260510.mbx

260510.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 10, 2026, Vol. 30, No. 130 Headlines AEGIS ASSET 2004-1: Moody's Upgrades Rating on Cl. M1 Certs to B2 ARES LXXX: Fitch Assigns 'BB-sf' Rating on Class E Notes ARES LXXXI: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ARES TRUST 2026-TRON: DBRS Gives '(P)B(low)' Rating on Cl. F Certs ASPIRE MORTGAGE 2026-2: Fitch Assigns B(EXP)sf Rating on B-2 Certs BAIN CAPITAL 2026-2: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes BAMLL COMMERCIAL 2016-ISQR: DBRS Confirms CCC Rating on 2 Classes BARCLAYS MORTGAGE 2026-NQM4: Moody's Assigns B2 Rating to B-2 Certs BBCMS 2019-BWAY: Fitch Lowers Rating on Two Certificates to 'Csf' BENCHMARK 2026-B43: Fitch Assigns B-(EXP)sf Rating on Two Tranches BHG SECURITIZATION 2016-1CON: Fitch Rates Class E Notes 'BBsf' BINOM MORTGAGE 2026-NQM1: S&P Assigns B (sf) Rating on B-2 Notes BIRCH GROVE 16: Fitch Assigns 'BB-sf' Final Rating on Class E Notes BMARK 2026-V22: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F-RR Certs BOS TRUST 2026-LYRK: S&P Assigns BB-(sf) Rating to Class HRR Certs BRAVO RESIDENTIAL 2026-CES1: Fitch Rates Class B2 Notes 'B-(EXP)sf' BRAVO RESIDENTIAL 2026-NQMR1: Fitch Rates Cl. B-2 Notes 'B+(EXP)sf' BRIDGECREST LENDING 2026-2: DBRS Finalizes 'BB' Rating on E Notes BX TRUST 2019-IMC: DBRS Confirms 'B(low)' Rating on Cl. HRR Certs BX TRUST 2026-CIP: Fitch Assigns 'B+(EXP)sf' Rating on Cl. F Certs CARLYLE US 2024-2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CARLYLE US 2026-3: Fitch Assigns 'BB-sf' Rating on Class E Notes CARVAL CLO IX-C: S&P Assigns BB- (sf) Rating on Class E-R Notes CHASE HOME 2026-4: DBRS Finalizes B(low) Rating on Cl. B-5 Certs CHASE HOME 2026-4: Fitch Assigns B-sf Final Rating on Cl. B5 Certs CHASE HOME 2026-5: Fitch Assigns B-(EXP)sf Rating on Cl. B5 Certs CLIP 2026-NQM1: S&P Assigns B (sf) Rating on Class B-2 Notes CLOVER CLO 2018-1: S&P Affirms BB- (sf) Rating on Cl. E-RR Notes COMM 2015-CCRE27: Fitch Lowers Rating on Class E Certs to 'CCsf' CROWN CITY CLO II: S&P Lowers Class D-R Notes Rating to 'B+ (sf)' CSAIL 2016-C2: DBRS Cuts Rating on Class D Certs to 'Csf' CWMBS REPERFORMING 2005-R2: Moody's Cuts 1A-S Certs Rating to Caa3 D2 MULTIFAMILY 2026-FL1: Fitch Rates Three Class Notes 'B-sf' ELDRIDGE MMPC 2026-2: S&P Assigns Prelim BB-(sf) Rating to E Notes ESTN TRUST 2026-TOWN: S&P Assigns Prelim 'BB+' Rating on HRR Certs FHF ISSUER 2026-1: DBRS Finalizes BBsf Rating on $16MM Cl. E Notes FORTRESS CREDIT XII: S&P Affirms 'BB-(sf)' Rating on Class E Notes FORTRESS CREDIT XXI: S&P Assigns BB- (sf) Rating on Class E Notes FORTRESS CREDIT XXIII: S&P Assigns (P) BB- Rating on Cl. E-R Notes GOLUB CAPITAL 72(B): Fitch Assigns 'BB-(EXP)sf' Rating on E-R Notes GPMT 2021-FL3: DBRS Confirms 'CCCsf' Rating on Class G Notes GS MORTGAGE 2018-LUAU: DBRS Confirm 'B(low)' Rating on Cl. F Certs GS MORTGAGE 2026-PJ6: DBRS Finalizes B(low) Rating on Cl. B-5 Debt GS MORTGAGE 2026-PJ6: Fitch Assigns 'B-sf' Rating on Cl. B5 Notes GS MORTGAGE-BACKED 2026-CES2: S&P Assigns 'B' Rating on B-2 Notes GS MORTGAGE-BACKED 2026-NQM3: S&P Assigns 'B' Rating on B-2 Certs HERTZ VEHICLE III: Moody's Assigns Ba3 Rating to 11 Tranches HILDENE TRUPS 7: Moody's Assigns (P)Ba2 Rating to $13.5MM D Notes HILTON USA 2016-HHV: DBRS Confirms Bsf Rating on Class F Certs HOMES 2026-NQM3: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs JP MORGAN 2016-JP2: Fitch Lowers Rating on Class E Certs to 'Csf' JP MORGAN 2026-HE1: Fitch Assigns 'B+sf' Final Rating on B-3 Certs JP MORGAN 2026-LTV1: Fitch Assigns 'Bsf' Rating on Class B2 Certs JP MORGAN 2026-NQM2: Moody's Assigns B3 Rating to Cl. B-2 Certs JPMCC COMMERCIAL 2017-JP5: Fitch Affirms CC Rating on Cl. E-RR Debt JPMMT TRUST 2026-HE1: DBRS Finalizes Bsf Rating on $3MM B-3 Certs KENNEDY LEWIS 14: S&P Affirms 'BB- (sf)' Rating on Class E Notes KKR CLO 15: Moody's Affirms Ba3 Rating on $23.5MM Class E-R2 Notes KRR CLO 50: Fitch Assigns 'BB-sf' Rating on Class E-R Notes LCM XXV LTD: Moody's Cuts Rating on $18MM Class E Notes to Caa2 LOBEL AUTOMOBILE 2026-1: DBRS Finalizes B(low) on Class F Notes MADISON PARK XXXIX: S&P Lowers Class E Debt Rating to 'B- (sf)' MELLO WAREHOUSE 2026-1: DBRS Finalizes 'Bsf' Rating on 2 Tranches MF1 2026-FL22: DBRS Gives B(low) Rating on 3 Tranches MFA 2026-INVR1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs MISSION LANE 2026-A: Fitch Assigns 'Bsf' Rating on Class F Notes MORGAN STANLEY 2016-C28: Fitch Affirms Csf Rating on Four Tranches MORGAN STANLEY 2026-DSC2: DBRS Gives (P)Bsf Rating on B-2 Certs MORGAN STANLEY 2026-DSC2: Moody's Gives (P)Ba3 Rating to B-1 Certs MORGAN STANLEY 2026-NEW1: DBRS Ups Rating on B-1 Certs to BB(high) MORGAN STANLEY 2026-NQM4: DBRS Finalizes Bsf Rating on B-2 Certs MORGAN STANLEY 2026-NQM4: S&P Assigns B (sf) Rating on B-2 Certs MSRW 2026-FAYM: DBRS Finalizes B(high) Rating on Cl. HRR Certs NEW RESIDENTIAL 2026-NQM5: Fitch Rates Class B2 Notes 'B-sf' NEW RESIDENTIAL 2026-NQM6: Fitch Rates Class B2 Notes 'B-(EXP)sf' NORTHWOODS CAPITAL XII-B: Moody's Cuts Rating on Cl. E Notes to B1 OBX 2026-INV3: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs OCEANVIEW MORTGAGE 2025-INV3: Moody's Ups B-4 Certs Rating to Ba2 OCTAGON INVESTMENT 28: Fitch Assigns BB-sf Rating on Cl. E-RR Notes OHA CREDIT XV: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes PMT LOAN 2026-INV5: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs PRET 2026-RPL2: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Notes PRKCM 2026-AFC3 TRUST: S&P Assigns B (sf) Rating on Cl. B-2 Notes PROGRESS RESIDENTIAL 2026-SFR2: DBRS Finalizes BB on Cl. F Notes PRPM 2026-NQM2: DBRS Finalizes 'B(low)' Rating on Cl. B-2 Certs RCKT MORTGAGE 2026-CES5: Fitch Assigns 'B(EXP)sf' on Five Tranches REGATTA 36: Fitch Assigns 'BB-sf' Rating on Class E Notes REGATTA VIII: Fitch Affirms 'B-sf' Rating on Class F Notes REPUBLIC FINANCE 2026-A: DBRS Finalizes BBsf Rating on Cl. E Notes REPUBLIC FINANCE 2026-A: S&P Assigns BB+(sf) Rating on Cl. E Notes SEQUOIA MORTGAGE 2026-6: Fitch Assigns B(EXP)sf Rating on B5 Certs SG RESIDENTIAL 2026-3: S&P Assigns B- (sf) Rating on Cl. B-2 Certs SHACKLETON 2015-VII-R: Moody's Cuts Rating on $26.5MM E Notes to B1 SILVER POINT 4: Fitch Affirms 'BBsf' Rating on Class E Notes SIXTH STREET VIII: S&P Lowers Class D-R2 Notes Rating to 'B (sf)' SOUND POINT XXVI: Moody's Affirms Ba3 Rating on $22.5MM E-R Notes STRUCTURED ASSET 2005-RF4: Moody's Ups Rating on 2 Tranches to B2 TOWD POINT 2026-FIX2: DBRS Finalizes B(low) Rating on 5 Tranches UPG HI 2026-1: Fitch Gives 'BB(EXP)sf' Rating on Class C Debt VERUS SECURITIZATION 2026-R4: S&P Rates B-2 Notes Prelim B- (sf) VISTA POINT 2026-CES2: DBRS Finalizes B(low) Rating on Cl. B-2 Debt VISTA POINT 2026-CES2: S&P Assigns B- (sf) Rating on Cl. B-2 Notes VOYA CLO 2026-1: Fitch Assigns 'BB-sf' Rating on Class E Notes WARWICK CAPITAL 2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes WELLINGTON MANAGEMENT 2: Moody's Assigns Caa1 Rating to F-R Notes WELLS FARGO 2015-C31: DBRS Confirms 'Csf' Rating on 2 Tranches WELLS FARGO 2015-SG1: Fitch Lowers Rating on Two Tranches to 'Csf' WELLS FARGO 2026-5C9: Fitch Assigns B-(EXP)sf Rating on G-RR Certs WESTLAKE AUTOMOBILE 2026-2: S&P Assigns (P) 'BB' Rating on E Notes WIND RIVER 2024-1: Fitch Affirms 'B-sf' Rating on Class F Notes [] DBRS Confirms Ratings on Six Single-Asset/Borrower Deals [] DBRS Confirms Ratings on Two MPOWER Education Trust Deals [] DBRS Reviews 269 Classes on 31 US RMBS Transactions [] DBRS Reviews 28 Classes From 31 US RMBS Deals [] Fitch Affirms 33 Note Classes From 12 National Collegiate Deals [] Fitch Gives Final Ratings to 21 Classes on 14 Towd Point Deals [] Moody's Hikes 7 Bond Classes From 6 National Collegiate Trusts [] Moody's Upgrades Ratings on 14 Bonds from 3 US RMBS Deals [] Moody's Upgrades Ratings on 84 Bonds from 9 US RMBS Deals [] S&P Places 193 Ratings from 87 U.S. CLO Deals on CreditWatch [] S&P Takes Various Actions on 69 Classes From 11 US RMBS Deals ********* AEGIS ASSET 2004-1: Moody's Upgrades Rating on Cl. M1 Certs to B2 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating of Class M1 issued by Aegis Asset Backed Securities Trust 2004-1. The collateral backing this deal consists of subprime mortgages. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating action is as follows: Issuer: Aegis Asset Backed Securities Trust 2004-1 Cl. M1, Upgraded to B2 (sf); previously on Oct 3, 2024 Downgraded to Caa1 (sf) RATINGS RATIONALE The rating upgrade reflects the increased level of credit enhancement available to the bond, the recent performance, and Moody's updated loss expectations on the underlying pool. The rating upgrade is the result of the improving performance of the related pool, and an increase in credit enhancement available to the bond. Credit enhancement grew by 1.12x over the past 12 months. Moody's analysis also considered the existence of historical interest shortfalls for the bond. In addition, Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in this deal because their expected losses remain commensurate with the current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in this rating was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ARES LXXX: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXXX CLO Ltd. Entity/Debt Rating Prior ----------- ------ ----- Ares LXXX CLO Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary 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 24.03, 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 71.45% 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. ARES LXXXI: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Ares LXXXI CLO Ltd. Entity/Debt Rating ----------- ------ Ares LXXXI CLO Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated notes LT NR(EXP)sf Expected Rating Transaction Summary Ares LXXXI 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 $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.99, 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 96.85% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.15% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, and 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-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, and 'A-sf' for class D and 'BBB-sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Ares LXXXI 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. ARES TRUST 2026-TRON: DBRS Gives '(P)B(low)' Rating on Cl. F Certs ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-TRON (the certificates) to be issued by ARES Trust 2026-TRON (ARES 2026-TRON): -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) -- Class F at (P) B (low) (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The ARES Trust 2026-TRON transaction is collateralized by the borrower's fee-simple interest in a portfolio of 21 industrial assets totaling 6.4 million sf. The portfolio is spread across nine states and 12 unique markets. The properties themselves are primarily distribution warehouse properties built from 1964 to 2024 with clear heights ranging from 17' to 42', with a portfolio average of 31.7 feet. Overall, the subject markets have strong fundamentals with positive annual growth in rents while absorbing new supply. Morningstar DBRS continues to take a favorable view on the long-term growth and stability of the warehouse and logistics sector. The sponsors for this transaction are various special purpose entities indirectly owned and controlled by Wilshire Fund IV REIT LLC and Park Fund IV REIT LLC. The borrower sponsor is indirectly owned by Ares Management Corporation. Ares Management Corporation is a global investment firm established in 1997, headquartered in Los Angeles, with more than $596 billion in assets under management. The real estate platform had approximately $109.5 billion in assets under management as of September 30, 2025, and specializes in public and private equity and debt management. 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 2.12%. The transaction will represent a cash-out financing, with the sponsor cashing out approximately $16.0 million in equity. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, Spread Maintenance Premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. 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. ASPIRE MORTGAGE 2026-2: Fitch Assigns B(EXP)sf Rating on B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and rating outlooks to the residential mortgage-backed certificates to be issued by Aspire Mortgage Trust 2026-2 (SPIRE 2026-2). Entity/Debt Rating ----------- ------ SPIRE 2026-2 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SPIRE 2026-2 has a final probability of default (PD) of 39.0% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 41.9%. The expected loss in the 'AAAsf' rating stress is 16.3% Structural Analysis: The mortgage cash flow and loss allocation in SPIRE 2026-2 are based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior certificates (A-1A, A-1B, A-2, and A-3 classes) while excluding the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially, to A-1A classes, then sequentially, to A-1B, A-2 and A-3 certificates until they are reduced to zero. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE in the form of subordination and excess spread for a given rating exceeded the expected losses of that rating stress. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5 basis points (bps) z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements 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 entities. Fitch expects SPIRE 2026-2 to be fully de-linked and to serve as a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SPIRE 2026-2; as such, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the 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 38.1% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clarifii, Clayton, Consolidated Analytics, Canopy and Opus. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch has applied an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm that have a final grade of either "A" or "B". ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BAIN CAPITAL 2026-2: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Bain Capital Credit CLO 2026-2, Limited. Entity/Debt Rating ----------- ------ Bain Capital Credit CLO 2026-2, Limited 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-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Bain Capital Credit CLO 2026-2, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit CLO Management III (DE), LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.18 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.5% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.12% 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 9% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'BB-sf' and 'A-sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, 'BBB+sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2026-2, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BAMLL COMMERCIAL 2016-ISQR: DBRS Confirms CCC Rating on 2 Classes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-ISQR issued by BAMLL Commercial Mortgage Securities Trust 2016-ISQR as follows: -- Class XA at BBB (sf) -- Class A at BBB (low) (sf) -- Class B at BB (low) (sf) -- Class XB at B (sf) -- Class C at B (low) (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) The trends on Classes XA through C are Stable. There are no trends on Classes D and E as those classes have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect the underlying property's stable to improving performance, which is in line with Morningstar DBRS' expectations at the previous credit rating action in May 2025. The loan is secured by International Square, an office property consisting of three buildings connected by a central atrium, totaling 1.2 million square feet (sf) in downtown Washington, D.C., which includes 67,000 sf of ground-floor retail space, 12,000 sf of storage space, and a 637-space subterranean parking garage. The property's occupancy rate and net cash flow (NCF) have exhibited moderate changes for the last few reporting periods, most recently reported at 70.1% and $30.3 million, respectively, for the trailing nine-month period (T-9) ended September 30, 2025, compared with 73.7% and $20.5 million, respectively, at YE2024. The NCF increase is largely attributable to rental abatements that recently burned off at YE2024 for the largest tenant, the Federal Reserve System (the Fed), which represents nearly 35.0% of net rentable area (NRA). Despite the recent cash flow growth, Morningstar DBRS notes that the loan's fixed interest rate is considerably lower than current market rates, which will likely add to other risks, including the high loan-to-value ratio (LTV) implied by the Morningstar DBRS Value, that could complicate the borrower's efforts to secure a replacement loan at the upcoming scheduled maturity date in August 2026. These factors contributed to previous credit rating downgrades for this transaction. Total debt held against the property is $450.0 million, with the trust debt of $370.0 million consisting of a $166.7 million senior A-1 note and a $203.3 million junior note. There is an additional $80.0 million pari passu senior A-2 note split across three commercial mortgage-backed security (CMBS) multi-borrower transactions, none of which are rated by Morningstar DBRS. According to Reis, Inc. (Reis) Q4 2025 data, office properties in the Downtown District of Columbia submarket reported an average asking rental rate of $57.71 per sf (psf) with vacancy at 16.7% while Class A properties reported figures of $63.35 psf and 18.3%, respectively. Overall, the submarket was relatively stable in 2025, as Reis reported a Q4 2024 average rental rate of $56.72 psf and vacancy of 14.8%; while the in-place base rental rate of $63.23 psf is in line with the Class A averages, the occupancy rate at the subject remains well below market. At the July 2024 credit rating action, Morningstar DBRS derived an updated Morningstar DBRS NCF of $25.1 million, giving long-term credit tenant treatment to most of the space leased by the Fed, accepting the tenant's full, unabated rent payments and removing any future leasing costs related to the space. After executing multiple lease extension options since then, all space occupied by the Fed now has lease expiration dates in 2029 and 2033. Throughout 2026, rollover risk at the subject property is limited to four tenants, occupying about 2.0% of the total NRA, and the in-place debt service coverage ratio is healthy at nearly 1.85 times. However, absent any new future leases being signed, Morningstar DBRS anticipates there will be some future volatility in NCF because the provided lease extension terms for two spaces occupied by the Fed (collectively 6.5% of NRA) reflect upcoming declines in the rental rate to $45.28 psf from $64.58 psf for one space and to $52.83 psf from $66.57 psf for the other. These reflect lease terms that allow the provided tenant incentive package and leasing commissions to be amortized and deducted from base rent. The Fed also received separate one-year abatements for reimbursable operating expenses with these lease extensions, commencing in February 2026 and May 2028, respectively. Given the proximity to maturity, Morningstar DBRS maintained its valuation approach from the July 2024 review, which was based on a capitalization rate of 7.75% applied to the Morningstar DBRS NCF, which represents a -17.3% variance from the annualized T-9 period ended September 30, 2025, NCF. This conservative scenario is viewed as more representative of the cash flow that a replacement lender would consider. Morningstar DBRS also maintained positive qualitative adjustments to the LTV Sizing Benchmarks totaling 1.5% to reflect the subject property's cash flow stability and property quality. The Morningstar DBRS Value of $323.3 million represented a -57.3% variance from the issuance appraised value of $757.0 million and resulted in an LTV of 139.2% on the whole-loan debt amount of $450.0 million. The credit rating assigned to Class B is higher than the result implied by the LTV Sizing Benchmarks by three or more notches. The variance is warranted as the loan is expected to remain current throughout the remaining term and the submarket metrics suggest opportunity for occupancy improvements. While a refinance is expected to be unlikely, Morningstar DBRS believes the sponsor should be incentivized to continue working to stabilize the asset. Should the servicer approve a maturity extension, it appears likely a meaningful equity contribution would be required. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. BARCLAYS MORTGAGE 2026-NQM4: Moody's Assigns B2 Rating to B-2 Certs ------------------------------------------------------------------- Moody's Ratings has assigned ratings to 6 classes of residential mortgage-backed securities (RMBS) issued by Barclays Mortgage Loan Trust 2026-NQM4, and sponsored by Sutton Funding LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by Barclays Capital, and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Barclays Mortgage Loan Trust 2026-NQM4 Cl. A-1, Assigned Aaa (sf) Cl. A-2, Assigned Aa2 (sf) Cl. A-3, Assigned A2 (sf) Cl. M-1, Assigned Baa3 (sf) Cl. B-1, Assigned Ba2 (sf) Cl. B-2, Assigned B2 (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 2.72%, in a baseline scenario-median is 1.97% and reaches 23.71% 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. BBCMS 2019-BWAY: Fitch Lowers Rating on Two Certificates to 'Csf' ----------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed five classes of BBCMS 2019-BWAY Mortgage Trust (BBCMS 2019-BWAY) commercial mortgage pass-through certificates. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2019-BWAY A 05492NAA1 LT Csf Downgrade CCCsf B 05492NAC7 LT Csf Affirmed Csf C 05492NAE3 LT Csf Affirmed Csf D 05492NAG8 LT Csf Affirmed Csf E 05492NAJ2 LT Csf Affirmed Csf HRR 05492NAL7 LT Dsf Affirmed Dsf X-NCP 05492NAQ6 LT Csf Downgrade CCCsf KEY RATING DRIVERS Further Decline in Appraised Value; Short-Term Leasehold Interest: The downgrade of class A and the interest-only class X-NCP reflects a continued decline in appraised value and weakening recovery prospects due to the ongoing difficulty in securing a ground lease extension and executing a loan modification or other workout. The most recent appraisal remains significantly below the senior class balance, and without a ground lease extension, property value and net present value of cash flows are expected to continue declining as the lease expiration nears. Value improvement is unlikely until an extension is secured. As a result, losses are now considered inevitable. The affirmations of classes rated 'Csf' reflect limited or no expected recovery, with losses to these classes also considered inevitable. The affirmation of class HRR at 'Dsf' reflects realized losses of $5.7 million as of the April 2026 remittance. The most recently published appraisal value in late 2025 indicates a value of $118 million, a slight decline from $120 million published earlier in 2025 and a 13% decline compared with the May 2024 as-is value of $136 million. The property is subject to a 76-year ground lease through December 2030, with one 18-year renewal option remaining, which would extend the ground lease through December 2048. The current ground lease payments are a fixed $414,000 per annum, which are set to increase to a fixed $450,000 per annum from January 2031 through December 2048. Absent a ground lease extension, Fitch expects the property value to continue to decline along with the net present value of the cash flows as the final ground lease maturity draws nearer. Value improvement is not anticipated until the ground lease is extended. Excess Cash Flow Used to Pay Senior Classes; Realized Losses: All cash from property operations is trapped by the servicer. Class A has paid down by approximately $5.6 million since March 2025. The lowest bond in the transaction, class HRR, has incurred $5.7 million in realized losses. Classes B through HRR continue to incur interest shortfalls as a result of the appraisal reduction; the total cumulative appraisal reduction is $247.2 million and the cumulative ASER is approximately $28.5 million as of April 2026. The master servicer is not making principal and interest advances. Available funds from the property operations since March 2025 have been used to pay the current interest and unscheduled principal to the senior classes. Property Performance: The special servicer continues to address property performance while evaluating workout strategies and the ground lease extension. The receiver and property managers continue to manage occupancy through new leasing and renewals. Per the March 2026 servicer provided rent roll, the property occupancy has increased slightly to 76.2% from 75.3% as of YE 2024. There have been several tenant extensions and some incremental leasing. However, the property occupancy still remains below the reported 81.7% as of YE 2023, 83.9% at YE 2022, 86.1% at YE 2021 and 93.8% at issuance in 2019. The weighted average in place rent for all tenant space is approximately $55.90 psf per the most recent appraisal. The property performance continues to lag overall submarket metrics. Per recent CoStar reports as of Q1 2026, the Penn Plaza/Garment office submarket has a reported vacancy rate of approximately 12.4% and average office asking base rents of approximately $64 psf for comparable quality office property types. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'Dsf' are possible if losses are incurred upon an asset disposition or debt restructure. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are unlikely due to the declining asset valuation resulting from the short-term ground lease. Upgrades would only be possible if asset value and recovery expectations improve significantly, which would likely require a ground lease extension that may take time to negotiate. 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. BENCHMARK 2026-B43: Fitch Assigns B-(EXP)sf Rating on Two Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2026-B43 Mortgage Trust commercial mortgage pass-through certificates, series 2026-B43 as follows: - $44,730,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $36,010,000 class A-SB 'AAA(EXP)sf'; Outlook Stable; - $150,000,000a class A-4 'AAA(EXP)sf'; Outlook Stable; - $232,186,000a class A-5 'AAA(EXP)sf'; Outlook Stable; - $462,926,000b class X-A 'AAA(EXP)sf'; Outlook Stable; - $65,306,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $31,412,000 class B 'AA-(EXP)sf'; Outlook Stable; - $24,800,000 class C 'A-(EXP)sf'; Outlook Stable; - $121,518,000b class X-B 'A-(EXP)sf'; Outlook Stable; - $22,320,000c class D 'BBB-(EXP)sf'; Outlook Stable; - $22,320,000bc class X-D 'BBB-(EXP)sf'; Outlook Stable; - $14,053,000c class E 'BB-(EXP)sf'; Outlook Stable; - $14,053,000bc class X-E 'BB-(EXP)sf'; Outlook Stable; - $9,093,000c class F 'B-(EXP)sf'; Outlook Stable; - $9,093,000bc class X-F 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $31,413,430cd class G-RR; - $21,911,340ce class VRR Interest. (a) The initial certificate balances of classes A-4 and A-5 are unknown and are expected to be $382,186,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0-$150,000,000, and the expected class A-5 balance range is $232,186,000-$382,186,000. Fitch's certificate balances for classes A-4 and A-5 are assumed to be the high point and low point of each class, respectively. If class A-5 is issued with an initial certificate balance of $382,186,000, class A-4 will not be issued. (b) Notional amount and interest only. (c) Privately place and pursuant to Rule 144A. (d) Horizontal risk retention interest. e) Vertical risk retention interest. The expected ratings are based on information provided by the issuer as of April 26, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 32 loans secured by 53 commercial properties having an aggregate principal balance of $683,234,771 as of the cutoff date. The loans were contributed to the trust by Citi Real Estate Funding Inc., German American Capital Corporation, Goldman Sach Mortgage Company, Bank of America, National Association, UBS AG New York Branch, Bank of Montreal, and Barclays Capital Real Estate Inc. The master servicer is expected to be Trimont LLC, and the special servicer is expected to be CWCapital Asset Management LLC. Wilmington Savings Fund Society, FSB is expected to act as the trustee. Citibank, N.A. is expected to be the certificate administrator. The certificates are expected to follow a sequential paydown structure. See Fitch's presale report for further details KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 90.6% of the pool by balance, including the largest 20 loans in the pool. Fitch's resulting net cash flow (NCF) of approximately $79.6 million represents a 16.2% decline from the issuer's underwritten NCF of approximately $95.0 million. The NCF decline is higher than the 2026 YTD mulitborrower 10-year and 2025 10-year multiborrower transaction averages of 14.8% and 13.4%, respectively. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool's Fitch leverage is higher than recent Fitch-rated multiborrower transactions. The pool's Fitch loan-to-value ratio (LTV) of 94.0% is higher than the 2026 YTD 10-year multiborrower transaction average of 93.0% and higher than the 2025 10-year multiborrower transaction average of 88.4%. The pool's Fitch NCF debt yield (DY) of 11.6% is lower than both the 2026 YTD and 2025 10-year averages of 12.4% and 12.2%, respectively. Investment-Grade Credit Opinion Loan (COL): One loan, representing 6.1% of the pool by balance, received an investment-grade credit opinion. 360 East 72nd Street Co-Op (6.1% of pool) received an investment-grade credit opinion of 'AAAsf* on a standalone basis. The pool's total credit opinion percentage is higher than the 2026 YTD 10-year multiborrower transaction average of 4.9% but lower the 2025 10-year multiborrower transaction average of 21.4%. Excluding the COL, the pool's Fitch LTV and DY are 98.7% and 10.1%, respectively, compared with the equivalent 10-year 2025 LTV and DY averages of 88.4% and 10.2%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf'/ 'B-sf'. - 10% NCF Decline: 'AAsf' / 'A-sf' / 'BBBsf' / 'BB-sf' / 'B-sf' / below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf'/ 'B-sf'. - 10% NCF Increase: '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) 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. BHG SECURITIZATION 2016-1CON: Fitch Rates Class E Notes 'BBsf' -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by BHG Securitization Trust 2026-1CON (BHG 2026-1CON). Entity/Debt Rating Prior ----------- ------ ----- BHG Securitization Trust 2026-1CON A LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BBsf New Rating BB(EXP)sf Transaction Summary The BHG 2026-1CON trust is a discrete trust backed by a static pool of consumer loans originated or purchased by Bankers Healthcare Group, LLC (BHG). This is BHG's fourth 100% consumer loan 144a securitization. BHG 2026-1CON is the 12th 144a ABS transaction sponsored by BHG and the eighth rated by Fitch. KEY RATING DRIVERS Collateral Pool of High-FICO Borrowers: The BHG 2026-1CON pool shared with Fitch has a weighted average (WA) FICO score of 736; 1.12% of the borrowers have a score below 661 and 41.28% have a score higher than 740. The WA original term is 98 months slightly lower than the 2025 BHG consumer loan-backed securitization. Default Assumption Reflects Improved Managed Performance: The base case default assumption based on the pool is 13.96%. The default assumption was established by BHG's proprietary risk grade and loan term, which now includes longer-term loans in higher risk grades. Fitch set assumptions based on segmented performance data from 2014, which included loans that were re-scored using BHG's updated underwriting and scoring model, which became effective in 2018. Fitch reviewed through-the-cycle loan performance and characteristics but also considered the recent improved performance trends in deriving the base case. Fitch determined that for certain segments, primarily longer-term loans, there was no significant historical performance data and used equivalent historical performance data for commercial loans. Fitch considered commercial loan performance because of similar borrower characteristics and BHG's comparable underwriting policies for commercial loan guarantors. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 50.00%, 22.65%, 11.30%, 4.00% and 1.50% for the class A, B, C, D and E notes, respectively. Initial CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes. Fitch applied a 'AAAsf' rating stress of 4.25x the base case default rate for consumer loans. The stress multiples decline for lower rating levels, according to Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for loan type (shorter for consumer loans), high WA borrower FICO scores and income, and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Counterparty Risks Addressed: BHG has a long operational history and demonstrates adequate abilities as the servicer, as evidenced by historical portfolio and previous securitization performance. Fitch views BHG as capable of servicing this transaction. Other counterparty risks are mitigated through the transaction structure, and these provisions are in line with Fitch's counterparty rating criteria. Ongoing True Lender Uncertainty of Partner Bank Originations: Like its peers, BHG purchases consumer loans originated by partner banks, in this case, Pinnacle Bank, a Tennessee state-chartered bank, and County Bank, a Delaware state-chartered bank. Uncertainty over the true lender of the loans remains a risk inherent to this transaction, particularly for consumer loans originated at an interest rate higher than a borrower state's usury rate. If there are challenges to the true lender status, and if such challenges are successful, the consumer loans could be found to be unenforceable, or subject to reduction of the interest rate, paid or to be paid. If any such challenges are successful, trust performance could be negatively affected, which would increase negative rating pressure. For this risk, Fitch views as positive Pinnacle Bank's 49% ownership of BHG and BHG 2026-1CON's consumer loans originated at interest rates below the borrower state's usury rate, while viewing the longer, 98-month WA remaining loan term as negative. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Rating sensitivity to increased defaults (class A/class B/class C/class D/class E): Increased default base case by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BBsf'; Increased default base case by 25%: 'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'BB-sf'; Increased default base case by 50%: 'A+sf'/'BBB+sf'/'BBB-sf'/'BB-sf'/'Bsf'. Rating sensitivity to reduced recoveries (class A/class B/class C/class D/class E): Reduced recovery base case by 10%: 'AAAsf'/'A+sf'/'A-sf'/'BBB-sf'/'BBsf'; Reduced recovery base case by 25%: 'AAAsf'/'A+sf'/'A-sf'/'BB+sf'/'BBsf'; Reduced recovery base case by 50%: 'AA+sf'/'Asf'/'BBB+sf'/'BB+sf'/'BBsf'. Rating sensitivity to increased defaults and reduced recoveries (class A/class B/class C/class D/class E): Increased default base case by 10% and reduced recovery base case by 10%: 'AA+sf'/'Asf'/'BBB+sf'/'BB+sf'/'BBsf'; Increased default base case by 25% and reduced recovery base case by 25%: 'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'B+sf '; Increased default base case by 50% and reduced recovery base case by 50%: 'A+sf'/'BBBsf'/'BB+sf'/'Bsf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Current Ratings: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'. Decreased default base case by 20%: 'AAAsf'/'AAsf'/'A+sf'/'BBBsf'/'BBB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG. The third-party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics with respect to 150 randomly selected statistical receivables. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BINOM MORTGAGE 2026-NQM1: S&P Assigns B (sf) Rating on B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to BINOM Mortgage Loan Trust 2026-NQM1's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans (some with initial interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, and two- to four-family residential properties. The pool has 670 loans backed by 670 properties, which are qualified-mortgage (QM)/safe harbor (average prime offer rate [APOR]), non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt. S&P said, "After we assigned our preliminary ratings on April 14, 2026, the issuer decided not to issue the class A-1FCF and A-1LCF notes on the closing date. As a result, the class A-1A and A-1B note amounts increased to $203,228,960 and $30,934,040, respectively, from $101,614,000 and $15,467,000. At the same time, the corresponding class A-1 note amount increased to $234,163,000 from $117,081,000. However, the credit enhancement on the transaction did not change. After analyzing the final coupons and the updated structure, our ratings remain unchanged from the preliminary ratings." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator, SLC BINOM Sponsor LLC, and any S&P Global Ratings reviewed originator; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned(i) BINOM Mortgage Loan Trust 2026-NQM1 Class A-1A, $203,228,960: AAA (sf) Class A-1B, $30,934,040: AAA (sf) Class A-1, $234,163,000: AAA (sf) Class A-2, $17,632,000: AA (sf) Class A-3, $27,066,000: A (sf) Class M-1, $11,600,000: BBB (sf) Class B-1A, $3,403,000: BB+ (sf) Class B-1B, $4,640,000: BB (sf) Class B-2, $6,496,000: B (sf) Class B-3, $4,331,062: NR Class XS, Notional(ii): NR Class A-IO-S, Notional(ii): NR Class R, Not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount equals the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. BIRCH GROVE 16: Fitch Assigns 'BB-sf' Final Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Birch Grove CLO 16, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Birch Grove CLO 16 Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-1-L LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Birch Grove CLO 16 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Birch Grove Capital LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.05, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.01% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.94% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with 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. 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. ESG Considerations Fitch does not provide ESG relevance scores for Birch Grove CLO 16 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, 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. BMARK 2026-V22: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to BMARK 2026-V22 commercial mortgage pass-through certificates, series 2026-V22 - $2,580,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $225,000,000a class A-2 'AAA(EXP)sf'; Outlook Stable; - $283,350,000a class A-3 'AAA(EXP)sf'; Outlook Stable; - $510,930,000b class X-A 'AAA(EXP)sf'; Outlook Stable; - $139,593,000b class X-B 'AA-(EXP)sf'; Outlook Stable; - $73,902,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $36,495,000 class B 'AA-(EXP)sf'; Outlook Stable; - $29,196,000 class C 'A-(EXP)sf'; Outlook Stable; - $25,547,000bc class X-D 'BBB-(EXP)sf'; Outlook Stable; - $25,547,000c class D 'BBB-(EXP)sf'; Outlook Stable; - $14,598,000c class E 'BB-(EXP)sf'; Outlook Stable; - $10,036,000c,d class F-RR 'B-(EXP)sf'; Outlook Stable; The following classes are not expected to be rated by Fitch: - $29,196,560cd class G-RR; - $20,254,178ce class VRR Interest. (a) The initial certificate balances of classes A-2 and A-3 are unknown and are expected to be $508,350,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0-$225,000,000, and the expected class A-3 balance range is $283,350,000-$508,350,000. Fitch's certificate balances for classes A-2 and A-3 are assumed to be the high point and low point of each class, respectively. If class A-3 is issued with an initial certificate balance of $508,350,000, class A-2 will not be issued. (b) Notional amount and interest only. (c) Privately place and pursuant to Rule 144A. (d) Horizontal risk retention interest. e) Vertical risk retention interest. The expected ratings are based on information provided by the issuer as of May 4, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 32 loans secured by 145 commercial properties with an aggregate principal balance of $750,154,739, as of the cutoff date. The loans were contributed to the trust by Citi Real Estate Funding Inc., German American Capital Corporation, Goldman Sachs Mortgage Company, and Barclays Capital Real Estate Inc. The master servicer is expected to be Trimont LLC and the special servicer is expected to be LNR Partners, LLC. The trustee is expected to be Wilmington Savings Fund Society, FSB. Citibank N.A., will act as the certificate administrator. The operating advisor and asset representations reviewer will be Bell Oak, LLC. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 91.0% by balance. Fitch's resulting net cash flow (NCF) of $69.1 million represents an 10.5% decline from the issuer's underwritten NCF. Higher Leverage Compared to Recent Transactions: The pool has higher leverage compared to recent U.S. Private Label Multiborrower five-year transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 102.7% is higher than the 2026 YTD and 2025 averages of 97.6% and 101.0%, respectively. The pool's Fitch NCF debt yield (DY) of 9.2% is lower than the 2026 YTD and 2025 averages of 10.5% and 9.7%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 68.1% of the pool, higher than the 2026 YTD and 2025 averages of 59.6% and 61.5%, respectively. The pool's effective loan count of 21.3 is lower the 2026 YTD and 2025 average of 22.8 and 21.8, respectively. Investment-Grade Credit Opinion Loans: One loan representing 9.0% of the pool received an investment-grade credit opinion. Mountain Industrial Portfolio (9.0% of pool) received a standalone credit opinion of 'A-sf*'. The pool's total credit opinion percentage is lower than the 2026 YTD and 2025 averages of 11.2% and 10.6%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 105.3% and 9.2%, respectively, compared with the 2026 YTD conduit LTV and DY averages of 103.1% and 9.9%, respectively. 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'/'Asf'/'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'/'A+sf'/'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) 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. BOS TRUST 2026-LYRK: S&P Assigns BB-(sf) Rating to Class HRR Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to BOS Trust 2026-LYRK's commercial mortgage pass-through certificates series 2026-LYRK. The certificate issuance is a U.S. CMBS transaction backed by a commercial mortgage loan secured primarily by a first-priority mortgage lien on each borrower's leasehold interest in a 495,275 sq. ft., 20-story, LEED Gold–certified class A office tower located in Boston. S&P said, "The ratings reflect our view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan terms, and the transaction structure. We determined that the mortgage loan has a beginning and ending loan-to-value ratio of 92.8%, based on S&P Global Ratings' value of the property backing the transaction. "Since our April 15, 2026, preliminary rating actions, the loan agreement was executed on April 21, 2026, and the fixed interest rate decreased to 5.669% from 5.950%. This change did not impact the assigned ratings." Ratings Assigned BOS Trust 2026-LYRK Class A, $193,950,000(i): AAA (sf) Class B, $51,590,000(i): AA- (sf) Class C, $38,790,000(i): A- (sf) Class D, $42,280,000(i): BBB- (sf) Class E, $15,390,000(i): BB+ (sf) Class HRR(ii), $18,000,000(i): BB- (sf) (i)The certificate balances are approximate, subject to a variance of plus or minus 5%. (ii)Horizontal risk retention certificates. BRAVO RESIDENTIAL 2026-CES1: Fitch Rates Class B2 Notes 'B-(EXP)sf' ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to BRAVO Residential Funding Trust 2026-CES1 (BRAVO 2026-CES1). Entity/Debt Rating ----------- ------ BRAVO 2026-CES1 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by BRAVO 2026-CES1 as indicated above. The transaction is expected to close on May 14, 2026. The notes are supported by 3,577 newly originated, closed-end second lien (CES) loans with a total balance of $345 million as of the cutoff date. loanDepot.com, LLC and PennyMac Loan Services, LLC originated approximately 70.3% and 18.5% of the loans, respectively. The remainder were originated by other originators, each accounting for less than 10% of the pool. loanDepot.com, LLC, PennyMac Loan Services and Newrez LLC dba Shellpoint Mortgage Servicing (Shellpoint) will service the loans. The servicers will not advance delinquent (DQ) monthly payments of principal and interest (P&I). Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. In addition, excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. BRAVO 2026-CES1 has a final probability of default (PD) of 19.2% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 97.9%. The expected loss in the 'AAAsf' rating stress is 18.8%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in BRAVO 2026-CES1 are based on a sequential payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Furthermore, the provision for principal amounts to pay any unpaid interest prior to principal distribution is highly supportive of timely interest payments to the notes in the absence of P&I advancing. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal first to repay any current or previously allocated cumulative applied realized losses and then to repay potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers aggregator, originator and servicer capability, and the transaction-specific representation, warranty and enforcement (RW&E) framework as qualitative inputs to its RMBS ratings framework. These counterparty assessments are conducted and updated on a regular cadence independent of any specific RMBS rating, and Fitch uses a risk-based framework — considering contribution share and collateral profile — to determine which parties warrant review. The only consideration that has a direct impact on Fitch's loss expectations is the third-party due diligence results. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm deemed 'Acceptable' by Fitch and have a final grade of either "A'" or "B". Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BRAVO 2026-CES1 to be fully de-linked and bankruptcy-remote, special-purpose vehicle. All transaction parties and triggers align with Fitch expectations. Shortened Liquidation Timelines (Positive): Fitch's analysis for this transaction assumed liquidation timelines of six months in the base case and up to 12 months in the 'AAAsf 'stress case compared to 18-36 months for first lien collateral. BRAVO 2026-CES1 incorporates an optional loan charge-off at 180 days DQ. Based on historical observations, second lien collateral typically liquidates after 180 days DQ. Fitch assumes in the base case that the charge-off feature will be exercised as soon as possible, with lower probabilities of charge-off in the higher rating cases. When taken together with its presumed modification timelines of 12 months, Fitch's all-in timelines ranged from nine months at the base case to 12 months at its 'AAAsf' rating case. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 38.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. 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 Clayton, Consolidated Analytics and Maxwell. 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 made the following adjustment to its analysis: - A 5% PD credit was applied at the loan level for all loans graded either 'A' or 'B' DATA ADEQUACY Fitch relied on an independent third-party due diligence review covering 100% of the pool. The scope was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Loans reviewed under this engagement received compliance, credit, and valuation grades, with initial and final grades assigned for each subcategory. Exceptions and waivers were documented in the due diligence reports and incorporated into Fitch's analysis. Fitch also used data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information in ASF data layout format, which was considered comprehensive. The due diligence firms reviewed the ASF data tape, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRAVO RESIDENTIAL 2026-NQMR1: Fitch Rates Cl. B-2 Notes 'B+(EXP)sf' ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by BRAVO Residential Funding Trust 2026-NQMR1 (BRAVO 2026-NQMR1). Entity/Debt Rating ----------- ------ BRAVO 2026-NQMR1 A-1 LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1FCF LT AAA(EXP)sf Expected Rating A-1LCF LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A+(EXP)sf Expected Rating M-1A LT A-(EXP)sf Expected Rating M-1B LT BBB+(EXP)sf Expected Rating B-1 LT BB+(EXP)sf Expected Rating B-2 LT B+(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating FB LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes to be issued by BRAVO 2026-NQMR1, as indicated above. The notes are supported by 1,397 loans with a total balance of approximately $591 million as of the cutoff date. Citadel Servicing Corporation (Citadel, dba Acra Lending [Acra]) and ClearEdge Lending LLC (ClearEdge) originated approximately 22.5% and 23.9 of the pool, respectively. Fitch considers them 'Acceptable' originators. The remainder of the pool was originated by various originators. Following servicing transfers after the closing date, Citadel, AmWest Funding Corp. (AmWest), Select Portfolio Servicing (SPS), and Rocket Mortgage LLC (dba Rushmore Servicing [Rushmore]) will service 24.8%, 2.7%, 46.9%, and 25.6% of the loans, respectively. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. BRAVO 2026-NQMR1 has a final probability of default (PD) of 42.4% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 28.9%. The expected loss in the 'AAAsf' rating stress is 12.3%. The pool consists of 1,397 seasoned, nonqualified mortgage (non-QM or NQM) loans with a Fitch FICO of 732 and a weighted average (WA) original combined loan-to-value ratio (CLTV) of 69.3%. Fitch considers approximately 91.6% of the pool to be nonprime. About 16.6% of the loans in the pool are full documentation; the remaining loans are non-full documentation, including debt service coverage ratio (DSCR; 32.6%), bank statement (42.1%) and other program (8.7%) loans. DSCR loans receive a slight reduction in the non-full documentation PD penalty. However, the DSCR all-in treatment remains more punitive than for fully documented, borrower-underwritten loans. Roughly 65.5% of borrowers are self-employed or have unknown employment status. In addition, approximately 2.6% of the loans were originated to foreign nationals (including individual taxpayer identification number [ITIN] borrowers) and are, therefore, subject to a PD penalty due to the perceived weaker connection to the property. Structural Analysis (Positive): The mortgage cash flow and loss allocation in BRAVO 2026-NQMR1 are based on a modified sequential structure whereby the principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the senior notes until they are reduced to zero. Principal on the collective class A-1 notes (specifically, the A-1FCF, A-1LCF, A-1A and A-1B notes) will be allocated either pro rata or sequentially among themselves, as set out in the priority of payments. The structure includes a step-up coupon feature where the fixed interest rate for the senior notes will increase by 100bps, subject to the net WAC, starting on the May 2030 payment date. This reduces the modest excess spread available to repay losses. After the year four step-up date the subordinated classes become principal only bonds. If there is any excess interest after any net WAC shortfalls and following the Step Up Date it will be used to pay down the senior bonds sequentially prior to class XS receiving any cash after year four. Furthermore, the provision for principal amounts to pay any unpaid interest prior to principal distribution is highly supportive of timely interest payments to the notes in the absence of principal and interest (P&I) advancing. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. Operational Risk Analysis (Positive): Fitch considers aggregator, originator and servicer capability, and the transaction-specific representation, warranty and enforcement (RW&E) framework, as qualitative inputs to its RMBS ratings framework. These counterparty assessments are conducted and updated on a regular cadence independent of any specific RMBS rating, and Fitch uses a risk-based framework, which considers contribution share and collateral profile, to determine which parties warrant review. The only consideration that has a direct impact on Fitch's loss expectations is third-party due diligence results. Third-party due diligence was performed on 99.9% of the loans in the transaction. Fitch applies a 5bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm deemed 'Acceptable' by Fitch and having a final grade of either "A" or "B". Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BRAVO 2026-NQMR1 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle. All transaction parties and triggers align with Fitch expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 37.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% increase in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. SUMMARY OF FINANCIAL ADJUSTMENTS CRITERIA VARIATION Fitch used a custom model and applied a variation to Fitch's U.S. RMBS Ratings Model to scale down the Z-score adjustment 33% starting after year two and 100% removal by end of year five. Currently, additional PD adjustments are applied to the final PD using a z-score adjustment that is static in both weight and application over time, regardless of seasoning. Many of these adjustments are designed to capture risk factors that are not present in the historical dataset and not included in the origination PD regression. While these risk factors were present at origination, their relevance diminishes as the loans season and more performance data becomes available. 