260524.mbx

260524.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 24, 2026, Vol. 30, No. 144 Headlines A&D MORTGAGE 2026-NQM4: Fitch Rates Class B1 Certs 'BB(EXP)sf' AGL CLO 9: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ALLO ISSUER 2026-1: Fitch Assigns BB-(EXP)sf Rating on Cl. C Notes ALLY BANK 2026-A: Moody's Assigns (P)B2 Rating to Class F Notes ANCHORAGE CAPITAL 29: Fitch Assigns 'B+sf' Rating on Cl. F-R Notes ARBOR REALTY 2025-BTR1: DBRS Confirms B(low) Rating on Cl. G Notes ARES LXIX: Fitch Assigns 'BB-sf' Rating on Class E Notes ASHFORD HOSPITALITY 2018-ASHF: DBRS Confirms B(low) on Cl. F Certs BAMLL COMMERCIAL 2026-HRHB: S&P Assigns B (sf) Rating on HRR Certs BANK 2018-BNK13: DBRS Cuts Rating on Cl. X-F Certs to Csf BANK 2018-BNK13: Fitch Affirms 'CCsf' Rating on Two Tranches BANK 2025-BNK50: Fitch Affirms 'B-sf' Rating on Class H-RR Certs BANK5 2023-5YR1: Fitch Lowers Rating on Two Tranches to 'CCCsf' BANK5 2026-5Y22: Fitch Assigns 'B-(EXP)sf' Rating on Cl. G-RR Certs BARROW HANLEY III: S&P Assigns BB- (sf) Rating on Class E-R Notes BBCMS MORTGAGE 2020-C7: Fitch Lowers Rating on Two Tranches to CCsf BENCHMARK 2018-B2: Fitch Lowers Rating on Two Tranches to 'B-sf' BENCHMARK 2020-B16: Fitch Lowers Rating on Two Tranches to 'B-sf' BENCHMARK 2022-B35: DBRS Cuts Rating on 2 Tranches to Csf BENEFIT STREET 50: S&P Assigns Prelim BB- (sf) Rating on E Notes BRAVO RESIDENTIAL 2026-CES1: Fitch Rates Class B2 Notes 'B-sf' BRYANT PARK 2024-23: S&P Assigns BB- (sf) Rating on Cl. E-R Notes CARVANA AUTO 2026-P2: Fitch Assigns BB(EXP)sf Rating on Cl. N Debt CHASE HOME 2026-5: DBRS Gives (P)B(low) Rating on Class B-5 Certs CHASE HOME 2026-JINV1: Fitch Assigns 'B-(EXP)sf' Rating on B5 Certs CITIGROUP 2016-C3: Fitch Lowers Rating on Two Tranches to 'Csf' COMM 2016-667M: DBRS Confirms CCCsf Rating on 2 Tranches CSAIL 2015-C3: Fitch Affirms Csf Rating on 2 Tranches DEEPHAVEN RESIDENTIAL 2026-CES1: DBRS Gives B Rating on B-2 Notes DRYDEN 64 CLO: Moody's Cuts Rating on $30MM Class E Notes to B1 DRYDEN 78: S&P Assigns BB- (sf) Rating on Class E-1-R Notes ELDRIDGE MMPC 2026-2: S&P Assigns BB- (sf) Rating on Class E Notes ELMWOOD CLO 25: S&P Affirms B- (sf) Rating on Class F Notes ELMWOOD CLO VIII: S&P Affirms B- (sf) Rating on Class F-R Notes FIGRE TRUST 2026-HE4: DBRS Finalizes B(low) Rating on Cl. F Notes FLAGSHIP CREDIT 2021-3: DBRS Cuts Rating on Cl. E Debt to CCCsf GS MORTGAGE 2011-GC5: Moody's Lowers Rating on 2 Tranches to C GS MORTGAGE 2015-GS1: Fitch Affirms 'Csf' Rating on Two Tranches HIT TRUST 2022-HI32: DBRS Confirms B(low) Rating on Cl. G Certs HOMES 2026-NQM3: S&P Assigns B (sf) Rating on Class B-2 Certs HPS LOAN 2024-19: S&P Assigns BB- (sf) Rating on Class E-R Notes JP MORGAN 2018-ASH8: DBRS Cuts Rating on Cl. D Certs to B(low) JP MORGAN 2026-3: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs JPMCC COMMERCIAL 2017-JP7: DBRS Cuts F-RR Certs Rating to Csf JPMF1 MULTIFAMILY 2026-FX1: Fitch Rates Cl. H-RR Certs 'B-(EXP)sf' LENDINGCLUB 2026-P3: Fitch Assigns 'Bsf' Rating on Class F Notes MADISON PARK XXXIII: S&P Affirms 'B+ (sf)' Rating on Class E Notes MCF CLO IX: S&P Assigns BB- (sf) Rating on Class E-R2 Debt MFA 2026-INVR1: S&P Assigns B(sf) Rating on Class B-2 Certificates MORGAN STANLEY 2019-NUGS: Moody's Cuts Rating on Cl. A Certs to Ca MORGAN STANLEY 2026-DSC2: Moody's Assigns Ba3 Rating to B-1 Certs MORGAN STANLEY 2026-NQM5: S&P Assigns (P)B(sf) Rating on B-2 Certs MTN COMMERCIAL 2026-LPFX: Fitch Assigns 'B+sf' Rating on HRR Certs OBX 2026-HYB1 TRUST: Moody's Assigns (P)B2 Rating to Cl. B-2 Certs OCTAGON INVESTMENT 39: Moody's Cuts Rating on $12MM F Notes to Caa3 ORION CLO 2024-3: Fitch Assigns BB+(EXP)sf Rating on Cl. E-R Notes ORION CLO 2024-3: S&P Assigns Prelim B-(sf) Rating on Cl. F-R Notes PFP 2026-14: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes PMT LOAN 2026-INV5: Moody's Assigns B3 Rating to Cl. B-5 Certs RKTL 2026-2: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes ROCKFORD TOWER 2021-1: Moody's Cuts Rating on $18MM E Notes to B1 SANTANDER BANK 2023-MTG1: Fitch Gives BBsf Rating on Cl. M-5 Notes SANTANDER MORTGAGE 2026-NQM4: S&P Assigns (P)B Rating on B-2 Notes SBALR COMMERCIAL 2020-RR1: Moody's Cuts Rating on A-S Certs to Ba1 SHACKLETON 2017-XI CLO: Moody's Cuts Rating on $7.5MM F Notes to Ca SONA US 1: Fitch Assigns 'BB-sf' Rating on Class E Notes STRUCTURED ASSET 2004-16XS: Moody's Cuts 2 Tranches to Caa3 TRINITAS CLO XXIV: S&P Assigns Prelim BB- (sf) Rating on E-R Notes UPG HI 2026-1: Fitch Assigns 'BBsf' Rating on Class C Debt VELOCITY COMMERCIAL 2026-2: DBRS Gives (P) B (low) on 3 Tranches VERUS SECURITIZATION 2026-R4: S&P Assigns 'B-' Rating on B-2 Notes VERUS SECURITIZATION 2026-R5: Fitch Rates Cl. B-2 Notes 'B-(EXP)sf' WELLS FARGO 2015-NXS1: DBRS Confirms CCC Rating on X-F Certs WESTLAKE AUTOMOBILE 2026-2: DBRS Gives (P)BB Rating on Cl. E Notes [] DBRS Confirms 13 Ratings From 3 Republic Finance Transactions [] DBRS Reviews 15 Classes on 2 U.S. RMBS Transactions [] Moody's Takes Action on 2 Bonds from 2 US RMBS Deals [] Moody's Upgrades Ratings on 2 Bonds from 2 US RMBS Deals [] Moody's Upgrades Ratings on 35 Bonds from 8 US RMBS Deals [] Moody's Upgrades Ratings on 40 Bonds from 7 US RMBS Deals ********* A&D MORTGAGE 2026-NQM4: Fitch Rates Class B1 Certs 'BB(EXP)sf' -------------------------------------------------------------- Fitch Ratings has assigned expected ratings to A&D Mortgage Trust 2026-NQM4 (ADMT 2026-NQM4). Entity/Debt Rating ----------- ----- ADMT 2026-NQM4 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT NR(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating Transaction Summary The ADMT 2026-NQM4 certificates are supported by 979 loans with a balance of $407,026,038 as of the cutoff date. This represents the 19th Fitch-rated ADMT transaction and the third Fitch-rated ADMT transaction of 2026. The transaction is expected to close on May 28, 2026. The certificates are secured by mortgage loans originated mainly by A&D Mortgage LLC (A&D) (78.31%), with the remainder originated by various third-party entities, each contributing less than 10%. Fitch considers ADMT to be an 'Acceptable' originator. The servicer of the loans is A&D (RPS3/Stable). The master servicer is Rocket Mortgage LLC (RMS1-/Stable). Of the loans, 44.8% are exempted mortgage loans that were not subject to the ability-to-repay (ATR) rule, 28.9% are safe harbor QM loans, 22.5% are designated as nonqualified mortgage (non-QM) loans and 3.8% are qualified mortgage rebuttable presumption loans. The class A-1A, A-1B, A-1FCF, A-1LCF, A-2, A-3 and M-1 certificates are fixed rate and capped at the net weighted average coupon (WAC) and have a step-up feature. The class B-1 certificate rate will be determined at pricing it will be based on either 1) the lower of a fixed rate or the net WAC rate for the related distribution date or the net WAC rate. The class B-2 and B-3 coupons will be based on the net WAC. Fitch was not asked to rate the B-2 or B-3 classes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess credit risk and expected losses. The pool consists of 979 performing, fixed-rate and adjustable-rate fully amortizing loans, some of which have interest-only periods. It is secured by loans on primarily one- to four-family residential properties (including attached and detached single-family homes, planned unit developments [PUDs]), condos/condotel, manufactured housing, mixed-use properties, five- to 10-unit multifamily properties and two- to four-unit multifamily properties, totaling $407,026,038. The majority of the loans are first liens 95.9%, while the remaining 4.1% are second liens. The loans are exempt from QM, Safe Harbor QM, Rebuttable presumption QM or NQM loans with the majority of the loans underwritten to 12-24 months bank statement or DSCR underwriting guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned at an average of two months (one month per the transaction documents). The pool has a weighted average (WA) original FICO score of 751 and DTI of 33.4% which are indicative of high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 68.4%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 76.3%. This transaction has a Final PD of 39.49% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 44.68%. The expected loss in the 'AAAsf' rating stress is 17.64%. Structural Analysis (Mixed): ADMT 2026-NQM4 has a modified sequential structure with limited advancing of Delinquent P&I. The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to classes first to the A-1A, A-1B, A-1FCF, A-1LCF, and then A-2 and A-3 until they are reduced to zero. Class A certificates have a step-up coupon feature whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. This step-up feature will occur on or after the distribution date in June 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 classes on and after June 2030. Specifically, on any distribution date occurring on or after the distribution date in June 2030 on which the aggregate unpaid cap carryover amount for class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1A, A-1B, A-1FCF and A-1LCF certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 and M-1 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after June 2030, since classes A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. Losses are allocated reverse sequentially starting with B-3. Once the A-2 class is written off, losses will be allocated pro rata to the A-1LCF and A-1FCF on the one hand and to the A-1A and A-1B on the other. The A-1LCF and A-1FCF will take their share of losses pro rata and the A-1A and A-1B share of losses will be allocated to A-1B first and then to A-1A once A-1B is written off. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm and have a final grade of either "A" or "B". Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects the transaction to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to this transaction, and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.65%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Opus, Clarifii, Mission, and Maxwell Diligenve. The third-party due diligence described in Form 15E focused on credit, compliance, and valuations. Due diligence review was conducted on 100% of the loans in the pool and 100% of the loans received a grade of A or B. Fitch considered this information in its analysis. Based on the due diligence findings, Fitch did not make any adjustments to the loans since all loans received a grade of A and B and the exceptions noted were not material. Fitch applied a 5bps z-score credit for each loans that received a due diligence grade of A or B. As a result, all the loans in the pool received a 5bps z-score credit and losses were reduced. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Mission Global, LLC, Clarifii and Maxwell Diligence Solutions, LLC and Opus to perform the review. Loans reviewed under these engagements were given compliance, credit, and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. AGL CLO 9: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 9 Ltd.'s refinancing notes classes A-R2, AJ-R2, B-R2 and C-R2. Fitch has also affirmed the ratings of classes D-R and E-R. Entity/Debt Rating Prior ----------- ------ ----- AGL CLO 9 Ltd. A-R 001207AQ2 LT PIFsf Paid In Full AAAsf A-R2 001207BA6 LT AAAsf New Rating AJ-R 001207AS8 LT PIFsf Paid In Full AAAsf AJ-R2 001207BC2 LT AAAsf New Rating B-R 001207AU3 LT PIFsf Paid In Full AA+sf B-R2 001207BE8 LT AA+sf New Rating C-R 001207AW9 LT PIFsf Paid In Full A+sf C-R2 001207BG3 LT A+sf New Rating D-R 001207AY5 LT BBB-sf Affirmed BBB-sf E-R 001208AE7 LT BB+sf Affirmed BB+sf Transaction Summary AGL CLO 9 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by AGL CLO Credit Management LLC. The transaction originally closed in December 2020 and was reset on April 2024. On May 15, 2026, the transaction will be partially refinanced. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $679 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.71% first lien senior secured loans and has a weighted average recovery assumption of 73.09%. 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 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 required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 2.9-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. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. - Class A-R2, AJ-R2, B-R2 and C-R2 are being refinanced with lower spread; - Class D-R and E-R notes have not been refinanced and their spreads remain unchanged; - The non-call period for the refinanced notes is extended to Nov. 15, 2027; - Stated maturity and reinvestment period for the refinanced notes remain the same as the original notes. Fitch Analysis The portfolio includes 498 assets from 414 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $683 million. As of the latest trustee report prior to the refinance date the transaction was passing all collateral quality tests, coverage tests, and concentration limitations. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 41.7% of the current portfolio par balance; ratings for 57.6% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map and 0.8% were unrated. As per Fitch's criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and on the indicative portfolio for the non-refinanced notes. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 17.5%, 15.0%, and 12.0%, respectively; - Assumed risk horizon: 6.0 years; - Minimum weighted average spread: 3.02%; - Fixed-rate assets: 5.00%; - 'CCC' obligors as defined by Fitch's ratings: 7.5%; - Minimum weighted average coupon: 7.00%; - Non-first priority senior secured assets: 7.5%. The transaction will exit its reinvestment period on April 20, 2029. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-R2: 'AAAsf' / Default 42.00% / Recovery 38.81% / Cushion 15.10% - Class AJ-R2: 'AAAsf' / Default 42.00% / Recovery 38.81% / Cushion 11.30% - Class B-R2: 'AA+sf' / Default 41.00% / Recovery 47.56% / Cushion 9.60% - Class C-R2: 'A+sf' / Default 36.10% / Recovery 57.34% / Cushion 9.80% - Class D-R: 'BBB-sf' / Default 26.80% / Recovery 66.79% / Cushion 9.30% - Class E-R: 'BB+sf' / Default 25.00% / Recovery 72.00% / Cushion 5.60% FSP Model Outputs: - Class A-R2: 'AAAsf' / Default 48.70% / Recovery 35.93% / Cushion 6.40% - Class AJ-R2: 'AAAsf' / Default 48.70% / Recovery 35.93% / Cushion 2.80% - Class B-R2: 'AA+sf' / Default 47.50% / Recovery 44.42% / Cushion 1.50% - Class C-R2: 'A+sf' / Default 41.80% / Recovery 53.83% / Cushion 1.60% Fitch affirmed the class D-R notes at 'BBB-sf' with a Stable Outlook, one notch below the model-implied rating (MIR) of 'BBBsf'. In Fitch's view, the MIR does not adequately reflect the transaction's recent adverse performance trend, including realized losses in the current portfolio, or the below-average credit enhancement available to this tranche. These factors indicate a higher likelihood of further credit deterioration and weaker recovery prospects, increasing the tranche's sensitivity to additional portfolio stress. Fitch therefore believes that an upgrade in line with the MIR could be reversed in the near term and has affirmed the ratings on the class D-R instead. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AAAsf' for class A-R2, between 'A-sf' and 'AA+sf' for class AJ-R2, between 'BBB-sf' and 'AA-sf' for class B-R2, between 'BB-sf' and 'A-sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R2 and AJ-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'Asf' for class D-R, and 'BBBsf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 9 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. ALLO ISSUER 2026-1: Fitch Assigns BB-(EXP)sf Rating on Cl. C Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to ALLO Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2026-1 as follows; - $613.7 million 2026-1 Class A-2 'A(EXP)sf'; Outlook Stable; - $66.7 million(a) 2026-1 Class B 'BBB(EXP)sf'; Outlook Stable; - $144.0 million(a) 2026-1 Class C 'BB-(EXP)sf'; Outlook Stable; - $43.4 million(b) 2026-1 Class R 'NR(EXP)sf'. The ratings on all existing notes are expected to be affirmed concurrently with the transaction close and the assignment of final ratings. (a) The class B and C notes include $20.0 million of prefunding. Fitch's expected ratings consider the range of prefunding amounts that may be issued in connection with the transaction. (b) Horizontal credit risk retention interest representing 5% of the 2026-1 notes. Entity/Debt Rating ----------- ------ ALLO Issuer, LLC, Secured Fiber Network Revenue Notes, Series 2026-1 Class A-2 LT A(EXP)sf Expected Rating Class B LT BBB(EXP)sf Expected Rating Class C LT BB-(EXP)sf Expected Rating Class R LT NR(EXP)sf Expected Rating Transaction Summary The transaction is a securitization of the contract payments derived from an existing fiber to the home (FTTH) network. Debt is secured by the net revenue of operations and benefits from a perfected security interest in the underlying assets, which include conduits, cables, network-level equipment, access rights, customer contracts, transaction accounts and an equity pledge from the asset entities. The collateral includes high-quality fiber lines providing internet, cable and telephone services to a network of approximately 210,120 retail customers located across 39 markets in Nebraska, Arizona and Colorado. Approximately 452% of annualized run rate revenue (ARRR) is located in Lincoln, NE, with 87.6% of ARRR attributable to markets in the state of Nebraska. Since the 2025-1 issuance of notes, 12 additional issuer-defined markets have been included in the trust. The additional collateral comprises 8.1% of transaction revenue and passes over 91,358 locations with a weighted average (WA) penetration rate of approximately 17.6%, compared to the WA penetration of 40% for all contributed markets. Transaction proceeds will be utilized to pay down the outstanding balance of the series 2023-1 A-1-V and fund the series 2025-1 prefunding account and applicable securitization transaction reserves. The proceeds will also be used to pay transaction fees and for general corporate purposes, which may include a distribution to the parent for growth capital expenditures. A cashout dividend is not expected. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in the underlying fiber optic network, not an assessment of the corporate default risk of the ultimate parent, ALLO Communications LLC. KEY RATING DRIVERS Net Cash Flow and Trust Leverage: Fitch's net cash flow (NCF) on the pool is $117.8 million in the base case, implying a 13.9% haircut to issuer base case NCF as of March 2026. The debt multiple relative to Fitch's NCF on the rated classes is 10.2x in this scenario, versus the debt/issuer NCF leverage of 8.8x. Including the prefunding and the cash flow required to draw on the maximum variable funding note (VFN) commitment of $150 million, the Fitch NCF on the pool is $138.2 million, implying a 14.2% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 10.0x, compared with the debt/issuer NCF leverage of 8.5x. Credit Risk Factors: The major factors impacting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral networks, scale of the network, market concentration, the market position of the sponsor, capability of the operator, higher barriers to entry and strength of the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will be developed that renders obsolete the current transmission of data through fiber optic cables. Fiber optic cable networks are currently the fastest and most reliable means to transmit information, and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Declining cash flow as a result of higher expenses, contract churn, contract amendments or the development of an alternative technology for the transmission of data could lead to downgrades; - Fitch's base case NCF is 13.9% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'BBBsf' from 'Asf', class B to 'BB+sf' from 'BBBsf', and class C to 'Bsf from 'BB-sf''. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow without an increase in corresponding debt from rate increases, additional contracts, contract amendments, or expense reductions could lead to upgrades; - A 10% increase in Fitch's base case NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'Asf' from 'Asf', class B to 'Asf' from 'BBBsf', and class C to 'BB+sf' from 'BB-sf'; - Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. 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. ALLY BANK 2026-A: Moody's Assigns (P)B2 Rating to Class F Notes --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to the notes to be issued by Ally Bank Auto Credit-Linked Notes, Series 2026-A (ABCLN 2026-A). The credit-linked notes reference a pool of fixed rate auto installment contracts with prime-quality borrowers originated and serviced by Ally Bank (Ally, long-term issuer rating Baa2). ABCLN 2026-A is the fifth credit linked notes transaction issued by Ally to transfer credit risk to noteholders through a hypothetical - financial guaranty on a reference pool of auto loans originated and serviced by Ally. The complete rating actions are as follows: Issuer: Ally Bank Auto Credit-Linked Notes, Series 2026-A Class A-2 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa2 (sf) Class C Notes, Assigned (P)A2 (sf) Class D Notes, Assigned (P)Baa2 (sf) Class E Notes, Assigned (P)Ba2 (sf) Class F Notes, Assigned (P)B2 (sf) RATINGS RATIONALE The Class A-2, Class B and Class C notes (the collateralized notes) are fixed-rate obligations secured by a cash collateral account. Principal payments to these notes will be made from proceeds in the cash collateral account held with a third-party eligible institution rated at least A2 or P-1 by us. Ally will solely be responsible for interest payments, and if the amount on deposit in the cash collateral account is less than the outstanding principal amount of the collateralized notes due to certain unlikely events, also for the payments of principal. The collateralized notes also benefit from a letter of credit (LOC), which can cover up to five months of interest payments if Ally fails to pay or enters FDIC conservatorship or receivership. This LOC is provided by an eligible institution that has a minimum Moody's rating of A2 or P-1. Due to the presence of the cash collateral account and LOC, the ratings of the collateralized notes are not capped by Ally's long-term issuer rating (Baa2). Class D notes, Class E notes, and Class F notes (the uncollateralized notes) are fixed-rate, unsecured obligations of Ally and do not benefit from the protections provided by the cash collateral account or the LOC. Interest and principal on the uncollateralized notes are paid solely from Ally's general funds, without recourse to the collateral account or the LOC. Accordingly, Moody's capped the ratings of the uncollateralized notes at Ally's long-term issuer rating (Baa2), and changes in Ally's ratings could lead to changes in the ratings of the uncollateralized notes. While the payments on the notes are not funded by collections on the reference pool of auto loans, the credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. Additionally, this transaction has a pro-rata structure with target enhancement levels, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. Moody's ratings are based on the quality of the underlying collateral reference pool and its expected performance, the strength of the capital structure, the experience of Ally as the servicer, and the creditworthiness of Ally as reflected in its credit rating. Moody's medians cumulative net loss expectation for the ABCLN 2026-A reference pool is 1.05% and loss at a Aaa stress of 7.00%. Moody's based Moody's cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Ally to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A-2 notes, Class B notes, Class C notes, Class D notes, Class E notes, and Class F notes are expected to benefit from 9.00%, 7.40%, 5.30%, 4.35%, 3.20%, and 2.55% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, Class C, Class E and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. 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 vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Additionally, Moody's could upgrade Class D notes if the conditions mentioned above occur and Ally's long-term issuer rating is also upgraded. Down Moody's could downgrade all of the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, Moody's could also downgrade the Class D, Class E and Class F notes if Ally's long-term issuer rating is downgraded. ANCHORAGE CAPITAL 29: Fitch Assigns 'B+sf' Rating on Cl. F-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Anchorage Capital CLO 29, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Anchorage Capital CLO 29, Ltd. X-R LT AAAsf New Rating A-1R LT NRsf New Rating A-2 03332QAC9 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating B-1 03332QAE5 LT PIFsf Paid In Full AAsf B-2 03332QAL9 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C-1 03332QAG0 LT PIFsf Paid In Full A+sf C-2 03332QAN5 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 03332QAJ4 LT PIFsf Paid In Full BBBsf D-2 03332QAQ8 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 03332RAA1 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating F 03332RAC7 LT PIFsf Paid In Full B-sf F-R LT B+sf New Rating Transaction Summary Anchorage Capital CLO 29, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Collateral Management, 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+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.22 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.25% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.85% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 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 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, and between less than 'B-sf' and 'B+sf' for class E-R 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 X-R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A-sf' for class D-R, and 'BBBsf' 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 Anchorage Capital 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. ARBOR REALTY 2025-BTR1: DBRS Confirms B(low) Rating on