 LT AAsf Affirmed AAsf B 00432CBE0 LT CCsf Affirmed CCsf Access Group, Inc. – Federal Student Loan Notes, Series 2002-1 A-3 00432CAM3 LT BBsf Downgrade BBBsf A-4 00432CAN1 LT BBsf Downgrade BBBsf B 00432CAP6 LT CCsf Affirmed CCsf Access Funding 2013-1 LLC A 00434QAA6 LT AAsf Affirmed AAsf Access Funding 2015-1 LLC A 00435TAA9 LT AA+sf Affirmed AA+sf B 00435TAB7 LT AAsf Affirmed AAsf Access Group, Inc. – Federal Student Loan Notes, Series 2004-1 A-2 00432CBN0 LT AAsf Affirmed AAsf B 00432CBT7 LT CCsf Affirmed CCsf Transaction Summary Access Funding 2013-1 Senior class A notes are affirmed at 'AAsf' with a Stable Outlook, reflecting their stable performance and a consistent increase in total parity ratios. The remaining term has slightly increased since Fitch's last review. Final legal maturity is Feb. 25, 2036. Access Funding 2015-1 Senior class A notes are affirmed at 'AA+sf' with a Stable Outlook. Class B notes are affirmed at 'AAsf'/Stable. Stability of the portfolio's performance has been adequate since Fitch's last review. The remaining term has slightly increased since then and the final legal maturities are July 25, 2056, and July 25, 2058, respectively. Access Group 2002 Indenture Class A notes (series 2004-1, 2003-1) are affirmed at 'AAsf' with a Stable Outlook. Class A notes series 2002-1 were downgraded to 'BBsf'/Stable from 'BBBsf'/Negative because maturity cushions tightened, specifically in Fitch's higher interest rate stress scenarios.. Class B notes are affirmed at 'CCsf' because they cannot withstand any credit or maturity stresses. In Fitch's opinion, current ratings are commensurate with the observed decrease in total parity, standing at 88.18% as of January 2026. Access Group 2004-2 Class A-4 notes are affirmed at 'BBBsf'/Stable. Performance has remained stable since last review, with low maturity risk and sufficient credit enhancement. Class A-5 and B notes are affirmed at 'CCCsf' because cash flow modeling indicates they cannot withstand credit or maturity stresses. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Stable. Collateral Performance: For Access Group 2002, the downgrade reflects tightening in maturity cushions for the series 2002-1, class A notes in Fitch's higher interest rate stresses. Among the three remaining class A notes, the series 2002-1 are the last to be paid. In Fitch's higher interest rate stresses excess spread compresses and slows amortization, impacting this series. While remaining loan term has decreased, this was only 6 months over the last year, reflecting slower amortization of the portfolio, increasing the maturity risk of this series. For Access Group 2002 Indenture and 2004-2 transactions, Fitch applied the standard default timing curve in its credit stress cash flow analysis. In addition, loan consolidation activity stemming from the Public Service Loan Forgiveness Program waiver, which ended in October 2022, drove the short-term inflation of CPR, and voluntary prepayments are expected to return to historical levels. The claim rejection rate was assumed to be 0.25% in the base case and 2.00% in the 'AA+' case for cash flow modeling. Fitch is maintaining the sustainable constant default rates (sCDR) for the following transactions: - Access Funding 2013-1 maintained at 3.0%; - Access Funding 2015-1 maintained at 2.5%; - Access Group 2004-2 maintained at 2.0%. - Access Group 2002 Indenture maintained at 1.7%. Fitch is revising or maintaining the sustainable constant prepayment rates (sCPR) for the following transactions: - Access Funding 2013-1 revised to 12.0% from 17.0%; - Access Funding 2015-1 revised to 12.0% from 16.0%; - Access Group 2004-2 maintained at 7.0%; - Access Group 2002 Indenture maintained at 8.0%. The 'AA+sf' and 'Bsf' default ranges applied per transaction respectively are: - Access Funding 2013-1: 68.25% and 22.75%, - Access Funding 2015-1: 51.75% and 17.25%, - Access Group 2004-2: 28.50% and 9.50%, - Access Group 2002 Indenture: 22.50 and 7.50%. Access Funding 2013-1 As of February 2026, the 31-60DPD increased to 3.21% from 2.02% in February 2025, while 91-120 DPD decreased to 0.82% from 2.08%.TTM levels of deferment and forbearance reached 2.20% (2.96% in February 2025) and 4.15% (4.44%) respectively. These are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. Fitch applies the standard default timing curve. Access Funding 2015-1 As of February 2026, the 31-60DPD increased to 3.68% from 2.42% in February 2025, while 91-120 DPD decreased to 0.68% from 0.96%.TTM levels of deferment, forbearance and income-based repayments (IBR) reached 2.26% (2.34% in February 2025), 4.30% (2.99%) and ~46.21% (46.05%). These are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. Fitch applies the standard default timing curve. Access Group 2004-2 As of December 2025, the 31-60DPD decreased to 1.82% from 2.35% in December 2024, while 91-120 DPD increased to 0.35% from 0.31%.TTM levels of deferment and forbearance reached 0.45% (0.48% in December 2024) and 1.65% (2.65%) respectively. These are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. Fitch applies the standard default timing curve. Access Group 2002 Indenture As of February 2026, the 31-60DPD increased to 1.67% from 1.20% in February 2025, while 91-120 DPD increased to 0.28% from 0.25%.TTM levels of deferment and forbearance reached 0.89% (0.64% in February 2025) and 1.89% (1.62%) respectively. These are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. Fitch applies the standard default timing curve. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the end of the most recent collection period, all trust student loans are indexed to either 91-day T-bill or 30-day average SOFR plus spread adjustment (SA) and all notes are indexed to either 30-day or 90-day SOFR plus SA, except for Access Group 2002 Indenture, in which approximately 5.95% are indexed to 90-day average SOFR + 0.26161%, and the remaining are auction rate securities. Payment Structure: Credit enhancement (CE) is provided by excess spread, and the class A notes benefit from subordination provided by the class B notes. As of the last reporting date, 2013-1 and 2002 Indenture are not releasing cash, since for 2013-1 (with a reported total parity of 354.42%) no excess cash can be released until all notes are paid in full. For 2002 Indenture (reported senior and total parity of 119.72% and 87.08%, respectively), no cash is currently being released from the trust as the cash release threshold of 101% total parity has not been met. The 2015-1 is also not releasing cash as Full Turbo was activated in July 2025 per trust indenture 10 years after issuance, overcollateralization stands at $1,239,147.99 as of February 2026. The 2004-2 is releasing excess cash because the parity of 101% has been maintained. Liquidity support is provided by a reserve accounts sized at $398,785, $303,814, $1,151,208 million and $2,859,438 million, for 2013-1, 2015-1, 2004-2 and 2002, respectively. Operational Capabilities: Day-to-day servicing is provided by Nelnet, Inc., which Fitch believes to be an acceptable servicer of student loans due to its long servicing history. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating because of their strong linkage to the U.S. sovereign through reinsurance from the Department of Education. Defaults, basis risk, and loan extension risk further account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. Access 2013-1 Credit Stress Rating Sensitivity - Default increase 25%: class A: 'AAsf' - Default increase 50%: class A: 'Asf' - Basis Spread increase 0.25%: class A: 'AA+sf' - Basis Spread increase 0.50%: class A: 'AAsf' Maturity Stress Rating Sensitivity - CPR decrease 25%: class A: 'AA+sf' - CPR decrease 50%: class A: 'Asf' - IBR Usage increase 25%: class A: 'AA+sf' - IBR Usage increase 50%: class A: 'AA+sf' - Remaining Term increase 12 months: class A: 'AA+sf' - Remaining Term increase 24 months: class A: 'AA+sf' Access 2015-1 Credit Stress Rating Sensitivity - Default increase 25%: class A: 'AA+sf', class B: 'AAsf' - Default increase 50%: class A: 'AA+sf', class B: 'Asf' - Basis Spread increase 0.25%: class A: 'AA+sf', class B: 'AA+sf' - Basis Spread increase 0.50%: class A: 'AA+sf', class B: 'AAsf' Maturity Stress Rating Sensitivity - CPR decrease 25%: class A: 'AA+sf', class B: 'AA+sf' - CPR decrease 50%: class A: 'AA+sf', class B: 'AA+sf' - IBR Usage increase 25%: class A: 'AA+sf', class B: 'AA+sf' - IBR Usage increase 50%: class A: 'AA+sf', class B: 'AA+sf' - Remaining Term increase 12 months: class A: 'AA+sf', class B: 'AA+sf' - Remaining Term increase 24 months: class A: 'AA+sf', class B: 'AA+sf' Access 2004-2 Credit Stress Rating Sensitivity - Default increase 25%: classes A: 'CCCsf', class B: 'CCCsf' - Default increase 50%: classes A: 'CCCsf', class B: 'CCCsf' - Basis Spread increase 0.25%: classes A: 'CCCsf', class B: 'CCCsf' - Basis Spread increase 0.50%: classes A: 'CCCsf', class B: 'CCCsf' Maturity Stress Rating Sensitivity - CPR decrease 25%: classes A: 'CCCsf', class B: 'CCCsf' - CPR decrease 50%: classes A: 'CCCsf', class B: 'CCCsf' - IBR Usage increase 25%: classes A: 'CCCsf', class B: 'CCCsf' - IBR Usage increase 50%: classes A: 'CCCsf', class B: 'CCCsf' - Remaining Term increase 12 months: classes A: 'CCCsf', class B: 'CCCsf' - Remaining Term increase 24 months: classes A: 'CCCsf', class B: 'CCCsf' Access 2002 Indenture (2004-1, 2003-1, 2002-1) Credit Stress Rating Sensitivity - Default increase 25%: classes A: 2004-1 'BBBsf'; 2003-1 'BBBsf'; 2002-1 'BBBsf'. All classes B: 'CCCsf' - Default increase 50%: classes A: 2004-1 'BBsf'; 2003-1 'BBsf'; 2002-1 'BBsf'. All classes B: 'CCCsf' - Basis Spread increase 0.25%: classes A: 2004-1 'BBsf'; 2003-1 'BBsf'; 2002-1 'BBsf'. All classes B: 'CCCsf' - Basis Spread increase 0.50%: classes A: 2004-1 'BBsf'; 2003-1 'BBsf'; 2002-1 'BBsf'. All classes B: 'CCCsf' Maturity Stress Rating Sensitivity - CPR decrease 25%: classes A: 2004-1 'BBsf'; 2003-1 'BBsf'; 2002-1 'BBsf'. All classes B: 'CCCsf' - CPR decrease 50%: classes A: 2004-1 'BBsf'; 2003-1 'BBsf'; 2002-1 'BBsf'. All classes B: 'CCCsf' - IBR Usage increase 25%: classes A: 2004-1 'BBsf'; 2003-1 'BBsf'; 2002-1 'BBsf'. All classes B: 'CCCsf' - IBR Usage increase 50%: classes A: 2004-1 'BBsf'; 2003-1 'BBsf'; 2002-1 'BBsf'. All classes B: 'CCCsf' - Remaining Term increase 12 months: classes A: 2004-1 'CCCsf'; 2003-1 'CCCsf'; 2002-1 'CCCsf'. All classes B: 'CCCsf' - Remaining Term increase 24 months: classes A: 2004-1 'CCCsf'; 2003-1 'CCCsf'; 2002-1 'CCCsf'. All classes B: 'CCCsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Access 2013-1 Credit Stress Rating Sensitivity - Default increase 25%: class A: 'AAsf' - Default increase 50%: class A: 'AAsf' - Basis Spread increase 0.25%: class A: 'AAsf' - Basis Spread increase 0.50%: class A: 'AAsf' Maturity Stress Rating Sensitivity - CPR decrease 25%: class A: 'AAsf' - CPR decrease 50%: class A: 'AAsf' - IBR Usage increase 25%: class A: 'AAsf' - IBR Usage increase 50%: class A: 'AAsf' - Remaining Term increase 12 months: class A: 'AAsf' - Remaining Term increase 24 months: class A: 'AAsf' Access 2015-1 Credit Stress Rating Sensitivity - Default decrease 25%: class A: 'AA+sf', class B: 'AA+sf'; - Default decrease 50%: class A: 'AA+sf'; class B: 'AA+sf'; - Basis Spread decrease 0.25%: class A: 'AA+sf'; class B: 'AA+sf'; - Basis Spread decrease 0.50%: class A: 'AA+sf'; class B: 'AA+sf'; Maturity Stress Rating Sensitivity - CPR increase 25%: class A: 'AA+sf'; class B: 'AA+sf'; - CPR increase 50%: class A: 'AA+sf'; class B: 'AA+sf'; - IBR Usage decrease 25%: class A: 'AA+sf'; class B: 'AA+sf'; - IBR Usage decrease 50%: class A: 'AA+sf'; class B: 'AA+sf'; - Remaining Term decrease 12 months: class A: 'AAsf'; class B: 'AA+sf'; - Remaining Term decrease 24 months: class A: 'AAsf'; class B: 'AA+sf'; Access 2004-2 Credit Stress Rating Sensitivity - Default decrease 25%: class A: 'CCCsf', class B: 'CCCsf'; - Default decrease 50%: class A: 'CCCsf', class B: 'CCCsf'; - Basis Spread decrease 0.25%: class A: 'CCCsf', class B: 'CCCsf'; - Basis Spread decrease 0.50%: class A: 'CCCsf', class B: 'CCCsf'; Maturity Stress Rating Sensitivity - CPR increase 25%: class A: 'CCCsf', class B: 'CCCsf'; - CPR increase 50%: class A: 'CCCsf', class B: 'CCCsf'; - IBR Usage decrease 25%: class A: 'CCCsf', class B: 'CCCsf'; - IBR Usage decrease 50%: class A: 'CCCsf', class B: 'CCCsf'; - Remaining Term decrease 12 months: class A: 'CCCsf', class B: 'CCCsf'; - Remaining Term decrease 24 months: class A: 'CCCsf', class B: 'CCCsf'; Access 2002 Indenture (2004-1, 2003-1, 2002-1) Credit Stress Rating Sensitivity - Default decrease 25%: classes A: 2004-1 'BBBsf'; 2003-1 'BBBsf'; 2002-1 'BBBsf'. All classes B: 'CCCsf' - Default decrease 50%: classes A: 2004-1 'BBBsf'; 2003-1 'BBBsf'; 2002-1 'BBBsf'. All classes B: 'CCCsf' - Basis Spread decrease 0.25%: classes A: 2004-1 'BBBsf'; 2003-1 'BBBsf'; 2002-1 'BBBsf'. All classes B: 'CCCsf' - Basis Spread decrease 0.50%: classes A: 2004-1 'BBBsf'; 2003-1 'BBBsf'; 2002-1 'BBBsf'. All classes B: 'CCCsf' Maturity Stress Rating Sensitivity - CPR increase 25%: classes A: 2004-1 'BBsf'; 2003-1 'BBsf'; 2002-1 'BBsf'. All classes B: 'CCCsf' - CPR increase 50%: classes A: 2004-1 'BBsf'; 2003-1 'BBsf'; 2002-1 'BBsf'. All classes B: 'CCCsf' - IBR Usage decrease 25%: classes A: 2004-1 'BBsf'; 2003-1 'BBsf'; 2002-1 'BBsf'. All classes B: 'CCCsf' - IBR Usage decrease 50%: classes A: 2004-1 'BBsf'; 2003-1 'BBsf'; 2002-1 'BBsf'. All classes B: 'CCCsf' - Remaining Term decrease 12 months: classes A: 2004-1 'AAsf'; 2003-1 'AAsf'; 2002-1 'AAsf'. All classes B: 'CCCsf' - Remaining Term decrease 24 months: classes A: 2004-1 'AA+sf'; 2003-1 'AA+sf'; 2002-1 'AA+sf'. All classes B: 'CCCsf' 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. AIMCO CLO 21: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AIMCO CLO 21, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- AIMCO CLO 21, Ltd. X LT AAAsf New Rating A-1R LT AAAsf New Rating A-2 00901WAC3 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating B 00901WAE9 LT PIFsf Paid In Full AA+sf B-R LT AAsf New Rating C 00901WAG4 LT PIFsf Paid In Full A+sf C-R LT Asf New Rating D-1 00901WAJ8 LT PIFsf Paid In Full BBB-sf D-1R LT BBB-sf New Rating D-2 00901WAL3 LT PIFsf Paid In Full BBB-sf D-2R LT BBB-sf New Rating E 00901XAA5 LT PIFsf Paid In Full BBsf E-R LT BB-sf New Rating Transaction Summary AIMCO CLO 21, Ltd. (the issuer) Reset transaction is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Allstate Investment Management Company. This transaction is a reset of the original AIMCO CLO 21 Ltd CLO which closed in May 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $399 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.36, 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 97.67% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.76% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant, floored at six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1R, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A-sf' for class D-1R, and 'A-sf' for class D-2R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AIMCO CLO 21, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ALLEGRO CLO XVI: S&P Affirms BB-(sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its 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. At the same time, S&P withdrew its ratings on the previous class B-1, B-2, C, D-1, and D-2 debt following payment in full on the April 27, 2026, refinancing date. S&P also affirmed its rating on the class E debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, C-R, and D-1-R debt was issued at a lower spread over three-month SOFR than the existing debt. -- The previous class B-1 and B-2 debt were replaced by a single class B-R replacement debt, which was issued at a floating spread over three-month SOFR. -- The replacement class D-2-R debt was issued at a floating spread, replacing the previous fixed coupon. -- The non-call period was extended by one year from April 2026 to April 2027. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E 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." Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $277.45 million: Three-month CME term SOFR + 1.27% -- Class A-2-R, $21.80 million: Three-month CME term SOFR + 1.55% -- Class B-R, $42.75 million: Three-month CME term SOFR + 1.70% -- Class C-R (deferrable), $27.00 million: Three-month CME term SOFR + 2.00% -- Class D-1-R (deferrable), $20.25 million: Three-month CME term SOFR + 3.30% -- Class D-2-R (deferrable), $6.75 million: Three-month CME term SOFR + 5.00% Previous debt -- Class A-1, $288.00 million: Three-month CME term SOFR + 1.56% -- Class A-2, $11.25 million: Three-month CME term SOFR + 1.75% -- Class B-1 $31.50 million: Three-month CME term SOFR + 2.10% -- Class B-2 $11.25 million: Three-month CME term SOFR + 2.30% -- Class C (deferrable) $27.00 million: Three-month CME term SOFR + 2.70% -- Class D-1 (deferrable) $20.25 million: Three-month CME term SOFR + 3.90% -- Class D-2 (deferrable) $6.75 million: 9.50% -- Class E $18.00 million: Three-month CME term SOFR + 7.09% (i)The CSA is %. CSA--Credit spread adjustment. 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 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) Ratings Withdrawn Allegro CLO XVI Ltd./Allegro CLO XVI LLC Class B-1 to NR from 'AA+ (sf)' Class B-2 to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D-1 (deferrable) to NR from 'BBB (sf)' Class D-2 (deferrable) to NR from 'BBB- (sf)' Rating Affirmed Allegro CLO XVI Ltd./Allegro CLO XVI LLC Class E, $18.00 million: BB- (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 Subordinated notes, $46.76 million: NR NR--Not rated. ANCHORAGE CAPITAL 7: Fitch Affirms 'B-' Rating on Class F-R3 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 7, Ltd.'s refinancing classes X-R4, A-R4, B-R4, C-R4, D-R4. Entity/Debt Rating Prior ----------- ------ ----- Anchorage Capital CLO 7, Ltd. X-R4 LT NRsf New Rating A-R4 LT NRsf New Rating B-R3 03328TBU8 LT PIFsf Paid In Full AAsf B-R4 LT AAsf New Rating C-R3 03328TBW4 LT PIFsf Paid In Full Asf C-R4 LT Asf New Rating D-R3 03328TBY0 LT PIFsf Paid In Full BBB-sf D-R4 LT BBB-sf New Rating E-R3 03328UAU6 LT BB-sf Affirmed BB-sf F-R3 03328UAW2 LT B-sf Affirmed B-sf Transaction Summary Anchorage Capital CLO 7, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Collateral Management, L.L.C. The original transaction closed in September 2015, refinanced in 2017 & 2020, and most recently reset in 2024. All notes except for classes E-R3 and F-R3 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 $432 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.29, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.69% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.51% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. FITCH ANALYSIS The portfolio includes 367 assets from 315 primarily high yield obligors. Based on Fitch's view, 0.6% of the portfolio consists of defaulted assets. The portfolio balance (excluding defaults and including principal cash) is approximately $443 million. As of the latest trustee report prior to the refinance date the transaction was passing all collateral quality tests, coverage tests, and concentration limitations. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 43.0% of the current portfolio par balance; ratings for 56.5% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.5% were unrated. Cash flow model analysis was conducted for this refinancing. As per its criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes, and on the indicative portfolio for the non-refinanced notes. 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%, 12.5%, and 12.5%, respectively; - Assumed risk horizon: 6.01 years; - Minimum weighted average spread of 3.00%; - Minimum weighted average recovery rate of 71.00%; - Maximum weighted average rating factor of 25.00; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 6.00%; The transaction will exit its reinvestment period on April 28, 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 B-R4: 'AAsf' / Default 40.70% / Recovery 48.16% / Cushion 11.70% - Class C-R4: 'Asf' / Default 36.30% / Recovery 57.85% / Cushion 12.00% - Class D-R4: 'BBB-sf' / Default 28.10% / Recovery 67.26% / Cushion 10.60% - Class E-R3: 'BB-sf' / Default 23.60% / Recovery 72.46% / Cushion 7.50% - Class F-R3: 'B-sf' / Default 19.00% / Recovery 77.37% / Cushion 14.30% Fitch Stress Portfolio (FSP) Model Outputs: - Class B-R4: 'AAsf' / Default 46.70% / Recovery 44.94% / Cushion 2.70% - Class C-R4: 'Asf' / Default 41.50% / Recovery 54.78% / Cushion 3.30% - Class D-R4: 'BBB-sf' / Default 32.60% / Recovery 64.20% / Cushion 3.40% Fitch affirmed the class E-R3 notes at 'BB-' and class F-R3 notes at 'B-', both with Stable Outlooks. The F-R3 notes are one notch below the model-implied rating (MIR) of 'B'. The class has below average CE while the overall portfolio has experienced nearly $3 million in par loss over the last year. There is a significant likelihood that an upgrade based on the MIR could be reversed in the near term, and therefore, Fitch has affirmed the rating on the class F-R3 notes instead. 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 B-R4, between 'BB-sf' and 'A-sf' for class C-R4, between less than 'B-sf' and 'BB+sf' for class D-R4, and between less than 'B-sf' and 'B+sf' for class E-R3 and between less than 'B-sf' and 'Bsf' for class F-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R4, 'AA+sf' for class C-R4, 'Asf' for class D-R4, and 'BBB+sf' for class E-R3 and 'BBB-sf' for class F-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 Anchorage Capital CLO 7, 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. APIDOS CLO XLVII: Fitch Assigns 'BBsf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO XLVII Ltd. reset. Entity/Debt Rating Prior ----------- ------ ----- Apidos CLO XLVII Ltd. X LT NRsf New Rating A-1-R LT NRsf New Rating A-2 03770QAC8 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 03770QAE4 LT PIFsf Paid In Full AA+sf B-R LT AAsf New Rating C 03770QAG9 LT PIFsf Paid In Full A+sf C-1-R LT Asf New Rating C-2-R LT Asf New Rating D-1 03770QAJ3 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2 03770QAL8 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating E 03770UAA3 LT PIFsf Paid In Full BB+sf E-R LT BBsf New Rating F-R LT NRsf New Rating Transaction Summary Apidos CLO XLVII Ltd. reset (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC which originally closed in April 2024. This is the first refinancing where all the existing notes will be refinanced in whole. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.98% first lien senior secured loans and has a weighted average recovery assumption of 71.32%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO XLVII 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. APIDOS CLO XLVII: Moody's Assigns B3 Rating to $500,000 F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Apidos CLO XLVII Ltd (the Issuer): US3,500,000 Class X Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$315,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$500,000 Class F-R Mezzanine Deferrable Floating Rate Notes due 2039, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Refinancing Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. CVC Credit Partners, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the seven other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score 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: Portfolio par: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2887 Weighted Average Spread (WAS): 2.882% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. ARES LXXX: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Ares LXXX CLO Ltd. Entity/Debt Rating ----------- ------ Ares LXXX CLO Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Ares LXXX CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares Capital Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $700 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 23.98 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 97.18% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.37% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Ares LXXX CLO Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BAIN CAPITAL 2019-1: Moody's Cuts Rating on $25MM E-R Notes to B1 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Bain Capital Credit CLO 2019-1, Limited: US$25,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2034 (the "Class E-R Notes"), Downgraded to B1 (sf); previously on April 19, 2021 Assigned Ba3 (sf) Bain Capital Credit CLO 2019-1, Limited, originally issued in April 2019, refinanced in April 2021 and later partially refinanced in February 2026, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in April 2026. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E-R notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the total collateral par balance, including recoveries from defaulted securities, is $488.16 million, or $11.84 million less than the $500.00 million initial par amount targeted during the deal's ramp-up. Based on the trustee's March 2026[1] report, the OC ratio for the Class E-R notes is reported at 106.12% versus a March 2025 level[2] of 106.65%. Furthermore, based on the trustee March 2026 report, weighted average rating factor (WARF) and weighted average spread (WAS) have been deteriorating and the current levels are 2793 and 3.05%[1], respectively, compared to 2760 and 3.30%, respectively, in March 2025, failing the triggers of 2769 and 3.15%[2], respectively. No action was taken on the Class X notes because its expected loss remain commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $488,157,287 Diversity Score: 86 Weighted Average Rating Factor (WARF): 2818 Weighted Average Spread (WAS): 3.02% Weighted Average Coupon (WAC): 4.28% Weighted Average Recovery Rate (WARR): 45.85% Weighted Average Life (WAL): 4.76 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in this rating was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. BAMLL COMMERCIAL 2026-HRHB: S&P Assigns (P) B(sf) on Cl. HRR Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to BAMLL Commercial Mortgage Securities Trust 2026-HRHB's commercial mortgage pass-through certificates. The certificate issuance is a CMBS transaction backed by the borrower's fee simple interest in Hyatt Regency Huntington Beach, a 519-guestroom full-service hotel in Huntington Beach, Calif. The preliminary ratings are based on information as of April 28, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. S&P said, "The preliminary ratings reflect our view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan terms, and the transaction structure. We determined that the mortgage loan has a beginning and ending loan-to-value ratio of 93.9%, based on S&P Global Ratings' value of the property backing the transaction." Preliminary Ratings Assigned BAMLL Commercial Mortgage Securities Trust 2026-HRHB(i) Class A, $90,500,000: AAA (sf) Class B, $28,300,000: AA- (sf) Class C, $21,300,000: A- (sf) Class D, $23,300,000: BBB- (sf) Class E, $26,600,000: BB- (sf) Class HRR(ii), $10,000,000: B (sf) (i)Certificate balances are approximate, subject to a variance of plus or minus 5.0%. (ii)Eligible horizontal residual interest. BANK5 2026-5YR21: Fitch Assigns 'B-sf' Final Rating on Two Tranches ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Ratings Outlooks to BANK5 2026-5YR21 commercial mortgage pass-through certificates, series 2026-5YR21 as follows: - $3,109,000 class A-1 'AAAsf'; Outlook Stable; - $168,400,000 class A-2 'AAAsf'; Outlook Stable; - $0e class A-2-1 'AAAsf'; Outlook Stable; - $0e class A-2-2 'AAAsf'; Outlook Stable; - $0ae class A-2-X1 'AAAsf'; Outlook Stable; - $0ae class A-2-X2 'AAAsf'; Outlook Stable; - $403,627,000 class A-3 'AAAsf'; Outlook Stable; - $0e class A-3-1 'AAAsf'; Outlook Stable; - $0e class A-3-2 'AAAsf'; Outlook Stable; - $0ae class A-3-X1 'AAAsf'; Outlook Stable; - $0ae class A-3-X2 'AAAsf'; Outlook Stable; - $575,136,000a class X-A 'AAAsf'; Outlook Stable; - $68,811,000 class A-S 'AAAsf'; Outlook Stable; - $0e class A-S-1 'AAAsf'; Outlook Stable; - $0e class A-S-2 'AAAsf'; Outlook Stable; - $0ae class A-S-X1 'AAAsf'; Outlook Stable; - $0ae class A-S-X2 'AAAsf'; Outlook Stable; - $68,811,000a class X-B 'AAAsf'; Outlook Stable; - $44,163,000 class B 'AA-sf'; Outlook Stable; - $0e class B-1 'AA-sf'; Outlook Stable; - $0e class B-2 'AA-sf'; Outlook Stable; - $0ae class B-X1 'AA-sf'; Outlook Stable; - $0ae class B-X2 'AA-sf'; Outlook Stable; - $33,892,000 class C 'A-sf'; Outlook Stable; - $0e class C-1 'A-sf'; Outlook Stable; - $0e class C-2 'A-sf'; Outlook Stable; - $0ae class C-X1 'A-sf'; Outlook Stable; - $0ae class C-X2 'A-sf'; Outlook Stable; - $28,757,000b class D 'BBB-sf'; Outlook Stable; - $28,757,000ab class X-D 'BBB-sf'; Outlook Stable; - $20,540,000b class E 'BB-sf'; Outlook Stable; - $20,540,000ab class X-E 'BB-sf'; Outlook Stable; - $12,325,000b class F-RR 'B-sf'; Outlook Stable; - $12,325,000ab class X-FRR 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $38,000,198b class G-RR; - 38,000,198ab class X-GRR; - $11,093,121.36bd class RR Certificates; - $3,967,200bd class RR Interest. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Since Fitch published its expected ratings on March 20, 2026, the balances for classes A-2 and A-3 were finalized. The initial certificate balance of class A-2 was expected to be in the range of $0- $225,000,000 and the aggregate certificate balance of class A-3 was expected to be in the range of $347,027,000-$572,027,000. The final class balances for classes A-2 and A-3 are $168,400,000 and $403,627,000, respectively. (d) Vertical risk retention. (e) Exchangeable certificates; classes A-2, A-3, A-S, B, and C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding class of exchangeable certificates and vice versa. The dollar denomination of each of the received certificates must equal the dollar denomination of each of the surrendered certificates. In addition, at the time the presale was issued, class X-B, which was tied to classes A-S, B, and C, was rated 'A-sf(EXP)', reflecting class C, the lowest-rated tranche. Since Fitch published its expected ratings, the reference tranche for class X-B has been changed to class A-S. Accordingly, Fitch has updated the rating on class X-B to 'AAAsf' from 'A-(EXP)sf', reflecting the rating of the referenced tranche, class A-S. This is consistent with Appendix 4 of Fitch's "Global Structured Finance Rating Criteria." The ratings are based on information provided by the issuer as of April 16, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 31 loans secured by 64 commercial properties, having an aggregate principal balance of $836,684,520 as of the cutoff date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association, Bank of America, National Association, Wells Fargo Bank, National Association, and Morgan Stanley Mortgage Capital Holdings LLC. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is LNR Partners, LLC. Computershare Trust Company, National Association acts as the trustee and certificate administrator. Pentalpha Surveillance LLC is the operating advisor and asset representations reviewer. The certificates follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 24 loans totaling 94.7% of the pool by balance, including all the largest 20 loans in the pool. Fitch's resulting NCF of $89,351,609 represents a 17.6% decline from the issuer's underwritten NCF of $108,374,018. Higher Fitch Leverage: The pool has higher leverage compared to recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 100.8% is comparable to the 2025 average of101.0% but higher than 2024 average of 95.2%. The pool's Fitch NCF debt yield (DY) of 10.7% is higher than both the2025 and 2024 averages of 9.7% and 10.2%, respectively. Higher Loan Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 68.2% of the pool, higher than the 2025 five-year multiborrower and 2024 five-year multiborrower averages of 61.7% and 60.2%, respectively. The pool's effective loan count, at 19.7, is lower than the2025 YTD and 2024 averages of 21.6 and 22.7, respectively. Investment-Grade Credit Opinion Loans: Two loans, representing 12.2% of the pool, received an investment-grade credit opinion. CityCenter (Aria & Vdara) (8.2%) received a standalone credit opinion of 'AAAsf*' and Torrey Heights(3.9% of the pool) received a standalone credit opinion of 'BBBsf*'. The pool's total credit opinion percentage is higher than the 2025 average of 10.7% but lower than the 2024 average of 12.6% for five-year multiborrower transactions. Excluding credit opinion loans, the pool's Fitch LTV and DY are 106.7% and 9.8%, respectively, compared with the equivalent five-year multiborrower 2025 averages of 105.2% and 9.3%, respectively. Shorter Duration Loans: The pool is 100% composed of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'B-sf'/below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The lists below indicate the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BARINGS CLO 2026-1: Fitch Assigns 'BBsf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2026-I. Entity/Debt Rating Prior ----------- ------ ----- Barings CLO Ltd. 2026-I A-1 LT NRsf New Rating NR(EXP)sf A-1L LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT A+sf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BBsf New Rating BB(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Following the receipt and review of final documentation and information, Fitch assigned a final rating of 'A+sf' to the class C notes, one notch above the previously assigned expected rating of 'A(EXP)sf'. The final ratings assigned to the remaining classes of rated notes are in line with their respective expected ratings. Transaction Summary Barings CLO Ltd. 2026-I (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.87% first lien senior secured loans and has a weighted average recovery assumption of 73.96%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'B+sf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2 notes, and between less than 'B-sf' and 'B+sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AA+sf' for class C notes, 'Asf' for class D-1 notes, 'A-sf' for class D-2 notes, and 'BBB+sf' for class E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Barings CLO Ltd. 2026-I. 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. BARINGS CLO 2026-I: Moody's Assigns B3 Rating to $200,000 F Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued and one class of loans incurred by Barings CLO Ltd. 2026-I (the Issuer or Barings 2026-I): US$156,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$100,000,000 Class A-1L Loans maturing 2039, Definitive Rating Assigned Aaa (sf) US$200,000 Class F Secured Deferrable Junior Floating Rate Notes due 2039, Definitive Rating Assigned B3 (sf) The notes and loans listed are referred to herein, collectively, as the Rated Debt. The Class A-1L Loans may not be exchanged or converted into notes at any time. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Barings 2026-I is a managed cash flow CLO. The issued notes and incurred loans will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, unsecured loans and bonds. The portfolio is approximately 90% ramped as of the closing date. Barings LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2775 Weighted Average Spread (WAS): 2.8% Weighted Average Recovery Rate (WARR): 44% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. BBCMS MORTGAGE 2025-5C34: DBRS Confirms BB Rating on G-RR Certs --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2025-5C34 issued by BBCMS Mortgage Trust 2025-5C34: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class X-B at AA (low) (sf) -- Class X-D at A (low) (sf) -- Class X-F at BBB (sf) -- Class D at A (low) (sf) -- Class E at BBB (high) (sf) -- Class F at BBB (low) (sf) -- Class G-RR at BB (sf) All trends are Stable. Classes X-B, X-D, X-F, D, E, F, and G-RR were privately placed. The credit rating confirmations reflect the transaction's overall stable performance since the closing of the transaction in May 2025. As of April 2026, remittance, all 37 loans remain in the pool with an outstanding balance of $782.9 million. Three loans are currently on the servicer's watchlist, primarily because of low debt service coverage ratios, and the occurrence of triggering events. One loan, GM Holding Portfolio (Prospectus ID#5; 5.9% of the current pool) is in special servicing. The pool is predominantly multifamily-backed (53.5% of the pool balance), followed by industrial (9.9%) and other property types (12.9%), while office-backed loans represent a limited 5.2% of the current pool balance. The GM Holdings Portfolio transferred to special servicing in April 2026 because of payment default. The loan is secured by a portfolio of eight multifamily properties totaling 187 units in Philadelphia. According to the servicer's commentary, the borrower has historically made payments in $25,000 increments to fulfill the monthly debt service obligation of around $250,000; however, some checks have not cleared and the loan is delinquent. At issuance, Morningstar DBRS cited the sponsor as Bad (Litigious) because of a considerable number of legal disputes. For this review, Morningstar DBRS did not apply any analytical adjustments, citing the limited seasoning of the transaction and the lack of operating statements. Mitigating factors include the loan's relatively low leverage, with a Morningstar DBRS Issuance loan-to-value (LTV) ratio of 63.4% at issuance. The Wave (Prospectus ID#1; 8.3% of the current pool), the largest loan in the transaction, is secured by the borrower's fee-simple interest in a Class A, 136-unit multifamily property in Brooklyn, New York. As of the December 2025 rent roll, the property was 96.4% occupied, a slight increase from the 94.0% occupancy rate at issuance. Uber Headquarters (Prospectus ID#9; 4.3% of the current trust balance) is the largest office-backed loan in the pool. The transaction is secured by the borrower's fee-simple interest in Uber Headquarters, a 586,208-sf office property in the Mission Bay submarket of San Francisco. Uber is the sole-tenant at the property on a lease through 2039. As part of this review, Morningstar DBRS did not apply any loan-level adjustments to the LTV or probability of default metrics because of limited financial reporting for the transaction. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, X-D, and X-F are interest-only (IO) certificates 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. BBCMS MORTGAGE 2026-5C41: Fitch Gives B-(EXP) Rating on G-RR Certs ------------------------------------------------------------------ Fitch has assigned expected ratings and Ratings Outlooks to BBCMS Mortgage Trust 2026-5C41 commercial mortgage pass-through certificates, series 2026-5C41, as follows: - $3,964,000 Class A-1 'AAA(EXP)sf'; Outlook Stable; - $60,000,000a Class A-2 'AAA(EXP)sf'; Outlook Stable; - $309,580,000a Class A-3 'AAA(EXP)sf'; Outlook Stable; - $373,544,000b Class X-A 'AAA(EXP)sf'; Outlook Stable; - $49,362,000 Class A-S 'AAA(EXP)sf'; Outlook Stable; - $28,016,000 Class B 'AA-(EXP)sf'; Outlook Stable; - $22,012,000 Class C 'A-(EXP)sf'; Outlook Stable; - $99,390,000bc Class X-B 'A-(EXP)sf'; Outlook Stable; - $11,340,000c Class D 'BBB(EXP)sf'; Outlook Stable; - $11,340,000bc Class X-D 'BBB(EXP)sf'; Outlook Stable; - $6,670,000cd Class E-RR 'BBB-(EXP)sf'; Outlook Stable; - $12,007,000cd Class F-RR 'BB-(EXP)sf'; Outlook Stable; - $8,005,000cd Class G-RR 'B-(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following class: - $22,679,596cd Class J-RR 'NR(EXP)sf'. (a) The exact initial certificate balances of the class A-2 and class A-3 certificates are unknown but will be $369,580,000 in aggregate, subject to a variance of plus or minus 5%. The certificate balances will be determined based on the final pricing of these classes of certificates. The expected class A-2 balance range is $0-$120,000,000, and the expected class A-3 balance range is $249,580,000-$369,580,000. Fitch's certificate balances for classes A-2 and A-3 reflect the midpoints of each respective range. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 33 loans secured by 82 commercial properties having an aggregate principal balance of $533,635,597 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate INC., BSPRT CMBS Finance, LLC, Zions Bancorporation, N.A., KeyBank National Association, Citi Real Estate Funding Inc., Starwood Mortgage Capital LLC, Societe Generale Financial Corporation, Wells Fargo Bank, National Association, and UBS AG New York Branch. The master servicer is expected to be Trimont LLC, and the special servicer is expected to be CWCapital Asset Management LLC. The trustee is expected to be Deutsche Bank National Trust Company, and the certificate administrator is expected to be Computershare Trust Company, National Association. BellOak, LLC is expected to be the operating advisor and asset representations reviewer. The certificates will follow a sequential paydown structure. The transaction's closing date is expected to be May 21, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 20 loans totaling 84.6% of the pool by balance. Fitch's aggregate pool net cash flow (NCF) of $48.0 million represents a 12.8% decline from the issuer's underwritten aggregate pool NCF of $55.1 million. Higher Fitch Leverage: The pool's Fitch leverage is higher than that of recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 104.58% is higher than the 2026 YTD five-year multiborrower transaction average of 97.6% and the 2025 five-year multiborrower transaction average of 101.0%. The pool's Fitch NCF debt yield (DY) of 9.0% is lower than the 2026 YTD average of 10.53% and the 2025 average of 10.2%. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The largest 10 loans represent 63.5% of the pool, which is higher than the 2026 YTD five-year average of 59.6% and lower that the 2025 five-year multiborrower average of 61.5%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 21.9, which is lower than the 2026 YTD five-year multiborrower average of 22.8 and in line with the 2025 five-year multiborrower average of 21.8. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet 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% NCF Decline: 'AAAsf'/AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet 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% NCF Increase: 'AAAsf'/AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BCP TRUST 2021-330N: Moody's Cuts Rating on Cl. A Certs to Caa2 --------------------------------------------------------------- Moody's Ratings has downgraded the ratings on two classes and affirmed the ratings on four classes in BCP Trust 2021-330N, Commercial Mortgage Pass-Through Certificates, Series 2021-330N as follows: Cl. A, Downgraded to Caa2 (sf); previously on Sep 16, 2025 Downgraded to B2 (sf) Cl. B, Downgraded to C (sf); previously on Sep 16, 2025 Downgraded to Caa2 (sf) Cl. C, Affirmed C (sf); previously on Sep 16, 2025 Downgraded to C (sf) Cl. D, Affirmed C (sf); previously on Sep 16, 2025 Downgraded to C (sf) Cl. E, Affirmed C (sf); previously on Sep 16, 2025 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Sep 16, 2025 Affirmed C (sf) RATINGS RATIONALE The ratings on the two most senior principal and interest (P&I) classes, Cl. A and Cl. B, were downgraded primarily due to the loan's prolonged delinquency status, increased servicer advances and the continued weak fundamentals in the downtown Chicago office market. The property's cash flow and occupancy have declined since securitization and is expected to remain low due to high capital expenses budgeted for 2026 and anticipated expiration of two leases in 2027. The loan has been in special servicing since July 2024 and is last paid through its September 2024 payment date resulting in outstanding loan advances totaling $25.7 million (inclusive of P&I advances, other expenses and cumulative accrued unpaid advance interest outstanding) as of the April 2026 remittance statement, compared to $16.4 million at last review. The loan is secured by a Class A office building located in the North Michigan Avenue submarket, which has experienced continued increases in vacancy through 2025. The downgrades also reflect the potential for higher ongoing interest shortfalls and higher expected losses upon the ultimate loan resolution given the property's performance and market value data on comparable office properties. The ratings on four P&I classes were affirmed because the ratings are consistent with Moody's expected loss. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than what Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. DEAL PERFORMANCE As of the April 2026 distribution date, the transaction's certificate balance was $370 million, the same as at securitization. The interest only, floating rate loan is secured by the fee simple interest in floors 14-52 of a 52-story Class A office property located at 330 North Wabash Avenue, and the leasehold interest in a 904-space parking garage, located adjacent at 401 North State Street, in Chicago, IL. The loan had an initial maturity in June 2023, with three one-year extension options. The borrower exercised the second extension option in June 2024, extending the maturity to June 2025; however, the loan transferred to special servicing in July 2024 due to imminent default. The loan was last paid through the September 2024 payment date, the lender initiated foreclosure and a receiver has been in place since January 2025. The property was built in 1972 and was designated a Chicago landmark in 2008. From 2010 to 2020, the subject underwent a comprehensive $155.2 million ($131 PSF) renovation that completely redeveloped the interior of the landmark structure. The property is classified as a Class L "Historical Building" by Cook County and benefits a specific tax abatement that will expire in 2027. Under the Class L incentive, assessment levels for the building-portion of the assessment are assessed at 10% of market value for 2014-2023, 15% in 2024, and 20% in 2025, before returning to the market assessment level of 25% thereafter. However, in 2025 the borrower, via the receiver, was able to successfully lower the subject's building assessment. According to the appraisal dated October 2025, tax estimates for 2026, 2027, and 2028 are now more in line with historical levels, as opposed to previously anticipated material increases. However, the property's financial performance remains well below expectations at securitization. The property's cash flow declines have been driven by a combination of higher expenses and lower occupancy caused by downsizing and departures of multiple tenants between 2022 and 2024. According to the December 2025 rent roll, the property was 81% leased compared to 94% in June 2021. The largest tenant, the American Medical Association (AMA), leases 265,464 SF, down from 298,154 SF at securitization, and extended its August 2028 lease expiration by seven years. The second-largest tenant, Latham & Watkins, also extended its 159,000 SF lease for an additional seven years beyond the March 2029 expiration and expanded by 35,274 SF. The property still faces near-term rollover risk as two other tenants totaling approximately 15% of NRA have leases expiring in 2027. The property's reported 2025 net operating income (NOI) was $19.8 million (adjusted for lower real estate taxes), higher than $17.6 million from 2024 but still well below the 2021 NOI of $25.4 million. Furthermore, the future NOI is expected to decline due to significant capital expense items budgeted for 2026 and lease rollover risks in 2027. Due to the combination of the lower cash flow and significantly higher floating interest rate, the loan's uncapped debt service coverage ratio (DSCR) has been below 1.0X over the last few years. As of the April 2026 remittance statement interest shortfalls have accumulated to $16.8 million affecting up to Cl. D and the loan had an appraisal reduction amount of $178.7 million resulting from the most recent appraisal dated October 2025 being 38% below the outstanding loan balance. There are also outstanding loan advances (inclusive of P&I advances, other expenses and cumulative accrued unpaid advance interest outstanding) of $25.7 million. Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries which may result in lower recovery to the total trust balance. While the property is well-located in the Chicago CBD within the North Michigan Avenue submarket, the Chicago CBD office market vacancies have increased significantly since securitization and continue to increase in recent quarters. According to CBRE Econometric Advisors, Class A office buildings in the North Michigan Avenue submarket included 4.4 million SF of space as of Q4 2025 with a vacancy rate of 24%, compared to a vacancy rate of 20% in 2024. The North Michigan Avenue submarket has seen consecutive years of negative net absorption since 2020. Moody's capitalization rate and Moody's NCF remain the same as the last review at 9.50% and $12.8 million, respectively. Both the Moody's LTV and Adjusted Moody's LTV ratio is 274%. Moody's stressed debt service coverage ratio (DSCR) is 0.37X. BDS 2026-FL17: DBRS Gives (P)B(low)(sf) Rating on Cl. G Notes ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes (the Notes) to be issued by BDS 2026-FL17 LLC (BDS 2026-FL17 or the Issuer): -- Class A Notes at (P) AAA (sf) -- Class A-S Notes at (P) AAA (sf) -- Class B Notes at (P) AA (low) (sf) -- Class B-E Notes at (P) AA (low) (sf) -- Class B-X Notes at (P) AA (low) (sf) -- Class C Notes at (P) A (low) (sf) -- Class C-E Notes at (P) A (low) (sf) -- Class C-X Notes at (P) A (low) (sf) -- Class D Notes at (P) BBB (sf) -- Class D-E Notes at (P) BBB (sf) -- Class D-X Notes at (P) BBB (sf) -- Class E Notes at (P) BBB (low) (sf) -- Class E-E Notes at (P) BBB (low) (sf) -- Class E-X Notes at (P) BBB (low) (sf) -- Class F Notes at (P) BB (low) (sf) -- Class G Notes at (P) B (low) (sf) All trends are Stable. The Class F and Class G Notes are non-offered notes. The Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes are exchangeable notes (the Exchangeable Notes) and are exchangeable for proportionate interests in the MASCOT Notes as defined below, 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 BDS V REIT LLC ("Bridge REIT"). All or a portion of each class of Exchangeable Notes may be exchanged as follows: (1) the Class B Notes may be exchanged for proportionate interests in the Class B-E Notes and the Class B-X Notes; (2) the Class C Notes may be exchanged for proportionate interests in the Class C-E Notes and the Class C-X Notes; (3) the Class D Notes may be exchanged for proportionate interests in the Class D-E Notes and the Class D-X Notes; and (4) the Class E Notes may be exchanged for proportionate interests in the Class E-E Notes (together with the Class B-E Notes, the Class C-E Notes, and the Class D-E Notes, the MASCOT P&I Notes) and the Class E-X Notes (together with the Class B-X Notes, the Class C-X Notes, and the Class D-X Notes, the MASCOT Interest Only Notes; and the MASCOT Interest Only Notes, together with the MASCOT P&I Notes, the MASCOT Notes). The BDS 2026-FL17 transaction's initial collateral consists of 24 floating-rate mortgage loans secured by 27 transitional multifamily, student housing, and manufactured housing properties. The collateral is encumbered by $1.2 billion of debt, composed of $923.1 million that will be going into the Trust, $21.1 million of future funding, and $299.2 million of funded pari passu debt. Seven loans, comprising 27.3% of the pool, are structured with future funding of $21.1 million. Five collateral interests (Fundamental MF Portfolio, Somerset Upscale Apartments, Terminal 21, Serrano Apartments, Rock Springs Village Phase I), representing 20.3% of the initial pool balance, are delayed-close collateral interests, which are identified in the data tape and included in the Morningstar DBRS analysis. The Issuer is also permitted to acquire the delayed collateral interests in the 60-day period following the closing date. The transaction is a managed vehicle that includes a 30-month reinvestment period. As part of the reinvestment period, the transaction includes a 180-day ramp-up acquisition period during which the Issuer is expected to increase the trust balance by $200 million to a total target collateral principal balance of $1.1 billion. The acquisition of reinvestment collateral interests and ramp-up collateral interests will be subject to the satisfaction of the applicable eligibility criteria, the acquisition criteria, and the acquisition and disposition requirements. Morningstar DBRS assessed the ramp loans using a conservative pool construct and, as a result, the ramp loans have expected losses greater than the pool's weighted-average expected loss. Reinvestment of principal proceeds during the reinvestment period is subject to eligibility criteria that, among other criteria, include a rating agency no-downgrade confirmation by Morningstar DBRS for all new mortgage assets and funded companion participations, unless the Collateral Interest is a Participation with a principal balance of less than $500,000 and a related participation for collateral already owned by the issuer. Morningstar DBRS will confirm that a proposed action, failure to act, or other specified event will not, in and of itself, result in the downgrade or withdrawal of the current credit ratings during the reinvestment period. All tables, charts, and metrics referenced in the related presale report reflect the $923.1 million initial pool and cut-off balance. If a delayed-close collateral interestis not expected to close or fund on or prior to the delayed-close purchase termination date, which occurs 60 days after transaction close, then the Issuer may acquire such delayed-close collateral interest at any time during the transaction reinvestment period upon satisfying the transaction eligibility criteria, acquisition criteria, and acquisition and disposition requirements. The eligibility criteria establishes maximum trust concentrations for certain property types, and corresponding maximum loan-to-value ratios and minimum debt yields by property type, among other requirements. Please see the Eligibility Criteria Concentration Parameters table in the report for more details, and the Transaction Structural Features section of the report for the full eligibility criteria. The loans are secured by properties with plans to stabilize and improve the asset value. Seven of the loans, representing 27.3% of the pool, have remaining future funding totaling $21.1 million. Seventeen loans do not have remaining future funding, and the path to stabilization for such loans is primarily based on increasing occupancy, achieving operational efficiencies, or receiving tax abatements by aligning with set criteria at the secured properties. All of the loans in the pool have floating rates, and Morningstar DBRS incorporates an interest rate stress that is based on the lower of a Morningstar DBRS stressed rate that corresponds to the remaining fully extended term of the loans or the strike price of an interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the debt service payments were measured against the Morningstar DBRS As-Is Net Cash Flow, 23 of the 24 loans, representing 97.9% of the initial pool balance, had a Morningstar DBRS As-Is DSCR of below 1.00 times, a threshold indicative of refinance risk. The properties are often transitioning with potential upside in cash flow; however, Morningstar DBRS does not give full credit to the stabilization if there are no holdbacks or if other in-place structural features are insufficient to support such treatment. Furthermore, even with the structure provided, Morningstar DBRS generally does not assume the assets will stabilize above market levels. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Proceeds amounts and Interest Distribution amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings do not address nonpayment risk associated with Defaulted and Deferred Interest 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. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2018-B7: Fitch Affirms 'CCCsf' Rating on Three Tranches ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Benchmark 2018-B7 Mortgage Trust (BMARK 2018-B7). The Outlooks on classes A-M, B, C, D, E, X-A, and X-D remain Negative. Fitch has also affirmed 15 classes of Benchmark 2018-B8 Mortgage Trust (BMARK 2018-B8). The Outlooks on classes A-S, B, C, D, E-RR, F-RR, X-A, X-B, and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2018-B7 A-2 08162TAY9 LT AAAsf Affirmed AAAsf A-3 08162TBA0 LT AAAsf Affirmed AAAsf A-4 08162TBB8 LT AAAsf Affirmed AAAsf A-M 08162TBD4 LT AAsf Affirmed AAsf A-SB 08162TAZ6 LT AAAsf Affirmed AAAsf B 08162TBE2 LT Asf Affirmed Asf C 08162TBF9 LT BBBsf Affirmed BBBsf D 08162TAG8 LT BBsf Affirmed BBsf E 08162TAJ2 LT Bsf Affirmed Bsf F 08162TAL7 LT CCCsf Affirmed CCCsf G-RR 08162TAN3 LT CCCsf Affirmed CCCsf X-A 08162TBC6 LT AAsf Affirmed AAsf X-D 08162TAC7 LT Bsf Affirmed Bsf X-F 08162TAE3 LT CCCsf Affirmed CCCsf BMARK 2018-B8 A-2 08162UAT7 LT AAAsf Affirmed AAAsf A-3 08162UAU4 LT AAAsf Affirmed AAAsf A-4 08162UAV2 LT AAAsf Affirmed AAAsf A-5 08162UAW0 LT AAAsf Affirmed AAAsf A-S 08162UBA7 LT AAsf Affirmed AAsf A-SB 08162UAX8 LT AAAsf Affirmed AAAsf B 08162UBB5 LT Asf Affirmed Asf C 08162UBC3 LT BBBsf Affirmed BBBsf D 08162UAC4 LT BBsf Affirmed BBsf E-RR 08162UAE0 LT BBsf Affirmed BBsf F-RR 08162UAG5 LT B-sf Affirmed B-sf G-RR 08162UAJ9 LT CCCsf Affirmed CCCsf X-A 08162UAY6 LT AAsf Affirmed AAsf X-B 08162UAZ3 LT Asf Affirmed Asf X-D 08162UAA8 LT BBsf Affirmed BBsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have increased to 7.4% for BMARK 2018-B7, compared to 6.8% at Fitch's prior rating action. Losses have also increased to 7.1% in BMARK 2018-B8 compared to 5.7% at Fitch's prior rating action. The BMARK 2018-B7 transaction includes 17 loans (44.8% of the pool) that have been identified as Fitch Loans of Concern (FLOCs), including six specially serviced loans (20.0%). The BMARK 2018-B8 transaction has 11 FLOCs (38.4%), including three specially serviced loans (12.9%). The Negative Outlooks in BMARK 2018-B7 reflect performance concerns regarding the specially serviced loans and FLOCs, particularly four office loans, Dumbo Heights Portfolio, Liberty Portfolio, Aon Center and Workspace (collectively 19.3% of the pool). The Negative Outlooks reflect possible downgrades with lower than-expected recoveries and/or prolonged workouts of the specially serviced loans, additional performance declines of the FLOCs or more loans than anticipated fail to refinance. The BMARK 2018-B7 pool also has elevated office exposure of 41.7%. The Negative Outlooks in BMARK 2018-B8 reflect continued performance deterioration and lack of stabilization of the FLOCs, particularly the Huntington Quadrangle (5.0%) loan and specially serviced loans which include, St. Louis Galleria (5.7%), Workspace (4.3%) and DUMBO Heights Portfolio (2.9%). The BMARK 2018-B8 pool has elevated office exposure of 47.6%. The BMARK 2018-B7 and BMARK 2018-B8 transactions have significant maturity concentrations in 2028. Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment and/or loss expectation. The rating actions and Negative Outlooks also incorporate this analysis. Largest Contributors to Loss: The largest contributor to overall loss expectations in BMARK 2018-B7 is the specially serviced Aon Center (4.0%) loan, which is secured by a 2.8 million-sf office tower located in downtown Chicago, IL. The loan transferred to special servicing in February 2026 due to imminent monetary default. Property occupancy was 49.3% as of September 2025, compared with 74% as of September 2024, and 76% at YE 2023. According to CoStar, the property lies within the East Loop Office Submarket of the Chicago, IL market area. As of 1Q26, average rental rates were $37.57 psf and $29.72 psf for the submarket and market, respectively. Vacancy for the submarket and market was 27.7% and 17.2%, respectively. Fitch's 'Bsf' rating case loss of 20.4% (prior to concentration add-ons) is based on a 10.50% cap rate and a 15% stress to the YE 2024 NOI, and factors in an increased probability of default due to the loan's transfer to special servicing. Fitch's stressed value of $111 psf is in-line with the most recently reported appraisal value and with comparable valuations in the submarket. The second largest contributor to overall loss expectations in BMARK 2018-B7 is the specially serviced Castleton Commons & Square (2.9%) loan, which is secured by a 279,452-sf retail complex located in Indianapolis, IN. The loan transferred to special servicing in August 2023 for imminent default due to cash flow issues stemming from the loss of a large furniture tenant. The loan is in foreclosure per the most recent March 2026 servicer reporting. Major tenants include Floor & Décor (25.7% of NRA, expiring August 2028), Dave & Buster's (12.5%, December 2026) and Recreational Equipment Inc (8.3%, March 2027). As of the February 2026 rent roll, the property occupancy was 72.5%, compared with 74.7% as of YE 2024. Fitch's 'Bsf' rating case loss of 28.1% (prior to concentration adjustments) reflects a stressed value of $81 psf, which is based on a discount to the most recent August 2025 appraisal value and factors in the loan's total exposure. The third largest contributor to overall loss expectations in BMARK 2018-B7 is the Liberty Portfolio (4.7%) loan, which is secured by a two-property office portfolio totaling 805,746-sf, located in Tempe and Scottsdale in Arizona. The portfolio reported a current occupancy of 95% as of the YE 2025 servicer-reporting with a most recent NOI DSCR of 1.75x for the same period. However, the largest tenant, Centene (43.8% of the portfolio NRA), no longer fully occupies its space, and cash management has been activated. According to the servicer, major tenant The Vanguard Group (15.3% of portfolio NRA) will not be renewing its lease at the property upon lease expiration in January 2027, but the borrower is working with a prospective tenant to backfill the space. Prior major tenant Carvana (previously 16.8% of portfolio NRA) vacated at lease expiration in 2024, and the space was subsequently backfilled by Dutch Bros (17.4% of portfolio NRA) with a lease through March 2037. The loan reported total reserves of $16.6 million or $20.6 psf as of the March 2026 loan level reserve report. Per CoStar, the Tempe Office and Scottsdale Airpark Office Submarkets reported vacancy rates of 18.2% and 16.0%, respectively, as of the first-quarter 2026. Fitch's 'Bsf' rating case loss of 16.9% (prior to concentration add-ons) is based on a 40% stress to the YE 2024 NOI to account for the departure of the major tenants coupled with soft market conditions. The largest contributor to overall loss expectations in BMARK 2018-B8 is the Saint Louis Galleria (5.7%) loan, which is secured by a 465,695-sf (collateral) of a 1,179,747-sf super-regional mall located in St. Louis, Missouri. The mall is anchored by Dillard's, Macy's and Nordstrom (closed August 2025), which are non-collateral tenants. The loan's performance has steadily deteriorated since issuance. Property occupancy was reported as 85% as of September 2025, down from 88% as of YE 2024, 89% at YE 2023, and 91% at YE 2022. The servicer-reported NOI DSCR was 1.07x as of September 2025, a decline from 1.16x as of YE 2024, 1.63x at YE 2023, and 1.57x at YE 2022. According to the master servicer, the loan recently transferred to special servicing in April 2026. According to the most recent trailing-twelve-months ended June 2025 tenant sales report, total comparable in-line sales for tenants with less than 10,000-sf (including Apple) was $610 psf. Excluding Apple, in-line sales were $425 psf. Galleria 6 Cinemas reported sales per screen of $222,565 for the same period. Fitch's 'Bsf' rating case loss of 24.7% (prior to concentration add-ons) is based on a 12.0% cap rate and 7.5% stress to the trailing-twelve-months ended March 2025 NOI. It incorporates an increased probability of default due to the loan's recent transfer to special servicing. The second largest contributor to overall loss expectations in the BMARK 2018-B8 transaction is the 3 Huntington Quadrangle (5.0%) loan, which is secured by a 409,000-sf suburban office property located in Melville, NY. Major tenants include Northwell Health (29.7% of NRA, Aug. 2028), Catholic Health Services of Long Island (8.7%, May. 2029), and Amtrust North America (5.6%, Nov. 2027). Property occupancy was 58.9% as of the December 2025 servicer-provided rent roll and the NOI DSCR was 1.03x as of YE 2025. According to the CoStar, approximately 33.9% of the NRA is currently listed as available for sublease. The property is in the West Suffolk Office Submarket of the Melville, NY market area. As of 1Q26, average rental rates were $33.21 psf and $29.64 psf for the submarket and market, respectively. Vacancy for the submarket and market was 8.7% and 7.6%, respectively. The loan reported $1.0 million or $2.54 psf in total reserves as of the March 2026 loan level reserve report. Fitch's 'Bsf' rating case loss of 27.1% (prior to concentration add-ons) is based on a 10.0% cap rate to the YE 2025 NOI, and factors in an increased probability of default due to the deterioration in performance and heightened default risk. Increase in Credit Enhancement: As of the March 2026 distribution date, the aggregate balances of the BMARK 2018-B7 and BMARK 2018-B8 transactions have been reduced by 8.8% and 10.8%, respectively, since issuance. The BMARK 2018-B7 transaction includes three loans (4.3% of the pool) that have fully defeased and one loan, Self-Storage Plus Dulles Town Center (0.5% of the pool) is fully defeased in BMARK 2018-B8. Principal Loss and Interest Shortfalls: To date, the BMARK 2018-B7 and BMARK 2018-B8 transactions have not incurred any realized principal losses. Interest shortfalls totaling $818,697 are affecting the non-rated class J-RR and Risk Retention class VRR in the BMARK 2018-B7 transaction and Interest shortfalls totaling $48,175 are affecting the nonrated class NR-RR in the BMARK 2018-B8 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not likely due to their high CE, senior position in the capital structure and expected continued amortization and loan repayments. Downgrades could occur if deal-level losses increase significantly and/or interest shortfalls affect these classes. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs. In BMARK 2018-B7, this applies particularly to office loans with deteriorating performance and/or rollover concerns, including Liberty Portfolio, Workspace, AON Center and Overland Park Xchange. In BMARK 2018-B8, this applies particularly to the Saint Louis Galleria, 3 Huntington Quadrangle and Workspace loans. Downgrades are possible if more loans than expected experience performance deterioration or default at or prior to maturity. Downgrades to in the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed classes are possible should additionally loans transfer to special servicing and as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'AAsf' and 'Asf' may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BIRCH GROVE 8: Fitch Assigns 'BB-sf' Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Birch Grove CLO 8 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Birch Grove CLO 8 Ltd. X-R LT AAAsf New Rating A-1-R LT AAAsf New Rating A-2 09077TAC9 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 09077TAE5 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 09077TAG0 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 09077TAJ4 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 09077UAA0 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Birch Grove CLO 8 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Birch Grove Capital LP and originally closed on March 24, 2026. This is the first refinancing in which will refinance the existing secured notes in whole on April 20th, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.83, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.17% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.95% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 6% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R notes, between 'BBB+sf' and 'AA+sf' for class A-1-R notes, between 'BBB+sf' and 'AA+sf' for class A-2-R notes, between 'BB+sf' and 'A+sf' for class B-R notes, between 'Bsf' and 'BBB+sf' for class C-R notes, between less than 'B-sf' and 'BB+sf' for class D-1-R notes, between less than 'B-sf' and 'BB+sf' for class D-2-R notes and between less than 'B-sf' and 'B+sf' for class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1-R and 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 notes, 'AAsf' for class C-R notes, 'Asf' for class D-1-R notes, and 'A-sf' for class D-2-R notes and 'BBB+sf' for class E-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Birch Grove CLO 8 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. BRIDGECREST LENDING 2026-2: S&P Assigns BB (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Bridgecrest Lending Auto Securitization Trust 2026-2's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 62.77%, 57.73%, 49.21%, 39.72%, and 34.95% credit support (hard credit enhancement and a haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on final post-pricing stressed break-even cash flow scenarios. These credit support levels provide at least 2.30x, 2.10x, 1.70x, 1.37x, and 1.25x coverage of S&P's expected cumulative net loss (ECNL) of 27.00% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x S&P's expected loss level), all else being equal, its 'A-1+ (sf)'/'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios that it believes are appropriate for the assigned ratings. -- The collateral characteristics of the subprime auto loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the U.S. auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Bridgecrest Acceptance Corp. as servicer, along with its view of the originator's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Bridgecrest Lending Auto Securitization Trust 2026-2 Class A-1, $82.00 million: A-1+ (sf) Class A-2, $123.34 million: AAA (sf) Class A-3, $123.34 million: AAA (sf) Class B, $66.11 million: AA (sf) Class C, $85.49 million: A (sf) Class D, $100.31 million: BBB (sf) Class E, $61.55 million: BB (sf) BWAY COMMERCIAL 2022-26BW: Moody's Cuts Rating on Cl. E Certs to B2 ------------------------------------------------------------------- Moody's Ratings has downgraded the ratings on seven classes of BWAY Commercial Mortgage Trust 2022-26BW, Commercial Mortgage Pass-Through Certificates, Series 2022-26BW as follows: Cl. A, Downgraded to Aa2 (sf); previously on Feb 16, 2022 Definitive Rating Assigned Aaa (sf) Cl. B, Downgraded to A2 (sf); previously on Feb 16, 2022 Definitive Rating Assigned Aa2 (sf) Cl. C, Downgraded to Baa3 (sf); previously on Feb 16, 2022 Definitive Rating Assigned A3 (sf) Cl. D, Downgraded to Ba3 (sf); previously on Feb 16, 2022 Definitive Rating Assigned Baa3 (sf) Cl. E, Downgraded to B2 (sf); previously on Feb 16, 2022 Definitive Rating Assigned Ba3 (sf) Cl. F, Downgraded to Caa2 (sf); previously on Feb 16, 2022 Definitive Rating Assigned B3 (sf) Cl. X*, Downgraded to Baa3 (sf); previously on Feb 16, 2022 Definitive Rating Assigned A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the six P&I classes were downgraded due to an increase in Moody's loan-to-value (LTV) as a result of property performance declines primarily driven by lower occupancy and higher operating expenses. The loan is secured by a Class A-/B+ office building located at 26 Broadway in the Financial District submarket of New York, NY. While the property benefits from certain long-term leases from investment grade tenants and minimal rollover risk in 2026, the property's decline in occupancy and increased operating expenses since securitization caused the 2025 NOI to be 16% below its 2023 levels and 20% below Moody's initial NOI at securitization. Despite the decline in performance, the trust mortgage loan has maintained a NOI DSCR above 1.00X based on its fixed interest rate of 4.91% and the loan matures in February 2032. Moody's anticipates the loan will remain current on its monthly debt service payments due to its low fixed interest rate combined with the property's current cash flow and minimal near-term rollover; however, Moody's rating action reflects the lower than expected cash flow performance, higher market interest rates and weak office fundamentals in its submarket. The rating on the interest only (IO) class, Cl. X, was downgraded based on the credit quality of its referenced class. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and quality of the asset, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values that could impact loan proceeds at each rating level. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. DEAL PERFORMANCE As of the April 2026 distribution date, the transaction's aggregate certificate balance remains unchanged at $222.2 million. The trust balance is a portion of a first lien mortgage loan with an outstanding cut-off principal balance of $290 million, and the pari passu portions are securitized in two conduit transactions. The securitization is backed by a 10-year, interest only, fixed-rate loan (4.9100%) on the fee simple interest in a 29-story, Class A-/B+ office building located at 26 Broadway in New York, NY. The Property is located in the Financial District submarket, at the southern end of Broadway and directly facing the Charging Bull statue in Bowling Green Park. The loan benefits from long term leases from investment grade tenants (approximately 45% of NRA) and minimal roll over risk in 2026 and approximately 9% of NRA with expiration dates in 2027. The property's occupancy of 82% at securitization dropped to a low of 72% in 2024 and has moderately recovered to 74% as of January of 2026. The property's 2025 net cash flow (NCF) was $13.6 million compared to $15.4 million in 2024 and $16.5 million in 2023. The budgeted NCF for 2026 is significantly lower than that of 2025 due primarily to high anticipated capital expenses and certain free rents that will burn off during the year. The property's total revenue has moderately declined since 2023 but remains generally in-line with levels at securitization. According to CBRE, office properties in the Financial District reported an average vacancy rate of 19% with a Gross Asking Rent of $51 PSF as of Q1 2026, compared to a vacancy of 19% and direct asking rent rate of $56 PSF in 2021. The submarket vacancy peaked in 2023 at over 23%. Given the higher market vacancy and lower in-place cash flow from securitization, Moody's have lowered Moody's net cash flow to $14.8 million from $15.7 million at securitization. Moody's LTV ratio for the first mortgage balance is 171% based on Moody's Value and Adjusted Moody's Value. Moody's stressed debt service coverage ratio (DSCR) is 0.55x. There are no outstanding interest shortfalls or losses as of the current distribution date. BX TRUST 2026-RISE: Fitch Assigns 'Bsf' Rating on Class F Certs --------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to BX Trust 2026-RISE commercial mortgage pass-through certificates, series 2026-RISE: - $415,330,000 class A at 'AAAsf'; Outlook Stable; - $69,990,000 class B at 'AA-sf'; Outlook Stable; - $60,740,000 class C at 'A-sf'; Outlook Stable; - $70,230,000 class D at 'BBB-sf'; Outlook Stable; - $122,430,000 class E at 'BB-sf'; Outlook Stable; - $64,220,000 class F at 'Bsf'; Outlook Stable. Fitch does not expect to rate the following classes: - $22,538,668 class RR*; - $19,721,332 RR Interest*. *Vertical risk retention (VRR) interest representing approximately 5.0% of the estimated fair value of all the ABS interests, as defined in the U.S. credit risk retention rules. Transaction Summary The certificates represent beneficial interests in a trust that holds a two-year, floating-rate, interest-only (IO) mortgage loan with three one-year extension options. The mortgage will be secured by the borrowers' fee simple interest in a portfolio of 12 multifamily properties with a total of 4,922 units located across six states (Georgia, Florida, North Carolina, Texas, Colorado and Arizona). The properties were constructed between 1989 and 2018. Loan proceeds will be used to refinance approximately $1.02 billion in prior debt and pay $12.3 million in closing costs. The sponsor acquired a 98% ownership stake in the portfolio from Cortland Sponsors, LLC (Cortland) at a reported cost basis of $1.21 billion through a series of transactions between May and September 2021. Cortland continues to retain a 2% minority interest in the portfolio and manages the properties. The certificates will follow a pro rata paydown structure for the initial 30% of the loan amount and a standard senior sequential paydown structure thereafter. The borrower has a one-time right to obtain a new mezzanine loan. To the extent the mezzanine loan is outstanding and no mortgage loan event of default (EOD) is continuing, voluntary prepayments would be applied pro rata between the mortgage and mezzanine loan. The loan is expected to be originated by Deutsche Bank AG, New York Branch, Societe Generale Financial Corporation, Bank of Montreal, and Nomura Corporate Funding Americas, LLC. KeyBank National Association will be both the master servicer and special servicer. Computershare Trust Company, N.A. will act as trustee and Deutsche Bank National Trust Company will act as certificate administrator and custodian. The transaction is expected to close on April 17, 2026. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch estimates stressed NCF for the portfolio at $56.2 million. Fitch applied a 7.25% cap rate, resulting in a Fitch value of approximately $775 million. High Fitch Leverage: The $845.2 million whole loan equates to debt of approximately $171,719 per unit, with a Fitch stressed loan-to-value ratio (LTV) and debt yield of 109.1% and 6.6%, respectively. Fitch increased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Geographic Diversity: The portfolio is secured by 12 multifamily properties located in six states and nine MSAs. The three largest state concentrations by allocated loan amount (ALA) are Georgia (32.5% of ALA; three properties), Florida (21.9% of ALA; two properties) and North Carolina (16.1% of ALA; three properties). The three largest markets by ALA are Atlanta, GA (32.5% of ALA; 30.4% of all units), Tampa, FL (13.8% of ALA; 12.4% of all units) and Charlotte, NC (10.9% of ALA; 13.1% of all units). The portfolio has an effective MSA count of 13.9 and 38 unique tenants. Institutional Sponsorship: The loan is sponsored by BREIT Operating Partnership L.P., an affiliate of Blackstone Inc. Blackstone is one of the largest owners of CRE in the world and had approximately $1.3 trillion in assets under management as of Dec. 31, 2025, per its quarterly reporting. The sponsor has significant cash equity remaining in the transaction. Nine properties are managed by Cortland Management LLC and three properties are managed by Preferred Apartment Advisors, LLC. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating (MIR) sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf'; - 10% NCF Decrease: 'AAsf'/'A-sf'/'BBB-sf'/'BBsf'/'Bsf'/'CCC+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the MIR sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf'; - 10% NCF Decrease: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBsf'/'BB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison and re-calculation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CAPITAL FOUR II: Fitch Affirms 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Capital Four US CLO II Ltd. 2026 refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Capital Four US CLO II Ltd. A-R2 14016CAY2 LT NRsf New Rating B-R 14016CAQ9 LT PIFsf Paid In Full AAsf B-R2 14016CBA3 LT AAsf New Rating C-1-R 14016CAS5 LT PIFsf Paid In Full Asf C-2-R 14016CAW6 LT PIFsf Paid In Full Asf C-R2 14016CBC9 LT A+sf New Rating D-R 14016CAU0 LT BBB-sf Affirmed BBB-sf E-R 14016EAE2 LT BB-sf Affirmed BB-sf Transaction Summary Capital Four US CLO II Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Capital Four US CLO Management LLC. Net proceeds from the refinancing of the A-R, B-R, C-1R and C-2R notes will provide financing on A-R2, B-R2 and C-R2 notes. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.28, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.2% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.81% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 2.8-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 36 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 287 assets from 254 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $397 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Floating Spread, Weighted Average Coupon, Weighted Average Rating Factor, or Weighted Average Recovery Rate 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 49.1% of the current portfolio par balance; ratings for 50.9% 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: Top 3 at 2.5% each, fourth and fifth at 2%, for an aggregate of 11.5%; - Largest three industries: 17.5%, 12.5%, and 12.5%, respectively; - Assumed risk horizon: six years; - Minimum weighted average spread of 3.10%; - Minimum weighted average recovery rate of 71.80%; - Maximum weighted average rating factor of 22.28; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 2.28%; The transaction will exit its reinvestment period on Jan. 20, 2029. 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 'AAsf' for class B-RR, between 'BB+sf' and 'Asf' for class C-RR, and 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 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-RR, 'AA+sf' for class C-RR, and 'Asf' for class D-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Capital Four US CLO II Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CARLYLE US 2024-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings assigns ratings and Rating Outlooks to the Carlyle US CLO 2024-1, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2024-1, Ltd A-1-R LT AAAsf New Rating AAA(EXP)sf A-1L-A LT AAAsf New Rating AAA(EXP)sf A-1L-B LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary Carlyle US CLO 2024-1, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. and originally closed on March 7, 2024. This is the first refinancing in which will refinance the existing secured notes in whole on April 24, 2026.Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.35, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.92% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for classes A-1-R, A-1L-A and A-1L-B, between 'A-sf' and 'AA+sf' for class A-2-R, between 'BBB-sf' and 'AA-sf' for class B-R, between 'BB-sf' and 'A-sf' for class C-R, and between less than 'B-sf' and 'BBB-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 classes A-1-R, A-1L-A, A-1L-B and 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, 'AA+sf' for class C-R, and 'A+sf' for class D-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 20-Apr-2026 ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2024-1 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CARLYLE US 2026-2: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2026-2, Ltd. Entity/Debt Rating ----------- ------ Carlyle US CLO 2026-2, Ltd. A-1 LT NRsf New Rating A-1L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Carlyle US CLO 2026-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.02 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.3% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.21% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2026-2, 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. CBAMR 2020-13: Fitch Assigns 'BB-sf' Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the CBAMR 2020-13, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CBAMR 2020-13, Ltd. A 12511AAA2 LT PIFsf Paid In Full AAAsf A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Transaction Summary CBAMR 2020-13, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CBAM CLO Management. Fitch rated the original transaction which closed in December 2020. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.32 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.47% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.03% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL (WAL) used for the transaction stress portfolio and matrices analysis is reduced by up to 12 months less 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 'BBB-sf' and 'A+sf' for class B-R, between 'BB-sf' and 'BBB+ sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 'Asf' for class D-1-R, 'A-sf' for class D-2-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. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for CBAMR 2020-13, 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. CITIGROUP 2014-GC21: Fitch Hikes Rating on Class F Certs to 'CCsf' ------------------------------------------------------------------ Fitch Ratings has upgraded four classes and affirmed three classes of Citigroup Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2014-GC21 (CGCMT 2014-GC21). Fitch has revised the Rating Outlooks to Stable from Negative for three of the affirmed classes. Fitch has also affirmed four classes of Citigroup Commercial Mortgage Trust commercial mortgage pass-through certificates series 2014-GC23 (CGCMT 2014-GC23). The Outlook on one of the affirmed classes is Negative. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2014-GC21 C 17322MBA3 LT BBsf Affirmed BBsf D 17322MAA4 LT Bsf Upgrade CCCsf E 17322MAC0 LT CCCsf Upgrade CCsf F 17322MAE6 LT CCsf Upgrade Csf PEZ 17322MBD7 LT BBsf Affirmed BBsf X-B 17322MBC9 LT BBsf Affirmed BBsf X-C 17322MAJ5 LT CCCsf Upgrade CCsf CGCMT 2014-GC23 D 17322VAE6 LT Bsf Affirmed Bsf E 17322VAG1 LT CCCsf Affirmed CCCsf F 17322VAJ5 LT CCsf Affirmed CCsf X-C 17322VAA4 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS 'B' Loss Expectations; Concentrated Risk: Deal-level 'Bsf' rating case loss is 21.9% in CGCMT 2014-GC21 and 54.1% in CGCMT 2014-GC23. Both the CGCMT 2014-GC21 and CGCMT 2014-GC23 transactions have two loans remaining in the pool. The two remaining loans in CGCMT 2014-GC21 are Fitch Loans of Concern (FLOCs; 100% of the pool), with one loan (9.9%) in special servicing. In addition, the two remaining loans in CGCMT 2014-GC23 are FLOCs (100%), and both are in special servicing (100%). Due to the concentrated nature of the pool and adverse selection, Fitch performed a recovery and liquidation analysis that categorized and ranked remaining loans based on their loan status, collateral quality, and repayment/loss expectations to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to the majority of remaining loans as they were all unable to pay off at their originally scheduled maturity dates. The upgrades in CGCMT 2014-GC21 reflect the improvement of overall loss expectations since the prior rating action, as the Maine Mall loan (90.1% of the pool) executed a 48-month loan extension and returned to the master servicer. The modification included strong provisions, and Fitch expects amortization, increased credit enhancement, and better recovery prospects as the loan reaches its newly stated maturity. The affirmations in CGCMT 2014-GC21 and the Outlook revision to Stable from Negative reflect Maine Mall's loan modification and the stable performance of the remaining loans in the pool. The affirmations in CGCMT 2014-GC23 reflect that overall pool performance remains relatively in line with the prior rating action. The ratings reflect the performance deterioration for the two remaining loans Selig Portfolio (90.1% of the pool) and 5185 MacArthur Boulevard (9.9%). The Negative Outlook on class D reflects the potential for downgrades given the uncertainty with the ultimate recovery of the remaining specially serviced loans, the potential for further declines in value and prolonged workout timelines. Remaining Loans - Largest Loss Contributors: The largest loan in the pool and largest contributor to overall loss expectations in CGCMT 2014-GC21 is the Maine Mall loan. It is secured by a 747,660-sf portion of a 1,022,208-sf regional mall located approximately six miles southwest of Portland, ME. The loan transferred to special servicing in February 2024 for imminent maturity default as the loan was scheduled to mature in April 2024. The loan returned to the master servicer in November 2025 after executing a loan modification that extended the loan term by 48 months until April 2028. Details of the loan modification include using $4.6 million of reserves to pay down the A-1 and A-2 notes, funding a $10 million working capital reserve at closing, and keeping full cash management in place with excess cash split between reserve funding and accelerated principal paydown until the reserve is fully funded, after which all excess cash goes to amortization. Non-collateral anchors include Macy's and a dark anchor box previously occupied by Sears. Collateral anchors include Jordan's Furniture (which backfilled the majority of the former Bon-Ton space that closed in August 2017; 16.0% of collateral NRA; July 2030) and JCPenney (11.5%; July 2028). Junior anchors include Best Buy, Round 1 Bowling & Amusement, and Old Navy. The mall also features the only Apple store in the state of Maine. The collateral was 93.6% as of the September 2025 rent roll, compared to 85.6% occupied at YE 2024, 91% at YE 2023, 91.1% at YE 2021, and 93.9% at YE 2020. There is upcoming lease rollover of 11.0% of the NRA in 2026 and 13.1% in 2027. The servicer reported NOI DSCR was 1.62x at YE 2024, 1.58x at YE 2023, 1.48x at YE 2022, 1.40x YE 2021, and 1.45x at YE 2020. Fitch's expected loss of 21.0% (prior to concentration adjustments) reflects an 12.5% cap rate, 20% stress to the YE 2024 NOI given the upcoming rollover. The second loan in the pool in CGCMT 2014-GC21 is the Regional One Medical loan, which is secured by a five-story office building totaling 112,233-sf in Memphis, TN. The property was built in 1990 as a traditional office space but has since been renovated and repositioned to a medical office space. The loan transferred to special servicing in June 2024 due to its failure to pay at maturity in April 2024. The loan became real-estate owned (REO) in July 2025. According to the servicer, the property is being marketed for sale. The borrower was initially granted a 60-day forbearance from the maturity date in April 2024 to facilitate the closing of a potential collateral sale, but the sale did not close before the forbearance period expired. Shelby County Health Department (66.3%; March 2031) is the only tenant at the property. SCHCC Holding Rent (12.2%; June 2025) and Medical Financial Services Inc (7.2%; March 2025) both vacated upon their respective 2025 expiration dates. Per the February 2026 rent roll, the property was 66.3% occupied, compared to 63% at YE 2024, 87% at YE 2023, and 88% at YE 2022. There is no rollover until 2031. Fitch's expected loss of 4.2% (prior to concentration adjustments) indicates a discount to the most recent appraisal value and reflects a stressed value of $115 psf. The largest loan in the pool and largest contributor to overall loss expectations in CGCMT 2014-GC23 is the Selig Portfolio loan. It is secured by a portfolio of seven office properties totaling 1.1 million-sf, in the CBD of Seattle, WA. The loan transferred to special servicing in March 2024 due to its inability to pay at its May 2024 maturity. A receiver was appointed in March 2025, and the loan became REO in August 2025. As of Q3 2025, the portfolio was 62% occupied, compared to 60.1% in January 2025, 60% in January 2024, 63% at YE 2023, down from 72% at YE 2022 and 84% at YE 2021. There is 15.7% of the portfolio NRA rolling in 2026 and 9.7% in 2027. Individual properties range from 36.9% occupied, up to 84.9% occupied. The servicer-reported NOI DSCR as of Q3 2025 of 0.71x, compared to 1.72x at YE 2023, 1.58x at YE 2022 and 2.12x at YE 2021. According to servicer updates, there are leasing efforts to stabilize the property. Fitch's expected loss of 55.1% (prior to concentration add-ons) reflects a discount to the January 2026 appraisal, resulting in a stressed value of approximately $97 psf. The second loan in the pool in CGCMT 2014-GC23 is the 5185 MacArthur Boulevard loan, secured by a mixed-use building in Washington, D.C. The loan transferred to special servicing in July 2024 for a non-performing maturity balloon ahead of its initial maturity date of July 2024. The lender was the successful bidder at the foreclosure sale in January 2025 and the property became REO. The property manager and leasing team are actively engaged. Major tenants at the property include Danika Dance LLC (8.9% through December 2030), Ballard + Mensua (5.8%; January 2030, recently extended by 5 years), Team Yoo Taekwondo (5.5%; August 2032), and Candace Sheppard Dance Academy (5.2%; November 2030). Upcoming rollover includes 4.1% of the NRA in 2026 and 2.8% in 2027. Fitch's expected loss of 22.9% (prior to concentration adjustments) reflects a discount to the February 2026 appraisal value resulting in a stressed value of approximately $187 psf. Increased Credit Enhancement (CE): As of the April 2026 reporting, the pool's aggregate balances have been reduced by 87.5% in CGCMT 2014-GC21 and 91.5% in the CGCMT 2014-GC23 transaction. Each of the transactions have incurred realized losses to date which include $16.2 million in CGCMT 2014-GC21 and $2.8 million in CGCMT 2014-GC23. Cumulative interest shortfalls of $653,261 are affecting class G in CGCMT 2014-GC21 and $3,756,972 are affecting classes D, E, F, G, X-C and X-D in CGCMT 2014-GC23. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'BBsf' and 'Bsf' rated classes are possible with higher expected losses from continued performance declines on Maine Mall and Regional One Medical in CGCMT 2014-GC21 and Selig Portfolio and 5185 MacArthur Boulevard in CGCMT 2014-GC23, and with greater certainty of losses to these classes; - Downgrades to distressed classes would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'BBsf' and Bsf' category rated classes and further upgrades to the distressed rated classes in CGCMT 2014-GC21 are possible if the performance of the remaining pool is stable, recoveries for Maine Mall and Regional One Medical are better than expected and there is sufficient CE to the classes. - Upgrades to class D and distressed rated classes in in CGCMT 2014-GC23 are not likely given the adverse selection in the transaction and concentration of defaulted loans (Selig Portfolio and 5185 MacArthur Boulevard in CGCMT 2014-GC23). USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COLT 2026-3: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by COLT 2026-3 Mortgage Loan Trust (COLT 2026-3). Entity/Debt Rating Prior ----------- ------ ----- COLT 2026-3 A1 19689GAF9 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1F LT AAAsf New Rating AAA(EXP)sf A1IO LT AAAsf New Rating AAA(EXP)sf A1FCF LT WDsf Withdrawn AAA(EXP)sf A1FCX LT WDsf Withdrawn AAA(EXP)sf A1LCF LT WDsf Withdrawn AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 644 nonprime loans with a total balance of approximately $339.4 million as of the cutoff date. Loans in the pool were originated by The Loan Store, Inc. and others. The loans were aggregated by Hudson Americas L.P. and are serviced by Select Portfolio Servicing, Inc. (SPS) and Fay Servicing. The borrowers in the pool exhibit a moderate credit profile, with a weighted-average (WA) Fitch FICO of 741 and 32.9% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 70.3% mark-to-market combined LTV (cLTV). Overall, 37.3% of the pool loans are for primary residences, while the remainder are second homes or investment properties. Additionally, 99.1% of the loans are clean and current. Following the publication of the presale and expected ratings, the issuer provided final documentation that reflected the withdrawal of three classes: A-1FCF, A-1FCX and A-1LCF. In addition, a corresponding pricing structure was provided that reflects lower coupons of 8 bps to 28 bps for all fixed-rate classes. As a result, the WA excess increased by 22 bps from 119 bps to 141 bps. There were no changes to the credit enhancement (CE) and Fitch's expected ratings remain unchanged. The A-1FCF, A-1FCFX, and A-1LCF classes are no longer being issued and were cancelled by the issuer. These notes previously had expected ratings of 'AAA(EXP)sf'/Stable. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. COLT 2026-3 had a final probability of default (PD) of 47.7% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress was 42.5%. The expected loss in the 'AAAsf' rating stress was 20.3%. Structural Analysis: The mortgage cash flow and loss allocation in COLT 2026-3 were based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior certificates (A-1A, A-1B, A-1F, A-2, and A-3 classes) while excluding the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially, to A-1 classes, then sequentially, to A-2 and A-3 certificates until they are reduced to zero. Fitch analyzed the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE in the form of subordination and excess spread for a given rating exceeded the expected losses of that rating stress. Operational Risk Analysis: Fitch considered originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that had a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applied a 5bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which had a final grade of either "A" or "B." Counterparty and Legal Analysis: All relevant transaction parties conformed with the requirements as described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on transaction performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. COLT 2026-3 is fully de-linked and serves as a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers aligned with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations did not apply to COLT 2026-3; as such, Fitch was comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporated a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 38.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporated a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clarifii, Consolidated Analytics, Digital Risk, Evolve, Maxwell, Opus, and Selene. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applied an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either "A" or "B." ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COLUMBIA CENT 27: Moody's Cuts Rating on $22.3MM Class E-R Notes ---------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Columbia Cent CLO 27 Limited: US$22,300,000 Class E-R Mezzanine Deferrable Floating Rate Notes due 2035, Downgraded to B1 (sf); previously on December 22, 2021 Assigned Ba3 (sf) Columbia Cent CLO 27 Limited, originally issued in October 2018 and refinanced in December 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in January 2027. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E-R notes reflects the specific risks to junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's March 2026 report[1], the OC ratio for the Class E-R notes is reported at 103.46% versus April 2025 [2] level of 105.87%. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level[1] is currently 3.00%, compared to 3.20%, in April 2025 [2]. No actions were taken on the Class X-R, Class A-R, Class B-1-R, Class B-2-R, Class C-R, Class D-R and Class F-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $379,788,418 Defaulted par: $5,514,395 Diversity Score: 77 Weighted Average Rating Factor (WARF): 2789 Weighted Average Spread (WAS): 2.79% Weighted Average Coupon (WAC): 2.11% Weighted Average Recovery Rate (WARR): 46.05% Weighted Average Life (WAL): 5 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in this rating was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. CPS AUTO 2026-B: DBRS Finalizes BBsf Rating on Class E Notes ------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of notes issued by CPS Auto Receivables Trust 2026-B (CPS 2026-B or the Issuer): -- $237,620,000 Class A Notes at AAA (sf) -- $76,400,000 Class B Notes at AA (sf) -- $78,660,000 Class C Notes at A (sf) -- $48,670,000 Class D Notes at BBB (sf) -- $72,720,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, 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 does 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 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. CQS US 2023-3: S&P Assigns BB-(sf) Rating to Class E-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-J-R, B-R, C-R, D-1-R, D-F-R, and E-R debt from CQS US CLO 2023-3 Ltd./CQS US CLO 2023-3 LLC, a CLO managed by CQS (US) LLC that was originally issued in January 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-J, B, C, D, and E debt following payment in full on the April 27, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The class D debt was refinanced by the D-1-R debt (floating) and the D-F-R debt (fixed), which are both pro-rata. -- The non-call period was set to April 25, 2027. -- No additional assets were purchased on the April 27, 2026, refinancing date, and the target initial par balance remains unchanged. There was no additional effective date or ramp-up period and the first payment date following the refinancing is July 25, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $240.00 million: Three-month CME term SOFR + 1.37% -- Class A-J-R, $16.00 million: Three-month CME term SOFR + 1.55% -- Class B-R, $48.00 million: Three-month CME term SOFR + 1.75% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.15% -- Class D-1-R (deferrable), $18.00 million: Three-month CME term SOFR + 3.65% -- Class D-F-R (deferrable), $5.00 million: 7.376% -- Class E-R (deferrable), $13.00 million: Three-month CME term SOFR + 7.75% Previous debt -- Class A-1, $240.00 million: Three-month CME term SOFR + 1.89% -- Class A-J, $16.00 million: Three-month CME term SOFR + 2.15% -- Class B, $48.00 million: Three-month CME term SOFR + 2.65% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 3.40% -- Class D (deferrable), $23.00 million: Three-month CME term SOFR + 4.20% -- Class E (deferrable), $13.00 million: Three-month CME term SOFR + 8.48% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned CQS US CLO 2023-3 Ltd./CQS US CLO 2023-3 LLC Class A-1-R, $240.00 million: AAA (sf) Class A-J-R, $16.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R, $24.00 million: A (sf) Class D-1-R, $18.00 million: BBB- (sf) Class D-F-R, $5.00 million: BBB- (sf) Class E-R, $13.00 million: BB- (sf) Ratings Withdrawn CQS US CLO 2023-3 Ltd./CQS US CLO 2023-3 LLC Class A-1 to NR from 'AAA (sf)' Class A-J 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 CQS US CLO 2023-3 Ltd. / CQS US CLO 2023-3 LLC Subordinated notes: NR NR--Not rated. CSAIL 2019-C15: Fitch Lowers Rating on Class G-RR Debt to 'CCsf' ---------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of CSAIL 2018-C14 Commercial Mortgage Trust (CSAIL 2018-C14). The Rating Outlook for classes D and E remains Negative. Fitch has also downgraded three classes and affirmed 10 classes of CSAIL 2019-C15 Commercial Mortgage Trust (CSAIL 2019-C15). Fitch assigned a Negative Outlook to E-RR following the downgrade and revised the Outlook to Negative from Stable for affirmed class C. The Outlook for classes D and X-D remains Negative. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2018-C14 A-3 12596GAY5 LT AAAsf Affirmed AAAsf A-4 12596GAZ2 LT AAAsf Affirmed AAAsf A-S 12596GBD0 LT AAAsf Affirmed AAAsf A-SB 12596GBA6 LT AAAsf Affirmed AAAsf B 12596GBE8 LT AA-sf Affirmed AA-sf C 12596GBF5 LT A-sf Affirmed A-sf D 12596GAG4 LT BBBsf Affirmed BBBsf E 12596GAJ8 LT BB-sf Affirmed BB-sf F 12596GAL3 LT CCCsf Affirmed CCCsf G 12596GAN9 LT CCsf Affirmed CCsf X-A 12596GBB4 LT AAAsf Affirmed AAAsf X-F 12596GAA7 LT CCCsf Affirmed CCCsf X-G 12596GAC3 LT CCsf Affirmed CCsf CSAIL 2019-C15 A-3 22945DAE3 LT AAAsf Affirmed AAAsf A-4 22945DAG8 LT AAAsf Affirmed AAAsf A-S 22945DAQ6 LT AAAsf Affirmed AAAsf A-SB 22945DAJ2 LT AAAsf Affirmed AAAsf B 22945DAS2 LT AA-sf Affirmed AA-sf C 22945DAU7 LT A-sf Affirmed A-sf D 22945DAY9 LT BBB-sf Affirmed BBB-sf E-RR 22945DBA0 LT BB-sf Downgrade BBB-sf F-RR 22945DBC6 LT CCCsf Downgrade B-sf G-RR 22945DBE2 LT CCsf Downgrade CCCsf X-A 22945DAL7 LT AAAsf Affirmed AAAsf X-B 22945DAN3 LT AA-sf Affirmed AA-sf X-D 22945DAW3 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' ratings case losses are 6.7% in CSAIL 2018-C14 and 7.3% in CSAIL 2019-C15 compared to 6.2% and 5.6%, respectively, at the last rating action. Fitch Loans of Concern (FLOCs) comprise seven loans (20.2% of the pool) in CSAIL 2018-C14, including two specially serviced loans (13.3%), and six loans (22.4%) in CSAIL 2019-C15, including two specially serviced loans (5.3%). The downgrades to classes E-RR, F-RR, and G-RR in CSAIL 2019-C15 reflect higher pool loss expectations since Fitch's prior rating action, driven primarily by further performance declines and value deterioration on FLOCs including the recently transferred St. Louis Galleria (4.4%), specially serviced Continental Towers (3.4%), Embassy Suites Portland Washington Square (7.4%) and specially serviced Town Point Center (1.9%). The Negative Outlooks on classes C, D, X-D, and E-RR in CSAIL 2019-C15 reflect that downgrades are likely with continued occupancy and cash flow deterioration among the FLOCs or lower-than-expected recoveries and/or prolonged workouts of the specially serviced loans. Affirmations and Stable Outlooks in CSAIL 2018-C14 reflect generally stable performance since Fitch's prior rating action. The Negative Outlooks for classes D and E in CSAIL 2018-C14 reflect possible downgrades with further performance deterioration on the FLOCs, primarily the two specially serviced loans: Continental Towers (9.2%) and Holiday Inn FiDi (3.9%). The largest contributor to overall loss expectations in the CSAIL 2018-C14 and CSAIL 2019-C15 transaction is the specially serviced Continental Towers loan. The loan is secured by a 910,866-sf suburban office property located in Rolling Meadows, IL, which is approximately 25 miles northwest of downtown Chicago. The collateral consists of three 12-story office buildings surrounding a large single-story commercial building that were built in 1978 and subsequently renovated between 2013 and 2018. The loan transferred to special servicing in April 2023 due to imminent monetary default. The borrower failed to pay various expenses and multiple liens were filed. According to servicer updates, the receiver continues to manage and lease the property, while the special servicer evaluates renewed marketing and potential loan assumption options. Occupancy has steadily declined since issuance and was reported at 45% as of February 2026, down from 51% at YE 2024, 62% at March 2023, 74% at YE 2020, 86% at YE 2019 and 93% at issuance. Fitch's base case 'Bsf' ratings case loss of 45% (prior to concentration add-ons) reflects a 30% stress to the July 2025 appraisal value equating to a recovery of approximately $56 psf as well as recognition of a higher probability of default. The second largest contributor to overall loss expectations in CSAIL 2019-C15 is Embassy Suites Portland Washington Square, which is secured by a 356-room full-service hotel located approximately eight miles southwest of downtown Portland. The hotel has a large amount of event and meeting space, with an 8,200-sf ballroom and 24,000 sf of total meeting space. The loan is considered FLOC due to declining cash flow, and the property's failure to return to pre-pandemic performance levels. As of June 2025, subject NOI debt service coverage ratio (DSCR) was 0.59x compared to 0.82x at YE 2024, 0.79x at YE 2023, 1.20x at YE 2022, 0.16 at YE 2021, -0.23x at YE 2020 and 1.95x at YE 2019. Fitch did not receive an updated STR report but according to a June 2025 financial statement the year-to-date occupancy was 70%, ADR was $146, and RevPAR was $103 compared to 64%, $156, and $100 respectively as of the TTM June 2024 financial statement. Fitch's base case 'Bsf' ratings case loss of 20% (prior to concentration add-ons) reflects a 11.5% cap rate applied to the TTM September 2025 NOI. The third largest contributor to overall loss expectations in CSAIL 2019-C15 is the Saint Louis Galleria loan, which is secured by a 465,695-sf (collateral) of a 1,179,747-sf super-regional mall located in St. Louis, Missouri. The mall is anchored by Dillard's, Macy's and Nordstrom (closed August 2025), which are non-collateral tenants. The loan's performance has steadily deteriorated since issuance. Property occupancy was reported as 85% as of September 2025, down from 88% as of YE 2024, 89% at YE 2023, and 91% at YE 2022. The servicer-reported NOI DSCR was 1.07x as of September 2025, a decline from 1.16x as of YE 2024, 1.63x at YE 2023, and 1.57x at YE 2022. According to the master servicer, the loan transferred to special servicing in April 2026. According to the most recent trailing 12 months (TTM) ended June 2025 tenant sales report, total comparable in-line sales for tenants with less than 10,000-sf (including Apple) was $610 psf. Excluding Apple, in-line sales were $425 psf. Galleria 6 Cinemas reported sales per screen of $222,565 for the same period. Fitch's 'Bsf' rating case loss of 24.7% (prior to concentration add-ons) is based on a 12.0% cap rate and 7.5% stress to the TTM ended March 2025 NOI. It incorporates an increased probability of default due to the loan's recent transfer to special servicing. The next largest contributor to overall loss expectations in CSAIL 2019-C15 is Town Point Center. The loan is secured by a 132,583-sf downtown office building in Norfolk, VA, built in 1986. It transferred to special servicing in December 2025 due to imminent default driven by cash flow constraints resulting from low occupancy. A notice of default and acceleration has been issued to the borrower, and the lender is trapping all cash flow. The special servicer is evaluating all available strategies and potential resolution scenarios. Occupancy is currently at 64% which is a decline from 73% at YE 2024, 73% at YE 2023, 86% YE 2022, and 98% at issuance. Fitch's base case 'Bsf' ratings case loss of 39% (prior to concentration add-ons) reflects a 15% stress to YE 2024 NOI and factors an increased probability of default given the loan's special servicing status. The second specially serviced loan in the CSAIL 2018-C14 transaction is Holiday Inn FiDi (3.9%). The loan is secured by a 50-story, 492-key full-service hotel in Manhattan's Financial District and it transferred to special servicing in May 2020 due to imminent monetary default. Following unsuccessful workout efforts, the borrower filed for Chapter 11 bankruptcy in March 2022. During the bankruptcy proceedings, the borrower entered into an agreement with New York City in January 2023 to operate the hotel as a migrant shelter. In June 2025, an asset sale and loan assumption agreement was completed, and the migrant shelter subsequently closed. Under new ownership, the property is currently being converted to student housing featuring 650 beds with an estimated completion in spring 2026. Per servicer commentary, the loan is expected to return to the master servicer by 3Q 2026. Fitch's 'Bsf' rating case loss of 4.8% (prior to concentration add-ons) is based on a stress to the March 2025 appraisal value and accounts for special servicing fees. Changes in Credit Enhancement (CE): As of the March 2025 distribution date, the aggregate balances of the CSAIL 2018-C14 and CSAIL 2019-C15 transactions have been paid down by 17.4% and 10.9%, respectively, since issuance. The CSAIL 2018-C14 transaction includes three loans (5.3% of the pool) that have fully defeased, while CSAIL 2019-C15 has two defeased loans (1%). Interest Shortfalls: Cumulative interest shortfalls of $1,351,659 are affecting the non-rated class NR and VRR in CSAIL 2018-C14, $468,115 are affecting the non-rated class NR-RR in CSAIL 2019-C15. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior and junior 'AAAsf' rated classes are not expected due to the senior position in the capital structure, high CE and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to in the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with higher-than-expected losses from continued underperformance of the FLOCs, and/or with greater certainty of losses on FLOCs. Of particular concern in the CSAIL 2018-C14 transaction are the Continental Towers and Holiday Inn FiDi FLOCs. Of particular concern in the CSAIL 2019-C15 transaction are the Town Point Center, Saint Louis Galleria, Continental Towers, and Embassy Suites Portland Washington Square FLOCs. Downgrades to 'CCCsf' and 'CCsf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE coupled with stable-to-improved pool-level loss expectations and sustained improved performance on the FLOCs, specifically Continental Towers, Town Point Center, Saint Louis Galleria, and Embassy Suites Portland Washington Square. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. 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. DEEPHAVEN RESIDENTIAL 2026-CES1: DBRS Rates Cl. B-2 Notes '(P)Bsf' ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following Mortgage-Backed Notes, Series 2026-CES1 (the Notes) to be issued by Deephaven Residential Mortgage Trust 2026-CES1 (DRMT 2026-CES1 or the Trust): -- $214.5 million Class A-1 at (P) AAA (sf) -- $185.8 million Class A-1A at (P) AAA (sf) -- $28.7 million Class A-1B at (P) AAA (sf) -- $12.8 million Class A-2 at (P) AA (sf) -- $13.2 million Class A-3 at (P) A (sf) -- $15.3 million Class M-1 at (P) BBB (sf) -- $14.2 million Class B-1 at (P) BB (sf) -- $8.2 million Class B-2 at (P) B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The (P) AAA (sf) credit rating on the Notes reflects 25.15% of credit enhancement provided by subordinate Notes. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 20.70%, 16.10%, 10.75%, 5.80%, and 2.95% of credit enhancement, respectively. CREDIT RATING RATIONALE/DESCRIPTION DRMT 2026-CES1 a securitization of a portfolio of fixed, prime, expanded-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2026-CES1 (the Notes). The Notes are backed by 1,163 mortgage loans with a total principal balance of $286,536,415 as of the Cut-Off Date (March 31, 2026). The portfolio, on average, is four months seasoned, though seasoning ranges from one to 19 months. Borrowers in the pool represent prime and expanded-prime credit quality--weighted-average (WA) Morningstar DBRS-calculated FICO score of 735, Issuer-provided original combined loan-to-value ratio (CLTV) of 67.4%. As of the Cut-Off Date, 100.0% of the pool was current. Additionally, none of the borrowers are in active bankruptcy. DRMT 2026-CES1 represents the first CES securitization sponsored by RCF III TRS, LLC. Deephaven Mortgage, LLC (74.2%), Oaktree Funding Corporation (13.5%), and OCMBC, Inc (12.1%) are the top originators for the mortgage pool. The remaining originators each comprise less than 10.0% of the mortgage loans. Selene Finance LP (Selene; 100.0%) is the Servicer of all the loans in this transaction. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Paying Agent, Owner Trustee, Note Registrar, REMIC Administrator, and Certificate Registrar. U.S. Bank National Association and Computershare Trust Company, N.A. will act as the Custodians. Computershare Delaware Trust Company will act as the Delaware Trustee. As Sponsor, RCF III TRS, LLC, through one or more majority-owned affiliates, will acquire and retain a 5% eligible horizontal interest in class B-3, XS, and portion of B-2 Notes to satisfy the credit risk retention requirements. On or after the earlier of (1) the Payment Date occurring in April 2029 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Controlling Holder (majority holder of the Class XS Notes; initially expected to be affiliate of the Sponsor), may terminate the Issuer at a price equal to the greater of (A) the note amounts of the related Notes plus accrued and unpaid interest, including any cap carryover amounts, servicing advances, fees, expenses, and indemnification amounts. The Controlling Holder must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Controlling Holder will have the option, but not the obligation, to repurchase any mortgage loan (other than loans under forbearance plan as of the Closing Date) that becomes 90 or more days delinquent at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. Although the majority of the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 81.7% of the loans are designated as non-QM, 0.05% are designated as QM Rebuttable Presumption, 0.1% are designated as QM (Non-Verified), and 1.5% are designated as QM Safe Harbor. Approximately 16.7% of the mortgages are loans were not subject to the QM/ATR rules as they are made to investors for business purposes. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that becomes 180 days delinquent under the MBA delinquency method, upon review by the related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction employs a sequential-pay cash flow structure with pro rata principal payment among the senior A-1A and A-1B tranches. Principal proceeds and excess interest can be used to cover interest shortfall on the Notes, but such interest shortfalls on Class A-2 and more subordinate bonds will not be paid from principal proceeds until the Class A-1A and A-1B Notes are retired. For this transaction, the Class A-1A, A-1B, A-2, and A-3 fixed rates step-up by 100 basis points on and after the payment date in November 2029. The credit ratings reflect transactional strengths that include the following: -- Robust equity and prime/expanded-prime credit quality; -- Certain second-lien attributes; -- Satisfactory third-party due diligence review; -- Current loan status; and -- Improved underwriting standards. The transaction also includes the following challenges: -- Representations and warranties framework; -- No servicer advances of delinquent principal and interest; and -- Limited third-party diligence valuation review on a portion of the pool. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amount, Interest Carryforward Amount, and Note Amount. Morningstar DBRS' credit ratings on Class A-1A, A-1B, A-2, and A-3 Notes also address the credit risk associated with the increased rate of interest applicable to the Class A-1A, A-1B, A-2, and A-3 Notes if the Class A-1A, A-1B, A-2, and A-3 Notes remain outstanding on the step-up date (May 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amount based on its position in the cash flow waterfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. ELMWOOD CLO 48: Fitch Assigns 'B-sf' Rating on Class F Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Elmwood CLO 48, Ltd. Entity/Debt Rating ----------- ------ Elmwood CLO 48 Ltd. A-1 LT NRsf New Rating A-1L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT B-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Elmwood CLO 48 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Elmwood Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.37, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.86% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than 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, and between less than 'B-sf' and 'B+sf' for class E and less than 'B-sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D, and 'BBB+sf' for class E and 'BB+sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Elmwood CLO 48, 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. FIGRE TRUST 2026-HE4: DBRS Gives (P)B(low) Rating on Class F Notes ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-HE4 (the Notes) to be issued by FIGRE Trust 2026-HE4 (FIGRE 2026-HE4 or the Issuer) as follows: -- $245.9 million Class A at (P) AAA (sf) -- $28.8 million Class B at (P) AA (low) (sf) -- $41.1 million Class C at (P) A (low) (sf) -- $23.6 million Class D at (P) BBB (low) (sf) -- $25.7 million Class E at (P) BB (low) (sf) -- $11.1 million Class F at (P) B (low) (sf) The (P) AAA (sf) credit rating on the Class A Notes reflects 35.95% of credit enhancement provided by subordinate notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 28.45%, 17.75%, 11.60%, 4.90%, and 2.00% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other class in this transaction. The securitization is backed by recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of the Notes. The Notes are backed by 4,962 loans (individual HELOC draws), which correspond to 4,827 HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $383,933,694 and a total current credit limit of $408,892,340 as of the Cut-Off Date (March 31, 2026). The portfolio, on average, is three months seasoned, though seasoning ranges from zero to 21 months. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure Lending LLC (Figure or the Company) was formed in 2018 as a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies). Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinancings, unsecured consumer loans, and conforming first-lien mortgages. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of December 2025, Figure originated, funded, and serviced more than 175,000 HELOCs totaling approximately $13.0 billion. Figure is the Servicer of all HELOCs in the pool and one of the originators along with Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with an acceptable backup servicer. Figure is the Sponsor of this transaction. FIGRE 2026-HE4 is the 25th rated securitization of HELOCs by Figure. Additionally, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. HELOC Features In this transaction, all HELOCs are open-HELOCs that have a draw period of two, three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from five to 30 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average (WA) utilization rate by current line amount of approximately 93.9% after three months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including five- to 10-year maturities. Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal, Figure uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan-specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the related report for details. Transaction Counterparties Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Cornerstone Servicing (Cornerstone) and Valon Mortgage Inc. will act as Subservicers for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Cornerstone will retain servicing responsibilities on all loans that were being special serviced by Cornerstone at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. Wilmington Trust, National Association will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible interest consisting of the required percentage of the Class A, B, C, D, E, F, G, and XS Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Sponsor will agree that, on an ongoing basis for so long as the Notes are outstanding: -- It will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of notes, in the form specified in related transaction documents; -- Neither it nor any affiliate will sell, hedge, or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitisation Rules and the UK Securitisation Rules, respectively; -- It will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitisation Rules or the UK Securitisation Rules; -- It will confirm its EU and UK Retained Interest in the SR Investor Report; and -- It will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason: (A) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above, or (B) it or any of its affiliates fails to comply with the covenants set out above. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, but different from certain Morningstar DBRS-rated FIGRE transactions, the HELOCs that are 180 days delinquent under the MBA delinquency method may not be charged off by the Servicer in its discretion. In its analysis, Morningstar DBRS assumes all junior-lien HELOCs that are 180 days delinquent under the MBA delinquency method will be charged off. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $1,343,768 (0.35% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in May 2031, the Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date. On and after the payment date in May 2031 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificateholders or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest (P&I) collections, the Class FR Certificateholders will be required to use their own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. Figure, as a holder of the Class FR Certificates, will have the ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificateholders. The Reserve Account's required amount will become $0 on the payment date in May 2031 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performed a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tested a combination of high draw and low prepayment scenarios to stress the transaction. Transaction Structure The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. This transaction differs from certain previous Morningstar DBRS-rated FIGRE transactions wherein there is no performance trigger related to the Net WA Coupon (WAC) Rate. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of the related report for more details. Notable Structural Features Similar to previous Morningstar DBRS-rated FIGRE transactions, this deal employs a Delinquency Trigger and a Cumulative Loss Trigger. The effective dates for the triggers may differ from prior rated transactions. The Delinquency Trigger is applicable on or after the 12th payment date (April 2027) rather than being applicable immediately after the Closing Date. Unlike some of the prior FIGRE securitizations that employed a pro rata pay structure among all rated notes, this transaction includes rated classes: Class D, Class E, and Class F, which receive their principal payments after the pro rata classes (Class AFCF, Class ALCF, Class A, Class B, and Class C) are paid in full. The inclusion of sequential pay classes retains credit support that would otherwise be reduced in the absence of a Credit Event. Unlike some of the prior FIGRE securitizations, this transaction includes a principal-only class, Class G, which provides credit support to the rated notes instead of overcollateralization (OC). Because there is no longer any OC, there is no need for the OC Target or OC Floor present in other transactions. The Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date, lower than some of the prior FIGRE securitizations. Other Transaction Features For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of P&I on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. The Depositor may, at its option, on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at the direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible Nonperforming Loans (NPLs)) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. The credit ratings reflect transactional strengths that include the following: -- Certain HELOC attributes; -- Robust equity and prime and near-prime credit quality; -- Current loan status; and -- Satisfactory third-party due diligence sample size and compliance review. The transaction also includes the following challenges: -- Holder of the Class FR Certificates may fail to reimburse the Servicer for draws; -- Representations and warranties standard; -- No Servicer advances of delinquent P&I; and -- Certain limitations of third-party due diligence credit and valuation reviews. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the rated notes are the Current Interest, Interest Carryforward Amount, and the Note Amount. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. GARNET CLO 6: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Garnet CLO 6, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Garnet CLO 6, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-1L LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Garnet CLO 6, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Garnet Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans and has a weighted average recovery assumption of 75.29%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 01 April 2026 ESG Considerations Fitch does not provide ESG relevance scores for Garnet CLO 6, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, 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. GARNET CLO 6: Moody's Assigns B3 Rating to $4MM Class F Notes ------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued and one class of loans incurred by Garnet CLO 6, Ltd. (the Issuer or Garnet CLO 6): US$150,000,000 Class A-1L Loans maturing 2039, Assigned Aaa (sf) US$106,000,000 Class A-1 Floating Rate Notes due 2039, Assigned Aaa (sf) US$4,000,000 Class F Deferrable Floating Rate Notes due 2039, Assigned B3 (sf) The notes and loans listed are referred to herein, collectively, as the Rated Debt. The Class A-1L Loans may not be exchanged or converted into notes at any time. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Garnet CLO 6 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans or permitted non-loan assets. The portfolio is approximately 70% ramped as of the closing date. Garnet Credit Management LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2554 Weighted Average Spread (WAS): 2.60% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. GGP TRUST 2026-2PAK: DBRS Hikes Rating on HRR Certs to (P)BBsf -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) downgraded its provisional credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2026-2PAK (the Certificates) issued by GGP Trust 2026-2PAK (GGP 2026-2PAK or the Issuer) as follows: -- Class B to (P) AA (low) (sf) from (P) AA (sf) In addition, Morningstar DBRS upgraded the following provisional credit ratings: -- Class E to (P) BB (high) (sf) from (P) BB (sf) -- Class HRR to (P) BB (sf) from (P) BB (low) (sf) In addition, Morningstar DBRS confirmed the following provisional credit ratings: -- Class A at (P) AAA (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) All trends are Stable. Morningstar DBRS was provided an updated capital structure from the Issuer on April 15, 2026, reallocating the initial balances among the Class A, Class B, and Class C certificates. The updated capital structure also resulted in the above rating actions on the Class B, Class E and Class HRR certificates. There were no material analytical updates. The metrics and values in the presale report have not changed since the initial publication of the presale report on March 25, 2026. The estimated closing date of the subject transaction is May 15, 2026. Morningstar DBRS expects to publish a final Credit Rating Report reflective of the updated structure at deal close. The collateral for the GGP 2026-2PAK single-asset/single-borrower (SASB) transaction includes the borrower's fee-simple interest in a portfolio of two regional malls: Willowbrook Mall (59.3% of allocated loan amount (ALA)) in Houston and Altamonte Mall (40.7% of ALA) in Altamonte Springs, Florida. The two properties total 2,697,972 square feet (sf), and the collateral portion constitutes 1,193,710 sf. As of the January 2026 rent roll, the portfolio was approximately 96.8% occupied based on collateral sf, and 89.8% occupied based on total sf. The portfolio's collateral averaged 94.9% occupancy from 2021 through 2025, and occupancy did not fall below 93.5% over this period. Willowbrook Mall is approximately 20 miles northwest of downtown Houston. The property totals 1,526,574 sf, of which 542,202 sf is collateral for the transaction. Noncollateral space is predominately filled by anchor tenants including Dillard's, JCPenney, Macy's, and Macy's Men and Furniture. Willowbrook Mall featured a vacant anchor space that was previously occupied by Sears. General Growth Partners (GGP; the sponsor) transformed and re-leased the majority of the vacant space to Round1 Entertainment Venue, which opened in December 2025. A portion of the remaining space will be occupied by Primark, which is anticipated to open in June 2026. Notable collateral tenants include Dick's Sporting Goods, Nordstrom Rack, H&M, Zara, Old Navy, Victoria's Secret, and Apple. The collateral reported in-line sales of $545 per square foot (psf) (excluding Apple) as of YE2025, representing an 11.4% decline from YE2021 in-line sales of $615 psf (excluding Apple). Scheduled lease rollover through YE2031 represents approximately 76.4% of the Morningstar DBRS cumulative collateral net rentable area (NRA) and approximately 86.4% of the cumulative Morningstar DBRS gross rent. Built in 1973, Altamonte Mall is approximately 10 miles north of downtown Orlando. The property totals 1,171,398 sf, of which 651,508 sf is collateral for the transaction. The mall is anchored by JCPenney and noncollateral Dillard's, Macy's, and a vacant anchor space that was formerly occupied by Sears. The collateral also includes an out-parcel space, which is home to an 18-screen AMC Theatre. Notable collateral tenants include H&M, Barnes & Noble, Old Navy, Victoria's Secret, and Apple. The vacant former Sears space is owned by a joint venture between the sponsor and Seritage Growth. The sponsor intends to lease the vacant space to a national entertainment operator. Altamonte Mall has demonstrated year-over-year declining sales from 2022 to 2024. The collateral reported in-line sales of $453 psf (excluding Apple) as of YE2025, representing an 8.1% decline from YE2022 in-line sales of $493 psf (excluding Apple). Scheduled lease rollover through YE2031 represents approximately 87.4% of the Morningstar DBRS cumulative collateral NRA and approximately 87.5% of the cumulative Morningstar DBRS gross rent. The sponsor for this transaction is a joint venture between General Growth Partners (GGP) and New York State Common Retirement Fund (NYSCRF). GGP is a global real estate services company owned by affiliates of Brookfield Asset Management (Brookfield) and is one of the largest retail real estate companies in the U.S. The portfolio encompasses more than 100 million sf of retail space in more than 100 locations, spanning 35 states. NYSCRF is the third-largest public pension plan in the U.S. and reported $273 billion in net assets as of March 2025. Morningstar DBRS views the overall credit profile of the transaction as neutral to negative, with the portfolio's experienced sponsorship and consistent occupancy trends as mitigants to its regional mall nature, low sales, and elevated lease rollover. Although the portfolio will continue to face headwinds with the proliferation of e-commerce, increasing popularity of outdoor/lifestyle retail, and the dated vintages of the collateral buildings, its ability to maintain a diverse tenant roster and stable occupancy indicates its dynamic nature and the ability to adapt to each mall's respective market for longevity. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Yield Maintenance Premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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. unless otherwise noted. GLS AUTO 2026-2: S&P Assigns Prelim. BB(sf) Rating on Class E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GLS Auto Receivables Issuer Trust 2026-2's (GCAR 2026-2) automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of April 27, 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 availability of approximately 56.07%, 47.37%, 36.81%, 28.11%, and 24.22% of credit support (hard credit enhancement and haircut to excess spread) for the class A (A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x of S&P's 17.50% expected cumulative net loss for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, including the representation in the transaction documents that all contracts in the pool have made at least one payment, S&P's view of the collateral's credit risk, and its updated U.S. macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at UMB Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Global Lending Services LLC (GLS) as servicer, and its view of the company's underwriting and backup servicing arrangement with UMB Bank N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned GLS Auto Receivables Issuer Trust 2026-2 Class A-1, $133.46 million: A-1+ (sf) Class A-2, $334.39 million: AAA (sf) Class A-3, $118.81 million: AAA (sf) Class B, $179.27 million: AA (sf) Class C, $170.00 million: A (sf) Class D, $170.00 million: BBB (sf) Class E, $71.09 million: BB (sf) GOLUB CAPITAL 2025-1: Fitch Affirms 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has affirmed all rated tranches of Golub Capital Partners Static 2024-1, Ltd. (GCPS 2024-1) and Golub Capital Partners Static 2025-1, Ltd. (GCPS 2025-1). The Rating Outlooks on the class B-R notes of GCPS 2024-1 and the class B notes of GCPS 2025-1 have been revised to Positive from Stable. The Outlooks for all other rated notes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners Static 2025-1, Ltd. A-L LT AAAsf Affirmed AAAsf B 38180UAA3 LT AAsf Affirmed AAsf C 38180UAC9 LT Asf Affirmed Asf D-1 38180UAE5 LT BBB-sf Affirmed BBB-sf D-2 38180UAG0 LT BBB-sf Affirmed BBB-sf E 38181BAA4 LT BB-sf Affirmed BB-sf Golub Capital Partners Static 2024-1, Ltd. A-L-R LT AAAsf Affirmed AAAsf A-R 381929AN8 LT AAAsf Affirmed AAAsf B-R 381929AQ1 LT AAsf Affirmed AAsf C-R 381929AS7 LT Asf Affirmed Asf D-1-R 381929AU2 LT BBB-sf Affirmed BBB-sf D-2-R 381929AW8 LT BBB-sf Affirmed BBB-sf E-R 381944AE7 LT BBsf Affirmed BBsf Transaction Summary GCPS 2024-1 and GCPS 2025-1 are static arbitrage cash flow collateralized loan obligations (CLOs) managed by OPAL BSL LLC (OPAL). GCPS 2024-1 originally closed in April 2024 and was reset in July 2025. GCPS 2025-1 closed in May 2025. The transactions are secured primarily by first-lien senior secured leveraged loans and each had reinvestment periods ending by their first payment date, which occurred in October 2025 for GCPS 2025-1 and January 2026 for GCPS 2024-1. KEY RATING DRIVERS Increased Credit Enhancement from Note Amortization The Positive Outlooks are driven by the amortization of the senior notes, resulting in increased credit enhancement for all rated notes since their respective closing dates. As of the January 2026 payment date, 19% of the class A-L-R Loans and class A-R notes of GCPS 2024‑1 and 17% of the class A-L loans of GCPS 2025‑1 have amortized. Stable Portfolio Credit Quality and Limited Portfolio Losses GCPS 2024-1 and GCPS 2025-1 have maintained portfolio quality at the 'B'/'B-' level since their respective closing dates. As of the March 2026 reporting, Fitch calculated the portfolios' weighted average rating factor (WARF) at 26.6 for GCPS 2024-1, compared to 26.7 at its reset, while the WARF increased to 26.0 from 24.9 at closing for GCPS 2025-1. Since its 2025 reset, GCPS 2024-1 has incurred total losses of 0.9% of the original target par balance due to trading losses while GCPS 2025-1 recorded a par gain of 0.15% since closing. The transactions' portfolios are comprised of 126 and 174 obligors, respectively. The largest 10 obligors represent 18.2% and 12.9% of the portfolio (excluding cash), for GCPS 2024-1 and GCPS 2025-1, respectively. The Fitch weighted-average recovery rates for GCPS 2024-1 and GCPS 2025-1 were 76.0% and 75.7%, respectively, declining from 76.5% and 77.3% at reset and closing, respectively. Exposures to obligors on Fitch's CLO watchlist is 10.3% for GCPS 2024-1 and 5.1% for GCPS 2025-1. Exposures to obligors with a Negative Outlook are 17.3% and 13.0%, respectively. All coverage tests remain in compliance for both transactions. Updated Cash Flow Analysis Fitch conducted updated cash flow analyses on both transactions based on stressed portfolios that assumed a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor and extended the weighted average life to 5.0 and 5.3 years for GCPS 2024-1 and GCPS 2025-1, respectively, to address potential maturity amendments. The rating actions for the class A-R notes and the class A-L-R loans in GCPS 2024-1 and the class A-L loans and class D notes in GCPS 2025-1 were in line with the model-implied ratings (MIRs). Fitch affirmed the class B-R and C-R notes in GCPS 2024-1 and class B and C notes in GCPS 2025-1 below their MIRs as the improvement in BEDR cushions on their current portfolios was not considered robust enough to support upgrades in this review, except the BEDR cushions for the class C notes in GCPS 2025-1 have slightly declined since closing. Fitch also affirmed all other notes below their MIRs, where the improvements in BEDR cushions were lesser in degree or have further deteriorated, and the most junior classes are more susceptible to tail risks. With the exception of the 'AAAsf' rated notes and the class D notes in GCPS 2025-1, all rating actions were one notch below their MIRs, except for the class D-1-R notes in GCPS 2024-1 and class D-1 and E notes in GCPS 2025-1, which were two notches below their MIRs. The Positive Outlooks on the class B-R notes of GCPS 2024-1 and the class B notes of GCPS 2025-1 reflect its expectation that future note amortization outweighs increasing portfolio concentration and potential portfolio deterioration. The Stable Outlooks on all other classes reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class's rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed. A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, may lead to downgrades of up to two notches for GCPS 2024-1 and up to three notches for GCPS 2025-1, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance. A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, may lead to upgrades of up to five notches for both GCPS 2024-1 and GCPS 2025-1, based on the MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Most of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied on for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital Partners Static 2024-1, Ltd., Golub Capital Partners Static 2025-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. GOLUB CAPITAL 88(B): Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital CLO 88(B), Ltd. Entity/Debt Rating ----------- ------ Golub Capital CLO 88(B), Ltd. A-1 LT NRsf New Rating A-1-L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Golub Capital CLO 88(B), Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Golub Capital Liquid Credit Advisors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.77 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.12% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 49% of the portfolio balance in aggregate while the top five obligors can represent up to 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, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Golub Capital CLO 88(B), Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. GS MORTGAGE 2015-GC34: Moody's Lowers Rating on 2 Tranches to B1 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on two classes in GS Mortgage Securities Trust 2015-GC34, Commercial Mortgage Pass-Through Certificates, Series 2015-GC34 as follows: Cl. A-S, Downgraded to B1 (sf); previously on Nov 25, 2025 Downgraded to Ba1 (sf) Cl. X-A*, Downgraded to B1 (sf); previously on Nov 25, 2025 Downgraded to Ba1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on Cl. A-S was downgraded due to higher expected losses and the increase in interest shortfalls due to the significant exposure to delinquent specially serviced loans (100% of the pool). All the remaining loans have been deemed non-recoverable by the master servicer, including the two largest loans, Illinois Center (42.4%) and 750 Lexington Avenue (36.8%), which are both secured by predominately office properties located in Chicago and New York, respectively, with most recent reported net operating income (NOI) DCSR's below 0.30X. While the prior interest shortfalls on Cl. A-S were paid back in the April 2026 remittance statement from loan liquidation proceeds, Moody's anticipates interest shortfalls will impact this class in future months due to the exposure to the non-recoverable loans. There is also risk of higher potential losses if the remaining loans remain delinquent and/or their performance continues to decline. The rating on the IO class was downgraded based on a decline in the credit quality of its outstanding referenced class. Moody's rating action reflects a base expected loss of 82.4% of the current pooled balance, compared to 69.0% at Moody's last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the April 2026 distribution date, the transaction's aggregate certificate balance has decreased by 74% to $217.3 million from $848.4 million at securitization. The certificates are collateralized by five mortgage loans, all of which are in special servicing and have been deemed non-recoverable, and all of which are accruing non-recoverable interest shortfalls. Three loans have been liquidated from the pool, contributing to an aggregate realized loss of $22.6 million (for an average loss severity of 14%), although the majority of realized losses have resulted from the servicer reimbursement of prior advances. As of the April 2026 remittance statement cumulative interest shortfalls were $19.2 million and impacted up to Class B. Moody's anticipates interest shortfalls will continue to increase because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), non-recoverable determinations, loan modifications and extraordinary trust expenses. The largest specially serviced loan is the Illinois Center Loan ($92.1 million -- 42.4% of the pool), which represents a pari passu portion of a $239.5 million mortgage loan. The loan is secured by the fee interest in two adjoining Class A office towers located in Chicago's East Loop submarket, totaling roughly 2.1 million square feet (SF). The properties were only a combined 33% leased as of December 2025, compared to 48% in December 2023 and 72% at securitization. As a result of tenant departures and the low occupancy, the 2025 NOI was more than 80% lower than at securitization. The loan has been in special servicing since April 2024 and was last paid through its May 2024 payment date. Special servicer commentary indicates that foreclosure was filed in November 2024 with a receiver having been appointed in February 2026, and lender is dual tracking the foreclosure process while discussing workout alternatives with the borrower. A June 2024 appraisal valued the property 78% lower than the appraisal value from securitization. Due to the significant decline in property performance and weak Chicago office fundamentals, Moody's assumed a significant loss on this loan. The second largest loan is the 750 Lexington Avenue Loan ($79.9 million -- 36.8% of the pool), which represents a pari passu portion of $122.9 million mortgage loan. The loan is secured by the fee simple interest and leasehold interest in a 382,000 square foot, 31-story Class A office tower located in Manhattan's Midtown East submarket on Lexington Avenue between 59th and 60th Streets. The property had a ground rent reset in 2018 which increased the ground rent expense by over $1.5 million, and the ground rent made up over 20% of the property's revenue in both 2022 and 2023 and approximately 31% of the property's revenue in 2024. The property was 77% leased as of September 2025, compared to 66% in December 2022, and 100% at securitization. Property performance has significantly declined since securitization due to lower revenue and higher expenses and the loan's DSCR has been well below 1.00X since 2022. The loan has been in special servicing since October 2023 and as of the April 2026 remittance statement was last paid through its July 2023 payment date. The most recently reported appraisal value from 2026 valued the property 68% below the outstanding loan balance. Special servicer commentary indicates the property has become real estate owned (REO) in early 2026 and vacant spaces are being marketed for lease. As a result of performance trends and the property's delinquent status, Moody's assumed a significant loss on this loan. The third largest loan is the Woodlands Corporate Center and 7049 Williams Road Loan ($20.7 million -- 9.5% of the pool), which is secured by the borrower's fee simple interest in three commercial properties located in Niagara Falls, NY (2 office/flex properties) and neighboring North Tonawanda, NY (1 industrial). The loan has been in special servicing since December 2019 and became REO in 2022. The property's cash flow has declined significantly from securitization due to declines in occupancy and rental revenue. An updated appraisal value from November 2025 was 46% below the outstanding loan balance. Servicer commentary indicates plans to lease up vacant space. As of the April 2026 remittance report, this loan was last paid through its September 2022 payment date. The fourth largest loan is the Bluejay Grocery Portfolio Loan ($17.7 million -- 8.2% of the pool), which was originally secured by four grocery-anchored retail properties located in three states (Wisconsin, Indiana and New York). The loan transferred to special servicing in August 2025 and failed to pay-off at its August 2025 maturity date. Two of the four properties have been sold with the net proceeds used to pay down the loan balance by 35.5%. The servicer is proceeding with foreclosure on the Pick N Save property. As of the April 2026 remittance statement, the loan was last paid through its February 2026 payment date. The remaining loan is the 222 East 59th Street Loan ($6.9 million – 3.2% of the pool), which is secured by a 33,995 SF leasehold office property located in New York City. The loan transferred to special servicing in August 2025 for delinquent payments and remains last paid through its April 2025 payment date. The decline in performance was due to two major tenants, including one retail tenant, vacating the property in 2018 and 2019. As of September 2025, the property was only 59% leased, compared to 100% in 2017. The property is also subject to a ground lease and the property's revenues through September 2025 were insufficient to cover the property's operating expenses. The lender will dual track the foreclosure process while discussing workout alternatives with the borrower. Moody's estimates an aggregate $179.1 million loss for the specially serviced loans (an 82% expected loss on average). GS MORTGAGE 2018-GS9: Fitch Lowers Rating on Cl. F-RR Debt to 'Csf' ------------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed seven classes of GS Mortgage Securities Trust 2018-GS9 (GSMS 2018-GS9). In addition, the Rating Outlooks were revised to Stable from Negative for two affirmed classes. Fitch assigned a Negative Outlook to one class following its downgrade. The Outlooks are Negative for two of the affirmed classes. Fitch affirmed 15 classes of GS Mortgage Securities Trust 2018-GS10 (GSMS 2018-GS10). In addition, the Rating Outlooks were revised to Stable from Negative for five affirmed classes. The Outlooks are Negative for three of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2018-GS10 A-2 36250SAB5 LT AAAsf Affirmed AAAsf A-3 36250SAC3 LT AAAsf Affirmed AAAsf A-4 36250SAD1 LT AAAsf Affirmed AAAsf A-5 36250SAE9 LT AAAsf Affirmed AAAsf A-AB 36250SAF6 LT AAAsf Affirmed AAAsf A-S 36250SAJ8 LT AAAsf Affirmed AAAsf B 36250SAK5 LT AA-sf Affirmed AA-sf C 36250SAL3 LT BBB-sf Affirmed BBB-sf D 36250SAM1 LT BBsf Affirmed BBsf E 36250SAR0 LT B-sf Affirmed B-sf F 36250SAT6 LT CCCsf Affirmed CCCsf G-RR 36250SAV1 LT CCsf Affirmed CCsf X-A 36250SAG4 LT AAAsf Affirmed AAAsf X-B 36250SAH2 LT AA-sf Affirmed AA-sf X-D 36250SAP4 LT B-sf Affirmed B-sf GSMS 2018-GS9 A-3 36255NAS4 LT AAAsf Affirmed AAAsf A-4 36255NAT2 LT AAAsf Affirmed AAAsf A-AB 36255NAU9 LT AAAsf Affirmed AAAsf A-S 36255NAX3 LT AAAsf Affirmed AAAsf B 36255NAY1 LT AA-sf Affirmed AA-sf C 36255NAZ8 LT BBB-sf Downgrade A-sf D 36255NAA3 LT CCCsf Downgrade B-sf E 36255NAE5 LT CCsf Downgrade CCCsf F-RR 36255NAG0 LT Csf Downgrade CCsf X-A 36255NAV7 LT AAAsf Affirmed AAAsf X-B 36255NAW5 LT AA-sf Affirmed AA-sf X-D 36255NAC9 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 9.0% from 6.6% in GSMS 2018-GS9 and decreased since Fitch's prior rating action to 6.3% from 6.9% in GSMS 2018-GS10. The GSMS 2018-GS9 transaction has six Fitch Loans of Concern (FLOCs; 17.4% of the pool), including three loans (14.7%) in special servicing. The GSMS 2018-GS10 transaction has five FLOCs (20.4%), including two loans (10.4%) in special servicing. Maturity concentration risk is heightened. Approximately 75.2% of the pool matures between January and March 2028 for GSMS 2018-GS9. and approximately 90.7% of the pool matures between January and July 2028 for GSMS 2018-GS10. Therefore, Fitch also performed a liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment and/or loss expectation to assess outstanding class ratings in relation to available CE. The rating actions also incorporate this analysis. GSMS 2018-GS9: The downgrades reflect higher pool loss expectations since the prior rating action, driven primarily by the increased loss expectations from three specially serviced FLOCs, the Pin Oak North Medical Office (6.3%), Worldwide Plaza (4.3%), and 90 Fifth Avenue (4.1%), all of which are reporting updated lower valuations, occupancy declines and further performance deterioration. Despite increased pool loss expectations, the revision of the Outlook to Stable from Negative on class A-S and interest-only X-A reflects expected paydown from performing maturing loans and sufficient credit enhancement. The Negative Outlooks on class B, X-B, and C reflect possible downgrades should loss expectations on the specially serviced loans increase further due to lack of performance stabilization, updated lower valuations and/or with extended resolution times. The Negative Outlooks reflect the pool's concentration of office loans, comprising 35.3% of the pool, including 12.0% that are FLOCs. GSMS 2018-GS10: The affirmations reflect the generally stable pool performance and improved loss expectations since the prior rating action primarily due to the repayment of GSK North American HQ ($75.2 million), which was previously the largest loan in the pool; the loan was fully repaid post maturity in December 2025. At the prior rating action, Fitch's 'Bsf' rating case loss expectations were 23.8% (prior to concentration add-ons) given the subject's value degradation since issuance. The revision of the Outlook to Stable from Negative on class A-S, X-A, B, X-B, and C reflects the improved pool loss expectations, expected paydown from maturing loans and sufficient credit enhancement. The Negative Outlooks on class D, E, and X-D reflects possible downgrades should loss expectations on FLOCs 1000 Wilshire (9.2%), 5500 Hellyer Avenue (3.1%), and Capital Complex (1.2%), increase further due to lack of performance stabilization and/or due to updated lower valuations with extended resolution times on the specially serviced loans. The Negative Outlooks also reflect the pool's high concentration of office loans, comprising 27.8% of the pool, including 10.4% that are FLOCs. Largest Increases in Loss Expectations/Largest Loss Contributors: The second largest increase in loss since the prior rating action and the largest contributor to overall pool loss expectations in GSMS 2018-GS9 is the Pin Oak North Medical Office loan, secured by three office properties totaling 352,050-sf located in Bellaire, TX. The loan transferred to special servicing in October 2023 and a receiver was appointed in July 2024. According to the servicer, the receiver is marketing the property for sale and has begun conducting tours with potential buyers. Occupancy was 67%, as of September 2025, compared with 72% at September 2024, 76% at YE 2023, 70% at June 2022, 77% at YE 2021, 87% at YE 2020, and 90% at YE 2019. The largest tenants include The Frost National Bank (7.2% NRA; through November 2028) and Methodist Primary Care Group (6.7% NRA; through December 2035). The most recent servicer-reported NOI DSCR was 0.82x as of September 2025, compared with 0.21x at September 2024, 0.92x at YE 2023, 1.69x at YE 2021 and 2.15x at YE 2020. The loan began amortizing in January 2021. Fitch's 'Bsf' rating case loss of 60.1% (prior to concentration add-ons) factors the most recent January 2026 appraisal value, representing a 56% decline from the appraisal value at issuance and reflects the declining occupancy at the property since issuance. The largest increase in loss since the prior rating action and the third largest contributor to overall pool loss expectations in GSMS 2018-GS9 is the Worldwide Plaza loan, secured by a 2.0 million-sf office property located in New York City on 8th Avenue between 49th and 50th streets. The loan transferred to special servicing in September 2024 due to imminent monetary default and the loan was reported as 90+ days delinquent, as of March 2026. According to the servicer, the lender filed for foreclosure and a receiver was appointed, as of April 2026. As of June 2025, occupancy declined to 63% from 91% at YE 2023, primarily driven by the departure of the second largest tenant, Cravath Swaine & Moore (30.0% of the NRA) vacating at lease expiration in August 2024. In addition, largest tenant Nomura (currently 34.3% of the NRA; lease expiration in Sept. 2033) downsized from 40.0% of the NRA and extended its lease on the reduced space through December 2046. Fitch's 'Bsf' rating case loss of 34.8% (prior to concentration add-ons) reflects a stress to the most recent January 2026 appraisal value, representing a 74% decline from the appraisal value at issuance. This reflects the declining occupancy at the property following the departure of the second largest tenant. The third largest increase in loss since the prior rating action and the second largest contributor to overall pool loss expectations in GSMS 2018-GS9 is the 90 Fifth Avenue, which is secured by a 139,886-sf office and retail property located adjacent to the Fifth Avenue and West 14th Street subway stop, north of Union Square in Manhattan. The loan transferred to special servicing in February 2024 due to the borrower's failure to remit property tax payments. According to the servicer, foreclosure and receivership was filed in February 2025, with litigation ongoing, as of March 2026. Occupancy was 2.8% as of the November 2025 appraisal report, compared with 85% at May 2025, 91% at September 2024 and YE 2023, 100% at YE 2022 and YE 2021, and 92% at issuance. The largest tenant, Urban Compass (72.1% NRA through May 2025), which served as the headquarters for the company, vacated upon lease expiration with no potential tenants noted to backfill the space. The remaining sole retail tenant at the property includes Commerce Bank, NA (2.8%; November 2027). As Urban Compass failed to renew its lease 24 months prior to lease expiration, which was by May 2023, a cash flow sweep commenced; excess cash will be applied towards re-tenanting costs for the Urban Compass space. As of March 2026, the balance of the cash flow sweep account was $1.7 million. The most recent servicer-reported September 2024 NOI DSCR was 1.61x, compared with 2.04x at YE 2023, compared with 1.80x at YE 2022, 1.89x at YE 2021 and 1.82x at YE 2020. Fitch's 'Bsf' rating case loss of 39.6% (prior to concentration add-ons) reflects a stress to the most recent November 2025 appraisal value, which has declined by 52% from the appraisal value at issuance. The largest increase in loss since the prior rating action and the largest contributor to overall pool loss expectations in GSMS 2018-G10 is the 1000 Wilshire loan, which is secured by a 477,774-sf office property located in downtown Los Angeles, CA. This loan transferred to special servicing in March 2025 for maturity default. The loan was reported as a non-performing matured balloon loan, as of the March 2026 reporting, and subsequently made a payment through April 2026. The largest tenants include Buchalter Nemer (18.3%, August 2034) and Open Bank (6.3%; January 2030). According to the March 2026 appraisal report, the former largest tenant, Wedbush Securities (21.0%) vacated upon lease expiration in December 2025, with occupancy declining to 44.1% at March 2026 from 65.1% at July 2025. The most recent servicer-reported YE 2024 NOI DSCR was 3.76x, compared with YE 2023 NOI DSCR of 2.69x. The loan is full-term, interest-only. Fitch's 'Bsf' rating case loss of 30.6% (prior to concentration add-ons) reflects a stress to the most recent March 2026 appraisal value, which represents a 70% decline from the appraisal value at issuance. The second largest increase in loss since the prior rating action and the third largest contributor to overall pool loss expectations in GSMS 2018-G10 is the 5500 Hellyer Avenue loan, which is secured by a 196,534 industrial property in San Jose, CA. This loan is on the servicer's watchlist due to a decline in performance as the largest tenant, Sakku Corporation (40.1% of NRA; through April 2032), went dark in April 2025 and is no longer paying rent. Other tenants include Genista Bioscience (32.5%; June 2028) and Snap-On (27.4%; December 2027). The most recent servicer-reported YE 2025 NOI DSCR was 1.19x, compared with YE 2024 NOI DSCR of 2.07x. Fitch's 'Bsf' rating case loss of 13.9% (prior to concentration add-ons) reflects an 10% cap rate, a 10% stress to the YE 2025 NOI, and an elevated probability of default to reflect the risk with the largest tenant, which has gone dark and is no longer paying rent. The third largest increase in loss since the prior rating action and the second largest contributor to overall pool loss expectations in GSMS 2018-G10 is the Capital Complex loan, which is secured by a 178,328-sf suburban office property in Frankfurt, KY. This loan transferred to special servicing in January 2023 for imminent monetary default and a receiver was appointed in April 2023. According to the servicer, a foreclosure strategy is being pursued with a target foreclosure date in April 2026. Largest tenants include Attorney General (27.0%; June 2028), Department of Juvenile Justice (13.8%; June 2026), and Secretary of State (7.1%; June 2030). The most recent servicer-reported September 2025 NOI DSCR and occupancy was 0.47x and 63%, compared with YE 2024 NOI DSCR and occupancy of 0.28x and 51%, respectively. Fitch's 'Bsf' rating case loss of 74.4% (prior to concentration add-ons) reflects the increasing exposure and a stress to the most recent July 2025 appraisal value, which has declined by 52% from the appraisal value at issuance. Change in Credit Enhancement (CE): As of the March 2026 distribution date, the pool's aggregate balance for GSMS 2018-GS9 has been reduced by 7.6% to $819.7 million from $887.1 million at issuance. Ten loans (12.5% of pool) are defeased. As of the March 2026 distribution date, the pool's aggregate balance for GSMS 2018-GS10 has been reduced by 11.8% to $770.7 million from $873.8 million at issuance. Three loans (2.7%) have been defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to 'AAAsf' rated classes are not expected due to their position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. - Downgrades to 'AAsf' category rated classes could occur should performance of the FLOCs, most notably Pin Oak North Medical Office, Worldwide Plaza, and 90 Fifth Avenue in GSMS 2018-GS9 and 1000 Wilshire, 5500 Hellyer Avenue, and Capital Complex in GSMS 2018-GS10, deteriorate further or if more loans than expected default at or prior to maturity. - Downgrades to the 'BBBsf', 'BBsf', 'Bsf' category rated classes are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. - Downgrades to 'CCCsf', 'CCsf', and 'Csf' rated classes would occur if additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to 'AAsf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, including Pin Oak North Medical Office, Worldwide Plaza, and 90 Fifth Avenue in GSMS 2018-GS9 and 1000 Wilshire, 5500 Hellyer Avenue, and Capital Complex in GSMS 2018-GS10. - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to 'CCCsf', 'CCsf', and 'Csf' are not likely, but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. HARVEST US 2024-1: Fitch Affirms 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Harvest US CLO 2024-1 Ltd. refinancing notes. Fitch has also affirmed the class E note with a Stable Rating Outlook. Entity/Debt Rating Prior ----------- ------ ----- Harvest US CLO 2024-1 Ltd. A-1-R LT NRsf New Rating A-2 41755WAC4 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 41755WAE0 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 41755WAG5 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 41755WAJ9 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 41755XAA6 LT BB-sf Affirmed BB-sf Transaction Summary Harvest US CLO 2024-1 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Investcorp Credit Management US LLC. The transaction originally closed in March 2024. On April 24, 2026, the class A-1-R, A-2-R, B-R, C-R and D-R notes will be refinanced at tighter spreads. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $397 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 23.59, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.86% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.26% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of 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. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - The spreads for the class A-1-R, A-2-R, B-R, C-R and D-R notes are 1.32%, 1.55% and 1.75%, 2.05% and 3.85%, respectively, compared to the spreads of 1.60%, 1.85%, 2.15%, 2.65% and 4.50% for the class A-1, A-2, B, C and D classes, respectively; - The class E note has not been refinanced and its spreads remain unchanged at 7.42%; - The non-call period for the refinanced notes has been extended to April 2027; - The Fitch test matrices have been updated; - Stated maturity and reinvestment period for the refinanced notes remain the same as the original notes. Fitch Analysis The portfolio includes 365 assets from 299 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $397 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Floating Spread. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 44.8% of the current portfolio par balance; ratings for 54.5% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.8% were unrated. The cash flow model analysis was conducted for this refinancing. As per its criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinanced notes, and on the indicative portfolio for the non-refinanced notes. 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: 15.2%, 13.5%, and 13.5%, respectively; - Assumed risk horizon: six years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 71.60%; - Maximum weighted average rating factor of 24.50; - Fixed-rate assets: 5.00%; - Minimum weighted average coupon of 7.00%; The transaction will exit its reinvestment period on April18, 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 A-2-R: 'AAAsf' / Default 42.60% / Recovery 38.03% / Cushion 11.30% - Class B-R: 'AAsf' / Default 39.80% / Recovery 46.98% / Cushion 10.20% - Class C-R: 'Asf' / Default 35.20% / Recovery 56.53% / Cushion 10.00% - Class D-R: 'BBB-sf' / Default 26.90% / Recovery 65.80% / Cushion 8.10% - Class E: 'BB-sf' / Default 22.30% / Recovery 71.30% / Cushion 7.20% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-2-R: 'AAAsf' / Default 49.70% / Recovery 37.92% / Cushion 3.10% - Class B-R: 'AAsf' / Default 46.20% / Recovery 45.50% / Cushion 2.10% - Class C-R: 'Asf' / Default 41.00% / Recovery 55.25% / Cushion 2.40% - Class D-R: 'BBB-sf' / Default 32.10% / Recovery 64.62% / Cushion 2.50% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-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. 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, 'AA+sf' for class C-R, 'Asf' for class D-R, 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 Harvest US CLO 2024-1 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. HLTN COMMERCIAL 2026-DPLO: DBRS Finalizes Bsf Rating on HRR Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-DPLO (the Certificates) issued by HLTN Commercial Mortgage Trust 2026-DPLO (HLTN 2026-DPLO): -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (high) (sf) -- Class HRR at B (sf) All trends are Stable CREDIT RATING RATIONALE/DESCRIPTION The HLTN Commercial Mortgage Trust 2026-DPLO (HLTN 2026-DPL0) transaction is collateralized by the borrower's fee-simple interest in the Diplomat Beach Resort, a 1000-key, full-service, luxury beachfront resort in Hollywood, Florida. Specifically, the property is set along the scenic Atlantic coast in the Hallandale Beach area, which is known for its unique blend of scenic wide sand beaches and has accessibility to both Miami and Fort Lauderdale. The hotel has won numerous accolades, including Best Family Resort by Travvy Awards in 2019. It was also listed as one of the top resorts in Florida by Conde Nast Traveler in 2018 and was the 2016 AAA Four Diamond Award Winner. The existing improvements of the 33-story resort were built in 2002 and include 1,000 guestrooms inclusive of 98 suites, 227,700 square feet (sf) of indoor and outdoor meeting space, including approximately 209,000 sf of indoor meeting space concentrated in the convention center; and 18,700 sf of outdoor group space. The hotel also features extensive amenities including four restaurants, two cafe/grab-and-go options, multiple outdoor pools, Club Signia, semi-private beachfront access, and a 15,000-sf spa and wellness space. The current sponsor acquired the property for $835.0 million in February 2023 and has since invested $79.7 million into the property to complete a comprehensive renovation. Notably, $43.6 million of the $79.7 million spent on renovations were elective capital investments the sponsor, jointly with Hilton Hotels & Resorts (Hilton), decided to undertake, demonstrating the sponsor's strong conviction in the asset and a clear belief in its ability to drive value beyond hotel brand-mandated capital investments. The renovation focused on two main pillars: an impressive arrival experience and elevated food and beverage (F&B) offerings. The lobby was reimagined with contemporary fixtures and furniture while integrating lush local plants, creating a "social destination" for guests. The F&B outlets were upgraded, including the revamped Solara Bar, which serves as the destination bar located at the heart of the hotel, emanating energy and vibrancy throughout the entire lobby. Outdoor seating, including a newly renovated pool deck, were introduced for Palmea Kitchen and Solara. Diplomat Prime was redesigned with a clean and modern aesthetic and will act as the signature chef-driven restaurant at the hotel with Jorge Negron at the helm. The Press also received significant renovations and was repositioned as an all-day cafe offering fresh, hand-crafted pastries; sandwiches; smoothies; and juices. These renovations, anchored by the existing 200,000-sf convention center, have positioned the property for a brand conversion from Curio Collection to Signia, which is anticipated to occur on May 1, 2026. Hilton's Signia brand was established in 2019 to cater to the upper end of the meetings and events demand segment. Key features of the Signia brand include a wide range of amenities; personalized services; world-class culinary offerings; and relatively large, digitally integrated guestrooms, allowing guests and planners to control temperature and other features in their rooms and meeting areas via a mobile app. Other additions such as the Verandah Social Club and Club Signia should also elevate the hotel's status, appealing to high-end guests/groups seeking privacy, exclusivity, and refined service. Morningstar DBRS expects the hotel's competitive position to improve given the transformative capital improvements at the property. The transaction sponsor is a joint venture between Trinity GP Fund I L.P., backed by Trinity Real Estate Investments, LLC (Trinity) and UBS. Trinity is a private real estate investment firm with a primary focus on hotels and resorts. Since inception, Trinity has invested in more than $10.0 billion assets, including nearly $7.0 billion in hotel and resort assets representing over 15,500 keys. Trinity covers the full spectrum of property investment, development management, strategic operations, and accounting. The property is currently flagged as a Curio Collection by Hilton. In 2014 the hotel went through a brand change to Curio Collection from Westin. The current management agreement with Hilton commenced in February 2023 and has an initial maturity date of 2063 with three automatic 10-year extension periods. The loan is a two-year, floating-rate, interest-only mortgage loan with three one-year extension options. The floating rate will be based on the one-month Secured Overnight Financing Rate (SOFR) plus the weighted-average mortgage loan component spread of 2.662%. The borrower will enter into an interest rate agreement with an assumed SOFR cap of 4.440% during the initial term. The transaction will represent a cash-out financing, with the sponsor cashing out approximately $14.9 million of equity. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, Spread Maintenance Premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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: A historical Recognized Environmental Condition was identified during the environmental site assessment (ESA) related to the removal of two underground storage tankers in 1992 that stored diesel used to fuel on-site emergency generators, which consequently contaminated the soil and groundwater. Contamination Assessment Reports (1994) and a Remedial Action Plan Addendum (1995) addressed residual petroleum-affected groundwater. Subsequent site assessment, post-remedial monitoring, and issuance of a site rehabilitation completion order have addressed the historical petroleum discharge in accordance with applicable regulatory requirements. A business environmental risk was identified related to significant suspect microbial growth in the ceiling and walls within the paint shop in the subgrade parking garage. The ESA recommends assessment and remediation of suspect microbial growth observed within the paint shop. There were no Social or Governance factors that had a significant or relevant effect on the credit analysis. 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. HMH TRUST 2017-NSS: DBRS Cuts Rating on Class A Certs to Csf ------------------------------------------------------------ DBRS Limited (Morningstar DBRS) downgraded the credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2017-NSS issued by HMH Trust 2017-NSS as follows: -- Class A to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class B at C (sf) -- Class C at C (sf) -- Class D at C (sf) -- Class E at C (sf) There are no trends as all remaining classes have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrade reflects Morningstar DBRS' realized loss projection for the underlying loan as well as the accumulating interest shortfalls. The loan collateral originally consisted of the fee-simple interest in one hotel and the leasehold interests in 21 hotels located across nine different states. Since the last credit rating action, 12 properties have been liquidated, with proceeds generally applied to outstanding servicer advances, property protection advances, and accrued interest. The liquidated properties were disposed of at significant discounts, with sales prices averaging approximately 30% below their 2025 appraised values. In addition, interest shortfalls continue to accrue on all outstanding classes following the master servicer's nonrecoverability determination, which was made in September 2025. As of the April 2026 remittance, interest shortfalls totaled approximately $17.5 million following the liquidation of two properties in March 2026, which paid down accrued interest by $3.0 million, including all outstanding accrued interest on Classes A, B, C, and D. In February 2024, the receiver was granted full authority to convey, liquidate, or otherwise dispose of the collateral properties through a combination of deeds in lieu of foreclosure, receiver sales, or nonjudicial foreclosure sales. The remaining 10 properties are at various stages of the workout process but are all expected to be disposed of by the end of Q2 2026, according to special servicer commentary. The remaining properties were most recently appraised in April 2025 at an aggregate value of $93.5 million. Comparatively, the outstanding principal balance of the senior Class A certificate is $72.0 million. Given the significant deltas between the appraised values and executed sales prices for properties liquidated in the last 12 months, Morningstar DBRS anticipates that the remaining properties could also be sold well below their most recent appraised values, suggesting that losses to all classes are likely. 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. HUDSON'S BAY 2015-HBS: DBRS Confirms CCC Rating on Cl. E-10 Certs ----------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2015-HBS issued by Hudson's Bay Simon JV Trust 2015-HBS as follows: -- Class A-10 to A (sf) from AA (high) (sf) -- Class B-10 to BBB (low) (sf) from A (low) (sf) -- Class X-A-10 to A (high) (sf) from AAA (sf) -- Class X-B-10 to BBB (sf) from A (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class D-7 at B (low) (sf) -- Class E-7 at CCC (sf) -- Class C-10 at BB (sf) -- Class D-10 at B (low) (sf) -- Class E-10 at CCC (sf) The trends on Classes D-7, A-10, B-10, C-10, D-10, X-A-10, and X-B-10 are Negative. Classes E-7 and E-10 have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades and trends reflect Morningstar DBRS' deteriorated outlook for principal recovery given the recent bankruptcy filing of Saks Global Holdings LLC (Saks Global), as further described below. With this review, Morningstar DBRS removed all credit ratings from Under Review with Negative Implications, where they were placed on January 28, 2026, following the chapter 11 bankruptcy filing for Saks Global (parent company of Saks Fifth Avenue (Saks), Saks Off Fifth, Neiman Marcus (Neiman), and other brands in January 2026. Since the bankruptcy filing, several news outlets have confirmed Saks Global plans to close most Saks Off Fifth and Neiman Marcus Last Call locations, as well as a few Neiman and several Saks locations. These closures will leave the company with approximately 15 Saks and 33 Neiman locations open. The loan most recently transferred to special servicing in July 2025 and has been in special servicing several times as part of the borrower's request for loan modifications to extend the maturity dates for the loan components. At issuance, the $846.2 million first-mortgage loan underlying the transaction was secured by 34 cross-collateralized regional mall anchor boxes that were previously occupied by 24 Lord & Taylor stores as well as 10 Saks stores across 15 states. The Lord & Taylor locations have all been dark since the parent company's liquidation in 2020. At issuance, the collateral properties represented 19 fee-simple ownership interests (64.1% of the pool balance) and 15 leasehold interests (35.9% of the pool balance). The loan sponsor is a joint venture between affiliates of Hudson's Bay Company and Simon Property Group, Inc. Nine properties have been released to date and, as of April 2026, the loan reported a current balance of $428.1 million, representing a collateral reduction of 49.4%. The Lord & Taylor bankruptcy in 2020 resulted in nationwide store closures across the brand, leaving the subject's 24 Lord & Taylor anchor boxes dark. A Lord & Taylor master lease in place at issuance was rejected as part of the Saks Global bankruptcy filing, and the special servicer has noted the borrower will no longer fund operating expenses for those locations. The nine previously released Lord & Taylor stores were subject to release premiums of 115.0% of the allocated loan amount (ALA), and the remaining 15 properties now represent 49.2% of the current ALA. Six of the 10 Saks stores in this portfolio have recently been announced for closure as part of the Saks Global bankruptcy filing, bringing the total of dark or soon-to-be dark Saks locations to seven as the Beverly Hills location was previously closed. Three Saks stores at Somerset Mall, Dadeland Mall, and Phipps Plaza have not been announced for closure to date. The loan originally consisted of three components known as Components A, B, and C, which initially had terms of five, seven, and 10 years, respectively. The loan has been extended a few times to date. The floating-rate Component A was repaid in November 2023, while the fixed-rate Components B and C currently have a balance of $103.1 million and $325.0 million, respectively. As outlined in the transaction documents, principal prepayments related to property releases and the excess cash used to amortize the loan during the extended maturity periods (also considered prepayments) were paid sequentially to the Component B certificate holders. As a result, the Class D-7 balance has been paid down to $28.2 million, and all classes above it have been repaid in full. The documents do not allow prepayments to pay down Component C until the balance of Component B reaches zero. Following the loan's most recent transfer to special servicing in July 2025, the special servicer granted a forbearance through to March 2026, with extension options that were subject to principal paydowns, which also would be applied as principal prepayments. However, since the Saks Global bankruptcy filing, an event of default under the loan documents, the forbearance agreement has since been terminated while legal remedies are being evaluated. With the default, principal repayments will now be applied first to the Class A-10 certificate, and Classes A-10, B-10, and C-10 must be repaid before Class D-7 receives principal recoveries. Losses will be applied pro rata in reverse sequential order across the two remaining components, with the unrated Classes F-7 and F-10 in the first loss positions. With this review, Morningstar DBRS considered a liquidation scenario to determine recoverability of the remaining 25 properties based on stressed haircuts (either on an as-dark or an as-is basis, as applicable) for the respective properties on the 2019 appraisals previously received. The resulting liquidated value estimate was $421.8 million for the remaining portfolio (loan-to-value ratio (LTV) of 101.5%). Including a 1.0% liquidation fee, estimated servicer expenses and advances, and all current outstanding advances, the loan's total exposure could reach approximately $454.5 million, suggesting a loss of approximately $33.0 million and a loss severity of just less than 8.0%. While the liquidated value estimate suggests that most of the outstanding principal is recoverable, the estimated values may not reflect the ultimate sale price at resolution. This increases the risk of realized loss for the subordinate classes across the two remaining components and brings uncertainty around the recovery prospects for the more senior classes. These factors combined support the credit rating downgrades for Classes A-10, B-10, X-A-10, and X-B-10 and the Negative trends on all applicable classes with this review. The Morningstar DBRS credit ratings assigned to Classes D-7, E-7, A-10, B-10, C-10, D-10, and E-10 are lower than the results implied by the LTV Sizing Benchmarks by three or more notches. These variances are warranted given the uncertainty around the workout timeline for Saks Global's bankruptcy filing, the transaction's increased propensity for an adverse selection of vacant properties, and the likelihood of value declines from issuance appraisals. 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. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Classes X-A-10 and X-B-10 are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO credit rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. INVESCO US 2026-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Invesco U.S. CLO 2026-1, Ltd. Entity/Debt Rating ----------- ------ Invesco U.S. CLO 2026-1, Ltd. A LT NRsf 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 F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Invesco U.S. CLO 2026-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Invesco CLO Equity Fund 5 L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.8% first-lien senior secured loans and has a weighted average recovery assumption of 74.85%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Invesco U.S. CLO 2026-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. INVESCO US 2026-1: Moody's Assigns B3 Rating to $500,000 F Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of notes issued by Invesco US CLO 2026-1, Ltd. (the Issuer or Invesco 2026-1): US$315,000,000 Class A Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$65,000,000 Class B Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aa2 (sf) US$500,000 Class F Deferrable Junior Secured Floating Rate Notes due 2039, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Invesco 2026-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of senior unsecured loans, second lien loans, first-lien last-out loans and permitted debt securities. The portfolio is approximately 95% ramped as of the closing date. Invesco CLO Equity Fund 5, L.P. (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2715 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. JP MORGAN 2026-NQM2: Moody's Assigns (P)B3 Rating to Cl. B-2 Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 10 classes of residential mortgage-backed securities (RMBS) to be issued by J.P. Morgan Mortgage Trust 2026-NQM2, and sponsored by JPMorgan Chase Bank, N.A. and CMF Loan I LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by JPMorgan Chase Bank, N.A., including loans aggregated by MAXEX Clearing LLC (MAXEX; 18.9% by loan balance) and originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing and Selene Finance LP. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2026-NQM2 Cl. A-1, Assigned (P)Aaa (sf) 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-2, Assigned (P)Aa3 (sf) Cl. A-3, Assigned (P)A3 (sf) Cl. M-1, Assigned (P)Baa3 (sf) Cl. B-1, Assigned (P)Ba3 (sf) Cl. B-2, Assigned (P)B3 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 2.74%, in a baseline scenario-median is 1.98% and reaches 24.38% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. JPMCC COMMERCIAL 2019-COR4: Fitch Affirms B- Rating on G-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of JPMCC Commercial Mortgage Securities Trust 2019-COR4 commercial mortgage pass-through certificates (JPMCC 2019-COR4). The Outlooks for two of the affirmed classes were revised to Stable from Negative. The Outlooks for classes B, C, D, E, F-RR, G-RR, X-B, and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2019-COR4 A-3 48128YAU5 LT AAAsf Affirmed AAAsf A-4 48128YAV3 LT AAAsf Affirmed AAAsf A-5 48128YAW1 LT AAAsf Affirmed AAAsf A-S 48128YBA8 LT AA-sf Affirmed AA-sf A-SB 48128YAX9 LT AAAsf Affirmed AAAsf B 48128YBB6 LT Asf Affirmed Asf C 48128YBC4 LT BBBsf Affirmed BBBsf D 48128YAC5 LT BBsf Affirmed BBsf E 48128YAE1 LT BB-sf Affirmed BB-sf F-RR 48128YAG6 LT B+sf Affirmed B+sf G-RR 48128YAJ0 LT B-sf Affirmed B-sf H-RR 48128YAL5 LT CCCsf Affirmed CCCsf X-A 48128YAY7 LT AA-sf Affirmed AA-sf X-B 48128YAZ4 LT BBBsf Affirmed BBBsf X-D 48128YAA9 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Stable 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have been relatively stable at 7.6% compared to Fitch's prior rating action at 7.2%. There are 15 Fitch Loans of Concern (FLOCs) (55.6%), including two loans (3.9% of the pool) in special servicing. The affirmations and Stable Outlooks reflect the generally stable pool performance and loss expectations since Fitch's prior rating action. The Outlook revisions to Stable from Negative mostly reflect the improving performance of the office property, 400 South El Camino (9.2% of the pool). The Negative Outlooks reflect the potential for a future downgrade if the FLOCs' performance continue to deteriorate, primarily 400 South El Camino, Saint Louis Galleria (6.0%), and Grand Hyatt Seattle (4.5%). Largest Contributors to Loss: The largest contributor to overall pool loss expectations and largest increase since the prior review is the Saint Louis Galleria loan, which is secured by a 465,695-sf (collateral) of a 1,179,747-sf super-regional mall located in St. Louis, Missouri. The mall is anchored by Dillard's, Macy's and Nordstrom (closed Aug. 2025) which are non-collateral tenants. The loans performance has steadily deteriorated since issuance. Property occupancy was reported as 85% as of September 2025, down from 88% as of YE 2024, 89% at YE 2023, and 91% at YE 2022. The servicer-reported Net Operating Income (NOI) Debt Service Coverage Ratio (DSCR) was 1.07x as of September 2025, a decline from 1.16x as of YE 2024, 1.63x at YE 2023, and 1.57x at YE 2022. According to the master servicer, the loan recently transferred to special servicing in April 2026. According to the most recent trailing-twelve-months ended June 2025 tenant sales report, total comparable in line sales for tenants with less than 10,000-sf (Including Apple) was $610 psf, while total comparable in-line sales for tenants with less than 10,000-sf (Excluding Apple) was $425 psf. Galleria 6 Cinemas reported sales per screen of $222,565 for the same period. Fitch's 'Bsf' rating case loss of 24.7% (prior to concentration adjustments) is based on a 12.0% cap rate and 7.5% stress to the trailing-twelve-months ended March 2025 NOI, and factors in an increased probability of default due to the loan's recent transfer to special servicing. The second largest contributor to overall pool loss expectations is the 400 South El Camino loan, which is secured by a 145,877-sf office building in San Mateo, CA located approximately 20 miles south of the San Francisco CBD. Property performance has improved with occupancy increasing to 95.3% as of January 2026 from 64% as of September 2023 when the largest tenant, Alibaba Group (29% of the NRA), vacated at lease expiration in July 2023 and the former second-largest tenant, ZS Associates (20% of the NRA), vacated at lease expiration in April 2022. Per the January 2026 rent roll, there were 19 new leases from 2024 through 2026 consisting of 48% of the NRA. The property has upcoming lease rollover of 8% in 2026 and 25% in 2027. The NOI DSCR as of December 2025 was 1.23x compared to 0.77x at December 2024, 1.22x as of YE 2023, 1.41x at YE 2022, and 1.46x at YE 2021. Fitch's 'Bsf' rating case loss of 13.7% (prior to concentration adjustments) reflects a 10% stress to the YE 2025 NOI and a 10% cap rate as well as a higher probability of default to account for the potential drop in occupancy due to the large amount of upcoming lease rollover. The 'Bsf' rating case loss declined from 21.4% at the prior review. The third-largest contributor to overall pool loss expectations is the Hampton Inn & Suites Alpharetta (1.4%), which is secured by a 103-unit limited service hotel located in Alpharetta, GA, built in 1999 and renovated in 2014. The loan transferred to special servicing in February 2025 due to monetary default after the borrower provided notice that they will no longer cover cashflow shortfalls. As of April 2026, the loan is 90-day delinquent. The NOI DSCR was -0.19x at YE 2025, compared to 0.68x at YE 2024, 1.42x at YE 2023, 1.38x at YE 2022, and 0.21x at YE 2021. Fitch's 'Bsf' rating case loss of 49.7% (prior to concentration adjustments) reflects a stress to the most recent appraisal which equates to approximately $67,000 per key. Seattle MSA FLOCs: The transaction has three loans located in the Seattle MSA that have been identified as FLOCs due to underperformance or sponsor concerns. Two hotel loans in the pool, which share the same sponsor, the Renaissance Seattle (10.4%) and the Grand Hyatt Seattle (4.5%), continue to underperform issuance expectations. The Renaissance Seattle reported occupancy of 72.7% at TTM Jan 2026 with NOI DSCR of 1.64x at YE 2025 and 1.26x at YE 2023. The Grand Hyatt Seattle reported occupancy of 73.5% at TTM September 2025 with NOI DSCR of 1.14x at YE 2025 and 1.29x at YE 2024. The Sorento Flats loan (2.5%), which is secured by a 156-unit multifamily property in Seattle, transferred to special servicing in May 2023 due to the bankruptcy of the guarantor. The TTM September 2025 NOI DSCR was 1.04x compared to 1.12x at YE 2024 and 1.84x at YE 2023. The lender has permitted the borrower to market the asset for sale, subject to certain conditions imposed by the lender. Fitch's 'Bsf' rating case loss of 23.4% (prior to concentration adjustments) reflects a stress to the most recent appraisal which equates to approximately $98,000 per unit. Changes in Credit Enhancement (CE): As of the April 2026 distribution date, the aggregate balance of the transaction has been paid down by 4.3% since issuance. The transaction has two loans (7.3%) that have fully defeased. Cumulative interest shortfalls of $322,420 are affecting the non-rated NR-RR class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior 'AAAsf' rated classes are not expected due to increasing credit enhancement (CE) and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur with prolonged workouts or with further performance deterioration with respect to 400 South El Camino and Saint Louis Galleria, if performance of the other FLOCs deteriorates further or if more loans than expected default at or prior to maturity; - Downgrades for classes rated in the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with additional deterioration in performance of the FLOCs, if additional loans or with greater certainty of losses on the specially serviced loans or other FLOCs; - Downgrades to the 'CCCsf' rated class would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance or valuations on the FLOCs, particularly 400 South El Camino and Saint Louis Galleria; - Upgrades to the 'BBBsf' category rated class would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur with sustained improved performance of the FLOCs; - Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and would only occur if the performance of the remaining pool is stable and there is sufficient CE to the classes; - Upgrades to the distressed 'CCCsf' rated class is not expected, but possible with better than expected recoveries on FLOCs and specially serviced loans. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JPMMT TRUST 20-26-HE1: DBRS Gives (P)Bsf Rating on Cl. B-3 Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following Mortgage Participation Pass-Through Certificates, Series 2026-HE1 (the Notes) to be issued by JPMMT Trust 2026-HE1 (JPMMT 2026-HE1): -- $231.6 million Class A-1 at (P) AAA (sf) -- $231.6 million Class A-1A at (P) AAA (sf) -- $34.3 million Class A-1B at (P) AAA (sf) -- $52.3 million Class M-1 at (P) AA (low) (sf) -- $27.6 million Class M-2 at (P) A (low) (sf) -- $29.2 million Class M-3 at (P) BBB (sf) -- $17.7 million Class B-1 at (P) BB (sf) -- $4.8 million Class B-2 at (P) B (high) (sf) -- $3.2 million Class B-3 at (P) B (sf) The (P) AAA (sf) credit rating on Classes A-1, A-1A, and A-1B (collectively, the Class A Notes) reflects 22.50% of credit enhancement provided by subordinate notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (sf), (P) BB (sf), (P) B (high) (sf), and (P) B (sf) credit ratings reflect 14.35%,10.05%, 5.50%, 2.75%, 2.00%, and 1.50% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The securitization is backed by recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of the Certificates The Certificates are backed by 6,258 loans with a total unpaid principal balance (UPB) of $640,491,967 and a total current credit limit of $783,853,810 as of the Cut-Off Date (March 31, 2026). The collateral description and disclosure on the mortgage loans in the presale report reflect the approximate aggregate characteristics as of the Cut-Off Date unless otherwise specified. The portfolio is, on average, six months seasoned with loan ages ranging from one to 43 months. All of the loans are current and have never been 30+ days delinquent since origination. All of the loans are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. JPMMT 2026-HE1 represents the 10th securitization of 100% HELOCs by JPMorgan Securities LLC. The performance of the previous transactions to date has been satisfactory. HELOC FEATURES In this transaction, all loans are open HELOCs that have a draw period between two and 10 years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. The temporary freeze of the credit line may happen for a few reasons, including, but not limited to, a decrease in value of the related mortgaged property, a material change in a borrower's financial circumstances, a default by the related borrower under the related line of credit agreement, or a change in delinquency status. After the draw term and interest-only (IO) period, HELOC borrowers have a repayment period and are no longer allowed to draw. All the HELOCs in this transaction are floating-rate loans with two-, three-, five-, and 10-year IO payment periods, though some align with the shorter draw period. No loan requires a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes, and 21.8% of the borrowers are self-employed. While these HELOCs do not need to be fully drawn at origination, the weighted-average utilization rate is approximately 91.0% after six months of seasoning on average. TRANSACTION AND OTHER COUNTERPARTIES The HELOCs were originated by United Wholesale Mortgage, LLC (60.3%), Better Mortgage Corporation (25.1%), and other originators (each less than 10.0%). NewRez LLC doing business as Shellpoint Mortgage Servicing (Shellpoint) (93.9%) and loanDepot.com, LLC (loanDepot) (6.1%) will service the loans within the pool. LoanDepot's annual servicing fee is 0.5% of the UPB. Shellpoint's servicing fees are fee-based, subject to a monthly Participation Certificate (PC) fee cap, with some loans also subject to an overall cap of 0.5% per annum. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will serve as the Custodian. Wilmington Savings Fund Society, FSB will serve as Securities Administrator and Owner Trustee. ADDITIONAL CASH FLOW ANALYTICS FOR HELOCS Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Unlike other HELOC transactions rated by Morningstar DBRS, because the future loans related to the HELOCs will not be allocated to JPMMT 2026-HE1's PCs, draws were not stressed. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the Mortgage Bankers Association delinquency method will be charged off. TRANSACTION STRUCTURE This transaction incorporates a pro rata cash flow structure; however, principal payment will be distributed sequentially so long as none of the Class M-1, M-2, or M-3 Certificates is a Locked Out Class, as described in the presale report under the Cash Flow Structure and Features section. On the first Payment Date, each of the Class M-1, M-2, and M-3 Certificates will be locked out from receiving principal payments. The pro rata cash flow structure is subject to a Trigger Event, which is based on certain performance trigger events related to cumulative losses, delinquencies, and credit support depletion. If a Trigger Event is in effect, principal distributions are made sequentially. Cumulative Loss, Delinquency, and Credit Support Depletion Trigger Events are applicable immediately after the Closing Date. Additionally, the pro rata principal distributions to Class A-1A and A-1B are subject to the Subordination Credit Support Depletion Trigger Event. If the Subordination Credit Support Depletion Trigger Event is in effect, principal distributions are made sequentially. Relative to a sequential pay structure, a pro rata structure subject to sequential triggers is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. OTHER TRANSACTION FEATURES The Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Certificates to satisfy the credit risk-retention requirements. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date but no longer than the seventh anniversary of the Closing Date. For this transaction, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable. On any payment on or after the earlier of (1) the third anniversary of the Closing Date or (2) the first payment date when the UPB falls to or below 30% of the Cut-Off Date UPB but no sooner than the second anniversary of the Closing Date, the Optional Redemption Holder may exercise a call and purchase all of the outstanding Certificates at the redemption price (Optional Redemption) described in the transaction documents. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the real estate owned properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the Retaining Sponsor will have the option to purchase the mortgage loans and cause an early retirement of the Certificates. The credit ratings reflect transactional strengths that include the following: -- Robust equity and prime credit quality; -- Current loan status; and -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- Representations and warranties standard; -- No Servicer advances of delinquent P&I; and -- Certain limitations of third-party due diligence valuation reviews. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the related certificates are Interest Distribution Amount, Interest Carryforward Amount, and Class Principal Amount. 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 Amount based on its position in the cash flow waterfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. JPMORGAN STUDENT 2007-A: Moody's Cuts Rating on Cl. B Certs to Ba2 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating of the Class B notes from JPMorgan Student Loan Trust 2007-A, which is sponsored by JPMorgan Chase Bank, N.A and administered by Navient Solutions, LLC (Navient). The securitization is backed by student loans originated under the Federal Family Education Loan Program (FFELP) that are guaranteed by the US government for a minimum of 97% of defaulted principal and accrued interest. A comprehensive review of all credit ratings for the transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: JPMorgan Student Loan Trust 2007-A CL. B, Downgraded to Ba2 (sf); previously on Jul 1, 2025 Downgraded to Baa1 (sf) RATINGS RATIONALE The rating action is primarily driven by the updated performance of the transaction and updated expected loss on the tranche across Moody's scenarios. Moody's quantitatives analysis derives the expected loss of the tranche using 28 cash flow scenarios with weights accorded to each scenario. The downgrade action is a result of Moody's analysis indicating that the notes will not pay off by final maturity date in some of Moody's 28 cash flow scenarios, thus causing the bond to incur an expected loss that is higher than the expected loss benchmarks set in Moody's idealized loss tables for the current rating. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "FFELP Student Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the ratings if the paydown speed of the loan pool increases as a result of declining borrower usage of deferment, forbearance and IBR, increasing voluntary prepayment rates, or prepayments with proceeds from sponsor repurchases of student loan collateral. Moody's could also upgrade the ratings owing to a build-up in credit enhancement. Down Moody's could downgrade the rating of the notes if Moody's were to downgrade the rating on the United States government. Further, Moody's could downgrade the ratings if the paydown speed of the loan pool declines as a result of lower than expected voluntary prepayments, and higher than expected deferment, forbearance and IBR rates, which would threaten full repayment of the class by its final maturity date. Moody's could also downgrade the ratings owing to a reduction in credit enhancement. JW COMMERCIAL 2026-MRCO: Fitch Gives BB-(EXP) Rating on HRR Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Ratings Outlooks to JW Commercial Mortgage Trust 2026-MRCO, Commercial Mortgage Pass Through Certificates, Series 2026-MRCO. - $331,400,000 class A 'AAAsf'; Outlook Stable; - $98,400,000 class B 'AA-sf'; Outlook Stable; - $76,700,000 class C 'A-sf'; Outlook Stable; - $79,400,000 class D 'BBB-sf'; Outlook Stable; - $69,600,000 class E 'BBsf'; Outlook Stable; - $34,500,000a class HRR 'BB-sf'; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $690.0 million, two-year, floating-rate, interest-only commercial mortgage loan, with three, one-year extension options. The loan will be secured by a first-priority lien on the borrowers' fee interests and the operating lessee's leasehold interests in three properties located on Marco Island, FL: the JW Marriott Marco Island, Hammock Bay Golf & Country Club and The Rookery at Marco. The JW Marriott Marco Island is an 809-key, AAA Four Diamond luxury full-service beachfront resort, while Hammock Bay Golf & Country Club and The Rookery at Marco are 18-hole golf courses. The resort is being acquired by a joint venture between affiliates of Trinity Fund Advisors LLC (Trinity) and Sculptor Real Estate Advisors LP (Sculptor), which will act as borrower sponsors. This transaction will use a PropCo/OpCo framework in which MIH PropCo LLC, MIH Rookery LLC and MIH Hammock Bay LLC, each a special-purpose entity, own the mortgaged real estate and related assets. MIH OpCo LLC, also a single-purpose entity, leases the mortgaged property under the operating lease and is responsible for operating, leasing, managing and maintaining the hotel and related operations. Loan proceeds, along with approximately $208.9 million of borrower sponsor equity, will be used to facilitate the acquisition of the property for a purchase price of approximately $835.0 million, fund an upfront replacement reserve of $32.5 million, a Lanai Tower renovation reserve of $12.4 million, a working capital reserve of $5.0 million and pay estimated closing costs of $14.0 million. The loan is expected to be co-originated by Wells Fargo Bank, National Association and JPMorgan Chase Bank, National Association, which will act as mortgage loan sellers. KeyBank National Association will act as servicer and special servicer. Computershare Trust Company, National Association will serve as the trustee and certificate administrator. Park Bridge Lender Services LLC will be the operating advisor. The certificates will follow a sequential-paydown structure and the transaction is scheduled to close on or about May 15, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings' stressed net cash flow (NCF) for the property is estimated at $74.9 million; this is 4.5% lower than the issuer's NCF, 2.4% below the March 2026 TTM NCF and 5.3% below the YE 2023 NCF. Fitch applied a 9.75% cap rate to derive a Fitch value of approximately $768.4 million. High Fitch Leverage: The loan equates to debt of approximately $852,905 per guestroom with a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield of 1.14x, 89.8% and 10.9%, respectively. Based on the appraiser's concluded "as-is" market value of $950.0 million, the LTV is approximately 72.6%. Strong Asset Quality in Prime Location: The 809-key resort is situated on a 27.6-acre beachfront site with approximately one-quarter-mile of resort-controlled, managed beachfront. The resort is one of a limited number of properties in the region that, due to grandfathering in of government regulations, is exempt from maintaining protective dunes along its beachfront, providing guests with fully unobstructed beach access. Beach and water-based activities include parasailing, watersports rentals, sailing and shelling excursions, and fishing opportunities. The resort also offers Paradise by Sirene, a highly amenitized, adults-only concept for a portion of the rooms, plus 12 on-site food and beverage outlets, two 18-hole golf courses with dining and pro shops, a luxury full-service spa, approximately 120,000 sf of meeting space, and 95,000 sf outdoor event space. Fitch assigned the property a property quality grade of "A-". Experienced Sponsorship and Brand Management: Trinity is a real estate investment, asset management and development firm primarily focused on hospitality investments. Sculptor is a global alternative investment manager with current and prior ownership of more than 20 Marriott-branded properties and over 30 golf courses. The resort is operated by Marriott International under the JW Marriott flag, pursuant to a long-term management agreement that expires in 2076. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf'; - 10% NCF Decline: 'AAAsf'/Asf '/'BBB-sf'/'BBsf'/'B+sf'/'Bsf'. 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 the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf '/'A+sf'/'BBBsf'/'BB+sf'/'BBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. KRE COMMERCIAL 2026-ICNA: DBRS Finalizes BB(low) on HRR Certs ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-ICNA (the Certificates) issued by KRE Commercial Mortgage Trust 2026-ICNA: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class HRR at BB (low) (sf) All trends are Stable. The KRE Commercial Mortgage Trust 2026-ICNA single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in The Icona, a 752,132-square-foot (sf) two-tower office and retail property. The property is in Mission Bay, San Francisco, and is a LEED Platinum-certified urban research campus with mixed-use life sciences lab, office, and retail space. The property was constructed in 2018 by Kilroy Realty Corporation and was subsequently acquired by the sponsor, KKR Real Estate (KKR) in 2021 for approximately $1.08 billion; this financing was securitized in the commercial mortgage-backed securities transaction DROP Mortgage Trust 2021-FILE. Since acquiring the property in 2021, the sponsor has invested approximately $81.0 million in capital expenditures (capex). Approximately $40.0 million was used to transform traditional office space into speculative lab space in the north tower. An additional $38.5 million was used in tenant improvements for the converted VIR Biotechnology Inc. (VIR) space. The office portion of the property was initially 100% leased to Dropbox as its headquarters. In October 2020, Dropbox decided to shift the company to incorporate a Virtual First strategy and made virtual work customary for its employees following the coronavirus pandemic. In 2023, the sponsor and Dropbox negotiated a lease amendment where Dropbox reduced its footprint at the property with the payment of a termination fee of approximately $475 per sf. Following the giveback of space, the sponsor was then able to sign direct leases at the property with tenants that previously subleased space from Dropbox. As of March 2026, the property was 85.9% leased to five unique office, retail, and life sciences tenants. The largest tenant, Dropbox, represents 438, 941 sf of space, or 58.4% of the total net rentable area (NRA); Dropbox currently subleases almost all of its remaining space, including 282,126 sf of space to OpenAI, through the remainder of its initial lease term until 2033. The second-largest tenant is VIR, which leases approximately 133,896 sf of space, or 17.8% of the total NRA; its lease extends until December 2033. The third-largest tenant is Nudge, which leases 62,250 sf of space, or 8.3% of the total NRA; Nudge currently has an executed lease in place and will move in starting March 2027, with its lease extending until August 2035. Both Nudge and VIR were previously subleasing space through Dropbox. In total, only 1.3% of the NRA will roll through 2031, which is the final year of fully extended loan maturity. The property currently has a weighted-average lease term of 8.2 years and therefore is not structured with any upfront reserves. However, the borrower has the right to enter in a partial termination with Dropbox following specific conditions, such as if the borrower enters into either a direct lease with any subtenant that is then subleasing such terminated space from Dropbox or a new lease with a new tenant for such terminated spaced if certain conditions are met. Any termination fee received will go into a reserve to address gap rent or leasing costs. The sponsor for this transaction is KKR, a leading global real estate platform with more than $85.0 billion in assets under management as of September 2025. KKR's real estate platform consists of equity and credit across the Americas, Europe, and Asia; through its diversified assets, the company spans all asset classes including office, hospitality, and multifamily. KKR has a vested interest in the success of The Icona as exhibited by its $500 million invested in the subject and $40.0 million in capex. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related principal distribution amounts and interest distribution amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, the credit ratings do not address Spread Maintenance Payments. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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. LOANCORE 2021-CRE6: DBRS Confirms B(low) Rating on Cl. G Notes -------------------------------------------------------------- DBRS Limited (Morningstar DBRS) upgraded its credit ratings on three classes of notes issued by LoanCore 2021-CRE6 Issuer Ltd. as follows: -- Class B Notes to AA (high) (sf) from AA (low) (sf) -- Class C Notes to A (high) (sf) from A (low) (sf) -- Class D Notes to BBB (high) (sf) from BBB (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class E Notes at BBB (low) (sf) -- Class F Notes at BB (low) (sf) -- Class G Notes at B (low) (sf) All trends are Stable. The credit rating upgrades for the Class B, C, and D Notes reflect the $275.2 million of principal repayment since the last credit rating action in May 2025, which has increased overall credit enhancement for the senior bonds and further insulated them from potential losses. As the transaction winds down, the concentration of office-backed collateral has increased to more than 50% as of the March 2026 remittance. This increased exposure, coupled with the presence of several loans of concern within the top 10, remains a key consideration supporting the credit rating confirmations for the Class E, F, and G Notes. Morningstar DBRS' analysis included a conservative value exercise for office-backed assets and other underperforming loans that indicated total value deficiency would affect the Class F certificate, further supporting the credit rating confirmations and Stable trends for the most junior bonds. As of the March 2026 remittance, 12 loans remained in the pool, down from 21 at the May 2025 review. Of the remaining loans, five (52.0% of the remaining pool balance) are secured by office-backed collateral. Although there are no loans in special servicing and only one loan on the servicer's watchlist (Santa Fe Ranch; Prospectus ID#5, 10.9% of the pool balance), Morningstar DBRS has concerns about several loans that have failed to achieve their respective business plans. Given the changing market dynamics, Morningstar DBRS' analysis included a stressed capitalization rate analysis that increased both the as-is and as-stabilized loan-to-value (LTV) ratios in the model, in addition to probability of default (POD) adjustments as necessary. In conjunction with this press release, Morningstar DBRS published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction, as well as business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. The only loan on the servicer's watchlist, Santa Fe Ranch, is secured by a 357-unit apartment complex in Irving, Texas. The loan is being monitored on the servicer's watchlist for a low debt service coverage ratio that was reported at just 0.52 times as of the November 2025 financial reporting. The borrower's business plan focused on increasing occupancy and rental rates by completing unit renovations. As of the November 2025 rent roll, the property was 85.7% occupied, down from 97.2% at issuance. According to the Q4 2025 collateral manager update, 81 units have been renovated, of which 61 have been leased at an average rental rate of $1,682/month, exceeding both the Issuer's stabilized projection of $1,670/month and the North Irving submarket average effective rental rate of $1,607/month, per Reis. Given the stalled business plan and low in-place cash flow, Morningstar DBRS applied upward as-is and stabilized LTV adjustments in its analysis, resulting in an expected loss that was approximately 80.0% of the pool average. Through December 2025, the lender had advanced cumulative loan future funding of $67.6 million allocated to nine of the 12 remaining individual borrowers to aid in property stabilization efforts. Some of the largest advances have been made to the borrowers of loans secured by office properties, including 110 Atrium ($21.5 million) and 433 North Camden ($15.0 million). These properties are in Bellevue, Washington, and Beverly Hills, California, respectively, with the advanced funds used primarily to fund capital expenditure projects and leasing costs. An additional $19.8 million of future funding allocated to five individual borrowers remains available. The largest portion of the available funds, $8.2 million, is allocated to the borrower of the Tower 250 loan (Prospectus ID#41, 5.8% of the pool), which is secured by an office property in Salt Lake City. Funds are available to finance capital expenditure projects and leasing costs. The borrower is behind in its stabilization plan, as according to the Q4 2025 update from the collateral manager, the property was only 55.8% occupied with a net cash flow that is approximately $2 million below Morningstar DBRS' projections. The loan matures in January 2027, and, as such, Morningstar DBRS applied an upward stabilized LTV adjustment of approximately 65.0% in addition to an increased POD penalty. The adjustments resulted in an increased loan-level expected loss approximately two times greater than the pool average. 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. LOBEL AUTOMOBILE 2026-1: DBRS Confirms (P)B(low) Rating on F Notes ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) confirmed its provisional credit ratings on the classes of notes (the Notes) to be issued by Lobel Automobile Receivables Trust 2026-1 (the Issuer or LOBEL 2026-1) as follows: -- $117,556,000 Class A Notes at (P) AAA (sf) -- $27,458,000 Class B Notes at (P) AA (low) (sf) -- $25,905,000 Class C Notes at (P) A (low) (sf) -- $21,074,000 Class D Notes at (P) BBB (low) (sf) -- $16,825,000 Class E Notes at (P) BB (low) (sf) -- $15,028,000 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 52.58% 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%, 30.60%, 21.92%, 14.99%, 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. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. Notes: All figures are in U.S. dollars unless otherwise noted. MAGNETITE LIV: Fitch Assigns 'BB-sf' Final Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Magnetite LIV, Limited. Entity/Debt Rating Prior ----------- ------ ----- Magnetite LIV, Limited A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Magnetite LIV, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BlackRock Financial Management, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.38 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.71% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 27 March 2026 ESG Considerations Fitch does not provide ESG relevance scores for Magnetite LIV, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. MELLO WAREHOUSE 2026-1: DBRS Assigns Bsf Rating to Two Tranches --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to Mello Warehouse Securitization Notes, Series 2026-1 (the Notes) to be issued by Mello Warehouse Securitization Trust 2026-1 (MWST 2026-1) as follows: -- $335.0 million Class A at (P) AAA (sf) -- $5.5 million Class B at (P) AA (sf) -- $52.5 million Class C at (P) A (sf) -- $46.8 million Class D at (P) BBB (low) (sf) -- $40.3 million Class E at (P) B (sf) -- $20.0 million Class F at (P) B (sf) The (P) AAA (sf) credit rating reflects 33.00% of credit enhancement provided by subordinated notes. The (P) AA (sf), (P) A (sf), and (P) BBB (sf) credit ratings reflect 31.90%, 21.40%, and 12.05% of credit enhancement, respectively. The (P) B (sf) credit ratings on the Class E and Class F Notes reflect the Long-Term Issuer Rating of the Repo Guarantor. Other than the classes specified above, Morningstar DBRS does not rate any other classes in this transaction. The securitization is backed by a three-year revolving warehouse facility and funded by the issuance of the Notes. The warehouse facility will be sponsored by loanDepot.com, LLC (loanDepot) and consists of a revolving pool of first-lien, fixed- or adjustable-rate eligible mortgage loans originated by loanDepot in accordance with the purchase criteria of Fannie Mae or Freddie Mac (the GSEs) or in accordance with the criteria of Ginnie Mae for the guarantee of securities backed by mortgage loans or AUS-underwritten jumbo mortgage loans that are not eligible for purchase by the GSEs solely due to loan size. The characteristics of the revolving pool include a minimum weighted-average (WA) FICO score of 720 and a maximum WA loan-to-value (LTV) ratio of 85.0%. All the mortgage loans in this warehouse facility may be originated with electronic contracts. The electronic contracts will be held in an electronic vault or in some manner intended to satisfy the requirements to establish control of a transferable record pursuant to the requirements under E-SIGN and Uniform Electronic Transactions Act (UETA). This transaction is the twelfth warehouse securitization sponsored by loanDepot. Only two of the previously issued securitizations are outstanding and remaining ten have subsequently paid off. U.S. Bank National Association (US Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Standby Servicer and Securities Intermediary. U.S. Bank Trust Company, National Association (US Bank Trust Co.; rated AA with a Stable trend by Morningstar DBRS) will act as Indenture Trustee, Note Calculation Agent, and Collateral Agent. Wilmington Savings Fund Society, FSB will serve as the Owner Trustee, and Deutsche Bank National Trust Company (DBNTC) will serve as the Mortgage Loan Custodian. The Repo Buyer (MWST 2026-1) will enter into a master repurchase agreement (MRA) with the Repo Seller (loanDepot) and the Collateral Agent. The MRA will provide for the transfer by the Repo Seller, against the transfer of the purchase price by the Repo Buyer, of eligible mortgage loans, with a simultaneous agreement by the Repo Buyer to transfer such purchased mortgage loans to the Repo Seller against the transfer of the repurchase price. The Repo Seller will repurchase all purchased mortgage loans no later than 30 days following the related purchase date. However, such loans will automatically be purchased again by the Repo Buyer unless (1) such the loan has already been in the facility for more than 120 days in the aggregate (whether or not consecutive), (2) the loan is purchased by a takeout investor, (3) the loan ceases to be an eligible mortgage loan, or (4) at the expiration of the facility. If any purchased loan exits this transaction and the Repo Seller has not exercised its prepayment option, the Repo Seller will be required to transfer one or more additional eligible mortgage loans and/or cash in exchange for the purchased mortgage loans that have been reacquired by the Repo Seller. The aggregate principal balance of all purchased mortgage loans pledged as collateral plus amounts on deposit in the Repo Buyer's account will at all times be at least equal to the outstanding aggregate balance of the Notes. The minimum amount of eligible mortgage loans purchased by the Repo Buyer will be $50,000,000. The MRA will terminate on the earlier of (1) April 24, 2029; (2) the Repo Seller exercising its right to optional prepayment in full; or (3) the date of the occurrence of a repo event of default. During the revolving period the Repo Seller will be required to make interest payments to the Notes and additionally post cash or additional eligible mortgage loans to meet any margin deficit. In general, it is expected that the Notes will not receive payments of principal until the end of the revolving period unless the Repo Seller chooses to exercise an optional prepayment. If the Repo Seller defaults under the MRA then the source of interest and principal payments to the Notes is expected to be the purchased mortgage loans that remain in the facility. If an event of default occurs and it has not been waived, the Indenture Trustee will be required to conduct one or more auctions over a four-month period to sell the collateral. The Trustee is not allowed to sell the collateral unless liquation proceeds are adequate to make the Class A, Class B, Class C, Class D, and Class E Notes whole (minimum sale price). If the collateral is not sold then collections from the purchased mortgages are used to make payments to the Notes. Post default, the transaction employs a sequential-payment structure. LD Holdings Group LLC (LD Holdings), rated 'B' with a Stable trend by Morningstar DBRS, will serve as Repo Guarantor in this transaction. LD Holdings is a holding company that owns majority equity interest in loanDepot and several other affiliated businesses operating in the broader real estate and mortgage sectors. As a Repo Guarantor, LD Holdings will guarantee all the payment obligations of Repo Seller under the MRA. For this transaction, the ratings assigned to the notes are the higher of (i) the Repo Guarantor's Long-Term Issuer Rating and ii) the ratings of the notes solely based on the strength of the mortgage loans backing the notes. At the end of the revolving period, if the Repo Guarantor does not satisfy its obligations, then the ratings of the notes will be evaluated only on the strength of the mortgage loans backing the notes. As of the Closing Date, the Class E and Class F Notes credit ratings will be based on the Long-Term Issuer Rating of the Repo Guarantor. The coupon rates for the Notes are based on the one-month term Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available, please see the Private Placement Memorandum (PPM) for more details. The credit ratings reflect transactional strengths that include the following: -- Well-qualified borrowers; -- Ongoing third-party due diligence; -- Standby servicer; -- Experienced loan custodian; and -- Margin maintenance. The transaction also includes the following challenges: -- Wet loans; -- Limited scope of third-party due diligence; and -- Representations and warranties framework. Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amount 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. For example, in this transaction, Morningstar DBRS' credit ratings do not address Basis Risk Shortfall Amount based on its occurrence of a Repo Trigger Event or the occurrence and continuation of an Indenture Event of Default. 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. MISSION LANE 2026-A: Fitch Gives B(EXP) Rating on Class F Notes --------------------------------------------------------------- Fitch Ratings expects to assign ratings to six classes of Mission Lane Credit Card Master Trust (MLCCMT), Series 2026-A, fixed-rate notes. The notes are backed by a revolving pool of receivables that arise under general purpose, consumer Visa credit card accounts originated and owned by Transportation Alliance Bank, Inc. (dba TAB Bank) and WebBank (both partner banks and account owners), and are serviced by Mission Lane LLC (Mission Lane). The Rating Outlook for the notes is Stable. Entity/Debt Rating ----------- ------ Mission Lane Credit Card Master Trust, Series 2026-A Class A LT AAA(EXP)sf Expected Rating Class B LT AA(EXP)sf Expected Rating Class C LT A(EXP)sf Expected Rating Class D LT BBB(EXP)sf Expected Rating Class E LT BB(EXP)sf Expected Rating Class F LT B(EXP)sf Expected Rating KEY RATING DRIVERS Receivables' Performance and Collateral Characteristics: Underlying collateral characteristics play a vital role in the performance of a credit card ABS transaction. Fitch closely examines collateral characteristics such as credit quality, seasoning, geographic concentration, delinquencies and utilization rate on the credit cards. The trust portfolio performance has been mixed, as weaker borrowers continue to face pressure from the macroeconomic environment and ongoing affordability constraints; however, performance remains within Fitch's expectations. As of the March 2026 collection period, 60+ day delinquencies had decreased to 5.96% from 6.37% one year ago, while gross charge-offs had ticked up to 17.13% from 15.04% in March 2025. Monthly payment rate (MPR) and gross yield (net of reversals) improved slightly, to 14.81% and 36.14%, respectively, compared to 13.91% and 35.16% one year ago. Credit enhancement (CE) is adequate, with loss multiples in line with the expected ratings and Fitch's applicable criteria. The Stable Rating Outlook on the notes reflects Fitch's expectation that performance will remain supportive of the ratings. Originator and Servicer Quality: Fitch considers the partner banks adequate originators and Mission Lane an adequate servicer, evidenced by the historical delinquency and loss performance of the managed and trust portfolio. Mission Lane, formerly operated as the credit card division of LendUp Loans LLC prior to its December 2018 spinoff as an independent company, has serviced credit card receivables since 2015. The availability of a warm backup servicer and the depth of the servicing market further mitigate operational risk. Counterparty Risk: Fitch's ratings of the notes are dependent on the financial strength of certain counterparties. Fitch believes this risk is mitigated by the ratings of the applicable counterparties to the transactions and contractual remedial provisions in the transaction documents that are in line with Fitch's counterparty criteria. Interest Rate Risk: The transaction carries a degree of interest rate mismatch, in line with the market. Interest rate risk is mitigated by the available CE, which comprises subordination (not available to class F), overcollateralization in the form of the subordinated transferor amount (STA) at 3.50% and a reserve account. CE supporting class A, B, C, D, E and F notes is 40.60%, 33.85%, 24.35%, 16.45%, 10.30% and 3.50%, respectively. The reserve account will be funded if the three-month average excess spread (XS) percentage falls to or below 4.00% and will not be funded at close. Steady State Assumptions: - Annualized Charge-offs: 17.00%; - MPR: 11.00%; - Annualized Yield: 29.50%; - Purchase Rate: 100.00%. Rating Case Assumptions for class A, B and C notes: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Charge-offs (multiple): 3.50x/3.00x/2.25x/1.75x/1.50x/1.10x; - MPR (haircut): 40.00%/35.00%/30.00%/25.00%/15.00%/7.50%; - Yield (haircut): 35.00%/30.00%/25.00%/20.00%/15.00%/10.00%; - Purchase Rate (haircut): 100.00%/100.00%/100.00%/100.00%/100.00%/100.00% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased charge-off rate: Expected ratings for class A, B, C, D, E and F notes (steady state: 17.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Increase steady state by 25%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'B+sf'/below 'Bsf'; - Increase steady state by 50%: 'AA-sf'/'Asf'/'BBB-sf'/'BB-sf'/'Bsf'/below 'Bsf'; - Increase steady state by 75%: 'A+sf'/'A-sf'/'BB+sf'/'B+sf'/below 'Bsf' /below 'Bsf'. Rating sensitivity to reduced MPR: Expected ratings for class A, B, C, D, E and F notes (steady state: 11.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 15%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BB-sf'/below 'Bsf'; - Reduce steady state by 25%: 'AA-sf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'/below 'Bsf'; - Reduce steady state by 35%: 'A+sf'/'BBB+sf'/'BB+sf'/'B+sf'/below'Bsf'/below 'Bsf'. Rating sensitivity to reduced purchase rate: Expected ratings for class A, B, C, D, E and F notes (100% base assumption): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 50%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 75%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 100%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'. Rating sensitivity to reduced gross yield: Expected ratings for class A, B, C, D, E and F notes (steady state: 29.50%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 15%: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB-sf'/below 'Bsf'; - Reduce steady state by 25%: 'AA+sf'/'AA-sf'/'A-sf'/'BB+sf'/'B+sf'/below 'Bsf'; - Reduce steady state by 35%:'AA+sf'/'AA-sf'/'BBB+sf'/'BBsf'/'Bsf'/below 'Bsf'. Rating sensitivity to increased charge-off rate and reduced MPR: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; Expected ratings for class A, B, C, D, E and F notes (charge-off steady state: 17.00%; MPR steady state: 11.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Increase charge-off steady state by 25% and reduce MPR steady state by 15%: 'AA-sf'/'Asf'/'BBB-sf'/'BBsf'/'Bsf'/below 'Bsf'; - Increase charge-off steady state by 50% and reduce MPR steady state by 25%: 'A-sf'/'BBBsf'/'BB-sf'/'Bsf'/below 'Bsf'/below 'Bsf'; - Increase charge-off steady state by 75% and reduce MPR steady state by 35%: 'BBB-sf'/'BBsf'/'Bsf'/below 'Bsf'/below 'Bsf'/below 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity to reduced charge-off rate: Expected ratings for class A, B, C, D, E and F notes (charge-off steady state: 17.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' '; - Reduce steady state by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'AA-sf'/'Asf'/'BBB-sf'. Some of the subordinate classes of MLCCMT, series 2026-A may be able to support higher ratings based on the output of Fitch's proprietary cash flow model. Since the credit card program is set up as a continuous funding program and requires that any new issuance does not affect the ratings of existing tranches, the CE levels are set up to maintain a constant rating level per class of issued notes and may provide more than the minimum CE necessary to retain issuance flexibility. Therefore, Fitch may decide not to assign or maintain ratings above the ratings in anticipation of future issuances. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touch LLP. The third-party due diligence described in Form 15E focused on the comparison and recomputation of certain information with respect to 300 credit card receivable accounts, selected from a credit card receivable listing with respect to 3,117,405 credit card receivable accounts. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2012-C5: Moody's Cuts Rating on Cl. X-C Certs to Ca ------------------------------------------------------------------ Moody's Ratings has affirmed the ratings on four classes and downgraded the rating on one class in Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 ("MSBAM 2012-C5"), Commercial Mortgage Pass-Through Certificates, Series 2012-C5 as follows: Cl. E, Affirmed B1 (sf); previously on Sep 17, 2024 Downgraded to B1 (sf) Cl. F, Affirmed B2 (sf); previously on Sep 17, 2024 Downgraded to B2 (sf) Cl. G, Affirmed Caa1 (sf); previously on Sep 17, 2024 Downgraded to Caa1 (sf) Cl. H, Affirmed Caa3 (sf); previously on Sep 17, 2024 Downgraded to Caa3 (sf) Cl. X-C*, Downgraded to Ca (sf); previously on Sep 17, 2024 Downgraded to Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the four principal and interest (P&I) classes were affirmed based on their level of credit support, the performance of the remaining loans in the pool, and Moody's expectations regarding future principal paydowns and losses. Only two loans remain in the pool. The sole performing loan, Legg Mason Tower (70% of the pool), passed its anticipated repayment date (ARD) in July 2022 and is secured by an office property with occupancy and cash flow declines in recent years. The other loan, The Distrikt Hotel (30% of the pool), has been delinquent for several years and has been deemed non-recoverable by the master servicer. The exposure to the specially serviced hotel loan and the troubled office loan increases the potential for higher interest shortfalls and higher potential losses if these loans remain or become delinquent. The rating on one IO Class, Cl. X-C, was downgraded based on paydowns of higher rated referenced classes. Cl. X-C originally referenced Cl. C through Cl. J, however, Cl. C and Cl. D have now paid off in full, and Cl. E has paid down nearly 67%. Moody's rating action reflects a base expected loss of 25.3% of the current pooled balance. Moody's base expected loss plus realized losses is now 2.3% of the original pooled balance. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the April 2026 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $109.5 million from $1.35 billion at securitization. The certificates are collateralized by two remaining mortgage loans. Three loans have been liquidated from the pool, contributing to an aggregate realized loss of $3.3 million (for an average loss severity of 8.3%). One loan, the Distrikt Hotel Loan ($32.6 million – 29.7% of the pool), is currently in special servicing. The specially serviced loan is secured by the leasehold interest in a 32-story, 155-room, full-service hotel located in the Times Square neighborhood of New York, New York. The property operates under a Hilton flag as part of their "Tapestry Collection." The collateral is subject to a ground lease with an expiration in April 2111. The loan has been in special servicing since April 2020 and has been deemed non-recoverable by the master servicer. The loan does not have any servicer advances, but has accrued $5.9 million of cumulative non-recoverable interest and is last paid through its October 2022 payment date. The special servicer commentary indicates they have engaged a broker and listed the hotel for sale with an expected disposition in 3Q 2026. Moody's have also identified the sole performing loan, the Legg Mason Tower Loan ($77.0 million -- 70.3% of the pool), as a troubled loan due to its performance declines in recent years. The loan is secured by a 24-story, 612,613 SF, Class A multi-tenant office property located in Baltimore, Maryland. The largest tenant at securitization, Legg Mason, vacated 44% of the property upon lease expiration in August 2024. The vacated tenant contributed to the property being only 66% leased as of September 2025, compared to 70% as of December 2024 and 100% as of December 2023. The loan passed its ARD date in July 2022 and is currently in its hyper-amortization period (having amortized 56.8% since securitization) with a final maturity in July 2027. The property is located in the Harbor East waterfront section of downtown Baltimore, Maryland. The CBD Baltimore office market has seen a significant increase in its market vacancy rate since securitization. According to CBRE Econometric Advisors, the CBD Baltimore class-A office market had a vacancy rate of 23.3% as of 4Q 2025, compared to a vacancy rate of 13.4% in 2012. Additionally, the PILOT tax credits that the office benefited from fully expired in 2024. The expiration of the tax abatement is expected to cause the property's tax expense to increase to nearly $4 million in 2026, compared to approximately $1 million in 2024. Despite the loan amortization, due to the property's lower occupancy, higher operating expense, and the weak submarket fundamentals, Moody's expects the loan may have trouble refinancing at its upcoming final maturity in July 2027. As of the April 2026 remittance statement cumulative interest shortfalls were $7.9 million and only impact the most junior class, Class J. Moody's anticipates interest shortfalls will continue because of the full exposure to the non-recoverable determination on the specially servicer loan, and may increase if the Legg Mason loan were to default or become delinquent. MORGAN STANLEY 2015-C27: DBRS Confirms Csf Rating on 4 Tranches --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C27 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27 as follows: -- Class F at C (sf) -- Class G at C (sf) -- Class H at C (sf) -- Class X-F at C (sf) Morningstar DBRS discontinued the credit ratings on Classes C, D, E, X-D, and X-E as these classes were repaid in full with the March 2026 remittance. Classes F, G, H, and X-F have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) transactions. The credit rating confirmations reflect Morningstar DBRS' recoverability expectations for the remaining three loans in the pool. Since Morningstar DBRS' prior credit rating action in May 2025, 45 loans have been repaid in full, resulting in $564.6 million of principal paydown. All three loans remaining in the pool failed to repay at their respective maturity dates and are currently in special servicing. In the analysis for this review, Morningstar DBRS liquidated all three of those loans based on conservative haircuts to the most recent appraised values of the collateral properties, with projected losses affecting the Class G certificate. At last review, Morningstar DBRS' downgrades reflected the value decline in the collateral for the former 535-545 Fifth Avenue loan. Although principal paydown over the past year has shifted Class F to the first pay position, with the issuance balance already partially reduced by repayments, Morningstar DBRS elected to maintain the C (sf) credit rating for that class given the pool's wind-down status, increased exposure to adverse selection, and the propensity for interest shortfalls to continue to accrue. As of the March 2026 remittance, interest shortfalls totaled $2.8 million, an increase from $1.2 million at the previous review. The Class G certificate has not received full interest due since April 2025, resulting in approximately $400,000 in outstanding shortfalls. The largest loan in the pool, Granite 190 (Prospectus ID#5, 86.9% of the pool), is secured by two suburban office buildings totaling approximately 307,000 square feet (sf) in Richardson, Texas. The loan transferred to special servicing in February 2023 because of imminent monetary default. The trust acquired the property through foreclosure in December 2023, and the asset is currently real estate owned. The subject's operating performance has declined considerably in recent years, with net cash flow and the loan's debt service coverage ratio below breakeven as of the most recent financial reporting. The property's occupancy rate was 47.1% as of January 2026. An updated appraisal valued the property at $30.5 million in November 2025, a decline from the issuance appraised value of $55.0 million. Morningstar DBRS liquidated this loan based on a conservative 30% haircut to the most recent appraised value, resulting in a projected loss of $18.6 million and an implied loss severity of more than 50%. The Walgreens Shawnee, Kansas loan (Prospectus ID#42, 9.1% of the pool) is secured by a 15,120-sf single-tenant retail pharmacy located in Shawnee, Kansas. The property is fully leased to Walgreens Co. under an absolute net lease extending to September 2070, with termination options every five years beginning in 2030. The loan transferred to special servicing in September 2025 after defaulting at maturity. The special servicer and borrower have reportedly agreed to terms regarding a potential loan modification that would extend the loan term. An updated appraisal dated October 2025 valued the property at $3.7 million, approximately 50% below the issuance appraised value. Morningstar DBRS applied a 20% haircut to the updated appraised value in its liquidation analysis, resulting in a projected loss of $1.2 million and a loss severity of 31%. The Dollar General Portfolio loan (Prospectus ID#52, 4.0% of the pool) is secured by a portfolio of four single-tenant retail properties in Pennsylvania and Kentucky, totaling approximately 32,250 sf. The properties are primarily leased to Dollar General Corp. (Dollar General), however two locations have been re-tenanted by a church and a thrift store following Dollar General's exit. Overall occupancy remains at 100% and servicer commentary previously indicated an expected refinance and payoff in January 2026, however no additional updates have been provided since that time. As such, Morningstar DBRS liquidated the loan based on a 40% haircut to the issuance appraised value of $2.7 million, resulting in a loss severity slightly below 20%. 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-F 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 2016-UBS12: Fitch Lowers Rating on 2 Tranches to 'C' ------------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed nine classes of Morgan Stanley Capital I Trust 2016-UBS12 (MSC 2016-UBS12). Fitch has assigned Negative Outlooks to classes B and X-B following their downgrades. The Rating Outlook for classes A-4, X-A and A-S is Negative. Entity/Debt Rating Prior ----------- ------ ----- MSC 2016-UBS12 A-3 61691EAZ8 LT AAAsf Affirmed AAAsf A-4 61691EBA2 LT AAAsf Affirmed AAAsf A-S 61691EBD6 LT Asf Affirmed Asf A-SB 61691EAY1 LT AAAsf Affirmed AAAsf B 61691EBE4 LT BBsf Downgrade BBB-sf C 61691EBF1 LT CCCsf Downgrade B-sf D 61691EAJ4 LT Csf Downgrade CCsf E 61691EAL9 LT Csf Affirmed Csf F 61691EAN5 LT Csf Affirmed Csf X-A 61691EBB0 LT AAAsf Affirmed AAAsf X-B 61691EBC8 LT BBsf Downgrade BBB-sf X-D 61691EAA3 LT Csf Downgrade CCsf X-E 61691EAC9 LT Csf Affirmed Csf X-F 61691EAE5 LT Csf Affirmed Csf KEY RATING DRIVERS High 'B' Loss Expectations: Deal-level 'Bsf' ratings case loss has increased to 19.2% of the remaining pool balance, an increase from 17.7% at Fitch's prior rating action. Fitch flagged 22 loans (60.9% of the pool) as Fitch Loans of Concern (FLOCs), including the top three loans in the pool and 12 loans (20.2%) in special servicing. All loans within the pool mature or have anticipated repayment dates (ARD) between September and November 2026. The downgrades reflect higher pool loss expectations, primarily driven by deteriorating performance and heightened refinance risk as loans approach maturity, including the 101 Hudson Street loan (5.6%), Wolfchase Galleria (9.9%), 191 Peachtree (12.1%), and the Hampton Inn & Suites Hillsboro loan (1.9%). The Negative Outlooks reflect the potential for downgrades should the aforementioned loans fail to refinance and transfer to special servicing, or if performance of FLOCs deteriorates beyond current expectations. Due to the concentrated nature of the pool and near-term loan maturities, Fitch performed a recovery and liquidation analysis that categorized and ranked remaining loans based on their loan status, collateral quality, and repayment/loss expectations to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to the remaining loans expected to have difficulty refinancing at their scheduled maturity dates. Largest Contributors to Loss Expectations: The largest contributor to overall pool loss expectations is the 681 Fifth Avenue loan (12.1% of the pool), which is secured by a mixed-use retail and office property in the Manhattan Plaza District in New York, NY. The property lost tenant Tommy Hilfiger (27.3% of the NRA, 78% of total base rent) in 2023. The servicer reported June 2025 occupancy was 52%. The loan is in foreclosure with a receiver in place per servicer commentary. Fitch's 'Bsf' rating case loss of approximately 73% (prior to concentration add-ons) reflects a discount on the latest published appraisal value and a 76% value decline from the appraised value at issuance. The second-largest contributor to loss is the Wolfchase Galleria loan, which is secured by a 391,862-sf interest in a regional mall located in Memphis, TN. The subject is anchored by Macy's (non-collateral), Dillard's (non-collateral), J.C. Penney (non-collateral) and Malco Theatres. The loan transferred to special servicing in June 2020 due to a monetary default, but it was subsequently returned to the master servicer in May 2021. The reported collateral occupancy has steadily declined. As of YE 2025, the reported collateral occupancy was approximately 74%, compared to 78% at YE 2023, 81.3% at YE 2019 and 84% at YE 2018. The YE 2025 servicer-reported net operating income (NOI) debt service coverage ratio (DSCR) was 1.23x, compared to 1.67x at YE 2023, 1.29x at YE 2019 and 1.35x at YE 2018. While the subject is the dominant mall in its trade area, it is also located in a secondary market with fewer demand drivers. Fitch requested tenant sales, and they have not been provided by the borrower. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of approximately 43% reflects a 17.5% cap rate and a 7.5% stress to the YE 2024 NOI. Fitch's analysis also recognized a heightened probability of default due to sustained performance declines and expected refinance challenges. The third-largest contributor to loss is 191 Peachtree, which is secured by a 1.2 million sf office tower located in Atlanta, GA and a leasehold interest in a parking garage. The loan is considered a FLOC due to declining occupancy, upcoming lease rollover concerns and maturity default risk. Upcoming rollover consists of 9.9% of the NRA through YE 2026. Occupancy declined to 58% at YE 2025 from 84% at YE 2023 due to Deloitte downsizing from 19.4% of the NRA to 2.9% prior to its May 2025 lease expiration. As of March 2026, total reserves for leasing were over $8 million. Media reports indicate the sponsor group invested approximately $4.5 million in common area improvements. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of approximately 15% reflects a 9.5% cap rate and a 5% stress to the lower YE 2025 NOI due to lower occupancy. The property is currently performing below its submarket metrics. Fitch's analysis also factored in an increased probability of default given the potential difficulty refinancing with the low occupancy and rollover. Change in Credit Enhancement: As of the March 2026 remittance, the aggregate pool balance has been reduced by 19.5% since issuance. The deal has incurred $5.4 million in realized losses to date. Interest shortfalls of approximately $6.4 million are currently affecting classes D through G as of the March 2026 reporting. There are three defeased loans (2.8% of the pool). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the super senior classes A-3 and A-SB are not expected due to the position in the capital structure and expected continued paydowns from loan amortization and repayments. However, downgrades may occur if deal-level losses increase significantly and/or if interest shortfalls occur or are expected to occur. Downgrades to the classes rated in the 'AAAsf' and 'Asf' categories, which have Negative Outlooks, could occur if deal-level losses increase significantly from outsized losses on larger office and retail FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity, including 191 Peachtree, Wolfchase Galleria, 101 Hudson Street and Hampton Inn & Suites Hillsboro. Downgrades to the classes rated in 'BBsf' category are likely with higher-than-expected losses from continued underperformance of the FLOCs, in particular the office and retail outlet center FLOCs, and/or greater certainty of losses on the specially serviced loans and/or FLOCs. These elevated risk loans include 681 Fifth Avenue, Wolfchase Galleria, 101 Hudson Street and 191 Peachtree. Downgrades to the distressed classes would occur as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the class rated in the 'Asf' category may be possible with increased CE from additional paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and stable to improved performance on the FLOCs, including 681 Fifth Avenue, Wolfchase Galleria, 101 Hudson Street and 191 Peachtree. Upgrades to the class rated in the 'BBsf' category are unlikely given the high level of FLOCs. However, they are possible if with significantly higher loan payoffs at maturity than expected, recoveries on the FLOCs and special serviced loans are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are unlikely, but possible with better-than-expected recoveries on specially serviced loans and/or significantly improved performance of the FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2023-20: Fitch Affirms 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Morgan Stanley Eaton Vance CLO 2023-20, Ltd.'s class A-1-R, A-2-R, B-R, C-R and D-R refinancing notes. Fitch has also affirmed the rating on the original class E notes. Entity/Debt Rating Prior ----------- ------ ----- Morgan Stanley Eaton Vance CLO 2023-20, Ltd. A-1 617936AA7 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2 617936AC3 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 617936AE9 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 617936AG4 LT PIFsf Paid In Full Asf C-R LT A+sf New Rating D 617936AJ8 LT PIFsf Paid In Full BBB-sf D-R LT BBB+sf New Rating E 617937AA5 LT BB-sf Affirmed BB-sf Transaction Summary Morgan Stanley Eaton Vance CLO 2023-20, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Morgan Stanley Eaton Vance CLO Manager LLC, which originally closed on Dec. 13, 2023. The class A-1, A-2, B, C and D notes are expected to be refinanced by class A-1-R, A-2-R, B-R, C-R and D-R notes (collectively, the refinancing notes) on April 20, 2026. Net proceeds from the issuance of the refinancing notes and the existing class E and subordinated notes will provide financing on a portfolio of approximately $390 million of primarily first lien senior secured leveraged loans (excluding defaulted obligations and including principal cash). 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 23.35 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.38% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.21% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 2.8-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 9 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. KEY PROVISION CHANGES The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The key changes include but are not limited to: - The spread for class A-1-R notes is 1.32%, compared to the class A-1 notes spread of 1.73%; - The spread for class A-2-R notes is 1.55%, compared to the class A-2 notes spread of 2.00%; - The spread for class B-R notes is 1.75%, compared to the class B notes spread of 2.50%; - The spread for class C-R notes is 2.00%, compared to the class C notes spread of 2.90%; - The spread for class D-R notes is 4.00%, compared to the class D notes spread of 4.65%; - The non-call period for the refinancing notes is extended to April 20, 2027. Fitch Analysis The portfolio includes 397 assets from 350 primarily high yield obligors. Of the 397 assets, there are 7 defaulted assets that represent approximately 1.3% of the portfolio. The portfolio balance (excluding defaults and including principal cash) is approximately $390 million. According to the latest trustee report, prior to the refinance date, the transaction was passing all collateral quality tests, coverage tests, and concentration limitations. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 45.6% of the current portfolio par balance; ratings for 54.0% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.4% were unrated. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 17.5%, 15.0%, and 10.3%, respectively; - Assumed risk horizon: 6.05 years; - Minimum weighted average spread of 3.00%; - Minimum weighted average recovery rate of 71.50%; - Maximum weighted average rating factor of 24.00; - Minimum weighted average coupon of 7.00%; - Fixed rate Assets: 5.00%; The transaction will exit its reinvestment period on Jan. 20, 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 A-1-R: 'AAAsf' / Default 42.20% / Recovery 38.86% / Cushion 15.10% - Class A-2-R: 'AAAsf' / Default 42.20% / Recovery 38.86% / Cushion 12.10% - Class B-R: 'AA+sf' / Default 41.20% / Recovery 47.57% / Cushion 9.00% - Class C-R: 'A+sf' / Default 36.30% / Recovery 57.30% / Cushion 9.20% - Class D-R: 'BBB+sf' / Default 30.50% / Recovery 66.89% / Cushion 7.40% - Class E: 'BB-sf' / Default 22.40% / Recovery 72.32% / Cushion 9.60% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-1-R: 'AAAsf' / Default 49.30% / Recovery 37.84% / Cushion 7.30% - Class A-2-R: 'AAAsf' / Default 49.30% / Recovery 37.84% / Cushion 4.40% - Class B-R: 'AA+sf' / Default 47.80% / Recovery 45.41% / Cushion 1.50% - Class C-R: 'A+sf' / Default 42.20% / Recovery 55.17% / Cushion 2.10% - Class D-R: 'BBB+sf' / Default 35.90% / Recovery 64.55% / Cushion 1.10% - Class E: 'BB-sf' / Default 26.50% / Recovery 70.08% / Cushion 6.00% Fitch affirmed the class E notes at 'BB-' with a Stable Outlook, two notches below the model-implied rating (MIR) of 'BB+'. In Fitch's view, the MIR does not appropriately reflect the transaction's recent adverse performance trend and the presence of certain lower-quality assets within the portfolio, particularly those trading at depressed market values. These exposures may indicate a higher likelihood of credit deterioration and lower recovery prospects, which could increase the tranche's sensitivity to further portfolio stress. There is a significant likelihood that an upgrade based on the MIR could be reversed in the near-term, therefore, Fitch affirms the rating on class E notes instead. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AAAsf' for class A-1-R notes, between 'A-sf' and 'AAAsf' for class A-2-R notes, between 'BBB-sf' and 'AA-sf' for class B-R notes, between 'BB-sf' and 'A-sf' for class C-R notes, between less than 'B-sf' and 'BBB-sf' for class D-R notes, and between less than 'B-sf' and 'BB-sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and 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 notes, 'AA+sf' for class C-R notes, 'A+sf' for class D-R notes, and 'BBB+sf' for class E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Morgan Stanley Eaton Vance CLO 2023-20, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. MORGAN STANLEY 2026-NEW1: S&P Assigns B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-NEW1's mortgage-backed certificates. The note issuance is first-lien, fixed-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of two months. The mortgage loans primarily have a 30-year maturity. There are 28 loans with 40-year maturities and three loans with 15-year maturities. The loans are secured by single-family residential properties (including townhouses), planned-unit developments, condominiums, and two- to four-family residential properties residential properties. The pool consists of 572 loans backed by 572 properties, which are non-qualified mortgage (QM)/ability-to-repay (ATR)-compliant and ATR-exempt. S&P said, "After we assigned preliminary ratings on April 9, 2026, one loan was removed from the collateral pool, classes A-1FCF and A-1LCF were not issued, and the remaining bonds were resized. As a result, the credit enhancement for classes A-1, A-1-A, and A-1-B increased by 0.02%, while it did not change for any other classes in this transaction. The class M-1 certificates were priced at a fixed rate of 6.123%, while the class B-1 certificates were priced at the net weighted average coupon rate of 6.4078%. After analyzing the updated structure, we assigned final ratings to the classes that are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage originator, Nexera Holding LLC (dba NewFi Lending); -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-NEW1 Class A-1, $265,920,000: AAA (sf) Class A-1-A, $232,480,000: AAA (sf) Class A-1-B, $33,440,000: AAA (sf) Class A-2, $18,275,000: AA (sf) Class A-3, $17,721,000: A (sf) Class M-1, $16,048,000: BBB (sf) Class B-1, $6,854,000: BB (sf) Class B-2, $5,684,000: B (sf) Class B-3, $3,845,861: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $16,720,861: NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $334,347,861. NR--Not rated. N/A--Not applicable. MTN COMMERCIAL 2026-LPFX: Fitch Gives B+(EXP) Rating on HRR Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Ratings Outlooks to MTN Commercial Mortgage Trust 2026-LPFX Commercial Mortgage Pass-Through Certificates, Series 2026-LFPX: - $663,900,000 class A 'AAA(EXP)sf'/Outlook Stable; - $71,800,000 class B 'AA(EXP)sf'/Outlook Stable; - $67,000,000 class C 'A(EXP)sf'/Outlook Stable; - $54,700,000 class D 'A-(EXP)sf'/Outlook Stable; - $157,400,000 class E 'BBB-(EXP)sf'/Outlook Stable; - $203,575,000 class F 'BB-(EXP)sf'/Outlook Stable; - $64,125,000a class HRR 'B+(EXP)sf'/Outlook Stable. (a) Horizontal risk retention interest representing approximately 5.0% of the estimated fair value of all classes. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a portion of a $1.62 billion, five-year, fixed-rate, IO commercial mortgage whole loan. The whole loan will be secured by a first priority mortgage lien on the borrower's fee simple and leasehold interests in a portfolio of 90 industrial properties totaling approximately 19.2 million sf located across 27 states and 57 markets. The sponsors are affiliates of Industrial Logistics Properties Trust (ILPT) which will act as borrower/sponsor. The whole loan is structured as a split loan comprising 12 senior trust notes totaling $831.9 million, 12 subordinate trust notes totaling $450.6 million and 12 pari passu non-trust senior companion notes totaling $337.5 million. The non-trust companion notes are expected to be contributed to one or more future securitization transactions. Whole mortgage loan proceeds will be used to refinance approximately $1.61 billion of existing debt from the prior securitization (MTM 2022-LPFL), fund an estimated $8.2 million of closing costs and establish a $3.5 million reserve for outstanding landlord obligations. The loan is expected to be originated by Wells Fargo Bank, National Association, Citi Real Estate Funding Inc., Bank of America, N.A., UBS AG New York Branch, Morgan Stanley Mortgage Capital Holdings LLC and Bank of Montreal. Midland Loan Services, a Division of PNC Bank, National Association is expected to be the servicer and BSP Special Servicer, LLC is expected to act as special servicer. Computershare Trust Company, N.A. will act as trustee and certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. The transaction is expected to follow a sequential paydown structure and is scheduled to close on May 13, 2026. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch estimates stressed NCF for the portfolio at $110.5 million. This is 5.4% lower than the issuer's NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of approximately $1.52 billion. High Fitch Leverage: The $1.62 billion whole loan equates to debt of approximately $83 psf with a Fitch stressed debt service coverage ratio, loan-to-value ratio and debt yield of 0.83x, 106.2% and 6.8%, respectively. Based on the appraiser's concluded as-is market value of $2.15 billion, the loan-to-value ratio is approximately 75.3%. Geographic and Tenant Diversity: The portfolio is well diversified, with 90 primarily industrial properties (approximately 15.8 million sf) located across 27 states and 57 MSAs. The three states with the largest concentrations are Georgia (five properties; 11.5% by total portfolio sf), Indiana (four properties; 10.2% by total portfolio sf) and Ohio (nine properties; 9.6% by total portfolio sf). The three MSAs with the largest concentrations are Indianapolis-Carmel-Anderson, IN (three properties; 8.4% by total portfolio sf), Kansas City, MO-KS (five properties; 5.4% by total portfolio sf) and Savannah, GA (two properties; 5.0% by total portfolio sf). The Fitch effective MSA count for the portfolio is 33.4. The portfolio also exhibits tenant diversity, as it features over 36 distinct tenants. The largest tenant in the portfolio is Federal Express Corporation, representing approximately 57.3% of Fitch base rent (47.2% of NRA). Other than Federal Express Corporation, no tenant accounts for more than 7.9% of Fitch base rent. Institutional Sponsorship and Property Management: The transaction benefits from sponsorship by ILPT, the borrower sponsor and guarantor, while property management is provided by The RMR Group LLC (RMR). As of Dec. 31, 2025, ILPT's broader portfolio consisted of 411 industrial and logistics properties totaling approximately 59.9 million rentable sf. ILPT is externally managed by RMR, and the 90 properties securing the whole loan are managed by The RMR Group LLC pursuant to the management agreement. RMR is an alternative asset manager focused on CRE and related businesses, with an approximately 900-person real estate platform across more than 30 regional offices, approximately $39 billion of assets under management (AUM) and more than 35 years of institutional CRE experience. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'Asf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'Asf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'A+sf'/'BBB+sf'/'BB+sf'/BBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NALP BUSINESS 2025-1: DBRS Confirms BBsf Rating on Class C Notes ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed three credit ratings on NALP Business Loan Trust 2025-1: Debt Rating Action ---- ------ ------ Class A Notes A(low)(sf) Confirmed Class B Notes BBB(sf) Confirmed Class C Notes BB(sf) Confirmed Credit rating rationale includes the key analytical considerations: -- The credit quality of the collateral pool and historical performance. In addition, the transaction is performing inside of Morningstar DBRS' base-case assumptions. -- Credit enhancement is in the form of overcollateralization, a reserve account, subordination, and excess spread. CE has been maintained since issuance, and the levels are sufficient to cover Morningstar DBRS-expected losses at their current respective rating levels. -- The transaction parties' capabilities with respect to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2026 Update," published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse 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. NEUBERGER BERMAN II: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers LaSalle Street Lending CLO II, Ltd. refinancing notes. Fitch has also affirmed the class D and E notes with Stable Rating Outlooks. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers LaSalle Street Lending CLO II, Ltd. A-1R LT NRsf New Rating A-2 64135NAC7 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating B 64135NAE3 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 64135NAG8 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 64135NAJ2 LT BBB-sf Affirmed BBB-sf E 64135QAA4 LT BB-sf Affirmed BB-sf F-R LT NRsf New Rating Transaction Summary Neuberger Berman Loan Advisers LaSalle Street Lending CLO II, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Neuberger Berman Loan Advisers IV LLC. The transaction originally closed in May 2024. On April 20, 2026, the class A-1, A-2, B, C and F notes will be refinanced at tighter spreads. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $388 million (excluding defaults) of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 93.58% first lien senior secured loans and has a weighted average recovery assumption of 69.9%. 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 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. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - The spreads for the class A-1R, A-2R, B-R, C-R and F-R notes are 1.34%, 1.60% and 1.80%, 2.20% and 8.75%, respectively, compared to the spreads of 1.63%, 1.80%, 2.20%, 2.70% and 8.82% for the class A-1, A-2, B, C and F classes, respectively; - The class D and E notes have not been refinanced and their spreads remain unchanged at 4.25% and 7.50%, respectively; - The non-call period for the refinanced notes has been extended to April 2027; - Stated maturity and reinvestment period for the refinanced notes remain the same as the original notes; - The refinancing amends certain concentration limitations, including allowance of fixed-rate assets and certain non-first-lien asset exposures subject to satisfaction of the Fitch rating condition. The fixed-rate obligations limit can increase to 10.0% from 7.5% subject to the satisfaction of the Fitch rating condition. Prior to satisfaction of the Fitch rating condition, up to 13.0% of the collateral principal amount may consist, in aggregate, of non-senior secured loans and bonds versus separate 10.0% limits for each after satisfaction of the Fitch rating condition, while maintaining at least 87.5% in senior secured loans and senior secured bonds at all times. Fitch Analysis The portfolio includes 307 assets from 276 primarily high-yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $396 million. As of the latest trustee report prior to the refinance date, the transaction was not passing its maximum Moody's Rating Factor test and Minimum Coupon test. 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 31.1% of the current portfolio par balance; ratings for 68.8% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map and 0.1% were unrated. Cash flow model analysis was conducted for this refinancing. As per its criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinanced notes, and on the indicative portfolio for the non-refinanced notes. 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: 6.25 years; - Minimum weighted average spread of 3.39%; - Fixed-rate assets: 7.50%; - 'CCC' obligors as defined by Fitch's ratings: 10.0%; - Minimum weighted average coupon of 8.50%; - Second lien loans, unsecured loans and bonds, in aggregate: 13.0%; - Senior secured loans, senior secured bonds, cash and eligible investments: 87.5%. The transaction will exit its reinvestment period on April 20, 2029. Fitch Asset and Cash Flow Analysis The Fitch model outputs are shown below. Current Portfolio Model Outputs: - Class A-2R: 'AAAsf'/Default 47.30%/Recovery 36.36%/Cushion 9.90%; - Class B-R: 'AAsf'/Default 44.10%/Recovery 45.12%/Cushion 9.90%; - Class C-R: 'Asf'/Default 39.60%/Recovery 54.55%/Cushion 8.50%; - Class D: 'BBB-sf'/Default 30.90%/Recovery 63.75%/Cushion 7.60%; - Class E: 'BB-sf'/Default 26.00%/Recovery 69.23%/Cushion 5.10%. FSP Model Outputs: - Class A-2R: 'AAAsf'/Default 55.00%/Recovery 33.64%/Cushion 1.00%; - Class B-R: 'AAsf'/Default 51.50%/Recovery 41.55%/Cushion 0.20%; - Class C-R: 'Asf'/Default 46.20%/Recovery 50.65%/Cushion 0.20%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D, 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-2R notes as these notes are in the highest rating category of 'AAAsf'. For all other classes, 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, 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 Neuberger Berman Loan Advisers LaSalle Street Lending CLO II, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. NEUBERGER BERMAN II: Moody's Assigns Caa2 Rating to $1MM F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of refinancing notes (collectively, the "Refinancing Notes") issued by Neuberger Berman Loan Advisers LaSalle Street Lending CLO II, Ltd. (the "Issuer"). Moody's rating action is as follows: US$240,000,000 Class A-1R Senior Secured Floating Rate Notes due 2038 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$1,000,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2038 (the "Class F-R Notes"), Assigned Caa2 (sf) RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Neuberger Berman Loan Advisers IV LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued two other classes of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes and the three other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extensions of non-call period and changes to matrices. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $396,311,379 Defaulted par: $2,246,605 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3229 Weighted Average Spread (WAS): 3.40% Weighted Average Recovery Rate (WARR): 44.00% Weighted Average Life (WAL): 6.25 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. NEUBERGER BERMAN XXII: Fitch Assigns BB-sf Rating on Cl. E-R3 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman CLO XXII, Ltd. Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman CLO XXII, Ltd. A-1-R3 LT NRsf New Rating NR(EXP)sf A-2-R3 LT AAAsf New Rating AAA(EXP)sf B-R3 LT AAsf New Rating AA(EXP)sf C-R3 LT Asf New Rating A(EXP)sf D-1-R3 LT BBB-sf New Rating BBB-(EXP)sf D-2-R3 LT BBB-sf New Rating BBB-(EXP)sf E-R3 LT BB-sf New Rating BB-(EXP)sf 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. Date of Relevant Committee 13 April 2026 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. NMR TRUST 2026-CGCTR: DBRS Finalizes BB(low) Rating on Cl. E Certs ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-CGCTR (the Certificates) issued by NMR Trust 2026-CGCTR (NMR 2026-CGCTR): -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The NMR 2026-CGCTR single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in Citigroup Center, an 805,877-square-foot (sf), 34-story, Class A office tower in Miami. The property is centrally located in downtown Miami near Brightline's Miami Central Station, South Beach, and Miami International Airport. Moreover, various entertainment options and eateries are within walking distance of the property. The property was developed in 1983, and the current sponsor renovated it in 2021 for $298.5 million ($370.4 per square foot (psf)) and has since invested $30.7 million ($38.1 psf) for a total cost basis of approximately $358.7 million ($445.1 psf). The renovations were aimed at elevating tenants' experience with a new valet program, a newly renovated lobby with a cafe, and a 6,700-sf vibrant indoor/outdoor restaurant, Cactus Club. As part of the renovations beginning in Q3 2022, the building features 130,299 sf of move-in ready spec suites, which have been highly sought after by small- to midsized firms as they offer high-end, turn-key office solutions that allow tenants to move in immediately. Because of the success of the capex project, the borrower's future capex budget of $8.9 million includes the renovation of an additional 37,740 sf in a fourth phase of the buildout program. Citigroup Center is one of the largest Class A office buildings in Florida in terms of square footage; as of April 2026, the property was 74.9% leased with a weighted-average remaining lease term (WARLT) of 5.2 years. The largest tenant, Citigroup (Citi), has maintained tenure in the building since the early 1990s; its latest lease commencement for 122,678 sf (15.2% of net rentable area (NRA)) began in January 2015 and expires in January 2030. Since January 2025, 102,839 sf (12.8% of NRA) has been newly leased at base rents approximately 31.8% lease spreads. Overall, 146,485 sf in new, renewal, or expansion leasing has occurred during the same timeframe. Of the 10 investment-grade tenants at the property, three, making up 4.1% of the total NRA, meet the Morningstar DBRS long-term credit tenant criteria, with leases expiring three years beyond the fully extended loan term. Senior loan proceeds of $216.8 million ($269.0 psf) along with $58.2 million ($72.0 psf) of mezzanine debt will be used to refinance existing debt of $215.9 million; return $10.1 million equity to the sponsor; fund contractual tenant improvements/leasing commission, upfront tax and insurance reserves, free rent, and gap rent; and cover closing costs. About $26.2 million of the total $58.2 million mezzanine debt will be funded in the future. MRESS TRS SN I LLC is expected to provide $26.2 million of future mezzanine financing for funding of future leasing costs, including tenant improvements, leasing commissions, and capex. The sponsor for this transaction is a joint venture among Monarch Alternative Capital (Monarch), Tourmaline, and CP Group. CP Group originally owned 100.0% of the property prior to Monarch Alternative Capital and Tourmaline acquiring a 98.8% interest in the property with CP Group retaining a 1.2% interest Monarch is a global opportunistic credit and real estate investment firm. With more than 30 years of experience, Monarch has approximately $16.0 billion in assets under management. CP Group is a vertically integrated commercial real estate firm and value-add investor primarily focused on the Sunbelt market. The firm has acquired, repositioned, and operated over 170 office and mixed-use properties, totaling more than 64.0 million sf valued at approximately $8.0 billion. Tourmaline was recently founded in 2021 and is an active real estate owner and operator with approximately $3.0 billion in closed transactions to date. The firm manages approximately 5.7 million sf across 14 assets, including two office properties in Miami. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, Spread Maintenance Premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. 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. OBX 2026-INV2: Moody's Assigns B3 Rating to Cl. B-5 Certs --------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 61 classes of residential mortgage-backed securities (RMBS) issued by OBX 2026-INV2 Trust and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages that OBX purchased from Bank of America, National Association, who in turn aggregated them from multiple originators, including PennyMac Loan Services, LLC ("PennyMac"; 94.3% by balance), and from aggregator MAXEX Clearing LLC (MAXEX; 0.9% by balance). PennyMac (94.3% by balance) and NewRez LLC d/b/a Shellpoint Mortgage Servicing ("Shellpoint"; 5.7% by balance) are the servicers. Computershare Trust Company, N.A. is the master servicer. The complete rating actions are as follows: Issuer: OBX 2026-INV2 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-F, Definitive Rating Assigned Aaa (sf) Cl. A-F-X*, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.65%, in a baseline scenario-median is 0.38% and reaches 6.78% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL 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. OCTAGON 71: Fitch Affirms 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Octagon 71, Ltd.'s refinancing note classes A-1-R, A-2-R, B-R, C-R, D-1-R and D-2-R, and has affirmed ratings for class E. Entity/Debt Rating Prior ----------- ------ ----- Octagon 71, Ltd. A-1 67579CAA1 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2 67579CAJ2 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 67579CAC7 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 67579CAE3 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 67579CAG8 LT PIFsf Paid In Full BBBsf D-1-R LT BBBsf New Rating D-2 67579CAL7 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating E 67579DAA9 LT BB-sf Affirmed BB-sf Transaction Summary Octagon 71, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Octagon Credit Investors, LLC. The transaction originally closed in March 2024 and is expected to complete its first partial refinancing on April 20, 2026. Fitch rated the original transaction and will also rate the refinancing. Proceeds from the issuance of the secured refinancing notes, together with the non-refinanced notes that will remain outstanding, will continue to finance a portfolio of approximately $495 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 23.4 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.43% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.36% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 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. KEY PROVISION CHANGES This 2026 refinancing is being effected through the first supplemental indenture, which amends certain provisions of the transaction. The changes include but are not limited to: - The existing classes A-1, A-2, B, C, D-1 and D-2 notes will be refinanced with new classes A-1-R, A-2-R, B-R, C-R, D-1-R and D-2-R notes. - Class D-2 will be converted from fixed rate to floating rate class D-2-R. - Class E will not be refinanced. - All refinanced note classes will be refinanced with lower floating spreads. - The non-call period is being extended to April 2027. - The end of the reinvestment period remains April 2029, and the stated maturity of the notes remains April 2037. FITCH ANALYSIS The portfolio includes 478 assets from 413 primarily high-yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $495 million. As of the latest trustee report prior to the refinance date, the transaction was passing all collateral quality tests, coverage tests, and concentration limitations. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 41.8% of the current portfolio par balance; ratings for 57.7% 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 10.6%, respectively; - Assumed risk horizon: 6.00 years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 71.90%; - Maximum weighted average rating factor of 26.00; - Fixed rate assets: 5.00%; - Minimum weighted average coupon of 7.00%; The transaction will exit its reinvestment period in April 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 A-1-R: 'AAAsf' / Default 42.00% / Recovery 38.81% / Cushion 14.40% - Class A-2-R: 'AAAsf' / Default 42.00% / Recovery 38.81% / Cushion 11.90% - Class B-R: 'AAsf' / Default 39.30% / Recovery 48.09% / Cushion 11.30% - Class C-R: 'Asf' / Default 34.70% / Recovery 57.64% / Cushion 10.60% - Class D-1-R: 'BBBsf' / Default 29.60% / Recovery 67.23% / Cushion 9.20% - Class D-2-R: 'BBB-sf' / Default 26.80% / Recovery 67.16% / Cushion 6.00% - Class E: 'BB-sf' / Default 22.30% / Recovery 72.20% / Cushion 7.50% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-1-R: 'AAAsf' / Default 50.10% / Recovery 38.14% / Cushion 5.70% - Class A-2-R: 'AAAsf' / Default 50.10% / Recovery 38.14% / Cushion 3.40% - Class B-R: 'AAsf' / Default 46.90% / Recovery 45.79% / Cushion 2.40% - Class C-R: 'Asf' / Default 41.90% / Recovery 55.48% / Cushion 2.30% - Class D-1-R: 'BBBsf' / Default 36.20% / Recovery 64.83% / Cushion 1.10% - Class D-2-R: 'BBB-sf' / Default 33.10% / Recovery 64.83% / Cushion 0.00% - Class E-R: 'BB-sf' / Default 28.00% / Recovery 70.45% / Cushion 1.00% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-1-R, 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-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to class A-1-R and 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, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Octagon 71, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. OZLM XXII: Moody's Affirms Ba3 Rating on $24MM Class D Notes ------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by OZLM XXII, Ltd.: US$28.8M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Dec 12, 2025 Upgraded to Aa2 (sf) Moody's have also affirmed the ratings on the following notes: US$28.8M (Current outstanding amount US$23,520,347) Class B Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 12, 2025 Affirmed Aaa (sf) US$24M Class D Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Dec 12, 2025 Affirmed Ba3 (sf) US$9.6M (Current outstanding amount US$10,841,660) Class E Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Dec 12, 2025 Affirmed Caa3 (sf) OZLM XXII, Ltd., issued in February 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sculptor CLO Management LLC. The transaction's reinvestment period ended in January 2023. RATINGS RATIONALE The rating upgrade on the Class C notes is primarily a result of the deleveraging of the Class A-2 and Class B notes following amortisation of the underlying portfolio since the last rating action in December 2025. The affirmations on the ratings on the Class B, D and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. Since the last rating action in December 2025, the Class A-2 notes have been fully repaid, and the Class B notes have been paid down by approximately USD5.3 million (18.3% of its initial balance). As a result of the deleveraging, overcollateralization (OC) has increased for senior and mezzanine rated notes. According to the trustee report dated April 2026[1], the Class B, and Class C ratios are reported at 229.86% and 135.97% compared to November 2025[1], levels of 190.92% and 131.20% respectively. Moody's notes that the April 2026 principal payments are not reflected in the reported OC ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD88.66m Defaulted Securities: USD0 Diversity Score: 36 Weighted Average Rating Factor (WARF): 3884 Weighted Average Life (WAL): 2.37 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.13% Weighted Average Recovery Rate (WARR): 44.65% Par haircut in OC tests and interest diversion test: 12.39% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. 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. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. PARLIAMENT FUNDING IV: DBRS Finalizes BB(low) Rating on C Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Notes) issued by Parliament Funding IV LLC. The Notes are issued pursuant to the Indenture dated June 28, 2024, as amended from time to time and amended most recently by the Fourth Supplemental Indenture dated June 27, 2025, and pursuant to the Joinder Agreements executed on June 27, 2025, by and between Parliament Funding IV LLC, as Issuer and State Street Bank and Trust Company, as Trustee, as follows: -- Class A Notes: at AAA (sf) -- Class B Notes: at BBB (sf) -- Class C Notes: at BB (low) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate payment of principal on or before the Stated Maturity. The credit ratings on the Class B Notes and Class C Notes address the ultimate payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate payment of principal on or before the Stated Maturity. CREDIT RATING RATIONALE/DESCRIPTION The credit rating finalizations are a result of Morningstar DBRS' surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by Owl Rock Diversified Advisors LLC, an affiliate of Blue Owl Capital Inc. Morningstar DBRS considers Owl Rock Diversified Advisors LLC an acceptable collateralized loan obligation (CLO) manager. The Reinvestment Period ends on December 31, 2028. The Stated Maturity is January 15, 2037. In its review, Morningstar DBRS applied the Level III surveillance approach, as described in the CLO Methodology, and incorporated the Trading Scenarios Approach, given that the transaction is still within its Reinvestment Period. Given sufficient diversification of collateral to date, transaction performance and analytical results, Morningstar DBRS finalized its provisional credit ratings, as proposed above. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The Indenture dated June 28, 2024, as amended from time to time. (2) The integrity of the transaction's structure. (3) Morningstar DBRS' assessment of the portfolio quality and covenants. (4) Adequate credit enhancement to withstand Morningstar DBRS' projected collateral loss rates under various cash flow-stress scenarios. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Owl Rock Diversified Advisors LLC. (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 transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality test matrix (the CQM, as defined in Schedule 5 of the Supplemental Indenture). Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: Maximum Average Morningstar DBRS Risk Score Test and Weighted-Average Spread (WAS). Morningstar DBRS analyzed each structural configuration as a unique transaction, and all configurations (matrix points) passed the applicable Morningstar DBRS rating stress levels. The Asset Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS modeled during its analysis are presented below: Asset Coverage Tests Class A Asset Coverage Test: minimum 170.00%; currently 196.29% Class B Asset Coverage Test: minimum 120.00%; currently 136.09% Class C Asset Coverage Test: minimum 111.15%; currently 120.08% Collateral Quality Tests Maximum Average Morningstar DBRS Risk Score Test: Subject to the CQM; maximum 29.38%; currently 27.61% Minimum WAS Test: Subject to the CQM; minimum 4.75%; currently 4.77% Minimum Weighted Average Coupon Test: minimum 5.00%; currently N/A Minimum DScore: Subject to the CQM; minimum 25; currently 35.96 Maximum Weighted Average Life Test; maximum 6.50; currently 5.00 Advance Rate Tests Class A Advance Rate: maximum 52.00%; currently 50.95% Class B Advance Rate: maximum 75.00%; currently 73.48% Class C Advance Rate: maximum 85.00%; currently 83.28% Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle-market loans; (2) the adequate diversification of the portfolio of collateral obligations (Diversity Score of 35.96 vs the threshold of 25) , matrix driven); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. As of the most recent trustee report on April 3, 2026, the transaction is performing according to the parameters of the Indenture. The Issuer is in compliance with all coverage and collateral quality tests as well as concentration limitations for portfolio collateral obligations. There were no defaulted obligations reported to date. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology (November 10, 2025). The model-based analysis, which incorporated the above-mentioned collateral quality matrix, produced satisfactory results, which supported the finalization of the provisional credit ratings. 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 rating on Notes addresses 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. Notes: All figures are in U.S. dollars unless otherwise noted. PMT LOAN 2026-CNF4: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 43 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2026-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, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aa1 (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-23X*, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-24X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl.A-X10*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X16*, Definitive Rating Assigned Aaa (sf) Cl.A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X20*, Definitive Rating Assigned Aa1 (sf) Cl. A-X22*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned on April 15, 2026, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.53%, 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. PPM CLO 6-R: Fitch Affirms 'BBsf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the PPM CLO 6-R Ltd. refinancing notes. Fitch has also affirmed the class C-2-R and D-R notes with Stable Outlooks and the class E-R notes with a Negative Outlook. Entity/Debt Rating Prior ----------- ------ ----- PPM CLO 6-R Ltd. A-1-RR LT NRsf New Rating A-2-R 693975AL8 LT PIFsf Paid In Full AAAsf A-2-RR LT AAAsf New Rating B-R 693975AE4 LT PIFsf Paid In Full AA+sf B-RR LT AA+sf New Rating C-1-R 693975AG9 LT PIFsf Paid In Full Asf C-1-RR LT Asf New Rating C-2-R 693975AN4 LT Asf Affirmed Asf D-R 693975AJ3 LT BBB-sf Affirmed BBB-sf E-R 693976AA0 LT BBsf Affirmed BBsf Transaction Summary PPM CLO 6-R Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by PPM Loan Management Company 2, LLC. The transaction was originally closed in December 2022 and was first refinanced in December 2023. This will be the second refinancing, under which the class A-1- R, A-2-R, B-R and C-1-R notes will be refinanced on April 20, 2026. Net proceeds from the issuance of the refinanced notes, existing notes and subordinated notes will provide financing on a portfolio of approximately $381 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 94.75% first-lien senior secured loans and has a weighted average recovery assumption of 72.66%. 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 2.8-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 8 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the second supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - The spreads for the class A-1-RR, A-2-RR, B-RR and C-1-RR notes are 1.39%, 1.65%, 1.90% and 2.45%, respectively, compared to the spreads of 1.95%, 2.15%, 2.75% and 3.45% for the class A-1-R, A-2-R, B-R and C-1-R classes, respectively. - The non-call period for the refinanced notes has been extended to July 2026. - Stated maturity and reinvestment period for the refinanced notes remain the same as the original notes FITCH ANALYSIS The portfolio includes 285 assets from 259 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $385 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Weighted Average Spread, Minimum Weighted Average Coupon and Weighted Average Rating Factor tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B+/B'. Fitch has an explicit rating, credit opinion or private rating for 44.6% of the current portfolio par balance; ratings for 55.4% 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: Six years; - Minimum weighted average spread of 3.14%; - Fixed rate Assets: 5.00%; - 'CCC' obligors as defined by Fitch's ratings: 7.5%; - Minimum weighted average coupon of 3.51%; - Non-first priority senior secured assets: 10.0%; The transaction will exit its reinvestment period on 01-20-2029. Fitch Asset and Cash Flow Analysis The Fitch model outputs are shown below. The analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and the current portfolio for the remaining notes, and cash flow model analysis was conducted for this refinancing.. Current Portfolio Model Outputs: - Class A-2-RR: 'AAAsf' / Default 41.00% / Recovery 39.02% / Cushion 8.70% - Class B-RR: 'AA+sf' / Default 40.10% / Recovery 47.88% / Cushion 7.70% - Class C-RR: 'Asf' / Default 33.60% / Recovery 57.74% / Cushion 8.40% - Class D-R: 'BBB-sf' / Default 25.70% / Recovery 67.32% / Cushion 5.60% - Class E-R: 'BBsf' / Default 22.90% / Recovery 72.49% / Cushion 0.50% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-2-RR: 'AAAsf' / Default 47.70% / Recovery 36.69% / Cushion 2.20% - Class B-RR: 'AA+sf' / Default 46.30% / Recovery 45.14% / Cushion 1.40% - Class C-RR: 'Asf' / Default 39.10% / Recovery 54.22% / Cushion 1.90% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-2-RR, between 'BBB-sf' and 'AA-sf' for class B-RR, between 'B+sf' and 'BBB+sf' for class C-RR, and 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-RR 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-RR, 'AA+sf' for class C-RR, and 'BBB+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 PPM CLO 6-R Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. PRKCM 2026-AFC3: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to PRKCM 2026-AFC3 Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by a pool of first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and condotels. The pool consists of 976 loans, comprising qualified mortgage (QM) safe harbor (average prime offer rate), QM rebuttable presumption, non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt loans. The preliminary ratings are based on the term sheet as of April 20, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage originator, AmWest Funding Corp.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i)(ii) PRKCM 2026-AFC3 Trust Class A-1A, $131,714,000: AAA (sf) Class A-1B, $19,370,000: AAA (sf) Class A-1, $151,084,000: AAA (sf) Class A-1FCF, $109,500,000: AAA (sf) Class A-1LCF, $36,500,000: AAA (sf) Class A-2, $28,185,000: AA (sf) Class A-3, $23,995,000: A+ (sf) Class M-1, $15,425,000: BBB (sf) Class B-1, $8,380,000: BB- (sf) Class B-2, $3,999,000: B (sf) Class B-3, $3,809,095: Not rated Class A-IO-S, notional(iii): Not rated Class XS, notional(iii): Not rated Class R, not applicable: Not rated (i)The initial note balance of the class A-1LCF, A-1FCF, A-1A, and A-1B notes are subject to change and will be determined at the time of pricing provided that the aggregate initial note amount of the class A-1LCF, A-1FCF, A-1A, and A-1B notes will be equal to $297,084,000. (ii)The collateral and structural information reflect the term sheet dated April 20, 2026. The preliminary ratings address the ultimate payment of interest and principal. (iii)The notional amount is initially $380,877,095 and will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. RCKT MORTGAGE 2026-CES4: Fitch Assigns Bsf Rating on Five Tranches ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by RCKT Mortgage Trust 2026-CES4 (RCKT 2026-CES4). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2026-CES4 A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1A LT BBBsf New Rating BBB(EXP)sf M1B LT BBB-sf New Rating BBB-(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A4 LT AAsf New Rating AA(EXP)sf A5 LT Asf New Rating A(EXP)sf A6 LT BBBsf New Rating BBB(EXP)sf B1A LT BBsf New Rating BB(EXP)sf BX1A LT BBsf New Rating BB(EXP)sf B1B LT BBsf New Rating BB(EXP)sf BX1B LT BBsf New Rating BB(EXP)sf B2A LT Bsf New Rating B(EXP)sf BX2A LT Bsf New Rating B(EXP)sf B2B LT Bsf New Rating B(EXP)sf BX2B LT Bsf New Rating B(EXP)sf XS LT NRsf New Rating NR(EXP)sf A1L LT WDsf Withdrawn AAA(EXP)sf R LT NRsf New Rating NR(EXP)sf LTR LT NRsf New Rating NR(EXP)sf 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. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the previous class A-1L notes, as these were not funded at close and are not being offered. 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. REGATTA IX FUNDING: Fitch Affirms 'B-sf' Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta IX Funding Ltd.'s refinancing notes classes B-1R2, B-2R2, C-R2, D-1R2, and D-2R2, and has affirmed ratings for classes E-R and F. Entity/Debt Rating Prior ----------- ------ ----- Regatta IX Funding Ltd. A-R 75887VAL5 LT PIFsf Paid In Full AAAsf A-R2 LT NRsf New Rating AL-R2 LT NRsf New Rating B-1R 75887VAN1 LT PIFsf Paid In Full AA+sf B-1R2 LT AA+sf New Rating B-2R 75887VAU5 LT PIFsf Paid In Full AAsf B-2R2 LT AAsf New Rating C-R 75887VAQ4 LT PIFsf Paid In Full Asf C-R2 LT A+sf New Rating D-1R 75887VAS0 LT PIFsf Paid In Full BBBsf D-1R2 LT BBB+sf New Rating D-2R 75887VAW1 LT PIFsf Paid In Full BBB-sf D-2R2 LT BBB-sf New Rating E-R 75887WAL3 LT BB-sf Affirmed BB-sf F 75887WAN9 LT B-sf Affirmed B-sf Transaction Summary Regatta IX Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Regatta Loan Management, LLC. On April 17, 2026 (the refinancing date), classes A-R, B-1R, B-2R, C-R, D-1R, and D-2R will be refinanced in whole. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $318 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 23.73, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.82% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.74% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes - The refinancing is being implemented via the second supplemental indenture, which amended certain provisions of the transaction. - Spreads have been reduced for all classes of refinanced notes. - The non-call period for the refinanced notes is extended to Apr. 17, 2026. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. Fitch Analysis The portfolio includes 454 assets from 403 primarily high yield obligors. Of the 454 assets, there are two defaulted assets that represent 0.4% of the portfolio. The portfolio balance (excluding defaults and including principal cash) is approximately $318 million. As of the latest trustee report prior to the refinance date the transaction was failing its Minimum Floating Spread, Minimum Fixed Coupon, and Minimum Weighted Average Recovery Rate tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 42.2% of the current portfolio par balance; ratings for 56.7% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.8% were unrated. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% for top 3, and 2.0% for all other obligors, for an aggregate of 11.5%; - Largest three industries: 16.0%, 14.0%, and 10.0%, respectively; - Assumed risk horizon: 6 years; - Minimum weighted average spread of 3.11%; - Minimum weighted average recovery rate of 73.70%; - Maximum weighted average rating factor of 24.00; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 3.89%; The transaction will exit its reinvestment period on 04-17-2029. 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 B-1R2: 'AA+sf' / Default 41.20% / Recovery 48.06% / Cushion 13.90% - Class B-2R2: 'AAsf' / Default 39.50% / Recovery 48.10% / Cushion 10.90% - Class C-R2: 'A+sf' / Default 36.30% / Recovery 57.85% / Cushion 10.10% - Class D-1R2: 'BBB+sf' / Default 30.30% / Recovery 67.33% / Cushion 11.20% - Class D-2R2: 'BBB-sf' / Default 26.90% / Recovery 67.29% / Cushion 7.00% - Class E-R: 'BB-sf' / Default 22.50% / Recovery 72.44% / Cushion 5.90% - Class F-R: 'B-sf' / Default 17.90% / Recovery 77.10% / Cushion 4.60% Fitch Stress Portfolio (FSP) Model Outputs: - Class B-1R2: 'AA+sf' / Default 47.00% / Recovery 47.48% / Cushion 7.20% - Class B-2R2: 'AAsf' / Default 45.00% / Recovery 47.48% / Cushion 5.00% - Class C-R2: 'A+sf' / Default 41.40% / Recovery 56.89% / Cushion 3.90% - Class D-1R2: 'BBB+sf' / Default 35.20% / Recovery 66.09% / Cushion 5.00% - Class D-2R2: 'BBB-sf' / Default 31.20% / Recovery 66.09% / Cushion 2.90% - Class E-R: 'BB-sf' / Default 26.20% / Recovery 72.10% / Cushion 1.70% - Class F-R: 'B-sf' / Default 21.10% / Recovery 76.58% / Cushion 1.10% 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 B-1R2, between 'BBB-sf' and 'AAsf' for class B-2R2, between 'BBsf' and 'Asf' for class C-R2, between less than 'B-sf' and 'BBB+sf' for class D-1R2, between less than 'B-sf' and 'BB+sf' for class D-2R2, and between less than 'B-sf' and 'B+sf' for class E-R and less than 'B-sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-1R2, 'AAAsf' for class B-2R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1R2, 'Asf' for class D-2R2, and 'BBB+sf' for class E-R and 'BB+sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Regatta IX Funding Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. REGENTS CAPITAL 2026-1: DBRS Finalizes BB Rating on Cl. D Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of notes issued by Regents Capital Equipment Receivables 2026-1, LLC (the Issuing Entity): -- $112,615,000 Class A Notes at AA (sf) -- $7,841,000 Class B Notes at A (sf) -- $7,484,000 Class C Notes at BBB (sf) -- $4,989,000 Class D Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The 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 its AA (sf), A (sf), BBB (sf), and 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 AA (sf), A (sf), BBB (sf), and 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 has 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 is 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 is (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 is 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 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 were also 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. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. Notes: All figures are in U.S. dollars unless otherwise noted. SEQUOIA MORTGAGE 2026-5: Fitch Assigns Bsf Final Rating on B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-5 (SEMT 2026-5). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2026-5 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7A LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A16A LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf A26F LT AAAsf New Rating AAA(EXP)sf A27 LT AAAsf New Rating AAA(EXP)sf A28 LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf ACH4 LT AAAsf New Rating AAA(EXP)sf A31 LT AAAsf New Rating AAA(EXP)sf A32 LT AAAsf New Rating AAA(EXP)sf ACH67 LT AAAsf New Rating AAA(EXP)sf A33 LT AAAsf New Rating AAA(EXP)sf A34 LT AAAsf New Rating AAA(EXP)sf A35 LT AAAsf New Rating AAA(EXP)sf A36 LT AAAsf New Rating AAA(EXP)sf A37 LT AAAsf New Rating AAA(EXP)sf A38 LT AAAsf New Rating AAA(EXP)sf A39 LT AAAsf New Rating AAA(EXP)sf A40 LT AAAsf New Rating AAA(EXP)sf A41 LT AAAsf New Rating AAA(EXP)sf A42 LT AAAsf New Rating AAA(EXP)sf A43 LT AAAsf New Rating AAA(EXP)sf A44 LT AAAsf New Rating AAA(EXP)sf A45 LT AAAsf New Rating AAA(EXP)sf A46 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf AIO27 LT AAAsf New Rating AAA(EXP)sf AIO27F LT AAAsf New Rating AAA(EXP)sf AIO28 LT AAAsf New Rating AAA(EXP)sf AIO29 LT AAAsf New Rating AAA(EXP)sf AIO30 LT AAAsf New Rating AAA(EXP)sf AIO36 LT AAAsf New Rating AAA(EXP)sf AIO37 LT AAAsf New Rating AAA(EXP)sf AIO38 LT AAAsf New Rating AAA(EXP)sf AIO39 LT AAAsf New Rating AAA(EXP)sf AIO40 LT AAAsf New Rating AAA(EXP)sf AIO41 LT AAAsf New Rating AAA(EXP)sf AIO42 LT AAAsf New Rating AAA(EXP)sf AIO43 LT AAAsf New Rating AAA(EXP)sf AIO44 LT AAAsf New Rating AAA(EXP)sf AIO45 LT AAAsf New Rating AAA(EXP)sf AIO46 LT AAAsf New Rating AAA(EXP)sf AIO47 LT AAAsf New Rating AAA(EXP)sf AIO67 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B1A LT AA-sf New Rating AA-(EXP)sf B1X LT AA-sf New Rating AA-(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf LTR LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 574 loans with a total balance of approximately $741.49 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from Rocket Mortgage and various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure with full advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted-average (WA) Fitch FICO of 777 and 36.5% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 72.2% mark-to-market combined LTV (cLTV). Overall, 93.4% of the pool loans are for primary residences, while the remainder are second homes. In addition, 100% of the loans were underwritten to full documentation. Following the publication of the presale and expected ratings, the issuer provided an updated tape which included two loan drops. The change in collateral lowered the AAAsf expected loss by 1 bps to 3.59%. In addition, a corresponding pricing structure was provided and analyzed by Fitch. There were no changes to the credit enhancement and Fitch's expected ratings remain unchanged. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-5 had a final probability of default (PD) of 10.20% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress was 35.21%. The expected loss in the 'AAAsf' rating stress was 3.59%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-5 were 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 analyzed the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considered originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that had a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 94.3% of the loans in the transaction by loan count. Fitch applied a 5-bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm that have a final grade of either "A" or "B." Counterparty and Legal Analysis: All relevant transaction parties conformed with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. SEMT 2026-5 is a fully de-linked and a bankruptcy remote special purpose vehicle. All transaction parties and triggers aligned with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations did not apply to SEMT 2026-5 and, therefore, Fitch was comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporated a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.4% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporated a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, Consolidated Analytics and Opus. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either "A" or "B." ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SFAVE COMMERCIAL 2015-5AVE: DBRS Cuts Rating on D Certs to BBsf --------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2015-5AVE issued by SFAVE Commercial Mortgage Securities Trust 2015-5AVE as follows: -- Class A-1 to AA (sf) from AAA (sf) -- Class A-2B to AA (sf) from AAA (sf) -- Class X-A to AA (high) (sf) from AAA (sf) -- Class B to A (low) (sf) from AA (low) (sf) -- Class C to BBB (low) (sf) from A (low) (sf) -- Class D to BB (sf) from BBB (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-2A at AAA (sf) The trends on Classes A1, A-2B, B, C, D, and X-A are Negative. The trend on Class A-2A is Stable. With this review, Morningstar DBRS removed all credit ratings from Under Review with Negative Implications, where they were placed on January 28, 2026, following the Chapter 11 bankruptcy filing for Saks Global, the parent company of Saks Fifth Avenue (Saks), Saks Off Fifth, and other brands. Saks is the sole tenant at the collateral property securing the underlying loan for this transaction. Shortly after the bankruptcy filing, the loan transferred to special servicing, where it remained as of the April 2026 remittance. The credit rating downgrades for this review reflect Morningstar DBRS' stressed value analysis for the collateral property. The Negative trends reflect the ongoing efforts by Saks Global to stabilize the company and ensure the long-term profitability of the Saks brand. The credit rating confirmation and Stable trend on the Class A-2A certificate reflects the significant cushion against loss should the collateral property ultimately be liquidated. The $1.25 billion fixed-rate, interest-only (IO), 20-year underlying loan is secured by the borrower's leased-fee interest in the 12-story Saks retail building in New York, which served as its flagship store since 1924. The property is owned and occupied by affiliates of the Hudson's Bay Company (the Sponsor), which created Saks Global in July 2024 to consolidate Saks, Saks Off Fifth, and other brands under one parent company. In January 2025, Saks Global finalized a $6.25 billion acquisition of Neiman Marcus Group. The Sponsor owns the fee interest on the land and executed an absolute triple-net 99-year lease to the retail building owner, 12 East 49th Street LLC (the ground lessee and operating lessor). Since the bankruptcy filing, Saks Global has announced the planned closure of most of its Saks Off Fifth and Neiman Marcus Last Call locations, around 18 Saks stores, and two Neiman Marcus locations. In total, the company is expected to have 15 Saks and 33 Neiman Marcus locations remaining, including the subject Saks store, according to Business Insider. At issuance, the building owner (ground lessee) paid the borrower annual ground rent of $62.5 million, which was set to increase annually by the greater of 3.25% or CPI. According to the October 2025, rent roll, the annual ground rent amounted to $99.3 million. The ground lessee pays all expenses related to the land and building, then leases the building to Saks. The operating lease between Saks and 12 East 49th Street LLC (the operating lessor) has a 30-year term, expiring in December 2044. At issuance, Saks was noted to pay an annual amount of $160.0 million to the operating lessor with an abatement of up to $20.0 million for capital improvements. The annual payment under the operating lease was subject to rent steps of 3.25% per year. The operating lease is not collateral for the loan, and the lender is not obligated to recognize it in the event of a mortgage foreclosure. Since the UR-N designation was placed, Saks received court approval for $1.75 billion in debtor-in-possession financing using the company's leasehold interest in the Manhattan flagship store as collateral to secure the funds. In addition, the special servicer noted that the operating lease was modified, without the special servicer's approval, to reduce Saks' obligation under the operating lease such that it is now equal to the existing ground lease's fixed and additional rent payment obligations, reducing Saks' rent by more than 50.0%. The unapproved operating lease amendment triggered a cash sweep period, and according to the servicer, the borrower is co-operating with the special servicer to address all outstanding defaults. According to the special servicer, there have been no discussions for Saks to vacate its flagship store or any indication from the borrower or ground lessee that there are intentions to request a restructuring of the ground lease. Although Saks' demonstrated intent to continue occupying the building, a key location that would appear to be among the most vital to the brand, Morningstar DBRS remains concerned about the company's ability to right the ship on a go-forward basis. As such, in the analysis for this review, Morningstar DBRS considered a hypothetical liquidation scenario based on a conservative dark value for the property of $1.02 billion, including releasing costs and estimated downtime. The estimated dark value implies a loan-to-value (LTV) of just under 123.0% and when used in a liquidation scenario, projected losses would erode the entirety of Classes C and D and nearly 20% of the Class B certificate balance, reducing credit support to the more senior classes and supporting the credit rating downgrades and Negative trends with this review. In the baseline scenario also considered for this review, Morningstar DBRS maintained its look-through value approach for the building with the Morningstar DBRS Net Cash Flow of $91.0 million and a capitalization rate of 6.75%, reflecting the asset's location and quality, resulting in a Morningstar DBRS Value of $1.3 billion. The Morningstar DBRS Value represents a -63.6% variance from the issuance appraised value of $3.7 billion. At issuance, the appraiser valued the ground lease at $2.1 billion. The Morningstar DBRS Value implies an LTV of 92.7% compared with the LTV of 33.8% on the appraised value at issuance. Morningstar DBRS also maintained its qualitative adjustments, totaling 5.5% to reflect the favorable property quality, desirable location within a high traffic retail corridor and strong market fundamentals. The Morningstar DBRS credit ratings assigned to Classes A-1, A-2B, B, C, and D are higher than the results implied by the LTV Sizing Benchmarks. These variances are warranted given the prime location of the collateral property, as well as the borrower's incentive to continue working with the special servicer to cure the outstanding defaults and maintain a commitment to the obligations under the loan agreement. The Negative trends on all classes below Class A-1 reflect the unknowns surrounding the ultimate resolution for this loan, as well as the negative credit ratings pressure implied by the LTV Sizing Benchmarks and dark value analysis conducted as part of 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. Class X-A is an interest-only (IO) certificate that references a single-rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. SIXTH STREET 32: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Sixth Street CLO 32, Ltd. Entity/Debt Rating ----------- ------ Sixth Street CLO 32, Ltd. A-1 Loans LT AAAsf New Rating A-1 Notes LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Sixth Street CLO 32, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sixth Street SCP CLO Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.8 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.95% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D-1, 'BBB+sf' for class D-2, and 'BBBsf' 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 Sixth Street CLO 32, 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. SIXTH STREET XXIV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Sixth Street CLO XXIV, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Sixth Street CLO XXIV, Ltd. A-1-R LT NRsf New Rating NR(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf 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. Date of Relevant Committee April 15, 2026 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, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. SOLRR AIRCRAFT 2021-1: Moody's Ups Rating on Ser. C Notes from Ba3 ------------------------------------------------------------------ Moody's Ratings has upgraded three classes of notes issued by SOLRR Aircraft 2021-1 Limited / SOLRR Aircraft 2021-1 LLC (SOLRR 2021-1). The notes are backed by a portfolio of aircraft and their related initial and future leases. Stratos Aircraft Management Limited is the servicer of the underlying assets, with Altavair L.P. acting as sub-servicer. The complete rating actions are as follows: Issuer: Solrr Aircraft 2021-1 Limited / Solrr Aircraft 2021-1 LLC Series A Fixed Rate Secured Notes Series 2021-1, Upgraded to Aa3 (sf); previously on Nov 15, 2021 Definitive Rating Assigned A1 (sf) Series B Fixed Rate Secured Notes Series 2021-1, Upgraded to A3 (sf); previously on Nov 15, 2021 Definitive Rating Assigned Baa2 (sf) Series C Fixed Rate Secured Notes Series 2021-1, Upgraded to Baa3 (sf); previously on Nov 15, 2021 Definitive Rating Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily driven by bond deleveraging due to the scheduled paydown of the notes as well as the stable performance of the transaction. The series A, series B, and series C notes have paid down by 36.7%, 35.5% and 64.6%, respectively, since deal closing, and as a result, Moody's assumed cumulative loan-to-value (CLTV) ratio of the notes excluding the maintenance appraiser's projected end of lease (EOL) payments have improved significantly. The series A notes' CLTV is 57.2%, the series B notes' CLTV is 66.7%, and the series C notes' CLTV is 70.6%, based on Moody's assumed value (MAV) of approximately $609 million, as of the April 2026 payment date. Additionally, the debt service coverage ratio (DSCR) is currently 1.46, which is above the cash trap trigger of 1.20 and rapid amortization trigger of 1.15, and the transaction has not breached either threshold since closing. Moody's also took into account structural features such as credit enhancement supporting the rated notes, available security deposits, liquidity facilities, and reserve funds, as applicable, as well as qualitative considerations related to the servicers, including their flexibility in managing the aircraft portfolio and legal factors. Moody's also considered a number of sensitivity scenarios to address risks related to future lessee downgrades and future commercial aviation industry downturns. In addition, Moody's considered stress scenarios on the initial aircraft MAV to address uncertainties related to future volatility of aircraft values due to potential unforeseen market or geopolitical risks. This rating action reflects Moody's baseline expectation of a contained impact on energy markets despite ongoing oil supply disruption and limited damage to production or infrastructure. However, SOLRR Aircraft 2021-1 Limited remains exposed to a more adverse conflict scenario through the energy supply chains transmission channel. A prolonged conflict would likely put certain airlines' finances at risk. Elevated fuel prices will disproportionally impact low-cost carriers (LCCs) with earnings that are already under pressure from other higher costs, including labor and maintenance expenses and general inflation. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Aircraft and Associated Lease Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Factors that could lead to an upgrade of the ratings on the notes are (1) collateral cash flows that are significantly greater than Moody's initial expectations and (2) significant improvement in the credit quality of the airlines leasing the aircraft. Moody's updated expectations of collateral cash flows may be better than its original expectations because of lower frequency of lessee defaults, lower than expected depreciation in the value of the aircraft that secure the lessees' promise of payment under the leases owing to stronger global air travel demand, higher than expected aircraft disposition proceeds and higher than expected EOL payments received at lease expiry that are used to prepay the notes. As the primary drivers of performance, positive changes in the condition of the global commercial aviation industry could also affect the ratings. Down Factors that could lead to a downgrade of the ratings on the notes are (1) collateral cash flows that are materially below Moody's initial expectations and (2) a significant decline in the credit quality of the airlines leasing the aircraft. Other reasons for worse-than-expected transaction performance could include poor servicing of the assets or error on the part of transaction parties. Moody's updated expectations of collateral cash flows may be worse than its original expectations because of a higher frequency of lessee defaults, greater than expected depreciation in the value of the aircraft that secure the lessees' promise of payment under the leases owing to weaker global air travel demand, credit drift as the pool composition changes, lower than expected aircraft disposition proceeds, and lower than expected EOL payments received at lease expiry. Transaction performance also depends greatly on the strength of the global commercial aviation industry. SOUND POINT VII-R: Moody's Affirms B3 Rating on $20MM Cl. E Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Sound Point CLO VII-R, Ltd.: US$29M Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Aug 29, 2025 Upgraded to A1 (sf) Moody's have also affirmed the ratings on the following notes: US$310M (Current outstanding amount US$57,933,214) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 29, 2025 Affirmed Aaa (sf) US$15M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 29, 2025 Affirmed Aaa (sf) US$56M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 29, 2025 Upgraded to Aaa (sf) US$30M Class D Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Ba1 (sf); previously on Aug 29, 2025 Downgraded to Ba1 (sf) US$20M (Current outstanding amount US$20,170,596) Class E Junior Secured Deferrable Floating Rate Notes, Affirmed B3 (sf); previously on Aug 29, 2025 Downgraded to B3 (sf) US$10M (Current outstanding amount US$12,570,458) Class F Junior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Aug 29, 2025 Downgraded to Caa3 (sf) Sound Point CLO VII-R, Ltd., issued in October 2018 and later refinanced in June 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in October 2023. RATINGS RATIONALE The rating upgrade on the Class C notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in August 2025. The affirmations on the ratings on the Class A-1-R, Class A-2-R, Class B-R, Class D, Class E and Class F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-R notes have paid down by approximately USD70.4 million (22.7%) since the last rating action in August 2025 and USD252.1 million (81.3%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for Class A-1-R, Class A-2-R, Class B-R and Class C notes. According to the trustee report dated March 2026[1] the Class A/B and Class C OC ratios are reported at 156.42% and 127.70% compared to August 2025[2] levels of 139.13% and 121.46%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD221.5m Defaulted Securities: USD0.8m Diversity Score: 50 Weighted Average Rating Factor (WARF): 3899 Weighted Average Life (WAL): 2.98 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.42% Weighted Average Recovery Rate (WARR): 45.38% Par haircut in OC tests and interest diversion test: 9.67% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SOUND POINT XXII: Moody's Affirms Ba3 Rating on $23.5MM E Notes --------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Sound Point CLO XXII, Ltd.: US$27.75M Class C-RR Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Dec 6, 2024 Assigned Aa3 (sf) US$28.75M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Baa1 (sf); previously on Aug 5, 2021 Assigned Baa3 (sf) Moody's have also affirmed the ratings on the following notes: US$235.73M (Current outstanding amount US$49,924,853) Class A-RR Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 6, 2024 Assigned Aaa (sf) US$75M Class B-RR Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 6, 2024 Assigned Aaa (sf) US$23.5M Class E Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Sep 29, 2020 Confirmed at Ba3 (sf) Sound Point CLO XXII, Ltd., issued in February 2019 and later refinanced in August 2021 and December 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in January 2024. RATINGS RATIONALE The rating upgrades on the Class C-RR and Class D-R notes are primarily a result of the significant deleveraging of the Class A-RR notes following amortisation of the underlying portfolio since March 2025. The affirmations on the ratings on the Class A-RR, B-RR 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-RR notes have paid down by approximately $101.6 million (43.1%) in the last 12 months and $158.2 million (67.1%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated March 2026[1] the Class A/B, Class C and Class D OC ratios are reported at 155.63%, 131.67% and 113.55% compared to March 2025[2] levels of 136.45%, 123.01% and 111.63%, respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: $254,549,121 Defaulted Securities: $645,671 Diversity Score: 62 Weighted Average Rating Factor (WARF): 3672 Weighted Average Life (WAL): 3.18 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.24% Weighted Average Recovery Rate (WARR): 46.3% Par haircut in OC tests and interest diversion test: 7.39% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SYMPHONY CLO XXIII: Fitch Affirms 'BB-sf' Rating on Cl. E-R2 Notes ------------------------------------------------------------------ Fitch Ratings has upgraded the class B-R2, C-R2 and D-1R2 notes and affirmed the class A-R2, D-2R2, and E-R2 notes of Symphony CLO XXIII, Ltd. (Symphony XXIII). Fitch assigned a Stable Outlook to the class B-R2 notes and Positive Outlooks to the class C-R2 and D-1R2 notes. The Outlooks on the other rated notes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Symphony CLO XXIII, Ltd. - Refi. A-R2 87167NDL6 LT AAAsf Affirmed AAAsf B-R2 87167NDN2 LT AAAsf Upgrade AA+sf C-R2 87167NDQ5 LT AA-sf Upgrade Asf D-1R2 87167NDS1 LT BBB+sf Upgrade BBBsf D-2R2 87167NDU6 LT BBB-sf Affirmed BBB-sf E-R2 87167PAG5 LT BB-sf Affirmed BB-sf Transaction Summary Symphony XXIII is a broadly syndicated (BSL) collateralized loan obligation (CLO) managed by Symphony Alternative Asset Management LLC. The transaction was refinanced in February 2025 after it exited its reinvestment period in November 2023. The CLO is secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Improved Credit Enhancement from Note Amortization The rating actions are driven by the note amortization of the class A-R2 notes, which resulted in increased credit enhancement (CE) levels and break-even default rate cushions against their relevant rating stress default levels. As of the April 2026 reporting period, approximately 32.0% of the original class A-R2 note balance had amortized since the last review in November 2025. Cumulative amortization reached 66.0% of the original class A-R2 note balance. Limited Portfolio Improvement Amid Portfolio Losses and Spread Compression The transaction has continued to reinvest a portion of prepayment and credit risk sales proceeds after the reinvestment period. Reinvestment volumes have gradually declined and are expected to moderate further, given the continual step down of the weighted average life (WAL) threshold. The current portfolio WAL was reported at 3.37 years, compared to a 2.86 year limit, and has been failing since October 2025 reporting. The Fitch weighted average rating factor (WARF) has improved to 26.6 (B/B-) from 27.1 at last review. However, the portfolio has experienced additional losses of 1.5% of the target par amount since last review, driven by trading losses and defaults. Cumulative losses since the 2025 refinancing total 3.0%. Total obligors have decreased to 165 from 203, increasing the concentration of the largest 10 obligors to 14.0% of the portfolio from 11.4% at last review. Exposure to issuers with a Negative Outlook increased to 17.4% from 11.9% and the exposure to Fitch's CLO watchlist increased to 11.8% from 10.1%. The underlying weighted average spread decreased to 3.18% from 3.30% at last review. Updated Cash Flow Analysis Fitch expects the transaction will be less likely to reinvest and conducted an updated cash flow analysis on a static portfolio assumption. The stressed portfolio assumed a one-notch downgrade to the Fitch Issuer Default Rating (IDR) Equivalency Rating for assets with a Negative Outlook on the obligor's key rating. The portfolio WAL was also extended to a minimum risk horizon of four years to account for refinancing risk. The rating actions for the class A-R2, B-R2 and E-R2 notes are in line with their model implied ratings (MIRs), as defined in Fitch's "CLOs and Corporate CDOs Rating Criteria." Fitch upgraded the class C-R2 notes and affirmed the D-2R2 notes to two notches below their MIRs, and upgraded the class D-1R2 notes to one notch below its MIR. These rating actions varied from the MIRs due to the modest cushions at the higher rating levels, which may be sensitive to continued spread compression, portfolio deterioration and increasing par losses. However, Fitch assigned Positive Outlooks on the class C-R2 and D-1R2 notes with the expectation that further improvement in CE levels from future note amortization could outweigh these risks. The Stable Outlooks on all other classes reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in portfolio credit quality in stress scenarios commensurate with each class's rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio exceed those assumed at closing and the notes' credit enhancement is insufficient to compensate for the higher loss expectation; - A 25% increase in the mean default rate across all ratings, combined with a 25% decrease in the recovery rate across all rating levels for the current portfolio, would lead to downgrades of at least one rating category for the class E-R2 notes and up to one notch for all other notes, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades may occur if portfolio credit quality and transaction performance are better-than-expected; - Except for the 'AAAsf' rated notes, which are at the highest level on Fitch's scale and cannot be upgraded, a 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to six notches, based on the MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received regarding the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, considering the assumptions above, Fitch's assessment of the information relied on for its rating analysis according to its applicable rating methodologies, indicates that the information is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Symphony CLO XXIII, Ltd. - Refi. 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. THOR 2026-A: Fitch Assigns 'Bsf' Final Rating on Class D Notes -------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to notes issued by THOR 2026-A LLC (THOR 2026-A). Entity/Debt Rating Prior ----------- ------ ----- THOR 2026-A LLC A LT A-sf New Rating A-(EXP)sf B LT BBB-sf New Rating BBB-(EXP)sf C LT BB-sf New Rating BB-(EXP)sf D LT Bsf New Rating B(EXP)sf 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 6.7% 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. TIKEHAU US III: Fitch Affirms 'BB-sf' Rating on Class ER Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Tikehau US CLO III Ltd. refinancing notes classes A1RR, AJRR and BRR, and has affirmed the ratings and Rating Outlooks on classes C1R, CFR, D1R, DFR and ER. Entity/Debt Rating Prior ----------- ------ ----- Tikehau US CLO III LTD. A-1R 88676NAQ0 LT PIFsf Paid In Full AAAsf A1RR LT AAAsf New Rating AJR 88676NAS6 LT PIFsf Paid In Full AAAsf AJRR LT AAAsf New Rating BR 88676NAU1 LT PIFsf Paid In Full AAsf BRR LT AAsf New Rating C1R 88676NAW7 LT Asf Affirmed Asf CFR 88676NAY3 LT Asf Affirmed Asf D1R 88676NBA4 LT BBB-sf Affirmed BBB-sf DFR 88676NBC0 LT BBB-sf Affirmed BBB-sf ER 88676MAG4 LT BB-sf Affirmed BB-sf Transaction Summary Tikehau US CLO III Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Tikehau Structured Credit Management LLC that originally closed in January 2023 and refinanced in whole in January 2024. On April 20, 2026 (second refinancing date), classes A-1RR, AJRR and BRR will be refinanced from the proceeds of the issuance of new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $589 million of primarily first lien senior secured leveraged loans (excluding defaults and including principal cash). KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.74, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.13% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.57% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 1.8-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 36 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - A1RR, AJRR and BRR notes are being refinanced with lower spreads. - The non-call period for the refinanced notes is extended to Jan. 20, 2026. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original note. Fitch Analysis The portfolio includes 291 assets from 263 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $581million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Floating Spread and Weighted Average Rating Factor tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B/B-'. Fitch has an explicit rating, credit opinion or private rating for 42.2% of the current portfolio par balance; ratings for 57.7% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.2% were unrated. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5% - Largest three industries: respectively; 15.0%, 12.5% and 12.5%, respectively; - Assumed risk horizon: 6 years; - Minimum weighted average spread of 3.25%; - Minimum weighted average recovery rate of 72.57%; - Maximum weighted average rating factor of 25.55; - Fixed rate Assets: 5%; - Minimum weighted average coupon of 5.00%; The transaction will exit its reinvestment period on 1-20-2028. Fitch Asset and Cash Flow Analysis The Fitch model outputs are shown below. Current Portfolio Model Outputs: - Class A-1RR: 'AAAsf' / Default 43.20% / Recovery 38.19% / Cushion 12.90% - Class AJRR: 'AAAsf' / Default 43.20% / Recovery 38.19% / Cushion 9.80% - Class BRR: 'AAsf' / Default 40.60% / Recovery 46.55% / Cushion 7.20% - Class CR: 'Asf' / Default 36.00% / Recovery 56.11% / Cushion 5.60% - Class DR: 'BBB-sf' / Default 27.70% / Recovery 65.70% / Cushion 3.20% - Class ER: 'BB-sf' / Default 23.20% / Recovery 71.12% / Cushion -0.10% In the analysis of the current portfolio, the class A-1RR, AJRR, BRR, C1R/CRR and D1R/DFR passed their rating thresholds in all nine cash flow scenarios with minimum cushions of 6.5%, 3.6%, 2.1%, 5.60% and 3.20%, respectively. The class ER notes passed the 'BB-' PCM hurdle rate in eight of the nine scenarios, with one marginal failure of 0.10% below threshold. The indicative portfolio consists of 98.97% floating rate assets Fitch assigned 'AAAsf', 'AAAsf', and 'AAsf' ratings with a Stable Outlook to the class A1RR, AJRR and BRR notes. Fitch believes the notes can sustain a robust level of defaults combined with low recoveries and other factors like the degree of cushion when analyzing the indicative portfolio and the strong performance in the sensitivity scenarios. Fitch also affirmed the ratings on the C1R, CFR, D1R, DFR and ER notes. The Outlooks remain Stable on the C1R, CFR, D1R, DFR notes, and Negative on the ER notes. The Outlook for the E-R notes remains Negative, reflecting continued portfolio losses and declining credit enhancement consistent with Fitch expectations. The transaction is expected to exit its reinvestment period in January 2028. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AAAsf' for class A-1RR notes, between 'BBB+sf' and 'AA+sf' for class AJRR notes, between 'BB+sf' and 'A+sf' for class BRR notes, between 'Bsf' and 'BBB+sf' for class CR notes, between less than 'B-sf' and 'BB+sf' for class DR notes and between less than 'B-sf' and 'B+sf' for class ER notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1RR and class AJRR 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 BRR notes, 'AAsf' for class CR notes, and 'A-sf' for class DR notes and 'BBB-sf' for class ER notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Tikehau US CLO III LTD. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TIKEHAU US VIII: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Tikehau US CLO VIII, Ltd. Entity/Debt Rating ----------- ------ Tikehau US CLO VIII, Ltd. A-1 LT NRsf New Rating A-J LT AAAsf New Rating B-1 LT AAsf New Rating B-2 LT AAsf New Rating C-1 LT Asf New Rating C-2 LT Asf New Rating D-1 LT BBBsf New Rating D-J LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Tikehau US CLO VIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Tikehau Structured Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.55 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.72% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-J, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-J, 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-J notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'Asf' for class D-J, 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 Tikehau US CLO VIII, 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. TOWD POINT 2026-FIX2: DBRS Gives (P)B(low) Rating on 4 Tranches --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following Asset-Backed Securities, Series 2026-FIX2 (the Notes) to be issued by Towd Point Mortgage Trust 2026-FIX2 (TPMT 2026-FIX2 or the Trust): -- $285.8 million Class A1A at (P) AAA (sf) -- $3.6 million Class A1B at (P) AAA (sf) -- $16.6 million Class A2 at (P) AA (sf) -- $14.8 million Class M1 at (P) A (sf) -- $13.9 million Class M2A at (P) BBB (sf) -- $11.4 million Class M2B at (P) BBB (low) (sf) -- $6.4 million Class B1 at (P) BB (low) (sf) -- $3.8 million Class B2 at (P) B (low) (sf) -- $289.4 million Class A1 at (P) AAA (sf) -- $16.6 million Class A2A at (P) AA (sf) -- $16.6 million Class A2AX at (P) AA (sf) -- $16.6 million Class A2B at (P) AA (sf) -- $16.6 million Class A2BX at (P) AA (sf) -- $16.6 million Class A2C at (P) AA (sf) -- $16.6 million Class A2CX at (P) AA (sf) -- $16.6 million Class A2D at (P) AA (sf) -- $16.6 million Class A2DX at (P) AA (sf) -- $14.8 million Class M1A at (P) A (sf) -- $14.8 million Class M1AX at (P) A (sf) -- $14.8 million Class M1B at (P) A (sf) -- $14.8 million Class M1BX at (P) A (sf) -- $14.8 million Class M1C at (P) A (sf) -- $14.8 million Class M1CX at (P) A (sf) -- $14.8 million Class M1D at (P) A (sf) -- $14.8 million Class M1DX at (P) A (sf) -- $13.9 million Class M2AA at (P) BBB (sf) -- $13.9 million Class M2AAX at (P) BBB (sf) -- $13.9 million Class M2AB at (P) BBB (sf) -- $13.9 million Class M2ABX at (P) BBB (sf) -- $13.9 million Class M2AC at (P) BBB (sf) -- $13.9 million Class M2ACX at (P) BBB (sf) -- $13.9 million Class M2AD at (P) BBB (sf) -- $13.9 million Class M2ADX at (P) BBB (sf) -- $11.4 million Class M2BA at (P) BBB (low) (sf) -- $11.4 million Class M2BAX at (P) BBB (low) (sf) -- $11.4 million Class M2BB at (P) BBB (low) (sf) -- $11.4 million Class M2BBX at (P) BBB (low) (sf) -- $11.4 million Class M2BC at (P) BBB (low) (sf) -- $11.4 million Class M2BCX at (P) BBB (low) (sf) -- $11.4 million Class M2BD at (P) BBB (low) (sf) -- $11.4 million Class M2BDX at (P) BBB (low) (sf) -- $6.4 million Class B1A at (P) BB (low) (sf) -- $6.4 million Class B1AX at (P) BB (low) (sf) -- $6.4 million Class B1B at (P) BB (low) (sf) -- $6.4 million Class B1BX at (P) BB (low) (sf) -- $3.8 million Class B2A at (P) B (low) (sf) -- $3.8 million Class B2AX at (P) B (low) (sf) -- $3.8 million Class B2B at (P) B (low) (sf) -- $3.8 million Class B2BX at (P) B (low) (sf) The (P) AAA (sf) credit rating reflects 19% of credit enhancement provided by subordinate notes. The (P) AA (sf), (P) A (sf), (P) BBB (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 14.35%, 10.20%, 6.30%, 3.10%, 1.30%, and 0.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of fixed-rate, prime and near-prime, junior-lien revolving home equity line of credit (HELOCs) funded by the issuance of the Asset-Backed Securities, Series 2026-FIX2 (the Securities). The Securities are backed by 3,601 mortgage loans with a total principal balance of $357,299,608 and with a total credit limit of $409,736,293. The mortgage loan pool comprises 84.5% junior-lien and 15.5% first-lien HELOCs. The portfolio, on average, is six months seasoned, though seasoning ranges from two months to twenty months. All the loans were underwritten with Morningstar DBRS-defined full documentation standards. All the loans are current and 98.3% have never been delinquent since origination. Transaction and Other Counterparties TPMT 2026-FIX2 is a HELOC securitization by FirstKey Mortgage, LLC (FirstKey) and CRM 3 Sponsor, LLC (CRM Sponsor). Spring EQ, LLC (Spring EQ) originated all loans in the mortgage pool. The Mortgage Loans will be serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing (70.1%) and Select Portfolio Servicing Inc. (SPS; 29.9%). Newrez will act as Master Servicer and will be responsible for making interest advances on each Shellpoint serviced mortgage loan until deemed unrecoverable. SPS will also be responsible for making interest advances on each SPS serviced mortgage loan until deemed unrecoverable. U.S. Bank Trust Company, National Association (rated AA with a Stable trend) will act as the Indenture Trustee, Paying Agent, Administrator, and Note Registrar. U.S. Bank Trust National Association will act as Delaware Trustee and Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend) will act as the Custodian. On the Closing Date, CRM Sponsor will acquire the mortgage loans from various transferring trusts. CRM Sponsor will then sell the mortgage loans to the Depositor, pursuant to the Mortgage Loan Contribution Agreement. Through one or more majority-owned affiliates, CRM Sponsor will acquire and retain a 5% eligible vertical interest in each class of Securities (excluding the Class R Certificates) to be issued and not less than 5% of the funding interest principal amount to satisfy the credit risk retention requirements. HELOC Features All the mortgage loans are HELOCs with three-year initial draw periods, and 15-, 20- or 30-year original terms to maturity. Each HELOC loan is fully amortizing and has no interest-only (IO) period. All HELOCs in this transaction are fixed rate loans and do not require a balloon payment. Transaction Structure This transaction incorporates a sequential cash flow structure; however, the Class A-1A and A-1B Notes are paid pro rata. Principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full (IPIP). The Interest remittance will be distributed concurrently to the Notes and the Funding Interest Owner. Accrued interest and unpaid interest shortfall will be distributed sequentially to the Notes. The Funding Interest Owner, as further described below, will receive its principal distribution senior to the issued class of Notes. Other Transaction Features The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Securities (excluding the Class R Certificates) to be issued and not less than 5% of the funding interest principal amount to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Closing Date, but in any event no longer than the seventh anniversary of the Closing Date. The Master Servicer will generally fund advances of delinquent interest on any Shellpoint serviced mortgage loan and SPS will generally fund advances of delinquent interest on any SPS serviced mortgage loan, unless the Servicers, in good faith, determine that such advance is nonrecoverable, is with respect to a mortgage loan that is subject to a modification or a deferral, or is with respect to a mortgage loan that is 150 days or more delinquent under the Office of Thrift Supervision (OTS) delinquency method. In addition, for all the mortgage loans, the related servicer may be obligated to make advances in respect of homeowner association fees, taxes, and insurance; installment payments on energy improvement liens; and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. The Servicers and Master Servicer will not advance any principal on delinquent loans. For this transaction, any junior-lien loan that is 150 days delinquent under the OTS delinquency method (equivalent to 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method), the Servicers will review and may charge off the loan with the approval of the Asset Manager. With respect to a charged-off loan, the total unpaid principal balance (UPB) will be considered a realized loss and will be allocated pro rata (i) based on the Notes Percentage reverse sequentially to the Noteholders and (ii) Funding Interest Percentage to the Funding Interest Principal Amount. If there are any subsequent recoveries for such charged-off loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes and Funding Interest that have been previously reduced by allocation of such realized losses may be increased by such recoveries pro rata (i) based on the Notes Percentage sequentially in order of seniority to the Noteholders and (ii) Funding Interest Percentage to the Funding Interest Principal Amount. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. The Servicers may not charge off a first-lien HELOC that is 150 days delinquent under the OTS delinquency method (equivalent to 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method). On or after the earlier of (1) the payment date in April 2029 or (2) the first payment date when the aggregate pool balance of the mortgage loans (other than the charged-off loans and the real estate owned (REO) properties) is reduced to 30% or less of the Cut-Off Date balance, the call option holder will have the option to purchase the mortgage loans from the Issuer to redeem the Notes, Certificates and retire the Funding Interest for an amount not less than par (Optional Redemption). On or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the call option holder will have the option to purchase the mortgage loans and REO properties from the Issuer to redeem the Notes, Certificates and retire the Funding Interest for an amount not less than par (Cleanup Call). Additionally, on or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than or equal to 5% of the aggregate pool balance as of the Cut-Off Date, the Master Servicer will have the option to purchase the mortgage loans and REO properties from the Issuer to redeem the Notes, Certificates and retire the Funding Interest for an amount not less than par (Master Servicer Cleanup Call). Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOC, that is 180 days delinquent under the MBA delinquency method or 150 days or more delinquent under the OTS delinquency method will be reviewed and may be charged off with the approval of the Asset Manager. Funding of Draws This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicers will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Initial Funding Interest Owner. Nevertheless, the Servicers are still obligated to fund draws even if the principal collections are insufficient in a given month for full reimbursement. If the aggregate draws exceed the principal collections (Net Draw), the Servicers can be reimbursed pursuant to the Interest Remittance Amount payment priority. The Initial Funding Interest Owner will have the ultimate responsibility to ensure draws are funded by remitting funds to the Paying Agent to reimburse the Servicers for draws made on the loans, as long as all borrower conditions are met to warrant draw funding. On the Closing Date, Goldman Sachs Bank USA (GSB), as the Initial Funding Interest owner, will have the obligation to fund net draws on the mortgage loans and to receive reimbursement with interest until the Initial Funding Interest Termination Date, which is on the fifth anniversary of the Closing Date; thereafter, the CRM Sponsor will have the obligation to fund net draws for the succeeding years. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of the servicers or the Initial Funding Interest Owner. Rather, the analysis relies on the assets' ability to generate sufficient cash flows to fund draws and make interest and principal payments. The credit ratings reflect transactional strengths that include the following: -- Robust equity and prime/near-prime credit quality; -- Satisfactory third-party due-diligence credit and compliance review; -- Current loan status; and -- Improved underwriting standards. The transaction also includes the following challenges: -- Representations and warranties framework; -- No advances of delinquent principal; -- The funding interest owner may fail to reimburse the servicers for draws; and -- Limited third-party diligence valuation review. 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 related Current Interest, Interest Shortfall, and the related Class Principal Balance. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt credit 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. TRINITAS CLO XXVIII: S&P Assigns BB-(sf) Rating to Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-L-R, A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and new class X debt from Trinitas CLO XXVIII Ltd./Trinitas CLO XXVIII LLC, a CLO managed by Trinitas Capital Management LLC that was originally issued in May 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-1L, A-1N, A-2, B, C-1, C-2, D, and E debt following payment in full on the April 27, 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 C-R debt was issued at a floating spread, replacing the previous class C-1 floating-rate debt and class C-2 fixed-rate debt. -- The reinvestment period and non-call period were extended by two years. -- The concentration limit for the fixed-rate assets was revised downward to 4% from 5%. -- The non-call period was extended to April 25, 2028. -- The reinvestment period was extended to April 25, 2031. -- The legal final maturity dates for the replacement class B-R, C-R, D-1-R, D-2-R, and E-R debt, new class X debt, and the previous subordinated notes were extended to April 25, 2039, while the legal maturity dates for the class A-L-R and A-R debt were extended to April 25, 2038. -- No additional assets were purchased on the April 27, 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 25, 2026. -- The new class X debt was issued in connection with this refinancing and is expected to be paid down using interest proceeds during eight payment dates in equal installments of $287,500.00, beginning with the second payment date. -- No additional subordinated notes 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 XXVIII Ltd./Trinitas CLO XXVIII LLC Class X, $2.30 million: AAA (sf) Class A-L-R loans, $125.00 million: AAA (sf) Class A-R, $123.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $28.00 million: A (sf) Class D-1-R (deferrable), $20.00 million: BBB- (sf) Class D-2-R (deferrable), $3.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Ratings Withdrawn Trinitas CLO XXVIII Ltd./Trinitas CLO XXVIII LLC Class A-1 to NR from 'AAA (sf)' Class A-1L to NR from 'AAA (sf)' Class A-1N to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C-1 to NR from 'A (sf)' Class C-2 to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Trinitas CLO XXVIII Ltd./Trinitas CLO XXVIII LLC Subordinated notes, $41.80 million: NR NR--Not rated. VENTURE CLO XV: Moody's Cuts Rating on $35MM E-R2 Notes to Caa1 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Venture XV CLO, Limited: US$70,750,000 Class BR3 Senior Secured Floating Rate Notes due 2032, Upgraded to Aaa (sf); previously on June 10, 2024 Upgraded to Aa1 (sf) US$27,500,000 Class CR3 Mezzanine Secured Deferrable Floating Rate Notes due 2032, Upgraded to Aa1 (sf); previously on June 10, 2024 Upgraded to A1 (sf) Moody's have also downgraded the rating on the following notes: US$35,000,000 Class E-R2 Junior Secured Deferrable Floating Rate Notes due 2032, Downgraded to Caa1 (sf); previously on September 16, 2020 Downgraded to B1 (sf) Venture XV CLO, Limited, originally issued in December 2013 and partially refinanced in October 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2024. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions on the Class BR3 and Class CR3 Notes are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since April 2025. The Class A Loans and Class AR3 Notes have been paid down by 62.1% or $112.6 million and $58 million, respectively, since that time. Based on the trustee's April 2026 report[1], the OC ratios for the Class A/B and Class C notes are reported at 141.13% and 125.21%, respectively, versus April 2025 levels[2] of 128.39% and 120.12%, respectively. Moody's notes that the April 2026 trustee-reported OC ratios do not reflect the April 2026 payment distribution[3], when $40.3 million of principal proceeds and $1 million of interest proceeds were used to pay down the Class A Loans and Class AR3 Notes. The downgrade rating action on the Class E-R2 notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's April 2026 report[4], the OC ratio for the Class E notes is reported at 98.05% versus April 2025 level[5] of 103.71%. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is 3401[6], compared to 2977 in April 2025[7], failing the trigger of 2906. No actions were taken on the Class A Loans, Class AR3 Notes and Class D-R2 notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in April 2026. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $276,704,095 Defaulted par: $10,552,675 Diversity Score: 66 Weighted Average Rating Factor (WARF): 3349 Weighted Average Spread (WAS): 3.63% Weighted Average Recovery Rate (WARR): 45.01% Weighted Average Life (WAL): 3.3 years Par haircut in OC tests: 5.85% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. VERUS SECURITIZATION 2026-4: Moody's Assigns B2 Rating to B-2 Certs ------------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 14 classes of residential mortgage-backed securities (RMBS) 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, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-1FCF, Definitive Rating Assigned Aaa (sf) Cl. A-1LCF, Definitive Rating Assigned Aaa (sf) Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1F, Definitive Rating Assigned Aaa (sf) Cl. A-1IO1*, Definitive Rating Assigned Aaa (sf) Cl. A-1IO2*, Definitive Rating Assigned Aaa (sf) Cl. A-1IO*, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned Aa3 (sf) Cl. M-1, Definitive Rating Assigned Baa1 (sf) Cl. B-1, Definitive Rating Assigned Ba1 (sf) Cl. B-2, 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 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 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. VERUS SECURITIZATION 2026-R3: Fitch Gives B Rating on Cl. B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2026-R3 (Verus 2026-R3). Entity/Debt Rating Prior ----------- ------ ----- VERUS 2026-R3 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1FCF LT AAAsf New Rating AAA(EXP)sf A-1LCF 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 BBB-sf 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 DA LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The Verus 2026-R3 notes are supported by 925 loans with a balance of $497.0 million as of April 1, 2026 (the cutoff date). Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential-payment structure. The transaction has a stop advance feature for first lien loans whereby the P&I advancing party will advance delinquent P&I for up to 90 days. All loans in the pool are seasoned more than 24 months. Currently, 1.9% of the pool is delinquent, 10.9% is current but has experienced delinquency within the past 12 months, and 87.2% is clean and current. Primary residence loans comprise 65.4% of the Verus 2026-R3 transaction pool, followed by second home and investor loans at 34.6%. In terms of documentation type, the transaction consists predominantly of debt service coverage ratio (DSCR) loans at 28.1%, and 37.0% were originated to a bank statement program. The remaining 34.9% of the population was underwritten to either a CPA P&L, asset underwriting, foreign national, full or written verification of employment product. There was no change to collateral since presale. Post-pricing structure was received on Apr. 14. Bond balances were updated and most coupons decreased by 14-39 bps, which increased the excess spread to approximately 164bps. The higher excess spread and improved deal pricing provided additional credit enhancement, leading Fitch to upgrade its expected ratings for B-1 class from 'BB- (EXP)sf' to 'BBsf' and B-2 class from 'B- (EXP)sf' to 'Bsf'. Ratings for the other classes remained the same. KEY RATING DRIVERS Credit Risk of Mortgage Assets: The performance of underlying residential mortgages or mortgage-related assets directly affects RMBS transactions. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. Verus 2026-R3 has a final probability of default (PD) of 46.6% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 34.0%. The expected loss in the 'AAAsf' rating stress is 15.9%. Structural Analysis: Verus 2026-R3 bases its mortgage cash flow and loss allocation on a modified sequential-payment structure with limited advancing, whereby principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on all loans in the transaction. Fitch applies a 5 bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch confirms all relevant transaction parties conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements are satisfied to fully de-link the transaction from any other entities. Fitch confirms Verus 2026-R3 is fully de-linked and serves as a bankruptcy remote special purpose vehicle. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Verus 2026-R3; therefore, Fitch assigns the highest possible rating of 'AAAsf' without rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 37.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. CRITERIA VARIATION Fitch used a custom model and applied a variation to Fitch's U.S. RMBS Ratings Criteria to scale down the z-score adjustment 33% starting after year two and 100% removed by end of year five. Currently, additional PD adjustments are applied to the final PD using a z-score adjustment that is static over time, regardless of seasoning. These adjustments are designed to capture risk factors not in the historical data, which diminishes as loans season. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple TPR firms. The due diligence was performed at the respective prior issuance and was not updated with the exception of updated property valuations. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. VISTA POINT 2026-CES2: DBRS Gives (P)B(low) Rating on B-2 Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following Asset-Backed Securities, Series 2026-CES2 (the Notes) to be issued by Vista Point Securitization Trust 2026-CES2 (VSTA 2026-CES2 or the Trust): -- $186.9 million Class A-1 at (P) AAA (sf) -- $21.1 million Class A-2 at (P) AA (high) (sf) -- $19.7 million Class A-3 at (P) A (high) (sf) -- $19.1 million Class M-1 at (P) BBB (high) (sf) -- $17.0 million Class B-1 at (P) BB (sf) -- $12.9 million Class B-2 at (P) B (low) (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The (P) AAA (sf) credit rating on the Notes reflects 34.55% of credit enhancement provided by subordinate Notes. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (sf), and (P) B (low) (sf) credit ratings reflect 27.15%, 20.25%, 13.55%, 7.60%, and 3.10% of credit enhancement, respectively. CREDIT RATING RATIONALE/DESCRIPTION VSTA 2026-CES2 is a securitization of a portfolio of fixed, prime, expanded-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,066 mortgage loans with a total principal balance of $285,579,104 as of the Cut-Off Date (March 31, 2026). As of the cut-off date, all but 11 loans (1.2% of the pool), were current. Since then, three loans (0.4%) that were 30 days delinquent have self-cured, leaving 0.8% of the pool 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. None of the borrowers are in active bankruptcy. VSTA 2026-CES2 represents the eighth CES securitization by Vista Point Mortgage, LLC (Vista Point). Vista Point with approximately 21.2% is the top originator for the mortgage pool followed by Cake Mortgage Corp. with 11.8%. The remaining originators each comprise less than 10.0% of the mortgage loans. Carrington Mortgage Services, LLC (Carrington; 100.0%) is the Servicer of all the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Paying Agent, Note Registrar, and Certificate Registrar. U.S. Bank National Association will act as the Custodian. U.S. Bank Trust National Association will act as the Delaware Trustee. On or after the earlier of (1) the payment date occurring in May 2029 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the cut-off date balance, the Controlling Holder (majority holder of the Class XS Notes; initially expected to be affiliate of the Sponsor), may terminate the Issuer at a price equal to the greater of (1) the class balances of the related Notes plus accrued and unpaid interest, including any cap carryover amounts and (2) the principal balances of the mortgage loans plus accrued and unpaid interest, including fees, expenses, and indemnification amounts. The Controlling Holder must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Controlling Holder will have the option, but not the obligation, to repurchase any mortgage loan (other than loans under forbearance plan as of the closing date) that becomes 90 or more days delinquent at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the cut-off date. Although the majority of the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 69.9% of the loans are designated as non-QM, 6.0% are designated as QM Safe Harbor, and 0.1% are designated as QM Rebuttable Presumption. Approximately 24.1% of the mortgages are loans that are not subject to the QM/ATR rules as they are made to investors for business purposes. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance; installment payments on energy improvement liens; and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 180 days delinquent under the MBA delinquency method, upon review by the related Servicer, may be considered a charged-off loan. With respect to a charged-off loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such charged-off loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default of loans in this pool. This transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full (IPIP). The credit ratings reflect transactional strengths that include the following: -- Robust equity and prime/expanded-prime credit quality; -- Certain second-lien attributes; -- Satisfactory third-party due diligence review; -- Current loan status; and -- Improved underwriting standards. The transaction also includes the following challenges: -- Representations and warranties framework; -- No servicer advances of delinquent principal and interest; and -- Limited third-party diligence valuation review on a portion of the pool. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amount, Interest Carryforward Amount, and the related Class Principal Balance. Morningstar DBRS' credit ratings on Class A-1, A-2, A-3, and M-1 Notes also address the credit risk associated with the increased rate of interest applicable to the Class A-1, A-2, A-3, and M-1 Notes if the Class A-1, A-2, A-3, and M-1 Notes remain outstanding on the step-up date (May 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amount based on its position in the cash flow waterfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. VISTA POINT 2026-CES2: S&P Assigns (P) B-(sf) Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Vista Point Securitization Trust 2026-CES2's asset-backed securities backed by residential mortgage loans. The note issuance is an asset securitization backed by U.S. closed-end, second-lien mortgage loans, fixed-rate, and fully amortizing mortgage loans (four with balloon payments), to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, townhouses, condominiums, and two-to-four family residential properties. The pool has 1,066 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 24, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P views of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- S&P's mortgage operational assessment ranking on Vista Point Mortgage LLC; 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 Vista Point Securitization Trust 2026-CES2(i) Class A-1, $186,911,000: AAA (sf) Class A-2, $21,133,000: AA- (sf) Class A-3, $19,705,000: A- (sf) Class M-1, $19,134,000: BBB- (sf) Class B-1, $16,992,000: BB- (sf) Class B-2, $12,851,000: B- (sf) Class B-3, $8,853,104: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(iii): NR Class R, N/A(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)On any payment date, the class A-IO-S notes will have a notional amount equal to the aggregate unpaid principal balance of the mortgage loans as of the first day of the related due period. The class A-IO-S will not be entitled to payments of principal and will be entitled to receive an amount equal to the excess servicing strip. (iii)The notional amount equals the aggregate unpaid principal balance of the mortgage loans as of the first day of the related due period. (iv)The class R notes will not have a class principal amount and are the class of notes representing the residual interest in the issuer. The class R notes are not expected to receive payments. NR--Not rated. N/A--Not applicable. WARWICK CAPITAL 2: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Warwick Capital CLO 2 Ltd. Entity/Debt Rating ----------- ------ Warwick Capital CLO 2 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-1-R LT BBB(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating X LT AAA(EXP)sf Expected Rating Transaction Summary Warwick Capital CLO 2 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Warwick Capital CLO Management LLC. The original CLO, which closed in November 2023, was rated by Fitch. On April 30, 2026, the notes will be redeemed in full from refinancing proceeds. The secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.24, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.46% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. 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 sixyears to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-2-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 'BBB-sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and 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, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Warwick Capital CLO 2 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. WELLINGTON MANAGEMENT 2: Fitch Assigns 'BB-sf' Rating on E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Wellington Management CLO 2 Ltd. reset transaction. Entity/Debt Rating ----------- ------ Wellington Management CLO 2 Ltd. • X-R LT AAAsf New Rating A-R Notes LT NRsf New Rating A-R Loans LT NRsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Wellington Management CLO 2 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Wellington Management CLO Advisors LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.0% first lien senior secured loans and has a weighted average recovery assumption of 73.4%. 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 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' 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 X 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 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Wellington Management CLO 2 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. WELLS FARGO 2015-C26: Fitch Keeps 'Csf' Rating on Watch Evolving ---------------------------------------------------------------- Fitch Ratings has maintained class D of Wells Fargo Commercial Mortgage Trust 2015-C26 (WFCM 2015-C26) commercial mortgage pass-through certificates on Rating Watch Evolving (RWE). The remaining rated classes have paid in full. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2015-C26 D 94989CAG6 LT Csf Rating Watch Maintained Csf E 94989CAJ0 LT PIFsf Paid In Full Csf F 94989CAL5 LT PIFsf Paid In Full Csf X-C 94989CAA9 LT PIFsf Paid In Full Csf X-D 94989CAC5 LT PIFsf Paid In Full Csf KEY RATING DRIVERS Release of Servicer Holdback; Reimbursement of Realized Losses: In March 2026, the transaction's certificate administrator posted a revised February 2026 remittance report indicating that the majority of the prior servicer holdback, totaling $66.6 million, was released to bondholders. The notice stated that $5 million was retained and an additional $1 million was held back by the certificate administrator. According to the revised remittance report, classes D, E, F and G received reimbursements for previously realized principal losses and repayment of past-due interest deferrals, which had been driven primarily by the prior special servicer's holdback of funds in early 2025. Classes E and F, whose principal balances had previously been reduced to zero, were repaid in full. Interest-only classes X-C and X-D previously had their notional balances reduced to zero from the holdback and as their referenced classes have been repaid, they will no longer receive cash flow. Class G, which is not rated, received a partial reimbursement. However, its balance was reduced to zero as a result of previously incurred realized losses and from the holdback reimbursement. The maintenance of the RWE for class D reflects the uncertainty regarding the timing and application of remaining funds from the holdback, and the disposition of the trust's remaining asset. If the remaining holdback funds are sufficient, class D could be repaid in full and the rating revised to 'PIF'. If the funds are insufficient and losses from the disposition of the remaining asset are considered permanent, the rating will be downgraded to 'Dsf'. The 'Csf' rating on class D is consistent with Fitch's Rating Definitions as the write-down may be temporary and realized losses could be reimbursed in the future. The servicer holdback was requested by the transaction's previous special servicer, Midland Loan Services (Midland), due to litigation related to the originator's repurchase of the Aloft Houston by the Galleria loan in January 2024. Midland requested a holdback of trust principal proceeds totaling approximately $66.6 million, beginning with the February 2025 reporting period. The master servicer had previously indicated to Fitch that the holdback funds are held in a trust level reserve account. Torchlight Loan Services LLC, the transaction's current special servicer, recently informed Fitch that the litigation related to the repurchase has concluded and the funds have been released. Remaining Specially Serviced Loan: As of the April 2026 remittance, there is one specially serviced loan remaining. The loan is the Walgreens - Columbus, which is secured by a 14,490-sf single tenant dark Walgreens retail property located outside of Columbus, OH. Recent servicer commentary indicated a receiver is in place. The asset was marketed for sale, with the receiver working to get the sale approved by the court to the proposed buyer. Based on the sale amount provided in the commentary, full recovery of the outstanding loan amount is not expected. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrade to the class rated 'Csf' to 'Dsf' would occur if the write-down of the bond is irrecoverable. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade An upgrade to class D rated 'Csf' is unlikely as the class is expected to be reduced to zero from either reimbursement of holdback funds or the disposition of the remaining asset and revised to PIF. However, upgrades are possible if holdback funds are released and recovery expectations on the remaining asset improve. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2015-SG1: DBRS Cuts Rating on Clas D Certs to Csf ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) downgraded its credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2015-SG1 issued by Wells Fargo Commercial Mortgage Trust 2015-SG1 as follows: -- Class D to C (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class C at A (low) (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-E at C (sf) -- Class PEX at A (low) (sf) Morningstar DBRS also changed the trend on Classes C and PEX to Negative from Stable. Classes D, E, F, and X-E have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades reflect an increase in Morningstar DBRS' projected losses for the six remaining loans in special servicing. Given the transaction is in wind-down, Morningstar DBRS' considered liquidation scenarios based on value stresses to the most recent appraised values. Individual haircuts to those appraised values ranged from 20.0% to 35.0%. The analysis resulted in combined projected losses of $49.1 million, which would erode the entirety of Classes E, F, and the nonrated Class G, as well as nearly 20.0% of the Class D balance, thereby supporting the credit rating downgrade and Negative trend. The Class C certificate has been paid down by more than 25.0% from the issuance balance, and the remaining balance is a little more than $24.6 million, which is likely to be recovered based on the Morningstar DBRS recoverability analysis. However, the Negative trend reflects the potential for further value declines, with a prolonged resolution period for the remaining adverse selection. As of the March 2026 remittance, six of the original 72 loans remain in the pool, representing a collateral reduction of 85.3% since issuance. The six remaining loans are in special servicing and backed by office and retail properties, representing 32.9% and 52.2% of the pool balance, respectively. The largest loan in special servicing, Patrick Henry Mall (Prospectus ID#1, 52.2% of the pool)--which is secured by the fee-simple interest in one anchor box and the in-line retail space of a mid-tier regional mall in Newport News, Virginia--is the primary driver of Morningstar DBRS' projected liquidated losses. The mall's owner and operator, Pennsylvania Real Estate Investment Trust (PREIT), emerged from bankruptcy through rounds of corporate restructuring and consolidation in April 2024. The loan was scheduled to mature in July 2025 and has been in special servicing since March 2025, when PREIT advised the servicer that it would not be able to secure a replacement loan by the maturity date. According to the servicer's commentary, a forbearance and extension was executed in February 2026 with a new maturity date of January 2027. The most recent financials for the trailing nine-month period ended September 30, 2025, reported an annualized net cash flow (NCF) of $7.6 million, compared with annualized 2024 NCF of $7.2 million, but ultimately less than issuance NCF of $9.5 million. However, the property has been well occupied since issuance, with the September 2025 rent roll reporting an occupancy rate of 97.5%. The property was most recently appraised in July 2025 at a value of $69.6 million, a slight increase from the May 2024 appraisal value of $64.2 million, but a 55.1% reduction from the issuance appraised value of $155.0 million. Morningstar DBRS' analysis of this loan included a liquidation scenario based on a 20.0% haircut to the recent appraised value, resulting in an implied loss of $19.6 million and a loss severity of 36.0%. The second largest contributor to loss is the 580 Market loan (Prospectus ID#11, 15.0% of the pool), which is secured by a 31,325-square-foot office building in San Francisco. The loan transferred to special servicing in February 2025 because of a monetary default and according to the servicer's commentary, the special servicer is currently pursuing foreclosure. Performance has declined with the servicer reported debt service coverage ratio being less than breakeven since YE2022. The February 2026 rent roll reflects an occupancy rate of 67.9% compared with the YE2024 rate of 53.0%. However, the tenants that have signed leases in the past year (44.2% of net rentable area) and executed short-term leases with expiration dates between 2026 and 2028. The property was most recently appraised in July 2025 for a value of $8.9 million, representing a 63.2% reduction from the issuance appraised value of $24.2 million. Morningstar DBRS' analysis of this loan included a liquidation scenario based on a 35.0% haircut to the most recent appraised value, resulting in an implied loss of $11.3 million and a loss severity of more than 70.0%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. Class X-E is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2017-C39: Fitch Lowers Rating on Cl. E-RR Debt to CCCsf ------------------------------------------------------------------- Fitch Ratings has affirmed all classes of Wells Fargo Commercial Mortgage Trust 2017-C38 (WFCM 2017-C38). Following the affirmation, the Rating Outlook for class A-S has been revised to Stable from Negative. The Outlooks for affirmed classes B, C, D, X-B and X-D are Negative. Fitch has also downgraded one class and affirmed 11 classes of Wells Fargo Commercial Mortgage Trust 2017-C39 (WFCM 2017-C39). Following the affirmation, the Outlook for class A-S has been revised to Stable from Negative. The Outlooks for affirmed classes B, C, D, and X-B are Negative. Fitch has downgraded the ratings for the MOA 2020-C39 E horizontal risk retention pass through certificate (2017 C39 III Trust). Fitch has also affirmed all classes of Wells Fargo Commercial Mortgage Trust 2017-C40 (WFCM 2017-C40). Following their affirmations, the Outlooks for classes A-S, B, and X-B have been revised to Stable from Negative. The Outlooks for affirmed classes C, D, E, and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- MOA 2020-WC39 E E-RR 90214WAA0 LT CCCsf Downgrade B-sf WFCM 2017-C39 A-4 95000XAE7 LT AAAsf Affirmed AAAsf A-5 95000XAF4 LT AAAsf Affirmed AAAsf A-S 95000XAG2 LT AAsf Affirmed AAsf A-SB 95000XAD9 LT AAAsf Affirmed AAAsf B 95000XAK3 LT Asf Affirmed Asf C 95000XAL1 LT BBBsf Affirmed BBBsf D 95000XAM9 LT BBsf Affirmed BBsf E-RR 95000XAP2 LT CCCsf Downgrade B-sf F-RR 95000XAR8 LT CCsf Affirmed CCsf G-RR 95000XAT4 LT CCsf Affirmed CCsf X-A 95000XAH0 LT AAAsf Affirmed AAAsf X-B 95000XAJ6 LT BBBsf Affirmed BBBsf WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C38 A-4 95001MAE0 LT AAAsf Affirmed AAAsf A-5 95001MAF7 LT AAAsf Affirmed AAAsf A-S 95001MAG5 LT AAsf Affirmed AAsf A-SB 95001MAD2 LT AAAsf Affirmed AAAsf B 95001MAK6 LT Asf Affirmed Asf C 95001MAL4 LT BBB-sf Affirmed BBB-sf D 95001MAP5 LT Bsf Affirmed Bsf E 95001MAR1 LT CCCsf Affirmed CCCsf F 95001MAT7 LT CCsf Affirmed CCsf X-A 95001MAH3 LT AAAsf Affirmed AAAsf X-B 95001MAJ9 LT BBB-sf Affirmed BBB-sf X-D 95001MAM2 LT Bsf Affirmed Bsf WFCM 2017-C40 A-2 95000YAV7 LT AAAsf Affirmed AAAsf A-3 95000YAX3 LT AAAsf Affirmed AAAsf A-4 95000YAY1 LT AAAsf Affirmed AAAsf A-S 95000YBB0 LT AAAsf Affirmed AAAsf A-SB 95000YAW5 LT AAAsf Affirmed AAAsf B 95000YBC8 LT AA-sf Affirmed AA-sf C 95000YBD6 LT A-sf Affirmed A-sf D 95000YAC9 LT BBsf Affirmed BBsf E 95000YAE5 LT B+sf Affirmed B+sf F 95000YAG0 LT CCCsf Affirmed CCCsf G 95000YAJ4 LT CCCsf Affirmed CCCsf X-A 95000YAZ8 LT AAAsf Affirmed AAAsf X-B 95000YBA2 LT AA-sf Affirmed AA-sf X-D 95000YAA3 LT BBsf Affirmed BBsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 6.3% in WFCM 2017-C38, 9.2% in WFCM 2017-C39 and 6.7% in WFCM 2017-C40. There are 11 Fitch Loans of Concerns (FLOCs) (25.6% of the pool) in WFCM 2017-C38, including two specially serviced loans (4.9%). There are nine FLOCs (30.6%) in WFCM 2017-C39, including four specially serviced loans (9.6%), and nine FLOCs (27.0%) in WFCM 2017-C40, including one specially serviced loan (1.4%). The affirmations in WFCM 2017-C38 and WFCM 2017-C40 reflect pool loss expectations relatively in-line with the prior rating action. The downgrades in WFCM 2017-C39 reflect increased pool loss expectations driven by office FLOCs with performance deterioration, primarily the 225 & 233 Park Avenue South loan (7.2% of the pool), which is the largest loss driver in all three transactions. Downgrades in WFCM 2017-C39 also reflect higher loss expectations from the Cleveland East Office Portfolio (2.9%) and Crowne Plaza Dallas (2.4%) loans with updated lower appraisal values. The Negative Outlooks in each transaction reflect the potential for further downgrades should performance of the specially serviced loans fails to stabilize or declines further and/or with prolonged workouts. The Negative Outlooks also reflect elevated office concentration in each transaction and refinancing concerns for office FLOCs, particularly Long Island Prime Portfolio - Melville (5.0%), Valley Creek Corporate Center (3.3%) and AmberGlen Corporate Center (2.1%) in WFCM 2017-C38 and Cleveland East Office Portfolio (2.9%) and 181 Second Avenue (2.3%) in WFCM 2017-C39. Office exposure across the transactions remains elevated, at 44.6% in WFCM 2017-C38, 36.8% in WFCM 2017-C39, and 23.9% in WFCM 2017-C40. The Outlook revision from Negative to Stable for class A-S in each transaction and classes B and X-B in WFCM 2017-C40 reflects increased credit enhancement from scheduled amortization and loan payoffs, as well as expected paydown from performing maturing loans. Due to the heightened concentration risk with the majority of loans scheduled to mature in 2027, Fitch conducted a recovery and liquidation analysis that categorized and ranked remaining loans based on their loan status, collateral quality, and repayment/loss expectations to assess outstanding class ratings in relation to available credit enhancement (CE). Largest Increases in Loss: The largest increase in loss expectations since the prior rating action in each transaction is the 225 & 233 Park Avenue South loan (4.7% in WFCM 2017-C39, 7.2% in WFCM 2017-C39 and 9.5% in WFCM 2017-C40). The loan transferred to special servicing in March 2024 for imminent monetary default and is secured by two interconnected office buildings that operate as a single property located in the Gramercy Park submarket of Manhattan. The loan matures in June 2027 and has remained current since issuance. The loan was modified in July 2025 to include a 100% equity pledge from the borrower to the senior lender and $150 million of new capital from a new mezzanine group, along with funding for various reserves. The modification also provides the conversion and release of the 233 building for residential use or condominium ownership. The loan may be extended to June 2029 through two 12-month extension options, subject to a paydown and an increase in the interest rate. The largest tenant, Facebook (39.4% of NRA; March 2024) and STV Incorporated (19.7% of NRA; May 2024) vacated at lease expiration driving occupancy down to 38% as of YE 2025 compared to 99% per the October 2023 rent roll. Facebook was required to pay a lease termination payment. The current largest tenant, Buzzfeed (28.7% of NRA; May 2026) which vacated in 2022, subleases all its space to software company Monday.com and does not intend to renew their lease. Per the YE 2025 rent roll, Monday.com is signing a direct lease for 17.1% of the NRA (former Buzzfeed space) on a lease through December 2036. As of the March 2026 remittance, total reserves were $90.25 million, primarily allocated to tenant reserve ($46.9 million), debt service reserves ($15.3 million) MM for debt service reserve, capital improvement reserves ($18.0 million) and other reserves ($10 million). According to CoStar, 508,551-sf (69% of NRA) was listed as available for lease. The total submarket had 12.2% vacancy and 11.1% availability rates and market asking rent of $76.35 compared to 13.2%, 13.3%, and $64.30 for the New York MSA. Fitch's 'Bsf' rating case loss of 39.3% (prior to concentration add-ons) reflects a stressed Fitch value that equates to $211 psf, which is approximately 76.2% below the value at issuance and is in-line with comparable valuations in the submarket. The second-largest contributor to loss expectations in the WFCM 2017-C38 is the Valley Creek Corporate Center loan secured by a 259,497-sf suburban office property located in Exton, PA (approximately 35 miles from Philadelphia). The loan was flagged as a FLOC due to recent occupancy and net operating income (NOI) declines as well as upcoming rollover and was transferred to special servicing in April 2026 due to imminent monetary default. Occupancy has declined further to 49.5% as of YE 2025 from 74% at YE 2024 and 86% at YE 2022 after Internet Pipeline (23.5% NRA) vacated at lease expiration in May 2025 and the largest tenant Analytical Graphics, Inc. (25.8% of the NRA; August 2027) reduced its footprint by 23,839-sf (9.2% NRA). The third largest tenant Autotrader.com, Inc (7.9% of NRA; February 2026) is expected to sign a short-term renewal. Rollover consists of 3.7% in 2026 and 28.1% in 2027. Approximately 38.3% of the NRA is listed as available on CoStar. As of September 2025, the servicer-reported NOI DSCR fell to 1.28x from 1.48x at YE 2024 and 2.29x at YE 2022. Fitch's 'Bsf' rating case loss of 28.1% (prior to concentration add-ons) reflects a 10% cap rate and 10% stress to the YTD September 2025 NOI and factors a higher probability of default driven by elevated maturity default risk, reflecting the weakening office sector outlook, tenant departures and lease rollover concerns. The Cleveland East Office Portfolio loan is the second-largest driver and third-largest increase in expected losses since Fitch's prior rating action in WFCM 2017-C39. The loan is secured by two suburban office properties totaling 499,454 sf in Ohio (Mayfield Heights and Highland Hills) and was flagged as a FLOC due to occupancy and NOI declines. Portfolio occupancy has declined significantly to 40% as of YE 2025 from 77% at YE 2022 as the former major tenant, Progressive Insurance (previously 22.9% of NRA) vacated upon lease expiry in January 2023. Additionally, the portfolio's largest tenant, Park Place Technologies reduced its space to 14.5% NRA from 22.2% NRA and ultimately vacated at lease expiration in April 2025, further reducing occupancy. The loan transferred to special servicing in June 2024 for a second time ahead of the new loan maturity date for imminent maturity default. The loan became 90+ days delinquent in December 2024 before returning to current after the lender and borrower agreed to a loan modification in November 2024. The loan was transferred back to the master servicer in April 2025 as a corrected mortgage loan. However, the loan matured in July 2025 after the borrower failed to satisfy the terms required for the maturity extension. As a result, the special servicer has filed consented receivership and foreclosure orders. Fitch's 'Bsf' rating case loss of 59.5% (prior to concentration add-ons) reflects a Fitch stressed value that equates to $34 psf, and is approximately 65% below the value at issuance. The third-largest contributor to losses in WFCM 2017-C40 is the Magnolia Hotel Denver loan (1.8%), which is secured by a 297-key full-service, boutique hotel in Denver, CO. The collateral also includes seven commercial condominium units and a leasehold interest in ballroom space across the street from the hotel that expired in July 2023. The loan is sponsored by Stout Street Hospitality. The loan transferred to special servicing in December 2023 due to its inability to repay at its May 2024 maturity. The maturity date was extended to May 2026. Fitch has made a request to the servicer for an update on the maturity status, which is still pending. Fitch's 'Bsf' ratings case loss of 9% utilizes a 11.25% cap rate with a 15% haircut to the YTD September 2025 NOI. Fitch also increased the probability of default due to the loans upcoming May 2026 maturity and anticipated refinance concerns. Increased Credit Enhancement (CE): As of the March 2026 remittance, the aggregate balances of the WFCM 2017-C38, WFCM 2017-C39 and WFCM 2017-C40 transactions have been reduced by 16.7%, 14.3% and 10.3%, respectively, since issuance. Respective defeasance percentages in WFCM 2017-C38, WFCM 2017-C39 and WFCM 2017-C40 transactions include 5.8% (11 loans), 8.2% (12 loans) and 20.7% (20 loans). Cumulative interest shortfalls for the WFCM 2017-C38, WFCM 2017-C39 and WFCM 2017-C40 transactions are $1.83 million, $1.96 million and $167,386 respectively. In all three transactions, they affect the non-rated class VRR, G, H-RR, RR interest or J. The WFCM 2017-C38 transaction has incurred $19.98 million in realized losses, which has been absorbed by the non-rated classes G and risk retention class VRR while the WFCM 2017-C39 transaction has incurred losses of $3.4 million impacting the non-rated risk retention class H-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories, especially those with Negative Outlooks, may occur should performance of the FLOCs deteriorate further or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include Starwood Capital Group Hotel Portfolio and 225 & 233 Park Avenue South across all three transactions, Long Island Prime Portfolio - Melville, Valley Creek Corporate Center, and AmberGlen Corporate Center in WFCM 2017-C38, and Cleveland East Office Portfolio, First Stamford Place and 181 Second Avenue in WFCM 2017-C39 and Mall of Louisiana and the Magnolia Hotel Denver in WFCM 2017-C40. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and/or with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. Downgrades to distressed ratings would occur should additional loans be transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs, including Starwood Capital Group Hotel Portfolio and 225 & 233 Park Avenue South across all three transactions, Long Island Prime Portfolio - Melville, Valley Creek Corporate Center, and AmberGlen Corporate Center in WFCM 2017-C38, and Cleveland East Office Portfolio, First Stamford Place and 181 Second Avenue in WFCM 2017-C39 and Mall of Louisiana and the Magnolia Hotel Denver in WFCM 2017-C40. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur sustained improved performance of the FLOCs. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable but are limited based on sensitivity to adverse selection and concentrations to the aforementioned FLOCs and loans in special servicing. Upgrades to distressed ratings are not expected but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2026-C66: Fitch Assigns B-sf Final Rating on G-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2026-C66 commercial mortgage pass-through certificates, series 2026-C66, as follows: - $15,260,000 class A-1 'AAAsf'; Outlook Stable; - $20,154,000 class A-SB 'AAAsf'; Outlook Stable; - $117,795,000 class A-4 'AAAsf'; Outlook Stable; - $257,238,000 class A-5 'AAAsf'; Outlook Stable; - $410,447,000a class X-A 'AAAsf'; Outlook Stable; - $44,709,000 class A-S 'AAAsf'; Outlook Stable; - $30,783,000 class B 'AA-sf'; Outlook Stable; - $24,188,000 class C 'A-sf'; Outlook Stable; - $99,680,000a class X-B 'AA-sf'; Outlook Stable; - $18,587,000ab class X-D 'BBB-sf'; Outlook Stable; - $18,587,000b class D 'BBB-sf'; Outlook Stable; - $10,730,000bc class E-RR 'BB+sf'; Outlook Stable; - $8,795,000bc class F-RR 'BB-sf'; Outlook Stable; - $10,262,000bc class G-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $27,851,904bc class H-RR. (a) Notional amount and IO. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal risk retention interest. Since Fitch published its expected ratings on March 23, 2026, the following changes have occurred: - The balances of classes A-4 and A-5 were finalized. The initial certificate balance of class A-4 was in the range of $0-$150,000,000, and the initial certificate balance of class A-5 was in the range of $225,033,000-$375,033,000. The final class balances of classes A-4 and A-5 are $117,795,000 and $257,238,000, respectively. - The balance of class D, and correspondingly class X-D, changed from $17,707,000 to $18,587,000, and the balance of class E-RR changed from $11,610,000 to $10,730,000. - Additionally, at the time the presale was issued, class X-B (which is tied to the classes A-S, B, and C) was rated 'A- (EXP)sf ', reflecting class C, the lowest rated tranche. Since Fitch published its expected ratings, the class C pass-through rates were finalized and will be variable rate (WAC), equal to the weighted average of the net mortgage interest rates on the mortgage loan, and therefore its payable interest will not have an impact on the IO payments for class X-B. Fitch updated class X-B to 'AA-sf' (from A- (EXP)sf at the time of the presale) reflecting the lowest tranche (class B) whose payable interest has an impact on the IO payments. This is consistent with Appendix 4 of Fitch's Global Structured Finance Rating Criteria. The expected ratings are based on information provided by the issuer as of April 20, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 29 loans secured by 49 properties having an aggregate principal balance of $586,352,904 as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Societe Generale Financial Corporation, JPMorgan Chase Bank, National Association, Citi Real Estate Funding Inc., UBS AG New York Branch, Bank of Montreal, BSPRT CMBS Finance, LLC, LMF Commercial, LLC, Starwood Mortgage Capital LLC, and Natixis Real Estate Capital LLC. The master servicer is Trimont LLC, and the special servicer is LNR Partners, LLC. Midland Loan Services, a Division of PNC Bank, N.A. acts as primary servicer for certain mortgage loans and as master servicer for certain non-serviced whole loans in the transaction. Deutsche Bank National Trust Company is the trustee and Computershare Trust Company, National Association is the certificate administrator. BellOak, LLC is the operating advisor and asset representations reviewer. The certificates will follow a standard sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 22 loans totaling 91.7% of the pool by balance. Fitch's resulting aggregate NCF of $57.5 million represents a 12.4% decline from the issuer's aggregate underwritten NCF of $65.6 million. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool has higher leverage compared to recent 10-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 98.6% is worse than both the 2025 and 2024 averages of 88.4% and 84.5%, respectively. The pool's Fitch NCF debt yield (DY) of 9.8% is worse than both the 2025 and 2024 averages of 12.2% and 12.3%, respectively. No Investment-Grade Credit Opinion Loans: No loans in the pool received a standalone credit opinion. The pool's investment-grade credit opinion percentage is below the 2025 and 2024 averages of 21.4%. The pool's Fitch loan-to value (LTV) and debt yield (DY) are 98.6% and 9.8%, respectively, compared with 2025 conduit averages of 98.1% and 10.0% (excluding credit opinion and co-op loans), respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans make up 67.0% of the pool, which is worse than both the 2025 and 2024 averages of 62.9% and 63.0%, respectively. The pool's effective loan count is 18.0, which is worse than both the 2025 and 2024 averages of 20.8. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'B+sf'/'B-sf'/'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBB-sf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from Deloitte & Touche LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and recomputation of certain characteristics with respect to each of the mortgage loans. 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. ZAYO ISSUER 2026-1: Fitch Assigns BB-sf Rating on Class C Notes --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks for Zayo Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2026-1 as follows. - $829.625 million 2026-1 class A-2 'A-sf'; Outlook Stable; - $137.850 million 2026-1 class B 'BBB-sf'; Outlook Stable; - $385.900 million 2026-1 class C 'BB-sf'; Outlook Stable. Fitch does not rate the following class: - $127.100 million series 2026-1, class R. In conjunction with Series 2026-1, Fitch has affirmed the ratings and Rating Outlooks for Zayo Issuer, LLC, Series 2025-1, 2025-2, and 2025-3. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- Zayo Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2025-2 A-2 98919WAG8 LT A-sf Affirmed A-sf B 98919WAJ2 LT BBB-sf Affirmed BBB-sf C 98919WAL7 LT BB-sf Affirmed BB-sf Zayo Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2026-1 A-2 LT A-sf New Rating A-(EXP)sf B LT BBB-sf New Rating BBB-(EXP)sf C LT BB-sf New Rating BB-(EXP)sf R LT NRsf New Rating NR(EXP)sf Zayo Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2025-1 A-1-L LT Asf Affirmed Asf A-2 98919WAA1 LT A-sf Affirmed A-sf B 98919WAC7 LT BBB-sf Affirmed BBB-sf C 98919WAE3 LT BB-sf Affirmed BB-sf Zayo Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2025-3 A-2 98919WAN3 LT A-sf Affirmed A-sf B 98919WAQ6 LT BBB-sf Affirmed BBB-sf C 98919WAS2 LT BB-sf Affirmed BB-sf Transaction Summary The transaction is a securitization of regional long-haul and metro fiber networks and certain assets related to Enterprise Connectivity Solutions, operated by Zayo Group, LLC (Zayo) for $1,353,375,000. In conjunction with this transaction, the issuer will also issue Series 2026-2 notes, increasing the total trust balance to $6,163,500,000. The transaction is backed by a first security interest in the underlying fiber network, current or future customer contracts, transaction accounts, a pledge of equity of the asset entities and an access agreement to the managers IP Backbone. These cash flows are supported by a regional network of dark/lit long-haul fiber routes and metro market fiber connectivity services for cellular, wholesale and enterprise customers across the United States. The transaction reflects an anticipated repayment date (ARD) structure whereby all tranches will be interest-only until their soft bullet maturities, after which all excess cash flow will be swept to pay down outstanding principal balances through the 30-year legal final maturity date. Losses will be borne reverse sequentially and the transaction will reflect a structure whereby class A and B receive interest first, then principal, with deferable interest on class C. The transaction is also structured with a liquidity reserve account and triggers tied to interest coverage and total leverage levels. The transaction includes a class A-1 liquidity funding note that may be drawn, subject to certain conditions, to fund liquidity funding advances. The note balance will be $0 at issuance. The class may be drawn up to a maximum $122.5 million, which is sized to fund 50% of the required liquidity reserve amount. The remaining 50% will be funded in the liquidity reserve account with cash or a letter of credit. The Series 2026-1 and Series 2026-2 notes will be the fourth and fifth issuance from the Zayo Issuer, LLC master trust. It will add approximately 50,300 customer contracts, representing about $520 million in additional annualized recurring revenue (ARR), bringing the total ARR servicing the master trust to $1.34 billion as of January 2026. Among the newly contributed collateral, Zayo is including certain Enterprise Connectivity Solutions contracts as well as a majority of owned assets and equipment necessary to provide those services. This segment includes approximately 32,800 customer contracts and accounts for about $108 million, or 8.0% of the total trust's ARR. The remaining 92% of ARR consists of fiber and transport (70%) and network connectivity (22%). KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $561.4 million, implying a 17.4% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 11.0x, versus the debt/issuer NCF leverage of 9.1x. The notes would be repaid approximately 19 years from closing, based on the Fitch NCF and assumed annual revenue growth of 2.0%, and following the transaction's ARD. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and maximum potential leverage include: the high quality of the underlying collateral networks, high contract renewal rates, low market and industry concentration, low lease rollover risk, high historical barriers to entry, tenant quality, size and capability of the sponsor. Technology-Dependent Credit: The senior classes of this transaction do not achieve ratings above 'Asf' due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure. The securities have a rated final payment date of 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology, rendering obsolete the current transmission of data through fiber optic cables, will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow because of higher expenses, customer churn, contract amendments, declining contract rates or the development of an alternative technology for the transmission of data could lead to downgrades. Fitch's base case NCF is 17.4% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'BBB-sf' from 'A-sf'; class B to 'BBsf' from 'BBB-sf'; class C to 'Bsf' from 'BB-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow from rate increases, additional customers, lower expenses or contract amendments could lead to upgrades. A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'Asf' from 'A-sf'; class B to 'BBBsf' from 'BBB-sf'; class C to 'BBsf' from 'BB-sf'. Upgrades, however, are unlikely given the issuer's ability to issue additional pari passu notes. In addition, the senior classes are capped in the 'Asf' category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] DBRS Confirms 11 Ratings From 4 Arivo Acceptance Deals --------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) upgraded three credit ratings, confirmed eleven credit ratings, and placed one credit rating under with negative implications, from four Arivo Acceptance Auto Loan Receivables Trust Transactions. Ratings Debt Rating Action ---- ------ ------ Arivo Acceptance Auto Loan Receivables Trust 2022-1 Class B AAA(sf) Confirmed Class C AAA(sf) Upgraded Class D BB(sf) Confirmed Arivo Acceptance Auto Loan Receivables Trust 2022-2 Class A Notes AAA(sf) Upgraded Class B Notes A(sf) Confirmed Class C Notes BBB(sf) UR-Neg. Arivo Acceptance Auto Loan Receivables Trust 2024-1 Class A Notes AAA(sf) Confirmed Class B Notes A(sf) Upgraded Class C Notes BBB(sf) Confirmed Class D Notes BB(sf) Confirmed Arivo Acceptance Auto Loan Receivables Trust 2025-1 Class A-2 Notes AAA(sf) Confirmed Class B Notes AA(sf) Confirmed Class C Notes A(sf) Confirmed Class D Notes BBB(sf) Confirmed Class E Notes BB(sf) Confirmed Credit rating rationale includes the key analytical considerations: -- For Arivo Acceptance Auto Loan Receivables Trust 2022-1, although losses are tracking above the Morningstar DBRS initial base-case CNL expectation, the current levels of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumption at multiples of coverage commensurate with the credit ratings. -- Arivo Acceptance Auto Loan Receivables Trust 2022-2 has amortized to a pool factor of 28.38% and a current CNL to date of 22.11%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 9.10%. As of the March 2026 payment date, Arivo Acceptance Auto Loan Receivables Trust 2022-2 has a current overcollateralization (OC) amount of 0.00% relative to the target of 12.00% of the outstanding receivables balance. Additionally, the transaction structure initially included a fully funded non-declining cash collateral account (CCA) of 1.25% of the initial aggregate pool balance. As of the March 2026 payment date, the current CCA amount is 0.00%. -- Because of weaker-than-expected performance, Morningstar DBRS has revised the base-case loss expectation for Arivo Acceptance Auto Loan Receivables Trust 2022-2 to 25.25%. As a result, the current level of hard CE and estimated excess spread may be insufficient to support the current credit rating on the Class C Notes. Consequently, Morningstar DBRS has placed the current credit rating on the Class C Notes Under Review with Negative Implications. While CNL is tracking above the initial expectation, the Class A Notes and the Class B Notes have benefited from deleveraging and have sufficient CE. -- For Arivo Acceptance Auto Loan Receivables Trust 2024-1 and Arivo Acceptance Auto Loan Receivables Trust 2025-1, losses are tracking in line with the Morningstar DBRS initial base-case CNL expectations. The current levels of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- As a percentage of the current collateral balances, total delinquencies for each Transaction have declined during the current payment date. -- The credit rating actions are the result of collateral performance as of the March 2026 payment date, and Morningstar DBRS' assessment of future performance assumptions. -- The transaction parties' capabilities regarding originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update," published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. [] DBRS Reviews 1,042 Classes on 40 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed 1,042 classes from 40 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed deals are classified as mortgage insurance-linked notes, prime jumbo, and agency credit-risk transfer transactions. Of the 1,042 classes reviewed, Morningstar DBRS upgraded its credit ratings on 60 classes, and confirmed its credit ratings on 982 classes. The Issuers are: Eagle Re 2021-2 Ltd. CSMC Trust 2015-1 Bellemeade Re 2021-3 Ltd. Bellemeade Re 2022-2 Ltd. Home Re 2022-1 Ltd. Oaktown Re VII Ltd. CSMLT 2015-1 Trust Radnor Re 2022-1 Ltd. Bellemeade Re 2022-1 Ltd. CSMC Trust 2013-HYB1 CSMC Trust 2015-3 Radnor Re 2021-2 Ltd. CSMLT 2015-2 Trust CSMC Trust 2014-IVR2 CSMC Trust 2013-IVR3 CSMC Trust 2013-IVR4 J.P. Morgan Mortgage Trust 2017-4 J.P. Morgan Mortgage Trust 2025-4 J.P. Morgan Mortgage Trust 2024-4 J.P. Morgan Mortgage Trust 2019-5 J.P. Morgan Mortgage Trust 2024-5 Chase Home Lending Mortgage Trust 2025-5 Chase Home Lending Mortgage Trust 2024-6 Chase Home Lending Mortgage Trust 2025-6 Chase Home Lending Mortgage Trust 2024-4 Chase Home Lending Mortgage Trust 2024-5 Chase Home Lending Mortgage Trust 2025-4 J.P. Morgan Mortgage Trust 2023-3 J.P. Morgan Mortgage Trust 2019-LTV3 J.P. Morgan Mortgage Trust 2019-LTV2 J.P. Morgan Mortgage Trust 2025-CCM2 Connecticut Avenue Securities Trust 2024-R03 WinWater Mortgage Loan Trust 2016-1 GS Mortgage-Backed Securities Trust 2025-PJ5 GS Mortgage-Backed Securities Trust 2025-PJ4 WinWater Mortgage Loan Trust 2015-A WinWater Mortgage Loan Trust 2014-1 WinWater Mortgage Loan Trust 2015-4 WinWater Mortgage Loan Trust 2015-5 WinWater Mortgage Loan Trust 2014-3 A list of the Affected Ratings is available at: https://tinyurl.com/2nntekke CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The discontinued credit ratings reflect the full repayment of principal to the bondholders. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in US Dollars unless otherwise noted. [] DBRS Takes Credit Rating Actions on 12 CMBS Transactions ----------------------------------------------------------- DBRS Limited (Morningstar DBRS) conducted its surveillance review of the following transactions: -- Angel Oak SB Commercial Mortgage Trust 2020-SBC1 (AOMT 2020-SBC1) -- BAMLL 2024-LB1 -- Bayview Financing SBC Trust 2021-5F (BVSBC 2021-5F) -- Key Commercial Mortgage Trust 2019-S2 (KCM 2019-S2) -- Key Commercial Mortgage Trust 2018-S1 (KCM 2018-S1) -- Oceanview Mortgage Loan Trust 2020-SBC1 (OMT 2020-SBC1) -- Oceanview Mortgage Trust 2022-SBC1 (OMT 2022-SBC1) -- Oceanview Mortgage Trust 2026-SBC1 (OMT 2026-SBC1) -- RWC Commercial Mortgage 2025-1 Trust (RWC 2025-1) -- Sutherland Commercial Mortgage Trust 2021-SBC10 (SCMT 2021-SBC10) -- Sutherland Commercial Mortgage Trust 2019-SBC8 -- Silver Hill Trust 2019-SBC1 (SHT 2019-SBC1) A list of the Affected Ratings is available at: https://tinyurl.com/yvnbb6vu These transactions are backed by collateral that is primarily secured by small-balance commercial real estate loans or loans exhibiting small-balance commercial characteristics. The full list of the credit ratings for the classes in these 12 transactions can be found at the end of this press release. Morningstar DBRS confirmed the credit ratings on 101 classes across all the transactions and upgraded the credit ratings on 47 classes across eight transactions. There were no credit rating downgrades as part of this review. The trends on 35 classes across six transactions were changed to Positive from Stable, while the trends on five classes across one transaction were changed to Stable from Positive. The trends on three classes have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS). The trends on all remaining classes are Stable. The credit rating confirmations reflect the overall stable to improving performance of the transactions since the prior review, while the credit rating upgrades and positive trends generally reflect growth in credit support levels because of principal amortization and increased prepayments. The transactions (excluding BVSBC 2021-5F, which is a resecuritization of SHT 2019-SBC1) consist of 3,196 loans with an aggregate outstanding balance of $3.0 billion. The following data excludes BVSBC 2021-5F, a resecuritization transaction; OMT 2026-SBC1 and RWC 2025-1, which closed in February 2026 and October 2025, respectively; and BAMLL 2024-LB1, which is presented separately because of its sizable outstanding balance compared with the other transactions. As of the January 2026 reporting, the transactions had experienced collateral reduction ranging from approximately 27% to 74% since issuance, an increase from the prior year when collateral reduction ranged from 20% to 67%. Excluding KCM 2018-S1, KCM 2019-S2, and SCMT 2021-SBC10, the majority of loans are fully amortizing, with SCMT 2021-SBC10 having experienced the largest collateral reduction since issuance at 74%. The weighted-average (WA) concentration of delinquent loans increased by approximately 50 basis points (bps) since the last review, as has the WA coupon rate, which increased by 25 bps. Of the 120 delinquent loans (7.4% of the adjusted aggregate outstanding balance), 52 loans (3.2% of the adjusted aggregate outstanding balance) were either (1) more than 120 days delinquent, (2) in foreclosure, (3) real estate owned (REO), or (4) with borrowers in bankruptcy. Morningstar DBRS analyzed the delinquent loans using elevated probability of default (POD) penalties, with incrementally more punitive assumptions applied based on the length of delinquency and the specific workout strategy, in order to appropriately reflect the heightened credit risk profile of each loan. In addition, the two specially serviced loans in the KCM 2018-S1 and KCM 2019-S2 transactions were analyzed with liquidation scenarios resulting in projected losses that were generally consistent with those reported at the prior reviews. Certain probability of default (POD) adjustments were also considered for loans secured by nontraditional property types. Morningstar DBRS generally applied a one-notch reduction to the POD penalty in the CMBS Insight Model for transactions where the majority of loans fully amortize over their respective loan terms, while higher loss given default (LGD) penalties were incorporated, where applicable, for transactions with limited environmental reporting. Since January 2026, three transactions--OMT 2020-SBC1, OMT 2022-SBC1, and SHT 2019-SBC1--have incurred additional losses associated with loan liquidations. In each case, the losses were attributable to previously delinquent REO loans and were fully contained within the most junior nonrated certificates. Additionally, loss severities were consistent with Morningstar DBRS' expectations and modeled expected loss levels, which were generally in line with, or more conservative than, the realized losses on the affected loans. Excluding the KCM 2018-S1, KCM 2019-S2, and RWC 2025-1 transactions, which have no prepayment provisions, most of the loans that have repaid since issuance across the remaining transactions were paid in advance of the respective maturity dates, with the most recent repayments including applicable prepayment penalties. Based on the most recent reporting available, these pools had WA life, trailing 12-month (T-12), and trailing three-month (T-3) constant prepayment rates (CPRs) of 10.7%, 12.3%, and 12.1%, respectively. While WA life CPRs remain relatively in line with the prior year, T-12 and T-3 metrics have generally increased by approximately 4.0%, likely a result of the recent U.S. interest rate-cut cycle between late 2024 and YE2025. As of the January 2026 remittance, the BAMLL 2024-LB1 transaction had a current outstanding balance of $1.6 billion, representing a collateral reduction of 18.2% since issuance, an increase from 2.6% the prior year. The collateral for the pool consists of 640 loans, more than 98.0% of which are secured by multifamily properties. Approximately 90.0% of the loans in the pool are fully amortizing over their respective remaining terms. Only two loans, representing 0.4% of the pool balance, are delinquent. The pool had WA life, T-12, and T-3 CPRs of 11.7%, 14.4%, and 20.6%, respectively. Generally, these pools are well diversified, a factor that combines with the increased credit support to the rated classes from issuance to generally reduce the loan-level event risk of the transaction. There are noteworthy risks for the transactions, however, in that property quality is generally considered to be Average -/Below Average based on those properties' samples and that the loan sponsors are generally less sophisticated operators of commercial real estate with limited real estate portfolios and experience. These risks are partially mitigated by borrower or guarantor recourse, regardless of credit history. Morningstar DBRS notes that it does not receive ongoing property level financial reporting as part of the surveillance reviews. The Morningstar DBRS CMBS Insight Model does not contemplate loan prepayments, which are generally considered credit positive given that a prepaid loan cannot default. Accordingly, Morningstar DBRS incorporated the fully adjusted default assumptions and corresponding loss severity outputs generated by the CMBS Insight Model directly into its cash flow modeling analysis tool for all transactions, with the exception of AOMT 2020-SBC1, BAMLL 2024-LB1, KCM 2018-S1, KCM 2019-S2, and RWC 2025-1. Certain assumptions applied as part of this cash flow modeling analysis are consistent with assumptions described in the "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology." These assumptions include a 22-month recovery lag period (with the exception of SCMT 2021-SBC10, which assumed a six-month recovery lag because of transaction seasoning), 100% servicer advancing, and the application of both front-and back-loaded default timing curves. In addition, Morningstar DBRS applied CPR stresses of 5.0%, 10.0%, 15.0%, and 20.0%. Morningstar DBRS made no changes to the model inputs or assumptions for OMT 2026-SBC1 and RWC 2025-1, as both transactions closed within the past six months. 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. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS Excluding SCMT 2021-SBC10 and BAMLL 2024-LB1, there were no Environmental factors that had a significant or relevant effect on the credit analysis. Environmental (E) Factors SCMT 2021-SBC10 An Environmental factor was applicable to the credit analysis for SCMT 2021-SBC10. At issuance, limited to no property-level information was available for review, including property condition reports and Phase I/II environmental site assessment reports. As a result, Morningstar DBRS applied an LGD penalty that resulted in a significant effect on the credit analysis. BAMLL 2024-LB1 The following Emissions, Effluents, and Waste factor had a significant effect on the credit analysis: Partner Engineering and Science, Inc. performed a comprehensive desktop/database review of all loans in the pool. Morningstar DBRS made LGD adjustments to seven loans, 1.0% of the pool, to mitigate potential environmental concerns with known on-site or adjacent-site contamination. There were no Social/Governance factors that had a significant or relevant effect on the credit analysis. Classes that are interest-only (IO) certificates reference a single rated tranche or multiple rated tranches. The IO credit rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. The principal methodology is Rating and Monitoring North American CMBS Multi-Borrower Transactions. Other methodologies referenced in this transaction are listed are noted. The credit ratings assigned to several classes (noted below) materially deviate from the credit ratings implied by the predictive model. Morningstar DBRS typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more deviation from the credit rating stress(es) implied by the predictive model to be a significant factor in evaluating the credit ratings. Below is the list of transactions and their respective classes that reported material deviations from the CMBS Insight Model, wherein the rationale for the material deviation is uncertain loan-level event risk. -- AOMT 2020-SBC1: Class M-1, B-1, and B-2 -- KCM 2018-S1: Classes C, D, and E -- OMT 2020-SBC1: Class B3 Although the transactions noted above have generally benefited from principal paydown, Morningstar DBRS elected to maintain a conservative analytical approach, particularly for the lower-rated classes in the capital structure. This approach reflects the limited availability of ongoing financial reporting, the long remaining loan terms, uncertainty around the timing of potential prepayments, and the presence of non-institutional sponsorship. Below is the transaction and its respective classes that reported material deviations from the CMBS Insight Model, wherein the rationale for the material deviation is that the structural features (loan or transaction) and/or provisions in other relevant methodologies outweigh the quantitative model output. -- OMT 2026-SBC1: Classes B1B, B1C, and B2A Given the complexity of the transaction structure and the granularity of the underlying loan pool, Morningstar DBRS considered the results of its cash flow modeling analysis--used as an overlay to the CMBS Insight Model--in assessing credit risk. The combined analysis indicates that the classes in question can achieve the assigned credit ratings with limited to no sensitivity. As the Morningstar DBRS CMBS Insight Model does not contemplate loan prepayments, Morningstar DBRS also incorporated an assessment of the transaction's structural features, which were determined to outweigh the quantitative model output and form the primary rationale for the material deviations on the classes noted above. The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link under Related Documents or by contacting us at info-DBRS@morningstar.com. The credit rating was initiated at the request of the rated entity. The rated entity or its related entities did participate in the credit rating process for this credit rating action. Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action. [] DBRS Takes Rating Actions on 13 Classes From 3 US RMBS Deals --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed 13 classes in three U.S. residential mortgage-backed securities (RMBS) transactions. Of the three transactions reviewed, two are classified as securitization of a revolving portfolio of residential transition loans (RTLs) and one as reperforming mortgages. Morningstar DBRS confirmed its credit ratings on all 13 classes. RATINGS Debt Rating Action ---- ------ ------ Citigroup Mortgage Loan Trust 2025-RP2 Class A-1 AAA(sf) Confirmed Class A-2 AA(sf) Confirmed Class A-3 AA(sf) Confirmed Class A-4 A(low)(sf) Confirmed Class A-5 A(low)(sf) Confirmed LHOME Mortgage Trust 2025-RTL2 Class A1 A(low)(sf) Confirmed Class A2 BBB(low)(sf) Confirmed Class M1 BB(low)(sf) Confirmed Class M2 B(low)(sf) Confirmed TVC Mortgage Trust 2025-RRTL1 Class A1 A(low)(sf) Confirmed Class A2 BBB(low)(sf) Confirmed Class M1 BB(low)(sf) Confirmed Class M2 B(low)(sf) Confirmed CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update" published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in US Dollars unless otherwise noted. [] Moody's Upgrades Ratings on 38 Bonds from 5 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 38 bonds from five US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: PMT Loan Trust 2022-INV1 Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 28, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jun 30, 2025 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jun 30, 2025 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jun 30, 2025 Upgraded to Ba2 (sf) Issuer: PMT Loan Trust 2025-J1 Cl. A-28, Upgraded to Aaa (sf); previously on Jun 26, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-29, Upgraded to Aaa (sf); previously on Jun 26, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-30, Upgraded to Aaa (sf); previously on Jun 26, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X30*, Upgraded to Aaa (sf); previously on Jun 26, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Upgraded to Aaa (sf); previously on Jun 26, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Jun 26, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 26, 2025 Definitive Rating Assigned A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jun 26, 2025 Definitive Rating Assigned Baa1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jun 26, 2025 Definitive Rating Assigned Ba2 (sf) Issuer: Provident Funding Mortgage Trust 2021-INV1 Cl. B-1, Upgraded to Aaa (sf); previously on Jul 1, 2025 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Aug 26, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Aug 26, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Aug 26, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Aug 26, 2024 Upgraded to Ba2 (sf) Issuer: RATE Mortgage Trust 2024-J2 Cl. A-19, Upgraded to Aaa (sf); previously on Aug 14, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Aug 14, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Aug 14, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-20*, Upgraded to Aaa (sf); previously on Aug 14, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-21*, Upgraded to Aaa (sf); previously on Aug 14, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-22*, Upgraded to Aaa (sf); previously on Aug 14, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 14, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Aug 14, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jul 1, 2025 Upgraded to A2 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Jul 1, 2025 Upgraded to A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jul 1, 2025 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Aug 14, 2024 Definitive Rating Assigned Ba1 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Aug 14, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Aug 14, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to Aa3 (sf); previously on Jul 1, 2025 Upgraded to A2 (sf) Issuer: UWM Mortgage Trust 2021-INV1 Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 12, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jul 1, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jul 1, 2025 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 12, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jul 1, 2025 Upgraded to Ba3 (sf) *Reflects Interest-Only Classes. 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. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under .04% and a small percentage of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.52x for the non-exchangeable tranches upgraded. Moody's analysis on certain bonds included an assessment of the existing credit enhancement floor, in place to mitigate the potential default of a small number of loans at the tail end of a transaction. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. 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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