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. BRIDGECREST LENDING 2026-2: DBRS Finalizes 'BB' Rating on E Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of notes to be issued by Bridgecrest Lending Auto Securitization Trust 2026-2 (BLAST 2026-2 or the Issuer): -- $82,000,000 Class A-1 Notes at R-1 (high) (sf) -- $123,340,000 Class A-2 Notes at AAA (sf) -- $123,340,000 Class A-3 Notes at AAA (sf) -- $66,110,000 Class B Notes at AA (sf) -- $85,490,000 Class C Notes at A (sf) -- $100,310,000 Class D Notes at BBB (sf) -- $61,550,000 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 excess spread, if any. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the credit ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date for each respective class. (2) BLAST 2026-2 provides for the Notes' coverage multiples that are slightly below the Morningstar DBRS range of multiples set forth in the criteria for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss, company history, and structural features of the transaction. (3) The Morningstar DBRS CNL assumption is 28.40% based on the pool composition (4) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update, published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (5) The transaction parties' capabilities with regard to originations, underwriting, and servicing are as follows: -- DriveTime has an experienced and stable management team and has had relatively stable performance in varying economic environments because of its expertise in the subprime auto market. -- Morningstar DBRS has performed an operational review of DriveTime and Bridgecrest and considers the entities acceptable originators and servicers of subprime auto loans. -- Morningstar DBRS did not perform an operational review of GoFi given its relatively small contribution to the pool. -- DriveTime has made substantial investments in technology and infrastructure to continue to improve its ability to predict borrower behavior, manage risk, and mitigate loss. -- DriveTime has centrally developed and maintained underwriting and loan servicing platforms. -- Computershare, an experienced auto-loan servicer, is the standby servicer for the portfolio in this transaction. (6) The quality and consistency of historical static pool data for DriveTime originations and performance of the DriveTime auto loan portfolio. (7) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with DriveTime, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the Noteholders' Monthly Accrued Interest and the related Note Balance. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that are not financial obligations are the related interest on unpaid Noteholders' Interest Carryover Shortfall for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. BX TRUST 2019-IMC: DBRS Confirms 'B(low)' Rating on Cl. HRR Certs ----------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-IMC issued by BX Trust 2019-IMC as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AAA (sf) -- Class D at AAA (sf) -- Class X-NCP at AAA (sf) -- Class E at A (sf) -- Class F at BBB (low) (sf) -- Class G at B (high) (sf) -- Class HRR at B (low) (sf) In addition, Morningstar DBRS changed the trends on Classes D, E, F, G, and HRR to Negative from Stable. The trends on all remaining classes are Stable. The transaction is secured by a portfolio of 16 properties comprising approximately 9.6 million square feet (sf) of premier showroom space across two campuses (markets): (1) High Point, North Carolina, approximately 30 minutes southeast of Winston-Salem and (2) Las Vegas. The trend changes to Negative trends reflect Morningstar DBRS' concerns regarding the sustained decline in the reported cash flows for the portfolio over the last few years, with the most recent reporting for the trailing 12-month period ended September 30, 2025, showing cash flow down by about $6.2 million and $16.6 million from YE2025 and YE2024, respectively. This may have contributed to a decline in the property's as-is value, a factor that could complicate the loan's upcoming extended maturity in June 2026. The floating-rate loan had an initial term of two years with three one-year extension options available, all of which have been exercised. The loan is sponsored by affiliates of Blackstone Inc. (Blackstone), which contributed $400.0 million in cash equity to the transaction. The loan originally had a final maturity in April 2024 but was modified to allow for an extension to June 2026, with a required $175.0 million principal paydown. This reduced the transaction balance by approximately 15.0% and notably increased credit support for the senior portion of the trust debt. An appraisal obtained as part of the loan modification notably showed a value improvement to $1.76 billion as of July 2024, up from the issuance appraised value of $1.65 billion. For the T 12 period ended September 30, 2025, net cash flow (NCF) was reported at $94.9 million, resulting in a debt service coverage ratio (DSCR) of 1.34 times (x), compared with an NCF of $101.1 million and a DSCR of 1.22x at YE2024, and an NCF of $111.5 million with a DSCR of 1.02x at YE2023. The sponsor has advised the cash flow declines in the past few years have been primarily attributable to reduced attendance at summer and winter trade shows. Given the possibility of weaker demand for in-person trade shows, the subject and other showroom properties could experience further cash flow disruptions and/or value deterioration. Another factor to consider is the sustained lull in home sales activity in recent years that has contributed to distress for furniture retailers, a significant user of showroom space historically. As part of this review, the Morningstar DBRS Value was updated to reflect the recent cash flow trends, resulting in a value of $885.8 million, representing a -46.2% variance from the July 2024 appraised value noted above. The updated value approach was based on Morningstar DBRS' NCF of $93.0 million, based on a 2.0% haircut to the T 12 NCF as of September 30, 2025, reported by the servicer, and a capitalization rate of 10.5%. This valuation implies a loan-to-value ratio (LTV) of 110.1%, supporting the Negative trends. Morningstar DBRS maintained positive qualitative adjustments in the LTV Sizing, totaling 3.50% to reflect property quality, market fundamentals, and cash flow volatility. These adjustments were warranted given the collateral's status as one of the premier furniture, design, and showroom portfolios in the U.S. The Morningstar DBRS credit ratings assigned to Classes D, E, F, G, and HRR are higher than the results implied by the LTV Sizing Benchmarks. The variances are warranted because of the sponsor's recent equity investment to reduce the loan balance at the 2024 maturity extension, as well as the overall desirability of the portfolio and in-place cash flows which comfortably cover debt service as of the most recent reporting period. Additionally, a material haircut to the 2024 appraised value would be necessary before realized losses would be implied in a hypothetical liquidation scenario. 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-NCP 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. BX TRUST 2026-CIP: Fitch Assigns 'B+(EXP)sf' Rating on Cl. F Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to BX Trust 2026-CIP commercial mortgage pass-through certificates, series 2026-CIP: - $677,040,000 class A 'AAA(EXP)sf'; Outlook Stable; - $87,690,000 class B 'AA(EXP)sf'; Outlook Stable; - $105,110,000 class C 'A-(EXP)sf'; Outlook Stable; - $126,890,000 class D 'BBB-(EXP)sf'; Outlook Stable; - $189,910,000 class E 'BB-(EXP)sf'; Outlook Stable; - $48,360,000 class F 'B+(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $39,000,000a class RR; - $26,000,000a class RR Interest. (a) Class RR and class RR Interest together comprise the transaction's vertical risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $1.30 billion, two-year, floating-rate, IO mortgage loan with three one-year extension options. The loan will be secured by a first mortgage lien against the borrower's fee simple and leasehold interests in a portfolio of 83 industrial properties, comprising approximately 13.0 million sf, located across 15 states and 24 distinct markets. Mortgage loan proceeds combined with sponsor equity of $183.0 million will be used to refinance approximately $1.45 billion of existing debt and pay $36.0 million in closing costs. The loan is expected to be co-originated by Deutsche Bank AG, New York Branch, Citi Real Estate Funding Inc., JPMorgan Chase Bank, National Association, Nomura Corporate Funding Americas, LLC and Goldman Sachs Bank USA. Trimont LLC is expected to serve as master servicer and special servicer. Computershare Trust Company, National Association will act as the trustee and Deutsche Bank National Trust Company will act as certificate administrator. The certificates will follow a pro rata paydown with respect to prepayments up to 30% of the initial loan balance and a standard senior-sequential paydown thereafter. The transaction is scheduled to close on May 21, 2026. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch's stressed NCF for the portfolio is $87.6 million. This is 6.5% lower than the issuer's NCF and 8.6% above YE25 NCF. Fitch applied a 7.25% cap rate resulting in a Fitch value of $1.21 billion. High Fitch Leverage: The $1.30 billion trust loan equates to debt of $100 psf with a Fitch debt service coverage ratio of 0.82x, a loan-to-value ratio of 107.5% and a debt yield of 6.7%. The loan represents about 68% of the aggregate as-is appraised value of the individual properties of $1.91 billion. Geographic Diversity: The portfolio is well diversified, with 83 properties (13.0 million sf) located across 15 states and 24 MSAs. The three largest state concentrations by NRA are Illinois (2,035,366 sf; 10 properties), Florida (1,660,729 sf; 17 properties) and Indiana (1,630,194 sf; five properties). The three largest markets are Chicago (12.5% of NRA; 15.7% of allocated loan amount [ALA]), Dallas-Fort Worth (9.3% of NRA; 7.1% of ALA) and Miami (9.2% of NRA; 5.4% of ALA). The portfolio has an effective MSA count of 14.9 and over 120 tenants. Institutional Sponsorship: The loan is sponsored by affiliates of Blackstone Real Estate Income Trust, Inc. Blackstone is recognized as one of the world's leading investment firms, managing assets across private equity, real estate, public debt and equity, infrastructure, life sciences, growth equity, opportunistic non-investment grade credit, real assets and secondary funds. It has a team of over 800 professionals across 12 offices. As of Dec. 31, 2025, Blackstone's real estate platform had approximately $319 billion of investor capital under management. The portfolio in this transaction will be managed by Link Logistics, an affiliate of the sponsor. Link Logistics has a nationwide footprint totaling approximately 480 million sf of logistics real estate across over 3,000 properties. 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'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'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'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'AA-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 Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CARLYLE US 2024-2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to the Carlyle US CLO 2024-2, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2024-2, Ltd. A-1R LT NRsf New Rating NR(EXP)sf A-2R 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 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 22.99, 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 95.85% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.79% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45.0% 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 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 analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period, with a floor of six years. 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-2R, between 'BBB-sf' and 'AA-sf' for class B-R, between 'BB-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-R. 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'. 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-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 30 April 2026 ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2024-2, 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. CARLYLE US 2026-3: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2026-3, Ltd. Entity/Debt Rating ----------- ------ Carlyle US CLO 2026-3, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Carlyle US CLO 2026-3, 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 $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 23.9, 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 98.33% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.22% 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 that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices is reduced by up to 12 months for the WAL covenants that are greater than 6 years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, '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 2026-3, 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. CARVAL CLO IX-C: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-R, and E-R debt from CarVal CLO IX-C Ltd./CarVal CLO IX-C LLC, a CLO managed by CarVal CLO Management LLC that was originally issued in March 2024. At the same time, S&P withdrew its ratings on the previous class A, B, C, D, and E debt following payment in full on the May 4, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Oct. 20, 2027. -- The reinvestment period and legal final maturity date remained the same. -- No additional assets were purchased on the May 4, 2026, refinancing date, and the target initial par amount remains at $500 million. There was no additional effective date or ramp-up period and the first payment date following the refinancing is July 20, 2026. Replacement And Previous Debt Issuances Replacement debt -- Class A-R, $320.00 million: Three-month CME term SOFR + 1.32% -- Class B-R, $60.00 million: Three-month CME term SOFR + 1.60% -- Class C-R (deferrable), $30.00 million: Three-month CME term SOFR + 1.85% -- Class D-R (deferrable), $30.00 million: Three-month CME term SOFR + 3.15% -- Class E-R (deferrable), $15.00 million: Three-month CME term SOFR + 6.50% Previous debt -- Class A, $320.00 million: Three-month CME term SOFR + 1.68% -- Class B, $60.00 million: Three-month CME term SOFR + 2.10% -- Class C (deferrable), $30.00 million: Three-month CME term SOFR + 2.50% -- Class D (deferrable), $30.00 million: Three-month CME term SOFR + 3.90% -- Class E (deferrable), $15.00 million: Three-month CME term SOFR + 6.75% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "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 CarVal CLO IX-C Ltd./CarVal CLO IX-C LLC Class A-R, $320.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-R (deferrable), $30.00 million: BBB- (sf) Class E-R (deferrable), $15.00 million: BB- (sf) Ratings Withdrawn CarVal CLO IX-C Ltd./CarVal CLO IX-C LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt CarVal CLO IX-C Ltd./CarVal CLO IX-C LLC Subordinated notes, $53.20 million: NR NR--Not rated. CHASE HOME 2026-4: DBRS Finalizes B(low) Rating on Cl. B-5 Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized the following provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2026-4 (the Certificates) issued by Chase Home Lending Mortgage Trust 2026-4: -- $468.3 million Class A-1 at AAA (sf) -- $420.6 million Class A-2 at AAA (sf) -- $336.4 million Class A-3 at AAA (sf) -- $336.4 million Class A-3-A at AAA (sf) -- $336.4 million Class A-3-B at AAA (sf) -- $336.4 million Class A-3-X1 at AAA (sf) -- $336.4 million Class A-3-X2 at AAA (sf) -- $336.4 million Class A-3-X3 at AAA (sf) -- $252.3 million Class A-4 at AAA (sf) -- $252.3 million Class A-4-A at AAA (sf) -- $252.3 million Class A-4-B at AAA (sf) -- $252.3 million Class A-4-X1 at AAA (sf) -- $252.3 million Class A-4-X2 at AAA (sf) -- $252.3 million Class A-4-X3 at AAA (sf) -- $84.1 million Class A-5 at AAA (sf) -- $84.1 million Class A-5-A at AAA (sf) -- $84.1 million Class A-5-B at AAA (sf) -- $84.1 million Class A-5-X1 at AAA (sf) -- $84.1 million Class A-5-X2 at AAA (sf) -- $84.1 million Class A-5-X3 at AAA (sf) -- $201.9 million Class A-6 at AAA (sf) -- $201.9 million Class A-6-A at AAA (sf) -- $201.9 million Class A-6-B at AAA (sf) -- $201.9 million Class A-6-X1 at AAA (sf) -- $201.9 million Class A-6-X2 at AAA (sf) -- $201.9 million Class A-6-X3 at AAA (sf) -- $134.6 million Class A-7 at AAA (sf) -- $134.6 million Class A-7-A at AAA (sf) -- $134.6 million Class A-7-B at AAA (sf) -- $134.6 million Class A-7-X1 at AAA (sf) -- $134.6 million Class A-7-X2 at AAA (sf) -- $134.6 million Class A-7-X3 at AAA (sf) -- $50.5 million Class A-8 at AAA (sf) -- $50.5 million Class A-8-A at AAA (sf) -- $50.5 million Class A-8-B at AAA (sf) -- $50.5 million Class A-8-X1 at AAA (sf) -- $50.5 million Class A-8-X2 at AAA (sf) -- $50.5 million Class A-8-X3 at AAA (sf) -- $47.7 million Class A-9 at AAA (sf) -- $47.7 million Class A-9-A at AAA (sf) -- $47.7 million Class A-9-B at AAA (sf) -- $47.7 million Class A-9-X1 at AAA (sf) -- $47.7 million Class A-9-X2 at AAA (sf) -- $47.7 million Class A-9-X3 at AAA (sf) -- $134.6 million Class A-10 at AAA (sf) -- $134.6 million Class A-10-A at AAA (sf) -- $134.6 million Class A-10-B at AAA (sf) -- $134.6 million Class A-10-X1 at AAA (sf) -- $134.6 million Class A-10-X2 at AAA (sf) -- $134.6 million Class A-10-X3 at AAA (sf) -- $84.1 million Class A-11 at AAA (sf) -- $84.1 million Class A-11-X at AAA (sf) -- $84.1 million Class A-12 at AAA (sf) -- $84.1 million Class A-13 at AAA (sf) -- $84.1 million Class A-13-X at AAA (sf) -- $84.1 million Class A-14 at AAA (sf) -- $84.1 million Class A-14-X at AAA (sf) -- $84.1 million Class A-14-X2 at AAA (sf) -- $84.1 million Class A-14-X3 at AAA (sf) -- $84.1 million Class A-14-X4 at AAA (sf) -- $67.3 million Class A-15 at AAA (sf) -- $67.3 million Class A-15-A at AAA (sf) -- $67.3 million Class A-15-B at AAA (sf) -- $67.3 million Class A-15-X1 at AAA (sf) -- $67.3 million Class A-15-X2 at AAA (sf) -- $67.3 million Class A-15-X3 at AAA (sf) -- $67.3 million Class A-16 at AAA (sf) -- $67.3 million Class A-16-A at AAA (sf) -- $67.3 million Class A-16-B at AAA (sf) -- $67.3 million Class A-16-X1 at AAA (sf) -- $67.3 million Class A-16-X2 at AAA (sf) -- $67.3 million Class A-16-X3 at AAA (sf) -- $67.3 million Class A-17 at AAA (sf) -- $67.3 million Class A-17-A at AAA (sf) -- $67.3 million Class A-17-B at AAA (sf) -- $67.3 million Class A-17-X1 at AAA (sf) -- $67.3 million Class A-17-X2 at AAA (sf) -- $67.3 million Class A-17-X3 at AAA (sf) -- $117.8 million Class A-18 at AAA (sf) -- $117.8 million Class A-18-A at AAA (sf) -- $117.8 million Class A-18-B at AAA (sf) -- $117.8 million Class A-18-X1 at AAA (sf) -- $117.8 million Class A-18-X2 at AAA (sf) -- $117.8 million Class A-18-X3 at AAA (sf) -- $468.3 million Class A-X-1 at AAA (sf) -- $9.6 million Class B-1 at AA (low) (sf) -- $9.6 million Class B-1-A at AA (low) (sf) -- $9.6 million Class B-1-X at AA (low) (sf) -- $6.4 million Class B-2 at A (low) (sf) -- $6.4 million Class B-2-A at A (low) (sf) -- $6.4 million Class B-2-X at A (low) (sf) -- $5.2 million Class B-3 at BBB (low) (sf) -- $3.0 million Class B-4 at BB (low) (sf) -- $989.5 thousand Class B-5 at B (low) (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-B, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12, A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17, A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A and A-18-B are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9, A-9-A, A-9-B) regarding loss allocation. The AAA (sf) credit ratings on the Certificates reflect 5.35% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.40%, 2.10%, 1.05%, 0.45%, and 0.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 428 loans with a total principal balance of $520,815,382 as of the Cut-Off Date (April 1, 2026). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 10 to 30 years and a weighted-average (WA) loan age of four months. They are traditional, prime jumbo mortgage loans. Approximately 62.9% of the loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as the Securities Administrator. U.S. Bank Trust National Association will act as the Delaware Trustee. JPMCB will act as the Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The Sponsor (JPMCB) will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing not less than 5.0% of the initial Class Principal Amount of each class of Certificates (other than the Class A-R Certificates) to satisfy the EU/UK Risk Retention requirements under Article 6(3) of PRASR and Chapter 4 of SECN 5 of the UK Securitization Framework and Article 6(4) of the EU Securitization Regulation. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2026-4: Fitch Assigns B-sf Final Rating on Cl. B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust series 2026-4 (Chase 2026-4). Entity/Debt Rating Prior ----------- ------ ----- Chase 2026-4 A1 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A10A LT AAAsf New Rating AAA(EXP)sf A10B LT AAAsf New Rating AAA(EXP)sf A10X1 LT AAAsf New Rating AAA(EXP)sf A10X2 LT AAAsf New Rating AAA(EXP)sf A10X3 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A11X LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A13X LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A14X LT AAAsf New Rating AAA(EXP)sf A14X2 LT AAAsf New Rating AAA(EXP)sf A14X3 LT AAAsf New Rating AAA(EXP)sf A14X4 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A15A LT AAAsf New Rating AAA(EXP)sf A15B LT AAAsf New Rating AAA(EXP)sf A15X1 LT AAAsf New Rating AAA(EXP)sf A15X2 LT AAAsf New Rating AAA(EXP)sf A15X3 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A16A LT AAAsf New Rating AAA(EXP)sf A16B LT AAAsf New Rating AAA(EXP)sf A16X1 LT AAAsf New Rating AAA(EXP)sf A16X2 LT AAAsf New Rating AAA(EXP)sf A16X3 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A17A LT AAAsf New Rating AAA(EXP)sf A17B LT AAAsf New Rating AAA(EXP)sf A17X1 LT AAAsf New Rating AAA(EXP)sf A17X2 LT AAAsf New Rating AAA(EXP)sf A17X3 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A18A LT AAAsf New Rating AAA(EXP)sf A18B LT AAAsf New Rating AAA(EXP)sf A18X1 LT AAAsf New Rating AAA(EXP)sf A18X2 LT AAAsf New Rating AAA(EXP)sf A18X3 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A3A LT AAAsf New Rating AAA(EXP)sf A3B LT AAAsf New Rating AAA(EXP)sf A3X1 LT AAAsf New Rating AAA(EXP)sf A3X2 LT AAAsf New Rating AAA(EXP)sf A3X3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A4A LT AAAsf New Rating AAA(EXP)sf A4B LT AAAsf New Rating AAA(EXP)sf A4X1 LT AAAsf New Rating AAA(EXP)sf A4X2 LT AAAsf New Rating AAA(EXP)sf A4X3 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A5A LT AAAsf New Rating AAA(EXP)sf A5B LT AAAsf New Rating AAA(EXP)sf A5X1 LT AAAsf New Rating AAA(EXP)sf A5X2 LT AAAsf New Rating AAA(EXP)sf A5X3 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A6A LT AAAsf New Rating AAA(EXP)sf A6B LT AAAsf New Rating AAA(EXP)sf A6X1 LT AAAsf New Rating AAA(EXP)sf A6X2 LT AAAsf New Rating AAA(EXP)sf A6X3 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7A LT AAAsf New Rating AAA(EXP)sf A7B LT AAAsf New Rating AAA(EXP)sf A7X1 LT AAAsf New Rating AAA(EXP)sf A7X2 LT AAAsf New Rating AAA(EXP)sf A7X3 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A8A LT AAAsf New Rating AAA(EXP)sf A8B LT AAAsf New Rating AAA(EXP)sf A8X1 LT AAAsf New Rating AAA(EXP)sf A8X2 LT AAAsf New Rating AAA(EXP)sf A8X3 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A9A LT AAAsf New Rating AAA(EXP)sf A9B LT AAAsf New Rating AAA(EXP)sf A9X1 LT AAAsf New Rating AAA(EXP)sf A9X2 LT AAAsf New Rating AAA(EXP)sf A9X3 LT AAAsf New Rating AAA(EXP)sf AX1 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 A-sf New Rating A-(EXP)sf B2A LT A-sf New Rating A-(EXP)sf B2X LT A-sf New Rating A-(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT BB-sf New Rating BB-(EXP)sf B5 LT B-sf New Rating B-(EXP)sf B6 LT NRsf New Rating NR(EXP)sf RR LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 428 loans with a scheduled balance of $520.82 million as of the cutoff date. The closing date is April 30, 2026. The pool consists of prime-quality, fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate, based off the SOFR index, and capped at the net WAC. KEY RATING DRIVERS Credit Risk of High-Quality Prime Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess credit risk and expected losses. The collateral consists of 428 loans with a total unpaid balance of $520.82 million, with an average loan size of $1.2 million, and is seasoned for three months based on Fitch's analysis. The pool comprises high-quality prime loans with a weighted average (WA) FICO score of 770, a WA combined loan-to-value ratio (cLTV) of 74.45% (81.83% sustained LTV), and a WA debt-to-income ratio (DTI) of 33.89%. The WA liquid reserves amount to $795.650.26. These strong collateral attributes are reflected in Fitch's loss analysis. Chase 2026-4 has a final probability of default (PD) of 9.72% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 35.71%. The expected loss in the 'AAAsf' rating stress is 3.47%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in Chase 2026-4 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The CE or senior subordination floor of 0.80% mitigates potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 0.55% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the non-retained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent principal and interest (P&I) until it is deemed nonrecoverable. As a result, the LS was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyzes the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating loss projections derived from Fitch's asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 59.59% by balance (58.41% by loan count) in the transaction by balance based on Fitch's review of the due diligence. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm that have a final grade of either "A" or "B." Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. Fitch expects Chase 2026-4 to be a fully de-linked and bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Chase 2026-4, and, therefore, Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.64%, at 'AAA'. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by situsAMC and Opus. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. The third-party review was conducted on 59.59% of the pool by balance based on the loans in the final pool. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and that have a final grade of either "A" or "B." 100% of the loans in the final pool that had due diligence conducted have grades of "A" of "B". As a result, Fitch applied the 5-bp origination PD credit to 59.59% of the pool. This reduced losses on the pool. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 59.59% of the loans. The third-party due diligence was consistent with Fitch's U.S. RMBS Rating Criteria. The sponsor engaged the following TPR firms: situsAMC and Opus (all assessed as "Acceptable") to perform the review of the final population of loans in the pool. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial and final grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has an exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors, such as having liquid reserves or FICO scores above guideline requirements or LTVs or DTIs lower than guideline requirements. In addition, all loans were graded "A" or "B" so any waiver or exception was not material. Therefore, no adjustments were needed to compensate for these occurrences. Fitch utilized data fi les made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was based on the Resi PLS data layout format, and the data provided was considered comprehensive. The data contained in the Resi PLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHASE HOME 2026-5: Fitch Assigns B-(EXP)sf Rating on Cl. B5 Certs ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2026-5 (Chase 2026-5). Entity/Debt Rating ----------- ------ Chase 2026-5 A1 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A10A LT AAA(EXP)sf Expected Rating A10B LT AAA(EXP)sf Expected Rating A10X1 LT AAA(EXP)sf Expected Rating A10X2 LT AAA(EXP)sf Expected Rating A10X3 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A11X LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A13X LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A14X LT AAA(EXP)sf Expected Rating A14X2 LT AAA(EXP)sf Expected Rating A14X3 LT AAA(EXP)sf Expected Rating A14X4 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A15A LT AAA(EXP)sf Expected Rating A15B LT AAA(EXP)sf Expected Rating A15X1 LT AAA(EXP)sf Expected Rating A15X2 LT AAA(EXP)sf Expected Rating A15X3 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A16B LT AAA(EXP)sf Expected Rating A16X1 LT AAA(EXP)sf Expected Rating A16X2 LT AAA(EXP)sf Expected Rating A16X3 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A17A LT AAA(EXP)sf Expected Rating A17B LT AAA(EXP)sf Expected Rating A17X1 LT AAA(EXP)sf Expected Rating A17X2 LT AAA(EXP)sf Expected Rating A17X3 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A18A LT AAA(EXP)sf Expected Rating A18B LT AAA(EXP)sf Expected Rating A18X1 LT AAA(EXP)sf Expected Rating A18X2 LT AAA(EXP)sf Expected Rating A18X3 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A3A LT AAA(EXP)sf Expected Rating A3B LT AAA(EXP)sf Expected Rating A3X1 LT AAA(EXP)sf Expected Rating A3X2 LT AAA(EXP)sf Expected Rating A3X3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4B LT AAA(EXP)sf Expected Rating A4X1 LT AAA(EXP)sf Expected Rating A4X2 LT AAA(EXP)sf Expected Rating A4X3 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A5A LT AAA(EXP)sf Expected Rating A5B LT AAA(EXP)sf Expected Rating A5X1 LT AAA(EXP)sf Expected Rating A5X2 LT AAA(EXP)sf Expected Rating A5X3 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A6A LT AAA(EXP)sf Expected Rating A6B LT AAA(EXP)sf Expected Rating A6X1 LT AAA(EXP)sf Expected Rating A6X2 LT AAA(EXP)sf Expected Rating A6X3 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A7B LT AAA(EXP)sf Expected Rating A7X1 LT AAA(EXP)sf Expected Rating A7X2 LT AAA(EXP)sf Expected Rating A7X3 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A8A LT AAA(EXP)sf Expected Rating A8B LT AAA(EXP)sf Expected Rating A8X1 LT AAA(EXP)sf Expected Rating A8X2 LT AAA(EXP)sf Expected Rating A8X3 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A9A LT AAA(EXP)sf Expected Rating A9B LT AAA(EXP)sf Expected Rating A9X1 LT AAA(EXP)sf Expected Rating A9X2 LT AAA(EXP)sf Expected Rating A9X3 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating B1X LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating B2X LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2026-5 (Chase 2026-5) as indicated above. The certificates are supported by 408 loans with a scheduled balance of $500.57 million as of the cutoff date. The closing date is May 29, 2026 The pool consists of prime-quality, fixed-rate mortgages solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage average prime offer rate loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate, based off the SOFR index and capped at the net WAC. KEY RATING DRIVERS Credit Risk of High-Quality Prime Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess credit risk and expected losses. The collateral consists of 408 loans with a total unpaid balance of $500.57 million and an average size of $1.2 million. The pool is seasoned for three months, based on Fitch's analysis. The pool comprises high-quality prime loans with a weighted average (WA) FICO score of 770, a WA combined loan-to-value ratio (cLTV) of 74.45% (83.05% sustained LTV) and a WA debt-to-income ratio (DTI) of 33.94%. The WA liquid reserves amount to $1,068,182.36. These strong collateral attributes are reflected in Fitch's loss analysis. Chase 2026-5 has a final probability of default (PD) of 9.67% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 36.52%. The expected loss in the 'AAAsf' rating stress is 3.53%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in Chase 2026-5 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The 0.80% CE floor, or senior subordination floor, should mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and concentration in a small loan pool. In addition, the 0.55% junior subordination floor should mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the nonretained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B, then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent principal and interest (P&I) until it is deemed nonrecoverable. As a result, the LS was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyses the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating loss projections derived from Fitch's asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 58.56% of the loans by balance based on Fitch's review of the due diligence. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm that have a final grade of either "A" or "B". Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects Chase 2026-5 to be a fully de-linked and bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Chase 2026-5, and, therefore, Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 11.3%, at 'base case'. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property value reviews. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: Fitch gives a 5bps z-score reduction to the origination PD for each loan that has a due diligence grade of 'A' or 'B'. In this transaction 58.56% of the loans had a due diligence review and all the loans reviewed received a final grade of "A" or "B". As a result, losses were lowered based on the due diligence results. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 58.56% of the pool by balance. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more details. Fitch also used data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the ResiPLS data layout format, and the data are considered to be comprehensive. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CLIP 2026-NQM1: S&P Assigns B (sf) Rating on Class B-2 Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to CLIP 2026-NQM1 Trust's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The mortgage loans primarily have 30-year maturities. There are 27 loans with 40-year maturities and one loan with a 15-year maturity. The pool has 492 residential mortgage loans backed by single-family residential properties (including townhouses), planned-unit developments, condominiums, one cooperative, and two- to four-family residential properties. The loans are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-repay (ATR) compliant, or ATR-exempt. S&P said, "After we assigned our preliminary ratings on April. 21, 2026, the sponsor removed the class A1-FCF and A1-LCF notes and reallocated those balances to the class A-1-A and A-1-B notes and the associated exchange class A-1 notes, keeping the subordination credit enhancement the same. After analyzing the final coupons and the updated structure, our assigned ratings are unchanged from the preliminary ratings. "Additionally, the transaction is structured as a two-step transfer--a true sale from the sponsor to the depositor, followed by a pledge from the depositor to the issuing trust, rather than a double true sale structure previously indicated in the presale. We have reviewed the relevant legal matters in accordance with our criteria and determined that there is no impact on the preliminary ratings, and our assigned ratings are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The 100% due diligence results consistent with represented loan characteristics; -- The transaction's mortgage loan aggregator and originators; and -- S&P said, "Our U.S. economic outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) CLIP 2026-NQM1 Trust Class A-1A, $ 209,169,000: AAA (sf) Class A-1B, $ 30,249,000: AAA (sf) Class A-1, $ 239,418,000: AAA (sf) Class A-2, $12,251,000: AA (sf) Class A-3, $27,829,000: A (sf) Class M-1, $8,923,000: BBB (sf) Class B-1, $6,050,000: BB (sf) Class B-2, $4,839,000: B (sf) Class B-3, $3,177,068: NR Class XS, notional(ii): NR Class A-IO-S, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal; they do not address payment of cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $302,487,068. N/A--Not applicable. NR--Not rated. CLOVER CLO 2018-1: S&P Affirms BB- (sf) Rating on Cl. E-RR Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R3, B-R3, and C-R3 debt from Clover CLO 2018-1 LLC, a CLO managed by Clover Credit Management LLC that was originally issued in January 2019 and previously refinanced in May 2021 and April 2024. At the same time, S&P withdrew its ratings on the previous class A-1-RR, B-1-RR, B-2-RR, and C-RR debt following payment in full on the May 1, 2026, refinancing date. S&P also affirmed its ratings on the class X-R, D-1-RR, and E-RR debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to May 1, 2027. -- The reinvestment period end date is April 20, 2029. -- The legal final maturity date for the replacement debt and the existing subordinated notes is April 20, 2037. -- No additional assets were purchased on the May 1, 2026, refinancing date, and the target initial par amount remains $600,000,000. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- The required minimum overcollateralization and interest coverage ratios were not amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our cash flow analysis suggests that the available credit enhancement for the CLO debt can withstand stresses commensurate with higher ratings 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 imply. "On a standalone basis, our cash flow analysis indicated a lower rating on the class E-RR debt (which was not refinanced). However, we affirmed our 'BB- (sf)' rating on the class E-RR debt after considering factors apart from its cash flow results. The class E-RR debt's margin of cash flow failure is modest and improved significantly due to the refinancing. Moreover, the class E-RR debt's overcollateralization level and the underlying portfolio's credit profile have remained relatively stable since our last review of the transaction. "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 we will take further rating actions as we deem necessary." Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R3, $372.00 million: Three-month CME term SOFR + 1.31% -- Class A-2-R3, $30.00 million: Three-month CME term SOFR + 1.53% -- Class B-R3, $54.00 million: Three-month CME term SOFR + 1.65% -- Class C-R3 (deferrable), $36.00 million: Three-month CME term SOFR + 1.95% Previous debt -- Class A-1-RR, $372.00 million: Three-month CME term SOFR + 1.53% -- Class A-2-RR, $30.00 million: Three-month CME term SOFR + 1.73% -- Class B-1-RR, $44.00 million: Three-month CME term SOFR + 1.95% -- Class B-2-RR, $10.00 million: 5.993% -- Class C-RR (deferrable), $36.00 million: Three-month CME term SOFR + 2.45% Ratings Assigned Clover CLO 2018-1 LLC Class A-1-R3, $372.00 million: AAA (sf) Class B-R3, $54.00 million: AA (sf) Class C-R3 (deferrable), $36.00 million: 'A (sf)' Ratings Withdrawn Clover CLO 2018-1 LLC Class A-1-RR to NR from 'AAA (sf)' Class B-1-RR to NR from 'AA (sf)' Class B-2-RR to NR from 'AA (sf)' Class C-RR to NR from 'A (sf)' Ratings Affirmed Clover CLO 2018-1 LLC Class X-R, $0.833 million: AAA (sf) Class D-1-RR (deferrable), $36.00 million: BBB- (sf) Class E-RR (deferrable), $18.30 million: BB- (sf) Other Debt Clover CLO 2018-1 LLC Class A-2-R3, $30.00 million: NR Class D-2-RR (deferrable), $4.50 million: NR Subordinated notes, $58.96 million: NR NR--Not rated. COMM 2015-CCRE27: Fitch Lowers Rating on Class E Certs to 'CCsf' ---------------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed four classes of COMM 2015-CCRE27 Mortgage Trust commercial mortgage pass-through certificates. The Outlook for class C was revised to Stable from Negative while the Outlooks for classes X-C and D remain Negative. Fitch has also affirmed three classes of COMM 2015-CCRE25 Mortgage Trust, commercial mortgage pass-through certificates. The Outlooks on classes D and X-C were revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- COMM 2015-CCRE27 C 12635QBL3 LT A-sf Affirmed A-sf D 12635QAL4 LT BB-sf Affirmed BB-sf E 12635QAN0 LT CCsf Downgrade CCCsf F 12635QAQ3 LT Csf Affirmed Csf X-B 12635QAA8 LT WDsf Withdrawn AA-sf X-C 12635QAC4 LT BB-sf Affirmed BB-sf COMM 2015-CCRE25 D 12593PBB7 LT BBsf Affirmed BBsf E 12593PAE2 LT CCCsf Affirmed CCCsf X-C 12593PAC6 LT BBsf Affirmed BBsf Fitch has withdrawn the rating for COMM 2015-CCRE27 class X-B, as it is no longer considered relevant to its coverage. Class B has paid off, and the remaining class C does not provide cash flow to the interest-only Class X-B. KEY RATING DRIVERS 'Bsf' Loss Expectations; Concentrated Risk; Adverse Selection: Deal-level 'Bsf' rating case loss are 29.2% in COMM 2015-CCRE27 and 12.1% in COMM 2015-CCRE25. Both pools are concentrated with five loans remaining in COMM 2015-CCRE27 and three loans in COMM 2015-CCRE25. All loans in both transactions are designated as Fitch Loans of Concern (FLOCs) and are currently in special servicing. The affirmations and Outlook revisions to Stable from Negative for class C in COMM 2015-CCRE27 and classes D and X-C in COMM 2015-CCRE25 reflect increased credit enhancement from loan repayments, better-than-expected recoveries on disposed loans, and expectation that these classes are unlikely to incur losses and will repay in the near term. This incorporates improved recovery prospects for the Pelican Inn & Suites loan (17.1% of the pool) in COMM 2015-CCRE25 as it approaches its modified maturity, and the expected disposition of the properties from the Midwest Shopping Center Portfolio (29.4%) in COMM 2015-CCRE27. The downgrade of class E in COMM 2015-CCRE27 is driven by greater certainty of loss on the specially serviced loans, increasing adverse selection, declining credit support from the remaining collateral, and uncertainty around recovery timing. The Negative Outlooks on classes X-C and D in COMM 2015-CCRE27 reflect possible further downgrades if performance weakens beyond current expectations, property values decline further, and/or prolonged workout timelines on specially serviced loans, which can impair recoveries upon disposition. 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 all the remaining loans as they were all unable to pay off at their originally scheduled maturity dates. ` Largest Contributors to Loss Expectations: The largest contributor to loss and the largest increase in loss since prior rating action in COMM 2015-CCRE27 is the Intellicenter loan (28.0%), which is secured by a 203,509-sf suburban office building in Tampa, FL. The property is currently occupied by a single tenant, H. Lee Moffitt Cancer Center, occupying 76.1% of the NRA with a lease expiring in March 2027. Occupancy declined due to the departures of Morgan Stanley (12.4%; March 2024), Open Text, Inc. (10.5%; March 2024), and Four Fingers (0.9%; December 2023) at their respective lease expirations, reducing the occupancy rate to 76.1%. Consequently, this loss of income has led to a decrease in the NOI DSCR to 1.10x as of YE 2024, down from 1.83x as of YTD September 2023. According to the servicer, H. Lee Moffitt Cancer Center is reviewing a 10-year lease and downsizing to 49% of NRA from 76.1%, resulting in a further decline in NOI DSCR. Fitch's 'Bsf' rating case loss expectations of 44.6% (prior to concentration add-ons) reflect a discount to the most recent reported appraisal value equating to a stressed value of $80 psf. The second-largest contributor to loss expectations in COMM 2015-CCRE27 is the Hotel deLuxe loan (25.5%), which is secured by a 130-key full-service hotel in Portland, OR. The loan transferred to special servicing in June 2020 due to pandemic-related performance declines, defaulted at the August 2025 loan maturity and transitioned to REO in March 2026. The hotel continues to underperform with September 2025 occupancy reported at 49%, compared to 81% at YE 2019. The Cash flow has remained insufficient to service the debt since 2020. Fitch's 'Bsf' ratings case loss expectations of 36.1% (prior to concentration add-ons) reflect a discount to a recent appraisal value equating to a stressed value of $132,308 per key. The third-largest contributor to loss and the second-largest increase in loss since prior rating action in COMM 2015-CCRE27 is the Chestnut Street loan, (9.6%), which is secured by a 35,384-sf multifamily property consisting of 30 apartment units and one ground-floor retail unit (3,282 sf) located in Center City, Philadelphia, PA. The loan transferred to special servicing in December 2018 due to a non-monetary default when the borrower failed to comply with cash management and defaulted at the October 2025 loan maturity. Per the special servicer, the borrower indicated a willingness to cooperate and transfer the title, with an expectation that it will take approximately six months. The property continues to underperform, with YE 2025 NOI DSCR reported at 0.39x, compared to 1.51x at Issuance. The March 2026 occupancy for the Multifamily component was 100%. Fitch's 'Bsf' ratings case loss expectations of 36.7% (prior to concentration add-ons) reflect a discount to a recent appraisal value equating to a stressed value of $214,194 per unit. The largest contributor to expected losses in COMM 2015-CCRE25 is the specially serviced Pearlridge Center (71.7% of the pool), secured by a 903,692-sf regional mall in Aiea, HI. The loan transferred to special servicing in May 2025 due to an imminent maturity default. According to the servicer, the sponsor consented to the receivership motion, and the court-appointed receiver took control of the property in December 2025. Performance has continued to decline since issuance, occupancy was 75% as of YE 2025 and at 79% at YE 2024, compared to 94% at issuance. The servicer-reported NOI DSCR as of YE 2025 was 2.22x compared to 2.66x at YE 2024 and 3.65x at issuance. The property's anchor tenant, Macy's, accounts for approximately 19% of NRA and 3% of the base rent, with its lease expiring in 2027. The second-largest tenant, Keiki Kingdom Pearlridge, accounts for 7.3% of NRA and also has a lease expiration in 2027. In addition, the property is a leasehold interest and is subject to seven ground leases, with six expiring in 2051 and one in 2031. Fitch's 'Bsf' rating case loss of 5.3% (prior to concentration add-ons) reflects a discount to the most recent appraisal value and equates to a stressed value of $137 psf. The second-largest contributor to expected losses in COMM 2015-CCRE25 is the Pelican Inn & Suites Pacifica, which is secured by a 48-unit limited-service hotel located in Cambria, CA. The loan transferred to special servicing in June 2025 due to imminent maturity default and default. Per the servicer, a loan modification was executed in March 2026 extending the maturity by 12 months. The property's TTM March 2025 occupancy is 58% compared to 77% at issuance and TTM March 2025 NOI DSCR is 2.0x compared to 2.80x at issuance. Fitch's 'Bsf' rating case loss of 21.1% (prior to concentration add-ons) reflects an 11.5% cap rate, a 20.0% stress to TTM March 2025 reported NOI, as well as a 100% probability of default due to loan's default at maturity. The third-largest contributor to loss expectations and the largest increase in loss since prior rating action in the COMM 2015-CCRE25 is the 942-960 Avenue Saint John loan (11.2%), which is secured by a 30,275-sf multifamily property located in Bronx, NY. The loan transferred to special servicing in July 2025 due to a maturity default. Foreclosure was filed in December 2025, and in February 2026, the borrower filed for Chapter 11 bankruptcy. According to the servicer, uncertainty around the property's rent-stabilization status has hindered the borrower's ability to refinance. The special servicer is evaluating next steps. As of YE 2024, occupancy was 96% and NOI DSCR was 1.92x. Fitch's 'Bsf' rating case loss of 20.5% (prior to concentration add-ons) reflects a discount to the most recently reported appraisal value and equates to a stressed value of $83,158 per unit. Increase to CE: As of the April 2026 distribution date, the pool's aggregate balance for COMM 2015-CCRE27 has been reduced by 88.8% to $104.2 million from $931.6 million at issuance. The aggregate principal balance in COMM 2015-CCRE25 has paid down by 94.1% to $67 million from $1.1 billion at issuance. Each of the transactions have incurred realized losses to date which include $25.6 million in COMM 2015-CCRE27 and$32.4 million in COMM 2015-CCRE25. Cumulative interest shortfalls of $4.1 million are affecting rated classes D, E and F and non-rated classes G and H in COMM 2015-CCRE27 and shortfalls of $8.4 million are affecting non-rated class G in COMM 2015-CCRE25. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'A-sf' rated class in COMM 2015-CCRE27 is not likely due to the class being the most senior outstanding and is expected to payoff from properties that are liquidated from the Midwest Shopping Center Portfolio. However, downgrades may occur if deal-level losses increase significantly. Downgrades to classes rated in the 'BBsf' categories in COMM 2015-CCRE27 and COMM 2015-CCRE25 could occur if pool-level losses increase due to further value deterioration and/or extended workout timelines for specially serviced loans, specifically Midwest Shopping Center Portfolio, Intellicenter, and Hotel deLuxe in COMM 2015-CCRE27 and Pearlridge Center in COMM 2015-CCRE25. Downgrades to the distressed rated classes will occur with higher expected losses from specially serviced loans and/or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the class rated 'A-sf' are not anticipated but may be possible with significantly better-than-expected recoveries on specially serviced loans upon disposition. Upgrades to classes rated in the 'BBsf' category are possible only if the performance of the remaining pool is stable, recoveries are larger than expected, and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected, but possible with better-than-expected recoveries on specially serviced loans. 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. CROWN CITY CLO II: S&P Lowers Class D-R Notes Rating to 'B+ (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its rating on the class D-R debt from Crown City CLO II, a U.S. collateralized loan obligation (CLO) managed by Western Asset Management Company LLC, and removed it from CreditWatch, where we had placed it with negative implications on Feb. 5, 2026. S&P also affirmed its ratings on class A-1A-R, A-1B-R, A-2-R, B-R, and C-R debt from the same transaction. The rating actions follow its review of the transaction's performance using data from the March 11, 2026, trustee report. The downgrade reflects the portfolio's deteriorated credit quality and the decrease in credit support following par losses. The amount of 'CCC' assets held in the portfolio has increased to $22.41 million as of the March 2026 trustee report from $2 million as of the March 2022 trustee report that S&P had used in its last rating actions. The deteriorated credit quality of the portfolio combined with par loss has led to declines in the trustee-reported overcollateralization (O/C) ratios since March 2022: -- The class A O/C ratio declined to 129.94% from 131.69%, -- The class B O/C ratio declined to 120.44% from 122.05%, -- The class C O/C ratio declined to 112.22% from 113.73%, -- The class D O/C ratio declined to 107.34% from 108.79%, On a standalone basis, the cash flow results showed that the class D-R debt was not passing at the 'B+' rating level, but the lowered rating is limited to one notch at this time as S&P feels the current O/C ratios are adequate at that level. However, any increase in defaults or par losses could lead to potential negative rating actions in the future. The affirmations reflect adequate credit support at the current ratings, though any further deterioration in the credit support available to the debt could result in further changes in the ratings. S&P said, "Also, we note that the cash flow results indicated a higher rating for the class A-2-R debt. But we considered that the transaction is still in its reinvestment period, which is not scheduled to end until April 2027, and that it has not yet paid down any principal to the rated debt. Future reinvestment activity could change some of the portfolio characteristics. "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class C-R debt than today's rating actions reflect. However, we affirmed the rating after considering the margin of failure, the credit support commensurate with the current rating levels, the low exposure to 'CCC' and 'CCC-' rated collateral obligations, and that the transaction is still in its reinvestment period, which is not scheduled to end until April 2027. Once amortization begins, paydowns to the senior debt are imminent and may improve credit support available across the transaction. In line with this, we affirmed the rating on the class C-R debt to remain in line with our credit stability framework. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. "We will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary." Rating Lowered And Removed From CreditWatch Crown City CLO II Class D-R to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Crown City CLO II Class A-1A-R: AAA (sf) Class A-1B-R: AAA (sf) Class A-2-R: AA (sf) Class B-R: A (sf) Class C-R: BBB- (sf) CSAIL 2016-C2: DBRS Cuts Rating on Class D Certs to 'Csf' --------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded the credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2015-C2 issued by CSAIL 2015-C2 Commercial Mortgage Trust as follows: -- Class D to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class C at BB (high) (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-E at C (sf) Morningstar DBRS changed the trend on Class C to Stable from Negative. Classes D, E, F, and X-E do not carry a trend given the C (sf) credit ratings. CREDIT RATING RATIONALE/DESCRIPTION As of the April 2026 remittance, only 10 loans remain in the pool with an aggregate principal balance of $146.9 million, representing a collateral reduction of 89.4% since issuance. Of the remaining loans, eight are specially serviced, representing 73.4% of the current pool balance, and the other two loans are monitored on the servicer's watchlist for performance-related concerns. Given the concentration of defaulted loans and distressed properties remaining in the pool, Morningstar DBRS analyzed each of the remaining loans with a conservative liquidation scenario based on value stresses to the most recent appraised values. Individual property value haircuts range from 15.0% to 80.0%. Morningstar DBRS considered various factors when determining the level of stress, including the property type, age, submarket conditions, historical performance, and upcoming tenant rollover risk. The analysis resulted in cumulative implied losses of approximately $74.3 million, fully eroding the balances of C (sf)-rated Classes E and F and the nonrated NR certificate as well as approximately 10.0% of Class D, supporting the credit rating downgrade on Class D. A majority of the BB (high) (sf)-rated Class C balance is expected to be reduced with proceeds from the anticipated disposal of three specially serviced assets by year-end, thereby supporting the trend change to Stable from Negative with this review. Interest shortfalls have increased to $5.0 million as of the April 2026 reporting, with interest being shorted up to the Class E certificate, compared with the total interest shortfall amount of $4.4 million, affecting Classes C through the Class NR certificate, at the previous credit rating action in May 2025. The main contributors of the shortfalls are the Westfield Trumbull loan (Prospectus ID#5; 23.0% of the current pool balance), secured by 462,869 square feet (sf) of a 1.1 million-sf regional mall in Trumbull, Connecticut, and the Bayshore Mall loan (Prospectus ID#17; 13.3% of the current pool balance), secured by 515,912 sf of an enclosed mall in Eureka, California, which is currently cash managed and has been deemed nonrecoverable. As of the April 2026 remittance, the trust has incurred losses of $34.4 million, up from $19.8 million at the last credit rating action in May 2025. The formerly specially serviced loan, Westfield Wheaton (Prospectus ID#1), was liquidated in the December 2025 remittance, resulting in a $9.9 million loss to the trust. Morningstar DBRS had previously projected a more conservative loss estimate of $15.5 million at the last credit rating action. The largest contributor to the projected liquidated losses is the largest loan in the pool, Westfield Trumbull. The loan is pari passu with notes securitized in the CSAIL 2015-C1 Commercial Mortgage Trust and CSAIL 2015-C3 Commercial Mortgage Trust transactions, which are also rated by Morningstar DBRS. The loan transferred to the special servicer in March 2025 because of imminent monetary default; a receiver was appointed in June 2025, and as of the latest reporting, the property was being marketed for sale, with an initial call for offers in February 2026. According to the June 2025 rent roll, occupancy was 78.3%, in line with the previous year's figure, and there is minimal tenant rollover over the next 12 months. Although no new appraisal has been finalized, given the declining occupancy, cash flows, and overall challenges in the retail sector, Morningstar DBRS continues to expect a significant decline in value from the November 2014 appraised value of $262.0 million. As such, Morningstar DBRS applied an 80.0% haircut to the November 2014 appraisal, resulting in a $25.3 million projected loss and a loss severity approaching 75.0%. Other major contributors to Morningstar DBRS' projected losses include the Bayshore Mall loan, which is secured by 515,912 sf of an enclosed regional mall in Eureka, and the California Corporate Center loan (Prospectus ID#11; 14.1% of the current pool), which is secured by two mid-rise office buildings in the financial district of Bakersfield, California. The Bayshore Mall loan transferred to special servicing in November 2024 for maturity default. A receiver was appointed in February 2025, and the loan remains in cash management with the servicer pursuing alternate recovery strategies. As of the July 2025 rent roll, the property was 57.8% occupied, representing a moderate decline from the previous year with minimal tenant rollover risk over the next 12 months. Financial performance remains consistent year over year (YOY); however, the debt service coverage ratio (DSCR) remains below breakeven and well below issuance expectations. An updated appraisal as of January 2026 estimates the property's value at $12.0 million, a substantial decline from the appraisal value at issuance of $69.0 million. In the analysis for this review, Morningstar DBRS applied a 20.0% haircut to the January 2026 appraisal, resulting in an implied loss of $15.3 million and a loss severity of 80.5%. The California Corporate Center loan is currently being monitored on the servicer's watchlist because of performance-related concerns after having had two stints with the special servicer, first from December 2021 to December 2024, and then again from March 2025 to July 2025; however, the borrower ultimately exercised an extension option which extended the loan's maturity date to May 2027. The properties were 81.1% occupied as of the rent roll dated September 2025, with leases totaling 35.8% of net rentable area (NRA) scheduled to roll over within a year of extended maturity, including the largest tenant at the subject, City of Bakersfield (occupies 21.4% of the NRA; lease expires in January 2027), which is likely to pose refinancing challenges for the borrower. Reis reported an average vacancy rate of 10.2% for the non-central business district submarket of Bakersfield, with an average asking rent of $20.72 per square foot (psf), compared with the average rental rate of $16.23 psf at the subject. Though the DSCR has improved YOY, it has remained below breakeven for the past several years, attributable to the fluctuating occupancy rates as well as the below-market rental rates at the properties. Given the suburban location of the office buildings, fluctuating occupancy rates, and high rollover risk, it is likely the value has declined significantly since issuance. As such, Morningstar DBRS applied an 80.0% haircut to the issuance value of $37.5 million, resulting in implied losses totaling $13.6 million or a loss severity of 65.0%. 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. 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. CWMBS REPERFORMING 2005-R2: Moody's Cuts 1A-S Certs Rating to Caa3 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating of Class 1A-S issued by CWMBS Reperforming Loan REMIC Trust Certificates, Series 2005-R2. The collateral backing this deal consists of FHA-VA mortgages. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating action is as follows: Issuer: CWMBS Reperforming Loan REMIC Trust Certificates, Series 2005-R2 Cl. 1A-S, Downgraded to Caa3 (sf); previously on Jun 10, 2022 Downgraded to Caa2 (sf) RATINGS RATIONALE The rating downgrade of Class 1A-S, an interest only bond from CWMBS Reperforming Loan REMIC Trust Certificates, Series 2005-R2, reflects the updated performance of the underlying collateral and bonds. No actions were taken on the other rated classes in this deal because the expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The methodologies used in this rating were "US FHA-VA Residential Mortgage-backed Securitizations: Surveillance" published in April 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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. D2 MULTIFAMILY 2026-FL1: Fitch Rates Three Class Notes 'B-sf' ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to D2 Multifamily Credit 2026-FL1 Issuer, Ltd. notes as follows: - $551,801,000a class A 'AAAsf'; Outlook Stable; - $79,497,000a class A-S 'AAAsf'; Outlook Stable; - $70,144,000a class B 'AA-sf'; Outlook Stable; - $56,115,000a class C 'A-sf'; Outlook Stable; - $35,073,000a class D 'BBBsf'; Outlook Stable; - $16,366,000a class E 'BBB-sf'; Outlook Stable; - $31,565,000be class F 'BB-sf'; Outlook Stable; - $0ce class F-E 'BB-sf'; Outlook Stable; - $0de class F-X 'BB-sf'; Outlook Stable; - $21,044,000be class G 'B-sf'; Outlook Stable; - $0ce class G-E 'B-sf'; Outlook Stable; - $0de class G-X 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $73,651,641ef Preferred Shares. (a) Pursuant to Rule 144a. (b) Exchangeable Notes: The class F and class G notes are exchangeable notes and are exchangeable for proportionate interests in the MASCOT notes, subject to the satisfaction of certain conditions and restrictions, provided that at the time of the exchange such notes are owned by a wholly owned subsidiary of D2. The principal balance of each of the exchangeable notes received in an exchange will be equal to the principal balance of the corresponding MASCOT P&I notes surrendered in such exchange. (c)MASCOT P&I notes. (d) MASCOT interest-only notes. (e) Retained notes. (f) Horizontal risk retention interest, estimated to be 7.875% of the notional amount of the securities. The approximate collateral interest balance as of the cutoff date is $855,256,641 and does not include future funding. The ratings are based on information provided by the issuer as of May 7, 2026. Transaction Summary The notes, totaling $935,256,641, are collateralized by 19 loans secured by 21 commercial properties, with an aggregate principal balance of $855,256,641 as of the cutoff date and cash held to fund the acquisition of additional loans and participation interests of $80,000,000. The pool does not include $5.1 million of expected future funding. The collateral interests will be sold to the trust by D2 Multifamily Credit REIT Seller, LLC. The servicer and special servicer are Berkadia Commercial Mortgage, LLC. The trustee is Wilmington Trust, National Association, and the note administrator is Computershare Trust Company, National Association. The notes will follow a sequential-paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 10 loans in the pool (50.4% by balance). Fitch's resulting aggregate NCF of $26.2 million represents a 4.5% decline from the issuer's aggregate underwritten NCF of $27.5 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool has higher leverage than recent commercial real estate (CRE) collateralized loan obligations (CLO) transactions rated by Fitch. The pool's Fitch loan-to-value of 149.9% is higher than the 2025 and 2024 CRE CLO averages of 140.1% and 140.7%, respectively. The pool's Fitch NCF debt yield of 5.7% is lower than the 2025 and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Multifamily Concentration: Loans secured by multifamily properties (designated by Fitch) represent 100.0% of the pool, which is higher than the 2025 and 2024 CRE CLO averages of 76.7% and 78.4%, respectively. Multifamily properties have a lower average likelihood of default than retail, office or industrial properties, all else being equal. Fitch did not raise the overall losses for this concentration as multifamily properties have diversity of tenants and, correspondingly, diversity of employment. No Amortization: The pool comprises 100.0% of fully interest-only loans, based on fully extended loan terms. This is worse than both the 2025 and 2024 CRE CLO averages of 72.7% and 56.8%, respectively. As a result, the pool is expected to have no principal paydown by the fully extended maturity of the loans. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions in 2025 and 2024 were 0.5% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% Decline to Fitch NCF: 'AAAsf'/'AAsf'/'BBBsf'/'BB+sf'/'BB-sf'/'B-sf'/below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% Increase to Fitch NCF: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS This transaction utilizes note protection tests to provide additional credit enhancement (CE) to investment-grade noteholders, if needed. The note protection tests comprise an interest coverage (IC) test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement (120.00% for IC; 113.29% for par value), interest payments to the retained notes would be diverted to pay down the seniormost notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in Fitch's "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run wherein asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including rating default rate and rating recovery rate, were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from PricewaterhouseCooper LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to each mortgage loan. Fitch considered this information in its analysis and the findings did not have an impact on the analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ELDRIDGE MMPC 2026-2: S&P Assigns Prelim BB-(sf) Rating to E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Eldridge MMPC CLO 2026-2 Ltd./Eldridge MMPC CLO 2026-2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Eldridge Credit Advisers LLC. The preliminary ratings are based on information as of May 1, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Preliminary Ratings Assigned Eldridge MMPC CLO 2026-2 Ltd./Eldridge MMPC CLO 2026-2 LLC Class A-1, $202.00 million: AAA (sf) Class A-1-L loans, $30.00 million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B, $24.00 million: AA (sf) Class C (deferrable), $32.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB (sf) Class D-2 (deferrable), $8.00 million: BBB- (sf) Class E (deferrable), $16.00 million: BB- (sf) Subordinated notes, $44.60 million: NR NR--Not rated. ESTN TRUST 2026-TOWN: S&P Assigns Prelim 'BB+' Rating on HRR Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to ESTN Trust 2026-TOWN's commercial mortgage pass-through certificates, series 2026-TOWN. The certificate issuance is a U.S. CMBS securitization backed by a fixed-rate commercial mortgage whole loan secured by the borrower's fee simple interest in Easton Town Center, a 2.0 million-sq.-ft. (1.6 million collateral sq. ft.), urban open-air, lifestyle retail center (with office component) located in Columbus, Ohio. The preliminary ratings are based on information as of April 30, 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 collateral's historical and projected performance; -- The sponsor's and manager's experience; -- The trustee-provided liquidity; -- The loan's terms; and -- The transaction structure. Preliminary Ratings Assigned ESTN Trust 2026-TOWN(i) Class A, $409,800,000 (ii): AAA (sf) Class X, $515,700,000 (iii): AA- (sf) Class B, $105,900,000 (ii): AA- (sf) Class C, $79,500,000: A- (sf) Class D, $77,300,000: BBB- (sf) Class HRR(iv), $36,000,000: BB+ (sf) (i)Certificate balances are approximate, subject to a variance of plus or minus 5.0%. (ii)The initial balance of the class A and B certificates may decrease prior to final pricing because of a decrease in the principal balance of the trust loan through resizing of the senior notes. The expected range of the initial certificate balance for class A is between $314.4 million and $409.8 million and class B is between $81.3 million and $105.9 million. (iii)Notional balance. The notional amount of the class X certificates will be equal to the certificate balance of the class A and B certificates. ( iv)Eligible horizontal residual interest. FHF ISSUER 2026-1: DBRS Finalizes BBsf Rating on $16MM Cl. E Notes ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings to the classes of Notes issued by FHF Issuer Trust 2026-1 (FHF 2026-1 or the Issuer) as follows: -- $44,670,000 Class A-1 Notes at R-1 (high) (sf) -- $184,405,000 Class A-2 Notes at AAA (sf) -- $23,449,000 Class B Notes at AA (sf) -- $22,925,000 Class C Notes at A (sf) -- $34,650,000 Class D Notes at BBB (sf) -- $16,800,000 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) The transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected expected cumulative net loss (CNL) assumption under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit rating addresses the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The historical static pool data for FHF originations and performance of the FHF auto loan portfolio. (4) The credit quality of the collateral and performance of FHF's auto loan portfolio, as of the Statistical Calculation Date: -- The pool includes 96.57% of receivables originated by franchise dealers. -- The loans in the pool have a non-zero WA credit score of 651 and a WA annual percentage rate of 17.46%. Approximately 29% of the borrowers in the pool do not have a credit score; however, approximately 67% of the pool have an Individual Taxpayer Identification Number (ITIN). -- The WA loan-to-value ratio (LTV) is 110.43%. -- The Morningstar DBRS CNL assumption is 12.05% based on the Statistical Calculation Date pool composition and final pool composition. (5) The capabilities of FHF with regard to originations, underwriting, and servicing. -- Morningstar DBRS has performed an operational review of FHF and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. -- The consistent operational history of FHF and the overall strength of the Company and its management team. -- The FHF senior management team has experience within the auto finance industry, with very limited turnover in the senior and mid-level management team. (6) The backup servicer, Vervent, will receive monthly pool data, confirm that such data is readable and perform certain operations and tests with respect to such data on the monthly servicer reports. (7) All certificates of title of the financed vehicles are held with a third party. (8) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update, published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (9) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with FHF, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit rating on the Notes referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the associated financial obligations for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount, Noteholders' Interest Carryover Amount, and the note balance. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation is the related interest on any unpaid Noteholders' Interest Carryover Amount. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. FORTRESS CREDIT XII: S&P Affirms 'BB-(sf)' Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings affirmed its rating on the class A, B-1, B-2, C, D, and E debt from Fortress Credit BSL XII Ltd., a broadly syndicated U.S. CLO managed by FC BSL XII Management LLC, and removed the rating on the class E debt from CreditWatch, where S&P placed it with negative implications on Feb. 5, 2026. The rating actions follow its review of the transaction's performance using data from the March 2026 and April 2026 trustee reports. Following are the changes in the overcollateralization (O/C) ratios in the April 2026 trustee report compared to those in the April 2022 trustee report when the CLO went effective: -- The class A/B O/C ratio declined to 128.18% from 134.38%. -- The class C O/C ratio declined to 117.89% from 123.60%. -- The class D O/C ratio declined to 109.76% from 115.08%. -- The class E O/C ratio declined to 104.93% from 110.02%. The transaction also has an interest diversion test, which measures the O/C at the class E level. As stated above, the O/C has declined to 104.93% from 110.02% and is now below the test threshold of 105.40%. In the event this test is not satisfied during the reinvestment period, the lesser of 50.00% of remaining interest proceeds and the amount necessary to bring the test back into compliance at the discretion of the manager will be deposited into the principal proceeds collection account to apply toward the purchase of additional collateral or to pay down the senior notes according to the principal payment sequence. The transaction's reinvestment period, and, subsequently, the interest diversion test, ends in October 2026. The decline in the O/C levels is primarily due to par losses. Even with the decline in credit support, all coverage tests are currently passing and are above the minimum requirements. While the O/C levels have declined since the effective date, there has been a small increase in par, leading to a modest improvement in the reported O/C levels, which were failing as of the December 2025 trustee report that was reviewed for the recent CreditWatch placement. The class E O/C test was failing at the time of the CreditWatch placement, but is now above the minimum threshold value. While the cash flow results indicated a lower rating for the class E debt at the time of the CreditWatch placement, the cash flow results are now passing at the current rating level. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the debt could result in future changes in the ratings. S&P said, "Also, we note the cash flow results indicated higher ratings for the class B-1, B-2, and C debt. But we considered that the transaction is still in its reinvestment period, which is not scheduled to end until October 2026, and that it has not yet paid down any principal to the rated debt. Future reinvestment activity could change some of the portfolio characteristics. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Rating Affirmed And Removed From CreditWatch Fortress Credit BSL XII Ltd. Class E to 'BB- (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Fortress Credit BSL XII Ltd. Class A: AAA (sf) Class B-1: AA (sf) Class B-2: AA (sf) Class C: A (sf) Class D: BBB- (sf) FORTRESS CREDIT XXI: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-R, and E-R debt from Fortress Credit BSL XXI Ltd./Fortress Credit BSL XXI LLC, a CLO managed by FC BSL CLO Manager V LLC that was originally issued in May 2024. At the same time, S&P withdrew its ratings on the previous class A, A-L, B, C, D, and E debt following payment in full on the May 4, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 24, 2027. -- No additional assets were purchased on the May 4, 2026, refinancing date, and the target initial par amount remains at $450 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 24, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-R, $281.25 million: Three-month CME term SOFR + 1.38% -- Class B-R, $54.00 million: Three-month CME term SOFR + 1.75% -- Class C-R (deferrable), $27.00 million: Three-month CME term SOFR + 2.25% -- Class D-R (deferrable), $27.00 million: Three-month CME term SOFR + 3.90% -- Class E-R (deferrable), $15.75 million: Three-month CME term SOFR + 7.25% Previous debt -- Class A, $110.00 million: Three-month CME term SOFR + 1.60% -- Class A-L, $171.25 million: Three-month CME term SOFR + 1.60% -- Class B, $54.00 million: Three-month CME term SOFR + 2.25% -- Class C (deferrable), $27.00 million: Three-month CME term SOFR + 2.80% -- Class D (deferrable), $27.00 million: Three-month CME term SOFR + 4.75% -- Class E (deferrable), $15.75 million: Three-month CME term SOFR + 7.83% -- Subordinated notes, $46.87 million: N/A N/A--Not applicable. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Fortress Credit BSL XXI Ltd./Fortress Credit BSL XXI LLC Class A-R, $281.25 million: AAA (sf) Class B-R, $54.00 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-R (deferrable), $27.00 million: BBB- (sf) Class E-R (deferrable), $15.75 million: BB- (sf) Ratings Withdrawn Fortress Credit BSL XXI Ltd./Fortress Credit BSL XXI LLC Class A to NR from 'AAA (sf)' Class A-L 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 Fortress Credit BSL XXI Ltd./Fortress Credit BSL XXI LLC Subordinated notes, $46.87 million: NR NR--Not rated. FORTRESS CREDIT XXIII: S&P Assigns (P) BB- Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1RR, A-1TR, A-2R, B-R, and C-R debt and proposed new class A-1LR loans from Fortress Credit Opportunities XXIII CLO LLC, a CLO managed by FCOD CLO Management LLC, a subsidiary of Fortress Investment Group LLC, that was originally issued in March 2024. The preliminary ratings are based on information as of May 5, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 12, 2026, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1R, A-1T, A-2, B, C, D and E debt and assign ratings to the replacement class A-1RR, A-1TR, A-2R, B-R, and C-R debt and proposed new class A-1LR loans. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1RR, A-1TR, A-2R, B-R, and C-R debt and proposed new class A-1LR loans are expected to be issued at a lower spread over three-month term SOFR than the existing debt. -- The replacement class D-1R and D-2R debt expected to be issued at a lower weighted average spread over three-month term SOFR than the existing class D debt. -- The replacement class E-R debt is expected to be issued at a higher spread over three-month term SOFR than the existing class E debt. -- The non-call period will be extended to May 12, 2028. -- The reinvestment period will be extended to April 15, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to April 15, 2038. -- No additional assets will be purchased on the May 12, 2026, refinancing date, and the target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2026. -- Class A-1RR is a variable-funding note (VFN) that can be drawn on to fund revolving or delayed draw obligations and to purchase new collateral obligations during the reinvestment period. The VFN can also be repaid. If its short-term issuer credit rating on the class A-1RR loan holder falls below 'A-1 (sf)', the loan holder must fully fund its unfunded commitment for the CLO's benefit. S&P modeled the class A-1RR revolving tranche as both fully funded and fully unfunded. -- The preliminary rating on the class A-1RR loans addresses only the full and timely payment of principal and the base interest amount, which includes the stated interest rate on the funded amounts and any commitment fee due on the undrawn commitment. It does not include any capped amounts. -- The preliminary rating on the class A-1RR loans also does not reflect the payment of any increased costs, which are additional payments based on changes in law made to the lender. The costs may not be predictable or quantifiable. Increased cost payments are subordinate to principal and interest distributions on the rated notes in the payment waterfall and, therefore, do not affect scheduled distributions to the rated notes. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Fortress Credit Opportunities XXIII CLO LLC Class A-1RR(i)(ii), $65.0 million: AAA (sf) Class A-1LR(ii), $50.0 million: AAA (sf) Class A-1TR, $113.0 million: AAA (sf) Class A-2R, $20.0 million: AAA (sf) Class B-R, $24.0 million: AA (sf) Class C-R (deferrable), $32.0 million: A (sf) Class D-1R (deferrable), $24.0 million: BBB- (sf) Class D-2R (deferrable), $4.0 million: BBB- (sf) Class E-R (deferrable), $20.0 million: BB- (sf) Other Debt Fortress Credit Opportunities XXIII CLO LLC Subordinated notes, $71.0 million: NR NR--Not rated. GOLUB CAPITAL 72(B): Fitch Assigns 'BB-(EXP)sf' Rating on E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Golub Capital Partners CLO 72(B)-R, Ltd. Entity/Debt Rating ----------- ------ Golub Capital Partners CLO 72(B)-R, Ltd. A-1LR LT NR(EXP)sf Expected Rating A-1R LT NR(EXP)sf Expected Rating A-2R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1R LT BBB-(EXP)sf Expected Rating D-2R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Sub Notes LT NR(EXP)sf Expected Rating Transaction Summary Golub Capital Partners CLO 72(B)-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Opal BSL LLC that originally closed in March 2024. This refinancing (reset) transaction results in tighter coupon spreads for each class of notes, higher subordination for class A-1R and class A-2R and the extension of the stated maturity by two years. Other changes include the sub-tranching of class A into pari passu classes A-1R and A-1LR, as well as class D into sequential classes D-1R and D-2R. Net proceeds from the issuance of the new secured notes will provide financing on approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.86, 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 99.41% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.66% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with 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-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 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, 'Asf' 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. ESG Considerations Fitch does not provide ESG relevance scores for Golub Investment Partners CLO 72(B)-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. GPMT 2021-FL3: DBRS Confirms 'CCCsf' Rating on Class G Notes ------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all classes of notes issued by GPMT 2021-FL3, Ltd. as follows: -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at B (low) (sf) -- Class G at CCC (sf) Morningstar DBRS changed the trends on Classes E and F to Stable from Negative. The trends on the remaining classes are Stable with the exception of Class G, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations and trend changes reflect the increased credit support to the senior notes following successful loan repayments, with a total collateral reduction of 66.0% since issuance. At last review, Morningstar DBRS downgraded its credit ratings on Classes F and G because of increased concerns surrounding select loans in the pool; however, since that time, collateral reduction has almost doubled, a factor behind the trend changes to Stable with this review. While the increased paydown is a positive development, Morningstar DBRS notes the transaction is increasingly exposed to adverse selection as four of the remaining nine loans, representing 42.9% of the current trust balance, are secured by office properties. The borrowers have largely been unable to execute their respective business plans for those loans, with varying levels of increased credit risk since the loans closed. Morningstar DBRS' analysis for this review considered hypothetical liquidation scenarios for each of those underperforming loans, and the results suggested realized losses would be contained to the CCC (sf)-rated Class G which has a balance of $32.0 million. In total, there is $76.3 million across the below investment-grade Classes F and G to absorb loss. As the two lowest-rated classes have credit ratings that indicate a high likelihood of loss, the trend changes to Stable were warranted. While not reported in the April 2026 remittance, the current balance of the unrated first-equity piece reflects the liquidation of the Vista 25 loan and the principal write down of the Times Square West loan. The Vista 25 loan was liquidated in February 2025 for a loss of $18.3 million, and the Times Square West loan incurred a loss of $43.2 million in connection with the property sale, which resulted in a loan assumption and modification in November 2025. 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. As of the April 2026 reporting, the transaction consists of nine loans totaling $279.8 million. Given the highly concentrated nature of the transaction, Morningstar DBRS' analysis considered a recoverability scenario for the remaining loans with this review. In addition to the office concentration noted above, there are three loans backed by mixed-use properties, representing 38.8% of the current trust balance, and one loan backed by a multifamily property, representing 10.5% of the current trust balance. While there are no specially serviced or delinquent loans, six loans, representing 74.0% of the current pool balance, were on the servicer's watchlist as of the April 2026 remittance. The largest loan on the servicer's watchlist, Mid Main (Prospectus ID#2; 22.2% of the current trust balance), is secured by a mixed-use property consisting of 357 multifamily units, 40,352 square feet (sf) of retail, and a 775-space parking garage in downtown Houston. As of December 2025, the multifamily component was 82% occupied, an increase from 74% as of March 2025, while the retail component was 57% occupied, a slight increase from 53% as of March 2025. Since issuance, the loan has been modified seven times to provide the borrower with relief amid disruptions with the business plan. The loan has an upcoming final maturity date of July 2026. The property was reappraised in August 2025 at $83.4 million, down from $100.5 million at closing. Morningstar DBRS applied a 20.0% haircut to the most recent appraisal in the analysis for this review, resulting in a trust debt value deficiency of nearly $8.0 million. The second-largest loan on the servicer's watchlist, 516-530 (Prospectus ID#5; 21.1% of the current trust balance), is secured by a 91,000-sf office building in the West Chelsea submarket of New York. The loan is on the watchlist for cash flow concerns after the debt service coverage ratio fell below 1.00 times. As of December 2025, the property was 63.0% occupied, up from the March 2024 rate of 57.2%. At issuance, the property was appraised for $68.0 million, which results in an implied capitalization rate of 1.40% on the YE2025 net cash flow figure of $0.9 million. In the analysis for this review, Morningstar DBRS applied a 25.0% haircut to the issuance appraisal, resulting in a trust debt value deficiency of $15.5 million. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2018-LUAU: DBRS Confirm 'B(low)' Rating on Cl. F Certs ------------------------------------------------------------------ DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-LUAU issued by GS Mortgage Securities Corporation Trust 2018-LUAU: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-NCP at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) Morningstar DBRS changed the trends on Classes D, E, F, and X-NCP to Stable from Negative. The trends on the remaining classes are Stable. The trend changes reflect the collateral's improved net cash flow (NCF) since the last credit rating action and the $21.5 million principal curtailment applied following a loan modification that extended the loan's maturity to November 2027. Revenue remains above issuance levels as of YE2025, with NCF improving to $13.4 million, slightly below Morningstar DBRS' NCF of $13.6 million. The $215.0 million floating-rate interest-only loan is secured by the fee-simple interest in the 466-key Ritz-Carlton Maui, Kapalua, a luxury resort hotel in Hawaii. The property consists of 300 hotel keys and 166 residential condominium suites, which includes 68 suites that are owned by third parties that rent their units on the Ritz-Carlton hotel website. The hotel owns the remaining 98 condominium units, and that income is included as collateral for the loan. The sponsor is Blackstone Real Estate Partners (Offshore) VIII-NQ L.P., a leading global asset manager, which is one of the largest hotel owners in the world. The loan transferred to special servicing in November 2025 for maturity default. However, a loan modification was executed shortly after to extend the maturity date to November 2027, providing the borrower with more time to secure refinancing. As part of the modification, the borrower paid a $21.5 million principal curtailment, reducing the trust balance to $193.5 million as of the April 2026 remittance, reflecting a 10.0% collateral reduction since issuance. As of YE2025, the collateral reported an occupancy rate, average daily rate, and revenue per available room of 64.3%, $691, and $444, respectively, an improvement from the YE2024 figures. Additionally, NCF increased significantly from YE2024, driven by an increase in departmental income and decrease in operating expenses. The heightened operating expenses at YE2024 were specifically tied to general and administrative expenses, advertising and marketing, and 10-year franchise extension fees, which Morningstar DBRS considered to be nonrecurring. Morningstar DBRS analyzed the collateral under a base-case and stressed scenario to determine the potential for credit rating upgrades given the stable revenues since issuance and the deleveraging stemming from the principal curtailment. In both scenarios, Morningstar DBRS applied a 7.75% capitalization rate. For the base-case scenario, Morningstar DBRS maintained its previous valuation approach, which was based on the Morningstar DBRS NCF of $13.6 million, resulting in a base-case Morningstar DBRS Value of $175.7 million (loan-to-value ratio (LTV) of 122.3%) representing a variance of -37.2% from the issuance appraised value of $280.0 million. In the stressed scenario, which included a 20.0% haircut to the base-case NCF, Morningstar DBRS derived a value of $140.6 million (LTV of 137.6%), a -50.0% variance from the issuance appraised value. The LTV Sizing Benchmarks resulting from the stressed analysis indicated that credit rating upgrades were not warranted. Morningstar DBRS also maintained positive qualitative adjustments totaling 7.0% to reflect cash flow volatility, desirable property quality, and healthy market fundamentals. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2026-PJ6: DBRS Finalizes B(low) Rating on Cl. B-5 Debt ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2026-PJ6 (the Notes) issued by GS Mortgage-Backed Securities Trust 2026-PJ6: -- $282.1 million Class A-1 at AAA (sf) -- $282.1 million Class A-2 at AAA (sf) -- $282.1 million Class A-3 at AAA (sf) -- $211.6 million Class A-4 at AAA (sf) -- $211.6 million Class A-5 at AAA (sf) -- $211.6 million Class A-6 at AAA (sf) -- $169.3 million Class A-7 at AAA (sf) -- $169.3 million Class A-8 at AAA (sf) -- $169.3 million Class A-9 at AAA (sf) -- $42.3 million Class A-10 at AAA (sf) -- $42.3 million Class A-11 at AAA (sf) -- $42.3 million Class A-12 at AAA (sf) -- $112.9 million Class A-13 at AAA (sf) -- $112.9 million Class A-14 at AAA (sf) -- $112.9 million Class A-15 at AAA (sf) -- $70.5 million Class A-16 at AAA (sf) -- $70.5 million Class A-17 at AAA (sf) -- $70.5 million Class A-18 at AAA (sf) -- $39.0 million Class A-19 at AAA (sf) -- $39.0 million Class A-20 at AAA (sf) -- $39.0 million Class A-21 at AAA (sf) -- $321.1 million Class A-22 at AAA (sf) -- $321.1 million Class A-23 at AAA (sf) -- $321.1 million Class A-24 at AAA (sf) -- $70.5 million Class A-27 at AAA (sf) -- $70.5 million Class A-29 at AAA (sf) -- $70.5 million Class A-30 at AAA (sf) -- $70.5 million Class A-31 at AAA (sf) -- $391.7 million Class A-X-1 at AAA (sf) -- $282.1 million Class A-X-2 at AAA (sf) -- $282.1 million Class A-X-3 at AAA (sf) -- $282.1 million Class A-X-4 at AAA (sf) -- $211.6 million Class A-X-5 at AAA (sf) -- $211.6 million Class A-X-6 at AAA (sf) -- $211.6 million Class A-X-7 at AAA (sf) -- $169.3 million Class A-X-8 at AAA (sf) -- $169.3 million Class A-X-9 at AAA (sf) -- $169.3 million Class A-X-10 at AAA (sf) -- $42.3 million Class A-X-11 at AAA (sf) -- $42.3 million Class A-X-12 at AAA (sf) -- $42.3 million Class A-X-13 at AAA (sf) -- $112.9 million Class A-X-14 at AAA (sf) -- $112.9 million Class A-X-15 at AAA (sf) -- $112.9 million Class A-X-16 at AAA (sf) -- $70.5 million Class A-X-17 at AAA (sf) -- $70.5 million Class A-X-18 at AAA (sf) -- $70.5 million Class A-X-19 at AAA (sf) -- $39.0 million Class A-X-20 at AAA (sf) -- $39.0 million Class A-X-21 at AAA (sf) -- $39.0 million Class A-X-22 at AAA (sf) -- $321.1 million Class A-X-23 at AAA (sf) -- $321.1 million Class A-X-24 at AAA (sf) -- $321.1 million Class A-X-25 at AAA (sf) -- $70.5 million Class A-X-27 at AAA (sf) -- $39.0 million Class A-X-28 at AAA (sf) -- $70.5 million Class A-X-29 at AAA (sf) -- $70.5 million Class A-X-30 at AAA (sf) -- $9.5 million Class B-1 at AA (low) (sf) -- $9.5 million Class B-X-1 at AA (low) (sf) -- $9.5 million Class B-1A at AA (low) (sf) -- $5.8 million Class B-2 at A (low) (sf) -- $5.8 million Class B-X-2 at A (low) (sf) -- $5.8 million Class B-2A at A (low) (sf) -- $3.9 million Class B-3 at BBB (low) (sf) -- $2.1 million Class B-4 at BB (low) (sf) -- $829.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-1L, A-2L, and A-3L Loans initially contemplated in the offering documents, as they were not issued at closing. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-29, A-30, and A-31 are super-senior classes. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-27, A-X-28, A-X-29, A-X-30, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-29, A-30, A-31, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-29, A-X-30, B-1, and B-2 are exchangeable classes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-27 and A-X-27 are floating-rate notes. The AAA (sf) credit ratings on the Notes reflect 5.60% of credit enhancement provided by subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.30%, 1.90%, 0.95%, 0.45%, and 0.25% credit enhancement, respectively. The securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2026-PJ6 (the Notes). The Notes are backed by 316 loans with a total principal balance of $414,899,114 as of the Cut-Off Date. The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 15 to 30 years. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 73.6%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (24.8%), PennyMac Loan Services, LLC (14.5%), LoanDepot.com (13.2%) and other originators each comprising less than 10.0% of the pool. The mortgage loans will be serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing (38.7%), United Wholesale Mortgage, LLC (24.8%), PennyMac Loan Services, LLC (23.3%), and loanDepot.com LLC (13.2%). Computershare Trust Company, N.A. will act as Master Servicer, Paying Agent, Loan Agent, Note Registrar, Rule 17g-5 Information Provider and Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. The credit ratings reflect transactional strengths that include the following: -- High-quality credit attributes. -- Well-qualified borrowers. -- Satisfactory third-party due-diligence review. -- Structural enhancements. -- 100% current loans. The transaction also includes the following challenges: -- Representations and warranties framework. -- Servicers' financial capabilities. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amounts, the related Interest Shortfalls, and the related Debt Amounts (for non-interest-only certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2026-PJ6: Fitch Assigns 'B-sf' Rating on Cl. B5 Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by GS Mortgage-Backed Securities Trust 2026-PJ6 (GSMBS 2026-PJ6). Entity/Debt Rating Prior ----------- ------ ----- GSMBS 2026-PJ6 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 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 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 A27 LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf A30 LT AAAsf New Rating AAA(EXP)sf A31 LT AAAsf New Rating AAA(EXP)sf AX1 LT AAAsf New Rating AAA(EXP)sf AX2 LT AAAsf New Rating AAA(EXP)sf AX3 LT AAAsf New Rating AAA(EXP)sf AX4 LT AAAsf New Rating AAA(EXP)sf AX5 LT AAAsf New Rating AAA(EXP)sf AX6 LT AAAsf New Rating AAA(EXP)sf AX7 LT AAAsf New Rating AAA(EXP)sf AX8 LT AAAsf New Rating AAA(EXP)sf AX9 LT AAAsf New Rating AAA(EXP)sf AX10 LT AAAsf New Rating AAA(EXP)sf AX11 LT AAAsf New Rating AAA(EXP)sf AX12 LT AAAsf New Rating AAA(EXP)sf AX13 LT AAAsf New Rating AAA(EXP)sf AX14 LT AAAsf New Rating AAA(EXP)sf AX15 LT AAAsf New Rating AAA(EXP)sf AX16 LT AAAsf New Rating AAA(EXP)sf AX17 LT AAAsf New Rating AAA(EXP)sf AX18 LT AAAsf New Rating AAA(EXP)sf AX19 LT AAAsf New Rating AAA(EXP)sf AX20 LT AAAsf New Rating AAA(EXP)sf AX21 LT AAAsf New Rating AAA(EXP)sf AX22 LT AAAsf New Rating AAA(EXP)sf AX23 LT AAAsf New Rating AAA(EXP)sf AX24 LT AAAsf New Rating AAA(EXP)sf AX25 LT AAAsf New Rating AAA(EXP)sf AX27 LT AAAsf New Rating AAA(EXP)sf AX28 LT AAAsf New Rating AAA(EXP)sf AX29 LT AAAsf New Rating AAA(EXP)sf AX30 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 BX1 LT AA-sf New Rating AA-(EXP)sf B2 LT A-sf New Rating A-(EXP)sf B2A LT A-sf New Rating A-(EXP)sf BX2 LT A-sf New Rating A-(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT BB-sf New Rating BB-(EXP)sf B5 LT B-sf New Rating B-(EXP)sf B6 LT NRsf New Rating NR(EXP)sf A-1L Loans LT WDsf Withdrawn AAA(EXP)sf A-2L Loans LT WDsf Withdrawn AAA(EXP)sf A-3L Loans LT WDsf Withdrawn AAA(EXP)sf Transaction Summary The certificates are supported by 316 prime, fixed-rate loans with a total balance of approximately $414.9 million as of the cutoff date. Fitch is withdrawing its previously assigned 'AAA(EXP)sf' expected ratings on the class A-1L loans, A-2L loans, and A-3L loans. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. GSMBS 2026-PJ6 has a final probability of default (PD) of 10.7% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 34.6%. The expected loss in the 'AAAsf' rating stress is 3.7%. Structural Analysis: The mortgage cash flow and loss allocation in GSMBS 2026-PJ6 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies an approximate 5% PD reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2026-PJ6 to be fully de-linked and serve as a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to GSMBS 2026-PJ6; therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Opus Capital Markets Consultants, LLC, Consolidated Analytics, Inc and Situs AMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applied an approximately 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B." ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE-BACKED 2026-CES2: S&P Assigns 'B' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to GS Mortgage-Backed Securities Trust 2026-CES2's mortgage-backed notes. The note issuance is an RMBS securitization backed by closed-end, second-lien, fixed-rate, amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties. The pool has 3,854 loans comprising qualified mortgage (QM)/non-higher-priced mortgage loan (HPML) (safe harbor), QM/HPML (rebuttable presumption), non-QM/compliant, and not covered/Truth In Lending Act (TILA)-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) GS Mortgage-Backed Securities Trust 2026-CES2 Class A-1A, $231,785,000: AAA (sf) Class A-1B, $23,322,000: AAA (sf) Class A-2, $7,533,000: AA (sf) Class A-3, $8,402,000: A (sf) Class M-1, $8,113,000: BBB (sf) Class B-1, $3,621,000: BB (sf) Class B-2, $3,477,000: B (sf) Class B-3, $3,477,262: NR Class XS, Notional(ii): NR Class SA(iii), $8,714: NR Class R, N/A(iv): 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 equals the non-retained interest percentage (95%) of the loans' aggregate unpaid principal balance (initially $289,730,262). (iii)The initial balance of the class SA notes equals the non-retained interest percentage of the pre-existing servicing advances as of the closing date. (iv)The class R notes will not have a class principal amount and represent the residual interest in the issuing entity. The class R notes are not expected to receive payments. N/A--Not applicable. NR--Not rated. GS MORTGAGE-BACKED 2026-NQM3: S&P Assigns 'B' Rating on B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to GS Mortgage-Backed Securities Trust 2026-NQM3's mortgage-backed certificates. The certificates issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and cooperatives. The pool consists of 690 loans, comprising qualified-mortgage (QM) safe harbor (average prime offer rate [APOR]), non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. S&P said, "After we assigned our preliminary ratings on April 17, 2026, the issuer decided not to issue the class A-1FCF and A-1LCF certificates on the closing date, and these classes were not assigned final ratings. As a result, the class A-1A and A-1B certificate amounts were increased to $229.099 million and $33.617 million, respectively, from $185.497 million and $27.219 million. As a result, the corresponding class A-1 certificate amount was increased to $262.716 million from $212.716 million. The credit enhancement on the transaction did not change. After analyzing the final coupons and the updated structure, we assigned ratings to the remaining classes that are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; and -- S&P's economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially. Ratings Assigned GS Mortgage-Backed Securities Trust 2026-NQM3 Class A-1A, $229,099,000: AAA (sf) Class A-1B, $33,617,000: AAA (sf) Class A-1, $262,716,000: AAA (sf) Class A-2, $14,455,000: AA (sf) Class A-3, $30,255,000: A (sf) Class M-1, $10,758,000: BBB (sf) Class B-1, $7,563,000: BB (sf) Class B-2, $6,388,000: B (sf) Class B-3, $4,034,168: NR Class X, Notional(i): NR Class SA, (ii): NR Class PT, $336,169,168: NR Class R(iii), Not applicable: NR (i)The notional amount for the class X certificates equals the non-retained interest percentage (95%) of the loans' aggregate unpaid principal balance, initially $336,169,168. (ii)The balance of class SA equals the non-retained interest percentage of the pre-existing servicing advances as of the closing date, initially $82,212.00. (iii)The class R certificates will not have a principal amount and are the class of certificates representing residual interest in the issuing entity. NR--Not rated. HERTZ VEHICLE III: Moody's Assigns Ba3 Rating to 11 Tranches ------------------------------------------------------------ Moody's Ratings has assigned ratings to the Class E notes, under the existing Series 2022-5, 2023-2, 2023-4, 2024-1, 2024-2, 2025-1, 2025-2, 2025-3, 2025-4, 2025-5, and 2025-6 that Hertz Vehicle Financing III LLC (HVF III, or the issuer) has issued, which is Hertz's rental car ABS master trust facility. HVF III is a Delaware limited liability company, a bankruptcy-remote special purpose entity, and a direct subsidiary of The Hertz Corporation (Hertz, B2 negative). The collateral backing the notes consists of a fleet of vehicles and a single operating lease of the fleet to Hertz for use in its rental car business, as well as certain manufacturer and incentive rebate receivables owed to the issuer by the original equipment manufacturers (OEMs). A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. Moody's also announced that the issuance of the Class E notes, in and of itself and at this time, will not result in a reduction, withdrawal, or placement under review for downgrade of any of the ratings currently assigned to the outstanding series of notes issued by the issuer. The complete rating actions are as follows: Issuer: Hertz Vehicle Financing III LLC Series 2022-5 Rental Car Asset Backed Notes, Class E, Assigned Ba3 (sf) Series 2023-2 Rental Car Asset Backed Notes, Class E, Assigned Ba3 (sf) Series 2023-4 Rental Car Asset Backed Notes, Class E, Assigned Ba3 (sf) Series 2024-1 Rental Car Asset Backed Notes, Class E, Assigned Ba3 (sf) Series 2024-2 Rental Car Asset Backed Notes, Class E, Assigned Ba3 (sf) Series 2025-1 Rental Car Asset Backed Notes, Class E, Assigned Ba3 (sf) Series 2025-2 Rental Car Asset Backed Notes, Class E, Assigned Ba3 (sf) Series 2025-3 Rental Car Asset Backed Notes, Class E, Assigned Ba3 (sf) Series 2025-4 Rental Car Asset Backed Notes, Class E, Assigned Ba3 (sf) Series 2025-5 Rental Car Asset Backed Notes, Class E, Assigned Ba3 (sf) Series 2025-6 Rental Car Asset Backed Notes, Class E, Assigned Ba3 (sf) RATINGS RATIONALE The ratings of the notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which The Hertz Corporation (Hertz) uses to operate its rental car business, (2) the credit quality of Hertz, which has a corporate family rating of B2 with a negative outlook, as the primary lessee and guarantor under the single operating lease, (3) the experience and expertise of Hertz as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available credit enhancement, which consists of over-collateralization, (6) the required minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure, including standard bankruptcy remoteness and security interest provisions. In addition, the assumptions Moody's applied in the analysis of this transaction are the same as those applied in the analysis of the series 2025-5 and series 2025-6 transactions. Some of the key assumptions Moody's applied in its quantitative analysis of these transactions are provided in the Hertz Vehicle Financing III LLC, Class E new issue report. Detailed application of the assumptions is provided in the methodology. The required credit enhancement for the Class E will be a blended rate, which is a function of Moody's ratings on the vehicle manufacturers and defined asset categories. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. The class E notes' blended advance rate is equivalent to the lesser of (1) the applicable series' blended advance rate plus 4.2% and (2) 91.00%, regardless of fleet composition. The minimum liquidity enhancement amount for the class E notes is sized to cover six months of interest plus 50 basis points. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the class E notes if (1) the credit quality of the lessee improves, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to improve, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers, or (3) the residual values of the non-program vehicles collateralizing the transaction were to increase materially relative to Moody's expectations. Down Moody's could downgrade the ratings of the class E notes if (1) the credit quality of the lessee deteriorates or a corporate liquidation of the lessee were to occur and introduce operational complexity in the liquidation of the fleet or other risks, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers, or (3) reduced demand for used vehicles results in lower sales volumes and sharp declines in used vehicle prices above Moody's assumed depreciation. HILDENE TRUPS 7: Moody's Assigns (P)Ba2 Rating to $13.5MM D Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to six classes of notes to be issued by Hildene TruPS Securitization 7, Ltd. (the Issuer or Hildene 7): US$183,250,000 Class A-1 Senior Secured Floating Rate Notes due 2038, Assigned (P)Aaa (sf) US$38,000,000 Class A-2N Senior Secured Floating Rate Notes due 2038, Assigned (P)Aa1 (sf) US$20,000,000 Class A-2F Senior Secured Fixed Rate Notes due 2038, Assigned (P)Aa1 (sf) US$28,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2038, Assigned (P)A1 (sf) US$20,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2038, Assigned (P)Baa2 (sf) US$13,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2038, Assigned (P)Ba2 (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 CDO's portfolio and structure. Hildene 7 is a static cash flow TruPS CDO. The issued notes will be collateralized primarily by (1) trust preferred securities ("TruPS") issued by US community banks and their holding companies and (2) TruPS and surplus notes issued by insurance companies and their holding companies. The portfolio is expected to be 100% ramped as of the closing date. Hildene Structured Advisors, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, deferring securities or credit risk securities. The transaction prohibits any asset purchases or substitutions at any time. In addition to the Rated Notes, the Issuer will issue 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. The portfolio of this CDO consists of (1) TruPS issued by 55 US community banks and (2) TruPS and surplus notes issued by 3 insurance companies, the majority of which Moody's do not rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc™, an econometric model developed by Moody's Analytics. Moody's evaluations of the credit risk of the bank obligors in the pool relies on FDIC Q4-2025 financial data. Moody's assesses the default probability of insurance company obligors that do not have public ratings through credit assessments provided by its insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $336,450,000 Weighted Average Rating Factor (WARF): 591 Weighted Average Spread (WAS) Float only : 2.39% Weighted Average Recovery Rate (WARR): 10.0% Weighted Average Life (WAL): 8.2 years In addition to the quantitative factors that Moody's explicitly model, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM™, which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. HILTON USA 2016-HHV: DBRS Confirms Bsf Rating on Class F Certs -------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-HHV issued by Hilton USA Trust 2016-HHV as follows: -- Class A at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (low) (sf) -- Class B at A (high) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BB (high) (sf) -- Class F at B (sf) All trends are Stable. The credit rating confirmations reflect Morningstar DBRS' outlook for the performance of the Hilton Hawaiian Village, the underlying collateral hotel, which has reported renovation-driven performance declines that are expected to be recovered when the work is completed. The sponsor has historically shown a strong commitment to the asset, recently reflected by the significant capital investment in the recently completed renovations and planned redevelopment initiatives ahead of the November 2026 maturity, as further discussed below. The transaction is secured by the borrower's fee-simple interest in the Hilton Hawaiian Village, a trophy-quality, full-service luxury beachfront resort in Waikiki, Hawaii. The resort has extensive amenity offerings, including the longest stretch of beach and the largest amount of meeting space among its competitors, as well as three restaurants and five outdoor pools. The underlying loan represents a $750.0 million pari passu participation interest in a $1.3 billion whole loan sponsored by Park Intermediate Holdings LLC, a wholly owned subsidiary of Park Hotels & Resorts, Inc., one of the largest publicly traded lodging real estate investment trusts in the U.S. In December 2024, the sponsor announced a renovation program with an estimated budget of approximately $83.0 million, focused on upgrading existing guest rooms and increasing room count. According to several news articles, renovations were expected to be complete by the end of 2025. In October 2025, the City of Honolulu approved the sponsor's plans to construct a new 36-story tower that is projected to add 515 additional guest rooms, with construction anticipated to begin as early as mid-2026 and completion estimated by 2029. According to the year-end (YE) 2025 financial reporting, the collateral reported a net cash flow (NCF) of $127.5 million (resulting in a debt service coverage ratio (DSCR) of 2.35 times (x)). While this figure reflects a decline from previous reporting periods, with NCF peaking at $170.9 million at YE2023 following a period of strong post-pandemic growth, it is relatively in line with the Morningstar DBRS NCF of $134.0 million derived in 2020 when credit ratings were assigned. Per the December 2025 STR, Inc. report, the collateral's occupancy rate, average daily rate, and revenue per available room (RevPAR) for the trailing 12-month period were 80.9%, $294, and $238, respectively, below the YE2024 figures of 90.8%, $302, and $275, respectively. As a result of the renovations during 2025, the property's RevPAR penetration rate was below 100% for the first time since the onset of the pandemic. Despite the recent decline in performance as ongoing renovations were completed, Morningstar DBRS expects the property will quickly stabilize given the historical performance and positive impacts to demand with the property upgrades. Given these factors, the refinance prospects are viewed as strong. At the previous credit rating action, Morningstar DBRS analyzed both a base case and stressed scenario, with an 8.0% capitalization rate applied to the Morningstar DBRS NCF in both scenarios. As part of the stressed scenario, which was based on a 20% haircut to the YE2024 NCF, a Morningstar DBRS Value of $1.5 billion was derived, resulting in a loan-to-value ratio of 88.0%. While NCF has fallen since the YE2024 reporting, Morningstar DBRS views these trends as temporary and within its expectations, supporting the approach. Morningstar DBRS maintained qualitative adjustments of 4.5% to the LTV Sizing Benchmarks to reflect the property's prime location within a strong market, stable performance, and high property quality. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. 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 and X-B are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. HOMES 2026-NQM3: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to HOMES 2026-NQM3 Trust's mortgage-backed certificates. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans (some with interest-only periods) with a weighted average seasoning of five months. The loans are secured by single-family residences, planned-unit developments, townhouses, condominiums, two- to four-unit homes, manufactured housing and condotel properties to both prime and nonprime borrowers. The pool consists of 815 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate), higher-priced QM, non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt loans. The preliminary ratings are based on information as of May 5, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings(i) Assigned HOMES 2026-NQM3 Trust Class A-1FCF, $106,260,000(ii): AAA (sf) Class A-1LCF, $35,420,000(ii): AAA (sf) Class A-1, $141,680,000(ii): AAA (sf) Class A-1A, $122,805,000: AAA (sf) Class A-1B, $18,795,000: AAA (sf) Class A-2, $22,745,000: AA (sf) Class A-3, $33,272,000: A (sf) Class M-1, $13,534,000: BBB (sf) Class B-1, $9,775,000: BB (sf) Class B-2, $8,271,000: B (sf) Class B-3, $5,074,880: Not rated Class A-IO-S, notional(iii): Not rated Class X, notional(iii)(iv): Not rated Class R, not applicable: Not rated (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The class A-1FCF and A-1LCF certificate holders can exchange the initial exchangeable certificates for the class A-1 exchangeable certificates. The exchangeable certificates will receive a proportionate share of the P&I payments otherwise allocable to the classes of initial exchangeable certificates. (iii)The notional amount equals the loans' aggregate stated principal balance. (iv)This class will receive certain excess amounts including prepayment premium and default interest and will not be entitled to payments of principal. JP MORGAN 2016-JP2: Fitch Lowers Rating on Class E Certs to 'Csf' ----------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed three classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 commercial mortgage pass-through certificates (JPMCC 2016-JP2). Fitch revised the Outlooks to classes X-A, A-S, B, and X-B from Negative to Stable. The Outlook for class C remains Negative. In addition, Fitch has affirmed all classes of JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP7 Commercial Mortgage Pass-Through Certificates (JPMCC 2017-JP7). Fitch revised the Outlooks for classes X-A, A-S. and B from Negative to Stable. The Outlooks remain Negative for classes X-B, C, D, and E-RR. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2016-JP2 A-4 46590MAR1 LT AAAsf Affirmed AAAsf A-S 46590MAV2 LT AA-sf Affirmed AA-sf B 46590MAW0 LT BBB-sf Downgrade A-sf C 46590MAX8 LT B-sf Downgrade BB-sf D 46590MAC4 LT CCsf Downgrade CCCsf E 46590MAE0 LT Csf Downgrade CCsf X-A 46590MAT7 LT AA-sf Affirmed AA-sf X-B 46590MAU4 LT BBB-sf Downgrade A-sf X-C 46590MAA8 LT CCsf Downgrade CCCsf JPMCC 2017-JP7 A-4 465968AD7 LT AAAsf Affirmed AAAsf A-5 465968AE5 LT AAAsf Affirmed AAAsf A-S 465968AJ4 LT AAAsf Affirmed AAAsf A-SB 465968AF2 LT AAAsf Affirmed AAAsf B 465968AK1 LT AA-sf Affirmed AA-sf C 465968AL9 LT BBB-sf Affirmed BBB-sf D 465968AM7 LT BB-sf Affirmed B-sf E-RR 465968AP0 LT B-sf Affirmed B-sf F-RR 465968AR6 LT CCCsf Affirmed CCCsf G-RR 465968AT2 LT Csf Affirmed Csf X-A 465968AG0 LT AAAsf Affirmed AAAsf X-B 465968AH8 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and Increased 'B' Loss Expectations: Deal-level 'Bsf' rating case losses in the JPMCC 2016-JP2 transaction have risen to 28.5% (12.6% based on the original balance and including realized losses) from 13.3% (10.7%) at the prior rating action. In the JPMCC 2017-JP7 transaction, the deal-level 'Bsf' rating case loss is 11.1% (8.4% based on the original balance and including realized losses) which compares with 10.5% (8.0%) from the prior rating action. Fitch Loans of Concern (FLOCs) comprise nine loans (43.4% of the pool) in JPMCC 2016-JP2, including five loans in special servicing (28.5%) and 11 loans (45.1%) in JPMCC 2017-JP7, including three loans in special servicing (21.4%). Due to the near-term loan maturities in the transactions, increasing pool concentration and adverse selection concerns, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that are anticipated to default at maturity due to performance declines and/or rollover concerns. JPMCC 2016-JP2: The downgrades in JPMCC 2016-JP2 reflect higher pool loss expectations since Fitch's prior rating action, primarily driven by updated lower appraisal values and performance deterioration for the 100 East Pratt (11.2% of pool), Marriott Atlanta Buckhead (12.0%), Hagerstown Premium Outlets (6.7%), and 417-425 North Eight Street (2.0%) loans. The Negative Outlooks in JPMCC 2016-JP2 reflect the potential for downgrade with further degradation in the value of FLOCs and specially serviced loans or with prolonged workouts for specially serviced loans, including loans failing to refinance at maturity. JPMCC 2017-JP7: The affirmations in JPMCC 2017-JP7 reflect pool loss expectations in line with the prior rating action. The Negative Outlooks reflect the notably high office concentration of 48.1% and potential for downgrades if performance does not stabilize for the office FLOCs, including First Stamford Place (10.3%), 211 Main Street (7.4%), Apex Fort Washington (2.6%) and Columbus Office Portfolio I (2.3%). Largest Increases and Contributors to Loss: The largest increase in loss expectations since the last rating action and largest overall contributor to loss in JPMCC 2016-JP2 is the 100 East Pratt (11.2%) loan, secured by a 662,708 sf office property located in downtown Baltimore, MD. The loan transferred to special servicing in May 2025 for imminent monetary default. The special servicer is proceeding with foreclosure and the appointment of a receiver. Occupancy has declined substantially following the departure of the largest tenant, T. Rowe Price (67% of NRA), which exercised an early termination option and vacated in 2025. As a result of the tenant departure, overall occupancy has declined to 20.0% as of YE 2025, down from 90.0% at YE 2024 with NOI decreasing 61% in the same period. As of YE 2025, NOI DSCR was 1.61x as compared to 2.25x as of YE 2024. Total reserves collected equate to $43.0 million ($65 psf) as a result of a cash trap and termination fees. The largest remaining tenant, PricewaterhouseCoopers LLP (5.53% of NRA), has a lease expiration in July 2026, creating additional near-term rollover risk. According to CoStar as of 1Q26, the submarket vacancy rate was 21.5% with average market rents of $23.34 psf compared to average in-place rents of $36.47, indicating above-market rents on the remaining tenancy and further re-leasing risk. Fitch's 'Bsf' rating case loss of 65.2% (prior to concentration add-ons) reflects the most recent appraisal value with a 20% partial credit applied for in-place reserves. While reserves may be deployed to support leasing and carry costs, they are not expected to fully mitigate losses given the substantial vacancy, below-stabilized cash flow, and significant capital likely required to re-tenant the property. The second-largest increase in loss expectations since the prior rating action and the fourth-largest contributor to overall loss in JPMCC 2016-JP2 is the 700 17th Street (3.5%) loan, secured by a 182,505-sf office property in downtown Denver, CO. The loan transferred to special servicing in March 2024 for monetary default and a receiver has been appointed. Performance has weakened materially, with occupancy declining to 48% as of September 2025, down from 56% at YE 2024, contributing to sustained cash flow deterioration. As of the TTM September 2025 reporting, NOI was negative and insufficient to cover debt service. The rent roll is granular, with no major tenant concentration, though near-term rollover remains elevated with 33% of leases expiring in 2026. In-place vacancy of 48.5% remains significantly above the Downtown Denver CBD submarket vacancy of 32.4% per CoStar as of 1Q26, while in-place rents of $28.14 psf are modestly below average market rents of $30.11 psf. Fitch's 'Bsf' rating case loss of 103.6% (prior to concentration add-ons) reflects the most recent appraisal value and incorporates the increased exposure due to outstanding advances and expenses. The third-largest increase in loss expectations since the prior rating action and the second-largest contributor to overall losses in JPMCC 2016-JP2 is the Marriott Atlanta Buckhead (11.95%) loan, secured by a 349-key full-service hotel located approximately 8.5 miles north of Downtown Atlanta in the Buckhead district. The loan initially transferred to the special servicer in January 2021, returned to the master servicer in October 2022, and transferred again to the special servicer in September 2024. A new franchise agreement was executed with Wyndham Hotels following termination of the Marriott flag in December 2024, and a receiver was appointed contemporaneously. The servicer is proceeding with foreclosure. Performance of the hotel has deteriorated with TTM June 2025 NOI reported as negative and insufficient to cover debt service. As of YE 2024, NOI DSCR was 1.07x. Reported occupancy declined sharply to 28% for the TTM period ending June 2025 from 55% at YE 2024. According to the January 2026 STR report, the subject reported TTM occupancy, ADR and RevPAR of 33.7%, $114.55 and $38.64, compared with 53.3%, $146.78 and $78.19, respectively, for YE 2025. The respective penetration rates with respect to occupancy, ADR, and RevPAR as of the TTM September 2023 STR report were 60.8%, 72.2% and 43.9%. Fitch's 'Bsf' rating case loss of 65.5% reflects a 15% stress to the October 2025 appraisal value, equating to a stressed value of approximately $70,000 per key, which is generally in line with recent sales comparables ranging from $76,000 to $105,000 per key. The elevated loss expectation reflects the materially weakened operating performance, including negative recent cash flow and performance that lags the competition. In the JPMCC 2017-JP7 transaction, the Springhill Suites Newark Airport (2.7%) represents the largest increase in expected losses since Fitch's prior rating action and is the second-largest driver of overall loss. The property is a 200-key extended-stay hotel in Newark, NJ. The asset transferred to special servicing in June 2020 for imminent monetary default and has been REO since March 2023. Operating performance has improved from trough performance, but cash flow remains 50% below the originator's expectations from issuance. As of TTM February 2026, the property reported occupancy of 83.3%, ADR of $145, and RevPAR of $120, compared with issuance metrics of 92%, $118, and $108, respectively, reported as of TTM March 2017. Fitch's 'Bsf' rating case loss of 96.0% reflects stress to a recent January 2026 appraisal value. The elevated loss expectation reflects the asset's prolonged specially serviced and REO status, and continued uncertainty around disposition proceeds, particularly given the limited buyer interest observed during prior marketing efforts. The second-largest increase in loss expectations since the prior rating action and the overall largest contributor to loss in JPMCC 2017-JP7 is First Stamford Place (10.3%), which is a three-building, 810,471 sf office property located in Stamford, CT. The asset transferred to special servicing in December 2023 for imminent monetary default and became REO in February 2025. Leasing efforts and parking garage repairs are ongoing, and the special servicer anticipates a disposition in early 2027. Occupancy remains below issuance levels and cash flow has weakened substantially despite some leasing progress. Per servicer commentary, the property was 75.8% leased as of April 2026, compared with 77.2% at YE 2025, 78.9% at YE 2024, and 74.6% at YE 2023, and below issuance occupancy of 91%. As of YE 2024, NOI was 47% below the originator's expectations from issuance. The property continues to face leasing challenges, with in-place vacancy of 26.0% exceeding Stamford market vacancy of 14.3% per CoStar as of 1Q26. In-place rents of $49.12 psf are also above the market average of $34.03 psf, suggesting potential mark-to-market pressure on rollover. Fitch's 'Bsf' rating case loss of 42.5% reflects a 25% stress to the December 2025 appraisal value equating to a recovery of $159 psf. The elevated loss expectation reflects the REO status, sustained cash flow erosion, above-market in-place rents, and continued leasing risk in a challenged office environment. The third-largest contributor to loss in JPMCC 2017-JP7 is the Starwood Capital Hotel Portfolio loan (8.1%). The loan is secured by a portfolio of 44 hotels totaling 4,510 keys located across 21 states, down from 65 hotels totaling 6,367 keys at issuance. The loan transferred to special servicing in February 2025 for imminent default, and a modification agreement was executed in September 2025 to facilitate the expedited sale of underperforming assets and revise certain release provisions, cash management terms, and other provisions to support operations at the remaining portfolio. The loan is paid through March 2026. As of February 2026, 21 collateral assets had been released for cumulative paydown of $122.56 million, representing a 21.2% paydown after fees. Portfolio performance continues to underperform issuance expectations with YE 2024 NOI 50% below the originator's underwritten NOI from issuance. YE 2024 NOI DSCR declined to 1.36x from 1.72x at YE 2023 and remains below pre-pandemic performance of 2.73x as of YE 2019. Fitch's 'Bsf' rating case loss of 15.5% (prior to concentration add-ons) reflects a 10.0% stress to the April 2025 appraisal value, adjusted for released properties. The lower loss expectation relative to the prior review reflects meaningful collateral reduction and paydown from asset sales. However, loss expectations remain elevated relative to issuance due to the specially serviced status, full-term interest-only structure, maturity default risk, and portfolio cash flow that remains substantially below issuance levels. Changes in Credit Enhancement (CE): As of the April 2026 distribution date, the aggregate pool balances of the JPMCC 2016-JP2 and JPMCC 2017-JP7 transactions have been paid down by 56% and 27%, respectively, since issuance. The JPMCC 2016-JP2 transaction has no defeased loans and JPMCC 2017-JP7 has 10 (18.6%) fully defeased loans. Cumulative interest shortfalls of $6.5 million are affecting classes C, D, E, F and the non-rated class NR in JPMCC 2016-JP2, and $2.4 million are affecting the non-rated class NR-RR in JPMCC 2017-JP7. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades of the senior 'AAAsf' rated classes are not likely due to their high CE, senior position in the capital structure and expected continued increasing CE from amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades of classes in the 'AAsf' and 'Asf' rated categories may occur should performance of the FLOCs deteriorate further or if more loans than expected default at or prior to maturity. Notable FLOCs include Marriott Atlanta Buckhead, 100 East Pratt, 650 Poydras, Hagerstown Premium Outlets, 700 17th Street, Four Penn Center, RC Shoppes, 417-425 North Eighth Street, and 2000 Glades Rd in JPMCC 2016-JP2, and Starwood Capital Group Hotel Portfolio, First Stamford Place, 211 Main Street, Crystal Corporate Center, Springhill Suites Newark Airport, Apex Fort Washington, and Columbus Office Portfolio I in JPMCC 2017-JP7. Downgrades of classes in the 'BBBsf', 'BBsf' and 'Bsf' rated categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades of the distressed ratings would occur if additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes in the 'AAsf' and 'Asf' rated categories may occur if CE significantly increases from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the classes rated in the 'BBBsf' rated category would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to classes in the 'BBsf' and 'Bsf' rated categories are not likely until the later years of the 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 distressed ratings are not likely, but are 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. JP MORGAN 2026-HE1: Fitch Assigns 'B+sf' Final Rating on B-3 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to J.P. Morgan Mortgage Trust 2026-HE1 (JPMMT 2026-HE1). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2026-HE1 A-1 LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf M-1 LT AA-sf New Rating AA-(EXP)sf M-2 LT Asf New Rating A(EXP)sf M-3 LT BBBsf New Rating BBB(EXP)sf B-1 LT BB+sf New Rating BB+(EXP)sf B-2 LT BBsf New Rating BB(EXP)sf B-3 LT B+sf New Rating B+(EXP)sf B4 LT NRsf New Rating NR(EXP)sf BX LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rates the residential mortgage-backed certificates backed by first and second lien, prime, open and temporarily frozen home equity line of credit (HELOC) on residential properties to be issued by JPMMT 2026-HE1, as indicated above. This is the tenth transaction to be rated by Fitch that includes prime-quality first and second lien HELOCs with open draws off the JPMMT shelf and the tenth second lien HELOC transaction off the JPMMT shelf. The loans associated with the draws allocated to the participation certificates are 6,258 prime-quality, performing, adjustable-rate open-ended HELOCs that have up to 10-year interest-only (IO) periods and maturities of up to 30 years. The open-ended HELOCs are secured by mainly second liens on primarily one- to four-family residential properties (including planned unit developments), condominiums, townhouses, and a site condo totaling $640.49 million ($799.26 million based on the amount the borrower had drawn to date). As of the cutoff date, 100% of the HELOC lines are open or on a temporary freeze and may be opened in the future. The weighted average (WA) utilization of the HELOCs is 91.01%, per the transaction documents. Per Fitch's analysis, the main originators in the transaction are United Wholesale Mortgage (60.34%) and Better Mortgage Corporation (25.10%). All other originators make up less than 15% of the pool. The loans are serviced by Newrez LLC dba Shellpoint Mortgage Servicing (Shellpoint; 93.85%) and loanDepot.com LLC (6.07%) . Distributions of principal are based on a modified sequential structure, subject to the transaction's performance triggers. Interest payments are made sequentially to all classes, except B-4, which is a principal-only class, while losses are allocated reverse sequentially once excess spread is depleted. Draws will be funded by JPMorgan Chase Bank, National Association (JPMCB). This transaction will not use a variable funding note (VFN) structure; rather, it will use participation certificates. JPMMT 2026-HE1 is only entitled to cash flows based on the amount drawn as of the cutoff date. The remaining available draws will be allocated to the JPMorgan participation certificate (JPM PC) if they are drawn in the future. Fitch's analysis is based on the current total amount drawn by the borrower to date on the HELOC and not just the balance of the loans in this transaction. As a result, all Fitch-determined percentages are based on the maximum HELOC draw amount. The servicers, Shellpoint and loanDepot.com, will not be advancing delinquent (DQ) monthly payments of principal and interest (P&I). The collateral comprises 100% adjustable-rate loans. These loans are adjusted based on the prime rate. The class A-1, A-1A, A-1B, M-1, M-2, M-3, B-1 and B-2 certificates are floating rate and use SOFR as the index; they are capped at the net WA coupon (WAC). The annual rate on class B-3 certificates with respect to any distribution date (and the related accrual period) will be equal to the net WAC for such distribution date. The B-4 certificates are entitled to distributions of principal only and will not receive any distributions of interest. The B-X class is an exchangeable class off of the B-3, B-4 and X class and will not be rated. For this transaction, Fitch used benchmark prepayment curves ranging from a two-year reset to a 10-year reset based on the original IO expiration term with benchmark prepayment speeds that typically averaged 20%. These changes better reflect the prepayment behavior of HELOCs based on historical prepayments. KEY RATING DRIVERS Credit Risk of Prime Credit Quality (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The participation interest is in a fixed pool of draws related to 6,258 prime-quality, performing, adjustable-rate open-ended HELOCs that have up to 10-year IO periods and maturities of up to 30 years. The open-ended HELOCs are secured mainly by second liens on primarily one- to four-family residential properties (including PUDs), condominiums, townhouses and a site condo totaling $640.49 million. Fitch based its analysis on the total amount the borrower has drawn to date, which is $799.26 million Of the loans, 98.5% are cashouts, 89.6% are single family/PUDs and 85.5% are owner occupied or second homes. The loans are seasoned at an average of 9 months. The pool has a WA original FICO score of 748 (according to Fitch), indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (cLTV) of 67.9%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 72.1%. This transaction has a final probability of default (PD) of 21.65% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 96.45%. The expected loss in the 'AAAsf' rating stress is 20.89%. Structural Analysis (Mixed): JPMMT 2026-HE1 has modified sequential structure for principal with no advancing. Interest collected on the collateral is used to pay interest on the bonds. Principal collected on the collateral is used to pay principal on the bonds. The transaction has excess interest in addition to subordination to absorb losses, should they occur. A-1 is paid pari passu with A-1A and A-1B for principal, interest and losses. Interest is paid sequentially starting with the A classes. Interest is allocated pro rata between class A-1 and classes A-1A and A-1B. Once the A-1 classes receive interest, it is then paid to the M and finally to the B classes. Principal is allocated based on a modified-sequential structure in which principal is distributed pro rata to the A-1, A-1A, A-1B, M-1, M-2 and M-3 classes to the extent the performance triggers are passing. To the extent the triggers are failing, principal is paid sequentially. Among the A-1A and A-1B classes, interest is paid first to A-1A then A-1B and principal is paid pro rata to A-1A and A-1B (unless the B-3 and B-4 classes are zero). Principal will change from pro rata to sequential with A-1A being paid first (prior to A-1B receiving principal payments) if B-3 and B-4 classes have a zero balance. Losses will be taken first by A-1B then once A-1B is written off A-1A will take losses. The transaction has a lockout feature benefiting more senior classes if performance deteriorates. If the applicable credit support percentage of the M-1, M-2 or M-3 classes is less than the sum of (i) 150% of the original applicable credit support percentage for that class plus (ii) 50% of the NPL percentage plus (iii) the charged-off loan percentage, then that class is locked out of receiving principal payments and the principal payments are redirected toward the most senior class. To the extent any class of certificates is a locked-out class, each class of certificates subordinate to such locked-out class will also be a locked-out class. Due to this lockout feature, the M classes will be locked out starting on day one. The A-1, A-1A, A-1B, M-1, M-2, M-3, B-1 and B-2 classes are floating-rate classes based on the SOFR index and are capped at the net WAC. The annual rate on the B-3 certificates with respect to any distribution date (and the related accrual period) will be equal to the net WAC for such distribution date. Class B-4 is a principal-only class and is not entitled to receive interest. If no excess spread is available to absorb losses, losses will be allocated to all classes reverse sequentially, starting with class B-4. The servicer will not advance delinquent monthly payments of P&I. The transaction also benefits from excess spread that can be used to reimburse for realized and cumulative losses, as well as cap carryover amounts. This is in addition to subordination. Losses are allocated reverse sequentially starting with B-4. Once M-1 is written off, losses are allocated pro-rata between A-1 and A-1A and A-1B with A-1B taking the A-1A/A-1B share of losses first. Once A-1B is written off A-1A will take the A-1A/A-1B share of losses. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm and have a final grade of either "A" or "B". Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. JPMMT 2026-HE1 is fully de-linked and the transaction will be structured with a bankruptcy-remote special-purpose vehicle. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural or counterparty features. These considerations do not apply to JPMMT 2026-HE1, and therefore, Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, Maxwell, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. As a result, losses were lowered. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, Consolidated Analytics, and Maxwell were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Please refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2026-LTV1: Fitch Assigns 'Bsf' Rating on Class B2 Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage Trust 2026-LTV1 (JPMMT 2026-LTV1). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2026-LTV1 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch rates the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2026-LTV1 (JPMMT 2026-LTV1) as indicated above. The certificates are supported by 382 loans with a scheduled balance of $318.93 million as of the cutoff date. The closing date for the transaction is April 30, 2026. The pool consists of prime-quality, adjustable and fixed-rate mortgages originated mainly by United Wholesale Mortgage, LLC and aggregated by Maxex Clearing, LLC. The loan-level representations and warranties (R&Ws) are provided by the various sellers and originators. The vast majority of the mortgage loans in the pool will be serviced by JPMCB, NewRez LLC d/b/a Shellpoint Mortgage Servicing (prior to the servicing transfer date), and United Wholesale Mortgage. Cenlar FSB will subservice the loans for United Wholesale Mortgage. Rocket Mortgage, LLC is the master servicer. Of the loans, 73.1% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans, 14.1% as non-QM loans, 12.3% as QM rebuttable presumption (APOR), and 0.60% as out of scope/NA. The collateral comprises floating-rate and fixed-rate loans with maturities of up to 30 years. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC. KEY RATING DRIVERS Credit Risk of Prime Credit Quality (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of adjustable and fixed-rate, first-lien residential mortgage loans with original terms to maturity of 30 years and 65.1% of the loans are purchases, over 90% of the loans are single family/PUDs, and all the loans are owner occupied or second homes. The loans are seasoned at an average of five months. The pool has a weighted average (WA) original FICO score of 747 indicative of very high credit-quality borrowers and DTI of 39.8%. The original WA combined loan-to-value ratio (CLTV) of 88.3%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 97.4%. This transaction has a Final PD of 27.12% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 47.61%. The expected loss in the 'AAAsf' rating stress is 12.91% (see Highlights and Asset Analysis sections for more details). Structural Analysis (Mixed): JPMMT 2026-LTV1 has a modified sequential-payment structure with full advancing, whereby collected principal pro rata is distributed among the class A notes while excluding the mezzanine and subordinate notes from principal until all class A notes are reduced to zero. If either a cumulative loss trigger event or a delinquency (DQ) trigger event occurs in a given period, principal will be distributed first to classes A-1A and A-1B notes, then to A-2 and A-3 notes until they are reduced to zero. Once the A classes are paid in full, principal will be allocated first to M-1, then to B-1, then to B-2 and finally to B-3. As with other modified sequential structures, interest is prioritized over payment of principal in the principal waterfall, with interest being paid first, prior to principal. The interest waterfall is sequential, with class A receiving current interest and unpaid interest first. Both features are supportive of timely interest being paid to the 'AAAsf' rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. However, excess spread will be reduced on and after the May 2030 payment date, since the class A notes 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. Additionally, on any payment date occurring on or after the May 2030 payment date on which the aggregate unpaid interest carryover amount for class A notes is greater than zero, payments to the interest carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 notes in both the interest and principal waterfalls. This feature is supportive of the 'AAAsf' rated notes being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess interest and subordination to provide credit protection to the rated classes in the structure. Losses will be allocated reverse sequentially, with class B-3 taking losses first. Once class M-1 is written off, the losses will be allocated sequentially to the A classes, with the A-1A class taking losses last. The servicers will provide full advancing for the life of the transaction; each servicer is expected to advance delinquent principal and interest (P&I) on loans that entered into a pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the notes, it will also increase the loan-level LS since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Rocket is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, the paying agent (Citibank) will advance as needed. 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 5bps z-score reduction for loans fully reviewed by the third-party review (TPR) firm with a final grade of either "A" or "B." Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects JPMMT 2026-LTV1 to be fully de-linked and the transaction will be structured with a bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to JPMMT 2026-LTV1; therefore, Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity 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 37.50% 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 SitusAMC, Maxwell, Consolidated Analytics, Inglet Blair, Opus, and Selene. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bpZ-Score credit for loans fully reviewed by the TPR firm that have a final grade of either "A" or "B." As a result, losses were lowered. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Consolidated Analytics, Inglet Blair, Maxwell, Opus, and Selene were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Please refer to the "Third-Party Due Diligence" section for more details. Fitch also utilized data fi es provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the ResiPLS data layout format, and the data is considered comprehensive. The data contained in the ResiPLS layout data tape was reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2026-NQM2: Moody's Assigns B3 Rating to Cl. B-2 Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 10 classes of residential mortgage-backed securities (RMBS) 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-1FCF, Definitive Rating Assigned Aaa (sf) Cl. A-1LCF, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa3 (sf) Cl. A-3, Definitive Rating Assigned A3 (sf) Cl. M-1, Definitive Rating Assigned Baa3 (sf) Cl. B-1, Definitive Rating Assigned Ba3 (sf) Cl. B-2, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 2.74%, 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 2017-JP5: Fitch Affirms CC Rating on Cl. E-RR Debt ------------------------------------------------------------------- Fitch Ratings has affirmed 12 classes in the JPMCC Commercial Mortgage Securities Trust 2017-JP5 (JPMCC 2017-JP5) transaction. The Outlooks for Class A-S and X-A were revised to Stable from Negative. Fitch has also affirmed 13 classes in the JPMCC Commercial Mortgage Securities Trust 2017-JP6 (JPMCC 2017-JP6) transaction. The Outlooks for Class A-S, X-A and B were revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2017-JP6 A-3 48128KAS0 LT AAAsf Affirmed AAAsf A-4 48128KAT8 LT AAAsf Affirmed AAAsf A-5 48128KAU5 LT AAAsf Affirmed AAAsf A-S 48128KAX9 LT AAAsf Affirmed AAAsf A-SB 48128KBA8 LT AAAsf Affirmed AAAsf B 48128KAY7 LT AA-sf Affirmed AA-sf C 48128KAZ4 LT A-sf Affirmed A-sf D 48128KAA9 LT BBB+sf Affirmed BBB+sf E-RR 48128KAC5 LT BBsf Affirmed BBsf F-RR 48128KAE1 LT B-sf Affirmed B-sf G-RR 48128KAG6 LT CCCsf Affirmed CCCsf X-A 48128KAV3 LT AAAsf Affirmed AAAsf X-B 48128KAW1 LT A-sf Affirmed A-sf JPMCC 2017-JP5 A-4 46647TAR9 LT AAAsf Affirmed AAAsf A-5 46647TAS7 LT AAAsf Affirmed AAAsf A-S 46647TAX6 LT AAAsf Affirmed AAAsf A-SB 46647TAT5 LT AAAsf Affirmed AAAsf B 46647TAY4 LT Asf Affirmed Asf C 46647TAZ1 LT BBB-sf Affirmed BBB-sf D 46647TAA6 LT Bsf Affirmed Bsf D-RR 46647TAC2 LT CCCsf Affirmed CCCsf E-RR 46647TAE8 LT CCsf Affirmed CCsf X-A 46647TAU2 LT AAAsf Affirmed AAAsf X-B 46647TAV0 LT Asf Affirmed Asf X-C 46647TAW8 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses, including realized losses to date, as a percentage of the original pool balance are in line with Fitch's prior rating action at 10.4% for JPMCC 2017-JP5 and 4.2% for JPMCC 2017-JP6, compared to 9.7% and 5.3%, respectively at the last rating actions. There are nine Fitch Loans of Concern (FLOCs) (38.4%) in JPMCC 2017-JP5, including four loans (21.6% of the pool) in special servicing, and 12 FLOCs (38.7% of the pool) in JPMCC 2017-JP6, including three loans (6.3%) 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 in both transactions reflect sufficient credit enhancement and the expectation of pay down from performing loans in the pool with near-term maturities. The Negative Outlooks reflect the potential for a downgrade if the office FLOC performance continues to deteriorate, primarily Riverway (7.5%), and 55 Hawthorne (8.2%) in JPMCC 2017-JP5 and 211 Main Street (11.4%), and Atrium Office (1.7%) in JPMCC 2017-JP6. Largest Contributors to Loss: The largest overall contributor to loss in JPMCC 2017-JP5 is the Riverway loan (7.5%), secured by a four-building suburban office property totaling 869,120-sf located in Rosemont, IL (1.5 miles from O'Hare International Airport). The property consists of three office buildings and a 10,409-sf daycare center. As of September 2025, the property was 65% occupied with a DSCR NOI of 0.48x. Occupancy has struggled to recover after the departure of Central States Pension Fund, which vacated 22% of the NRA in 2019. Cash flow has been insufficient to service the debt since 2020. The loan transferred to special servicing in May of 2023 for imminent default due to cash flow issues and the borrower has ceased funding shortfalls. The servicer is dual tracking foreclosure and workout discussions with the borrower. Fitch's 'Bsf' rating case loss of 62.7% (prior to concentration adjustments) reflects a discount to a recent appraisal value reflecting a stressed value of $66 psf. The second-largest contributor to overall loss expectations in the JPMCC 2017-JP5 transaction is the 55 Hawthorne (8.2%) loan. The loan is secured by a 136,432-square-foot office building in San Francisco's CBD. The property was previously 100% leased to Yelp, whose lease expired in July 2025. The loan entered monetary default in August 2025, and a receiver was subsequently appointed. According to the special servicer, the lender is evaluating both a receivership sale and a note sale. Due to the tenant concentration, the loan included an upfront gap rent reserve of approximately $1.5 million at issuance. The loan reported $1.7 million (or $12.38 psf) in total reserves as of the April 2025 loan level reserve report. Fitch's 'Bsf' rating case loss of 36.9% (prior to concentration adjustments) incorporates a discount to the most recent appraisal value, reflecting a stressed value of $300 psf. The largest increase in overall loss expectations in JPMCC 2017-JP5 is the Landmark Square (6.8%) loan. It is secured by a 831,780 sf mixed-use office and retail property in Stamford, CT's central business district. The loan's performance has weakened materially, with occupancy declining to 58% as of the December 2025 rent roll, down from 67% at YE 2023 and 85% at securitization. Debt service coverage has also deteriorated, with DSCR (NOI) declining to 1.23x for the January 2025 through December 2025 period from 1.75x at YE 2023. Considering the sustained occupancy decline, weak submarket fundamentals, and near-term rollover exposure, Fitch applied a 20% haircut to YE 2025 NOI in its analysis with a 10% cap rate, resulting in a Fitch 'Bsf' rating case loss of 15.1% (before concentration add-ons). The largest overall contributor to loss in JPMCC 2017-JP6 is the 211 Main Street loan (11.4%). It is secured by a 417,266-sf single-tenant office building in San Francisco, CA that is leased to Charles Schwab through April 2028. The loan was initially transferred to special servicing in March 2024 prior to defaulting at loan maturity in April 2024. In May 2024, the special servicer closed a four-year extension with the borrower, with no additional extension options available. Consequently, the loan returned from the special servicer in November 2024, with a new maturity date of April 2028. Charles Schwab has relocated its headquarters from San Francisco to Westlake, TX and has downsized to six floors from 17 floors, operating in 38% of the building. The lease expires in 2028 with no termination options. Fitch's 'Bsf' rating case loss of 13.9% (before concentration add-ons) reflects a 9.5% cap rate and the YE 2024 NOI with a 35 % stress accounting for Schwab moving operations and high availability rates in the San Francisco market. The second largest increase and contributor to overall loss expectations in JPMCC 2017-JP6, is the Apex Fort Washington (3.4%) loan, secured by a 393,312-square-foot suburban office property in Fort Washington, Pennsylvania, approximately 20 miles north of Philadelphia. Built in 1988, the property consists of three three-story buildings connected by a central hub. The loan's performance remains pressured by elevated vacancy and tenant rollover, following the prior departure of Nutrisystem, formerly the largest tenant representing 30.8% of NRA, which vacated in December 2022, and the more recent departure of Citizens Bank of Pennsylvania in December 2024, which represented 9.7% of NRA . As a result, occupancy declined to 66% at YE 2025 from 80.3% at YE 2024 and 92% at securitization. CoStar reports availability of 55% for the portfolio, indicating continued leasing challenges. Cash flow performance has also weakened. DSCR (NOI) declined to 1.25x at YE 2025 from 1.62x at YE 2024, with further downside possible given the current occupancy profile and rollover schedule. Near-term lease rollover remains a notable concern. Following the 2025 rollover of 17.6% of NRA, the property faces a significant concentration of lease expirations in 2027, with approximately 35% of square footage scheduled to expire. Major tenants include Lincoln Investment Planning (13.6% of NRA; expires June 2027), Impax Laboratories (12.2%; expires August 2027), and Link Logistics Real Estate Management (7.5%; expires July 2027), all of which contribute to the elevated 2027 rollover risk. Fitch's 'Bsf' rating case loss of 19.5% (prior to concentration adjustments) reflects a 15% stress to the YE 2025 NOI, a 10% cap rate and an increased probability of default. The largest increase and third largest contributor to overall loss expectations in the JPMCC 2017-JP6 is the Atrium Office (1.7%) loan, secured by a 76,579-square-foot suburban office property in Bakersfield, California. The loan transferred to special servicing in October 2025 for imminent monetary default after a prolonged period of payment delinquency and borrower noncompliance. It has remained in payment default. The special servicer reports that the borrower failed to remit all property revenues to the lockbox, instead retaining funds for operating and other expenses, despite the loan being subject to cash management. As a result, the special servicer has engaged counsel to address multiple borrower compliance issues, including the delinquent payment history, and as of April 2026 is evaluating enforcement strategies. The borrower's unwillingness to cooperate limits workout visibility and increases the likelihood of an adverse resolution. Although occupancy has improved to 86% at YE 2025 from 70% at YE 2023, cash flow remains weak, with DSCR (NOI) of 1.04x at YE 2025, down from 1.22x at YE 2024, marginally sufficient to cover debt service. Fitch's 'Bsf' rating case loss of 37.1% (prior to concentration adjustments) reflects a 10% stress to the YE 2025 NOI, a 10% cap rate and an increased probability of default. Increased Credit Enhancement (CE): As of the April 2026 distribution date, the aggregate balances of the JPMCC 2017-JP5 and JPMCC 2017-JP6 transactions have been reduced by 31.4% and 29.9%, respectively, since issuance. Three loans (2.4%) are defeased in JPMCC 2017-JP5 and four loans (7.9%) in JPMCC 2017-JP6. Cumulative interest shortfalls of $7,691,860 are affecting class D, D-RR, E-RR and the non-rated classes F-RR and NR-RR in the JPMCC 2017-JP5 transaction, and $487,498 are affecting the non-rated class NR-RR in the JPMCC 2017-JP6 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 high CE and expected continued amortization and loan repayments and dispositions but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to the sub-senior classes rated in the 'AAsf' category are possible with lower-than-expected recoveries for the specially serviced loans and/or continued performance declines of the office FLOCs. These FLOCs include Riverway (7.5%), and 55 Hawthorne (8.2%) in JPMCC 2017-JP5 and 211 Main Street (11.4%), and Atrium Office (1.7%) in JPMCC 2017-JP6. Downgrades to the 'Asf' and 'BBBsf' rated categories could occur should the performance of the FLOCs and specially serviced loans deteriorate further or fail to stabilize. Downgrades to the 'BBsf', and 'Bsf' rated 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 the 'AAsf' and 'Asf' rated 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. These FLOCs include Riverway (7.5%), and 55 Hawthorne (8.2%) in JPMCC 2017-JP5 and 211 Main Street (11.4%), and Atrium Office (1.7%) in JPMCC 2017-JP6. Classes would not be upgraded above 'AA+sf' if there were likelihood for interest shortfalls. Upgrades to the 'BBBsf' rated categories would be limited based on sensitivity to concentrations, including the exposure to underperforming office properties, or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' rated categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to the distressed ratings are not likely but are possible with better-than-expected recoveries on specially serviced loans or improved performance 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. JPMMT TRUST 2026-HE1: DBRS Finalizes Bsf Rating on $3MM B-3 Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following Mortgage Participation Pass-Through Certificates, Series 2026-HE1 (the Notes) issued by JPMMT Trust 2026-HE1 (JPMMT 2026-HE1): -- $230.5 million Class A-1 at AAA (sf) -- $231.6 million Class A-1A at AAA (sf) -- $34.3 million Class A-1B at AAA (sf) -- $52.2 million Class M-1 at AA (low) (sf) -- $27.5 million Class M-2 at A (low) (sf) -- $29.1 million Class M-3 at BBB (sf) -- $17.7 million Class B-1 at BB (sf) -- $4.8 million Class B-2 at B (high) (sf) -- $3.2 million Class B-3 at B (sf) The 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 AA (low) (sf), A (low) (sf), BBB (sf), BB (sf), B (high) (sf), and 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 do not have any delinquencies within the last 24 months from cut-off date. All of the loans 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. JPMMT 2026-HE1 represents the tenth 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 ten years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. Post the draw term and IO period, HELOC borrowers have a repayment period and are no longer allowed to draw. All the HELOCs in this transaction are floating-rate loans with two, three, five and 10-year interest-only (IO) payment periods, though some align with the shorter draw period. No loan requires a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes and 21.7% of the borrowers are self-employed. While these HELOCs do not need to be fully drawn at origination, the weighted-average (WA) utilization rate is approximately 91.0% after six months of seasoning on average. Transaction and Other Counterparties The HELOCs were originated by United Wholesale Mortgage, LLC (UWM) (60.3%), Better Mortgage Corporation (Better) (25.1%), and other originators (each less than 10.0%). NewRez LLC d/b/a 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 26-HE1 PC, 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 (MBA) delinquency method will be charged off. Transaction Structure This transaction incorporates a pro-rata cash flow structure; however, principal payment will be distributed sequentially so long as none of the Class M-1, M-2, or M-3 Certificates is a Locked Out Class, as described below in the report under Cashflow Structure and Features. On the first Payment Date, each of the Class M-1, M-2, and M-3 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 unpaid principal balance 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 (REO) 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. KENNEDY LEWIS 14: 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, and D-R debt from Kennedy Lewis CLO 14 Ltd./Kennedy Lewis CLO 14 LLC, a CLO managed by Kennedy Lewis Loan Management LLC (formerly known as Generate Advisors LLC) that was originally issued in March 2024. At the same time, S&P withdrew its ratings on the previous class B, C, and D debt following payment in full on the May 4, 2026, refinancing date. We also affirmed our 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 non-call period was extended to Aug. 4, 2027. -- The reinvestment period end date remains April 22, 2029. -- The legal final maturity date for the replacement debt and the existing subordinated notes is April 22, 2037. -- No additional assets were purchased on the May 4, 2026, refinancing date, and the target initial par amount remains at $400,000,000. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 22, 2026. -- The required minimum overcollateralization and interest coverage ratios were not amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each 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 analyses suggest that the available credit enhancement for the CLO debt can 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 imply. "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." Replacement And Previous Debt Issuances Replacement debt -- Class A-R, $248.00 million: Three-month CME term SOFR + 1.32% -- Class B-R, $56.00 million: Three-month CME term SOFR + 1.60% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 1.90% -- Class D-R (deferrable), $24.00 million: Three-month CME term SOFR + 3.80% Previous debt -- Class A, $248.00 million: Three-month CME term SOFR + 1.60% -- Class B, $56.00 million: Three-month CME term SOFR + 2.10% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 2.50% -- Class D (deferrable), $24.00 million: Three-month CME term SOFR + 4.00% Ratings Assigned Kennedy Lewis CLO 14 Ltd./Kennedy Lewis CLO 14 LLC Class B-R, $56.00 million: 'AA (sf)' Class C-R (deferrable), $24.00 million: 'A (sf)' Class D-R (deferrable), $24.00 million: 'BBB- (sf)' Ratings Withdrawn Kennedy Lewis CLO 14 Ltd./Kennedy Lewis CLO 14 LLC Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Rating Affirmed Kennedy Lewis CLO 14 Ltd./Kennedy Lewis CLO 14 LLC Class E (deferrable), $14.00 million: 'BB- (sf)' Other Debt Kennedy Lewis CLO 14 Ltd./Kennedy Lewis CLO 14 LLC Class A-R, $248.00 million: NR Subordinated notes, $40.00 million: NR NR--Not rated. KKR CLO 15: Moody's Affirms Ba3 Rating on $23.5MM Class E-R2 Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by KKR CLO 15 Ltd.: US$19.75M Class C-R2 Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Aug 1, 2025 Upgraded to Aa1 (sf) US$24.25M Class D-R2 Senior Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Aug 1, 2025 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: US$208.3M (Current outstanding balance US$48,590,111) Class A-1-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 14, 2024 Assigned Aaa (sf) US$15M Class A-2-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 14, 2024 Assigned Aaa (sf) US$40.5M Class B-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 14, 2024 Assigned Aaa (sf) US$23.5M Class E-R2 Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 14, 2024 Assigned Ba3 (sf) US$4M Class F-R Senior Secured Deferrable Floating Rate Notes, Affirmed Caa2 (sf); previously on Aug 1, 2025 Downgraded to Caa2 (sf) KKR CLO 15 Ltd., issued in September 2016 and refinanced in November 2018 and August 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured/mezzanine US loans. The portfolio is managed by KKR Financial Advisors II, LLC. The transaction's reinvestment period ended in January 2024. RATINGS RATIONALE The rating upgrades on the Class C-R2 and D-R2 notes are primarily a result of the deleveraging of the senior notes and the improvement in over-collateralisation ratios following amortisation of the underlying portfolio since the last rating action in August 2025. The affirmations on the ratings on the Class A-1-R2, Class A-2-R2, Class B-R2, Class E-R2 and Class F-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD78.1 million (37.5%) since the last rating action in August 2025 and USD159.7million (76.7%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated March 2026[1] the Class A-R/B-R, Class C-R, Class D-R and Class E-R OC ratios are reported at 160.5%, 138.7%, 118.9% and 104.4% compared to May 2025[2] levels of 140.4%, 127.3%, 114.3% and 104.0%, respectively. Moody's notes that the April 2026 principal payments are not reflected in the reported OC ratios. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. All 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: USD181.7 million Defaulted Securities: USD1.1 million Diversity Score: 54 Weighted Average Rating Factor (WARF): 3083 Weighted Average Life (WAL): 3.38 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.0% Weighted Average Recovery Rate (WARR): 46.5% Par haircut in OC tests and interest diversion test: 2.82 % The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Moody's notes that the April 2026 payment date report was published at the time Moody's were completing Moody's analysis of the March 2026 data. Of the USD25.2 million of principal proceeds reported in March 2026, USD21.7 million was a scheduled payment which had been incorporated in Moody's model runs, and the residual USD3.5 million will be treated as scheduled payment for the next payment date in Moody's analysis. 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. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. KRR CLO 50: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 50 Ltd. Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- KKR CLO 50 Ltd. A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B 481952AC3 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C-1 481952AE9 LT PIFsf Paid In Full A+sf C-2 481952AG4 LT PIFsf Paid In Full A+sf C-R LT Asf New Rating D-1 481952AJ8 LT PIFsf Paid In Full BBB+sf D-1-R LT BBB-sf New Rating D-2 481952AL3 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating E 481953AA5 LT PIFsf Paid In Full BB+sf E-R LT BB-sf New Rating Transaction Summary KKR CLO 50 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.85, 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 95.8% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.86% 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 6.25% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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-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-R. 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, '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. ESG Considerations Fitch does not provide ESG relevance scores for KKR CLO 50 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. LCM XXV LTD: Moody's Cuts Rating on $18MM Class E Notes to Caa2 --------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following note issued by LCM XXV Ltd.: US$24,750,000 Class D Deferrable Mezzanine Floating Rate Notes due 2030 (current outstanding balance of $1,995,292), Upgraded to Aaa (sf); previously on December 19, 2025 Upgraded to A1 (sf) Moody's have also downgraded the rating on the following notes: US$18,000,000 Class E Deferrable Mezzanine Floating Rate Notes due 2030 (current outstanding balance of $18,237,719), Downgraded to Caa2 (sf); previously on April 10, 2025 Downgraded to Caa1 (sf) LCM XXV Ltd., originally issued in August 2017 and refinanced in February 2022, 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 2022. A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratio since December 2025. The Class D notes have been paid down by approximately 91.06% or $20.3 million since then. Based on Moody's calculation, the OC ratio for the Class D notes is currently 1015.92% versus December 2025 level of 193.53%. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's December 2025 report, the OC ratio for the CLO Class E notes was 92.04%[1] versus 88.55%[2] in April 2026. Furthermore, trustee reported weighted average rating factor (WARF) is 5479 in April 2026[3] vs. 5026 in December 2025[4]. 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: $20,003,653 Defaulted par: $2,514,657 Diversity Score: 15 Weighted Average Rating Factor (WARF): 4926 Weighted Average Spread (WAS): 3.92% Weighted Average Recovery Rate (WARR): 43.37% Weighted Average Life (WAL): 2.3 years Par haircut in OC tests and interest diversion test: 20.29% 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. LOBEL AUTOMOBILE 2026-1: DBRS Finalizes B(low) on Class F Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the classes of notes (the Notes) issued by Lobel Automobile Receivables Trust 2026-1 (the Issuer or LOBEL 2026-1) as follows: -- $117,556,000 Class A Notes at AAA (sf) -- $27,458,000 Class B Notes at AA (low) (sf) -- $25,905,000 Class C Notes at A (low) (sf) -- $21,074,000 Class D Notes at BBB (low) (sf) -- $16,825,000 Class E Notes at BB (low) (sf) -- $15,028,000 Class F Notes at B (low) (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 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 includes 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 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 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. Notes: All figures are in U.S. dollars unless otherwise noted. MADISON PARK XXXIX: S&P Lowers Class E Debt Rating to 'B- (sf)' --------------------------------------------------------------- S&P Global Ratings lowered its rating on the class E debt from Madison Park Funding XXXIX Ltd. and removed it from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class A-R, B-R, C-R, and D-R debt from the same transaction. The rating actions follow its review of the transaction's performance using data from the April 9, 2026, trustee report. The transaction, a U.S. collateralized loan obligation managed by Credit Suisse Asset Management LLC, was originally issued in October 2021. It underwent a refinancing in September 2024 and will exit its reinvestment period in October 2026. On Feb. 5, 2025, S&P placed its rating on the class E debt on CreditWatch negative primarily due to the relevant class's declining credit support, the portfolio's par loss since the 2024 closing, and indicative cash flow results. Compared to the October 2024 initial post-refinancing trustee report, following are the changes to the reported April 2026 overcollateralization (O/C) ratios: -- The class A/B O/C ratio declined to 127.40% from 130.45%. -- The class C O/C ratio declined to 118.07% from 120.91%. -- The class D O/C ratio declined to 110.02% from 112.66%. -- The class E O/C ratio declined to 105.38% from 107.91%. The decline in the O/C ratios is driven mainly by the portfolio's par loss and default haircuts since the last rating actions in September 2024. In addition to par erosion, the portfolio credit metrics have weakened between October 2024 and April 2026: S&P Global Ratings' weighted average spread (WAS) decreased to 3.21% from 3.52% and S&P Global Ratings' weighted average recovery rate (WARR) on the 'AAA' rated debt decreased to 38.10% from 38.30% during this time period. Collateral obligations in the 'CCC' rating category increased to $59.82 million from $54.17 million even though defaults decreased to $6.13 million from $8.12 million during the same period. The par losses sustained by the portfolio since the refinancing, coupled with declines in the portfolio's WAS and WARR, have weakened cash flow results at both mezzanine and junior levels of the capital structure. As a result, the class C-R, D-R, and E debt were no longer passing cash flows at the initial rating levels. Following the decline in credit support and indicative cash flow results, S&P lowered its rating on class E to 'B-(sf)'. S&P said, "While the results of our cash flow analysis also indicated lower ratings on the class C-R and D-R debt than the rating action reflects, we affirmed the ratings after considering the passing trustee O/C, current subordination level, and the low exposure to 'CCC/CCC-' rated assets. However, any deterioration and/or increase in defaults or par losses could lead to negative rating actions." The affirmed ratings on the class A-R and B-R debt reflect adequate credit support at the current rating levels and passing cash flows. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Lowered And Removed From CreditWatch Madison Park Funding XXXIX Ltd. Class E to 'B- (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Madison Park Funding XXXIX Ltd. Class A-R: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) Class D-R: BBB- (sf) MELLO WAREHOUSE 2026-1: DBRS Finalizes 'Bsf' Rating on 2 Tranches ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on 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 AAA (sf) -- $5.5 million Class B at AA (sf) -- $52.5 million Class C at A (sf) -- $46.8 million Class D at BBB (low) (sf) -- $40.3 million Class E at B (sf) -- $20.0 million Class F at B (sf) The AAA (sf) credit rating reflects 33.00% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), and BBB (low) (sf) credit ratings reflect 31.90%, 21.40%, and 12.05% of credit enhancement, respectively. The 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. MF1 2026-FL22: DBRS Gives B(low) Rating on 3 Tranches ----------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes (the Notes) to be issued by MF1 2026-FL22 LLC (MF1 2026-FL22 or the Issuer): -- Class A Notes at (P) AAA (sf) -- Class A-S Notes at (P) AAA (sf) -- Class B Notes at (P) AA (high) (sf) -- Class C Notes at (P) A (sf) -- Class D Notes at (P) BBB (high) (sf) -- Class E Notes at (P) BBB (sf) -- Class F Notes at (P) BBB (low) (sf) -- Class F-E Notes at (P) BBB (low) (sf) -- Class F-X Notes at (P) BBB (low) (sf) -- Class G Notes at (P) BB (high) (sf) -- Class G-E Notes at (P) BB (high) (sf) -- Class G-X Notes at (P) BB (high) (sf) -- Class H Notes at (P) BB (low) (sf) -- Class H-E Notes at (P) BB (low) (sf) -- Class H-X Notes at (P) BB (low) (sf) -- Class I Notes at (P) B (low) (sf) -- Class I-E Notes at (P) B (low) (sf) -- Class I-X Notes at (P) B (low) (sf) All trends are Stable. The Class F, Class F-E, Class F-X, Class G, Class G-E, Class G-X, Class H, Class H-E, Class H-X, Class I, Class I-E, and Class I-X Notes are non-offered notes. The Class F Notes, the Class G Notes, the Class H Notes, and the Class I Notes (the Exchangeable Notes) are exchangeable for proportionate interests in MASCOT Notes, subject to the satisfaction of certain conditions and restrictions, provided that, at the time of the exchange, the Exchangeable Notes are owned by a wholly owned subsidiary of the Sponsor, in the case of Classes G, H, I and the Income Notes and an affiliate of the Sponsor, in the case of Class F . All or a portion of each class of Exchangeable Notes may be exchanged as follows: (1) the Class F Notes may be exchanged for proportionate interests in the Class F-E Notes and the Class F-X Notes, (2) the Class G Notes may be exchanged for proportionate interests in the Class G-E Notes and the Class G-X Notes and (3) the Class H Notes may be exchanged for proportionate interests in the Class H-E Notes and the Class H-X Notes, and (4) the Class I Notes may be exchanged for proportionate interests in the Class I-E Notes (collectively with the Class F-E Notes, the Class G-E Notes, and the Class H-E Notes, the MASCOT P&I Notes) and the Class I-X Notes (collectively with the Class F-X Notes, the Class G-X Notes, and the Class H-X Notes, the MASCOT Interest Only Notes). CREDIT RATING RATIONALE/DESCRIPTION The initial collateral consists of 33 floating-rate mortgage loans and participations in mortgage loans and mortgage/mezzanine loan combinations. Two collateral interests that are cross-collateralized and cross-defaulted in the pool were rolled up and treated as one collateral interest. The roll up is the Stratford & FOUND Roll-Up, which comprises collateral interest numbers 16 and 17, Stratford Arms and FOUND Study Chelsea (3.1% of the initial pool balance). The collateral is encumbered by $3.0 billion of debt, composed of $1.2 billion going into the trust, $1.6 billion of funded pari passu debt, $123.0 million in future funding, and $42.8 million in existing mezzanine debt. Three loans (Springside Middletown, The Danby, and Stratford Arms), representing 10.7% of the initial pool balance, are delayed-close mortgage assets, which are identified in the data tape and included in the Morningstar DBRS analysis. The Issuer has 90 days after closing to acquire the delayed-close assets. The transaction is a managed vehicle, which includes a 30-month reinvestment period. Reinvestment of principal proceeds during the reinvestment period is subject to eligibility criteria, which, among other criteria, includes a rating agency no-downgrade confirmation (RAC) by Morningstar DBRS for all new mortgage assets and funded companion participations. The eligibility criteria indicates that only multifamily, manufactured housing, furnished apartments, student housing, or build-to-rent properties can be brought into the pool during the reinvestment period. Additionally, the eligibility criteria establishes minimum DSCR, LTV, and Herfindahl requirements. Certain events within the transaction require the Issuer to obtain RAC and Morningstar DBRS will confirm that a proposed action or failure to act or other specified event will not, in and of itself, result in the downgrade or withdrawal of the current rating. The Issuer is required to obtain RAC for all acquisitions of companion participations. The loans are secured by properties that are in a period of transition with plans to stabilize and improve the asset value. In total, 21 loans, representing 66.5% of the pool, have remaining future funding participations totaling $123.0 million, which the Issuer may acquire in the future. All of the loans in the pool have floating interest rates and all loans have interest rate caps. 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 NCF, 30 loans representing 87.6% of the initial pool balance, had a Morningstar DBRS As-Is DSCR of 1.00x or below, a threshold indicative of default risk. Additionally, the Morningstar DBRS Stabilized DSCR was less than 1.00x for 26 of the 33 loans, 80.5% of the initial pool balance, which is indicative of elevated 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 structural features in place 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 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. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS ESG Considerations had a relevant effect on the credit analysis. Environmental (E) Factors The emissions, effluents, and waste factor had a relevant effect on the credit analysis. The Environmental Site Assessments (ESAs) for The Westline identified a recognized environmental condition, which was related to the historic use of the property as an auto repair shop and a lumber shop. The subsurface investigation revealed releases of hazardous substances into the soil and groundwater. Remedial activities were conducted, and according to a draft Remedial Action Report dated November 2025, approximately 9,700 tons of nonhazardous soil/fill and 1,800 tons of hazardous lead-impacted soil/fill were excavated and disposed off-site. The ESAs recommend continued cooperation with the authorities. Morningstar DBRS did not apply a penalty as the loan agreement contains specific stipulations requiring the borrower to take all steps to ensure a Notice of Satisfaction from the New York City Office of Environmental Remediation for the open Voluntary Cleanup Program case at the property. There were no Social/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. MFA 2026-INVR1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to MFA 2026-INVR1 Trust's mortgage pass-through certificates. The certificates issuance is an RMBS transaction backed by seasoned first-lien, fixed- and adjustable-rate, fully amortizing business-purpose residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties including townhouses, condominiums, two- to four-family residential properties, five- to 10-unit multifamily and 10-plus-unit multifamily properties. The pool consists of 2,189 loans, which are all ability-to-repay exempt. Of the 2,189 loans, 526 are cross-collateralized loans backed by 2,441 properties. The preliminary ratings are based on information as of May 5, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregator and mortgage originators; -- The due diligence results consistent with represented loan characteristics; and -- S&P said, "Our macroeconomic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) MFA 2026-INVR1 Trust Class A-1A, $148,329,000: AAA (sf) Class A-1B, $25,421,000: AAA (sf) Class A-1FCF, $130,313,000: AAA (sf) Class A-1LCF, $43,437,000: AAA (sf) Class A-1, $173,750,000: AAA (sf) Class A-2, $37,877,000: AA (sf) Class A-3, $58,721,000: A (sf) Class M-1, $23,896,000: BBB (sf) Class B-1A, $14,998,000: BB (sf) Class B-1B, $5,592,000: BB- (sf) Class B-2, $8,898,000: B (sf) Class B-3, $10,931,002: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount equals the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. MISSION LANE 2026-A: Fitch Assigns 'Bsf' Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has assigned 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. (d/b/a TAB Bank) and WebBank (both partner banks and account owners) and serviced by Mission Lane LLC (Mission Lane). The Rating Outlook for the notes is Stable. Entity/Debt Rating Prior ----------- ------ ----- Mission Lane Credit Card Master Trust, Series 2026-A Class A LT AAAsf New Rating AAA(EXP)sf Class B LT AAsf New Rating AA(EXP)sf Class C LT Asf New Rating A(EXP)sf Class D LT BBBsf New Rating BBB(EXP)sf Class E LT BBsf New Rating BB(EXP)sf Class F LT Bsf New Rating B(EXP)sf 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%, respectively, one year ago. Credit enhancement (CE) is adequate, with loss multiples in line with the expected ratings and Fitch's applicable criteria. The Stable 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 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 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: 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'/'AA-sf'/'BBB+sf'/'BB+sf'/'B+sf'/below 'Bsf'; - Increase steady state by 50%: 'AA-sf'/'Asf'/'BBBsf'/'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: 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'/'AA-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'/'A-sf'/'BB+sf'/'B+sf'/below'Bsf'/below 'Bsf'. Rating sensitivity to reduced purchase rate: 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: 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%: 'AAAsf'/'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: - 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'/'BBBsf'/'BB-sf'/'Bsf'/below 'Bsf'; - Increase charge-off steady state by 50% and reduce MPR steady state by 25%: 'A-sf'/'BBBsf'/'BBsf'/'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 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2016-C28: Fitch Affirms Csf Rating on Four Tranches ------------------------------------------------------------------ Fitch Ratings has affirmed various classes of commercial mortgage pass-through certificates across four 2016 vintage transactions, including 13 classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) 2016 C28; 10 classes of MSBAM 2016 C30; 13 classes of MSBAM 2016 C31; and 12 classes of Wells Fargo Commercial Mortgage Trust (WFCM) 2016 BNK1. The Rating Outlooks on class A S for MSBAM 2016 C30 and WFCM 2016 BNK1 and classes A S, B, and X B for MSBAM 2016 C31 were revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2016-C28 A-4 61766LBS7 LT AAAsf Affirmed AAAsf A-S 61766LBV0 LT Asf Affirmed Asf B 61766LBW8 LT BBB-sf Affirmed BBB-sf C 61766LBX6 LT Bsf Affirmed Bsf D 61766LAC3 LT CCCsf Affirmed CCCsf E 61766LAJ8 LT Csf Affirmed Csf E-1 61766LAE9 LT CCsf Affirmed CCsf E-2 61766LAG4 LT Csf Affirmed Csf EF 61766LAS8 LT Csf Affirmed Csf F 61766LAQ2 LT Csf Affirmed Csf X-A 61766LBT5 LT AAAsf Affirmed AAAsf X-B 61766LBU2 LT Asf Affirmed Asf X-D 61766LAA7 LT CCCsf Affirmed CCCsf MSBAM 2016-C30 A-5 61766NBB0 LT AAAsf Affirmed AAAsf A-S 61766NBE4 LT Asf Affirmed Asf B 61766NBF1 LT BBBsf Affirmed BBBsf C 61766NBG9 LT BB-sf Affirmed BB-sf D 61766NAJ4 LT CCCsf Affirmed CCCsf E 61766NAL9 LT CCsf Affirmed CCsf X-A 61766NBC8 LT AAAsf Affirmed AAAsf X-B 61766NBD6 LT BBBsf Affirmed BBBsf X-D 61766NAA3 LT CCCsf Affirmed CCCsf X-E 61766NAC9 LT CCsf Affirmed CCsf WFCM 2016-BNK1 A-3 95000GAY0 LT AAAsf Affirmed AAAsf A-S 95000GBA1 LT AAsf Affirmed AAsf B 95000GBD5 LT BBBsf Affirmed BBBsf C 95000GBE3 LT Bsf Affirmed Bsf D 95000GAJ3 LT CCsf Affirmed CCsf E 95000GAL8 LT Csf Affirmed Csf F 95000GAN4 LT Csf Affirmed Csf X-A 95000GBB9 LT AAAsf Affirmed AAAsf X-B 95000GBC7 LT Bsf Affirmed Bsf X-D 95000GAA2 LT CCsf Affirmed CCsf X-E 95000GAC8 LT Csf Affirmed Csf X-F 95000GAE4 LT Csf Affirmed Csf MSBAM 2016-C31 A-4 61766RAY2 LT AAAsf Affirmed AAAsf A-5 61766RAZ9 LT AAAsf Affirmed AAAsf A-S 61766RBC9 LT AA+sf Affirmed AA+sf B 61766RBD7 LT Asf Affirmed Asf C 61766RBE5 LT BBBsf Affirmed BBBsf D 61766RAJ5 LT CCCsf Affirmed CCCsf E 61766RAL0 LT CCsf Affirmed CCsf F 61766RAN6 LT Csf Affirmed Csf X-A 61766RBA3 LT AAAsf Affirmed AAAsf X-B 61766RBB1 LT Asf Affirmed Asf X-D 61766RAA4 LT CCCsf Affirmed CCCsf X-E 61766RAC0 LT CCsf Affirmed CCsf X-F 61766RAE6 LT Csf Affirmed Csf KEY RATING DRIVERS Increasing Pool Concentration; 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are as follows: - 31.8% (15.2% based on the original pool balance and including realized losses) for MSBAM 2016-C28, an increase from 17.0% (13.7%) at the prior rating action - 15.3% (9.6%) for MSBAM 2016-C30, which compares with 11.3% (9.8%) - 19.7% (12.1%) for WFCM 2016-BNK1, an increase from 11.2% (10.3%) - 9.0% (7.2%) for MSBAM 2016-C31, down from 11.0% (9.5%) at the last rating action. Fitch Loans of Concerns (FLOCs) comprise 10 loans (92% of the pool) in MSBAM 2016-C28, all of which are in special servicing; nine loans (48.9%) in MSBAM 2016-C30, including three specially serviced loans (12.2%); seven loans (29.1%) in MSBAM 2016-C31, including one specially serviced loan (4.2%) and five loans (36%) in WFCM 2016-BNK1, which includes three loans in special servicing (24.4%). The Outlook revisions to Stable from Negative reflect increased credit enhancement (CE) and higher certainty of repayment from loans expected to refinance at maturity. Due to the heightened maturity concentration risk, Fitch conducted a recovery and liquidation analysis that categorized and ranked remaining loans based on their loan status, collateral quality, and repayment/loss expectations to assess outstanding class ratings in relation to available CE. This analysis contributed to the Stable Outlook revisions. The Negative Outlooks across the four transactions reflect the potential for future downgrades should the office, hotel and retail FLOCs performance deteriorate beyond current expectations, including worsened recovery and/or prolonged workout on the specially serviced loans/assets, and/or more loans than anticipated fail to refinance. Largest Contributors to Loss: The largest contributor to losses in MSBAM 2016-C31 and WFCM 2016-BNK1 is the REO One Stamford Forum asset, which is secured by a 504,471-sf suburban office located in Stamford, CT. The loan transferred to special servicing in March 2019 for imminent monetary default when major tenant Purdue Pharma filed for bankruptcy due to lawsuits related to the opioid crisis. Foreclosure was completed in October 2023. The asset was 51.4% occupied as of the March 2026 rent roll, unchanged from March 2025 and consistent with occupancy levels since 2021. The servicer-reported NOI DSCR was 0.19x as of YE 2024 and has similarly underperformed since 2021. According to the special servicer, a lease up strategy is being implemented with a projected disposition mid to late 2026. Per CoStar, the property lies within the Stamford, CT CBD office submarket. As of 1Q26, submarket asking rents averaged $40.25 psf and the submarket vacancy rate was 23.1%. Fitch's 'Bsf' rating case loss of 74.4% (prior to a concentration adjustment) is based on a stress to the most recent appraisal, reflecting a stressed value of $91 psf. The largest overall contributor to loss expectations in MSBAM 2016-C28 is the Princeton Pike Corporate asset (15.46%), which is secured by an eight-building suburban office property totaling 809,458 sf located in Lawrence Township, NJ, approximately seven miles north of Trenton, NJ. The loan returned to special servicing in February 2024 for imminent default after an earlier transfer to special servicing in 2021. Occupancy has steadily declined since 2019, reporting an occupancy of 42% in November 2025 in-line with YE 2024, but down from 60% as of YE 2023, 74% at YE 2022, and 83% at YE 2019. According to servicer updates, a modification proposal is under review and pending approval. Fitch's 'Bsf' rating case loss of approximately 64% (prior to concentration adjustments) reflects a Fitch stressed value of $65 psf in-line with comparable valuations and recent transactions in the submarket. The largest overall contributor to loss expectations in the MSBAM 2016-C30 transaction is the Briarwood Mall loan (13%), which is secured by a 369,916-sf portion of a 978,034-sf super-regional mall in Ann Arbor, MI, approximately 2.5 miles from the University of Michigan. The loan, which is sponsored in a 50/50 joint venture between Simon Property Group and General Motors Pension Trust, was designated a FLOC due to continued occupancy declines and refinancing concerns. The servicer-reported NOI DSCR for this interest-only (IO) loan was 1.87x as of YE 2025, compared with 1.99x as of YE 2024, 1.94x at YE 2023, 2.04x at YE 2022, below pre-pandemic levels of 3.03x at YE 2019. Occupancy was reported at 75% at YE 2025 compared with 72% at YE 2024, 71% at YE 2023, 70% at YE 2022 and 87% at YE 2019 and 95% at issuance. The remaining non-collateral anchors are Macy's, JCPenney, and Von Maur. The former Sears site is being redeveloped as part of a mixed-use project that includes a Harvest Market grocery store, Dick's Sporting Goods, and a multifamily residential complex. Fitch's 'Bsf' rating case loss of 41.8% (prior to concentration add-ons) reflects a 15% cap rate, a 7.5% stress to the YE 2024 NOI and a higher probability of default to account for refinancing concerns with the approaching loan maturity in September 2026. Increased Credit Enhancement (CE): As of the April 2026 remittance report, the aggregate balances of the MSBAM 2016-C28, MSBAM 2016-C30, MSBAM 2016-C31 and WFCM 2016-BNK1 transactions have been reduced by 66.4%, 38.2%, 27.1% and 39.2%, respectively, since issuance. Respective defeasance percentages in the MSBAM 2016-C30, MSBAM 2016-C31 and WFCM 2016-BNK1 transactions include 14.9% (seven loans), 20% (9 loans) and 1.7% (one loan). No loans are currently defeased in MSBAM 2016-C28. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' rated classes are not expected due to the 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 'AAAsf' rated classes with a Negative Outlook in the MSBAM 2016-C28 transaction are possible with continued value degradation and lack of stabilization of specially serviced loans/assets. Downgrades to classes rated in the 'AAsf', 'Asf' and 'BBBsf' categories, may occur should performance of the FLOCs deteriorate further or if more loans than expected default at or prior to maturity and assets currently in special servicing have prolonged workouts. These FLOCs include Princeton Pike Corporate Center, DoubleTree by Hilton - Cleveland, OH and Navy League Building in MSBAM 2016-C28, Briarwood Mall, Bellevue Park Corporate Center, Simon Premium Outlets, Park Tower Long Beach, West LA Office - 1950 Sawtelle Boulevard in MSBAM 2016-C30, Simon Premium Outlets, One Stamford Forum and 1400 Eubank - Albuquerque in MSBAM 2016-C31, One Stamford Forum, Pinnacle II and Brewers Hill in WFCM 2016-BNK1. Downgrades to classes rated in the 'BBsf', and 'Bsf' categories could occur 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. Downgrades to distressed ratings of 'CCCsf', 'CCsf' and 'Csf' 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 classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns coupled with stable to improved pool-level loss expectations and stronger performance and/or valuation on the FLOCs/specially serviced loans. Upgrades to classes rated in the 'BBBsf', 'BBsf' and 'Bsf' categories are not anticipated, given the elevated and increasing concentration, but may be possible with significantly better-than-expected recoveries on specially serviced loans upon disposition. Upgrades to distressed rated classes are not anticipated due to the adverse selection and concentration of defaulted loans, but are possible with better-than-expected recoveries on specially serviced loans or improved performance on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2026-DSC2: DBRS Gives (P)Bsf Rating on B-2 Certs --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-DSC2 (the Certificates) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-DSC2 (the Issuer) as follows: -- $85.6 million Class A-1FCF at (P) AAA (sf) -- $28.5 million Class A-1LCF at (P) AAA (sf) -- $114.1 million Class A-1 at (P) AAA (sf) -- $98.1 million Class A-1-A at (P) AAA (sf) -- $15.9 million Class A-1-B at (P) AAA (sf) -- $36.0 million Class A-2 at (P) AA (low) (sf) -- $18.7 million Class A-3 at (P) A (low) (sf) -- $8.9 million Class M-1 at (P) BBB (low) (sf) -- $8.6 million Class B-1 at (P) BB (sf) -- $10.2 million Class B-2 at (P) B (sf) Class A-1 is an exchangeable certificate while Classes A-1FCF and A-1LCF are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 28.10% of credit enhancement provided by the subordinated Certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 16.75%, 10.85%, 8.05%, 5.35%, and 2.15% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed and adjustable-rate investor debt service coverage ratio (DSCR) first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,057 loans with a total principal balance of approximately $317,172,200 as of the Cut-Off Date (April 1, 2026). The pool is, on average, four months seasoned with loan ages ranging from one to 16 months. Approximately 17.8% of the Mortgage Loans were originated by Hometown Equity Mortgage, LLC, 16.6% were originated by Loan Funder LLC, and 16.2% were initially sourced from MAXEX Clearing LLC. The remainder of the Mortgage Loans were originated by various mortgage lending institutions, each comprising less than 15% of the overall mortgage pool. Selene Finance LP will service 33.4% of the loans, Newrez LLC d/b/a Shellpoint Mortgage Servicing, LLC will service 29.1% of the loans, Select Portfolio Servicing Inc. will service 27.2% of the loans, and Cornerstone Servicing, a Division of Cornerstone Capital Bank, SSB (Cornerstone) will service 10.3% of the loans respectively. Computershare Trust Company, N.A will act as Custodian. Rocket Mortgage, LLC will act as Master Servicer. Citibank N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure rule. Servicers will fund advances of delinquent P&I until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the Mortgage Bankers Association (MBA) method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (i) 5% of each of the Class A-IO-S, Class A-1FCF, Class A-1LCF, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3 and Class XS Certificates directly or (ii) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS may, at its option, on or after the earlier of (1) the payment date in April 2029 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). The Class A-1-A and Class A-1-B, and separately the Class A-1FCF and Class A-1LCF, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. The Class A-1 is an exchangeable certificate and can be exchanged with the Class A-1FCF and Class A-1LCF as specified in the offering documents. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A Certificates coupon rates step-up by 100 basis points on and after the payment date in May 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are within certain disaster areas (such as those affected by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections (PDI) for any property in a known disaster zone prior to the transactions closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition; -- Improved underwriting standards; -- Current loan status; and -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- DSCR loans; -- Certain investor loans and loans to foreign national borrowers; -- Limited servicer advances of delinquent P&I; and -- The representations and warranties standard. The full description of the strengths, challenges, and mitigating factors is detailed in the related presale report. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amount, Interest Carryforward Amount, and the related Class Balance. Morningstar DBRS' credit ratings on the Class A-1FCF, A-1LCF, A-1-A, A-1-B, A-2, and A-3 Certificates also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (May 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-DSC2: Moody's Gives (P)Ba3 Rating to B-1 Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 9 classes of residential mortgage-backed securities (RMBS) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-DSC2, and sponsored by Morgan Stanley Mortgage Capital Holdings LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by Morgan Stanley, including loans aggregated by Hometown Equity Mortgage LLC (17.8% by loan balance), Loan Funder LLC (16.6% by loan balance), MAXEX Clearing LLC (16.2% by loan balance), OCMBC INC (13.3% by loan balance) and EF Holdco WRE Assets LLC (10.3% by loan balance) and other entities, originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Morgan Stanley Residential Mortgage Loan Trust 2026-DSC2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1-A, Assigned (P)Aaa (sf) Cl. A-1-B, Assigned (P)Aaa (sf) Cl. A-1FCF, Assigned (P)Aaa (sf) Cl. A-1LCF, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa3 (sf) Cl. A-3, Assigned (P)A3 (sf) Cl. M-1, Assigned (P)Baa3 (sf) Cl. B-1, Assigned (P)Ba3 (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 4.17%, in a baseline scenario-median is 3.32% and reaches 26.70% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. MORGAN STANLEY 2026-NEW1: DBRS Ups Rating on B-1 Certs to BB(high) ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) upgraded its provisional credit ratings on Class A-3 and Class B-1, and finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2026-NEW1 (the Certificates) issued by Morgan Stanley Residential Mortgage Loan Trust 2026-NEW1 (the Issuer) as follows: -- $265.9 million Class A-1 at AAA (sf) -- $232.5 million Class A-1-A at AAA (sf) -- $33.4 million Class A-1-B at AAA (sf) -- $18.3 million Class A-2 at AA (sf) -- $17.7 million Class A-3 at A (high) (sf) -- $16.0 million Class M-1 at BBB (sf) -- $6.9 million Class B-1 at BB (high) (sf) -- $5.7 million Class B-2 at B (sf) Morningstar DBRS discontinued and withdrew its provisional credit ratings on the Class A-1FCF and Class A1-LCF initially contemplated in the offering documents, as they were not issued at closing. Class A-1 is an exchangeable certificate while Classes A-1-A and A-1-B are exchange certificates. Class A-1 is an exchangeable certificate while Classes A-1FCF and A-1LCF are exchange certificates. The final initial Class Balance of each class of Certificates will be set forth in the final private placement memorandum. These classes can be exchanged in combinations as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 20.47% of credit enhancement provided by the subordinated Certificates. The AA (sf), A (high) (sf), BBB (sf), BB (high) (sf), and B (sf) credit ratings reflect 15.00%, 9.70%, 4.90%, 2.85%, and 1.15% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 572 loans with a total principal balance of approximately $334,347,861 as of the Cut-Off Date (April 1, 2026). Subsequent to the issuance of the related Presale Report, the pool was updated to reflect the final population of 572 loans, and the final coupons of certain certificates were tighter than initially expected. The Presale report initially expected the Notes to be backed by 573 mortgage loans with a total principal balance of $335,090,474. Unless specified otherwise, all statistics regarding the mortgage loans in this report are based off the Presale Report balance. The pool is, on average, two months seasoned with loan ages ranging from zero to eight months. All of the Mortgage Loans were originated by Nexera Holding LLC d/b/a NewFi Lending. Rocket Mortgage, LLC d/b/a Rushmore Servicing will service 72.5% of the loans, NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will service 27.5% of the loans . Computershare Trust Company, N.A will act as Custodian. Rocket Mortgage, LLC. will act as Master Servicer. Citibank N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 66.9% of the loans by balance are designated as non-QM. Approximately 33.1% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Servicers will fund advances of delinquent P&I until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the Mortgage Bankers Association (MBA) method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (i) 5% of each of the Class A-IO-S, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3 and Class XS Certificates directly or (ii) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS may, at its option, on or after the earlier of (1) the payment date in April 2029 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). The Class A-1-A and Class A-1-Bhave group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. The Class A-1 is an exchangeable certificate and can be exchanged with the Class A-1-A and Class A-1-B as specified in the offering documents. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A and M-1 Certificates. Of note, the Class A Certificates coupon rates step-up by 100 basis points on and after the payment date in May 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition; -- Compliance with the ATR rules; -- Improved underwriting standards; -- Current loan status; and -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- Debt service coverage ratio loans; -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers; -- Limited servicer advances of delinquent P&I; and -- The representations and warranties standard. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amount, Interest Carryforward Amount, and the related Class Balance. Morningstar DBRS' credit ratings on the Class A-1-A, A-1-B, A-2, and A-3 Certificates also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (May 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-NQM4: DBRS Finalizes Bsf Rating on B-2 Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) upgraded its provisional credit ratings on Class A-2, Class A-3, Class M-1 and Class B-1, and finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2026-NQM4 (the Certificates) issued by Morgan Stanley Residential Mortgage Loan Trust 2026-NQM4 (the Issuer) as follows: -- $318.9 million Class A-1 at AAA (sf) -- $277.3 million Class A-1-A at AAA (sf) -- $41.6 million Class A-1-B at AAA (sf) -- $21.9 million Class A-2 at AA (sf) -- $39.9 million Class A-3 at A (sf) -- $13.7 million Class M-1 at BBB (sf) -- $7.5 million Class B-1 at BB (high) (sf) -- $8.5 million Class B-2 at B (sf) Morningstar DBRS discontinued and withdrew its provisional credit ratings on Classes A-1FCF and A-1LCF initially contemplated in the offering documents, as they were not issued at closing. Class A-1 is an exchangeable certificate while Classes A-1-A and A-1-B are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 23.26% of credit enhancement provided by the subordinated Certificates. The AA (sf), A (sf), BBB (sf), BB (high) (sf), and B (sf) credit ratings reflect 18.0%, 8.40%, 5.10%, 3.30%, and 1.25% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2026-NQM4. The Certificates are backed by 873 loans with a total principal balance of approximately $415,541,204 as of the Cut-Off Date (April 1, 2026). Subsequent to the issuance of the related Presale Report, the pool was updated to reflect one loan drop and the final coupons of certain certificates were tighter than initially expected. The Notes are backed by 874 mortgage loans with a total principal balance of $416,097,463 in the Presale Report. Unless specified otherwise, all statistics regarding the mortgage loans in this report are based off the Presale Report balance. The pool is, on average, four months seasoned with loan ages ranging from one to 10 months. Approximately 15.9% and 10.1% of the Mortgage Loans were originated by HomeXpress Mortgage Corp. and Rocket Mortgage, LLC respectively. The remainder of the Mortgage Loans were originated by various mortgage lending institutions, individually comprised less than 10% of the overall mortgage loans. NewRez LLC (NewRez), formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint will service 56.8% of the loans, Selene Finance LP will service 27.8% of the loans, Select Portfolio Servicing, Inc. will service 11.7% of the loans and PennyMac will service 3.7% of the loans respectively. Computershare Trust Company, N.A will act as Custodian. Rocket Mortgage LLC will act as Master Servicer. Citibank N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 36.3% of the loans by balance are designated as non-QM. Approximately 47.8% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 14.9% of the pool are designated as QM Safe Harbor, and there are 1.1% QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will fund advances of delinquent P&I until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the Mortgage Bankers Association (MBA) method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (i) 5% of each of the Class A-IO-S, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3 and Class XS Certificates directly or (ii) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS may, at its option, on or after the earlier of (1) the payment date in April 2029 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). The Class A-1-A and Class A-1-B, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, and M-1 Certificates. Of note, the Class A Certificates coupon rates step-up by 100 basis points on and after the payment date in May 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition; -- Compliance with the ATR rules; -- Improved underwriting standards; -- Current loan status; and -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- Debt service coverage ratio loans; -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers; -- Limited servicer advances of delinquent P&I; and -- The representations and warranties standard. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amount, Interest Carryforward Amount, and the related Class Balance. Morningstar DBRS' credit ratings on the Class A-1-A, A-1-B, A-2, and A-3 Certificates also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (May 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-NQM4: 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-NQM4's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of four months. The mortgage loans primarily have a 30-year maturity. There are 35 loans with 40-year maturities and four loans with 15-year maturities. The loans are secured by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family residential properties, five- to 10-unit multifamily and mixed-use residential properties. The pool consists of 873 loans backed by 896 properties, which are QM/non-HPML (APOR), QM/HPML (rebuttable presumption), non-QM/ATR-compliant, and ATR-exempt. After S&P assigned its preliminary ratings on April 16, 2026, the sponsor removed the class A-1FCF and A-1LCF certificates and reallocated those balances to the class A-1-A and A-1-B certificates and the associated exchange class A-1 certificates, keeping the subordination credit enhancement the same. In addition, the class B-1 certificate rate was determined at pricing to have a pass-through rate equal to the net WAC rate. After considering the final coupons and the updated structure, our assigned ratings 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 aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A., and originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-NQM4 Class A-1, $318,880,000: AAA (sf) Class A-1-A, $277,320,000: AAA (sf) Class A-1-B, $41,560,000: AAA (sf) Class A-2, $21,863,000: AA- (sf) Class A-3, $39,892,000: A- (sf) Class M-1, $13,713,000: BBB- (sf) Class B-1, $7,480,000: BB (sf) Class B-2, $8,518,000: B (sf) Class B-3, $5,195,203: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $20,779,203: NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $415,541,203. NR--Not rated. MSRW 2026-FAYM: DBRS Finalizes B(high) Rating on Cl. HRR Certs -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series MSRW 2026-FAYM (the Certificates) issued by MSRW 2026-FAYM Pass-Through Trust (MSRW 2026-FAYM or the Trust): -- 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 HRR at B (high) (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The Trust is collateralized by the borrower's fee-simple interest in a 678,148-square-foot (sf) portion of Fayette Mall, a 1,161,390-sf A- Green Street-rated regional retail mall in Lexington, Kentucky. JCPenney and Dick's Sporting Goods (Dick's) are the owned anchors, while the unowned parcels include anchor tenants Dillard's (208,242 sf) and Macy's (275,000 sf). The collateral's north wing was constructed in 1971 and expanded in 1993 with the addition of the south wing, making the former Sears a pass-through in the mall at the time. The 1993 expansion made Fayette Mall the largest in Kentucky. The mall was most recently renovated in 2014, when CBL & Associates Limited Partnership (CBL), the transaction Sponsor, purchased the Sears box to redevelop and expand it. The redevelopment is now occupied by tenants The Cheesecake Factory, Mileta (an Italian restaurant), H&M, Altar'd State, Buckle, and Offline by Aerie, among others. The Sponsor has invested $11.4 million into the property since 2019, $7.1 million of which was spent on building and equipment improvements and the remaining $4.3 million on tenant improvements. Fayette Mall is the dominant regional mall in Lexington and is the largest enclosed mall within a 62-mile radius. Located 70 miles east of Louisville and 75 miles south of Cincinnati, Lexington serves a metropolitan statistical area of approximately 530,000, and is home to the University of Kentucky, Transylvania University, and Bluegrass Community and Technical College, as well as Keeneland and Kentucky Horse Park and bourbon tourism destinations. Per the April 6, 2026, rent roll provided, the property was 96.4% occupied and temporary tenants represented 8.8% of collateral sf. The property has maintained an occupancy rate of at least 90.0% since 2019. The collateral has a diverse tenant base of 130 tenants, with no tenant other than Dick's comprising more than 4.0% of Morningstar DBRS Gross Rent. Dick's comprises 7.5% of Morningstar DBRS Gross Rent and has a lease expiry date of January 2031. The property's top three tenants by Morningstar DBRS In-Place Total Rent include Dick's, American Eagle Outfitters, and Victoria's Secret, whose leases collectively comprise 14.5% of the Morningstar DBRS In-Place Total Rent. The property's comparable tenant ( NEW RESIDENTIAL 2026-NQM5: Fitch Rates Class B2 Notes 'B-sf' ------------------------------------------------------------ Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust 2026-NQM5 (NRMLT 2026-NQM5). Entity/Debt Rating Prior ----------- ------ ----- NRMLT 2026-NQM5 A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1FCF LT AAAsf New Rating AAA(EXP)sf A1LCF LT AAAsf New Rating AAA(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 834 nonprime loans that were primarily originated by NewRez LLC, Champions Funding LLC, and Cake Mortgage Corp., with a total balance of approximately $471.1 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. NRMLT 2026-NQM5 has a final probability of default (PD) of 43.2% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 42.5%. The expected loss in the 'AAAsf' rating stress is 18.4%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM5 are based on a modified sequential structure, whereby the principal is distributed pro rata among the senior certificates while subordinate bonds are shut out from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the collective class A-1 notes (namely, the A-1FCF, A-1LCF, A-1A and A-1B notes), A-2 notes and A-3 notes, until they are reduced to zero. Among the collective class A-1 notes, interest and principal payments will be made either pro rata or sequentially depending on which combination of A-1 notes is outstanding. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5-bp reduction for loans fully reviewed by a third-party review (TPR) firm that has a final grade of either "A" or "B". Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects NRMLT 2026-NQM5 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2026-NQM5. Therefore, Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by several firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NEW RESIDENTIAL 2026-NQM6: Fitch Rates Class B2 Notes 'B-(EXP)sf' ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust, series 2026-NQM6 (NRMLT 2026-NQM6). Entity/Debt Rating ----------- ------ NRMLT 2026-NQM6 A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by New Residential Mortgage Loan Trust 2026-NQM6 (NRMLT 2026-NQM6) as indicated above. The transaction is expected to close on May 12, 2026. The notes are supported by 930 nonprime loans that were primarily originated by NewRez LLC (NewRez), with a total balance of approximately $490.1 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. NRMLT 2026-NQM6 has a final probability of default (PD) of 39.6% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 42.5%. The expected loss in the 'AAAsf' rating stress is 16.8%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM6 are based on a modified sequential structure, whereby the principal is distributed pro rata among the senior certificates while subordinate bonds are shut out from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the collective class A-1 notes (namely, the A-1FCF, A-1LCF, A-1A and A-1B notes), A-2 notes and A-3 notes, until they are reduced to zero. Among the collective class A-1 notes, interest and principal payments will be made either pro rata or sequentially depending on which combination of A-1 notes is outstanding. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5-bp reduction for loans fully reviewed by a third-party review (TPR) firm that has a final grade of either "A" or "B." Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects NRMLT 2026-NQM6 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2026-NQM6; therefore, Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by several firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B." ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NORTHWOODS CAPITAL XII-B: Moody's Cuts Rating on Cl. E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has taken a variety of rating actions on the following notes issued by Northwoods Capital XII-B, Limited.: US$31.35M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Sep 16, 2024 Assigned Aa1 (sf) US$37.35M Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Sep 16, 2024 Upgraded to Baa2 (sf) US$26.9M Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Jun 11, 2024 Affirmed Ba3 (sf) US$6M Class F Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa3 (sf); previously on Jun 11, 2024 Downgraded to Caa2 (sf) Moody's have also affirmed the ratings on the following notes: US$265.081581M (Current outstanding balance US$70,683,134) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 16, 2024 Assigned Aaa (sf) US$71.7M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 16, 2024 Assigned Aaa (sf) Northwoods Capital XII-B, Limited, issued in June 2018, refinanced in September 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Angelo, Gordon & Co. L.P. The transaction's reinvestment period ended in June 2023. RATINGS RATIONALE The upgrades on the ratings on the Class C-R, and D notes are primarily a result of improvement of over-collateralisation since the payment date in March 2025. The Class A-R notes have paid down by approximately USD 134.7 million (50.8%) in the last 12 months and USD 194.4 million (73.3%) since closing. As a result of deleveraging, over-collateralisation (OC) has increased. According to trustee report dated April 2026[1], the Class A/B, Class C and Class D are reported at 173.64%, 142.31% and 117.13% compared to April 2025[2] levels of 140.15%, 125.91% and 112.31% respectively. The downgrade to the ratings on the Class E and F notes are due to the deterioration in over-collateralisation ratios over the course of the last 12 months. The over-collateralisation ratios of the Class E and F notes have deteriorated over the course of the last 12 months. According to the trustee report dated April 2026[1] the Class E OC ratio is reported at 103.89% compared to April 2025[2] level of 104.20%. The Moody's calculated OC ratio for the Class F notes is currently at 101.22% compared to the April 2025[2] level of 102.63%. The affirmations on the ratings on the Class A-R and B-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The 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: USD249.9m Defaulted Securities: USD0.29m Diversity Score: 54 Weighted Average Rating Factor (WARF): 2823 Weighted Average Life (WAL): 2.67 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.12% Weighted Average Recovery Rate (WARR): 46.76% 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, such as account bank, 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 the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. OBX 2026-INV3: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 68 classes of residential mortgage-backed securities (RMBS) to be issued by OBX 2026-INV3 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of residential mortgages aggregated by Onslow Bay Financial LLC, and originated and serviced by multiple entities. The loans were originated under Onslow Bay's Agency Eligible (80.89% by balance), Agency Jumbo (6.21% by balance), Non-Agency (6.16% by balance) and Other (6.74% by balance) guidelines programs. The complete rating actions are as follows: Issuer: OBX 2026-INV3 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-F, Assigned (P)Aaa (sf) Cl. A-F-X*, Assigned (P)Aaa (sf) Cl. A-F2, Assigned (P)Aaa (sf) Cl. A-F2-X*, Assigned (P)Aaa (sf) Cl. A-X*, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-15*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aaa (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aaa (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aa1 (sf) Cl. A-X-25*, Assigned (P)Aaa (sf) Cl. A-X-26*, Assigned (P)Aaa (sf) Cl. A-X-27*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-2A, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) Cl. A-2A Loans, Assigned (P)Aaa (sf) Cl. A-3A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.84%, in a baseline scenario-median is 0.53% and reaches 7.99% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. OCEANVIEW MORTGAGE 2025-INV3: Moody's Ups B-4 Certs Rating to Ba2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of four bonds issued by Oceanview Mortgage Trust 2025-INV3. The collateral backing this transaction consists of prime jumbo and agency eligible mortgage loans. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=doGulw A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Oceanview Mortgage Trust 2025-INV3 Cl. B-1, Upgraded to Aa2 (sf); previously on Jul 2, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Jul 2, 2025 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Jul 2, 2025 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Jul 2, 2025 Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. This transaction Moody's reviewed continues to display strong collateral performance, with no cumulative loss and a small percentage of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pool amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.15x for the non-exchangeable tranches upgraded. 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 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 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. OCTAGON INVESTMENT 28: Fitch Assigns BB-sf Rating on Cl. E-RR Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Octagon Investment Partners 28, Ltd.'s refinancing notes classes X-R3, A-1-R3, A-2-R3, B-R3, C-R3, D-1-R3, and D-J-R3. The rating on the class E-RR notes has been affirmed. Entity/Debt Rating Prior ----------- ------ ----- Octagon Investment Partners 28, Ltd. X-R3 LT AAAsf New Rating A-1-R3 LT AAAsf New Rating A-1-RR 67591EBG7 LT PIFsf Paid In Full AAAsf A-2-R3 LT AAAsf New Rating A-2-RR 67591EBJ1 LT PIFsf Paid In Full AAAsf B-R3 LT AAsf New Rating B-RR 67591EBL6 LT PIFsf Paid In Full AAsf C-1-RR 67591EBN2 LT PIFsf Paid In Full Asf C-F-RR 67591EBQ5 LT PIFsf Paid In Full Asf C-R3 LT Asf New Rating D-1-R3 LT BBBsf New Rating D-1-RR 67591EBS1 LT PIFsf Paid In Full BBBsf D-J-R3 LT BBB-sf New Rating D-J-RR 67591EBU6 LT PIFsf Paid In Full BBB-sf E-RR 67591GAL2 LT BB-sf Affirmed BB-sf Fitch Ratings has assigned ratings and Rating Outlooks to Octagon Investment Partners 28, Ltd.'s refinancing notes classes X-R3, A-1-R3, A-2-R3, B-R3, C-R3, D-1-R3, and D-J-R3. The rating on the class E-RR notes has been affirmed. Transaction Summary Octagon Investment Partners 28, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, LLC that originally closed in May 2024. On April 30, 2026 (refinancing date), classes X-R3, A-1-R3, A-2-R3, B-R3, C-R3, D-1-R3 and D-J-R3 will be refinanced for 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 $659 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 23.64 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 12.7% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.21% 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. FITCH ANALYSIS The portfolio includes 484 assets from 410 primarily high-yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $659 million. As of the March trustee report prior to the refinance date the transaction was not passing its Minimum Floating Spread and Minimum Fixed Coupon 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 41.0% of the current portfolio par balance; ratings for 58.5% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.5% 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: 15.0%, 12.0%, and 10%, respectively; - Assumed risk horizon: 6.06 years; - Minimum weighted average spread of 3.05%; - Minimum weighted average recovery rate of 73.23%; - Maximum weighted average rating factor of 24.00; - Fixed rate assets: 5.00%; - Minimum weighted average coupon of 7.00%. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class X-R3: 'AAAsf' / Default 41.70% / Recovery 39.09% / Cushion 58.30% - Class A-1-R3: 'AAAsf' / Default 41.70% / Recovery 39.09% / Cushion 13.50% - Class A-2-R3: 'AAAsf' / Default 41.70% / Recovery 39.09% / Cushion 11.10% - Class B-R3: 'AAsf' / Default 39.30% / Recovery 48.60% / Cushion 10.20% - Class C-R3: 'Asf' / Default 35.00% / Recovery 58.29% / Cushion 8.50% - Class D-1-R3: 'BBBsf' / Default 29.80% / Recovery 67.79% / Cushion 9.90% - Class D-J-R3: 'BBB-sf' / Default 27.00% / Recovery 67.78% / Cushion 8.00% Fitch Stress Portfolio (FSP) Model Outputs: - Class X-R3: 'AAAsf' / Default 48.70% / Recovery 39.15% / Cushion 51.30% - Class A-1-R3: 'AAAsf' / Default 48.70% / Recovery 39.15% / Cushion 7.40% - Class A-2-R3: 'AAAsf' / Default 48.70% / Recovery 39.15% / Cushion 5.00% - Class B-R3: 'AAsf' / Default 45.40% / Recovery 47.04% / Cushion 4.70% - Class C-R3: 'Asf' / Default 40.40% / Recovery 56.52% / Cushion 3.40% - Class D-1-R3: 'BBBsf' / Default 34.80% / Recovery 65.76% / Cushion 5.10% - Class D-J-R3: 'BBB-sf' / Default 31.70% / Recovery 65.76% / Cushion 3.70% 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-R3, between 'A+sf' and 'AAAsf' for class A-1-R3, between 'A-sf' and 'AAAsf' for class A-2-R3, between 'BBB-sf' and 'AAsf' for class B-R3, between 'B+sf' and 'A-sf' for class C-R3, between less than 'B-sf' and 'BBB+sf' for class D-1-R3, between less than 'B-sf' and 'BB+sf' for class D-J-R3, and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to class X-R3, class A-1-R3 and 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, 'A+sf' for class D-1-R3, 'A+sf' for class D-J-R3, and 'BBB+sf' for class E-RR. 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 Octagon Investment Partners CLO 28, 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. OHA CREDIT XV: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to OHA Credit Partners XV, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- OHA Credit Partners XV, Ltd. A-1-R2 LT AAAsf New Rating AAA(EXP)sf A-2-R2 LT AAAsf New Rating AAA(EXP)sf B-R2 LT AAsf New Rating AA(EXP)sf C-R2 LT Asf New Rating A(EXP)sf D-1-R2 LT BBB-sf New Rating BBB-(EXP)sf D-2-R2 LT BBB-sf New Rating BBB-(EXP)sf E-R2 LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary OHA Credit Partners XV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Oak Hill Advisors, L.P. It originally closed on Dec. 21, 2017, and refinanced on March 28, 2024. This is the second refinancing in which the existing secured notes will be refinanced in whole on May 1, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 23.61 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.77% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.59% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 46.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant, floored at six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AAAsf' for class A-1-R2, between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'Asf' for class D-1-R2, 'A-sf' for class D-2-R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for OHA Credit Partners XV, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. PMT LOAN 2026-INV5: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 74 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2026-INV5, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages aggregated, originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-INV5 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aa1 (sf) Cl. A-29, Assigned (P)Aa1 (sf) Cl. A-30, Assigned (P)Aa1 (sf) Cl. A-31, Assigned (P)Aa1 (sf) Cl. A-32, Assigned (P)Aa1 (sf) Cl. A-33, Assigned (P)Aa1 (sf) Cl. A-35, Assigned (P)Aaa (sf) Cl. A-35X*, Assigned (P)Aaa (sf) Cl. A-36, Assigned (P)Aaa (sf) Cl. A-36X*, Assigned (P)Aaa (sf) Cl. A-37, Assigned (P)Aaa (sf) Cl. A-37X*, Assigned (P)Aaa (sf) Cl. A-38, Assigned (P)Aaa (sf) Cl. A-38X*, Assigned (P)Aaa (sf) Cl. A-39, Assigned (P)Aaa (sf) Cl. A-39X*, Assigned (P)Aaa (sf) Cl. A-40, Assigned (P)Aaa (sf) Cl. A-40X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aa1 (sf) Cl. A-X2*, Assigned (P)Aaa (sf) Cl. A-X3*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X7*, Assigned (P)Aaa (sf) Cl. A-X8*, Assigned (P)Aaa (sf) Cl. A-X9*, Assigned (P)Aaa (sf) Cl. A-X11*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X14*, Assigned (P)Aaa (sf) Cl. A-X15*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X19*, Assigned (P)Aaa (sf) Cl. A-X21*, Assigned (P)Aaa (sf) Cl. A-X22*, Assigned (P)Aaa (sf) Cl. A-X24*, Assigned (P)Aaa (sf) Cl. A-X25*, Assigned (P)Aaa (sf) Cl. A-X26*, Assigned (P)Aaa (sf) Cl. A-X27*, Assigned (P)Aaa (sf) Cl. A-X30*, Assigned (P)Aa1 (sf) Cl. A-X31*, Assigned (P)Aa1 (sf) Cl. A-X32*, Assigned (P)Aa1 (sf) Cl. A-X33*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.76%, in a baseline scenario-median is 0.46% and reaches 7.36% 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. PRET 2026-RPL2: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to PRET 2026-RPL2 Trust. Entity/Debt Rating ----------- ------ PRET 2026-RPL2 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT AA(EXP)sf Expected Rating A4 LT A(EXP)sf Expected Rating A5 LT BBB(EXP)sf Expected Rating M1 LT A(EXP)sf Expected Rating M2 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating B4 LT NR(EXP)sf Expected Rating B5 LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes to be issued by PRET 2026-RPL2 Trust (PRET 2026-RPL2) as indicated above. The notes are supported by 2, 417 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a balance of $390.36 million, including deferred balances, as of the cutoff date. The transaction is expected to close on May 8, 2026. The notes are secured by a pool of fixed-rate, step-rate and adjustable-rate mortgage (ARM) loans, some of which have an initial interest-only (IO) period, that are primarily fully amortizing with original terms to maturity of 30 years. The loans are secured by first or second liens primarily on single-family residential properties, planned unit developments (PUDs), townhouses, condominiums, co-ops, manufactured housing, land and multifamily homes/commercial properties. All of the loans are SPLs or RPLs. Selene Finance LP and Newrez LLC d/b/a Shellpoint Mortgage Servicing will service 100.0% of the loans in the pool. Fitch rates Selene 'RSS2-' and Shellpoint (RSS2+). A majority of the loans in the collateral pool comprise fixed-rate mortgages, although 4.8% are step-rate loans or loans with an adjustable rate. KEY RATING DRIVERS Credit Risk of Seasoned and Reperforming Mortgage Assets (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The borrowers in this pool have relatively strong credit profiles, with a Fitch-determined weighted average (WA) FICO score of 688, and a 40.8% Fitch-determined debt-to-income ratio (DTI). The borrowers also have relatively low leverage, consistent with seasoned transactions. This includes an original Fitch-determined combined loan-to-value ratio (CLTV) of 76.7% and a current mark to market LTV of 47.4%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 53.0%. Modified loans account for 70% of the loans. Most loans are performing, with 85.1% current and 14.9% 30 days delinquent as of the cutoff date. Overall, 63.0% of the loans have not been 30 days or more delinquent in the past 12 months, and 37.0% have not experienced a delinquency in 12 months or more. Based on the transaction documents, 61.8% of the loans have not been 60+ days delinquent in the past 12 months. PRET 2026-RPL2 has a final PD of 64.2% in the 'AAA' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 24.3%. The expected loss in the 'AAAsf' rating stress is 15.6%. Structural Analysis (Mixed): The transaction utilizes a sequential payment structure with no advancing of delinquent P&I payments. The transaction is structured with subordination to protect more senior classes from losses and has a minimal amount of excess interest. This can be used to repay current or previously allocated realized losses and cap carryover shortfall amounts. The interest and principal waterfalls prioritize payment of interest to the A-1 class, which is supportive of class A-1 receiving timely interest. Fitch considers timely interest for 'AAAsf' rated classes and ultimate interest for 'AAsf' to 'Bsf' category rated classes. The note rate for each of the class A-1, A-2, M-1 and M-2 notes on any payment date up to, but excluding, the payment date in May 2030, and for the related accrual period, will be a per annum rate equal to the lower of (i) the fixed rate for such class (as set forth in the table on page 1); (ii) the net WA coupon (WAC) rate for such payment date; and (iii) the applicable note available funds cap for such interest accrual period and payment date. Beginning on the payment date in May 2030 and for the related accrual period, and on each payment date thereafter and for each related accrual period, the note rate for each of the class A-1, A-2, M-1 and M-2 notes will be a per annum rate equal to the lower of (a) the net WAC rate for such payment date and (b) the sum of (i) the fixed rate set forth in the table above for such class of notes; (ii) 1.000% (with such increased note rate referred to as the "step-up note rate"); and (iii) the applicable note available funds cap for such interest accrual period and payment date. The unpaid interest shortfall amount payments on the class A and M notes are prioritized over the payment of the B-3, B-4 and B-5 interest in both the interest and principal waterfall. Once interest is paid to all classes, principal is paid sequentially to the classes starting with A-1. The note rates for the B classes are based on the least of the (i) the net WAC rate and (ii) the applicable note available funds cap for such interest accrual period and payment date. Losses are allocated to classes in reverse-sequential order, starting with class B-5. Classes will be written down if the transaction is undercollateralized. Excess spread is available to absorb losses in addition to subordination. The servicers will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAAsf' rated classes and ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated classes. Operational Risk Analysis (Negative): Fitch considers originator and servicer capability, third-party due diligence results and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. For RPL transactions credit is not given to loans with a due diligence grade of A or B. The loans are penalized for having C and D grades. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects PRET 2026-RPL2 to be a fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Positive): 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 PRET 2026-RPL2 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.93%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by ProTitle, Consolidated Analytics, Opus, Selene, and AMC. The third-party due diligence described in Form 15E focused on the following areas: compliance review, data integrity, servicing review and title review. The scope of the review was consistent with Fitch's criteria. Fitch considered this information in its analysis. Based on the results of the 100% due diligence performed on the pool, Fitch adjusted the expected losses. A portion of the loans received 'C' or 'D' grades, mainly due to missing documentation that resulted in the ability to test for certain compliance issues, potential high-cost issues, or ATR Risk/Fail issues. As a result, Fitch applied negative loan level adjustments, which increased the 'AAAsf' losses. A ProTitle search found outstanding liens that predate the mortgage. It was confirmed that a majority of these liens are retired and nothing is owed. There were 59 loans with a clean title search, for which potentially superior post-origination liens/judgments were found totaling $281,548.45. In addition, 105 mortgage loans indicated potentially superior post-origination liens/judgments totaling $2,336,751.58. Based on the transaction documents, the trust will be responsible for $840,000 in these liens. As a result, Fitch increased the LS by this amount since the trust would be responsible for reimbursing the servicers for this amount. The amount of the adjustment was not material and had no impact on the expected losses. The ProTitle search noted less than 10 loans not in a first lien position. Fitch received confirmation from the servicers that these loans are in a first lien position. The servicers are monitoring for liens that could take priority over the first lien status of the mortgages in the pool and will advance, per standard servicing practices, to maintain the first lien position of the mortgages in the pool. As a result, Fitch considered 100% of the loans in the pool to be in the first lien position. Fitch received confirmation from the servicers on the current lien status of the loans in the pool. The servicers regularly orders these searches as part of its normal business practice and resolves issues as they arise. No additional adjustment was made as a result. As a result of the valid title policy and the servicers monitoring the lien status, Fitch treated 100% of the pool as first liens or second liens as stated in the tape. The custodian is actively tracking down missing documents. In the event a missing document materially delays or prevents a foreclosure, the sponsor will have 90 days to find the document or cure the issue. If the loan seller cannot cure the issue or find the missing documents, they will repurchase the loan at the repurchase price. As a result, Fitch only extended timelines for missing documents. A pay history review was conducted on a sample set of loans by AMC. The review confirmed the pay strings are accurate, and the servicers confirmed the payment history was accurate for all the loans. As a result, 100% of the pool's payment history was confirmed. 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 ProTitle and AMC and Selene to perform the reviews. Loans reviewed under this engagement were given initial and final compliance grades. A small portion of the loans in the pool received a credit or valuation review. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers materially affect the overall credit risk of the loans. Please refer to the Third-Party Due Diligence section of the presale report for more details. Fitch also received confirmation from the servicer that the lien status and payment history provided in the tape is accurate per its records. Fitch took this information into consideration in its analysis. Fitch 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. PRKCM 2026-AFC3 TRUST: S&P Assigns B (sf) Rating on Cl. B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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, condotels, and two- to four-family residential properties. The pool consists of 967 loans, comprising qualified mortgage (QM) safe harbor (average prime offer rate), QM rebuttable presumption, non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt loans. S&P said, "After we assigned our preliminary ratings on April 24, 2026, the issuer decided not to issue the class A-1FCF and A-1LCF notes on the closing date. As a result, the class A-1A and A-1B note amounts increased to $258,995,804 and $38,088,196, respectively, from $131,714,000 and $19,370,000. At the same time, the corresponding class A-1 note amount increased to $297,084,000 from $151.084,000. Additionally, after we assigned preliminary ratings on April 24, 2026, one loan had a current balance increase of $1,600, which was allocated to class B3. As such, credit enhancement to the more senior classes increased by a de minimis amount. After analyzing the final coupons and the updated structure, we assigned ratings to the classes unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage originator, AmWest Funding Corp.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) PRKCM 2026-AFC3 Trust Class A-1A, $258,995,804: AAA (sf) Class A-1B, $38,088,196: AAA (sf) Class A-1, $297,084,000: 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, $3,810,695: Not rated Class A-IO-S, Notional(ii): Not rated Class XS, Notional(ii): Not rated Class R, Not applicable: Not rated (i)The ratings address the ultimate payment of interest and principal. (ii)The notional amount is currently $380,878,695 and equals the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. PROGRESS RESIDENTIAL 2026-SFR2: DBRS Finalizes BB on Cl. F Notes ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized the following provisional credit ratings on the Single-Family Rental Pass-Through Certificates (the Certificates) issued by Progress Residential 2026-SFR2 Trust (PROG 2026-SFR2): -- $408.4 million Class A at AAA (sf) -- $65.7 million Class B at AA (low) (sf) -- $53.4 million Class C at A (low) (sf) -- $47.2 million Class D at BBB (sf) -- $49.3 million Class E at BBB (low) (sf) -- $51.3 million Class F at BB (sf) The AAA (sf) credit rating on the Class A certificates reflects 44.88% of credit enhancement provided by subordinate certificates. The AA (low) (sf), A (low) (sf), BBB (sf), BBB (low) (sf), and BB (sf) credit ratings reflect 36.01%, 28.81%, 22.44%, 15.79%, and 8.86% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The PROG 2026-SFR2 certificates are supported by the income streams and values from 2,156 rental properties. The properties are distributed across nine states and 24 MSAs in the United States. Morningstar DBRS maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by BPO value, 61.6% of the portfolio is concentrated in three states: Florida (32.8%), Georgia (15.1%), and North Carolina (13.7%). The average BPO value is $380,750. The average age of the properties is roughly 26 years as of the cut-off date. The majority of the properties have three or more bedrooms. The certificates represent beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $740.9 million. Morningstar DBRS finalized the provisional credit ratings for each class of Certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses Morningstar DBRS' single-family rental subordination analytical tool and is based on Morningstar DBRS' published criteria (for more details, see https://dbrs.morningstar.com). Morningstar DBRS developed property-level stresses for the analysis of single-family rental assets. The finalized credit ratings are based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable credit rating level. Morningstar DBRS' analysis includes estimated base-case net cash flows (NCFs) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The Morningstar DBRS NCF analysis resulted in a minimum debt service coverage ratio of higher than 1.0 times. (For more details, see the related credit rating report.) Furthermore, Morningstar DBRS reviewed the property manager, servicer, and special servicer in the transaction. These transaction parties are acceptable to Morningstar DBRS (for more details, see the Property Manager and Servicer Summary section of the credit rating report). Morningstar DBRS also conducted a legal review and found no material credit rating concerns. (For details, see the Scope of Analysis section of the credit rating report.) Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amounts and the related Principal Distribution Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2026-NQM2: DBRS Finalizes 'B(low)' Rating on Cl. B-2 Certs --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Mortgage-Backed Pass-Through Certificates, Series 2026-NQM2 (the Certificates) issued by PRPM 2026-NQM2 Trust as follows: -- $185.9 million Class A-1FCF at AAA (sf) -- $62.0 million Class A-1LCF at AAA (sf) -- $20.0 million Class A-1A at AAA (sf) -- $3.3 million Class A-1B at AAA (sf) -- $247.8 million Class A-1 at AAA (sf) -- $25.1 million Class A-2 at AA (high) (sf) -- $32.7 million Class A-3 at AA (low) (sf) -- $22.4 million Class M-1A at BBB (high) (sf) -- $9.3 million Class M-1B at BBB (low) (sf) -- $6.8 million Class B-1 at BB (high) (sf) -- $13.2 million Class B-2 at B (low) (sf) The AAA (sf) credit rating on the Class A-1, A-1FCF, A-1LCF, A-1A, and A-1B Certificates reflects 29.90% of credit enhancement provided by the subordinated certificates. The AA (high) (sf), AA (low) (sf), BBB (high) (sf), BBB (low) (sf), BB (high) (sf), and B (low) (sf) credit ratings reflect 23.40%, 14.95%, 9.15%, 6.75%, 5.00% and 1.60% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate expanded prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 862 mortgage loans with a total principal balance of $386,801,281 as of the Cut-Off Date (March 31, 2026). PRPM 2026-NQM2 represents the 16th securitization issued from the PRPM NQM shelf, which is backed by both non-Qualified Mortgages (non-QMs) and business-purpose investment property loans underwritten using debt service coverage ratios (DSCRs). PRP-Annex VI AIV, LLC, a fund owned by the aggregator, Balbec Capital LP (Balbec) & PRP Advisors, LLC (PRP), serves as the Sponsor of this transaction. Hometown Equity Mortgage, LLC (29.3%) and OCMBC, Inc. (19.6%) are the largest originators of the mortgage loans. Fay Servicing, LLC (Fay; 70.5%) and NewRez LLC dba Shellpoint Mortgage Servicing (Shellpoint; 29.5%), are the Servicers of the loans in this transaction. SNSC will also be the Special Servicer for the transaction. PRP will act as Servicing Administrator. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as Trustee, Securities Administrator, and Certificate Registrar. U.S. Bank National Association and Computershare Trust Company, N.A. will act as Custodians. For 45.4% of the pool, the mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and DSCR, where applicable. Because these loans were made to borrowers for business purposes, they are exempt from the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules and Truth in Lending Act (TILA)/Real Estate Settlement Procedures Act (RESPA) Integrated Disclosure (TRID) rule. For 52.9% of the pool, the mortgage loans were originated to satisfy the CFPB's ATR rules but were made to borrowers who generally do not qualify for agency, government, or private-label non-agency prime jumbo products for various reasons. Approximately 39.5% of the loans were originated in accordance with the QM/ATR rules; these loans are designated as non-QM. Remaining loans subject to the ATR rules are designated as QM Safe Harbor (6.6%), and QM Rebuttable Presumption (1.0%) by unpaid principal balance (UPB). The Sponsor or a majority-owned affiliate of the Sponsor will retain an eligible horizontal interest of at least 5% of the aggregate fair value of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the earlier of (1) the distribution date in May 2029 or (2) the date when the aggregate UPB of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts, any deferred amounts, and other fees, expenses, indemnification, and reimbursement amounts described in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association (MBA) method 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. For this transaction, the Servicers will not fund advances of delinquent principal and interest (P&I) on any mortgage. However, the Servicers are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). Class A-1 is an exchangeable certificate while Classes A-1FCF and A-1LCF are initial exchangeables certificates. The final initial Class Balance of each class of Certificates will be set forth in the final private placement memorandum. In the event the final aggregate initial Class Balance of the Class A-1-A Certificates and Class A-1-B Certificates is equal to the Aggregate Initial Class A-1 Balance, the Class A-1FCF Certificates and Class A-1LCF Certificates will not be issued. In the event the final aggregate initial Class Balance of the Class A-1FCF Certificates and Class A-1LCF Certificates is equal to the Aggregate Initial Class A-1 Balance, the Class A-1-A Certificates and Class A-1-B Certificates (and therefore, the Class A-1 Certificates) will not be issued. These classes can be exchanged in combinations as specified in the offering documents. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. The Class A-1A and Class A-1B, and separately the Class A-1FCF and Class A-1LCF, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, M-1A, M-1B and B-1 if issued with fixed rate. For this transaction, the Class A-1FCF, Class A-1LCF, Class A-1A, Class A-1B, Class A-2, and Class A-3 Certificates have fixed coupon rates that step up by 100 basis points on and after the payment date in June 2030. On or after June 2030, interest and principal otherwise payable to the Class B-3 Certificates may also be used to pay the Class A-1FCF, Class A-1LCF, Class A-1A, Class A-1B, Class A-2, and Class A-3 Certificates Cap Carryover Amounts after the Class A coupons step up. The credit ratings reflect transactional strengths that include the following: -- Robust pool composition; -- Certain loan attributes; -- Improved underwriting standards; -- Satisfactory third-party due diligence review; and -- Compliance with the ATR rules. The transaction also includes the following challenges: -- Investor DSCR loans; -- Nonprime, non-QM, and investor loans; -- No servicer advances of delinquent P&I; and -- Representations and warranties framework. Morningstar DBRS' credit rating on Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are for each of the rated Certificates are the related Interest Distribution Amount, any Interest Carryforward Amount, and the related Class Balances. Morningstar DBRS' credit rating on the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2, and A-3 Certificates also addresses the credit risk associated with the increased rate of interest applicable to certificates if they remain outstanding on the step-up date (June 2030) in accordance with the applicable transaction documents. 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, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. RCKT MORTGAGE 2026-CES5: Fitch Assigns 'B(EXP)sf' on Five Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by RCKT Mortgage Trust 2026-CES5 (RCKT 2026-CES5). Entity/Debt Rating ----------- ------ RCKT 2026-CES5 A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating A4 LT AA(EXP)sf Expected Rating A5 LT A(EXP)sf Expected Rating A6 LT BBB(EXP)sf Expected Rating B1A LT BB(EXP)sf Expected Rating BX1A LT BB(EXP)sf Expected Rating B1B LT BB(EXP)sf Expected Rating BX1B LT BB(EXP)sf Expected Rating B2A LT B(EXP)sf Expected Rating BX2A LT B(EXP)sf Expected Rating B2B LT B(EXP)sf Expected Rating BX2B LT B(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A1L LT AAA(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating LTR LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 5,722 closed-end second lien (CES) loans with a total balance of approximately $545.2 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 and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or cover net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RCKT 2026-CES5 has a final probability of default (PD) of 19.0% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 98.3%. The expected loss in the 'AAAsf' rating stress is 18.7%. Structural Analysis: The mortgage cash flow and loss allocation in RCKT 2026-CES5 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, second, 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 framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 25.0% of the loans in the transaction by loan count. Fitch applies a 5% probability of default reduction for loans fully reviewed by a third-party review firm, which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects RCKT 2026-CES5 to be fully de-linked and a bankruptcy-remote special-purpose vehicle. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to RCKT 2026-CES5 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 38.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch received Form ABS Due Diligence-15E (Form 15E), prepared by SitusAMC and Consolidated Analytics. The third-party due diligence described in Form 15E covered credit, compliance, and property valuation reviews. Fitch considered the results of this review in its analysis and, accordingly, applied an approximately 5% origination PD credit to loans that were fully reviewed by the third-party review firm and assigned a final grade of A or B. Third-party due diligence was performed on 25.0% of the transaction's loans by loan count and all reviewed loans received a grade of 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 36: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta 36 Funding Ltd. Entity/Debt Rating ----------- ------ Regatta 36 Funding Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Regatta 36 Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Napier Park Global Capital (US) LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.48, 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 97.87% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.45% 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 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. 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, '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 Regatta 36 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. REGATTA VIII: Fitch Affirms 'B-sf' Rating on Class F Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta VIII Funding Ltd.'s class A-2R2, B-R2, C-R2, and D-1R2 refinancing notes. Fitch has also affirmed the ratings on the original class D-2R, class E-R, and class F Notes. Entity/Debt Rating Prior ----------- ------ ----- Regatta VIII Funding Ltd. X-R2 LT NRsf New Rating A-1R2 LT NRsf New Rating A-2R 75888KAN4 LT PIFsf Paid In Full AAAsf A-2R2 LT AAAsf New Rating B-R 75888KAQ7 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-R 75888KAS3 LT PIFsf Paid In Full Asf C-R2 LT A+sf New Rating D-1R 75888KAU8 LT PIFsf Paid In Full BBBsf D-1R2 LT BBB+sf New Rating D-2R 75888KAW4 LT BBB-sf Affirmed BBB-sf E-R 75888JAL1 LT BB-sf Affirmed BB-sf F 75888JAN7 LT B-sf Affirmed B-sf Transaction Summary Regatta VIII Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Regatta Loan Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $393 million of primarily first lien senior secured leveraged loans (excluding defaults and including principal cash). KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', 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 96.65% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.84% 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 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 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. The changes include but are not limited to: - Class X with a spread of 1.1% being refinanced to Class X-R2 with a lower spread of 0.90%. - Class A-1R with a spread of 1.55% being refinanced to Class A-2R2 with a lower spread of 1.28%. - Class A-2R with a spread of 1.75% being refinanced to Class A-2R2 with a lower spread of 1.50%. - Class B-R with a spread of 2.05% being refinanced to Class B-R2 with a lower spread of 1.60%. - Class C-R with a spread of 2.50% being refinanced to Class C-R2 with a lower spread of 1.90%. - Class D-1R with a spread of 3.70% being refinanced to Class D-1R2 with a lower spread of 3.10%. The class D-2R, E-R and F notes have not been refinanced. FITCH ANALYSIS The portfolio includes 492 assets from 432 primarily high-yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $393 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Floating Spread and Weighted Average Rating Factor tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 44.1% of the current portfolio par balance; ratings for 55.5% 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 three obligors: 2.5% each, next largest two obligors: 2.0% each, for an aggregate of 11.5%; - Largest three industries: 16.0%, 14.0%, and 10.0%, respectively; - Assumed risk horizon: 6.08 years; - Minimum weighted average spread of 3.12%; - Minimum weighted average recovery rate of 73.60%; - Maximum weighted average rating factor of 24.00; - Fixed-rate assets: 5.00%; - Minimum weighted average coupon of 3.80%; The transaction will exit its reinvestment period on April 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 A-2R2: 'AAAsf' / Default 41.50% / Recovery 39.28% / Cushion 12.30% - Class B-R2: 'AAsf' / Default 38.90% / Recovery 48.33% / Cushion 11.10% - Class C-R2: 'A+sf' / Default 35.60% / Recovery 57.87% / Cushion 9.80% - Class D-1R2: 'BBB+sf' / Default 29.80% / Recovery 67.45% / Cushion 9.40% - Class D-2R: 'BBB-sf' / Default 26.30% / Recovery 67.30% / Cushion 6.00% - Class E-R: 'BB-sf' / Default 22.00% / Recovery 72.73% / Cushion 6.10% - Class F: 'B-sf' / Default 17.50% / Recovery 77.14% / Cushion 8.60% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-2R2: 'AAAsf' / Default 48.00% / Recovery 39.44% / Cushion 7.00% - Class B-R2: 'AAsf' / Default 44.90% / Recovery 47.38% / Cushion 6.10% - Class C-R2: 'A+sf' / Default 41.40% / Recovery 56.81% / Cushion 4.60% - Class D-1R2: 'BBB+sf' / Default 35.30% / Recovery 66.02% / Cushion 4.90% 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 'Asf' and 'AAAsf' for class A-2R2, between 'BBB-sf' and 'AA+sf' for class B-R2, between 'BBsf' and 'A+sf' for class C-R2, between less than 'B-sf' and 'BBB+sf' for class D-1R2, between less than 'B-sf' and 'BBB-sf' for class D-2R, between less than 'B-sf' and 'B+sf' for class E-R, and between less than 'B-sf' and 'Bsf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1R2, 'A+sf' for class D-2R, 'BBB+sf' for class E-R, and 'BBB-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 VIII 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. REPUBLIC FINANCE 2026-A: DBRS Finalizes BBsf Rating on Cl. E Notes ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of notes (collectively, the Notes) issued by Republic Finance Issuance Trust 2026-A (REPS 2026-A): -- $233,910,000 Class A Notes at AAA (sf) -- $36,780,000 Class B Notes at AA (low) (sf) -- $33,950,000 Class C Notes at A (sf) -- $25,470,000 Class D Notes at BBB (sf) -- $18,860,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on a review by Morningstar DBRS of the following analytical considerations: (1) This is Republic Finance, LLC's (Republic or the Company) seventh ABS 144A transaction, their inaugural transaction occurred in October 2019, this is their first transaction of 2026. (2) The is the second securitization issued by Republic that has attained a AAA (sf) credit rating for the senior class. -- As of August 1, 2025, the Company no longer accepts cash payments in any branch. -- Republic currently receives about 45% of customer payments in-branch and about 55% via central operations, telephone, internet, and third-party vendors. All Republic branches now have automated check scanning machines, which allows for instant credit of a check payment. -- Republic supplemented its reporting to its backup servicer, Computershare Trust Company, N.A. (Computershare), in order to ease Computershare's ability to take over servicing in a backup role if it were ever required to do so. (3) The 2026-A transaction is the first Republic securitization to have no re-investment criteria limits around bank partner originated loans. Starting with the 2025-A transaction, Republic has launched a bank partnership with Column N.A. (Column). Under the bank partnership agreement, Column is originating the different types of loan products across Republic's lending platform. MDBRS has reviewed the processes, program agreement and loan agreement Republic has entered into with Column. In the future, Republic may acquire Loans originated by other third-party originators which are expected to be federally chartered banks regulated by the Office of the Comptroller of the Currency and with respect to prior notice being provided to the Rating Agencies. (4) Transaction capital structure and form and sufficiency of available credit enhancement. (5) Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support Morningstar DBRS' stressed projected finance yield, principal payment rate, and charge-off assumptions under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. (6) Republic's capabilities with regard to originations, underwriting, and servicing. Morningstar DBRS performed an operational review of the Company and considers it an acceptable originator and servicer of personal loans with an acceptable backup servicer. The Company's senior management team has considerable experience and a successful track record in the consumer loan industry. (7) Acquisition of a majority stake in the Company by CVC in November 2017 with the founding family retaining a significant share of the Company. CVC has since implemented and maintained a growth strategy, including increasing the number of branches, centralizing certain underwriting, and servicing functions as well as building an online presence. CVC always reviews their holdings and is exploring various strategic alternatives regarding ownership at this point. (8) In April 2019, Republic completed the implementation of centralized underwriting policies and processes for all branches, which allowed the creation of a hybrid servicing model. The Company opened a fully centralized collections center in Charlotte, North Carolina. The center was further enhanced in 2021 to close loans over the phone with customers that are not within the geographical footprint of a branch. (9) Computershare will serve as backup servicer. (10) The credit quality of the collateral and performance of Republic's consumer loan portfolio. Morningstar DBRS has used a hybrid approach in analyzing the Company's portfolio that incorporates elements of static pool analysis, employed for assets such as consumer loans, and revolving asset analysis, employed for assets such as credit card master trusts. -- The weighted-average (WA) remaining term as of the Statistical Cut-Off Date is approximately 36 months. -- Morningstar DBRS applied a finance yield haircut of 10.00% to the Class A Notes, 7.33% to the Class B Notes, 6.00% to the Class C Notes, 4.00% to the Class D Notes, and 2.00% to the Class E Notes. While these haircuts are lower than the range described in the Morningstar DBRS Rating U.S. Credit Card Asset-Backed Securities methodology, the fixed-rate nature of the underlying loans, lack of interchange fees, and historical yield consistency support these stressed assumptions. -- The base-case assumption for yield is 25.50%, which remains the same as for the REPS 2025-A transaction, also rated by Morningstar DBRS, and aligns with the reinvestment criteria event if the weighted-average coupon (WAC) is less than 25.50%. -- The WAC of the Statistical Cut-Off Date is 28.03%. (11) Principal payment rates for Republic's portfolio, as calculated by Morningstar DBRS, have trended lower since 2017. Depending on the credit tiers and subportfolio, these rates have generally averaged between 2.5% and 8.0% over the past several years. -- The Morningstar DBRS base-case assumption for the principal payment rate is 2.85%. -- Morningstar DBRS applied a payment rate haircut of 43.26% to the Class A Notes, 38.33% to the Class B Notes, 35.00% to the Class C Notes, 30.00% to the Class D Notes, and 20.00% to the Class E Notes. (12) The transaction assumptions consider Morningstar DBRS's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update, published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (13) Morningstar DBRS' projected base-case annualized CNL has decreased from the prior REPS 2025-A transaction mainly because of tighter re-investment criteria. Charge-off rates spiked in mid-2022 and early 2023. The losses were related to inflation affordability issues that many of Republic's borrowers faced during early 2022. Since then, Republic has taken many steps to tighten underwriting, enhance servicing, and cease originations in certain buckets. The portfolio has since stabilized, and the Morningstar DBRS net charge-off assumption rate is 13.37%. (14) The legal structure and presence of legal opinions that address the true sale of the assets from the Seller to the Depositor, the nonconsolidation of the special-purpose vehicle with the Seller, that the Indenture Trustee has a valid first-priority security interest in the assets, and that it is consistent with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Monthly Interest Amount and the related Note Balance. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each of the rated Notes is the related interest on any unpaid Monthly Interest Amount. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. REPUBLIC FINANCE 2026-A: S&P Assigns BB+(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Republic Finance Issuance Trust 2026-A's personal consumer loan-backed notes. The note issuance is an ABS transaction backed by personal consumer loan receivables. The ratings reflect S&P's view of: -- Initial hard enhancement of approximately 38.75%, 29.00%, 20.00%, 13.25%, and 8.25% for the class A, B, C, D, and E notes, respectively, including the nonamortizing reserve account. -- The fully funded, nonamortizing reserve account of $2.83 million (approximately 0.75% of the initial loan pool). -- The characteristics of the pool being securitized and receivables expected to be purchased during the revolving period. -- S&P's worst-case, weighted average base-case loss for this transaction of 15.79%, which is a function of the transaction-specific reinvestment criteria and actual loan performance. Its base case also accounts for historical volatility observed in annualized gross loss rates for Republic Finance LLC's managed loan portfolio over time. -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned ratings will be within the limits specified in the credit stability section of "S&P Global Ratings Definitions," published Dec. 16, 2025. -- The transaction's fully sequential payment structure, which is designed to maintain overcollateralization of approximately $28.30 million (approximately 7.50% of the initial loan pool). -- The transaction's legal structure. -- In rating this transaction, S&P Global Ratings has reviewed the relevant legal matters outlined in its criteria. Ratings Assigned(i) Republic Finance Issuance Trust 2026-A Class A, $233.91 million: AAA (sf) Class B, $36.78 million: AA+ (sf) Class C, $33.95 million: A+ (sf) Class D, $25.47 million: BBB (sf) Class E, $18.86 million: BB+ (sf) SEQUOIA MORTGAGE 2026-6: Fitch Assigns B(EXP)sf Rating on B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and rating Outlooks to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-6 (SEMT 2026-6). Entity/Debt Rating ----------- ------ SEMT 2026-6 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating A26F LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A28 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating ACH4 LT AAA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating ACH67 LT AAA(EXP)sf Expected Rating A32 LT AAA(EXP)sf Expected Rating A33 LT AAA(EXP)sf Expected Rating A34 LT AAA(EXP)sf Expected Rating A35 LT AAA(EXP)sf Expected Rating A36 LT AAA(EXP)sf Expected Rating A37 LT AAA(EXP)sf Expected Rating A38 LT AAA(EXP)sf Expected Rating A39 LT AAA(EXP)sf Expected Rating A40 LT AAA(EXP)sf Expected Rating A41 LT AAA(EXP)sf Expected Rating A42 LT AAA(EXP)sf Expected Rating A43 LT AAA(EXP)sf Expected Rating A44 LT AAA(EXP)sf Expected Rating A45 LT AAA(EXP)sf Expected Rating A46 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating AIO27F LT AAA(EXP)sf Expected Rating AIO29 LT AAA(EXP)sf Expected Rating AIO30 LT AAA(EXP)sf Expected Rating AIO36 LT AAA(EXP)sf Expected Rating AIO37 LT AAA(EXP)sf Expected Rating AIO38 LT AAA(EXP)sf Expected Rating AIO39 LT AAA(EXP)sf Expected Rating AIO40 LT AAA(EXP)sf Expected Rating AIO41 LT AAA(EXP)sf Expected Rating AIO42 LT AAA(EXP)sf Expected Rating AIO43 LT AAA(EXP)sf Expected Rating AIO44 LT AAA(EXP)sf Expected Rating AIO45 LT AAA(EXP)sf Expected Rating AIO46 LT AAA(EXP)sf Expected Rating AIO47 LT AAA(EXP)sf Expected Rating AIO67 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating LTR LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 588 loans with a total balance of approximately $740.1 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 778 and 35.1% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 69.9% mark-to-market combined LTV (cLTV). Overall, 96.4% of the pool loans are for primary residences, while the remainder are second homes. In addition, 100% of the loans were underwritten to full documentation. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-6 has a final probability of default (PD) of 9.35% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 34.63%. The expected loss in the 'AAAsf' rating stress is 3.24%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-6 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 95.9% of the loans in the transaction by loan count. Fitch applies a 5bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SEMT 2026-6 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-6, and therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.7% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either "A" or "B." ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SG RESIDENTIAL 2026-3: S&P Assigns B- (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to SG Residential Mortgage Trust 2026-3's residential mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans secured primarily by single-family residential properties, planned-unit developments, condominiums, co-operatives, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 530 loans. S&P said, "After we assigned preliminary ratings on April 21, 2026, one loan was dropped from the pool and the resulting pool balance reduction was distributed proportionally among the classes. The senior classes were also rebalanced from classes A-1FCF, A-1FCX, and A-1LCF to classes A-1A and A-1B. In addition, the class B-1 certificates were priced as net weighted average coupon. This resulted in no change in credit enhancement. After reviewing the final structure, we assigned final ratings that are consistent with the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator, SG Capital Partners LLC, and the mortgage originator ClearEdge Lending; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Ratings Assigned SG Residential Mortgage Trust 2026-3(i) Class A-1A, $196,896,000: AAA (sf) Class A-1B, $29,213,736: AAA (sf) Class A-1, $226,109,736: AAA (sf) Class A-1FCF, $31,578,948: AAA (sf) Class A-1FCX, $31,578,948(ii): AAA (sf) Class A-1LCF, $10,526,316: AAA (sf) Class A-2, $15,247,000: AA (sf) Class A-3, $33,440,000: A (sf) Class M-1, $13,515,000: BBB- (sf) Class B-1, $7,451,000: BB- (sf) Class B-2, $5,198,000: B- (sf) Class B-3, $3,465,356: NR Class A-IO-S, Notional(iii): N/A Class XS, Notional(iii): N/A Class R, N/A: N/A (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The class A-1FCX will have a notional amount equal to the certificate amount of the class A-1FCF certificates and will not be entitled to payments of principal. (iii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. SHACKLETON 2015-VII-R: Moody's Cuts Rating on $26.5MM E Notes to B1 ------------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Shackleton 2015-VII-R CLO, Ltd.: US$30.5M Class D-RR Mezzanine Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Jul 25, 2025 Upgraded to A3 (sf) US$26.5M Class E Junior Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Jul 25, 2025 Affirmed Ba3 (sf) US$8.1M (Current outstanding amount US$8,608,609) Class F Junior Deferrable Floating Rate Notes, Downgraded to Caa3 (sf); previously on Jul 25, 2025 Affirmed Caa2 (sf) Moody's have also affirmed the ratings on the following notes: US$243.6M (Current outstanding amount US$7,082,032) Class A-RR Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 25, 2025 Affirmed Aaa (sf) US$56.2M Class B-RR Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 25, 2025 Affirmed Aaa (sf) US$24.7M Class C-RR Mezzanine Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 25, 2025 Upgraded to Aaa (sf) Shackleton 2015-VII-R CLO, Ltd., originally issued in July 2018 and partially refinanced in May 2021 and October 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Alcentra NY, LLC. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The upgrade to the rating of the Class D-RR notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in July 2025; the downgrades to the ratings of the Class E and Class F notes are a result of the deterioration of the key credit metrics of the underlying pool since the last rating action in July 2025. The affirmations on the ratings on the Class A-RR, Class B-RR and Class C-RR 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. OThe Class A-RR notes have paid down by approximately USD102.4 million (42.0%) since the last rating action in July 2025 and USD236.5 million (97.1%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for the more senior notes. However, par losses have had a negative impact on OC for the more junior notes. According to the trustee report dated April 2026[1], the Class A/B, Class C, Class D and Class E OC ratios are reported at 201.1%, 155.34%, 121.27% and 101.86% compared to July 2025[2] levels of 144.77%, 129.73%, 114.99% and 104.65% respectively. Moody's notes that the April 2026 principal payments are not reflected in the reported OC ratios. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated April 2026[1], the WARF was 3581, compared with 3241 in July 2025[2]. Securities with ratings of Caa1 or lower currently make up approximately 20.02% of the underlying portfolio, versus 11.87% in July 2025[2]. 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: USD154.48m Defaulted Securities: USD7.27m Diversity Score: 44 Weighted Average Rating Factor (WARF): 3565 Weighted Average Life (WAL): 2.8 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.35% Weighted Average Recovery Rate (WARR): 46.88% Par haircut in OC tests and interest diversion test: 5.14% 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. 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. SILVER POINT 4: Fitch Affirms 'BBsf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Silver Point CLO 4, Ltd. refinancing notes. Fitch has also affirmed the class E notes with a Stable Rating Outlook. Entity/Debt Rating Prior ----------- ------ ----- Silver Point CLO 4, Ltd. A-1-R LT NRsf New Rating A-2 82809EAJ9 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B-1 82809EAC4 LT PIFsf Paid In Full AAsf B-2 82809EAL4 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 82809EAE0 LT PIFsf Paid In Full A+sf C-R LT A+sf New Rating D 82809EAG5 LT PIFsf Paid In Full BBB-sf D-R LT BBBsf New Rating E 82809CAA2 LT BBsf Affirmed BBsf Transaction Summary Silver Point CLO 4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Silver Point RR Manager, L.P. that originally closed in March 2024. The class A-1, A-2, B-1, B-2, C and D notes will be refinanced on May 1, 2026. 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+'/'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 97.09% first-lien senior secured loans and has a weighted average recovery assumption of 71.2%. 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 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. 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 class B-1 and B-2 floating/fix notes are being combined into one floating class B-R note; The Fitch rated class E notes are not included in this refinancing; The spreads for the class A-2-R, B-R, C-R and D-R notes are 1.55%, 1.70%, 2.05% and 3.85%, respectively, compared to the original closing spreads of 1.83%, 2.10%(floating)/6.07%(fixed), 2.65% and 4.10% for the class A-2, B-1/B-2, C and D notes, respectively. Non-call period for the class A-1-R notes ends on the July 2027 payment date; Non-call period for other refi'd classes end on the April 2027 payment date; The reinvestment period and legal final maturity remain the same from the original closing. Fitch Analysis The portfolio includes 356 assets from 276 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $450 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Floating Spread and Weighted Average Rating Factor tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B+'/'B'. Fitch has an explicit rating, credit opinion or private rating for 47.0% of the current portfolio par balance; ratings for 52.7% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.3% were unrated. Cash flow model analysis was conducted for this refinancing. As per Fitch's 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: 15.6%, 13.2%, and 12.0%, respectively; - Assumed risk horizon: 6 years; - Minimum weighted average spread of 3.05%; - Fixed rate Assets: 5.00%; - 'CCC' obligors as defined by Fitch's ratings: 7.5%; - Minimum weighted average coupon of 5.50%; - Non-first priority senior secured assets: 7.5%; - The transaction will exit its reinvestment period on 04-15-2029. Fitch Asset and Cash Flow Analysis The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-2-R: 'AAAsf' / Default 42.20% / Recovery 37.68% / Cushion 11.00% - Class B-R: 'AA+sf' / Default 41.00% / Recovery 46.34% / Cushion 9.40% - Class C-R: 'A+sf' / Default 36.00% / Recovery 56.11% / Cushion 10.10% - Class D-R: 'BBBsf' / Default 29.40% / Recovery 65.31% / Cushion 5.60% - Class E: 'BBsf' / Default 23.70% / Recovery 70.89% / Cushion 6.40% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-2-R: 'AAAsf' / Default 48.40% / Recovery 36.16% / Cushion 3.30% - Class B-R: 'AA+sf' / Default 46.90% / Recovery 44.14% / Cushion 2.50% - Class C-R: 'A+sf' / Default 41.30% / Recovery 53.51% / Cushion 3.50% - Class D-R: 'BBBsf' / Default 34.30% / Recovery 62.68% / Cushion 0.90% 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-R, between 'BBB-sf' and 'AAsf' for class B-R, between 'BB+sf' and 'Asf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-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, 'A+sf' 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 Silver Point CLO 4, 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. SIXTH STREET VIII: S&P Lowers Class D-R2 Notes Rating to 'B (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its rating on the class D-R2 notes issued by Sixth Street CLO VIII Ltd./Sixth Street CLO VIII LLC, a U.S. collateralized loan obligation (CLO) managed by TICP CLO VIII Management LLC. At the same, S&P removed the rating from CreditWatch, where it was placed with negative implications on Feb. 5, 2026. S&P also affirmed its ratings on class A-1-R2, A-2-R2, B-R2, and C-R2 notes. The rating actions follow its review of the transaction's performance using data from the March 10, 2026, trustee report. On Feb. 5, 2025, S&P placed its rating on the class D-R2 debt on CreditWatch negative primarily due to the class's indicative cash flow results, which no longer passed at its then rating, and the decline in its credit support. The changes in the trustee reported overcollateralization (O/C) ratios since the CLO was refinanced in December 2024 include the following: -- The class A O/C ratio declined to 128.04% from 129.22%. -- The class B O/C ratio declined to 118.67% from 119.77%. -- The class C O/C ratio declined to 110.58% from 111.60%. -- The class D O/C ratio declined to 106.06% from 107.04%. The decline in the O/C ratios is primarily due to the par loss incurred by CLO. In addition, the cash flows were affected by the decrease in the weighted average spread and were no longer passing at their previous rating. As a result, S&P downgraded the class D-R2 notes and removed it from CreditWatch negative. The affirmations reflect the classes' adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could result in further rating actions. S&P said, "On a standalone basis, the results of our cash flow analysis indicated a one-notch lower rating on the class C-R2 notes than the rating actions reflect. However, we affirmed the rating after considering the margin of failure, the tranche's current credit support, the transaction's low exposure to 'CCC'/'CCC-' rated obligors, and our view that the credit support may improve once the CLO starts to amortize after its reinvestment ends in October 2026. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Lowered And Removed From CreditWatch Sixth Street CLO VIII Ltd./Sixth Street CLO VIII LLC Class D-R2 to 'B (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Sixth Street CLO VIII Ltd./Sixth Street CLO VIII LLC Class A-1-R2: AAA (sf) Class A-2-R2: AA (sf) Class B-R2: A (sf) Class C-R2: BBB- (sf) SOUND POINT XXVI: Moody's Affirms Ba3 Rating on $22.5MM E-R Notes ----------------------------------------------------------------- Moody's Ratings (Moody's) has upgraded the rating on the following notes issued by Sound Point CLO XXVI, Ltd.: US$60M Class B-R Senior Secured Floating Rate Notes, Upgraded to Aa1 (sf); previously on Jul 20, 2021 Assigned Aa2 (sf) Moody's have also affirmed the ratings on the following notes: US$320M Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 20, 2021 Assigned Aaa (sf) US$19.5M Class C-1-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed A2 (sf); previously on Jul 20, 2021 Assigned A2 (sf) US$8M Class C-2-R Mezzanine Secured Deferrable Fixed Rate Notes, Affirmed A2 (sf); previously on Jul 20, 2021 Assigned A2 (sf) US$30M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Jul 20, 2021 Assigned Baa3 (sf) US$22.5M Class E-R Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Jul 20, 2021 Assigned Ba3 (sf) Sound Point CLO XXVI, Ltd., issued in June 2020 and refinanced in July 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 will end in July 2026. RATINGS RATIONALE The upgrade on the rating on the Class B-R notes is primarily a result of the benefit of the shorter period of time remaining before the end of the reinvestment period in July 2026. The affirmations on the ratings on the Class A-R, C-1-R, C-2-R, D-R and E-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. In light of reinvestment restrictions during the amortisation period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's analysed the deal assuming a higher likelihood that the collateral pool characteristics would maintain an adequate buffer relative to certain covenant requirements. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD493.2.m Defaulted Securities: USD0.1m Diversity Score: 81 Weighted Average Rating Factor (WARF): 2553 Weighted Average Life (WAL): 4.16 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.83% Weighted Average Coupon (WAC): 2.44% Weighted Average Recovery Rate (WARR): 46.08% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in 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. -- Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which could lengthen as a result of the manager's decision to reinvest in new issue loans or other loans with longer maturities, or participate in amend-to-extend offerings. -- 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 other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. STRUCTURED ASSET 2005-RF4: Moody's Ups Rating on 2 Tranches to B2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds issued by Structured Asset Securities Corp. 2005-RF4. The collateral backing this deal consists of FHA-VA mortgages. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. Issuer: Structured Asset Securities Corp. 2005-RF4 Cl. A, Upgraded to B2 (sf); previously on Jul 28, 2009 Downgraded to B3 (sf) Cl. AIO*, Upgraded to B2 (sf); previously on Jul 28, 2009 Downgraded to B3 (sf) Cl. B1, Upgraded to Caa1 (sf); previously on Jul 23, 2025 Upgraded to Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structure, Moody's updated loss expectations on the underlying pool, and Moody's revised loss-given-default expectation for each bond. The rating upgrades are also a result of the improving performance of the related pool, and an increase in credit enhancement available to the bonds. In addition, Class B1 has incurred a missed or delayed disbursement of an interest payment and is expected to incur a principal write-down. Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No action was taken on the other rated class in this deal because the expected loss remains commensurate with the current rating, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US FHA-VA Residential Mortgage-backed Securitizations: Surveillance" published in April 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. 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. TOWD POINT 2026-FIX2: DBRS Finalizes B(low) Rating on 5 Tranches ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its 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 AAA (sf) -- $3.6 million Class A1B at AAA (sf) -- $16.6 million Class A2 at AA (sf) -- $14.8 million Class M1 at A (sf) -- $13.9 million Class M2A at BBB (sf) -- $11.4 million Class M2B at BBB (low) (sf) -- $6.4 million Class B1 at BB (low) (sf) -- $3.8 million Class B2 at B (low) (sf) -- $289.4 million Class A1 at AAA (sf) -- $16.6 million Class A2A at AA (sf) -- $16.6 million Class A2AX at AA (sf) -- $16.6 million Class A2B at AA (sf) -- $16.6 million Class A2BX at AA (sf) -- $16.6 million Class A2C at AA (sf) -- $16.6 million Class A2CX at AA (sf) -- $16.6 million Class A2D at AA (sf) -- $16.6 million Class A2DX at AA (sf) -- $14.8 million Class M1A at A (sf) -- $14.8 million Class M1AX at A (sf) -- $14.8 million Class M1B at A (sf) -- $14.8 million Class M1BX at A (sf) -- $14.8 million Class M1C at A (sf) -- $14.8 million Class M1CX at A (sf) -- $14.8 million Class M1D at A (sf) -- $14.8 million Class M1DX at A (sf) -- $13.9 million Class M2AA at BBB (sf) -- $13.9 million Class M2AAX at BBB (sf) -- $13.9 million Class M2AB at BBB (sf) -- $13.9 million Class M2ABX at BBB (sf) -- $13.9 million Class M2AC at BBB (sf) -- $13.9 million Class M2ACX at BBB (sf) -- $13.9 million Class M2AD at BBB (sf) -- $13.9 million Class M2ADX at BBB (sf) -- $11.4 million Class M2BA at BBB (low) (sf) -- $11.4 million Class M2BAX at BBB (low) (sf) -- $11.4 million Class M2BB at BBB (low) (sf) -- $11.4 million Class M2BBX at BBB (low) (sf) -- $11.4 million Class M2BC at BBB (low) (sf) -- $11.4 million Class M2BCX at BBB (low) (sf) -- $11.4 million Class M2BD at BBB (low) (sf) -- $11.4 million Class M2BDX at BBB (low) (sf) -- $6.4 million Class B1A at BB (low) (sf) -- $6.4 million Class B1AX at BB (low) (sf) -- $6.4 million Class B1B at BB (low) (sf) -- $6.4 million Class B1BX at BB (low) (sf) -- $3.8 million Class B2A at B (low) (sf) -- $3.8 million Class B2AX at B (low) (sf) -- $3.8 million Class B2B at B (low) (sf) -- $3.8 million Class B2BX at B (low) (sf) The AAA (sf) credit rating reflects 20.00% of credit enhancement provided by subordinate notes. The AA (sf), A (sf), 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. (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. Select Portfolio Servicing Inc. (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. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. 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 rating on Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are related to the Current Interest, Interest Shortfall, and the related Class Principal Balance. Morningstar DBRS' credit rating on Class A1A, Class A1B, Class A2 and Class M1 notes also addresses the credit risk associated with the increased rate of interest applicable to these notes if they remain outstanding on the step-up date (May 2030) in accordance with the applicable transaction documents. 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 Net WAC Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. UPG HI 2026-1: Fitch Gives 'BB(EXP)sf' Rating on Class C Debt ------------------------------------------------------------- Fitch Ratings expects to rate the asset-backed securities (ABS) issued by UPG HI 2026-1 Issuer Trust (UPG HI 2026-1). UPG HI 2026-1 is a term transaction backed by a pool of loan draws on unsecured, fixed-rate home improvement (HI) loans totaling $316.1 million. The transaction is originated by Upgrade, Inc. via Cross River Bank, the originating partner bank. The HI loan draws were purchased by Rithm Home Improvement Loan Trust I from Upgrade. Entity/Debt Rating ----------- ------ UPG HI 2026-1 Issuer Trust A LT A(EXP)sf Expected Rating B LT BBB(EXP)sf Expected Rating C LT BB(EXP)sf Expected Rating Transaction Summary Consistent Receivable Quality: UPG HI 2026-1 is backed by a pool of HI loan draws on unsecured HI loans originated at the point of sale to U.S. homeowners through a national network of contractors. The loan proceeds made available to the borrowers are designated for the financing of windows and doors; roofing; kitchens and bathrooms; heating, ventilation and air conditioning systems; remodeling; and a variety of other HI products and services, but typically excluding projects for water filtration systems and solar systems. Rithm Home Improvement Trust I, which purchased the HI loan draws, is contributing the underlying pool of HI loans for the securitization. The Upgrade program offers four core loan products: Reduced Rate (RR), Zero Interest Loan (ZIL), No-Interest No-Payment (No-No) and No-Interest Yes-Payment (No-Yes) loans. The RR product is a standard interest-bearing amortized loan and the ZIL product is no interest-bearing equivalent. No-No and No-Yes are promotional products with a promotional period of up to 24 months, during which no interest is accrued or billed. For all promotional products, principal and interest amortization occurs after the promotional period. The No-Yes product requires a minimum principal payment during the promotional period. Additional promotional product variations, Deferred No-No and Deferred No-Yes, work similarly, with deferred interest accruing during the promotional period and extinguished if full prepayment of the loan occurs prior to the completion of the promotional period; otherwise, the deferred accrued interest will amortize in equal installments over the amortization period. The weighted average (WA) FICO score of the asset pool is 780. The WA original term of the asset pool is 137 months and the WA loan seasoning is seven months. KEY RATING DRIVERS Rating Cap at 'Asf': The Upgrade home improvement (HI) loan origination program began in 2022. Fitch received about three years of historical performance data. Fitch believes three years of historical data provides only limited insight into the loans' lifetime performance. The asset pool's weighted average (WA) original term is about 11.4 years, and Upgrade offers terms of up to 20 years. Fitch used available performance data from comparable U.S. HI and unsecured consumer loan originators to complement Upgrade-specific historical data. Fitch caps the transaction at 'Asf' because of limited historical data. Asset Pool Assumptions: Fitch's WA base-case lifetime default rate assumption is 7.66%, based on the asset pool's mix of product types and FICO scores. Fitch assumes a rating-case default multiple of 3.23x at the 'Asf' rating level, with a corresponding lifetime default rate of 24.2%. The multiple is assessed at the median-high end of the range in Fitch's applicable rating criteria, primarily reflecting the limited data history of originator-specific performance. Fitch assumes a zero-recovery rate on defaulted loans because the loans are unsecured and limited historical recovery data are limited. Fitch differentiates prepayment rate assumptions by product type, recognizing that prepayment incentives vary across product structures. For deferred products (Deferred No-No and Deferred No-Yes) as well as No-No and No-Yes products, Fitch has observed significantly higher prepayment activity during the promotional period, with prepayment rates accelerating as the end of the promotional period approaches, driven by the anticipated payment step-up upon expiration. To account for this observed behavior, Fitch has increased its base case CPR assumptions for these product types during the promotional period relative to the prior transaction, while post-promotional period prepayment assumptions remain unchanged. Prepayment assumptions for all other product types are also unchanged from the prior transaction. The assumed base case weighted average (WA) prepayment rate is 20.92% per annum (p.a.) during the promotional period and 11.15% p.a. thereafter, based on the mix of FICO scores in the asset pool. All other asset pool and cash flow modeling assumptions are as described in Fitch's rating criteria and throughout this report. Transaction Structure: The pool of HI assets is financed via three classes of rated notes (A, B and class C notes; together, the notes). The notes pay a monthly fixed interest rate set at closing, with the first payment date in April 2026. Credit enhancement (CE) is provided by overcollateralization (OC; initially equal to 7.15% of the asset pool at closing), OC via the subordination of more junior notes, a fully funded non-amortizing reserve sized at 0.50% of the initial note balance and excess spread to the extent generated by the asset pool (initially estimated at 6.5% pa). The assumed base case WA prepayment rate is 20.92% p.a. during the promotional period, up from 15.50% p.a. The structure provides for OC build-up to target 7.15% of the outstanding asset pool, with a floor of 0.50% of the initial asset pool. Target OC for the class A notes is 24.00%. CE at closing (as a percentage of the initial asset pool, including the reserve fund) is 14.46%, 10.46% and 7.61% for the classes A, B and C notes, respectively. Adequate Servicing Capabilities: Upgrade, Inc. and NewRez LLC will act as servicer and backup servicer, respectively, for the transaction upon closing. Minimum counterparty ratings and replacement and other counterparty-related provisions in the transaction documents are in line with Fitch's counterparty criteria. Fitch views backup servicing arrangements and mitigants to servicer disruption risk to be in line with expected ratings of up to 'Asf'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased base case defaults rates: - Expected ratings for class A, B and C notes: 'Asf (EXP)'/'BBBsf (EXP)'/'BBsf (EXP)'; - Increased base case default by 10%: 'BBBsf'/'BB+sf'/'BBsf'; - Increased base case default by 25%: 'BBBsf'/'BB+sf'/'BB-sf'; - Increased base case default by 50%: 'BB+sf'/'BBsf'/'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity to decreased base case defaults rates: - Expected ratings for class A, B and C notes: 'Asf (EXP)'/'BBBsf (EXP)'/'BBsf (EXP)'; - Decreased base case default by 50%: 'Asf'/'Asf'/'BBB+sf'. CRITERIA VARIATION Ratings are ultimately assigned by a Fitch rating committee that also considers other quantitative and qualitative factors in addition to the model-implied ratings (MIRs), as listed in Fitch's "Consumer ABS Rating Criteria" (the Consumer ABS Criteria). The final rating considered appropriate by the committee may be one notch above or below the relevant MIR. A committee can decide to assign ratings with more substantial differences to the MIR, but this would generally constitute a criteria variation to the Consumer ABS Criteria. For this transaction, class A notes have an MIR of 'BBB+sf' in Fitch's modelling scenario that assumes back-loaded default timing and high prepayment stresses (the Back/High Scenario). The MIR excluding the aforementioned scenario is 'A+'. The ratings assigned to the class A notes at 'Asf' are two notches higher than the MIR, which constitutes a criteria variation under the Consumer ABS Criteria. Had Fitch not applied this criteria variation, the rating on the class A notes would have been 'A-sf', assuming the one-notch tolerance from MIR described in the Consumer ABS Criteria. The criteria variation reflects the marginal failure in repaying class A at 'A-sf' in the Back/High Scenario, the strong MIR displayed by class A notes in all other rating scenarios, and Fitch's view that 'A-sf' level defaults are less likely to occur in the Back/High Scenario than in all other modelling scenarios. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics with respect to 150 randomly selected statistical receivables. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. VERUS SECURITIZATION 2026-R4: S&P Rates B-2 Notes Prelim B- (sf) ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2026-R4's mortgage-backed notes. The note issuance is an RMBS securitization backed by seasoned first-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to prime and non-prime borrowers with original terms to maturity up to 40-years. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, and townhouses. The pool has 927 loans with 989 properties, which are all ATR-exempt loans. The preliminary ratings are based on information as of May 6, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The 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) Verus Securitization Trust 2026-R4 Class A-1A, $102,700,000(ii): AAA (sf) Class A-1B, $16,660,000(ii): AAA (sf) Class A-1FCF, $89,520,000(ii): AAA (sf) Class A-1LCF, $29,840,000(ii): AAA (sf) Class A-1, $119,360,000: AAA (sf) Class A-2, $20,159,000: AA (sf) Class A-3, $32,984,000: A (sf) Class M-1, $18,325,000: BBB- (sf) Class B-1, $9,995,000: BB- (sf) Class B-2, $7,330,000: B- (sf) Class B-3, $5,664,216: NR Class A-IO-S, Notional(iii): NR Class XS, Notional(iv): NR Class R, N/A: NR (i)The collateral and structural information reflect the term sheet dated May. 6, 2026. The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The initial note balance of the class A-1A, A-1B, A-1FCF, and A-1LCF 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-1A, A-1B, A-1FCF, and A-1LCF notes will be equal to $238,720,000. (iii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. (iv)The notional amount will equal the aggregate interest-bearing principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. VISTA POINT 2026-CES2: DBRS Finalizes B(low) Rating on Cl. B-2 Debt ------------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on 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): -- $186.8 million Class A-1 at AAA (sf) -- $21.1 million Class A-2 at AA (high) (sf) -- $19.7 million Class A-3 at A (high) (sf) -- $19.1 million Class M-1 at BBB (high) (sf) -- $17.0 million Class B-1 at BB (sf) -- $13.0 million Class B-2 at B (low) (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Notes reflects 34.60% of credit enhancement provided by subordinate Notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (sf), and B (low) (sf) credit ratings reflect 27.20%, 20.30%, 13.60%, 7.65%, 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 B- (sf) Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 comprising qualified mortgage (QM)/non-higher-priced mortgage loan (safe harbor), QM rebuttable presumption, non-QM/compliant and not covered/Trend In Lending Act (TILA)-exempt loans. S&P said, "After we assigned preliminary ratings on April 24, 2026, the class A-1 note amount decreased to $186,768,000 from $186,911,000. The class B-2 note amount increased to $12,994,000 from $12,851,000. Credit enhancement increased by five basis points for the class A-1, A-2, A-3, M-1, and B-1 notes. After analyzing the final coupons and the updated structure, our ratings remain unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, 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." Ratings Assigned Vista Point Securitization Trust 2026-CES2(i) Class A-1, $186,768,000: 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, $12,994,000: 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 ratings address the ultimate payment of interest and principal; they 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. 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 represent the residual interest in the issuer. The class R notes are not expected to receive payments. NR--Not rated. N/A--Not applicable. VOYA CLO 2026-1: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2026-1, Ltd. Entity/Debt Rating ----------- ------ Voya CLO 2026-1, Ltd. X LT AAAsf New Rating A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C-1 LT Asf New Rating C-2 LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Voya CLO 2026-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.46, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.18% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 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 'AAAsf' for class X notes, between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BBB-sf' and 'A+sf' for class B notes, between 'BB-sf' and 'BBB+sf' for class C-1/C-2 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 X and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AAsf' for class C-1/C-2 notes, 'A-sf' for class D-1 notes, 'BBB+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 Voya 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. WARWICK CAPITAL 2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Warwick Capital CLO 2 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Warwick Capital CLO 2 Ltd. A-1-R 936557AN7 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-1-R LT BBBsf New Rating BBB(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf X 936557AL1 LT AAAsf New Rating AAA(EXP)sf 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 (Negative): 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 (Positive): 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 (Positive): 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 (Neutral): 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 (Positive): 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 '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. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee 24 April 2026 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: Moody's Assigns Caa1 Rating to F-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of refinancing notes issued and one class of loans incurred by Wellington Management CLO 2 Ltd. (the Issuer): US$156,000,000 Class A-R Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$100,000,000 Class A-R Loans maturing 2039, Assigned Aaa (sf) US$200,000 Class F-R Secured Deferrable Mezzanine Floating Rate Notes due 2039, Assigned Caa1 (sf) The notes and loans listed are referred to herein, collectively, as the Refinancing Debt. The Class A-R 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. 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 and bonds. Wellington Management CLO Advisors 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 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 Debt, 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 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: $400,000,000 Diversity Score: 90 Weighted Average Rating Factor (WARF): 2906 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 46.0% 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 Refinancing Debt is subject to uncertainty. The performance of the Refinancing 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 Refinancing Debt. WELLS FARGO 2015-C31: DBRS Confirms 'Csf' Rating on 2 Tranches -------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C31 issued by Wells Fargo Commercial Mortgage Trust 2015-C31 as follows: -- Class C at BBB (high) (sf) -- Class X-D at B (sf) -- Class D at B (low) (sf) -- Class E at C (sf) -- Class F at C (sf) In addition, Morningstar DBRS discontinued its credit rating on Class PEX. Classes E and F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. All other trends are Stable. The credit rating confirmations and Stable trends reflect Morningstar DBRS' recoverability expectations for the remaining five loans in the pool. Since Morningstar DBRS' previous credit rating action in May 2025, 82 loans have been repaid, including three loans that were liquidated with no realized loss to the trust, contributing to $589.6 million of principal paydown. Of the five remaining loans, four failed to repay at their respective maturity dates and are currently in special servicing. In the analysis for this review, Morningstar DBRS liquidated all four of those loans based on conservative haircuts to the most recent appraised values. The liquidation analysis suggests losses would approximately erode up to the first 10% of the Class E certificate, which already carries a C (sf) credit rating, indicative of potential losses, supporting the credit rating confirmations and Stable trends. As of the April 2026 remittance, cumulative interest shortfalls increased to $5.8 million from $2.9 million at Morningstar DBRS' last review; however, they are still contained to the Class E certificate. The main contributor to shortfalls is the CityPlace I loan (Prospectus ID#3, 37.3% of the current pool balance), secured by a 39-story, Class A office property totaling 884,366 square feet (sf), in downtown Hartford, Connecticut, which has been deemed nonrecoverable. In its recoverability analysis, Morningstar DBRS estimated that interest shortfalls may continue to accrue to subordinate classes but will likely be contained to Class E, which is currently rated C (sf), further supporting the credit rating confirmations and Stable trends. The largest loan in special servicing is the Sheraton Lincoln Harbor Hotel loan (Prospectus ID#2; 40.8% of the pool), which is pari passu with the CSAIL 2016-C5 Commercial Mortgage Trust transaction that is also rated by Morningstar DBRS. The loan is secured by a 343-room full-service hotel in Weehawken, New Jersey, and transferred to special servicing in January 2021 with foreclosure filed in March 2021. The property was ultimately sold in August 2025 for $65.5 million. As part of the assumption, maturity was extended two years to October 2027 and is expected to return to the master servicer in Q2 2026. The loan is now current, and performance has rebounded to pre-pandemic levels but remains below issuance expectations. While recent operating performance has improved, as evidenced by a year-over-year increase in revenue per available room according to December 2025 STR, Inc. data, a November 2025 appraisal valued the property at $71.7 million, showing a continued decline from $82.6 million at issuance. For this review, Morningstar DBRS liquidated the loan based on a 20% haircut to the most recent appraised value, resulting in an implied loss of $11.3 million or a loss severity of approximately 23%. The second-largest loan in special servicing is CityPlace I, which transferred to special servicing in October 2023 for imminent monetary default after the borrower indicated it would no longer be funding operating shortfalls. A receiver was appointed, and, according to the servicer, the property is being marketed for sale. Per the December 2025 rent roll, the property was 46.2% occupied, with approximately 2.7% of the net rentable area (NRA) scheduled to expire within the next 12 months with financial performance reported below breakeven since 2022. The most recent appraisal from January 2026 valued the property at $50.6 million, a decrease from May 2024 and issuance appraised values of $64.0 million and $114.5 million, respectively. Given the property's declining occupancy, cash flows, and location in a softening office submarket, Morningstar DBRS applied a 30.0% haircut to the January 2026 appraisal, resulting in a $29.3 million projected loss and a loss severity over 65.0%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2015-SG1: Fitch Lowers Rating on Two Tranches to 'Csf' ------------------------------------------------------------------ Fitch Ratings has downgraded five and affirmed two classes of Wells Fargo Commercial Mortgage Trust 2015-SG1 (WFCM 2015-SG1) commercial mortgage pass-through certificates. The Rating Outlooks on classes C and PEX are Negative. Fitch has also affirmed three classes of Wells Fargo Commercial Mortgage Trust 2015-C29 (WFCM 2015-C29) commercial mortgage pass-through certificates. The Rating Outlooks have been revised to Stable from Negative on class D and is Negative on class E. Fitch has also affirmed seven classes of Wells Fargo Commercial Mortgage Trust 2015-LC22 (WFCM 2015-LC22) commercial mortgage pass-through certificates. The Rating Outlooks have been revised from Negative to Stable on classes C and PEX. The Rating Outlooks for classes D, E and X-E are Negative. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2015-SG1 C 94989QBB5 LT BBBsf Affirmed BBBsf D 94989QBD1 LT CCCsf Downgrade B-sf E 94989QAL4 LT CCsf Downgrade CCCsf F 94989QAN0 LT Csf Downgrade CCsf PEX 94989QBC3 LT BBBsf Affirmed BBBsf X-E 94989QAA8 LT CCsf Downgrade CCCsf X-F 94989QAC4 LT Csf Downgrade CCsf WFCM 2015-C29 D 94989KBC6 LT BBsf Affirmed BBsf E 94989KAE3 LT Bsf Affirmed Bsf F 94989KAG8 LT CCCsf Affirmed CCCsf WFCM 2015-LC22 C 94989TBF0 LT A-sf Affirmed A-sf D 94989TBH6 LT BBsf Affirmed BBsf E 94989TAL8 LT B-sf Affirmed B-sf F 94989TAN4 LT CCCsf Affirmed CCCsf PEX 94989TBG8 LT A-sf Affirmed A-sf X-E 94989TAA2 LT B-sf Affirmed B-sf X-F 94989TAC8 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 35.6% in WFCM 2015-C29, 39% in WFCM 2015-SG1, and 17.1% in WFCM 2015-LC22. Only specially serviced loans remain in all three deals. WFCM 2015-SG1: The downgrades on classes D, E, F, X-E, and X-F are driven by the pool being concentrated with all loans in special servicing and past initial maturity date. These include Patrick Henry Mall (52.1% of the pool), 580 Market (15%), Landmark Center (13.2%), Edinborough Corporate (8.8%), and One Corporate Exchange (6.5%). The Negative Outlooks for classes C and PEX reflect possible downgrades with lower-than-expected recoveries and/or prolonged workouts on the remaining specially serviced loans. WFCM 2015-C29: The affirmations and the revision of the Outlook on class D to Stable reflects the significant increase in credit enhancement (CE), better-than-expected outcomes from loan payoffs, and better recovery prospects for the specially serviced 150 Royall Street (38%) and Villa Bella (8.9%) loans. The Negative Outlook on class E reflects the classes' reliance on proceeds from defaulted loans to repay and the potential for future downgrades, should the expected losses increase due to further performance or appraisal value declines, lower-than-expected recoveries or prolonged workouts on specially serviced loans. WFCM 2015-LC22: The affirmations reflect the increased credit enhancement (CE) due to loan payoffs and sufficient CE relative to expected losses and recoveries for the remaining loans. The revision of the Outlook to Stable on class C and PEX reflects the increase in CE and the expected payoff from Tuscany Place and 1255 Broad Street Medical Center. The Outlooks are Negative on classes D, E and X-E, given the uncertainty with the ultimate recovery on the remaining specially serviced/REO loans including The Meadows (67.6%), Hyatt Lisle (7%), and Dollar General Portfolio (4.9%). Due to the heightened concentration risk in these transactions, 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 Contributors to Loss: The largest contributor to overall loss expectations in WFCM 2015-SG1 is the specially serviced Patrick Henry Mall loan, which is secured by a 432,401-sf portion of a 716,558-sf regional mall in Newport News, VA. The loan transferred to special servicing in January 2024 due to the bankruptcy of the guarantor, Pennsylvania Real Estate Investment Trust (PREIT). The loan has recently been extended with a new maturity of January 2027 with the option to extend to July 2027. Fitch's 'Bsf' rating case loss of 26.4% (prior to concentration add-ons) reflects a discount to the most recently reported appraised value, which is approximately 55.1% below the appraisal value at issuance. The second-largest contributor to overall loss expectations in WFCM 2015-SG1 is the 580 Market loan, which has been in special servicing since February 2025. The asset is a 31,325-sf office property in the Financial District of San Francisco, CA. As of December 2025, the building is 67.9% occupied, up from 53.1% at YE 2024. The special servicer has received approval to initiate foreclosure and appoint a receiver. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of 53.9% reflects a discount to the most recently reported appraised value, equating to a stressed value of $253 psf. The largest contributor to overall loss expectations in WFCM 2015-C29 is the specially serviced Cathedral Place loan (36.8%), which transferred to special servicing in March 2025 due to imminent monetary default. The loan is secured by an 18-story mixed use development located at 555 & 535 East Wells Street, Milwaukee, WI. The office space is 202,870 sf (91.0% of NRA) and is situated on floors 11-18. The retail space is 16,975 sf (7.6% NRA) and is located on the ground floor of the property. Per the most recent rent roll from January 2026, the office portion was 68% occupied. Occupancy decreased in 2024 when Deloitte vacated its 37,476-sf office and that space remains vacant. The lender is in the process of engaging a broker to start marketing the asset for sale. Fitch's 'Bsf' rating case loss of 53.4% (prior to concentration add-ons) reflects a discount to the most recently reported appraised value, which is approximately 59.8% below the appraisal value at issuance. The second-largest contributor to overall loss expectations in WFCM 2015-C29 is the 150 Royall Street loan, which has been in special servicing since June 2025 due to the inability to pay off the loan at the June 2025 maturity. The asset is a 259,341-sf class A office building located in Canton, MA. The largest tenant, Computershare is discussing a three-year extension with a termination option after year two, and the fifth-largest tenant, Siemens is discussing a five-year renewal. Per the September 2025 rent roll, the property was 76% occupied. The foreclosure sale date has been postponed while the lender and borrower negotiate a modification. Fitch's 'Bsf' rating case loss of 23.5% (prior to concentration add-ons) reflects a discount to the most recently reported appraised value, which is approximately 43.0% below the appraisal value at issuance. The largest contributor to overall loss expectations in WFCM 2015-LC22 is the specially serviced Meadows loan, which transferred to special servicing in May 2025 due to imminent monetary default. The loan is secured by a 605,000 sf two-building office property in Rutherford, NJ. The tenancy is granular with about 50 tenants. Occupancy has fallen to 75% as of September 2025 due to the largest tenant, Malo Consulting (14.2%) and second-largest tenant, Sony Music (8.8%) vacating at their respective lease expirations. The special servicer has initiated the foreclosure process and a receiver was appointed in November 2025. Fitch's 'Bsf' rating case loss of 16.4% (prior to concentration add-ons) reflects a discount to the most recently reported appraised value, which is approximately 29.7% below the appraisal value at issuance. The second-largest contributor to overall loss expectations in WFCM 2015-LC22 is the Hyatt Lisle, which transferred to the special servicer in October 2025 when the borrower failed to payoff the loan at the end of the forbearance term. The asset is a 317-room hotel in Lisle, IL. Foreclosure proceedings have been initiated. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 41.9% reflects a discount to the most recently reported appraised value, which is approximately 72.0% below the appraisal value at issuance. Credit Enhancement (CE): As of the April 2026 distribution date, the pool's aggregate principal balance for WFCM 2015-C29 has paid down by 92.4% to $89.8 million from $1.2 billion at issuance, WFCM 2015-SG1 has paid down by 85.4% to $104.8 million from $716.3 million at issuance, and WFCM 2015-LC22 has paid down by 87.2% to $123.3 million from $963.7 million at issuance. In WFCM 2015-C29, six of the original 133 loans remain outstanding and interest shortfalls total approximately $1.2 million, in WFCM 2015-SG1, six of the original 72 loans remain outstanding and interest shortfalls total approximately $2.4 million, and in WFCM 2015-LC22, eight of the original 100 loans remain outstanding and interest shortfalls total approximately $1.1 million. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated 'A-sf' may occur, should performance of the specially serviced loans deteriorate further or if values significantly decline. Downgrades to classes rated in the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with higher expected losses from continued underperformance of the specially serviced loans or with greater certainty of near-term losses. Further downgrades to the distressed ratings would occur as losses become more certain and/or realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'A-sf' may occur with significantly increased CE from paydown, coupled with stable to improved pool-level loss expectations and improved performance of specially serviced assets. Upgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' rated categories are possible only if the performance of the remaining pool is stable, recoveries are larger than expected, and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected, but possible with better-than-expected recoveries on specially serviced loans. 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 2026-5C9: Fitch Assigns B-(EXP)sf Rating on G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2026-5C9 commercial mortgage pass-through certificates, series 2026-5C9 as follows: - $5,383,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $200,000,000 (a) class A-2 'AAA(EXP)sf'; Outlook Stable; - $228,572,000 (a) class A-3 'AAA(EXP)sf'; Outlook Stable; - $433,955,000 (b) class X-A 'AAA(EXP)sf'; Outlook Stable; - $44,945,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $34,096,000 class B 'AA-(EXP)sf'; Outlook Stable; - $26,348,000 class C 'A-(EXP)sf'; Outlook Stable; - $105,389,000 (b) class X-B 'A-(EXP)sf'; Outlook Stable; - $24,022,000 class (c) D 'BBB-(EXP)sf'; Outlook Stable; - $24,022,000 class (b)(c) X-D 'BBB-(EXP)sf'; Outlook Stable; - $8,524,000 class (c) E 'BB(EXP)sf'; Outlook Stable; - $8,524,000 class (b)(c) X-E 'BB(EXP)sf'; Outlook Stable; - $6,200,000 class (c) F 'BB-(EXP)sf'; Outlook Stable; - $6,200,000 class (b)(c) X-F 'BB-(EXP)sf'; Outlook Stable; - $10,074,000 (c)(d) class G-RR 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $8,524,000 (c)(d) class H-RR; - $23,247,843 (c)(d) class J-RR. (a) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $428,572,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0 to $200,000,000, and the expected class A-3 balance range is $228,572,000 to $428,572,000. Fitch's certificate balance for classes A-2 reflects the top point of its range, and the balance for class A-3 reflects the bottom point of its range. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Classes G-RR, H-RR and J-RR certificates comprise the transaction's horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 29 loans secured by 138 commercial properties having an aggregate principal balance of $619,935,844 as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association, JPMorgan Chase Bank, National Association, LMF Commercial, LLC, Argentic Real Estate Finance 2 LLC, RREF V - D Direct Lending Investments, LLC, Societe Generale Financial Corporation, Goldman Sachs Mortgage Company, Natixis Real Estate Capital LLC and Barclays Capital Real Estate Inc. The master servicer is expected to be Trimont LLC, the special servicer is expected to be Rialto Capital Advisors, LLC, and the operating advisor is expected to be Pentalpha Surveillance LLC. Deutsche Bank National Trust Company will act as the trustee, and Computershare Trust Company, National Association will act as the certificate administrator. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 90.4% of the pool by balance. Fitch's aggregate pool net cash flow (NCF) of $57.5 million represents a 14.7% decline from the issuer's underwritten aggregate pool NCF of $67.4 million. Higher Fitch Leverage: The pool has higher leverage compared to recent U.S. private label five-year multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 105.3% is higher than the 2026 YTD and 2025 averages of 97.6% and 101.0%, respectively. The pool's Fitch NCF debt yield (DY) of 9.3% is lower than the 2026 YTD and 2025 averages of 10.5% and 9.7%, respectively. Investment-Grade Credit Opinion Loans: One loan, Mountain Industrial Portfolio (4.0% of the pool), received a standalone credit opinion of 'A-sf*'. The pool's investment-grade credit opinion percentage is lower than the 2026 YTD and 2025 averages of 11.2% and 10.6%, respectively. Excluding the credit opinion loan, the pool's Fitch LTV and DY are 106.5% and 9.3%, respectively, compared with the 2026 YTD conduit LTV and DY averages of 103.1% and 9.9%, respectively. Higher Pool Concentration: The pool is more concentrated than recent Fitch-rated transactions. The top 10 loans in the pool make up 64.2% of the pool, which is higher than the 2026 YTD and 2025 averages of 59.6% and 61.5%, respectively. The pool's effective loan count of 20.2 is lower than the 2026 YTD and 2025 averages of 22.8 and 21.8, respectively. 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'/'BBsf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BB-sf'/'Bsf'/'B-sf'/below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBB-sf'/'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) 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. WESTLAKE AUTOMOBILE 2026-2: S&P Assigns (P) 'BB' Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Westlake Automobile Receivables Trust 2026-2's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of May 4, 2025. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 45.19%, 38.64%, 29.86%, 22.84%, and 19.64% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of our expected cumulative net loss of 12.75% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Westlake Services LLC as servicer and our view of the company'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 our sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Westlake Automobile Receivables Trust 2026-2 Class A-1, $295.00 million: A-1+ (sf) Class A-2-A/A-2-B, $458.45 million: AAA (sf) Class A-3, $158.41 million: AAA (sf) Class B, $109.91 million: AA (sf) Class C, $162.21 million: A (sf) Class D, $142.50 million: BBB (sf) Class E, $73.52 million: BB (sf) WIND RIVER 2024-1: Fitch Affirms 'B-sf' Rating on Class F Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Wind River 2024-1 CLO Ltd.'s refinancing notes classes B-R, C-R, and D-R. Fitch has also affirmed the ratings for classes E and F. Entity/Debt Rating Prior ----------- ------ ----- Wind River 2024-1 CLO Ltd. A-R LT NRsf New Rating B 97317AAC5 LT PIFsf Paid In Full AAsf B-R LT AA+sf New Rating C 97317AAE1 LT PIFsf Paid In Full Asf C-R LT A+sf New Rating D 97317AAG6 LT PIFsf Paid In Full BBB-sf D-R LT BBB+sf New Rating E 97317CAA5 LT BB-sf Affirmed BB-sf F 97317CAC1 LT B-sf Affirmed B-sf Transaction Summary Wind River 2024-1 CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by First Eagle Alternative Credit, LLC. The transaction closed on May 22, 2024. This is its first refinancing, and it is a partial refinancing. The net proceeds from the issuance of the refinancing notes will be used to repay the refinanced notes in full and to pay the related fees. 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 20.82, 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 97.28% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.58% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 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 is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - Spreads have been reduced for all classes of refinanced notes. - The non-call period for the refinanced notes is extended to April 20, 2027. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. FITCH ANALYSIS The portfolio includes 384 assets from 351 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $395 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Weighted Average Coupon and Weighted Average Rating Recovery 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 49.5% of the current portfolio par balance; ratings for 50.2% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.3% were unrated. As per Fitch's 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: 17.0%, 14.0%, and 14.0%, respectively; - Assumed risk horizon: 6.08 years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 74.50%; - Maximum weighted average rating factor of 22.70; - Fixed-rate assets: 5.00%; - Minimum weighted average coupon of 5.29%. The transaction will exit its reinvestment period on April 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 B-R: 'AA+sf' / Default 38.20% / Recovery 49.21% / Cushion 12.40% - Class C-R: 'A+sf' / Default 33.40% / Recovery 58.98% / Cushion 12.10% - Class D-R: 'BBB+sf' / Default 27.60% / Recovery 68.48% / Cushion 8.20% - Class E: 'BB-sf' / Default 19.90% / Recovery 73.37% / Cushion 9.20% - Class F: 'B-sf' / Default 15.60% / Recovery 78.21% / Cushion 8.60% Fitch Stress Portfolio (FSP) Model Outputs: - Class B-R: 'AA+sf' / Default 46.00% / Recovery 48.23% / Cushion 4.50% - Class C-R: 'A+sf' / Default 40.40% / Recovery 57.51% / Cushion 3.90% - Class D-R: 'BBB+sf' / Default 34.20% / Recovery 66.65% / Cushion 1.30% - Class E: 'BB-sf' / Default 25.20% / Recovery 72.84% / Cushion 4.50% - Class F: 'B-sf' / Default 20.10% / Recovery 77.27% / Cushion 4.30% Fitch affirmed the class E notes at 'BB-sf' with a Stable Outlook, two notches below the model-implied rating (MIR) of 'BB+sf', and the class F notes at 'B-sf' with a Stable Outlook, one notch below the MIR of 'Bsf'. In Fitch's view, the MIR does not adequately reflect the transaction's recent adverse performance trend, including realized losses in the current portfolio, or the below-average credit enhancement available to these tranches. These factors indicate a higher likelihood of further credit deterioration and weaker recovery prospects, increasing the tranches' sensitivity to additional portfolio stress. Fitch therefore believes that an upgrade in line with the MIR could be reversed in the near term and has affirmed the ratings on the class E and class F 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-R, between 'BBsf' and 'A+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-R, between less than 'B-sf' and 'BB-sf' for class E, and between less than 'B-sf' and 'B-sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-R, '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 Wind River 2024-1 CLO 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. [] DBRS Confirms Ratings on Six Single-Asset/Borrower Deals ----------------------------------------------------------- DBRS Limited (Morningstar DBRS) completed annual surveillance reviews of the following six single-asset/single-borrower (SASB) commercial mortgage-backed securities (CMBS) transactions: -- BMP Commercial Mortgage Trust 2024-MF23 (BMP 2024-MF23) -- DBSG 2024-ALTA Mortgage Trust (DBSG 2024-ALTA) -- GSMS Trust 2024-FAIR (GSMS 2024-FAIR) -- JW Commercial Mortgage Trust 2024-MRCO (JW 2024-MRCO) -- NYC Commercial Mortgage Trust 2025-1155 (NYC 2025-1155) -- TX Trust 2024-HOU (TX 2024-HOU) The Affected Ratings are available at https://tinyurl.com/mvcrjuxr Morningstar DBRS confirmed its credit ratings on all 33 classes of Commercial Mortgage Pass-Through Certificates within those transactions; all have Stable trends. All six transactions closed between May 2024 and May 2025, and, given the limited seasoning for these transactions, the property level cash flow and other performance trend reporting since issuance has been relatively limited. Accordingly, Morningstar DBRS maintained its analytical assumptions from issuance in the analysis for this review. Additional details on these assumptions can be found in prior Morningstar DBRS publications (including the issuance credit rating reports), with brief transaction level overviews and updates provided below. BMP 2024-MF23 -- The underlying loan is secured by the fee-simple interest in 23 multifamily properties totaling 7,300 market-rate units across six states and 11 markets, with the largest concentrations in Texas, Colorado, and Utah. -- The loan has a two-year initial term with three one-year extension options and is on the servicer's watchlist given its June 2026 maturity; however, servicer commentary indicates the borrower is expected to exercise its first one-year extension option, which requires the purchase of a rate cap agreement. -- At closing, the borrower planned $105.0 million of capital improvements over the five-year term as part of a strategy to achieve rental premiums. As part of these plans, the borrower posted a $30.0 million letter of credit, of which $16.1 million had been drawn upon as of January 2026. -- Per the December 2025 rent rolls, the portfolio reported a consolidated occupancy rate of 87.5% and an average rental rate of $1,622 per unit, compared with the Morningstar DBRS concluded rates of $1,663 per unit and 92.9%, respectively. -- As of year-end (YE) 2025, the portfolio generated net cash flow (NCF) of $72.3 million (a debt service coverage ratio (DSCR) of 1.02 times (x)), representing an 8.3% decline from the Morningstar DBRS NCF derived at issuance of $78.8 million, attributable to higher vacancy loss and lower reported utility reimbursements. -- Morningstar DBRS expects cash flow to improve as renovations are complete. DBSG 2024-ALTA -- The underlying loan is secured by the fee-simple interest in a 43-story, Class A high-rise apartment building totaling 467 units with 42,878 square feet (sf) of retail space in Long Island City, New York. -- In 2023, the sponsor terminated a management lease covering 169 co-living units and began transitioning 115 of those units to conventional multifamily use, with 54 units transitioned at close; no updates have been provided by the servicer on the number of converted units since issuance. -- The property benefits from a 421a tax abatement through June 2034, which requires the borrower to maintain 161 affordable housing units over that period, subject to rent-growth caps. -- As of the January 2026 rent roll, the retail component was 93.2% occupied, while residential occupancy was 98.5% with an average rental rate of $4,676 per unit, compared with the Morningstar DBRS concluded as-is figures of 95.0% and $4,135 at issuance, respectively. As of YE2025, the property reported NCF of $18.7 million (a DSCR of 1.32x), above the Morningstar DBRS NCF derived at issuance of $16.9 million, primarily driven by revenue growth. -- Given the asset's stable operating performance and strong submarket fundamentals, Morningstar DBRS expects the loan to continue to perform through maturity and views the transaction as a strong candidate for takeout financing at the scheduled maturity in June 2027 with no extension options available. GSMS 2024-FAIR -- The underlying loan is secured by the leasehold interest in Fairmont Austin, a 1,048-key, full-service hotel in the Austin central business district (CBD) with a skybridge connection to the Austin Convention Center (ACC), which is undergoing renovations that are expected to be completed in March 2029. -- Prior to securitization, the sponsor invested $9.2 million in property upgrades, with an additional $21.3 million of capital improvements expected to be completed over the loan term. -- The loan is on the servicer's watchlist following a decline in performance, with a YE2025 NCF of $28.4 million (a DSCR of 0.85x), more than 20% below the Morningstar DBRS NCF derived at issuance of $36.4 million, driven primarily by reduced room revenue and other income. -- As of December 2025, the trailing 12-month (T-12) occupancy, average daily rate (ADR), and revenue per available room (RevPAR) figures were 59.9%, $292, and $175, respectively, compared with the Morningstar DBRS stabilized figures at issuance of 70.3%, $289, and $203, respectively. -- At issuance, Morningstar DBRS anticipated a moderate market correction following a period of strong post-pandemic demand growth and new supply, which has contributed to softer rate momentum, with the ACC-related construction disruption further weighing on performance. -- While performance may remain subdued in the near term, Morningstar DBRS expects the subject property to benefit from increased demand upon completion of the ACC renovations; however, given the renovations are expected to conclude just prior to the loan's July 2029 maturity, the in-place cash flows could remain affected over the near term. These factors are mitigated by the property's desirable location and experienced committed sponsorship. JW 2024-MRCO -- The underlying loan is secured by the fee-simple interest in the 809-key JW Marriott Marco Island Beach Resort, a luxury full-service beachfront property in Marco Island, Florida. -- The property underwent a $340.0 million renovation as part of its conversion from a Marriott to a JW Marriott in 2018. At issuance, the sponsor planned an additional $165.0 million of capital improvements over the loan term, primarily focused on guest room renovations. -- The loan has a two-year initial term with three one-year extension options and is currently on the servicer's watchlist given its June 2026 maturity; however, multiple news articles indicate the sponsor has entered into an agreement to sell the resort, with a closing anticipated in May 2026. The news articles suggest this development has put the planned renovations on hold. -- The property continues to outperform its competitive set, evidenced by a RevPAR penetration of 206% for the T-12 ended December 2025 with NCF of $75.4 million (a DSCR of 2.0x). Given the premier beachfront location and solid cash flow coverage, Morningstar DBRS has a favorable credit view. Should the reported sale be executed, the loan is expected to repay in the near term. NYC 2025-1155 -- This loan is secured by the leasehold and fee interests in 1155 Avenue of the Americas, a 42-story, 797,891-sf office tower with ground-floor retail in Midtown Manhattan. -- Following the departure of a major tenant in 2017 (representing nearly 40% of the net rentable area (NRA)), the sponsor completed a $330.0 million renovation program over a three-year period. -- Leasing momentum improved after the pandemic-driven declines, beginning in 2023, resulting in an occupancy rate of 88.9% at closing, which has further increased to 91.0% as of December 2025. -- The property benefits from a well-staggered rent roll, with only 18.0% of the NRA expiring prior to the loan's June 2030 maturity. These factors, as well as the favorable location within a high demand area in New York, support Morningstar DBRS' favorable credit view. TX 2024-HOU -- This loan is secured by the fee-simple interest in the 1,000-key Marriott Marquis Houston in Houston's CBD with a direct skybridge connection to the George R. Brown Convention Center and proximity to three major professional sports venues. The loan has an initial two-year term with three, one-year extension options and is currently on the servicer's watchlist for monitoring ahead of its June 2026 maturity. The servicer's commentary indicates the borrower is expected to exercise its first extension option, which requires the purchase of a rate cap agreement. -- The sponsor has demonstrated strong commitment to the asset, including the acquisition of its equity partner's interest in 2019; supporting operations through the pandemic; and completing a $14.0 million renovation that was completed after close, in September 2025, and included upgrades to guest rooms, the lobby, and select amenities. -- As of the December 2025 STR report, T-12 occupancy, ADR, and RevPAR were 60.5%, $280, and $169, respectively, in line with Morningstar DBRS' assumptions of 67.0%, $252, and $169, respectively, at issuance. -- Overall, Morningstar DBRS has a favorable outlook on the transaction through the fully extended loan term given the property's stable performance and its high-demand location. 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. [] DBRS Confirms Ratings on Two MPOWER Education Trust Deals ------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) confirmed six credit ratings on classes of notes issued by MPOWER Education Trust 2024-A and MPOWER Education Trust 2025-A transactions: Debt Rating Action ---- ------ ------ MPOWER Education Trust 2024-A Class A Notes A(sf) Confirmed Class B Notes BBB(sf) Confirmed Class C Notes BB(sf) Confirmed MPOWER Education Trust 2025-A Class A Notes A(sf) Confirmed Class B Notes BBB(sf) Confirmed Class C Notes BB(low)(sf) Confirmed Credit rating rationale includes the key analytical considerations: -- Transaction capital structure, current credit ratings, and sufficient credit enhancement levels, which have increased since closing. -- Credit enhancement is in the form of overcollateralization, reserve accounts, and excess spread with senior notes benefiting from subordination of junior notes. -- Credit enhancement levels are sufficient to support the Morningstar DBRS-expected default and loss severity assumptions under various stress scenarios. -- Collateral performance is within expectations, and cumulative gross losses are low. Forbearance and delinquency levels remain relatively stable. -- The transaction parties' capabilities with respect to origination and underwriting. -- 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 269 Classes on 31 US RMBS Transactions ------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) reviewed 269 classes in 31 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 31 transactions reviewed, 21 are classified as legacy RMBS, six are classified as reperforming mortgages and four are classified as seasoned mortgages. Of the 269 classes reviewed, Morningstar DBRS upgraded its credit ratings on 36 classes and confirmed its credit ratings on the remaining 233 classes. The Affected Ratings are available at https://tinyurl.com/4ecw2by7 The Issuers are: - Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2 - Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8 - Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5 - Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3 - Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7 - Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4 - Credit Suisse First Boston Mortgage Acceptance Corp. Home Equity Asset Trust 2005-9 - Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-5 - Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6 - Structured Asset Investment Loan Trust, Series 2004-11 - CIM Trust 2019-R5 - PRPM 2024-RCF3, LLC - Citigroup Mortgage Loan Trust 2015-PS1 - BRAVO Residential Funding Trust 2019-2 - BRAVO Residential Funding Trust 2019-1 - Mello Mortgage Capital Acceptance 2024-SD1 - Chase Home Lending Mortgage Trust 2023-RPL1 - J.P. Morgan Mortgage Trust 2005-A4 - New Residential Mortgage Loan Trust 2024-RPL1 - GS Mortgage-Backed Securities Trust 2024-RPL3 - GS Mortgage-Backed Securities Trust 2025-RPL2 - Soundview Home Loan Trust 2005-3 - Long Beach Mortgage Loan Trust 2005-WL1 - Argent Securities Inc. Series 2004-W11 - Securitized Asset Backed Receivables LLC Trust 2006-OP1 - Securitized Asset Backed Receivables LLC Trust 2006-FR1 - Securitized Asset Backed Receivables LLC Trust 2006-WM1 - Asset Backed Funding Corporation Series 2004-OPT5 - Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1 - Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC3 - Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies. 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. The credit ratings assigned to the classes 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 stresses implied by the predictive model to be a significant factor in evaluating the credit ratings. The rationale for the material deviations are as follows: The below tranches materially deviate because of additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress. -- Asset Backed Funding Corporation Series 2004-OPT5, ABFC Asset-Backed Certificates, Series 2004-OPT5, Class A-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-5 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7, Home Equity Pass-Through Certificates, Series 2005-7, Class M-2 -- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 2-A-1 -- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 4-A-2 -- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class B-1 -- Securitized Asset Backed Receivables LLC Trust 2006-WM1, Mortgage Pass-Through Certificates, Series 2006-WM1, Class A-2C -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A1 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A6 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A5 -- Chase Home Lending Mortgage Trust 2023-RPL1, Mortgage Certificates, Series 2023-RPL1, Class B-2 -- Mello Mortgage Capital Acceptance 2024-SD1, Mortgage-Backed Notes, Series 2024-SD1, Class A-3 -- Mello Mortgage Capital Acceptance 2024-SD1, Mortgage-Backed Notes, Series 2024-SD1, Class M-1 -- Mello Mortgage Capital Acceptance 2024-SD1,Mortgage-Backed Notes, Series 2024-SD1, Class M-2 -- PRPM 2024-RCF3, LLC, Asset Backed Notes, Series 2024-RCF3, Class M-1 -- PRPM 2024-RCF3, LLC, Asset Backed Notes, Series 2024-RCF3, Class M-2 -- GS Mortgage-Backed Securities Trust 2024-RPL3, Mortgage-Backed Securities, Series 2024-RPL3, Class A-5 -- GS Mortgage-Backed Securities Trust 2024-RPL3, Mortgage-Backed Securities, Series 2024-RPL3, Class M-2 -- GS Mortgage-Backed Securities Trust 2024-RPL3, Mortgage-Backed Securities, Series 2024-RPL3, Class B-1 -- GS Mortgage-Backed Securities Trust 2024-RPL3, Mortgage-Backed Securities, Series 2024-RPL3, Class B-2 -- New Residential Mortgage Loan Trust 2024-RPL1, Mortgage-Backed Notes, Series 2024-RPL1, Class B-3 -- New Residential Mortgage Loan Trust 2024-RPL1, Mortgage-Backed Notes, Series 2024-RPL1, Class B-4 -- New Residential Mortgage Loan Trust 2024-RPL1, Mortgage-Backed Notes, Series 2024-RPL1, Class B-5 The below tranches materially deviate as actual deal or tranche performance is not fully reflected in projected cashflows / model output. -- Asset Backed Funding Corporation Series 2004-OPT5, ABFC Asset-Backed Certificates, Series 2004-OPT5, Class A-4 -- Asset Backed Funding Corporation Series 2004-OPT5, ABFC Asset-Backed Certificates, Series 2004-OPT5, Class M-1 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M5 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M5 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-3 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-4 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-5 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-6 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates, Series 2006-3, Class M-2 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class I/II-M4 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class III-M2 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-4 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-5 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-6 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class B-1 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC3, Mortgage Pass-Through Certificates, Series 2007-BC3, Class 1-A4 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC3, Mortgage Pass-Through Certificates, Series 2007-BC3, Class 2-A3 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC3, Mortgage Pass-Through Certificates, Series 2007-BC3, Class 2-A4 -- Soundview Home Loan Trust 2005-3, Asset-Backed Certificates, Series 2005-3, Class M-4 The credit ratings are initiated at the request of the rated entities. The rated entity or its related entities did participate in the credit rating process for these credit rating actions. [] DBRS Reviews 28 Classes From 31 US RMBS Deals ------------------------------------------------ DBRS, Inc. (Morningstar DBRS) reviewed 218 classes from 31 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 31 transactions reviewed, two are classified as small-balance commercial mortgage transactions collateralized by various types of commercial, multifamily rental, and mixed-use properties, and the remaining 29 deals are classified as non-qualified mortgage (non-QM) transactions. Of the 218 classes reviewed, Morningstar DBRS upgraded its credit ratings on 53 classes and confirmed its credit ratings on the remaining 165 classes. The Affected Ratings are available at https://tinyurl.com/4w4rnh8z The Issuers are: MFA 2022-NQM2 Trust GCAT 2020-NQM2 Trust Visio 2019-2 Trust PRKCM 2022-AFC1 Trust CHNGE Mortgage Trust 2023-2 Angel Oak Mortgage Trust 2020-4 MFA 2020-NQM2 Trust MFA 2020-NQM1 Trust PRPM 2025-NQM2 Trust Barclays Mortgage Loan Trust 2022-INV1 HOMES 2023-NQM2 Trust Imperial Fund Mortgage Trust 2021-NQM1 Angel Oak Mortgage Trust 2020-5 Angel Oak Mortgage Trust 2020-6 Angel Oak Mortgage Trust 2020-3 Velocity Commercial Capital Loan Trust 2023-2 Visio 2020-1 Trust BRAVO Residential Funding Trust 2021-NQM1 A&D Mortgage Trust 2023-NQM2 Residential Mortgage Loan Trust 2020-2 Vista Point Securitization Trust 2020-1 Vista Point Securitization Trust 2020-2 Imperial Fund Mortgage Trust 2020-NQM1 Bunker Hill Loan Depositary Trust 2020-1 Starwood Mortgage Residential Trust 2021-3 Velocity Commercial Capital Loan Trust 2022-3 J.P. Morgan Mortgage Trust 2025-NQM2 BRAVO Residential Funding Trust 2025-NQM4 MFA 2023-NQM2 Trust GS Mortgage-Backed Securities Trust 2020-NQM1 TRK 2022-INV2 Trust CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and an increase in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update" published on March 27, 2026 (https://dbrs.morningstar.com/research/477332). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. The credit ratings assigned to classes 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. The rationale for the material deviation are as follows: The below tranches materially deviate because additional seasoning and/or updated performance needs to be measured against a sustainable upgrade loan-level cash flow stress -- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class B-2 -- CHNGE Mortgage Trust 2023-2, Mortgage Pass-Through Certificates, Series 2023-2, Class M-1 -- CHNGE Mortgage Trust 2023-2, Mortgage Pass-Through Certificates, Series 2023-2, Class B-1 -- CHNGE Mortgage Trust 2023-2, Mortgage Pass-Through Certificates, Series 2023-2, Class B-2 -- PRPM 2025-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2025-NQM2, Class A-3 -- HOMES 2023-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2023-NQM2, Class B-2 -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M-2 -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M-3 -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M-4 -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M-5 -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M-6 -- Velocity Commercial Capital Loan Trust 2023-2, Mortgage-Backed Certificates, Series 2023-2, Class M-2 -- Velocity Commercial Capital Loan Trust 2023-2, Mortgage-Backed Certificates, Series 2023-2, Class M-3 -- Velocity Commercial Capital Loan Trust 2023-2, Mortgage-Backed Certificates, Series 2023-2, Class M-5 -- Velocity Commercial Capital Loan Trust 2023-2, Mortgage-Backed Certificates, Series 2023-2, Class M-6 The below tranches materially deviate because of Dependency on another rating (such as interest only tranche or exchangeable tranche) -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M2-A -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M2-IO -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M3-A -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M3-IO -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M4-A -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M4-IO -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M5-A -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M5-IO -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M6-A -- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M6-IO -- Velocity Commercial Capital Loan Trust 2023-2, Mortgage-Backed Certificates, Series 2023-2, Class M2-A -- Velocity Commercial Capital Loan Trust 2023-2, Mortgage-Backed Certificates, Series 2023-2, Class M2-IO -- Velocity Commercial Capital Loan Trust 2023-2, Mortgage-Backed Certificates, Series 2023-2, Class M3-A -- Velocity Commercial Capital Loan Trust 2023-2, Mortgage-Backed Certificates, Series 2023-2, Class M3-IO -- Velocity Commercial Capital Loan Trust 2023-2, Mortgage-Backed Certificates, Series 2023-2, Class M5-A -- Velocity Commercial Capital Loan Trust 2023-2, Mortgage-Backed Certificates, Series 2023-2, Class M5-IO -- Velocity Commercial Capital Loan Trust 2023-2, Mortgage-Backed Certificates, Series 2023-2, Class M6-A -- Velocity Commercial Capital Loan Trust 2023-2, Mortgage-Backed Certificates, Series 2023-2, Class M6-IO The credit ratings are initiated at the request of the rated entities. The rated entity or its related entities did participate in the credit rating process for these credit rating actions. Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with these credit rating actions. [] Fitch Affirms 33 Note Classes From 12 National Collegiate Deals ------------------------------------------------------------------ Fitch Ratings has upgraded two classes and affirmed 33 classes of notes from 12 National Collegiate Student Loan Trusts (NCSLTs). Fitch has also assigned Stable Rating Outlooks to two classes. The NCSLT trusts are collateralized by private student loans originated by First Marblehead Corporation. Entity/Debt Rating Prior ----------- ------ ----- National Collegiate Student Loan Trust 2004-2/NCF Grantor Trust 2004-2 B 63543PBA3 LT PIFsf Paid In Full CCsf C 63543PBB1 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2005-1/NCF Grantor Trust 2005-1 B 63543PBK1 LT B+sf Upgrade CCCsf C 63543PBL9 LT Dsf Affirmed Dsf National Collegiate Student Loan Trust 2007-1 A-4 63543XAD1 LT B+sf Affirmed B+sf B 63543XAF6 LT Csf Affirmed Csf C 63543XAG4 LT Csf Affirmed Csf D 63543XAH2 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2007-2 A-4 63543LAD7 LT B+sf Upgrade Bsf B 63543LAF2 LT Csf Affirmed Csf C 63543LAG0 LT Csf Affirmed Csf D 63543LAH8 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2006-3 B 63543VAG8 LT Csf Affirmed Csf C 63543VAH6 LT Csf Affirmed Csf D 63543VAJ2 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2006-1 A-5 63543PCD6 LT BB-sf Affirmed BB-sf B 63543PCF1 LT Csf Affirmed Csf C 63543PCG9 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2005-2/NCF Grantor Trust 2005-2 A-5-1 63543PBU9 LT BB+sf Affirmed BB+sf A-5-2 63543PBY1 LT BB+sf Affirmed BB+sf B 63543PBW5 LT Csf Affirmed Csf C 63543PBX3 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2005-3/NCF Grantor Trust 2005-3 B 63543TAJ7 LT Csf Affirmed Csf C 63543TAK4 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2006-2 A-4 63543MAD5 LT Csf Affirmed Csf B 63543MAF0 LT Csf Affirmed Csf C 63543MAG8 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2003-1 B-1 63543PAJ5 LT Csf Affirmed Csf B-2 63543PAK2 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2004-1 A-4 63543PAP1 LT CCsf Affirmed CCsf B-1 63543PAS5 LT Csf Affirmed Csf B-2 63543PAT3 LT Csf Affirmed Csf National Collegiate Student Loan Trust 2006-4 A-4 63543WAD3 LT BB+sf Affirmed BB+sf B 63543WAF8 LT Csf Affirmed Csf C 63543WAG6 LT Csf Affirmed Csf D 63543WAH4 LT Csf Affirmed Csf Transaction Summary Credit enhancement (CE) for the upgraded 2005-1 class B and 2007-2 class A-4 notes has increased and their payment profiles have improved under Fitch's rating scenarios since the last review. The dismissal of the Consumer Financial Protection Bureau (CFPB) lawsuit against the NCSLT issuers has removed the risk of a judgment pertaining to that lawsuit. The dismissal materially reduced the risk of unforeseen monetary losses for the trusts. The upgrades also reflect that the trusts have reserves for additional litigation risks. Despite these improvements, Fitch has maintained a rating cap of 'BB+sf' due to ongoing litigation risk. The dismissal of the CFPB lawsuit on April 25, 2025, significantly reduced one source of risk, but there is still potential for other future litigation. Fitch will continue to monitor developments in the legal and regulatory landscape very closely, particularly the Pennsylvania Higher Education Assistance Agency (PHEAA) matter and other pending litigation involving the CFPB or other parties. Fitch will update its analysis and rating assumptions accordingly as additional developments occur. KEY RATING DRIVERS Ongoing Litigation Risk: The CFPB filed an action against the NCSLT issuers in federal court on Sept. 18, 2017, alleging that the NCSLT issuers, through the actions of their servicers and sub-servicers, engaged in illegal student loan debt collection practices. The CFPB also filed a consent judgment and alleged that the NCSLT issuers had agreed to it. However, this consent judgment was later denied on a technicality. After several years of appeals and other judicial developments, in March 2024 the U.S. Court of Appeals for the Third Circuit ruled that the NCSLT issuers are "covered persons," subject to the enforcement authority of the CFPB. As of Jan. 16, 2025, the CFPB and the NCSLTs filed a proposed stipulated judgment that, if entered by the court, would require the trusts to pay the CFPB $2.25 million in monetary relief, redress, and damages to affected student loan borrowers. This filing followed an earlier 2024 ruling confirming that NCSLT issuers are subject to the CFPB's enforcement authority. A change in leadership at the CFPB occurred soon after the commencement of the new federal administration. On April 25, 2025, the CFPB and the NCSLT agreed to a voluntary dismissal, with prejudice, of the lawsuit between the two parties. In Fitch's view, the dismissal reduces the risk of unforeseen monetary losses. However, the Third Circuit's ruling is not affected by the dismissal, and the legal precedent remains, holding that the NCSLT issuers are subject to the enforcement authority of the CFPB, whether the CFPB chooses to exercise such authority or not. While the CFPB under its current leadership has decided not to pursue further litigation, there remains the possibility that new litigation against the NCSLT issuers may be initiated in the future. Fitch expects the senior notes rated 'Bsf' or above to be paid off within the next year or two. On May 6, 2024, the CFPB and the trusts entered into a Stipulated Final Judgment and Order to resolve, at its outset, an enforcement action simultaneously filed by the CFPB against the trusts and the PHEAA, which is the trusts' primary servicer, in the U.S. District Court for the Middle District of Pennsylvania. The court granted the payment of a $1.4 million supersedeas bond from the trusts to show their ability and willingness to pay the agreed damages. Fitch has applied a rating cap of 'BB+sf' due to the ongoing, albeit more moderate, litigation risk. Payment Structure: The trusts rated 'CCC+sf' or below are under-collateralized, with total parities of less than 100%. This is the most important rating factor for those classes. As of the March 2026 distribution date, the following senior reported parities increased since April 2025: - NCSLT 2005-2 up to 279.10% from 198.44% - NCSLT 2006-1 up to 194.78% from 159.02% - NCSLT 2006-4 up to 432.51% from 239.24% - NCSLT 2007-1 up to 187.02% from 152.51% - NCSLT 2007-2 up to 151.87% from 133.64% While senior reported parities below decreased from April 2025 due to under-collateralization: - NCLST 2004-1 down to 15.74% from 33.24% - NCSLT 2006-2 down to 59.48% from 66.89% Senior notes benefit from subordination provided by the junior notes. Senior notes have had increasing parity levels due to amortization, except for NCSLT 2004-1 and NCSLT 2006-2. Collateral Performance: As of the March 2026 distribution date, the WA remaining term for NCSLT shown below: - 2003-1: 22.4 months - 2004-1: 27.9 months - 2004-2: 34.6 months - 2005-1: 40.8 months - 2005-2: 41.7 months - 2005-3: 43.3 months - 2006-1: 45.0 months - 2006-2: 46.1 months - 2006-3: 53.6 months - 2006-4: 50.8 months - 2007-1: 53.6 months - 2007-2: 55.9 months Fitch maintained the constant default rate (CDR) assumption at 5.00% for all rated NCSLTs. The recovery rate was assumed to be 0% for all transactions considering lawsuit uncertainty between the trusts and defaulted borrowers. Fitch assumed a 40% principal repayment rate for NCSLT 2003-1 and NCSLT 2004-1, a 30% principal repayment rate for NCSLT 2004-2, NCSLT 2005-1, NCSLT2005-2, NCSLT 2005-3 and NCSLT 2006-1, and a 20% principal repayment rate for NCSLT 2006-2, NCSLT 2006-3, NCSLT 2006-4, NCSLT 2007-1 and NCSLT 2007-2, respectively. Fitch applied a rating default multiple of 5.0x to the default assumption at the 'AAAsf' rating level, mainly reflecting the litigation risk and a low absolute base case default and the potential for higher volatility between actual performance and base case assumptions due to short weighted average remaining loan term. Operational Capabilities: Pennsylvania Higher Education Assistance Agency (PHEAA) services roughly 98% of the trusts, with Nelnet servicing the rest. US Bank N.A. acts as special servicer for the trusts. Fitch believes all servicers are acceptable servicers of private student loans. Despite the uncertainty on the outcome of the pending litigations, filed on May 6, 2024, between transaction parties, including PHEAA, Fitch believes such risk is addressed by the rating cap at current rating of 'BB+sf' and Fitch's conservative assumptions on defaults and recoveries. ESG - Customer Welfare - Fair Messaging, Privacy & Data Security: The trusts must comply with consumer protection-related regulatory requirements such as fair/transparent lending, data security, and safety standards. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade If the pending litigation results in unforeseen monetary expenses, Fitch could take negative rating actions, depending on the type, timing and size of such expenses. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance and increasing credit enhancement levels could result in Fitch taking positive rating actions. However, improved performance of the underlying collateral alone would not necessarily result in an upgrade above the 'BB+sf' rating cap due to litigation risk affecting these trusts. 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 National Collegiate Student Loan Trust 2003-1, 2004-1, 2004-2, 2005-1, 2005-2, 2005-3, 2006-1, 2006-2, 2006-3, 2006-4, 2007-1 and 2007-2 have an ESG Relevance Score of '5' for Customer Welfare - Fair Messaging, Privacy & Data Security. This is due to compliance with consumer protection related regulatory requirements, such as fair/transparent lending, data security, and safety standards, which has a negative impact on the credit profile and is highly relevant to the ratings, resulting in capping the ratings at 'BB+sf'. 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. [] Fitch Gives Final Ratings to 21 Classes on 14 Towd Point Deals ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to 21 previously unrated classes from 14 previously rated Towd Point Mortgage Trust transactions issued between 2020 and 2025. All 21 classes have a Stable Rating Outlook. Entity/Debt Rating ----------- ------ Towd Point Mortgage Trust 2024-3 B3 89183FAG3 LT Bsf New Rating TPMT 2023-1 B4 89181JAR3 LT B-sf New Rating TPMT 2021-SJ1 B3 89180FAF8 LT BB+sf New Rating TPMT 2022-1 B4 89170VAR9 LT BBB-sf New Rating TPMT 2025-R2 B3 89182UAG1 LT BB-sf New Rating B4 89182UAH9 LT B+sf New Rating TPMT 2021-SJ2 B3 89180LAH1 LT BB-sf New Rating Towd Point Mortgage Trust 2020-1 B5A 89178WBX5 LT B-sf New Rating Towd Point Mortgage Trust 2025-R1 B1 89183DAF0 LT BB-sf New Rating B2 89183DAG8 LT B+sf New Rating TPMT 2022-4 B4 89180YAR1 LT BBB-sf New Rating TPMT 2022-SJ1 B4 89180GAH2 LT Bsf New Rating TPMT 2022-2 B4 89180HAR8 LT BBB-sf New Rating TPMT 2021-1 B3 89179YAJ2 LT BBB+sf New Rating B3A 89179YBW2 LT BBB+sf New Rating B3B 89179YBY8 LT BBB+sf New Rating B4 89179YAK9 LT Bsf New Rating TPMT 2022-3 B4 89180NAH7 LT BBB-sf New Rating Towd Point Mortgage Trust 2021-R1 B1 89179TAE4 LT A+sf New Rating B2 89179TAF1 LT Asf New Rating B3 89179TAG9 LT A-sf New Rating Transaction Summary Eight of the transactions are backed by re-performing loan (RPL) collateral, three are backed by seasoned junior liens (HE), and three are Re-REMICs backed by RMBS REMICs. The pools under review were last reviewed during the RPL/SPL/S&D and Home Equity surveillance reviews in January 2026 and the RPL Re-REMIC surveillance review in February 2026. The expected losses of these pools have declined since issuance, allowing ratings to be assigned to previously unrated subordinate classes based on their current levels of credit enhancement. The classes receiving new ratings are subordinate classes, each of which has at least one class subordinate to it in the waterfall. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Neutral): The average 'AAAsf' expected loss across the 55 reviewed collateral pools is 9.7%, up 8 bps since January 2026. These reviewed pools include 11 RPL and HE transactions receiving new ratings and the 44 pools backing the three Re-REMIC transactions. Among the 11 RPL and HE transactions receiving new ratings, the average 'AAAsf' expected loss 14.0%, down 7 bps from January 2026 or 7.6% from issuance. For the 44 pools supporting the Re-REMICs, the average 'AAAsf' expected loss is 8.7%, up 11 bps since February 2026. There are 14 classes receiving new ratings across 11 REMIC transactions, backed by either RPL or seasoned HE collateral pools. The eight RPL pools have an average 'AAAsf' expected loss of 9.5%, down 2 bps from January 2026 or 6.9% from issuance, while the three HE pools have an average of 25.9%, down 31 bps or 9.5% from issuance. The remaining seven classes receiving new ratings are from three Re-REMIC transactions backed by 44 RPL collateral pools. The collateral pools supporting the underlying Re-REMICs have an average 'AAAsf' expected loss of 8.7%, up 11 bps from February 2026. Collateral pools with particularly seasoned assets, such as RPL and HE pools, generally have their expected losses driven by recent borrower performance and changes in delinquencies. Borrower performance has been stable since December 2025 when these deals were last reviewed. The average 30+ DQ% for all 55 reviewed pools is currently 4.4% and largely unchanged over the past five months, up by 7 bps from January 2026. In addition, increases in borrower home equity support lower expected losses as loss severity falls. The current average mark-to-market combined loan-to-value ratio for these pools is 42.7%, down 19 bps since January 2026. Loan amortization and home price appreciation led to lower LTVs. Structural Analysis (Neutral): All of these transactions have straight sequential structures with principal allocated to the most senior bonds first while losses are allocated reverse sequentially. These structures allow deals to benefit from deleveraging and a buildup of credit enhancement over time. Most transactions are structured to use principal to cover interest payments, which is an important provision which helps to cover periodic shortfalls. Credit enhancement (CE) for the 21 previously unrated classes has increased by approximately 284 bps, on average, since deal issuance due to amortization. Transactions that utilize excess spread to pay principal and create overcollateralization will experience faster credit enhancement buildup compared to those that do not include this feature. Operational Risk Analysis (Neutral): Fitch views operational risk was controlled for these transactions. Fitch considers originator and servicer capability and third-party due diligence results to derive a potential operational risk adjustment. Counterparty Risk and Credit Linkages (Negative): All relevant transaction parties conform with the requirements described in Fitch's "Global Structured Finance Rating Criteria." In addition, all legal requirements satisfied to fully de-link the transaction from any other entities. Rating Cap Analysis (Neutral): These classes were not subjected to any upgrade cap considerations. 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 42.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. 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. [] Moody's Hikes 7 Bond Classes From 6 National Collegiate Trusts ----------------------------------------------------------------- Moody's Ratings has upgraded seven classes of bonds issued by six National Collegiate Student Loan Trusts, which are backed by private (i.e. not government-guaranteed) student loans. The loans are serviced primarily by the Pennsylvania Higher Education Assistance Agency (PHEAA) with US Bank National Association acting as the special servicer. The administrator for all NCSLT securitizations is Goal Structured Solutions, Inc. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. Issuer: National Collegiate Student Loan Trust 2005-1 Cl. B, Upgraded to Caa1 (sf); previously on Dec 12, 2024 Upgraded to Caa2 (sf) Issuer: National Collegiate Student Loan Trust 2005-2 Cl. A-5-1, Upgraded to B2 (sf); previously on Jan 12, 2018 Confirmed at Caa1 (sf) Cl. A-5-2, Upgraded to B2 (sf); previously on Jan 12, 2018 Confirmed at Caa1 (sf) Issuer: National Collegiate Student Loan Trust 2005-3 Cl. B, Upgraded to Caa3 (sf); previously on Apr 25, 2024 Upgraded to Ca (sf) Issuer: National Collegiate Student Loan Trust 2006-3 Cl. B, Upgraded to Caa2 (sf); previously on Apr 25, 2024 Upgraded to Caa3 (sf) Issuer: National Collegiate Student Loan Trust 2006-4 Cl. A-4, Upgraded to Ba1 (sf); previously on Dec 12, 2024 Downgraded to B1 (sf) Issuer: National Collegiate Student Loan Trust 2007-1 Cl. A-4, Upgraded to B1 (sf); previously on Dec 12, 2024 Downgraded to B2 (sf) RATINGS RATIONALE The upgrades are primarily driven by the continued build-up in credit enhancement as a result of the rapid pay down of the senior notes due to the sequential pay structures. The rating action also considered the significant uncertainty related to existing litigation risk faced by the transactions, despite of the settlement and subsequent dismissal of the CFPB lawsuit, the potential negative impact from extraordinary fees charged to the trusts, the potential deterioration in performance of underlying pools due to servicer transfer, a significant restriction on NCSLT's ongoing ability to enforce debt obligations. Moody's expected lifetime default as a percentage of original pool balance ranges from 34.30% to 56.70%. The default expectation reflects updated performance trends on the underlying pools. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Private Student Loan Securitizations" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the bonds if net losses are lower than Moody's expectations or if levels of credit enhancement are consistent with higher ratings. Additionally, the ratings for the transaction could be upgraded if there is a positive outcome for the trusts with regard to the ongoing lawsuits. Down Moody's could downgrade the ratings of the bonds if net losses are higher than Moody's expectations or if the servicer's financial stability or quality of servicing deteriorates. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, the ratings for the transaction could be downgraded if there is a negative outcome for the trusts with regard to the ongoing lawsuits. [] Moody's Upgrades Ratings on 14 Bonds from 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 14 bonds from three US residential mortgage-backed transactions (RMBS). The collateral backing these deals consists of agency eligible investment property mortgage loans. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Hundred Acre Wood Trust 2021-INV3 Cl. B1, Upgraded to Aaa (sf); previously on Jan 22, 2024 Upgraded to Aa1 (sf) Cl. B1A, Upgraded to Aaa (sf); previously on Jan 22, 2024 Upgraded to Aa1 (sf) Cl. B2, Upgraded to Aa2 (sf); previously on Aug 21, 2025 Upgraded to Aa3 (sf) Cl. B2A, Upgraded to Aa2 (sf); previously on Aug 21, 2025 Upgraded to Aa3 (sf) Cl. B3, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B4, Upgraded to Baa1 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Cl. BX1* Upgraded to Aaa (sf); previously on Jan 22, 2024 Upgraded to Aa1 (sf) Cl. BX2* Upgraded to Aa2 (sf); previously on Aug 21, 2025 Upgraded to Aa3 (sf) Issuer: MFA 2021-AEINV1 Trust Cl. B-1, Upgraded to Aa1 (sf); previously on Nov 21, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 21, 2024 Upgraded to A1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Nov 21, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 29, 2025 Upgraded to Ba2 (sf) Issuer: MFA 2021-AEINV2 Trust Cl. B-3, Upgraded to A2 (sf); previously on Aug 29, 2025 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Nov 21, 2024 Upgraded to Baa3 (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 no cumulative loss and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown, as the pools amortize. The credit enhancement since closing has grown, on average, 1.2x for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement, and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. . Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 84 Bonds from 9 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 84 bonds from nine 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: Citigroup Mortgage Loan Trust 2021-INV2 Cl. B-1, Upgraded to Aaa (sf); previously on Nov 16, 2023 Upgraded to Aa1 (sf) Cl. B-1-IO*, Upgraded to Aaa (sf); previously on Nov 16, 2023 Upgraded to Aa1 (sf) Cl. B-1-IOW*, Upgraded to Aaa (sf); previously on Nov 16, 2023 Upgraded to Aa1 (sf) Cl. B-1-IOX*, Upgraded to Aaa (sf); previously on Nov 16, 2023 Upgraded to Aa1 (sf) Cl. B-1W, Upgraded to Aaa (sf); previously on Nov 16, 2023 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Sep 17, 2024 Upgraded to Aa3 (sf) Cl. B-2-IO*, Upgraded to Aa2 (sf); previously on Sep 17, 2024 Upgraded to Aa3 (sf) Cl. B-2-IOW*, Upgraded to Aa2 (sf); previously on Sep 17, 2024 Upgraded to Aa3 (sf) Cl. B-2-IOX*, Upgraded to Aa2 (sf); previously on Sep 17, 2024 Upgraded to Aa3 (sf) Cl. B-2W, Upgraded to Aa2 (sf); previously on Sep 17, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Jul 31, 2025 Upgraded to A2 (sf) Cl. B-3-IO*, Upgraded to A1 (sf); previously on Jul 31, 2025 Upgraded to A2 (sf) Cl. B-3-IOW*, Upgraded to A1 (sf); previously on Jul 31, 2025 Upgraded to A2 (sf) Cl. B-3-IOX*, Upgraded to A1 (sf); previously on Jul 31, 2025 Upgraded to A2 (sf) Cl. B-3W, Upgraded to A1 (sf); previously on Jul 31, 2025 Upgraded to A2 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Jul 31, 2025 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Jul 31, 2025 Upgraded to Ba1 (sf) Issuer: Citigroup Mortgage Loan Trust 2021-J3 Cl. B-2, Upgraded to Aa2 (sf); previously on Jan 8, 2024 Upgraded to Aa3 (sf) Cl. B-2-IO*, Upgraded to Aa2 (sf); previously on Jan 8, 2024 Upgraded to Aa3 (sf) Cl. B-2-IOW*, Upgraded to Aa2 (sf); previously on Jan 8, 2024 Upgraded to Aa3 (sf) Cl. B-2-IOX*, Upgraded to Aa2 (sf); previously on Jan 8, 2024 Upgraded to Aa3 (sf) Cl. B-2W, Upgraded to Aa2 (sf); previously on Jan 8, 2024 Upgraded to Aa3 (sf) Issuer: Citigroup Mortgage Loan Trust Inc. 2020-EXP1 Cl. B-2, Upgraded to Baa2 (sf); previously on Sep 17, 2024 Upgraded to Baa3 (sf) Issuer: J.P. Morgan Mortgage Trust 2022-INV1 Cl. B-2, Upgraded to Aa3 (sf); previously on Apr 22, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Apr 22, 2025 Upgraded to Baa1 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-10 Cl. A-9, Upgraded to Aaa (sf); previously on Oct 31, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Upgraded to Aaa (sf); previously on Oct 31, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Upgraded to Aaa (sf); previously on Oct 31, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Oct 31, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Upgraded to Aaa (sf); previously on Oct 31, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Upgraded to Aaa (sf); previously on Oct 31, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Oct 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Oct 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Oct 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-2 Cl. B-2, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa3 (sf) Cl. B-2-A, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa3 (sf) Cl. B-2-X*, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa3 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Aug 21, 2025 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Aug 21, 2025 Upgraded to Ba3 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-5 Cl. A-9, Upgraded to Aaa (sf); previously on Jun 28, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Upgraded to Aaa (sf); previously on Jun 28, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Upgraded to Aaa (sf); previously on Jun 28, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Jun 28, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Apr 22, 2025 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Apr 22, 2025 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Apr 22, 2025 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-9 Cl. A-9, Upgraded to Aaa (sf); previously on Sep 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Upgraded to Aaa (sf); previously on Sep 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Upgraded to Aaa (sf); previously on Sep 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Sep 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Upgraded to Aaa (sf); previously on Sep 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Upgraded to Aaa (sf); previously on Sep 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Sep 30, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Sep 30, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Sep 30, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Aug 21, 2025 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jul 29, 2025 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Aug 21, 2025 Upgraded to Ba3 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-CCM1 Cl. A-9, Upgraded to Aaa (sf); previously on Nov 26, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Upgraded to Aaa (sf); previously on Nov 26, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Upgraded to Aaa (sf); previously on Nov 26, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Nov 26, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Upgraded to Aaa (sf); previously on Nov 26, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Upgraded to Aaa (sf); previously on Nov 26, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-4*, Upgraded to Aaa (sf); previously on Nov 26, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-5*, Upgraded to Aaa (sf); previously on Nov 26, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Nov 26, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 26, 2024 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 26, 2024 Definitive Rating Assigned Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Nov 26, 2024 Definitive Rating Assigned B1 (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 0.02% and a small percentage of loans in delinquencies. In addition, enhancement levels for most tranches have grown, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 2.0x for the tranches upgraded. Moody's analysis also considered the relationship of exchangeable bonds to the bond(s) they could be exchanged for. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] S&P Places 193 Ratings from 87 U.S. CLO Deals on CreditWatch --------------------------------------------------------------- S&P Global Ratings placed 193 ratings from 87 U.S. CLO transactions on CreditWatch. Of these CreditWatch placements, 85 were with positive implications and 108 with negative implications. A list of Affected Ratings can be viewed at: https://tinyurl.com/52va3827 These CreditWatch placements are based on the classes' performance and changes in metrics. S&P may place ratings on CreditWatch to reflect its opinion that there is at least a one-in-two likelihood of a rating change. Such a CreditWatch placement does not mean that a rating change is inevitable. Forty-six of these transactions are amortizing, while 46 are in their reinvesting phase. Except for 11 CLOs backed by middle market loans, the rest of the CLOs involved in the actions are backed by broadly syndicated loans. The CreditWatch positive placements are primarily due to the increase of the credit support for those classes at their current rating levels, which is reflected in an increase in their overcollateralization (O/C) ratios and improved cash flow results. The increase in the O/C ratios is mostly a result of paydowns to the senior notes. The CreditWatch negative placements are primarily due to a decline of the credit support for those classes at their current rating levels, which is reflected in a drop in their overcollateralization (O/C) ratios and weakened cash flow results. Though the trustee-reported O/C ratios of reinvesting CLOs could be above their minimum required level, they have declined since the respective transactions went effective. While the decline in the O/C ratios of reinvesting CLOs is likely due to par losses, the weakened cash flow results of these CLOs are likely due to a combination of par losses and decreases in key metrics of the underlying collateral, such as recovery rates and spreads. The amortizing CLOs could have additional issues--such as increased concentration and higher exposure to 'CCC' rated collateral--as the portfolio decreases following paydowns. Some amortizing CLOs have senior tranches placed on CreditWatch positive, while some of their junior tranches were placed on CreditWatch negative at the same time. Although the same portfolio backs all the tranches of each CLO, these CLOs might have opposing rating movements because they experienced both principal paydowns, which increased the senior credit support, and principal losses, which decreased the junior credit support. S&P intends to resolve these CreditWatch placements within 90 days, following a committee review. S&P will continue to monitor the transactions we rate and take rating actions, including CreditWatch placements, as it deems appropriate. [] S&P Takes Various Actions on 69 Classes From 11 US RMBS Deals ---------------------------------------------------------------- S&P Global Ratings completed its review of 69 classes from 11 U.S. RMBS transactions issued between 2021 and 2024. The review yielded 21 upgrades and 48 affirmations. A list of Affected Ratings can be viewed at: https://tinyurl.com/4rap92ym Analytical Considerations S&P said, "For each transaction, we performed a credit analysis using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at the prior review. Our geographic concentration factors were based on the transactions' current pool composition. "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." Some of these considerations may include: -- Collateral performance/delinquency trends; -- The priority of principal payments; -- The priority of loss allocation; -- Expected duration; and -- Available subordination, credit enhancement floors, and/or excess spread (where available). Rating Actions The upgrades primarily reflect continued deleveraging since the respective transactions benefit from low accumulated losses to date and a growing percentage of credit support to the rated classes. The affirmations reflect S&P's projected credit support on these classes, which it believes are sufficient to cover our projected losses for those rating scenarios. ********* 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. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2026. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The single-user TCR subscription rate is $1,400 for six months or $2,350 for twelve months, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each per half-year or $50 annually. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***