Cl. G Notes ------------------------------------------------------------------ DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the following classes of notes issued by Arbor Realty Commercial Real Estate Notes 2025-BTR1, LLC (the Issuer). -- Class A at AAA (sf) -- Class A-1R at AAA (sf) -- Class A-1T at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction since closing in May 2025. In conjunction with this press release, Morningstar DBRS published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction as well as business plan updates on select loans. The majority of the loans in the pool remain in the early stages of their business plans with only four loans, representing 28.2% of the current loan balance, scheduled to reach their fully extended maturity date within the next 12 months. To reflect the delays in business plan execution, Morningstar DBRS applied an elevated probability of default (POD) to three loans maturing in the next 12 months in the analysis for this review, including one of the largest loans in the pool, Empire Village at Carver Mountain (Prospectus ID#23, 9.1% of the pool). The remaining loans continue to perform in line with Morningstar DBRS' expectations. As of the April 2026 remittance, there are no loans in special servicing or on the servicer's watchlist. The initial collateral consisted of 21 floating-rate mortgage loans secured by mortgages on build-to-rent (BTR) multifamily communities totaling $551.9 million. As of the April 2026 remittance, the pool comprises 19 loans secured by 19 properties with a cumulative trust balance of $657.3 million. Most loans are in the later stages of development, with horizontal construction complete and vertical construction initiated or fully complete. The transaction features a two-year reinvestment period, during which additional loans can be added to the pool provided that they meet specific requirements, including a 25.0% loan funded amount threshold and a 50.0% weighted-average funding percentage for the pool. Since closing, seven loans, totaling a trust balance of $290.9 million, have been added to the trust and nine loans, previously comprising a trust balance of $331.1 million, have paid off. Through February 2026, the collateral manager had advanced cumulative loan future funding of nearly $212.6 million to 19 of the outstanding individual borrowers. The loan with the largest future funding advances to date is the Empire Village at Bronco Trail (Prospectus ID#28, 9.1% of the pool balance; nearly $34.4 million of future funding advanced), which is secured by the borrower's fee-simple interest in a 354-unit BTR community in Phoenix. The loan remains in its early stages with advanced funds being used to complete the construction of the property. An additional $42.3 million of loan future funding allocated to 19 loans remains outstanding. These funds are also scheduled to be used for funding construction costs, with select amounts allocated to interest reserves. The Empire Village at Carver Mountain loan is secured by the borrower's fee-simple interest in a to-be-developed rental duplex and detached single-family home community in Phoenix's South Phoenix submarket. According to the collateral manager's Q4 2025 update, the borrower continues to progress with the construction project, with property occupancy most recently reported at 28.6%, in comparison with the Issuer's stabilized level of 94.0%. Given the loan's upcoming maturity in September 2026, Morningstar DBRS analyzed this loan with an elevated POD, which resulted in an expected loss in excess of 2.0 times the pool average. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. ARES LXIX: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXIX CLO Ltd. refinancing notes. Fitch has also affirmed the class E note with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Ares LXIX CLO Ltd. A-1 039953AA2 LT PIFsf Paid In Full AAAsf A-1R LT AAAsf New Rating A-2 039953AC8 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating B 039953AE4 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 039953AG9 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 039953AJ3 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 039954AA0 LT BB-sf Affirmed BB-sf D-R LT BBB-sf New Rating E 039954AA0 LT BB-sf Affirmed BB-sf Transaction Summary Ares LXIX CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. The transaction originally closed in March 2024. On May 13, 2026, the class A-1, A-2, B, C, and D notes will be refinanced in whole at tighter spreads. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $495.3 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.61 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.15% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.86% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 2.9-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 and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - The spreads for the class A-1-R, A-2-R, B-R, C-R and D-R notes are 1.25%, 1.45% and 1.55%, 1.925% and 3.50%, respectively, compared to the spreads of 1.50%, 1.70%, 2.00%, 2.40% and 3.60% for the class A-1, A-2, B, C and D classes, respectively; - The class E note has not been refinanced and its spreads remain unchanged at 6.50%; - The non-call period for the refinanced notes has been extended to May 2027; - The Fitch test matrix has been updated; - Stated maturity and reinvestment period for the refinanced notes remain the same as the original notes. Fitch Analysis The portfolio includes 412 assets from 357 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $495.295 million. As of the latest trustee report prior to the refinance date, the transaction passes all collateral quality tests, coverage tests and concentration limitations. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 44.2% of the current portfolio par balance; ratings for 55.8% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map. As per Fitch's criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and on the indicative portfolio for the non-refinanced notes. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 15.5%, 12.0%, and 12.0%, respectively; - Assumed risk horizon: six years; - Minimum weighted average spread of 3.00%; - Minimum weighted average recovery rate of 66.20%; - Maximum weighted average rating factor of 25.0; - Fixed rate assets: 5.00%; - Minimum weighted average coupon of 7.00%. The transaction will exit its reinvestment period on April 15, 2029. Fitch Asset and Cash Flow Analysis The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-1R: 'AAAsf' / Default 42.30% / Recovery 39.01% / Cushion 15.50% - Class A-2R: 'AAAsf' / Default 42.30% / Recovery 39.01% / Cushion 12.70% - Class B-R: 'AAsf' / Default 39.70% / Recovery 48.11% / Cushion 12.20% - Class C-R: 'Asf' / Default 35.20% / Recovery 57.67% / Cushion 11.40% - Class D-R: 'BBB-sf' / Default 27.10% / Recovery 67.16% / Cushion 10.10% - Class E: 'BB-sf' / Default 22.70% / Recovery 72.69% / Cushion 8.60% FSP Model Outputs: - Class A-1R: 'AAAsf' / Default 48.9% / Recovery 34.27% / Cushion 6.00% - Class A-2R: 'AAAsf' / Default 48.90% / Recovery 34.27% / Cushion 3.50% - Class B-R: 'AAsf' / Default 45.5% / Recovery 40.58% / Cushion 1.60% - Class C-R: 'Asf' / Default 40.70% / Recovery 50.58% / Cushion 1.80% - Class D-R: 'BBB-sf' / Default 32.10% / Recovery 59.70% / Cushion 2.40% - Class E: 'BB-sf' / Default 27.20% / Recovery 64.98% / Cushion 0.00% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AAAsf' for class A-1R, between 'A-sf' and 'AA+sf' for class A-2R, between 'BBB-sf' and 'A+sf' for class B-R, between 'BB-sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-R, and 'BBB-sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Ares LXIX 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. ASHFORD HOSPITALITY 2018-ASHF: DBRS Confirms B(low) on Cl. F Certs ------------------------------------------------------------------ DBRS Limited (Morningstar DBRS) upgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2018-ASHF issued by Ashford Hospitality Trust 2018-ASHF as follows: -- Class B to AAA (sf) from AA (high) (sf) -- Class C to AA (sf) from A (high) (sf) -- Class X-EXT to A (high) from A (low) (sf) -- Class D to A (sf) from BBB (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A at AAA (sf) -- Class E at BB (sf) -- Class F at B (low) (sf) The credit rating upgrades reflect the increased credit support provided to the certificates and the continued deleveraging of the collateral as a result of an unscheduled principal curtailment as well as the results of the stressed scenario that Morningstar DBRS considered as part of this review. The results of the stressed scenario also support the credit rating confirmations in addition to the overall