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260517.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 17, 2026, Vol. 30, No. 137 Headlines ANCHORAGE CAPITAL 36: Fitch Assigns 'BB-sf' Rating on Class E Notes ANCHORAGE CAPITAL 36: Moody's Assigns B3 Rating to $3MM F Notes ASPIRE MORTGAGE 2026-2: Fitch Assigns 'Bsf' Rating on Cl. B-2 Certs AUDAX SENIOR 7: S&P Affirms BB- (sf) Rating on Class E-R Notes BAIN CAPITAL 2026-2: Fitch Assigns 'BB-sf' Rating on Class E Notes BARCLAYS MORTGAGE 2026-NQM5:S&P Assigns (P) B- Rating on B-2 Notes BBCMS MORTGAGE 2019-C4: Fitch Lowers Rating on Two Tranches to Csf BENEFIT STREET XXIII: Fitch Rates Class E-RR Notes 'BB-(EXP)sf' BRAVO RESIDENTIAL 2026-NQMR1: Fitch Rates Class B-2 Notes 'B+sf' BRIDGE STREET IV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CARLYLE US 2019-1: Moody's Affirms Ba3 Rating on $33MM D-R Notes CARVANA AUTO 2026-P2: S&P Assigns Prelim BB (sf) Rating on N Notes COLT 2026-4: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs COMM 2013-CCRE6: Moody's Cuts Rating on Class E Certs to Ca COMM 2015-LC23: Fitch Lowers Rating on Two Tranches to 'CCCsf' CSWF 2021-SOP2: S&P Affirms 'CCC (sf)' Rating on Class E Certs DBWF 2015-LCM: S&P Lowers Class F Certs Rating to 'CCC- (sf)' EFMT 2026-AE3: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs ELEVATION CLO 2021-12: S&P Affirms BB-(sf) Rating on Cl. E-R Notes ELMWOOD CLO 27: Fitch Assigns 'B-sf' Rating on Class F-R Notes EMPOWER CLO 2024-1: S&P Affirms BB- (sf) Rating on Class E Notes ESTN TRUST 2026-TOWN: S&P Assigns BB+ (sf) Rating on Cl. HRR Certs EXETER SELECT 2026-1: S&P Assigns Prelim B (sf) Rating on N Notes FORTRESS CREDIT XXIII: S&P Assigns BB-(sf) Rating on Cl. E-R Notes GLS AUTO 2026-2: S&P Assigns BB (sf) Rating on Class E Notes GOLDENTREE LOAN 29: Fitch Assigns 'B-sf' Rating on Class F Notes GOLUB CAPITAL 72(B)-R: Fitch Assigns BB-sf Rating on Cl. E-R Notes HARBOR PARK: Fitch Affirms BB-sf Rating on Class E-R2 Debt HILDENE TRUPS 7: Moody's Assigns Ba2 Rating to $13.5MM Cl. D Notes LIFE 2022-BMR2: Moody's Cuts Rating on Cl. D Certs to B2 MCF CLO IX: S&P Assigns Prelim BB- (sf) Rating on Class E-R2 Notes NEW RESIDENTIAL 2026-NQM6: Fitch Rates Class B2 Notes 'B-sf' OAKTREE CLO 2026-34: S&P Assigns Prelim BB- (sf) Rating on E Notes OBRA CLO 4: S&P Assigns Prelim BB- (sf) Rating on Class E Notes OBX 2026-INV3: Moody's Assigns B3 Rating to Cl. B-5 Certs OCTAGON INVESTMENT XXI: Moody's Cuts Rating on E-RR Notes to Caa3 OZLM XVIII: Moody's Affirms Ba3 Rating on $21.25MM Cl. E Notes PRM8 COMMERCIAL 2026-PRM8: Moody's Gives B3 Rating to Cl. F Certs SANDSTONE PEAK III: S&P Affirms BB- (sf) Rating on Class E Notes SEQUOIA MORTGAGE 2026-INV3: Fitch Rates Class B5 Certs 'B(EXP)sf' SIXTH STREET XI: S&P Affirms BB- (sf) Rating on Class E-R Notes SOUND POINT XXV: Moody's Cuts Rating on $27MM Cl. D-R Notes to Ba1 TRIMARAN CAVU 2026-1: S&P Assigns Prelim BB-(sf) Rating on E Notes WESTLAKE AUTOMOBILE 2026-2: S&P Assigns BB (sf) Rating on E Notes Z CAPITAL 2019-1: Moody's Cuts Rating on $25MM Cl. E Notes to Caa1 [] Moody's Takes Action on 4 Bonds from 2 US RMBS Deals [] Moody's Upgrades Ratings on 31 Bonds from 4 US RMBS Deals [] Moody's Upgrades Ratings on 71 Bonds from 6 US RMBS Deals [] Moody's Upgrades Ratings on 8 Bonds from 3 US RMBS Deals ********* ANCHORAGE CAPITAL 36: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 36, Ltd. Entity/Debt Rating ----------- ------ Anchorage Capital CLO 36, 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 F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Anchorage Capital CLO 36, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage CLO ECM, L.L.C. 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. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans and has a weighted average recovery assumption of 73.19%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 37% of the portfolio balance in aggregate while the top five obligors can represent up to 9% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, '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 Anchorage Capital CLO 36, 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. ANCHORAGE CAPITAL 36: Moody's Assigns B3 Rating to $3MM F Notes --------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued by Anchorage Capital CLO 36, Ltd. (the issuer): US$256,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$3,000,000 Class F Junior Secured Deferrable Floating Notes due 2039, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Anchorage Capital CLO 36, Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. The portfolio is approximately 67% ramped as of the closing date. Anchorage CLO ECM, L.L.C. (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2839 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in 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. ASPIRE MORTGAGE 2026-2: Fitch Assigns 'Bsf' Rating on Cl. B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and rating outlooks to the residential mortgage-backed certificates issued by Aspire Mortgage Trust 2026-2 (SPIRE 2026-2). Entity/Debt Rating Prior ----------- ------ ----- SPIRE 2026-2 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 829 loans with a total balance of approximately $450.65 million as of the cutoff date. The pool consists of non-QM mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from Hometown Equity Mortgage LLC and various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a modified, sequential payment structure with three months of advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted average (WA) Fitch FICO of 751 and 33.7% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 68.9% mark-to-market combined LTV (cLTV). Overall, 47.0% of the pool loans are for primary residences, while the remainder are investor properties or second homes. In addition, 9.2% of the loans were underwritten to full documentation and 38.3% are DSCR loans. Since the publication of Fitch's expected ratings and presale report, an updated pricing structure was provided with coupons 5-22bps tighter for the fixed-rate classes. The structure also saw a 7bp increase in the weighted average excess spread. Fitch re-ran its cashflow analysis and confirmed there were no changes from its expected ratings. 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 analyzed loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SPIRE 2026-2 had a final probability of default (PD) of 39.0% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress was 41.9%. The expected loss in the 'AAAsf' rating stress was 16.3% Structural Analysis: The mortgage cash flow and loss allocation in SPIRE 2026-2 were based on a modified sequential-payment structure, whereby principal was 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 were reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurred 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 were reduced to zero. Fitch analyzed the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applied its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE in the form of subordination and excess spread for a given rating exceeded the expected losses of that rating stress. Operational Risk Analysis: Fitch considered originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that had a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applied a 5 basis points (bps) z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which had a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch confirmed all relevant transaction parties conformed with the requirements as described in its "Global Structured Finance Rating Criteria". Relevant parties were 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. SPIRE 2026-2 is 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 did not apply to SPIRE 2026-2; as such, Fitch was comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch 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. AUDAX SENIOR 7: S&P Affirms BB- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its rating to the replacement class A-R2 debt from Audax Senior Debt CLO 7 LLC, a CLO managed by Audax Management Co. (NY) LLC that was originally issued in February 2023. At the same time, S&P withdrew its rating on the previous class A debt following payment in full on the May 8, 2026, refinancing date. S&P also affirmed its ratings on the class B-R, C-R, D-R, and E-R debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 20, 2027. -- No additional assets were purchased on the May 8, 2026, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-R2, $345.00 million: Three-month CME term SOFR + 1.60% Previous debt -- Class A, $345.00 million: Three-month CME term SOFR + 2.85% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Rating Assigned Audax Senior Debt CLO 7 LLC Class A-R2, $345.00 million: AAA (sf) Rating Withdrawn Audax Senior Debt CLO 7 LLC Class A to NR from 'AAA (sf)' Ratings Affirmed Audax Senior Debt CLO 7 LLC Class B-R: AA (sf) Class C-R: A (sf) Class D-R: BBB- (sf) Class E-R: BB- (sf) Other Debt Audax Senior Debt CLO 7 LLC Subordinated notes, $33.56 million: NR NR--Not rated. BAIN CAPITAL 2026-2: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2026-2, Limited. Entity/Debt Rating Prior ----------- ------ ----- Bain Capital Credit CLO 2026-2, Limited A-1 05686EAA7 LT NRsf New Rating NR(EXP)sf A-2 05686EAC3 LT AAAsf New Rating AAA(EXP)sf B 05686EAE9 LT AAsf New Rating AA(EXP)sf C 05686EAG4 LT Asf New Rating A(EXP)sf D-1 05686EAJ8 LT BBB-sf New Rating BBB-(EXP)sf D-2 05686EAL3 LT BBB-sf New Rating BBB-(EXP)sf E 05686FAA4 LT BB-sf New Rating BB-(EXP)sf Subordinated Notes 05686FAC0 LT NRsf New Rating NR(EXP)sf 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. Date of Relevant Committee 01-May-2026 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. BARCLAYS MORTGAGE 2026-NQM5:S&P Assigns (P) B- Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Barclays Mortgage Loan Trust 2026-NQM5's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans to both prime and nonprime borrowers (some with initial interest-only periods). The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, condotels and mixed-use properties. The pool has 607 loans, which are qualified mortgage (QM)/non-higher-priced mortgage loan (average prime offer rate), QM/higher-price mortgage loan (average prime offer rate), non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt. The preliminary ratings are based on information as of May 13, 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 originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings(i) Assigned Barclays Mortgage Loan Trust 2026-NQM5 Class A-1FCF, $82,703,000: AAA (sf) Class A-1LCF, $27,568,000: AAA (sf) Class A-1A, $95,789,000: AAA (sf) Class A-1B, $14,481,000: AAA (sf) Class A-1, $110,271,000: AAA (sf) Class A-2, $16,653,000: AA- (sf) Class A-3, $27,948,000: A- (sf) Class M-1, $9,702,000: BBB- (sf) Class B-1, $6,661,000: BB- (sf) Class B-2, $4,778,000: B- (sf) Class B-3, $3,331,434: not rated Class SA, $37,450: not rated Class XS, notional(ii): not rated Class PT, $289,651,884: not rated Class R, not applicable: not rated (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the net WAC shortfall amounts. (ii)On any payment date, the class XS notes will have a notional amount equal to the aggregate stated mortgage loans' principal balance as of the first day of the related due period and will not be entitled to principal payments. WAC--Weighted average coupon. BBCMS MORTGAGE 2019-C4: Fitch Lowers Rating on Two Tranches to Csf ------------------------------------------------------------------ Fitch Ratings has downgraded nine classes and affirmed six classes of BBCMS Mortgage Trust 2019-C4 Commercial Mortgage Pass-Through Certificates, Series 2019-C4 (BBCMS 2019-C4). Fitch has assigned classes C, D, E, X-B and X-D Negative Outlooks following their downgrades. The Rating Outlook for classes A-S and B have been revised to Negative from Stable. Fitch has also affirmed all classes of BBCMS Mortgage Trust 2019-C5 Commercial Mortgage Pass-Through Certificates, Series 2019-C5 (BBCMS 2019-C5). The Rating Outlook for class G-RR has been revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2019-C4 A-4 07335CAE4 LT AAAsf Affirmed AAAsf A-5 07335CAF1 LT AAAsf Affirmed AAAsf A-S 07335CAG9 LT AAAsf Affirmed AAAsf A-SB 07335CAD6 LT AAAsf Affirmed AAAsf B 07335CAH7 LT AA-sf Affirmed AA-sf C 07335CAJ3 LT BBB-sf Downgrade A-sf D 07335CAT1 LT BBsf Downgrade BBBsf E 07335CAV6 LT B-sf Downgrade BBsf F 07335CAX2 LT CCsf Downgrade CCCsf G 07335CAZ7 LT Csf Downgrade CCsf X-A 07335CAK0 LT AAAsf Affirmed AAAsf X-B 07335CAL8 LT BBB-sf Downgrade A-sf X-D 07335CAM6 LT B-sf Downgrade BBsf X-F 07335CAP9 LT CCsf Downgrade CCCsf X-G 07335CAR5 LT Csf Downgrade CCsf BBCMS 2019-C5 A-3 05492JAV4 LT AAAsf Affirmed AAAsf A-4 05492JAW2 LT AAAsf Affirmed AAAsf A-S 05492JAX0 LT AAAsf Affirmed AAAsf A-SB 05492JAU6 LT AAAsf Affirmed AAAsf B 05492JAY8 LT AA-sf Affirmed AA-sf C 05492JAZ5 LT A-sf Affirmed A-sf D 05492JAA0 LT BBBsf Affirmed BBBsf E 05492JAC6 LT BBB-sf Affirmed BBB-sf F 05492JAE2 LT BB-sf Affirmed BB-sf G-RR 05492JAG7 LT B-sf Affirmed B-sf X-A 05492JBA9 LT AAAsf Affirmed AAAsf X-B 05492JBB7 LT A-sf Affirmed A-sf X-D 05492JAL6 LT BBB-sf Affirmed BBB-sf X-F 05492JAN2 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 7.8% in BBCMS 2019-C4 and 3.9% in BBCMS 2019-C5 compared to 5.6% and 3.4% as of the last rating action. Fitch Loans of Concerns (FLOCs) comprise of 14 loans (18.6%) in BBCMS 2019-C4 including four specially serviced loans (10.7%), and eight loans (16.5% of the pool) in BBCMS 2019-C5, including two specially serviced loans (2.2%). The downgrades in BBCMS 2019-C4 reflect increased loss expectations primarily from 188 Spear Street (7.1%) following its recent transfer to special servicing and Meidinger Tower (2.1%) due to an imminent distressed sale. The Negative Outlooks on classes A-S, B, C, D, E, X-B and X-D in BBCMS 2019-C4 reflect the potential for further downgrades should the FLOCs, particularly 188 Spear Street and New Orleans MOB Portfolio, experience performance and/or valuation declines. Fitch's applied an additional sensitivity analysis on 188 Spear Street given the potential for further value decline due to the loss of tenants and challenged market conditions. The affirmations of all classes in BBCMS 2019-C5 reflect stable pool performance. The Stable Outlooks, including the revision of the Negative Outlook on class G-RR to Stable reflect an additional sensitivity analysis given upcoming rollover concerns on Scottsdale Gateway II and ongoing performance concerns with the NEMA San Francisco. The ratings and outlooks reflect higher probability of default on these two loans. FLOCs; Largest Loss Contributors: The largest contributor to overall pool loss expectations in BBCMS 2019-C4 is Meidinger Tower, which transferred to special servicing in August 2023 for imminent monetary default. The loan is secured by a 26-story office building totaling 331,054-sf in Louisville, KY. The most recently reported occupancy was 21% as of September 2025. According to public records, the property is under contract for sale for $4.5 million and is expected to close in mid-May 2026. Fitch's 'Bsf' rating case loss of 106% (prior to concentration add-ons) reflects the listed sale price less anticipated fees and expenses. The largest FLOC, the second largest contributor to overall pool loss expectations and the largest increase in expected loss since the last rating action is 188 Spear Street. The loan transferred to special servicing in March 2026 due to imminent monetary default, as the largest tenant, Amazon (59% NRA and 57% rent), confirmed it will be vacating after their January 2027 lease expiration. The loan is secured by a 218,669-sf office property in San Francisco, CA. The second largest tenant, New Relic INC's (34% NRA and 34% rent), lease expires July 2027, and renewal intentions have not been provided to the servicer. Per CoStar, the space for both tenants is available for leasing. As of YE 2025 servicer reported occupancy and DSCR were 97% and 3.54x. Occupancy would decline to 37% excluding Amazon. Per Costar, the South Financial District Submarket reported a 25.9% vacancy rate and $61.95 psf in average rents. Amazon and New Relic current rent is $95 psf and $101 psf respectively. The loan is structured with a full cash flow sweep that is triggered 12 months prior to each of