performance of the underlying collateral, as evidenced by the portfolio's stable net cash flow (NCF) and weighted-average (WA) STR, Inc. (STR) metrics, that remain in line with Morningstar DBRS' expectations. As of the April 2026 reporting period, the trust had a remaining principal balance of $570.3 million, reflecting a collateral reduction of 23.3% since issuance. At issuance, the subject interest-only (IO), floating-rate loan was collateralized by a portfolio of 22 hotel properties with multiple formats, including all-suite, full-service, limited-service, and extended-stay hotels, across 12 states. There is also additional senior and junior mezzanine financing, which had an initial balance of $202.3 million and is coterminous with the trust debt. Individual assets can be released at a price of 115.0% of the allocated loan amount as outlined in the loan documents. The loan is sponsored by Ashford Hospitality Trust, Inc. As of the April 2026 reporting period, 18 properties remained in the pool totaling 4,954 keys, with no additional property releases since the prior review. The borrower was unable to secure refinancing at the loan's original final maturity in April 2025, resulting in a transfer to special servicing following a short¿term forbearance. The loan was subsequently modified to extend its maturity to January 2026, with a six-month extension option, and returned to the master servicer in October 2025 as a corrected loan. Since then, two unscheduled principal curtailments totaling $20.0 million have been received, contributing to the transaction's overall deleveraging. Additionally, according to the servicer's most recent commentary, the borrower has exercised the six-month extension option, extending the loan maturity to July 2026. An exit strategy has not yet been finalized. For the 18 properties remaining in the portfolio, the WA occupancy, average daily rate, and revenue per available room were 68.7%, $185, and $126, respectively, according to the YE2025 STR reports compared with the metrics of 67.6%, $189, and $128, respectively, at YE2024 and 74.6%, $146, and $109, respectively, at issuance. The aggregate portfolio NCF as of YE2025 was $71.1 million, a nominal decrease from the YE2024 figure of $71.3 million. For the purposes of this review, Morningstar DBRS updated the Loan-to-Value (LTV) Sizing Benchmarks to account for the additional deleveraging of the trust since Morningstar DBRS' last credit rating action, but maintained its valuation of the portfolio based on a stressed scenario to evaluate the potential for credit rating upgrades. The Morningstar DBRS Value of $616.9 million is based on a 20% haircut to the YE2024 NCF, assuming a capitalization rate of 9.25%, resulting in a trust LTV of 92.4%. Additionally, Morningstar DBRS maintained the positive qualitative adjustments to the LTV Sizing Benchmarks considered at issuance, which total 4.0% to reflect the property's cash flow volatility, property quality, and market fundamentals. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Class X-EXT is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BAMLL COMMERCIAL 2026-HRHB: S&P Assigns B (sf) Rating on HRR Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to BAMLL Commercial Mortgage Securities Trust 2026-HRHB's commercial mortgage pass-through certificates. The certificate issuance is a CMBS transaction backed by the borrower's fee-simple interest in Hyatt Regency Huntington Beach, a 519-guestroom full-service hotel in Huntington Beach, Calif. S&P said, "The ratings reflect our view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan terms, and the transaction structure. We determined that the mortgage loan has a beginning and ending loan-to-value ratio of 93.9%, based on S&P Global Ratings' value of the property backing the transaction. Since the preliminary ratings were issued, the loan's fixed interest rate decreased to 5.9841%, down from 6.15%. As a result, the debt service coverage ratio (DSCR), based on S&P Global Ratings' net cash flow and the actual debt service based on the 5.9841% fixed rate, increased to 1.64x from 1.60x." Ratings Assigned BAMLL Commercial Mortgage Securities Trust 2026-HRHB Class A, $90,500,000: AAA (sf) Class B, $28,300,000: AA- (sf) Class C, $21,300,000: A- (sf) Class D, $23,300,000: BBB- (sf) Class E, $26,600,000: BB- (sf) Class HRR(i), $10,000,000: B (sf) (i)HRR--Horizontal risk retention. BANK 2018-BNK13: DBRS Cuts Rating on Cl. X-F Certs to Csf --------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) downgraded its credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2018-BNK13 issued by BANK 2018-BNK13 as follows: -- Class D to B (high) (sf) from BBB (low) (sf) -- Class E to CCC (sf) from BB (low) (sf) -- Class F to C (sf) from B (low) (sf) -- Class X-D to BB (low) (sf) from BBB (sf) -- Class X-E to CCC (sf) from BB (sf) -- Class X-F to C (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class X-A at AAA (sf) -- Class X-B at A (sf) Morningstar DBRS changed the trend on Classes C and X-B to Negative from Stable. The trends on Classes D and X-D remain Negative. Classes E, F, X-E, and X-F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. CREDIT RATING RATIONALE -- The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased liquidated loss projections for the Ditson Building loan (Prospectus ID#11, 5.1% of the pool). -- These credit rating actions also reflect the increased risks exhibited by several of the larger loans in the pool, including several top-15 loans secured by office property types. -- Morningstar DBRS is estimating liquidated losses of $28.6 million for the Ditson Building loan, a figure which would fully erode the balance of the unrated Class G, as well as the rated Class F and part of Class E. This scenario would significantly erode credit support for Classes C and D. -- The credit rating confirmations and Stable trends reflect the relatively stable performance of the majority of the loans in the pool, as the pool benefits from a concentration of loans backed by retail property types, which have performed well since issuance. POOL/COLLATERAL OVERVIEW -- As of the April 2026 remittance report, 56 of the original 62 loans remain in the pool, representing a collateral reduction of 22.8% since issuance, with two loans, representing 0.8% of the pool, that are fully defeased. -- There are nine loans, representing 18.4% of the pool, that are currently being monitored on the servicer's watchlist and one loan, representing 0.2% of the pool, in special servicing. -- Since Morningstar DBRS' last review, the transaction recorded the first realized losses, totaling $13.0 million, following the disposition of the Regal Cinemas Lincolnshire loan (formerly 1.8% of the pool). -- The pool is concentrated by property type with retail, office, and multifamily properties representing 40.8%, 34.9%, and 11.8% of the pool, respectively. The majority of office properties secured in this transaction continue to perform as expected, reporting a weighted-average debt service coverage ratio (DSCR) of 2.15 times (x) as of the April 2026 remittance report; however, several of the larger loans have increased risks in softening markets and/or upcoming scheduled rollover for which analytical considerations were made in the model. ANALYTICAL CONSIDERATIONS -- Morningstar DBRS analyzed loans exhibiting declining performance trends with elevated probabilities of default (PODs) and/or stressed loan-to-value ratios (LTVs) to increase the expected loss (EL) at the loan level, as applicable. -- Morningstar DBRS identified four of the seven non-defeased loans secured by office properties exhibiting declines in performance or other increased credit risks. One of those loans, Ditson Building, was liquidated and the other three were modeled with stressed scenarios in the analysis for this review. -- Elevated LTVs and PODs were considered for the 181 Fremont Street (Prospectus ID #14, 3.0% of the pool) and Empire Towers V (Prospectus ID #16, 2.6% of the pool) loans; both are backed by office properties with occupancy and/or rollover concerns. -- The 181 Fremont loan is the most noteworthy given its location in San Francisco and exposure to a single direct tenant in Meta, whose lease rolls in 2033 and has subleased nearly all of its space (around 16.2% of the net rentable area (NRA) is listed for sublease by JLL as of May 2026). The loan's low going-in LTV of approximately 40.0% provides significant cushion against value deterioration, but the 2028 maturity could prove challenging given the occupancy. KEY LOANS Ditson Building (Prospectus ID#11, 5.1% of the pool): -- This loan is secured by a Class B office property in Midtown, New York. The loan has been monitored on the servicer's watchlist since January 2021 for low DSCR primarily driven by a continuous decline in occupancy. The property cash flows are below breakeven, with the borrower funding shortfalls to date. -- VR World NYC LLC (15.1% of NRA), which had a scheduled lease expiration in March 2028, was dark according to the April 2024 rent roll, resulting in the physical occupancy rate declining to 28.3% from 43.4%. -- The two remaining tenants are Research Foundation of CUNY (18.9% of NRA, lease expires September 2026) and Modernus Walls, LLC (9.4% of NRA, lease expires February 2027). Research Foundation of CUNY has not yet provided any notice of intent to renew or vacate its space, according to the most recent update provided by the servicer. -- The property is well located in the Grand Central submarket of Manhattan, which reported a Q1 2026 vacancy rate of 11.1%, per Reis, Inc.; however, given the subject's Class B construction and lack of significant leasing activity to date, Morningstar DBRS expects the property will continue to underperform the market. -- Given the persistent performance challenges, and the possibility of a fully empty building in the next year as the two remaining tenants roll, Morningstar DBRS used a liquidation scenario based on an as-dark value estimate of $9.3 million, resulting in implied loss of approximately $28.6 million. Town Center Aventura (Prospectus ID#9, 5.5% of the pool): -- This loan is secured by a grocery-anchored retail center in Aventura, Florida, and is being monitored on the servicer's watchlist for the bankruptcy filing for the parent company of one of the anchor tenants, Saks Off Fifth (18.6% of the NRA), which had a lease expire in January 2026. As of the date of this press release, the store remains open and has not appeared on the listed closures for the brand. -- All but the smallest of the five-largest tenants have leases that have expired or will expire within the next 12 months; the grocery anchor, Publix, has a lease that expires in November 2028. -- The property is well located just south of Aventura Mall (owned and operated by Simon Property Group); the debt on that property is also securitized in CMBS deals issued in 2018, and, according to the reported financials, is nearly fully occupied with healthy cash flow performance in the post-pandemic era. -- Saks Off Fifth may no longer be a focus of the Saks Global brands given the number of closures announced as part of its bankruptcy filing so the portfolio's exposure, as well as its rollover concentration, is concerning. However, the general strength of the location and the servicer's confirmation that the loan is in active cash management are mitigating factors to consider. -- Morningstar DBRS analyzed the loan with a stressed LTV and an elevated POD, resulting in an expected loss approximately four times greater than the pool average. SHADOW-RATED LOANS -- At issuance, Morningstar DBRS assigned an investment-grade shadow rating for the 1745 Broadway loan (Prospectus ID#1, 12.9% of the pool). With this review, Morningstar DBRS confirms that the performance remains consistent with investment-grade characteristics. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, X-D, X-E, and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2018-BNK13: Fitch Affirms 'CCsf' Rating on Two Tranches ------------------------------------------------------------ Fitch Ratings has affirmed 14 classes of BANK 2018-BNK13 commercial mortgage pass-through certificates. The Outlooks for classes A-S, B, and X-B were revised to Stable from Negative. The Rating Outlook for classes C, D, and X-D remains Negative. Entity/Debt Rating Prior ----------- ------ ----- BANK 2018-BNK13 A-4 06539LBA7 LT AAAsf Affirmed AAAsf A-5 06539LBB5 LT AAAsf Affirmed AAAsf A-S 06539LBE9 LT AAAsf Affirmed AAAsf A-SB 06539LAZ3 LT AAAsf Affirmed AAAsf B 06539LBF6 LT AA-sf Affirmed AA-sf C 06539LBG4 LT A-sf Affirmed A-sf D 06539LAJ9 LT BB-sf Affirmed BB-sf E 06539LAL4 LT CCCsf Affirmed CCCsf F 06539LAN0 LT CCsf Affirmed CCsf X-A 06539LBC3 LT AAAsf Affirmed AAAsf X-B 06539LBD1 LT AAAsf Affirmed AAAsf X-D 06539LAA8 LT BB-sf Affirmed BB-sf X-E 06539LAC4 LT CCCsf Affirmed CCCsf X-F 06539LAE0 LT CCsf Affirmed CCsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The affirmations reflect improved pool performance and loss expectations since the prior rating action. Deal-level 'Bsf' rating case loss is 4.5% compared to 4.8% at the prior rating action, including realized losses and based on the original pool balance. The transaction has five Fitch Loans of Concern (FLOCs; 14.9% of the pool), and there are currently no loans in special servicing. The Outlook revisions for class A-S, B, and X-B reflect the lower pool loss expectations, increased credit enhancement and higher certainty of repayment from loans expected to refinance at maturity. The Negative Outlooks reflect continued performance deterioration and lack of stabilization of the FLOCs, particularly Ditson Building (5.1%) and Fair Oaks Mall (4.0%). Downgrades are possible if performance continues to deteriorate and does not stabilize, or more loans than anticipated fail to refinance. Given the BANK 2018-BNK13 transaction has significant maturity concentrations in 2028. Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment and/or loss expectation. The rating actions and Negative Outlooks also incorporate this analysis. Largest Contributors to Loss: The largest contributor to overall loss expectations is the Ditson Building (5.1%) loan, which is secured by a 58,850-sf office property located in Midtown Manhattan. The loan has been designated as a FLOC due to declining occupancy and cashflow. The property's major tenants include Research Foundation CUNY (18.9% of NRA, leased through September 2026) and Modernus Walls, LLC (9.0%, February 2027). Occupancy was 28.3% as of the January 2026 servicer-provided rent roll, unchanged from YE 2025, and September 2024, 43.0% at March 2024 and YE 2023 and 91.0% at YE 2021. Occupancy declined as a result of former major tenant VR World (previously 15.0% of NRA) vacating ahead of the tenant's scheduled March 2028 lease expiry. In addition, the property's previous largest tenant, TTC USA Consulting (previously 47.2% of NRA), vacated at its lease expiration in June 2022. The servicer-reported NOI DSCR was 0.05x as of YE 2025, 0.07x at YE 2024, down from 0.39x at YE 2023, 0.82x at YE 2021, 1.04x at YE 2020 and 1.42x at YE 2019. Per CoStar, the property lies within the Murray Hill office submarket of the New York, NY market. As of 1Q26, submarket asking rents averaged $58.37 psf and the submarket vacancy rate was 18.1%. Fitch's 'Bsf' Rating Case Loss (prior to concentration add-ons) of 37.4% is based on an 9.50% cap rate and a 20% stress to the YE 2021 NOI. The second largest contributor to overall loss expectations is the Fair Oaks Mall loan (4.0%) which is secured by an enclosed regional mall in Fairfax, VA. Non-collateral anchors at the property include JCPenney and Macy's Furniture Gallery. A second Macy's store serves as a collateral anchor (27.7% of collateral NRA; leased through February 2036). The non-collateral, Seritage-owned former Sears store has been subdivided and leased to Dick's Sporting Goods and Dave & Buster's, and the non-collateral Lord & Taylor space has remained vacant since early 2021. The loan previously transferred to special servicing in February 2023 due to the borrower indicating they would not be able to pay off the loan at the scheduled maturity in May 2023. The loan was returned to the master servicer in May 2024. Olshan Properties (Olshan) and the special servicer agreed to a maturity extension through November 2026, with two, one-year extension options (final extended maturity in November 2028). Olshan was formerly a partner in the borrowing entity with Taubman Realty Partners but is now the majority equity owner and property manager. According to the special servicer, the extension would allow Olshan time to execute on a redevelopment of the property into a residential focused mixed-use development. The collateral was 90% occupied as of December 2025, compared to 88% at YE 2024, 94% at YE 2023, compared to 91% in September 2022, 89% at YE 2021, 91% at YE 2020 and 93.8% at YE 2019. The servicer-reported NOI DSCR was 1.53x as of December 2025, compared to 1.61x at YE 2024, 1.95x at YE 2023, and 2.20x at YE 2021. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of 13.3% reflects a 12.5% cap rate and 15.0% stress to the YE 2024 NOI, and factors in an increased probability of default. While the maturity extension has given the borrower time to reposition the property and seek refinancing, the loan's ultimate resolution remains uncertain given declining performance and a potentially extensive redevelopment timeframe for project completion. Increase in Credit Enhancement (CE): As of the April 2026 remittance reporting, the pool's aggregate principal balance has been reduced by 22.8% since issuance. Twenty-one loans (69.5%) are full term, interest-only. Seven loans (9.1%) have a partial, interest-only component, all of which have begun amortizing. There are two defeased loans in the pool (0.8%). Principal Loss and Interest Shortfalls: To date, the BANK 2018-BNK13 transaction has incurred $13.0 million in realized principal losses which have been absorbed by the non-rated class G. Interest shortfalls totaling $857,826 are affecting the non-rated class G and risk retention class RRI. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior 'AAAsf' rated classes are not likely due to the position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly or interest shortfalls occur or are expected to occur. - Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or before maturity. - Downgrades to the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with higher than expected losses from continued underperformance of the FLOCs, particularly Ditson Building and Fair Oaks Mall, with deteriorating performance or with greater certainty of losses on FLOCs. - Downgrades to classes with distressed ratings 'CCCsf' and 'CCsf' would occur if additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to improved pool-level loss expectations and improved performance on the FLOCs. - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. - Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. - Upgrades to distressed ratings are not expected but would be 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. BANK 2025-BNK50: Fitch Affirms 'B-sf' Rating on Class H-RR Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 41 classes of BANK 2025-BNK50 commercial mortgage pass-through certificates series 2025-BNK50. The Rating Outlooks remain Stable. Entity/Debt Rating Prior ----------- ------ ----- BANK 2025-BNK50 A-1 064908AA4 LT AAAsf Affirmed AAAsf A-4 064908AC0 LT AAAsf Affirmed AAAsf A-4-1 064908AD8 LT AAAsf Affirmed AAAsf A-4-2 064908AE6 LT AAAsf Affirmed AAAsf A-4-X1 064908AF3 LT AAAsf Affirmed AAAsf A-4-X2 064908AG1 LT AAAsf Affirmed AAAsf A-5 064908AH9 LT AAAsf Affirmed AAAsf A-5-1 064908AJ5 LT AAAsf Affirmed AAAsf A-5-2 064908AK2 LT AAAsf Affirmed AAAsf A-5-X1 064908AL0 LT AAAsf Affirmed AAAsf A-5-X2 064908AM8 LT AAAsf Affirmed AAAsf A-S 064908AN6 LT AAAsf Affirmed AAAsf A-S-1 064908AP1 LT AAAsf Affirmed AAAsf A-S-2 064908AQ9 LT AAAsf Affirmed AAAsf A-S-X1 064908AR7 LT AAAsf Affirmed AAAsf A-S-X2 064908AS5 LT AAAsf Affirmed AAAsf A-SB 064908AB2 LT AAAsf Affirmed AAAsf B 064908AU0 LT AA-sf Affirmed AA-sf B-1 064908AW6 LT AA-sf Affirmed AA-sf B-2 064908AY2 LT AA-sf Affirmed AA-sf B-X1 064908BA3 LT AA-sf Affirmed AA-sf B-X2 064908BC9 LT AA-sf Affirmed AA-sf C 064908BE5 LT A-sf Affirmed A-sf C-1 064908BG0 LT A-sf Affirmed A-sf C-2 064908BJ4 LT A-sf Affirmed A-sf C-X1 064908BL9 LT A-sf Affirmed A-sf C-X2 064908BN5 LT A-sf Affirmed A-sf D 064908BQ8 LT BBB+sf Affirmed BBB+sf D-1 064908BS4 LT BBB+sf Affirmed BBB+sf D-2 064908BU9 LT BBB+sf Affirmed BBB+sf D-X1 064908BW5 LT BBB+sf Affirmed BBB+sf D-X2 064908BY1 LT BBB+sf Affirmed BBB+sf E 064908CA2 LT BBBsf Affirmed BBBsf E-1 064908CC8 LT BBBsf Affirmed BBBsf E-2 064908CE4 LT BBBsf Affirmed BBBsf E-X1 064908CG9 LT BBBsf Affirmed BBBsf E-X2 064908CJ3 LT BBBsf Affirmed BBBsf F-RR 064908CL8 LT BBB-sf Affirmed BBB-sf G-RR 064908CN4 LT BB-sf Affirmed BB-sf H-RR 064908CQ7 LT B-sf Affirmed B-sf X-A 064908AT3 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The affirmations reflect generally stable pool performance and loss expectations in line with issuance. Deal-level 'Bsf' rating case loss is 1.6% compared to 1.7% at issuance. There are no Fitch Loans of Concern (FLOCs) in the pool. The majority of loans have limited, to any, updated reporting and issuance assumptions were relied upon. Investment-Grade Credit Opinion Loans: The transaction has a high concentration of investment grade credit opinion loans, six loans, representing 53.7% of the pool. Credit Opinion loans include Washington Square (10.02%), Discovery Business Center (10.02%) and Marriott World Headquarters (9.88%) which received investment-grade credit opinions of 'BBB-sf*' on a standalone basis. Adini Portfolio (9.84%) received an investment-grade credit opinion of 'AA-sf*' on a standalone basis. 10 West 66th Street (7.2%) received an investment-grade credit opinion of 'AAAsf*' on a standalone basis. VISA Global HQ (6.8%) received an investment-grade credit opinion of 'Asf*' on a standalone basis. The pool also contains non-credit opinion co-op loans totaling 15.7% of the pool. Largest Contributors to Loss: The largest contributor to overall loss expectations is the Ansonia Commercial Condominium (10.0%) loan, which is secured by a 115,420-sf mixed use property located in the Upper West Side of Manhattan, NY. The property's major tenants include Champion Parking (18.5% of NRA, leased through July 2033), Upper West Side Endoscopy (16.4%, May 2036), and Icahn School of Medicine (14.0%, June 2033). According to the most recent servicer financial reporting, the property was 75.7% occupied as of December 2025 and reported an NOI DSCR of 1.79x for the same period. Fitch's 'Bsf' case loss of 3.9% (prior to a concentration adjustment) is based on an 8.50% cap rate and the Fitch issuance NCF. The second-largest contributor to overall loss expectations is the Coastal Equities Portfolio (10.0%) loan, which is secured by a 3.4 million-sf portfolio consisting of 25 retail centers located in 14 states. The properties in the portfolio are located in predominantly secondary and tertiary markets. The largest tenant, Ollie's, accounts for 5.7% of NRA and no other tenant accounts for more than 4.8% of NRA. The portfolio has averaged occupancy of approximately 90.6% since 2015. Fitch's 'Bsf' case loss of 3.7% (prior to a concentration adjustment) is based on a 9.5% cap rate to the Fitch issuance NCF. Minimal Increase in CE: As of the April 2026 remittance reporting, the pool's aggregate principal balance has been reduced by 0.3% since issuance. Eighteen loans (68.8%) are full term, interest-only. There are no partial interest-only loans in the pool, and sixteen (31.2%) loans are amortizing balloon. There are no defeased loans. Cumulative interest shortfalls are impacting the risk-retention classes RRI, RR, and non-rated class K-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the senior 'AAAsf' rated classes are not expected due to the senior position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to classes rated in the 'AAsf', 'Asf' and 'BBBsf' categories are not expected, but may occur should any loans become FLOCs and expected losses for the pool increase significantly. - Downgrades to classes rated in the 'BBsf', and 'Bsf' categories are not expected but possible with an increase in expected losses and if any loans become delinquent or transfer to special servicing. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to 'AAsf' and 'Asf' category rated classes are possible with increased CE from paydowns or defeasance, coupled with stable-to-improved pool-level loss expectations and performance of the pool. of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction; - 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 pool; - Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BANK5 2023-5YR1: Fitch Lowers Rating on Two Tranches to 'CCCsf' --------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed 31 classes of BANK5 2023-5YR1. The Rating Outlooks for classes D, E, X-D, F and X-F have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BANK5 2023-5YR1 A-2 06644EAB4 LT AAAsf Affirmed AAAsf A-2-1 06644EAC2 LT AAAsf Affirmed AAAsf A-2-2 06644EAD0 LT AAAsf Affirmed AAAsf A-2-X1 06644EAE8 LT AAAsf Affirmed AAAsf A-2-X2 06644EAF LT AAAsf Affirmed AAAsf A-3 06644EAG3 LT AAAsf Affirmed AAAsf A-3-1 06644EAH1 LT AAAsf Affirmed AAAsf A-3-2 06644EAJ7 LT AAAsf Affirmed AAAsf A-3-X1 06644EAK4 LT AAAsf Affirmed AAAsf A-3-X2 06644EAL2 LT AAAsf Affirmed AAAsf A-S 06644EAM0 LT AAAsf Affirmed AAAsf A-S-1 06644EAN8 LT AAAsf Affirmed AAAsf A-S-2 06644EAP3 LT AAAsf Affirmed AAAsf A-S-X1 06644EAQ1 LT AAAsf Affirmed AAAsf A-S-X2 06644EAR9 LT AAAsf Affirmed AAAsf B 06644EBZ0 LT AA-sf Affirmed AA-sf B-1 06644EAS7 LT AA-sf Affirmed AA-sf B-2 06644EAT5 LT AA-sf Affirmed AA-sf B-X1 06644EAU2 LT AA-sf Affirmed AA-sf B-X2 06644EAV0 LT AA-sf Affirmed AA-sf C 06644EAW8 LT A-sf Affirmed A-sf C-1 06644EAX6 LT A-sf Affirmed A-sf C-2 06644EAY4 LT A-sf Affirmed A-sf C-X1 06644EAZ1 LT A-sf Affirmed A-sf C-X2 06644EBA5 LT A-sf Affirmed A-sf D 06644EBM9 LT BBBsf Affirmed BBBsf E 06644EBP2 LT BBB-sf Affirmed BBB-sf F 06644EBR8 