Amazon and New Relic's respective lease expiration. The cash flow sweep is capped at $50 per sf for each tenant ($10.1 million: $6.5 million from Amazon and $3.7 million from New Relic). The cash sweep balance was approximately $909,000 as of April 2026. Fitch's 'Bsf' rating case loss of 18.7% (prior to concentration add-ons) reflects a 8.5% cap rate, 30% stress to YE 2025 NOI due to the expected loss of the largest tenant. Although the loan is current, Fitch's analysis also assumed an increased probability of default given transfer to special servicing, above market rents and uncertainty of replacement tenants or ultimate workout. Fitch also considered a sensitivity analysis that assumed property occupancy of 75% to align with current submarket vacancy and market to market rent of $62psf for the Amazon and New Relic space. This results in a 30% loss and reflects a Fitch stressed value of approximately $327psf, in line with recent sales comparables. The Negative Outlooks reflect this analysis and the potential for additional downgrades. The third largest contributor to overall pool loss in BBCMS 2019-C4 is Holiday Inn Express & Suites El Reno (0.7%), which has been REO since late 2020. The asset is secured by a 79-room limited-service hotel in El Reno, OK. Per the special servicer, the flag was extended from January 2026 through December 2026. The asset will be marketed for sale with a target disposition by YE 2026. Fitch's 'Bsf' rating case loss of 91% (prior to concentration add-ons) reflects a stress to the most recent appraised value, reflecting a Fitch value of approximately $43,000 per room. The largest contributor to overall pool loss expectations in BBCMS 2019-C5 is SpringHill Suites Newark (2.1%), which is secured by a 132-unit hotel in Newark, DE. The loan was flagged as a FLOC due to declining DSCR since YE 2022. Servicer reported DSCR was 1.47x at YE 2025, 1.55x at YE 2024, 1.64x at YE 2023 and 1.70x at YE 2022. NOI declined due to increased operating expenses outpacing increased revenue. The loan has been delinquent for three of the past 12 months. Fitch's 'Bsf' rating case loss of 23.3% (prior to concentration add-ons) reflects an 11.5% cap rate, 15% stress to YE 2025 NOI and loan's delinquency history. The second largest contributor to overall pool loss expectations is Kohl's Highland Heights (1.3%), which transferred to special servicing in January 2025 due to a balloon payment/maturity default. The loan did repay at its October 2024 maturity. Hilco was appointed as receiver in November 2025. The loan is secured by a 80,371 sf retail store that is100% leased to Kohl's through January 2028. Fitch's 'Bsf' rating case loss of 26.4% (prior to concentration add-ons) reflects a heightened stress to the most recent appraised value, reflecting a Fitch value of approximately $102 psf. An updated appraisal is in process, according to the special servicer. The third largest contributor to overall pool loss expectations and largest loan in the pool is Presidential City (5.2%), which secured by 1,015-unit, high-rise multifamily property in Philadelphia, PA. Occupancy has remained in the low 90s since YE 2023 and was 92% at YE 2025. Servicer-reported DSCR was 1.50x at YE 2025. Fitch's 'Bsf' rating case loss of 6.3% (prior to concentration add-ons) reflects a 8.75% cap rate and YE 2025 NOI. Changes in Credit Enhancement (CE): As of the April 2026 distribution date, the aggregate balances of the BBCMS 2019-C4 and BBCMS 2019-C5 transactions have been reduced by 9.7% and 13.6%, respectively, since issuance. There have been no realized losses to date for the transactions. The BBCMS 2019-C4 transaction has nine defeased loans (8.6% of the pool) and the BBCMS 2019-C5 transaction has six defeased loans (5.5% of the pool). Cumulative interest shortfalls of approximately $4.4 million are affecting the non-rated class H-RR and class VRRI in BBCMS 2019-C4 and $87,000 are affecting the non-rated H-RR class and class VRRI in BBCMS 2019-C5. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes with Stable Outlooks are not currently expected as these classes are expected to pay off due to paydown from loan repayments and continued amortization. Downgrades to classes rated in the 'AAAsf', 'AAsf' and 'BBBsf' categories with Negative Outlooks could occur with an increase in loss expectations on specially serviced loans in BBCMS 2019-C4, including 188 Spear Street, Hampton Inn El Reno and Holiday Inn Express & Suites El Reno. Downgrades on classes in these rating categories in BBCMS 2019-C5 are not expected but would be possible with higher loss expectations on specially serviced assets SpringHill Suites Newark, Kohl's Highland Heights and Westar Place. Downgrades to classes rated in the 'BBsf', and 'Bsf' categories, particularly classes with Negative Outlooks in BBCMS 2019-C4, could occur with higher-than-expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings 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 'AAsf' and 'Asf' category rated classes are unlikely in BBCMS 2019-C4 given the uncertainty performance will improve on 188 Spear Street. Upgrades to these classes in BBCMS 2019-C5 are possible, but the likelihood is limited in the near term based on a sensitivity scenario which factored in an increased probability of default on Scottsdale Gateway II and NEMA San Francisco due to rollover concerns. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur with sustained improved performance of the FLOCs. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely BBCMS 2019-C4 but possible in BBCMS 2019-C5 if the performance of the remaining pool is stable 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 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. BENEFIT STREET XXIII: Fitch Rates Class E-RR Notes 'BB-(EXP)sf' --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Benefit Street Partners CLO XXIII, Ltd reset transaction. Entity/Debt Rating ----------- ------ Benefit Street Partners CLO XXIII, Ltd. A-1RR LT NR(EXP)sf Expected Rating A-2RR LT AAA(EXP)sf Expected Rating B-RR LT AA(EXP)sf Expected Rating C-RR LT A(EXP)sf Expected Rating D-1RR LT BBB-(EXP)sf Expected Rating D-2RR LT BBB-(EXP)sf Expected Rating E-RR LT BB-(EXP)sf Expected Rating Sub Notes LT NR(EXP)sf Expected Rating Transaction Summary Benefit Street Partners CLO XXIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by BSP CLO Management L.L.C. The deal originally closed in April 2021 and was refinanced in July 2025. It will undergo its first reset on May 15, 2026. Net proceeds from the issuance of the secured and subordinated notes will be used to finance a portfolio of approximately $600 million, consisting primarily of 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 22.14 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 96.6% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.93% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-1RR, between less than 'B-sf' and 'BB+sf' for class D-2RR, 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 the class A-2RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AA+sf' for class C-RR, 'A+sf' for class D-1RR, 'A-sf' for class D-2RR, 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. 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 Benefit Street Partners CLO XXIII, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BRAVO RESIDENTIAL 2026-NQMR1: Fitch Rates Class B-2 Notes 'B+sf' ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2026-NQMR1 (BRAVO 2026-NQMR1). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2026-NQMR1 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 A-1FCF LT AAAsf New Rating AAA(EXP)sf A-1LCF LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT A+sf New Rating A+(EXP)sf M-1A LT A-sf New Rating A-(EXP)sf M-1B LT BBB+sf New Rating BBB+(EXP)sf B-1 LT BB+sf New Rating BB+(EXP)sf B-2 LT B+sf New Rating B+(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf FB LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary 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. CRITERIA VARIATION No Criteria Variations 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. BRIDGE STREET IV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Bridge Street CLO IV Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Bridge Street CLO IV Ltd. X-R LT AAAsf New Rating A-1R LT AAAsf New Rating A-1RL LT AAAsf New Rating A-2R LT AAAsf New Rating B 107934AC5 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 107934AE1 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 107934AG6 LT PIFsf Paid In Full BBB-sf D-R1 LT BBB-sf New Rating D-R2 LT BBB-sf New Rating E 107935AA6 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Bridge Street CLO IV Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by FS Structured Products Advisor, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $348 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 23.57, 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 95.93% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.18% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1R, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, and 'A-sf' for class D-2R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Bridge Street CLO IV 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 2019-1: Moody's Affirms Ba3 Rating on $33MM D-R Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Carlyle US CLO 2019-1, Ltd.: US$26.5M Class B-R2 Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Aug 24, 2025 Assigned Aa1 (sf) US$36.5M Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Aug 24, 2025 Assigned Baa1 (sf) Moody's have also affirmed the ratings on the following notes: US$266.32M (Current outstanding amount US$135,987,045) Class A-1a-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 24, 2025 Assigned Aaa (sf) US$18M Class A-1b-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 24, 2025 Assigned Aaa (sf) US$66M Class A-2-R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 24, 2025 Assigned Aaa (sf) US$33M Class D-R Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 24, 2025 Assigned Ba3 (sf) Carlyle US CLO 2019-1, Ltd., issued in March 2019 and refinanced in October 2021 and in August 2025, is a collateralised loan obligation (CLO) backed by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Carlyle CLO Management L.L.C. The transaction's reinvestment period ended in April 2024. RATINGS RATIONALE The rating upgrades on the Class B-R2 and Class C-R2 notes are primarily result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in August 2025. The affirmations on the ratings on the Class A-1a-R2, Class A-1b-R2, Class A-2-R2 and Class D-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-1a-R2 notes have paid down by approximately USD130.3 million (49% of its initial balance) since the last rating action in August 2025. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated April 2026[1] the Class A, Class B, Class C and Class D OC ratios are reported at 150.27%, 136.01%, 120.29% and 108.91% compared to September 2025[2] levels of 137.02%, 127.39%, 116.14% and 107.55% respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD346.74m Defaulted Securities: USD0.79m Diversity Score: 66 Weighted Average Rating Factor (WARF): 2803 Weighted Average Life (WAL): 3.3 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.99% Weighted Average Coupon (WAC): 3.38% Weighted Average Recovery Rate (WARR): 45.57% Par haircut in OC tests and interest diversion test: 0.0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. 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. -- 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. CARVANA AUTO 2026-P2: S&P Assigns Prelim BB (sf) Rating on N Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Carvana Auto Receivables Trust 2026-P2's automobile asset-backed notes. The note issuance is an ABS securitization backed by prime auto loan receivables. The preliminary ratings are based on information as of May 13, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of 16.24%, 12.61%, 8.63%, 5.82%, and 5.29% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, A-3, and A-4, collectively), B, C, D, and N notes, respectively, based on stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.00x, 3.00x, 2.00x, and 1.60x coverage of its expected cumulative net loss of 2.85% for the class A, B, C, D, and N notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and N notes, respectively, are within its credit stability limits. -- The timely interest and principal payments by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' prime automobile loans, S&P's view of the credit risk of the collateral, and its updated U.S. 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 Bridgecrest Credit Co. LLC as servicer, as well as the backup servicing agreement with Vervent Inc. -- 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(i) Carvana Auto Receivables Trust 2026-P2 Class A-1, $122.28 million: A-1+ (sf) Class A-2, $323.50 million: AAA (sf) Class A-3, $323.50 million: AAA (sf) Class A-4, $213.37 million: AAA (sf) Class B, $45.11 million: AA (sf) Class C, $48.97 million: A (sf) Class D, $23.66 million: BBB (sf) Class N(ii), $16.50 million: BB (sf) (i)Class XS notes (unrated) will be issued at closing and may be retained or sold in one or more private placements. (ii)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. COLT 2026-4: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs -------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by COLT 2026-4 Mortgage Loan Trust (COLT 2026-4). Entity/Debt Rating ----------- ------ COLT 2026-4 A1FCF LT AAA(EXP)sf Expected Rating A1FCFX LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating A1F LT AAA(EXP)sf Expected Rating A1IO LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 584 nonprime loans with a total balance of approximately $332.3 million as of the cutoff date. Loans in the pool were originated by The Loan Store, Inc. and others. The loans were aggregated by Hudson Americas L.P. and are serviced by Select Portfolio Servicing, Inc. (SPS) and Fay Servicing. The borrowers in the pool exhibit a moderate credit profile, with a weighted-average (WA) Fitch FICO of 743 and 32.9% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 68.7% mark-to-market combined LTV (cLTV). Overall, 40.5% of the pool loans are for primary residences, while the remainder are second homes or investment properties. Additionally, 99.1% of the loans are clean and current. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. COLT 2026-4 has a final probability of default (PD) of 45.3% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 40.2%. The expected loss in the 'AAAsf' rating stress is 18.2%. Structural Analysis: The mortgage cash flow and loss allocation in COLT 2026-4 are based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior certificates (A-1FCF/ A-1LCF (sequentially), A-1A, A-1B, A-1F, A-2, and A-3 classes) while excluding the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially, to A-1 classes, then sequentially, to A-2 and A-3 certificates until they are reduced to zero. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE in the form of subordination and excess spread for a given rating exceeded the expected losses of that rating stress. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements as described in its "Global Structured Finance Rating Criteria". Relevant parties are those whose failure to perform could have a material impact on transaction performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. Fitch expects COLT 2026-4 to be fully de-linked and to serve as a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to COLT 2026-4; as such, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 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. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Consolidated Analytics, Clarifii, Evolve, Maxwell, Opus, and Selene. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and 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. COMM 2013-CCRE6: Moody's Cuts Rating on Class E Certs to Ca ----------------------------------------------------------- Moody's Ratings has affirmed the ratings on five classes and downgraded the ratings on two classes in COMM 2013-CCRE6 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE6 ("COMM 2013-CCRE6") as follows: Cl. B, Affirmed A1 (sf); previously on May 8, 2025 Affirmed A1 (sf) Cl. C, Affirmed Baa1 (sf); previously on May 8, 2025 Affirmed Baa1 (sf) Cl. D, Downgraded to Caa1 (sf); previously on May 8, 2025 Downgraded to B2 (sf) Cl. E, Downgraded to Ca (sf); previously on May 8, 2025 Downgraded to Caa2 (sf) Cl. F, Affirmed C (sf); previously on May 8, 2025 Downgraded to C (sf) Cl. PEZ, Affirmed A3 (sf); previously on May 8, 2025 Affirmed A3 (sf) Cl. X-B*, Affirmed A3 (sf); previously on May 8, 2025 Affirmed A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on two P&I classes, Cl. B and Cl. C, were affirmed because of their significant credit support and Moody's expectations regarding future expected principal recoveries from the remaining loans in the pool. Cl. B has already paid down 65% since securitization and will benefit from priority of principal payments from liquidations or payoffs from the remaining loans in the pool. The ratings on two P&I classes, Cl. D and Cl. E, were downgraded due to interest shortfall risks and higher expected losses driven by the exposure to specially serviced loans that have been previously modified after being unable to pay off at their initial maturity dates. Two loans remain in the pool, both of which remain current on their debt service payments but are in special servicing. The largest loan in the pool, Federal Center Plaza (57% of the pool), transferred to special servicing after failing to pay off at its extended maturity date in February 2025. The property has already faced cash flow declines from securitization due to lower revenue and occupancy and faces significant near-term rollover risk as the largest tenant (GSA – 64% of the net rentable area (NRA)) has a lease expiration in August 2027, four months before the extended loan maturity date in December 2027. The other loan, The Avenues (44% of the pool), recently transferred back to special servicing after failing to pay off at its extended maturity date in February 2026 but has received an additional loan extension to December 2027. The rating on one P&I class, Cl. F, was affirmed because the rating is consistent with Moody's expected loss. The rating on one IO class, Cl. X-B, was affirmed based on the credit quality of the referenced classes. The rating on the exchangeable class, Cl. PEZ, was affirmed due to the credit quality of its referenced exchangeable classes. Social risk (IPS S-4) for this transaction is high as Moody's regards e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. The transaction's Credit Impact Score is CIS-4. Moody's rating action reflects a base expected loss of 33.9% of the current pooled balance, compared to 33.4% at Moody's last review. Moody's base expected loss plus realized losses is now 6.3% of the original pooled balance, compared to 6.2% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimate a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool and an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the April 2026 distribution date, the transaction's aggregate certificate balance has decreased by 85% to $229.5 million from $1.49 billion at securitization. The certificates are collateralized by two mortgage loans, both of which have passed their original maturity date. Two loans have been liquidated from the pool, contributing to an aggregate realized loss of $16.4 million (for an average loss severity of 81%). The largest specially serviced loan is the Federal Center Plaza loan ($130.0 million – 56.6% of the pool), which is secured by two adjacent office buildings totaling 725,000 square feet (SF) in Washington, DC. The property is well-located between the US Capitol and Washington Monument, two blocks from two separate metro stations (Federal Center SW and L'Enfant Plaza). At securitization, the property was 100% leased and federal government agencies; Department of State (DOS) and Federal Emergency Management Agency (FEMA) leased 54% and 42% of the property NRA. While DOS vacated the property at its lease expiration in 2021, FEMA extended its lease at the property to August 2027. As of September 2025, the property was 68% leased, compared to 74% in 2024. The property faces near-term rollover risk as FEMA (64% of the NRA) has a scheduled lease expiration in August 2027. The loan initially transferred to special servicing in December 2022 due to imminent maturity default ahead of its February 2023 maturity date. The special servicer and borrower subsequently executed a loan modification in August 2023, extending the maturity date to February 2025, and the loan was subsequently returned to the master servicer in November 2023. However, the loan returned to the special servicer due to imminent maturity default in November 2024 ahead of its extended maturity date as the borrower was unable to secure financing. A 12-month forbearance agreement was executed, and the maturity date was extended to April 2026, with a one-time option to extend the maturity date to December 31, 2027. An updated appraisal from January 2026 valued the property 46% lower than the value at securitization. As of the April 2026 remittance report, the loan was current on debt service payments. The other specially serviced loan is The Avenues loan ($99.5 million – 43.4% of the pool), which is secured by an approximately 599,000 SF retail component of a 1.1 million SF super-regional mall in Jacksonville, Florida. At securitization, there were five anchors: Dillard's, Belk, J.C. Penney, Sears and Forever 21. The boxes occupied by Dillard's, Belk and J.C. Penney are owned by their respective tenants and are not included as collateral for the loan. Sears vacated their space in December 2019 and Forever 21 vacated in February 2025. As of September 2025, the collateral was 45% leased and the in-line space was 74% leased, compared to 72% leased in and 78% leased in September 2024, respectively. The loan initially transferred to special servicing in November 2022 due to the borrower's inability to pay off the loan at its scheduled maturity date in March 2023. The loan was modified in April 2023, extending the maturity date by three years to February 2026. The loan was returned to the master servicer in August 2023 under cash management with all excess cash trapped in the Lockbox Reserve. The borrower performed under the 2023 modification agreement and in October 2024 paid down the debt by $10 million from the lockbox reserve account. The loan transferred to special servicing again in December 2025 due to imminent default after the borrower was unable to pay off the loan at the February 2026 maturity date. The loan was once again modified in February 2026, extending the maturity date to December 2027. As part of the modification, the loan payments will convert from interest-only to amortizing based on a 30-year schedule and the loan will remain in active cash management. The most recent appraisal from April 2023 valued the property 32% lower than the value at securitization. As of the April 2026 remittance report, the loan was current on debt service payments. As of the April 2026 remittance statement cumulative interest shortfalls were $382,725. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. COMM 2015-LC23: Fitch Lowers Rating on Two Tranches to 'CCCsf' -------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed five classes of COMM 2015-LC23 Commercial Mortgage Trust. The Outlooks for classes C, X-C, D, and E remain Negative. Fitch has also downgraded two classes and affirmed 10 classes of SGCMS 2016-C5 Commercial Mortgage Trust. Following the downgrade, class C was assigned a Negative Outlook. The Outlooks for classes A-M, X-A, B, and X-B remain Negative and the Outlooks for classes A-3 and A-4 remain Stable. Entity/Debt Rating Prior ----------- ------ ----- SGCMS 2016-C5 A-3 78419CAC8 LT AAAsf Affirmed AAAsf A-4 78419CAD6 LT AAAsf Affirmed AAAsf A-M 78419CAF1 LT AAAsf Affirmed AAAsf B 78419CAK0 LT A-sf Affirmed A-sf C 78419CAL8 LT BBsf Downgrade BBB-sf D 78419CAV6 LT CCCsf Downgrade B-sf E 78419CAX2 LT CCsf Affirmed CCsf F 78419CAZ7 LT Csf Affirmed Csf X-A 78419CAG9 LT AAAsf Affirmed AAAsf X-B 78419CAH7 LT A-sf Affirmed A-sf X-E 78419CAP9 LT CCsf Affirmed CCsf X-F 78419CAR5 LT Csf Affirmed Csf COMM 2015-LC23 C 12636FBP7 LT Asf Affirmed Asf D 12636FAL7 LT BBBsf Affirmed BBBsf E 12636FAN3 LT BBsf Affirmed BBsf F 12636FAQ6 LT CCCsf Downgrade B-sf G 12636FAS2 LT CCsf Affirmed CCsf X-B 12636FAA1 LT WDsf Withdrawn AA+sf X-C 12636FAC7 LT BBsf Affirmed BBsf X-D 12636FAE3 LT CCCsf Downgrade B-sf Fitch has withdrawn the rating of COMM 2015-LC23 class X-B as it is no longer considered relevant to the agency's coverage. Class B has paid off, and class C does not provide cash flow to the interest-only class X-B. KEY RATING DRIVERS 'Bsf' Loss Expectations; Increasing Adverse Selection and Pool Concentration: Deal-level 'Bsf' rating case losses are 30% in COMM 2015-LC23 and 15.3% in SGCMS 2016-C5. The COMM 2015-LC23 transaction is concentrated with five loans remaining, all of which are Fitch Loans of Concern (FLOCs), including three loans (55.5%) in special servicing. The SGCMS 2016-C5 transaction has 15 FLOCs (55.1%), including eight loans (27.7%) in special servicing. The downgrades of classes X-D and F in COMM 2015-LC23 reflect increased adverse selection and performance deterioration of the FLOCS, including the largest loan in the pool, 32 Avenue of the Americas (43.9% of the pool) and uncertainty around recovery timing of specially serviced loans, including 1209 Dekalb (28.9%) and Springfield Mall (16.2%). The downgrades of classes C and D in SGCMS 2016-C5 reflect increased performance deterioration and heightened refinance risk as loans approach maturity including the office FLOCs/specially serviced loans, 85 Bluxome (7.0% of the pool), East Lake Tower Corporate Center (4.5%), and Lake Point office Park (2.8%) Additionally, regional mall and multifamily FLOCS include The Mall at Rockingham Park (9.1%), South Pointe Apartments (5.0%), and Peachtree Mall (3.9%). The Negative Outlooks reflect the high concentration of office and retail FLOCs, as well as performance concerns surrounding the specially serviced loans. In COMM 2015-LC23, the 32 Avenue of the Americas office loan represents 43.9% of the pool, and retail properties account for 27.2%. In SGCMS 2016-C5, office properties represent 36.2% of the pool, including eight FLOCs totaling 26.8%, and retail properties represent 28.0%, including two FLOCs totaling 13.0%. Further downgrades are possible if the office and retail FLOCs fail to refinance and transfer to special servicing, or if performance deteriorates beyond current expectations, property values decline further, and/or workout timelines on specially serviced loans extend, weakening ultimate recoveries on 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). Loan maturities in SGCMS 2016-C5 are concentrated in 2026, with 74% of the loans scheduled to mature between May and July 2026. Largest Loss Contributors: The largest contributor to overall loss expectations in the COMM 2015-LC23 is the REO 1209 DeKalb asset, a 127-unit Class A multifamily building located in Brooklyn, NY. The property was originally designed as a condominium and features luxury amenities and high-end fixtures. The loan transferred to special servicing in 2020 due to maturity default. The property's occupancy is currently 94% as of September 2025, compared to 90% at issuance. However, DSCR is currently at 0.90x as of September 2025, compared to 1.49x at issuance, driven by a significant increase in expenses. According to the special servicer, the workout has been prolonged due to the foreclosure process, including the former COVID-19 foreclosure moratorium, as well as a lawsuit filed by prior tenants. In January 2024, the lender began evaluating additional issues related to litigation brought by prior tenants. The servicer said it will continue to schedule the foreclosure sale while monitoring the litigation. Fitch's 'Bsf' rating case loss of 48.8% (prior to concentration add-ons) is based on a stress to the most recent appraisal value, reflecting a value of approximately $224,252 per unit. The second-largest contributor to overall loss expectations in COMM 2015-LC23 is the Springfield Mall loan, which is secured by a 223,180-sf portion of a 611,079-sf regional mall located in Springfield Township, PA approximately 20 miles west of Philadelphia and anchored by non-collateral tenants including Macys and Target. The loan transferred to special servicing in October 2025 for maturity default. Performance has continued to decline with the June 2025 occupancy falling to 89% from 93% at YE 2024. NOI DSCR has declined to 1.18x for the YTD June 2025 reporting period from 1.33x at YE 2024. Fitch's 'Bsf' rating case loss of 37.7% (prior to concentration add-ons) reflects a 20% cap rate and a 15% stress to the YE 2024 NOI and factors in the maturity default and performance decline. The third-largest contributor to overall loss expectations in COMM 2015-LC23 is the 32 Avenue of the Americas loan (43.9%), secured by a 1.2 million-sf office property/data center in New York, NY. The property was identified as a FLOC due to sustained performance declines. Occupancy has declined further to 57.3% as of YE 2025 from 60.5% at YE 2023 and remains lower than 70% at YE 2022 and 89% at YE 2020. Due to the occupancy declines, NOI DSCR remains slightly above a 1.0x coverage for the YE 2025 and YE 2024 reporting periods. In addition to the decline in occupancy, operating expenses have increased at the subject. Compared to issuance levels, real estate taxes have risen 47.3% and general and administrative expenses have increased 227.5%, contributing to a 30.2% increase in total operating expenses. Overall, YE 2025 NOI remains 49% below the originator's underwritten NOI at issuance. Per servicer, a loan modification was executed in November 2025 extending the loan maturity to November 2027 with two one-year extension option. Fitch's 'Bsf' rating case loss of 13.6% (prior to concentration add-ons) reflects a 9.5% cap rate to the YE 2024 NOI. The largest contributor to overall loss expectations and the largest increase since the prior review in SGCMS 2016-C5 is the East Lake Tower Corporate Center loan, which is secured by a 180,995-sf medical office property located in Glendale, WI. According to the servicer, the largest tenant, Columbia St. Mary's (73.4% of the NRA), which was incorporated into the Ascension Healthcare Group through a merger in 2016, vacated the space upon lease expiration in June 2024. Prior to leaving, the tenant refused to allow property management to backfill the dark space with new tenants. With the departure of the largest tenant, occupancy has declined to 26% as of September 2025, with NOI DSCR becoming negative during the same period. The loan transferred to special servicing in September 2024 for payment default. According to the servicer, foreclosure and receivership proceedings commenced in May 2025. A hearing is scheduled for May 2026, and the special servicer intends to request an expedited foreclosure sale from the court. Fitch's 'Bsf' rating case loss of 94.2% (prior to concentration add-ons) reflects a stress to the most recent appraisal value, implying a value of approximately $16 psf, and factors in an increased probability of default to account for the deteriorating performance and the loan's defaulted and specially serviced status. The second-largest contributor to overall loss expectations in SGCMS 2016-C5 is the 85 Bluxome loan, secured by a 56,845-sf LEED Gold urban office property located in San Francisco, CA. The property is fully leased to Collective Health Inc. through June 2026, aligning with the loan's maturity date. Per Costar, the entire space is currently listed as vacant and available although reported occupancy was 100% as of September 2025 and the NOI DSCR was 2.54x as of YTD September 2025. To account for the expected decline in cash flow due to the upcoming lease expiration and challenging market conditions, Fitch's 'Bsf' rating case loss of 24.5% (prior to concentration add-ons) reflects a 10% cap rate, 15% stress to the annualized September 2025 NOI and factors an increased probability of default given the loan's upcoming maturity in June 2026. The third-largest contributor to over loss expectations in SGCMS 2016-C5 is the South Pointe Apartments loan, which is secured by a 372-unit apartment complex located in Dallas, TX. Occupancy at the property has declined to 32% as of September 2025 from 80% at YE 2023. Additionally, cash flow has declined due to an increase in expenses. Compared to issuance, the YE 2024 OSAR reflected a 122% increase in real estate taxes, a 262% rise in property insurance, and an 80% increase in utilities. Consequently, the NOI DSCR decreased to -.10x at YTD September 2025, down from 1.20x at YE 2023, and 1.37x at issuance. The loan transferred to special servicing in May 2025 due to imminent monetary default. Fitch's 'Bsf' rating case loss of 37.3% (prior to concentration add-ons) reflects a stress to the most recent appraisal value, reflecting a value of approximately $40,860 per unit. Increase to Credit Enhancement (CE): As of the April 2026 distribution date, the pool's aggregate principal balance in COMM 2015-LC23 has paid down by 94.1% to $67 million from $961 million at issuance. The aggregate balance for SGCMS 2016-C5 has been reduced by 40.2% to $440.4 million from $736.8 million at issuance. Each of the transactions have incurred realized losses to date which include $7.2 million in COMM 2015-LC23 and $12.5 million in SGCMS 2016-C5. Cumulative interest shortfalls of $5.9 million are affecting classes F, G and non-rated classes H and J in COMM 2015-LC23 and $2.3 million are affecting classes E, F and non-rated class G in SGCMS 2016-C5. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to '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 shortfall. Downgrades to classes rated in the 'Asf' and 'BBBsf' categories in the COMM 2015-LC23 transaction could occur with an increase in pool-level losses from further performance deterioration of FLOCs, 32 Avenue of the Americas and further value degradation and/or extended workout of the specially serviced loan, 1209 Dekalb and Springfield Mall. In the SGCMS 2016-C5 transaction, if losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity including 85 Bluxome, The Mall at Rockingham Park, and Lakepoint Office Park, or further value degradation and/or extended workout of the specially serviced loan East Lake Tower Corporate Center, Peachtree Mall, South Pointe Apartments, and 3501 Corporate Parkway. Downgrades to the 'BBsf', rated classes are possible with higher loss expectations from further performance declines of the aforementioned FLOCs and with greater certainty of losses to these classes. Downgrades to distressed classes are possible should additional loans transfer to special servicing and as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'Asf' and 'BBBsf' categories are not expected, but may occur with significant improvement in CE and/or defeasance, as well as with the stabilization of performance on the FLOCs, specifically the 32 Avenue Americas, 1209 Dekalb, and Springfield Mall in COMM 2015-LC23 and East Lake Tower Corporate Center, 85 Bluxome, South Pointe Apartments, Peachtree Mall and The Mall at Rockingham Park in SGCMS 2016-C5. Upgrades to the 'BBsf' category are not likely 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 classes are not likely but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs, particularly loans with refinance concerns. 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. CSWF 2021-SOP2: S&P Affirms 'CCC (sf)' Rating on Class E Certs -------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from CSWF 2021-SOP2, a U.S. CMBS transaction. At the same time, S&P affirmed its rating on one class from the same transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a floating-rate (indexed to one-month SOFR plus a 3.715% spread, including a benchmark adjustment), interest-only mortgage loan totaling $175.2 million (according to the April 15, 2026, trustee remittance report) down from $335.0 million at issuance. The loan is currently secured by the borrower's fee simple interests in a portfolio of seven predominantly suburban office properties totaling 898,394 sq. ft. (down from 11 properties totaling 1.7 million sq. ft. at issuance) in Arizona, Florida, California, Texas, and Oregon. Rating Actions The downgrades on the class A, B, C, D, and E certificates (despite higher model-indicated ratings on classes A, B, and C), and the affirmation on the class F certificates, primarily reflect the following: -- S&P said, "Our assessment is that the transaction is exposed to heightened liquidity risk. Since our last review, in September 2025, the loan, which has a late but less than one-month delinquent payment status, transferred to special servicing on March 11, 2026, due to imminent maturity default." The loan matures on June 9, 2026. The servicer reported the portfolio's occupancy to be about 66.8% and a debt service coverage (DSC) of 0.76x as of year-end 2025. -- S&P said, "Our revised net recovery value for the remaining collateral, which is 32.5% lower than the value we derived in our last review in September 2025, is primarily driven by our "as stabilized" approach. After considering known tenant movements, the portfolio's occupancy may fall to the mid-50.0% range in June 2026 and low-30.0% range by January 2027." -- S&P's consideration is that, per the transaction documents, the servicers may not extend the loan's maturity beyond seven years prior to the rated final distribution date, which is in June 2034. -- The downgrade on class E and the affirmation on class F at 'CCC (sf)' further reflects S&P's qualitative consideration that their repayments are dependent on favorable business, financial, and economic conditions, and that these classes are vulnerable to default. S&P said, "We will continue to monitor the performance of the remaining collateral properties and loan, as well as the workout and eventual resolution of the specially serviced loan. If we receive information that differs materially from our expectations, including lower-than-expected appraisal values, and/or increases in advanced amounts, we may revisit our analysis and take additional rating actions as we determine necessary." Property-Level Analysis Update The servicer reported a 66.8% occupancy for the remaining collateral properties, down from 74.5% as of our last review in September 2025 and 100% as of year-end 2024. Based on information from CoStar and brokerage firms' websites, the portfolio's occupancy may fall more precipitously in the next few months if the sponsor is not able to backfill vacant spaces timely. According to available market information, several tenants have vacated or are expected to vacate a portion or all of their spaces upon their lease expirations: Syniverse Technologies LLC (198,750 sq. ft.; 22.1% of net rentable area [NRA]; January 2027 lease expiration), The Vanguard Group Inc. (127,787 sq. ft.; 14.2%; June 2026), Atara Biotherapeutics Inc. (51,160 sq. ft.; 5.7%; February 2026), and Sage Publications (46,193 sq. ft.; 5.1%; January 2026). In addition, CoStar noted that tenant, Mulberry Management Corp. (139,688 sq. ft.; 15.5%; May 2032 lease expiration), is currently marketing its space for sublease. If the tenants with 2026 and 2027 lease expirations vacate and there are no replacement tenants, the portfolio's occupancy may fall to 54.8% in June 2026 and 32.7% by the end of January 2027. S&P said, "Considering the known tenant movements and CoStar's submarket metrics, we assumed a stabilized net cash flow of $11.0 million, using an 80.0% stabilized occupancy, a $27.55 per sq. ft. S&P Global Ratings gross rent, a 33.9% operating expense ratio, and higher tenant improvement costs. Using a 10.00% S&P Global Ratings stabilized capitalization rate, and deducting $36.6 million for additional tenant improvement and leasing costs and 2.0 years downtime to lease up the property to our assumed stabilized occupancy rate, we arrived at a stabilized value of $86.2 million or $96 per sq. ft. This yielded an S&P Global Ratings loan-to-value ratio of 203.3% on the current trust balance. Based on our analysis, the S&P Global Ratings asset quality score is 3.0 and the S&P Global Ratings income stability score is 2.0." Table 1 Servicer-reported performance 2025(i) 2024(i) 2023(i) Occupancy rate (%) 66.8 100.0 88.4 Net cash flow (mil. $) 11.7 16.1 14.7 Debt service coverage (x) 0.76 0.84 0.75 Appraisal value (mil. $)(ii) 430.3 430.3 430.3 (i)Reporting period. (ii)Represents the 'as is' appraised value for the 11 office properties at issuance in 2021. Excluding the partial- and full-property releases to date, the 'as is' appraisal value for the remaining collateral properties is $219.5 million. Table 1 S&P Global Ratings' key assumptions Current review Last review At issuance (May 2026)(i) (Sep 2025)(i) (June 2021)(i) No. of properties 7 7 11 Trust balance (mil. $) 175.2 175.2 335.0 Occupancy rate (%) 80.0 79.3 86.5 Net cash flow (mil. $) 11.0 10.9 22.7 Capitalization rate (%) 10.00 8.50 8.13 Add/deduct to/from value (36.6) 0.0 1.4 (mil. $)(ii) Value (mil. $) 86.2 127.7 280.8 Value per sq. ft. ($) 96 142 163 Loan-to-value ratio (%)(iii) 203.3 137.2 119.3 (i)Review period. (ii)In the current review, the deduction from value reflects the additional costs to lease up all the remaining properties to our stabilized occupancy assumptions. At issuance, the add-to-value reflects the present value of future rent steps for investment grade tenants and the present value of the difference between our assumed ground rent and actual ground rent amounts. (iii)On the trust balance at the time of our review. Ratings Lowered CSWF 2021-SOP2 Class A to 'AA+ (sf)' from 'AAA (sf)' Class B to 'A+ (sf)' from 'AA- (sf)' Class C to 'BBB+ (sf)' from 'A- (sf)' Class D to 'BB- (sf)' from 'BB+ (sf)' Class E to 'CCC (sf)' from 'B- (sf)' Rating Affirmed CSWF 2021-SOP2 Class F: CCC (sf) DBWF 2015-LCM: S&P Lowers Class F Certs Rating to 'CCC- (sf)' ------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from DBWF 2015-LCM Mortgage Trust, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on three other classes from the transaction. DBWF 2015-LCM Mortgage Trust, a U.S. CMBS transaction backed by a portion of a 30-year, fixed-rate, amortizing mortgage whole loan that is secured by Lakewood Center, an enclosed regional mall in Lakewood, Calif. S&P lowered its ratings on five classes and affirmed our ratings on three other classes from the transaction. Since S&P's last review in September 2025, the loan transferred to the special servicer in January 2026 due to imminent maturity default. The loan matures in June 2026, and the borrower has requested for a loan modification and extension. In addition, the property was sold in August 2025 at about 47.3% below the appraisal value of $630.0 million at issuance. The rating actions reflect that S&P's lower net recovery value for the collateral property has been partly offset by principal amortization. This is a U.S. stand-alone (single-borrower) CMBS transaction backed by a portion ($239.9 million, as of the April 10, 2026, trustee remittance report, down from $290.0 million at issuance) of a $309.8 million (down from $410.0 million at issuance), 3.43% fixed rate per annum, 30-year amortizing mortgage whole loan secured by the borrower's fee-simple and leasehold interests in Lakewood Center, a 2.1-million-sq-ft, two-story, enclosed regional mall built in 1951 in Lakewood, Calif., about 20 miles south of downtown Los Angeles. Rating Actions The downgrades on the class B, C, D, E, and F certificates and affirmations on the class A-1 and A-2 certificates primarily reflect: -- S&P's revised expected-case valuation for the mall property, which is 12.5% lower than the value S&P derived in its last review in September 2025, primarily driven by our observed higher risk premium for class B malls, partially offset by principal amortization. The whole loan balance has paid down 2.0% since our last review and 24.4% since issuance. -- The loan transferred to special servicing on Jan. 5, 2026, due to imminent monetary default. The loan matures on June 1, 2026. The borrower requested a loan modification and extension. -- S&P's consideration that according to the transaction documents, the servicers may not extend the loan's maturity date beyond seven years prior to the rated final distribution date, which is June 2034. The observed significant decline in market value. The property was sold in August 2025 for $320.7 million, about 49.1% lower than the appraised value of $630.0 million at issuance, to Pacific Retail Capital Partners, Lyon Living, and Silverpeak. Based on the sale price, the loan-to-value (LTV) ratio is approximately 96.6%. S&P assessed that the sponsors would need to infuse significant capital and/or improve property performance to refinance the loan. S&P said, "The downgrades on the class E and F certificates to 'CCC- (sf)' further reflect our qualitative consideration that their repayments are dependent upon favorable business, financial, and economic conditions, and that these classes are vulnerable to default. According to the April 2026 trustee remittance report, classes E and F incurred interest shortfalls for one month totaling $51,741, due mainly to special servicing fees. If these interest shortfalls continue for the foreseeable future, we may revisit our analysis and further lower the ratings to 'D (sf)'. "The affirmation on the class X-A interest-only (IO) certificates is based on our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-A references class A-1. "We will continue to monitor the performance of the collateral mall and loan, as well as the eventual workout or liquidation of the specially serviced loan. If we receive information that differs materially from our expectations--such as reported negative changes in the collateral performance beyond what we already considered, or a lower-than-expected appraisal value that negatively affects the transaction's recovery and liquidity--we may revisit our analysis and take additional rating actions as we determine necessary." Property-Level Analysis Update As of the Dec. 31, 2025, rent roll, the property was 94.3% leased, up from 89.0% in S&P's last review in September 2025. The property has manageable (less than 16% of net rentable area [NRA]) tenant rollover through 2029. Major tenants J.C. Penney (7.8% of NRA) and Starlight Cinemas (4.3% of NRA) extended their leases to May 2030 and August 2027, respectively. According to the December 2025 tenant sales report, the mall had in-line sales of about $407 per sq ft and an occupancy cost of 14.3%, as calculated by S&P Global Ratings. The property reported a stable net cash flow (NCF) and occupancy since 2021. S&P said, "In our current analysis, using an 85.0% occupancy rate (unchanged from our last review assumption), a $21.94-per-sq-ft S&P Global Ratings average gross rent, and a 35.9% operating expense ratio, we derived an S&P Global Ratings long-term sustainable NCF of $24.5 million (unchanged from our last review). Using an S&P Global Ratings capitalization rate of 10.00%, up 125 basis points from our last review of 8.75%, to account for our observed higher market risk premium for class B malls, we arrived at an S&P Global Ratings expected-case value of $245.3 million, 61.1% below the appraised value at issuance, a 12.5% decline from our last review value, and 26.1% lower than the 2025 sales price. This yields an S&P Global Ratings LTV ratio of 126.3% on the whole loan balance. Based on our analysis, the S&P Global Ratings asset quality score is 3.0, and the S&P Global Ratings income stability score is 3.0." Table 1 Servicer-reported performance Year-to-date March 2025(i) 2024(i) 2023(i) Occupancy rate (%) 93.10 94.80 94.90 Net cash flow (mil. $) 7.30 29.10 29.20 Debt service coverage (x) 1.33 1.33 1.33 Appraisal value (mil. $)(ii) 630.00 630.00 630.00 (i)Reporting period. (ii)At issuance, as of May 2015. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (May 2026)(i)(Sep 2025)(i)(June 2015)(i) Whole loan balance (mil. $) 309.78 316.20 410.00 Collateral occupancy rate (%) 85.00 85.00 93.80 Net cash flow (mil. $) 24.53 24.50 31.00 Capitalization rate (%) 10.00 8.75 6.75 Value (mil. $) 245.30 280.30 459.60 Value per collateral sq ft ($) 117.07 135.00 222.00 Loan-to-value ratio (%)(ii) 126.29 112.80 89.20 (i)Review period. (ii)Based on the whole loan balance at the time of review. Ratings Lowered DBWF 2015-LCM Mortgage Trust Class B to 'BBB (sf)' from 'BBB+ (sf)' Class C to 'BB- (sf)' from 'BB+ (sf)' Class D to 'B- (sf)' from 'B+ (sf)' Class E to 'CCC- (sf)' from 'CCC (sf)' Class F to 'CCC- (sf)' from 'CCC (sf)' Ratings Affirmed DBWF 2015-LCM Mortgage Trust Class A-1: A+ (sf) Class A-2: A+ (sf) Class X-A: A+ (sf) EFMT 2026-AE3: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 58 classes of residential mortgage-backed securities (RMBS) to be issued by EFMT 2026-AE3, and sponsored by EFMT Sponsor LLC. The securities are backed by a pool of GSE-eligible (100.00% by balance) residential mortgages aggregated by EFMT Sponsor LLC, originated and serviced by PennyMac Loan Services, LLC, and loanDepot.com, LLC. The complete rating actions are as follows: Issuer: EFMT 2026-AE3 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa1 (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. A-15, Assigned (P)Aa1 (sf) Cl. A-16, Assigned (P)Aa1(sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aa1 (sf) Cl. A-24, Assigned (P)Aa1 (sf) Cl. A-28, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4 *, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6 *, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-15*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aa1 (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aa1 (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aa1 (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aaa (sf) Cl. A-X-25*, Assigned (P)Aa1 (sf) Cl. A-X-28*, Assigned (P)Aaa (sf) Cl. A-X-29*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.87%, in a baseline scenario-median is 0.54% and reaches 8.70% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ELEVATION CLO 2021-12: S&P Affirms BB-(sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class X-R2, A-1-R2, A-2-R2, B-R2, C-1-R2, C-2-R2, D-1A-R2, and D-1B-R2 debt from Elevation CLO 2021-12 Ltd./Elevation CLO 2021-12 LLC, a CLO managed by Arrowmark Colorado Holdings LLC that was originally issued in March 2021 and refinanced in May 2024. At the same time, S&P withdrew its ratings on the previous class X-R, A-1-R, A-2-R, B-R, C-1R, C-2R, D-1A-R, and D-1B-R debt following payment in full on the May 8, 2026, refinancing date. S&P also affirmed its ratings on the class D-2R and E-R debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 20, 2029. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the new class D-1A-R2 and D-1B-R2 debt and the D-2-R and E-R (which were not refinanced). However, we assigned a 'BBB (sf)' rating to the D-1A-R2 and D-1B-R2 debt, and affirmed our 'BBB- (sf)' rating on the class D-2-R debt, and our 'BB-(sf)' rating on the class E-R as the refinancing decreases the margin of failure, and we view this as an improvement. However, any further credit deterioration could lead to potential negative rating actions in the future." Replacement And Previous Debt Issuances Replacement debt -- Class X-R2, $2.65 million: Three-month CME term SOFR + 1.000% -- Class A-1-R2, $240.00 million: Three-month CME term SOFR + 1.30% -- Class A-2-R2, $8.00 million: Three-month CME term SOFR + 1.50% -- Class B-R2, $56.00 million: Three-month CME term SOFR + 1.70% -- Class C-1-R2 (deferrable), $19.50 million: Three-month CME term SOFR + 1.95% -- Class C-2-R2 (deferrable), $4.50 million: Three-month CME term SOFR + 1.95% -- Class D-1A-R2 (deferrable), $15.00 million: Three-month CME term SOFR + 3.90% -- Class D-1B-R2 (deferrable), $3.00 million: Three-month CME term SOFR + 3.90% -- Class D-2R (deferrable), $6.00 million: Three-month CME term SOFR + 5.36% -- Class E-R (deferrable), $12.40 million: Three-month CME term SOFR + 7.48% Previous debt -- Class X-R, $2.65 million: Three-month CME term SOFR + 1.100% -- Class A-1-R, $240.00 million: Three-month CME term SOFR + 1.62% -- Class A-2-R, $8.00 million: Three-month CME term SOFR + 1.82% -- Class B-R, $56.00 million: Three-month CME term SOFR + 2.17% -- Class C-1R (deferrable), $19.50 million: Three-month CME term SOFR + 2.80% -- Class C-2R (deferrable), $4.50 million: 7.059% -- Class D-1A-R (deferrable), $15.00 million: Three-month CME term SOFR + 4.30% -- Class D-1B-R (deferrable), $3.00 million: 8.603% -- Class D-2R (deferrable), $6.00 million: Three-month CME term SOFR + 5.36% -- Class E-R (deferrable), $12.40 million: Three-month CME term SOFR + 7.48% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Elevation CLO 2021-12 Ltd./Elevation CLO 2021-12 LLC Class X-R2, $2.65 million: AAA (sf) Class A-1-R2, $240.00 million: AAA (sf) Class A-2-R2, $8.00 million: AAA (sf) Class B-R2, $56.00 million: AA (sf) Class C-1-R2, $19.50 million: A (sf) Class C-2-R2, $4.50 million: A (sf) Class D-1A-R2, $15.00 million: BBB (sf) Class D-1B-R2, $3.00 million: BBB (sf) Ratings Withdrawn Elevation CLO 2021-12 Ltd./Elevation CLO 2021-12 LLC Class X-R to NR from 'AAA (sf)' Class A-1-R to NR from 'AAA (sf)' Class A-2-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-1R to NR from 'A (sf)' Class C-2R to NR from 'A (sf)' Class D-1A-R to NR from 'BBB (sf)' Class D-1B-R to NR from 'BBB (sf)' Ratings Affirmed Elevation CLO 2021-12 Ltd./Elevation CLO 2021-12 LLC Class D-2R: BBB- (sf) Class E-R: BB- (sf) Other Debt Elevation CLO 2021-12 Ltd./Elevation CLO 2021-12 LLC Subordinated notes: NR NR--Not rated. ELMWOOD CLO 27: Fitch Assigns 'B-sf' Rating on Class F-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Elmwood CLO 27 Ltd. reset transaction. Entity/Debt Rating ----------- ------ Elmwood CLO 27 Ltd. A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT B-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Elmwood CLO 27 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Elmwood Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.67, 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 96.12% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.89% 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 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-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 and between less than 'B-sf' and 'Bsf' for class F-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, '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 and 'BBBsf' for class F-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 Elmwood CLO 27 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. EMPOWER CLO 2024-1: S&P Affirms BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, and D-2-R debt from Empower CLO 2024-1 Ltd./Empower CLO 2024-1 LLC, a CLO managed by Empower Capital Management LLC that was originally issued in March 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B, C, D-1, and D-2 debt following payment in full on the May 7, 2026, refinancing date. S&P also affirmed its rating on the class E debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 25, 2027. -- The replacement class D-2-R debt was issued at a floating spread, replacing the current fixed coupon. -- No additional assets were purchased on the May 7, 2026, refinancing date. There is no additional effective date or ramp-up period and the first payment date following the refinancing is July 27, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the replacement class D-2-R debt. However, we assigned a 'BBB- (sf)' rating on the replacement class D-2-R debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction. "Our cash flow analysis also indicated a lower rating on the class E debt (which was not refinanced). However, we affirmed our 'BB- (sf)' rating on the class E debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction." Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $279.00 million: Three-month CME term SOFR + 1.28% -- Class A-2-R, $18.00 million: Three-month CME term SOFR + 1.50% -- Class B-R, $45.00 million: Three-month CME term SOFR + 1.60% -- Class C-R (deferrable), $27.00 million: Three-month CME term SOFR + 1.90% -- Class D-1-R (deferrable), $27.00 million: Three-month CME term SOFR + 3.40% -- Class D-2-R (deferrable), $4.50 million: : Three-month CME term SOFR + 5.200% Previous debt -- Class A-1, $279.00 million: Three-month CME term SOFR + 1.60% -- Class A-2, $18.00 million: Three-month CME term SOFR + 1.80% -- Class B, $45.00 million: Three-month CME term SOFR + 2.00% -- Class C (deferrable), $27.00 million: Three-month CME term SOFR + 2.50% -- Class D-1 (deferrable), $27.00 million: Three-month CME term SOFR + 3.75% -- Class D-2 (deferrable), $4.50 million: 9.250% -- Class E (deferrable), $13.50 million: Three-month CME term SOFR + 6.50% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Empower CLO 2024-1 Ltd./Empower CLO 2024-1 LLC Class A-1-R, $279.00 million: AAA (sf) Class A-2-R, $18.00 million: AAA (sf) Class B-R, $45.00 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-1-R (deferrable), $27.00 million: BBB- (sf) Class D-2-R (deferrable), $4.50 million: BBB- (sf) Ratings Withdrawn Empower CLO 2024-1 Ltd./Empower CLO 2024-1 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D-1 (deferrable) to NR from 'BBB- (sf)' Class D-2 (deferrable) to NR from 'BBB- (sf)' Rating Affirmed Empower CLO 2024-1 Ltd./Empower CLO 2024-1 LLC Class E (deferrable): BB- (sf) Other Debt Empower CLO 2024-1 Ltd./Empower CLO 2024-1 LLC Subordinated notes, $43.58 million: NR NR--Not rated. ESTN TRUST 2026-TOWN: S&P Assigns BB+ (sf) Rating on Cl. HRR Certs ------------------------------------------------------------------ S&P Global Ratings assigned its 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 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 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. Since S&P assigned its preliminary ratings on April 30, 2026, the class X certificates were not issued, and the class A and B certificates were not resized (balances remained unchanged). In addition, the underlying mortgage loan's fixed interest rate per annum was determined to be approximately 5.78%, down slightly from the initial assumption of 5.96%. Ratings Assigned ESTN Trust 2026-TOWN(i) Class A, $409,800,000: AAA (sf) Class B, $105,900,000: AA- (sf) Class C, $79,500,000: A- (sf) Class D, $77,300,000: BBB- (sf) Class HRR(ii), $36,000,000: BB+ (sf) (i)Certificate balances are approximate, subject to a variance of plus or minus 5.0%. (ii)Eligible horizontal residual interest. EXETER SELECT 2026-1: S&P Assigns Prelim B (sf) Rating on N Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Exeter Select Automobile Receivables Trust 2026-1's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of May 13, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 43.00%, 36.85%, 28.30%, 21.52%, 18.77%, and 13.84% 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, E, and N notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, 1.50x and 1.10x coverage of S&P's expected cumulative net loss (ECNL) of 12.25% for classes A, B, C, D, E, and N, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', 'BB (sf)' and 'B (sf)' ratings on the class A, B, C, D, E and N notes, respectively, will be within its credit stability limits. -- The timely payment of interest and repayment of principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, its updated macroeconomic forecast, and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with its view of the company's underwriting and its backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Exeter Select Automobile Receivables Trust 2026-1 Class A-1, $48.00 million: A-1+ (sf) Class A-2, $97.43 million: AAA (sf) Class A-3, $97.43 million: AAA (sf) Class B, $26.35 million: AA (sf) Class C, $42.67 million: A (sf) Class D, $38.96 million: BBB (sf) Class E, $8.17 million: BB (sf) Class N(i), $25.40 million: B (sf) (i)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. FORTRESS CREDIT XXIII: S&P Assigns BB-(sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1RR, A-1TR, A-2R, B-R, C-R, D-1R, D-2R and E-R debt and 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. At the same time, S&P withdrew its ratings on the previous class A-1R, A-1T, A-2, B, C, D, and E debt following payment in full on the May 12, 2026, refinancing date. The replacement and new debt were issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1RR, A-1TR, A-2R, B-R, and C-R debt and new class A-1LR loans were issued at a lower spread over three-month term SOFR than the existing debt. -- The replacement class D-1R and D-2R debt was issued at a lower weighted average spread over three-month term SOFR than the existing class D debt. -- The replacement class E-R debt was issued at a higher spread over three-month term SOFR than the existing class E debt. -- The non-call period was extended to May 12, 2028. -- The reinvestment period was extended to April 15, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to April 15, 2038. -- No additional assets were purchased on the refinancing date, and the target initial par amount remains at $400 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2026. -- 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 our 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 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 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 were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 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) (i)Revolving tranche. (ii)Issued in loan form. Ratings Withdrawn Fortress Credit Opportunities XXIII CLO LLC Class A-1R to NR from 'AAA (sf)' Class A-1T to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Fortress Credit Opportunities XXIII CLO LLC Subordinated notes, $71.0 million: NR NR--Not rated. GLS AUTO 2026-2: S&P Assigns BB (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to GLS Auto Receivables Issuer Trust 2026-2's (GCAR 2026-2) automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 56.18%, 47.56%, 37.13%, 28.43%, and 24.57% of credit support (hard credit enhancement and haircut to excess spread) for the class A (A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x of our 17.50% expected cumulative net loss for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, its '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 its stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, including the representation in the transaction documents that all contracts in the pool have made at least one payment, S&P's view of the collateral's credit risk, and its updated U.S. macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at UMB Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Global Lending Services LLC as servicer, and its view of the company's underwriting and backup servicing arrangement with UMB Bank N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned GLS Auto Receivables Issuer Trust 2026-2 Class A-1, $133.46 million: A-1+ (sf) Class A-2, $334.39 million: AAA (sf) Class A-3, $118.81 million: AAA (sf) Class B, $179.27 million: AA (sf) Class C, $170.00 million: A (sf) Class D, $170.00 million: BBB (sf) Class E, $71.09 million: BB (sf) GOLDENTREE LOAN 29: Fitch Assigns 'B-sf' Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 29, Ltd. Entity/Debt Rating ----------- ------ GoldenTree Loan Management US CLO 29, Ltd. X LT NRsf New Rating A-L1 Loan LT NRsf New Rating A-L2 Loan LT NRsf New Rating A LT NRsf New Rating A-J LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating D-J LT BBB-sf New Rating E LT BB-sf New Rating F LT B-sf New Rating Equity LT NRsf New Rating Transaction Summary GoldenTree Loan Management US CLO 29, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM III, 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.32 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.73% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-J, between 'BBB-sf' and 'A+sf' for class B, between 'BB-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-J, between less than 'B-sf' and 'B+sf' for class E, 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-J notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D-1, 'BBB+sf' for class D-J, 'BBBsf' 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 GoldenTree Loan Management US CLO 29, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. GOLUB CAPITAL 72(B)-R: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Golub Capital Partners CLO 72(B)-R, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 72(B)-R, Ltd. A-1LR LT NRsf New Rating NR(EXP)sf A-1R LT NRsf New Rating NR(EXP)sf A-2R LT AAAsf New Rating AAA(EXP)sf A-J 381941AJ2 LT PIFsf Paid In Full AAAsf B 381941AC7 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating AA(EXP)sf C 381941AE3 LT PIFsf Paid In Full Asf C-R LT Asf New Rating A(EXP)sf D 381941AG8 LT PIFsf Paid In Full BBB-sf D-1R LT BBB-sf New Rating BBB-(EXP)sf D-2R LT BBB-sf New Rating BBB-(EXP)sf E 381942AA9 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating BB-(EXP)sf Sub Notes LT NRsf New Rating NR(EXP)sf 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 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-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 Capital 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. HARBOR PARK: Fitch Affirms BB-sf Rating on Class E-R2 Debt ---------------------------------------------------------- Fitch Ratings has upgraded Harbor Park CLO, Ltd.'s class B-R2 and C-R2 notes and affirmed the class A-R2, D-R2 and E-R2 notes. Fitch has also assigned Positive Rating Outlooks to the C-R2 notes and revised the Outlooks on the class D-R2 and E-R2 notes to Positive from Stable. The Outlooks on Class A-R2 and B-R2 remain stable. Entity/Debt Rating Prior ----------- ------ ----- Harbor Park CLO, Ltd. A-R2 41154XAW5 LT AAAsf Affirmed AAAsf B-R2 41154XAY1 LT AAAsf Upgrade AAsf C-R2 41154XBA2 LT A+sf Upgrade Asf D-R2 41154XBC8 LT BBB-sf Affirmed BBB-sf E-R2 41154YAE3 LT BB-sf Affirmed BB-sf Transaction Summary Harbor Park CLO, Ltd. is a broadly syndicated cash flow collateralized loan obligation (CLO) that is managed by Blackstone CLO Management LLC. The transaction originally closed in December 2018 and subsequently refinanced thrice in January 2021, April 2024, and October 2025. The transaction is secured primarily by first-lien senior secured leveraged loans. KEY RATING DRIVERS Increased Credit Enhancement from Note Amortization The upgrades and revision of the Outlooks to on the class C-R2, D-R2 and E-R2 notes are driven by deleveraging of the transaction, which increased credit enhancement and break-even default rate cushions for all classes of notes since the October 2025 refinancing. As of the April 2026 reporting date, an additional 24% of the class A-R2 notes has amortized, bringing the cumulative amortization of the class A-R2 notes to 33%. Stable Portfolio Quality and Increasing Concentration Amid Par Losses The overall portfolio quality has remained at the 'B'/'B-' level, with a Fitch calculated weighted average rating factor of 25.2, improving from 25.87 at last refinancing. The portfolio incurred total losses of 2.2% of the original target par balance due to defaulted assets and trading losses. Exposure to obligors on Fitch's CLO watchlist and those with a Negative Outlook are 11.8% and 13.4% respectively. The Fitch weighted average recovery rate worsened slightly to 73.6% from 75.0%. The portfolio is composed of 139 obligors, with the largest 10 obligors making up 17.9% of the portfolio (excluding cash), compared to 175 obligors with the largest 10 comprising 15.3%. Updated Cash Flow Analysis Fitch conducted an updated cash flow analysis based on a stressed portfolio that assumed a one-notch downgrade on the Fitch Issuer Default Rating (IDR) Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor and extended the weighted average life to the minimum risk horizon of 4.0 years. Class C-R2, D-R2, and E-R2 ratings are two notches below their respective model implied ratings, as Fitch considered break-even default cushions at higher rating stresses insufficient in the context of expected increasing portfolio concentration, exposure to Fitch's CLO Watchlist, and potential for limited reinvestment of unscheduled principal proceeds and credit risk sales proceeds. However, the Positive Outlook on the class C-R2, D-R2, and E-R2 notes indicates Fitch's expectation of further improvements to CE levels and BEDR cushions if amortization continues. The rating action for the A-R2 and B-R2 notes is in line with the MIRs. The Stable Outlooks reflect Fitch's expectation that the notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class's rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed; - A 25% increase of the mean default rate across all ratings, along with a 25% decrease in the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to one notch, based on the MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to five notches, based on the MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received regarding the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Harbor Park 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. HILDENE TRUPS 7: Moody's Assigns Ba2 Rating to $13.5MM Cl. D Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to six classes of notes 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, Definitive Rating Assigned Aaa (sf) US$38,000,000 Class A-2N Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aa1 (sf) US$20,000,000 Class A-2F Senior Secured Fixed Rate Notes due 2038, Definitive Rating Assigned Aa1 (sf) US$28,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned A1 (sf) US$20,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned Baa2 (sf) US$13,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned 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 approximately 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 issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. 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(TM), 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 Moody's 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): 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(TM), 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. LIFE 2022-BMR2: Moody's Cuts Rating on Cl. D Certs to B2 -------------------------------------------------------- Moody's Ratings has downgraded the ratings on seven classes of LIFE 2022-BMR2 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2022-BMR2 as follows: Cl. A-1, Downgraded to A1 (sf); previously on Feb 28, 2025 Downgraded to Aa1 (sf) Cl. A-1A, Downgraded to A1 (sf); previously on Feb 28, 2025 Downgraded to Aa1 (sf) Cl. B, Downgraded to Baa2 (sf); previously on Feb 28, 2025 Downgraded to A2 (sf) Cl. C, Downgraded to Ba2 (sf); previously on Feb 28, 2025 Downgraded to Baa2 (sf) Cl. D, Downgraded to B2 (sf); previously on Feb 28, 2025 Downgraded to Ba2 (sf) Cl. E, Downgraded to B3 (sf); previously on Feb 28, 2025 Downgraded to Ba3 (sf) Cl. HRR, Downgraded to Caa1 (sf); previously on Feb 28, 2025 Downgraded to B2 (sf) RATINGS RATIONALE The ratings on the P&I classes were downgraded due to an increase in Moody's loan-to-value (LTV) ratio as a result of a decline in value, driven by a decline in property performance. The portfolio's cash flow has experienced a consistent decline since securitization, primarily due to reduced occupancy levels and increased operating expenses. The portfolio's net operating income (NOI) for the trailing twelve months (TTM) ending September 2025 was approximately 5% lower than in 2024 and 17% lower than in 2022. Furthermore, due to reduced cash flow and a substantial increase in floating interest rates over recent years, the NOI debt service coverage ratio (DSCR) on the mortgage debt was 1.07x as of the trailing twelve month (TTM) period ending September 2025, compared to more than 3.00x in 2022. The downgrade also reflects the uncertainty regarding both the timing and magnitude of any potential cash flow recovery, given the current challenges facing life science fundamentals. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the structure and portfolio nature of the assets, analyzed multiple scenarios to reflect various levels of stress in property values and how they could impact loan proceeds at each rating level. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than what Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. DEAL PERFORMANCE As of the April 2026 distribution date, the transaction's aggregate certificate balance remains unchanged at $2.875 billion. The loan is secured by a first-lien mortgage on the fee and/or leasehold interests in 24 commercial properties, predominantly life science office buildings, comprising approximately 5.1 million square feet (SF) of rentable area. The portfolio spans five key markets: Cambridge/Boston (31% of ALA), San Francisco (30% of ALA), San Diego (20%), Boulder (7% of ALA), and Seattle, with significant concentration in the major hubs of Cambridge/Boston, San Francisco, and San Diego. The collateral includes 17 lab-office assets, five office properties, one multifamily asset, and one ground-leased parcel. The sponsor, BioMed Realty, is a fully integrated real estate investment trust (REIT) specializing in laboratory and office space for the life science sector. BioMed Realty merged with Blackstone in 2015 and focuses on acquisition, development, leasing, ownership, and management activities. The floating rate loan had an initial two-year term that matured in May 2024 with three, successive one-year extensions with the final maturity date in May 2027. The interest only loan accrues interest at one month Term SOFR, plus a weighted average spread of approximately 1.832%. During an extension period, the interest rate cap will have a strike price equal to a rate not more than the greater of 5.50% and a rate, that when added to the spread, would result in a minimum DSCR of 1.10x on the then outstanding debt. According to CBRE's 2026 US Life Sciences Trends, the construction of life science lab/R&D space will drop, with 4.5 million SF under construction as of Q4 2025. Lab/R&D leasing slowed in 2025 due to fewer renewals, and vacant space rose over 250% in the past three years because of high supply and uneven demand. However, per the report, the US life sciences real estate market is showing signs of recovery in 2026, driven by a sharp pullback in new construction, surging investor confidence, and record levels of domestic facility investment. The portfolio's San Francisco assets appear to be performing in line with what Moody's had anticipated at securitization, but assets in other markets were not generating enough cash flow to cover operating expenses due to low occupancies. Four properties representing approximately 7.0% of the allocated loan balance are fully vacant and three properties representing approximately 6.4% of the allocated loan balance had an occupancy less than 50% as of the September 2025 rent roll. The portfolio's trailing twelve months (TTM) net operating income (NOI) for September 2025 was about $196 million, compared to $207 million in 2024 and $236 million in 2022. As of the September 2025 rent roll, portfolio occupancy was at 72%, a decline from the 96% occupancy at securitization. Given the higher market vacancies in combination with the lower portfolio occupancy and cash flow since securitization, Moody's lowered Moody's net cash flow (NCF) to $196 million from $219 million at securitization. Moody's LTV ratio for the first mortgage balance is 121% based on Moody's Value and Adjusted Moody's Value. Moody's stressed DSCR is 0.74x. There are no outstanding interest shortfalls or losses as of the current distribution date. MCF CLO IX: S&P Assigns Prelim BB- (sf) Rating on Class E-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R3, A-1-L-R3, B-R3, C-R3, D-R3, and E-R2 debt and proposed new class X and A-2-R2 debt from MCF CLO IX Ltd./MCF CLO IX LLC, a CLO managed by Apogem Capital LLC that was originally issued in June 2019 and underwent a second refinancing in March 2024. The preliminary ratings are based on information as of May 8, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 14, 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-1-RR, A-L-RR, B-RR, B-L, C-RR, D-RR, and E-R debt and assign ratings to the replacement class A-1-R3, A-1-L-R3, B-R3, C-R3, D-R3, and E-R2 debt and proposed new class X and A-2-R2 debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R3, A-1-L-R3, B-R3, C-R3, and D-R3 debt is expected to be issued at a lower spread over three-month term SOFR than the existing debt. -- The replacement class E-R2 debt is expected to be issued at a higher spread over three-month term SOFR than the existing debt. -- The new class A-2-R2 debt is expected to be issued on the refinancing date. -- The new class X debt will also be issued on the refinancing date. This debt is expected to be paid down using interest proceeds during 12 payment dates in equal installments of $291,666.67, beginning on the second payment date. -- The non-call period and reinvestment period will each be extended by approximately two years, while the legal final maturity dates for the replacement debt and the existing subordinated notes will be extended by three years. -- The target initial par amount will increase by $50 million to $350 million. However, there will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 17, 2026. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- Additional subordinated notes worth $36.42 million will be issued on the refinancing date. -- Provisions governing the purchase and treatment of workout loans will be amended. -- The ability to purchase second-lien loans and debtor-in-possession loans will be added. 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 MCF CLO IX Ltd./MCF CLO IX LLC Class X(i), $3.50 million: AAA (sf) Class A-1-R3(ii), $153.00 million: AAA (sf) Class A-1-L-R3(ii), $50.00 million: AAA (sf) Class A-2-R2, $10.50 million: AAA (sf) Class B-R3, $35.00 million: AA (sf) Class C-R3 (deferrable), $21.00 million: A (sf) Class D-R3 (deferrable), $17.50 million: BBB- (sf) Class E-R2 (deferrable), $21.00 million: BB- (sf) Other Debt MCF CLO IX Ltd./MCF CLO IX LLC Subordinated notes, $75.20 million: NR (i)The class X debt is expected to be paid down using interest proceeds in equal installments from the second payment date to the 13th payment date. (ii)All or a portion of the class A-1-L-R3 loans are convertible into class A-1-R3 notes. NR--Not rated. NEW RESIDENTIAL 2026-NQM6: 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, Series 2026-NQM6 (NRMLT 2026-NQM6). Entity/Debt Rating Prior ----------- ------ ----- NRMLT 2026-NQM6 A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1LCF LT AAAsf New Rating AAA(EXP)sf A1FCF 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 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. OAKTREE CLO 2026-34: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Oaktree CLO 2026-34 Ltd./Oaktree CLO 2026-34 LLC 's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Oaktree CLO Management Co. LLC. The preliminary ratings are based on information as of May 12, 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 Oaktree CLO 2026-34 Ltd./Oaktree CLO 2026-34 LLC Class A, $256.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $3.50 million: BBB- (sf) Class E (deferrable), $12.50 million: BB- (sf) Subordinated notes, $36.63 million: NR NR--Not rated. OBRA CLO 4: S&P Assigns Prelim BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Obra CLO 4 Ltd./Obra CLO 4 LLC's floating-rate debt. The debt issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Obra CLO Management LLC. The preliminary ratings are based on information as of May 8, 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, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans; -- 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. Preliminary Ratings Assigned Obra CLO 4 Ltd./Obra CLO 4 LLC Class A, $103.80 million: AAA (sf) Class A-1A loans, $94.20 million: AAA (sf) Class A-1B loans, $50.00 million: AAA (sf) Class B, $56.00 million: AA (sf) Class C, $24.00 million: A (sf) Class D, $24.00 million: BBB- (sf) Class E, $16.00 million: BB- (sf) Subordinated notes, $35.05 million: NR NR--Not rated. OBX 2026-INV3: Moody's Assigns B3 Rating to Cl. B-5 Certs --------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 65 classes of residential mortgage-backed securities (RMBS) 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, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-F, Definitive Rating Assigned Aaa (sf) Cl. A-F-X*, Definitive Rating Assigned Aaa (sf) Cl. A-F2, Definitive Rating Assigned Aaa (sf) Cl. A-F2-X*, Definitive Rating Assigned Aaa (sf) Cl. A-X*, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. A-X-27*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A Loans, Class A-2A Loans, and Class A-3A Loans, assigned on April 30, 2026, because the Class A-1A Loans, Class A-2A Loans, and Class A-3A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.84%, in a baseline scenario-median is 0.53% and reaches 8.04% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. OCTAGON INVESTMENT XXI: Moody's Cuts Rating on E-RR Notes to Caa3 ----------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes: US$40.25M Class C-R4 Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Dec 18, 2025 Upgraded to A1 (sf) US$12M Class E-RR Secured Deferrable Floating Rate Notes, Downgraded to Caa3 (sf); previously on Dec 18, 2025 Affirmed Caa2 (sf) Moody's have also affirmed the ratings on the following notes: US$224.55M (Current outstanding amount US$11,528,964) Class A-1A-R4 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 18, 2025 Affirmed Aaa (sf) US$86.25M Class A-2-R4 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 18, 2025 Affirmed Aaa (sf) US$36M Class B-R4 Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 18, 2025 Upgraded to Aaa (sf) US$37M Class D-R3 Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Dec 18, 2025 Affirmed Ba3 (sf) Octagon Investment Partners XXI, Ltd., originally issued in October 2014 and most recently partially refinanced in March 2025, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Octagon Credit Investors, LLC. The transaction's reinvestment period ended in February 2024. RATINGS RATIONALE The upgrade on the rating on the Class C-R4 notes is primarily a result of the significant deleveraging of the Class A-1A-R4 notes following amortisation of the underlying portfolio since the last rating action in December 2025; the downgrade of the Class E-RR notes is driven by a par loss of approximately 3% since the December 2025 rating action. The affirmations on the ratings on the Class A-1A-R4, A-2-R4, B-R4 and D-R3 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-1A-R4 notes have paid down by approximately USD55.2 million (24.6%) since the last rating action in December 2025. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated April 2026[1] the Class A, Class B, Class C and Class D OC ratios are reported at 193.87%, 153.12%, 123.98% and 105.53% compared to November 2025[2] levels of 149.50%, 131.83%, 116.44% and 105.16%, respectively. The deleveraging 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: USD265.6 million Defaulted Securities: USD0 Diversity Score: 51 Weighted Average Rating Factor (WARF): 2947 Weighted Average Life (WAL): 3.27 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.04% Weighted Average Recovery Rate (WARR): 46.75% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. 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 debt's exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the debt are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. OZLM XVIII: Moody's Affirms Ba3 Rating on $21.25MM Cl. E Notes -------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by OZLM XVIII, Ltd.: US$30M Class D Senior Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Dec 12, 2025 Upgraded to A2 (sf) Moody's have also affirmed the ratings on the following notes: US$60M (Current outstanding amount US$26,942,203) Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 12, 2025 Affirmed Aaa (sf) US$28.75M Class C Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 12, 2025 Affirmed Aaa (sf) US$21.25M Class E Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Dec 12, 2025 Affirmed Ba3 (sf) US$10M (Current outstanding amount US$10,579,498 including deferred interest) Class F Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Dec 12, 2025 Affirmed Caa3 (sf) OZLM XVIII, Ltd., issued in April 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sculptor Loan Management LP. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrade on the Class D notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in December 2025. The affirmations on the ratings on the Class B, C, E and F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have been fully repaid, and the Class B notes have been paid down by approximately USD33.0 million (55.1% of its initial balance) since the last rating action in December 2025. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated April 2026[1] the Class A/B, Class C and Class D OC ratios are reported at 254.56%, 166.68% and 122.53% compared to November 2025[2] levels of 190.94%, 147.88% and 119.71%, 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. 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: USD121.9m Defaulted Securities: USD0.1m Diversity Score: 37 Weighted Average Rating Factor (WARF): 3511 Weighted Average Life (WAL): 2.34 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.90% Weighted Average Recovery Rate (WARR): 45.64% Par haircut in OC tests and interest diversion test: 8.7% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. PRM8 COMMERCIAL 2026-PRM8: Moody's Gives B3 Rating to Cl. F Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by PRM8 Commercial Mortgage Trust 2026-PRM8, Commercial Mortgage Pass-Through Certificates, Series 2026-PRM8: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien commercial mortgage on the fee interests in 21 primarily self-storage facilities ("the Portfolio") with an aggregate net rental area ("NRA") of 1.5 million square feet ("SF") across 11,419 self-storage units, 1,070 covered and uncovered parking spaces and miscellaneous units and 15 commercial units. The Portfolio is located across 11 states and two Canadian provinces. The top three Properties include Prime Storage - Menifee (Menifee, CA; 10.2% of NCF), Prime Storage - Oakland Park (Oakland Park, FL; 8.3% of NCF) and Prime Storage - Vernon (Vernon, BC; 6.2% of NCF). Moody's analysis is based on the quality of the Portfolio, the amount of subordination supporting each rated class, among other structural characteristics. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by single loans compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.017x compared with 1.09x at provisional ratings based on a decrease in the mortgage interest rate and Moody's first mortgage actual stressed DSCR is 0.75x. Moody's DSCR is based on Moody's stabilized net cash flow. The whole loan first mortgage balance of $240,000,000 represents a Moody's LTV ratio and adjusted Moody's LTV of 129.4% based on Moody's Value. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The Portfolio's weighted average overall quality grade is 1.00. Notable strengths of the transaction include: granular income; historical operating performance; geographic diversity; strong area demographics; multiple property pooling; institutional quality sponsorship and property management; and cash equity. Notable concerns of the transaction include: FX exposure; high Moody's LTV, interest-only loan profile; and credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. SANDSTONE PEAK III: S&P Affirms BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, and D-2-R debt from Sandstone Peak III Ltd./Sandstone Peak III LLC, a CLO managed by Beach Point CLO Management LLC that was originally issued in May 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B, C, D-1, D-2a, and D-2b debt and class A-1L loans following payment in full on the May 8, 2026, refinancing date. S&P also affirmed its rating on the class E debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to May 8, 2027. -- The previous class A-1 debt and class A-1L loans were combined into the replacement class A-1-R debt. -- The previous class D-2a and D-2b debt were combined into the replacement class D-2-R debt. -- No additional assets were purchased on the May 8, 2026, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period and the first payment date following the refinancing is July 25, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $252.00 million: Three-month CME term SOFR + 1.30% -- Class A-2-R, $8.00 million: Three-month CME term SOFR + 1.50% -- Class B-R, $44.00 million: Three-month CME term SOFR + 1.65% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 1.95% -- Class D-1-R (deferrable), $20.00 million: Three-month CME term SOFR + 3.05% -- Class D-2-R (deferrable), $8.00 million: 8.560% Previous debt -- Class A-1, $212.00 million: Three-month CME term SOFR + 1.63% -- Class A-1L loans, $40.00 million: Three-month CME term SOFR + 1.63% -- Class A-2, $8.00 million: Three-month CME term SOFR + 1.83% -- Class B, $44.00 million: Three-month CME term SOFR + 2.15% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 2.65% -- Class D-1 (deferrable), $20.00 million: Three-month CME term SOFR + 3.85% -- Class D-2a (deferrable), $7.00 million: Three-month CME term SOFR + 5.25% -- Class D-2b (deferrable), $1.00 million: 9.463% 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 rated tranche. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Sandstone Peak III Ltd./Sandstone Peak III LLC Class A-1-R, $252.00 million: AAA (sf) Class A-2-R, $8.00 million: AAA (sf) Class B-R, $44.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $20.00 million: BBB (sf) Class D-2-R (deferrable), $8.00 million: BBB- (sf) Ratings Withdrawn Sandstone Peak III Ltd./Sandstone Peak III LLC Class A-1 to NR from 'AAA (sf)' Class A-1L loans to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D-1 (deferrable) to NR from 'BBB (sf)' Class D-2a (deferrable) to NR from 'BBB- (sf)' Class D-2b (deferrable) to NR from 'BBB- (sf)' Rating Affirmed Sandstone Peak III Ltd./Sandstone Peak III LLC Class E (deferrable): BB- (sf) Other Debt Sandstone Peak III Ltd./Sandstone Peak III LLC Subordinated notes, $38.50 million: NR NR--Not rated. SEQUOIA MORTGAGE 2026-INV3: Fitch Rates Class B5 Certs 'B(EXP)sf' ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2026-INV3 (SEMT 2026-INV3). Entity/Debt Rating ----------- ------ SEMT 2026-INV3 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AA+(EXP)sf Expected Rating A20 LT AA+(EXP)sf Expected Rating A21 LT AA+(EXP)sf Expected Rating A22 LT AA+(EXP)sf Expected Rating A23 LT AA+(EXP)sf Expected Rating A24 LT AA+(EXP)sf Expected Rating A25 LT AA+(EXP)sf Expected Rating A26F 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 AIO1 LT AA+(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 AA+(EXP)sf Expected Rating AIO21 LT AA+(EXP)sf Expected Rating AIO22 LT AA+(EXP)sf Expected Rating AIO23 LT AA+(EXP)sf Expected Rating AIO24 LT AA+(EXP)sf Expected Rating AIO25 LT AA+(EXP)sf Expected Rating AIO26 LT AA+(EXP)sf Expected Rating AIO27 LT AAA(EXP)sf Expected Rating AIO27F LT AAA(EXP)sf Expected Rating AIO28 LT AA+(EXP)sf Expected Rating AIO29 LT AAA(EXP)sf Expected Rating AIO30 LT AA+(EXP)sf Expected Rating AIO33 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 Transaction Summary SEMT 2026-INV3 features almost entirely fixed-rate prime investor and second-occupancy loans acquired by Redwood from Rocket Mortgage and various other mortgage originators. The certificates are supported by 1,275 loans with a total balance of approximately $507.13 million as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. 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-INV3 has a final probability of default (PD) of 20.4% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 43.8%. The expected loss in the 'AAAsf' rating stress is 8.9%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-INV3 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 structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SEMT 2026-INV3 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-INV3, 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 38.0% 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 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. SIXTH STREET XI: S&P Affirms BB- (sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R2, B-R2, C-R2, and D-R2 debt from Sixth Street CLO XI Ltd./Sixth Street CLO XI LLC, a CLO managed by Sixth Street CLO XI Management LLC that was originally issued in September 2018 and underwent a first refinancing in April 2024. At the same time, S&P withdrew its ratings on the previous class A-R, B-R, C-R, and D-R debt following payment in full on the May 7, 2026, refinancing date. S&P also affirmed its ratings on the class X and E-R debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 25, 2027. -- No additional assets were purchased on the May 7, 2026 refinancing date, and the target initial par amount remains at $400 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 25, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on the class D-R2 and E-R debt (which was not refinanced). However, we assigned our 'BBB- (sf)' rating to the class D-R2 debt and affirmed our 'BB- (sf)' rating on the class E-R debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction. Additionally, the deal remains in its reinvestment period, and the refinancing is viewed as credit neutral to credit positive for the transaction." Replacement And Previous Debt Issuances Replacement debt -- Class A-R2, $248.00 million: three-month CME term SOFR + 1.22% -- Class B-R2, $52.00 million: three-month CME term SOFR + 1.55% -- Class C-R2 (deferrable), $28.00 million: three-month CME term SOFR + 1.85% -- Class D-R2 (deferrable), $24.00 million: three-month CME term SOFR + 3.15% Previous debt -- Class A-R, $248.00 million: three-month CME term SOFR + 1.53% -- Class B-R, $52.00 million: three-month CME term SOFR + 2.05% -- Class C-R (deferrable), $28.00 million: three-month CME term SOFR + 2.50% -- Class D-R (deferrable), $24.00 million: three-month CME term SOFR + 3.70% -- Subordinated notes, $47.35 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Sixth Street CLO XI Ltd./Sixth Street CLO XI LLC Class A-R2, $248.00 million: AAA (sf) Class B-R2, $52.00 million: AA (sf) Class C-R2 (deferrable), $28.00 million: A (sf) Class D-R2 (deferrable), $24.00 million: BBB- (sf) Ratings Withdrawn Sixth Street CLO XI Ltd./Sixth Street CLO XI LLC Class A-R to not rated from 'AAA (sf)' Class B-R to not rated from 'AA (sf)' Class C-R to not rated from 'A (sf)' Class D-R to not rated from 'BBB- (sf)' Ratings Affirmed Sixth Street CLO XI Ltd./Sixth Street CLO XI LLC Class X: AAA (sf) Class E-R: BB- (sf) Other Debt Sixth Street CLO XI Ltd./Sixth Street CLO XI LLC Subordinated notes, $47.35 million: not rated SOUND POINT XXV: Moody's Cuts Rating on $27MM Cl. D-R Notes to Ba1 ------------------------------------------------------------------ Moody's Ratings has taken a variety of rating actions on the following notes issued by Sound Point CLO XXV, Ltd.: US$49.5M Class B-R Senior Secured Floating Rate Notes, Upgraded to Aa1 (sf); previously on Mar 10, 2025 Affirmed Aa2 (sf) US$27M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Downgraded to Ba1 (sf); previously on Mar 10, 2025 Affirmed Baa3 (sf) US$18M Class E-R Junior Secured Deferrable Floating Rate Notes, Downgraded to B3 (sf); previously on Mar 10, 2025 Downgraded to B1 (sf) Moody's have also affirmed the ratings on the following notes: US$278.5M (Current outstanding amount US$238,154,501) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 10, 2025 Affirmed Aaa (sf) US$14M (Current outstanding amount US$11,971,860) Class A-2-R Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Mar 10, 2025 Affirmed Aaa (sf) US$27M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed A2 (sf); previously on Mar 10, 2025 Affirmed A2 (sf) Sound Point CLO XXV, Ltd., issued in January 2020 and refinanced in March 2022, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in April 2025. RATINGS RATIONALE The upgrade on the rating on the Class B-R notes is primarily a result of the deleveraging of the Class A-1-R and Class A-2-R notes following amortisation of the underlying portfolio since the payment date in April 2025. The downgrades on the ratings on the Class D-R and Class E-R notes are primarily a result of the deterioration in over-collateralisation ratios and the deterioration of the key credit metrics of the underlying pool since the payment date in April 2025. The affirmations on the ratings on the Class A-1-R, A-2-R and C-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-1-R and A-2-R notes in total have paid down by approximately USD42.4 million (14.5%) in the last 12 months. As a result of the deleveraging, over-collateralisation (OC) for the senior notes has increased. According to the trustee report dated April 2026[1] the Class A/B and Class C OC ratios are reported at 129.65% and 119.08% compared to April 2025[2] levels of 128.17% and 118.79%, respectively. Moody's notes that the April 2026 principal payments are not reflected in the reported OC ratios. The over-collateralisation ratios of the Class D-R and E-R notes have deteriorated over the last year. According to the trustee report dated April 2026[1], the Class D-R and Class E-R OC ratios are reported at 110.11% and 104.84% compared to April 2025[2] levels of 110.69% and 105.88%, respectively. Moody's notes that the April 2026 principal payments are not reflected in the reported OC ratios. In addition, the reported portfolio WAS and WARR have deteriorated from 3.27% and 45.69%, respectively, in April 2025[2] to 3.09% and 45.42% in April 2026[1]. In light of reinvestment restrictions during the amortisation period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's analysed the deal assuming a higher likelihood that the collateral pool characteristics would maintain an adequate buffer relative to certain covenant requirements. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD390.72 million Defaulted Securities: USD2.32 million Diversity Score: 75 Weighted Average Rating Factor (WARF): 2735 Weighted Average Life (WAL): 4.06 years Weighted Average Spread (WAS) (before accounting for floors): 3.09% Weighted Average Coupon (WAC): 2.91% Weighted Average Recovery Rate (WARR): 45.3% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. 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: Once reaching the end of the reinvestment period in April 2025, 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. TRIMARAN CAVU 2026-1: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Trimaran CAVU 2026-1 Ltd./Trimaran CAVU 2026-1 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trimaran Advisors LLC, a subsidiary of LibreMax Intermediate Holdings. The preliminary ratings are based on information as of May 7, 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 Trimaran CAVU 2026-1 Ltd./Trimaran CAVU 2026-1 LLC Class X, $2.00 million: AAA (sf) Class A, $100.00 million: AAA (sf) Class AL loans(i), $156.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class D-3 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $34.60 million: NR (i)Pursuant to the credit agreement, the lenders may not convert or exchange any portion of the secured loans into notes. NR--Not rated. WESTLAKE AUTOMOBILE 2026-2: S&P Assigns BB (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect: -- The availability of approximately 45.58%, 39.30%, 30.53%, 23.33%, and 20.08% 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 post-pricing stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's 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 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 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 its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Westlake Automobile Receivables Trust 2026-2 Class A-1, $337.30 million: A-1+ (sf) Class A-2-A, $443.82 million: AAA (sf) Class A-2-B, $80.00 million: AAA (sf) Class A-3, $181.00 million: AAA (sf) Class B, $125.61 million: AA (sf) Class C, $185.38 million: A (sf) Class D, $162.86 million: BBB (sf) Class E, $84.03 million: BB (sf) Z CAPITAL 2019-1: Moody's Cuts Rating on $25MM Cl. E Notes to Caa1 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by Z Capital Credit Partners CLO 2019-1 Ltd.: US$26,500,000 Class D-R Secured Deferrable Floating Rate Notes due 2031, Upgraded to A3 (sf); previously on May 22, 2023 Upgraded to Baa1 (sf) Moody's have also downgraded the rating on the following notes: US$25,000,000 Class E Secured Deferrable Floating Rate Notes due 2031 (current balance of $22,900,379.98), Downgraded to Caa1 (sf); previously on December 17, 2025 Downgraded to B3 (sf) Z Capital Credit Partners CLO 2019-1 Ltd., originally issued in July 2019 and partially refinanced in September 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on Class D-R notes is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since December 2025. The Class A-1R notes have been paid down by 100% or approximately $23.1 million and the Class B-R notes have been paid down by approximately 66.5% or $17.3 million since then. Based on Moody's calculations, the OC ratios for Class B-R, Class C-R and Class D-R notes are currently 972.02%, 275.59% and 147.93%, respectively, versus December 2025 levels of 267.15%, 184.43% and 134.33%, respectively. 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 Moody's calculations, the OC ratio for the Class E notes is currently 105.64% versus a December 2025 level of 108.82%. No actions were taken on the Class B-R and Class C-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in 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: $84,621,770 Defaulted par: $7,378,136 Diversity Score: 25 Weighted Average Rating Factor (WARF): 4514 Weighted Average Spread (WAS): 4.14% Weighted Average Recovery Rate (WARR): 43.94% Weighted Average Life (WAL): 2.66 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in 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. [] Moody's Takes Action on 4 Bonds from 2 US RMBS Deals ------------------------------------------------------- Moody's Ratings has upgraded the ratings of three bonds and downgraded the rating of one bond from two US residential mortgage-backed transactions (RMBS), backed by FHA-VA mortgages issued by multiple issuers. 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: CWMBS Reperforming Loan REMIC Trust Certificates, Series 2006-R1 Cl. A-F-1, Upgraded to Aa2 (sf); previously on Jul 31, 2025 Upgraded to Baa1 (sf) Cl. A-F-2, Upgraded to Aa2 (sf); previously on Jul 31, 2025 Upgraded to Baa1 (sf) Cl. M, Upgraded to Caa1 (sf); previously on Jul 31, 2025 Upgraded to Caa2 (sf) Issuer: Fannie Mae REMIC Trust 2002-W1 Cl. M, Downgraded to Caa3 (sf); previously on Aug 10, 2018 Downgraded to Caa2 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or are currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating upgrades of Class A-F-1 and A-F-2 from CWMBS Reperforming Loan REMIC Trust Certificates, Series 2006-R1 are the result of the improving performance of the related pool, and an increase in credit enhancement available to the bonds. The credit enhancement over the past 12 months has grown 1.7x for these bonds. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US 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. 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 31 Bonds from 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 31 bonds from four 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: Flagstar Mortgage Trust 2021-5INV Cl. B-1, Upgraded to Aaa (sf); previously on Sep 24, 2024 Upgraded to Aa1 (sf) Cl. B-1-A, Upgraded to Aaa (sf); previously on Sep 24, 2024 Upgraded to Aa1 (sf) Cl. B-1-X*, Upgraded to Aaa (sf); previously on Sep 24, 2024 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on Jul 15, 2025 Upgraded to Aa2 (sf) Cl. B-2-A, Upgraded to Aa1 (sf); previously on Jul 15, 2025 Upgraded to Aa2 (sf) Cl. B-2-X*, Upgraded to Aa1 (sf); previously on Jul 15, 2025 Upgraded to Aa2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Jul 15, 2025 Upgraded to Baa2 (sf) Issuer: Flagstar Mortgage Trust 2021-8INV Cl. B-1, Upgraded to Aaa (sf); previously on Sep 24, 2024 Upgraded to Aa1 (sf) Cl. B-1-A, Upgraded to Aaa (sf); previously on Sep 24, 2024 Upgraded to Aa1 (sf) Cl. B-1-X*, Upgraded to Aaa (sf); previously on Sep 24, 2024 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on Jul 15, 2025 Upgraded to Aa2 (sf) Cl. B-2-A, Upgraded to Aa1 (sf); previously on Jul 15, 2025 Upgraded to Aa2 (sf) Cl. B-2-X*, Upgraded to Aa1 (sf); previously on Jul 15, 2025 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Sep 24, 2024 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Sep 24, 2024 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Sep 24, 2024 Upgraded to Ba1 (sf) Issuer: OBX 2023-J2 Trust Cl. B-1, Upgraded to Aa1 (sf); previously on Sep 10, 2024 Upgraded to Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Sep 10, 2024 Upgraded to Aa2 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Sep 10, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Sep 10, 2024 Upgraded to Baa1 (sf) Issuer: PMT Loan Trust 2025-INV7 Cl. A-31, Upgraded to Aaa (sf); previously on Jul 18, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-32, Upgraded to Aaa (sf); previously on Jul 18, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-33, Upgraded to Aaa (sf); previously on Jul 18, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Upgraded to Aaa (sf); previously on Jul 18, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Upgraded to Aaa (sf); previously on Jul 18, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Upgraded to Aaa (sf); previously on Jul 18, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Jul 18, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jul 18, 2025 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Jul 18, 2025 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jul 18, 2025 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Jul 18, 2025 Definitive Rating Assigned B3 (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 0.01% and a small percentage of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.28x 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 the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 71 Bonds from 6 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 71 bonds from six US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible investor (INV) mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Citigroup Mortgage Loan Trust 2024-1 Cl. B-2, Upgraded to Aa3 (sf); previously on May 30, 2025 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on May 30, 2025 Upgraded to A1 (sf) Cl. B-2-IO*, Upgraded to Aa3 (sf); previously on May 30, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on May 30, 2025 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 21, 2025 Upgraded to Ba1 (sf) Issuer: Citigroup Mortgage Loan Trust 2024-CMI1 Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 28, 2025 Upgraded to Aa2 (sf) Cl. B-1-2IO*, Upgraded to Aa2 (sf); previously on Aug 28, 2025 Upgraded to Aa3 (sf) Cl. B-1-3IO*, Upgraded to Aa3 (sf); previously on Aug 28, 2025 Upgraded to A1 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Aug 28, 2025 Upgraded to Aa2 (sf) Cl. B-1-IO*, Upgraded to Aa1 (sf); previously on Aug 28, 2025 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 28, 2025 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Aug 28, 2025 Upgraded to A1 (sf) Cl. B-2-IO*, Upgraded to Aa3 (sf); previously on Aug 28, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 28, 2025 Upgraded to Baa1 (sf) Cl. B-3-A, Upgraded to A3 (sf); previously on Aug 28, 2025 Upgraded to Baa1 (sf) Cl. B-3-IO*, Upgraded to A3 (sf); previously on Aug 28, 2025 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 28, 2025 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 28, 2025 Upgraded to Ba3 (sf) Issuer: Citigroup Mortgage Loan Trust 2024-INV2 Cl. A-4N, Upgraded to Aaa (sf); previously on Jun 12, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-4NA, Upgraded to Aaa (sf); previously on Jun 12, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-4NB, Upgraded to Aaa (sf); previously on Jun 12, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-4NC, Upgraded to Aaa (sf); previously on Jun 12, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-4N-IO1*, Upgraded to Aaa (sf); previously on Jun 12, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-4N-IO2*, Upgraded to Aaa (sf); previously on Jun 12, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-4N-IO3*, Upgraded to Aaa (sf); previously on Jun 12, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-4N-IO4*, Upgraded to Aaa (sf); previously on Jun 12, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-4N-IO5*, Upgraded to Aaa (sf); previously on Jun 12, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Apr 1, 2025 Upgraded to A1 (sf) Issuer: Citigroup Mortgage Loan Trust 2024-INV3 Cl. A-13, Upgraded to Aaa (sf); previously on Oct 10, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-14, Upgraded to Aaa (sf); previously on Oct 10, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-I-18*, Upgraded to Aaa (sf); previously on Oct 10, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-I-19*, Upgraded to Aaa (sf); previously on Oct 10, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-I-20*, Upgraded to Aaa (sf); previously on Oct 10, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Oct 10, 2024 Definitive Rating Assigned Aa2 (sf) Cl. B-1-2IO*, Upgraded to Aa2 (sf); previously on Aug 21, 2025 Upgraded to Aa3 (sf) Cl. B-1-3IO*, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Oct 10, 2024 Definitive Rating Assigned Aa2 (sf) Cl. B-1-IO*, Upgraded to Aa1 (sf); previously on Oct 10, 2024 Definitive Rating Assigned 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-IO*, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Cl. B-3-A, Upgraded to A3 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Cl. B-3-IO*, Upgraded to A3 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Aug 21, 2025 Upgraded to B2 (sf) Issuer: Citigroup Mortgage Loan Trust 2025-1 Cl. A-13, Upgraded to Aaa (sf); previously on Jan 31, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-14, Upgraded to Aaa (sf); previously on Jan 31, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-I-1*, Upgraded to Aaa (sf); previously on Jan 31, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-I-8*, Upgraded to Aaa (sf); previously on Jan 31, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X*, Upgraded to Aaa (sf); previously on Jan 31, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Jan 31, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 31, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 31, 2025 Definitive Rating Assigned A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jan 31, 2025 Definitive Rating Assigned Baa1 (sf) Issuer: Citigroup Mortgage Loan Trust 2025-3 Cl. A-19, Upgraded to Aaa (sf); previously on Jun 1, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Jun 1, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Jun 1, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-I-24*, Upgraded to Aaa (sf); previously on Jun 1, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-I-25*, Upgraded to Aaa (sf); previously on Jun 1, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-I-26*, Upgraded to Aaa (sf); previously on Jun 1, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-I-27*, Upgraded to Aaa (sf); previously on Jun 1, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Jun 1, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-1-2IO*, Upgraded to Aa3 (sf); previously on Jun 1, 2025 Definitive Rating Assigned A1 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Jun 1, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-1-IO*, Upgraded to Aa2 (sf); previously on Jun 1, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jun 1, 2025 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Jun 1, 2025 Definitive Rating Assigned A2 (sf) Cl. B-2-IO*, Upgraded to A1 (sf); previously on Jun 1, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jun 1, 2025 Definitive Rating Assigned Baa2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Aug 21, 2025 Upgraded to 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 0.01% 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, 1.5x for the non-exchangeable tranches upgraded. Moody's analysis also considered the relationship of exchangeable bonds to the bond(s) they could be exchanged for. 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 8 Bonds from 3 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds from three 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: J.P. Morgan Mortgage Trust 2021-1 Cl. B-2, Upgraded to Aa1 (sf); previously on May 15, 2024 Upgraded to Aa2 (sf) Cl. B-2-A, Upgraded to Aa1 (sf); previously on May 15, 2024 Upgraded to Aa2 (sf) Cl. B-2-X*, Upgraded to Aa1 (sf); previously on May 15, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A1 (sf); previously on May 15, 2024 Upgraded to A2 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-12 Cl. B-3, Upgraded to A2 (sf); previously on Mar 3, 2025 Upgraded to A3 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Mar 3, 2025 Upgraded to Ba1 (sf) Issuer: J.P. Morgan Mortgage Trust 2021-INV7 Cl. B-2, Upgraded to Aa3 (sf); previously on Feb 12, 2025 Upgraded to A1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Feb 12, 2025 Upgraded to Ba3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under 0.02% 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, 1.38x 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 Methodology The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. 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