LT BB-sf Affirmed BB-sf G 06644EBT4 LT CCCsf Downgrade B-sf X-A 06644EBB3 LT AAAsf Affirmed AAAsf X-D 06644EBD9 LT BBB-sf Affirmed BBB-sf X-F 06644EBF4 LT BB-sf Affirmed BB-sf X-G 06644EBH0 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' ratings case losses for BANK5 2023-5YR1 increased to 5.88% from 3.3% at the last rating action. Fitch Loans of Concern (FLOCs) comprise five loans (26.5% of the pool), including one specially serviced loan (10.2%). The downgrades to classes G and X-G reflect higher pool loss expectations since Fitch's prior rating action, driven primarily by the specially serviced National Warehouse & Distribution Portfolio (10.2% of the pool), given uncertainty related to ongoing litigation and exposure to a dark, sponsor-affiliated tenant. The Negative Outlooks on classes F, X-F, G, and X-G reflect the potential for downgrades if FLOC performance deteriorates, an updated value is reported for the National Warehouse & Distribution Portfolio that is below Fitch's expectations, or the workout is prolonged, leading to higher-than-expected losses. Due to the heightened concentration risk with all loans scheduled to mature by April 2028, Fitch conducted a recovery and liquidation analysis that categorized and ranked remaining loans based on their loan status, collateral quality, and repayment/loss expectations to assess outstanding class ratings in relation to available credit enhancement (CE). This analysis contributed to the rating actions and outlook revisions. Largest Contributors to Loss/FLOCs: The largest contributor to loss expectations is the National Warehouse & Distribution Portfolio, which is secured by five cross-collateralized properties located in California, South Carolina, Ohio, Utah and North Carolina. The properties are 100% leased under 15-year, fully triple net leases through December 2038 to CVB Inc, which is a sponsor-affiliated entity. The portfolio consists of the Malouf Companies' corporate headquarters/warehouse and four distribution centers. According to service comments, several of the warehouses are dark. The loan transferred to special servicing in February 2026 after the borrower notified the special servicer that one of the SPE entities had been pledged to another company, which scheduled a UCC foreclosure sale, but was subsequently canceled. Additionally, in July 2025, creditors filed an involuntary Chapter 7 petition against CVB, Inc., but the case was dismissed in February 2026. According to the borrower, CVB, Inc. is currently not paying rent. The loan is 30-days delinquent as of the March 2026 reporting period and the servicer reports that discussions with the borrower have commenced. Fitch's 'Bsf' rating case loss of 31.1% (prior to concentration add-ons) reflects Fitch's dark value analysis of approximately $172.2 million ($43.50/sf) and incorporates an increased probability of default due to the loan's recent transfer to special servicing. Due to the size of the loan, the expected loss accounts for 55% of the total pool expected loss. The second-largest increase in loss expectations is Heritage Shops at Millennium Park (2.1%), which is secured by 98,547-sf commercial retail property located in Chicago, IL. The loan is considered a FLOC due to declining cash flow and increased expenses. According to the December 2025 rent roll, occupancy declined to 68% from 75% at issuance following the expiration of McDonald's lease (8.4% of NRA). As of June 2025, subject NOI debt service coverage ratio (DSCR) was 0.50x compared to 0.83x at YE 2024, and 1.38x at issuance. Fitch's 'Bsf' rating case loss of 16.3% (prior to concentration add-ons) is based on a 9.25% cap rate and a 20% stress to the YE 2024 NOI. The second-largest FLOC is the Oak Street NLP Fund Portfolio (7.2%). At issuance, the loan was secured by 42 properties that were 100% leased to six tenants, consisting of 31 retail, seven industrial, and four office properties located in eight states. The loan transferred to special servicing in March 2025 due to tenant defaults and vacancies (nine of the properties are dark). A modification was executed that provides a $72 million payment guarantee that maintains the loan's original LTV at issuance of 40% and the loan returned to the master servicer in January 2026. Fitch's 'Bsf' rating case loss of 2.8% (prior to concentration add-ons) reflects a 35% stress to Fitch's issuance cash flow to account for dark/vacant properties and Fitch no longer considers the loan an investment-grade credit opinion loan due to exposure to tenants that have filed for bankruptcy, including Big Lots and Badcock (combined 45% of allocated loan balance). Changes in Credit Enhancement (CE): As of the April 2026 distribution date, the aggregate balance of the transaction has been paid down by 6.48% since issuance. The transaction includes one loan (2.8% of the pool) that has been fully defeased. Interest Shortfalls: Cumulative interest shortfalls of $42,066 are affecting the non-rated class H and RRI. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' category rated classes are not expected due to the position in the capital structure and expected continued amortization and loan payoffs, but may occur if deal-level expected losses increase significantly and/or interest shortfalls occur. Downgrades to junior 'AAAsf', 'AAsf', 'Asf' category rated classes could occur if deal-level losses increase significantly from outsized losses on larger FLOCs, particularly National Warehouse & Distribution Portfolio, and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades to 'BBBsf', 'BBsf' and 'Bsf' category rated classes are possible with higher-than-expected losses from continued underperformance of the FLOCs, and/or with greater certainty of losses on 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 classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed rated classes are possible with better-than-expected recoveries on specially serviced loans or improved performance and stabilization of 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. BANK5 2026-5Y22: Fitch Assigns 'B-(EXP)sf' Rating on Cl. G-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BANK5 2026-5YR22 commercial mortgage pass-through certificates, series 2026-5YR22 as follows: - $1,563,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $125,000,000 (a) class A-2 'AAA(EXP)sf'; Outlook Stable; - $456,284,000 (a) class A-3 'AAA(EXP)sf'; Outlook Stable; - $582,847,000 (b) class X-A 'AAA(EXP)sf'; Outlook Stable; - $75,979,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $43,713,000 class B 'AA-(EXP)sf'; Outlook Stable; - $33,306,000 class C 'A-(EXP)sf'; Outlook Stable; - $152,998,000 (b) class X-B 'A-(EXP)sf'; Outlook Stable; - $28,101,000 (c) class D 'BBB-(EXP)sf'; Outlook Stable; - $28,101,000 (b)(c) class X-D 'BBB-(EXP)sf'; Outlook Stable; - $9,368,000 (c) class E 'BB(EXP)sf'; Outlook Stable; - $9,368,000 (b)(c) class X-E 'BB(EXP)sf'; Outlook Stable; - $8,326,000 (c)(d) class F 'BB-(EXP)sf'; Outlook Stable; - $8,326,000 (b)(c)(d) class X-F 'BB-(EXP)sf'; Outlook Stable; - $11,449,000 (c)(d) class G-RR 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $39,550,742 (c)(d) class H-RR; - $16,632,565 (c)(e) class RR; - $2,968,985 (c)(e) RR interest. (a) The initial certificate balances of the class A-2 and class A-3 certificates are unknown but expected to be $581,284,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 range is $0-$250,000,000 (net of the vertical risk retention) and the expected class A-3 balance range is $331,284,000-$581,284,000 (net of the vertical risk retention). Fitch's certificate balances for classes A-2 and A-3 reflect the midpoint in each range. In the event the A-3 certificates are issued at $581,284,000, class A-2 will not be issued. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention. (e) Vertical risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 27 loans secured by 184 commercial properties having an aggregate principal balance of $852,241,292 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, JPMorgan Chase Bank, National Association, Morgan Stanley Mortgage Capital Holdings LLC and Bank of America, National Association. The master service is expected to be Trimont LLC and the special servicer is expected to be KeyBank National Association. The trustee is expected to be Deutsche Bank National Trust Company while the certificate administrator is expected to be Computershare Trust Company, National Association. BellOak, LLC is expected to be the operating advisor. The certificates will follow a sequential paydown structure. The transaction's closing date is expected to be June 11, 2026. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 19 loans totaling 90.5% by balance. Fitch's resulting NCF of $74.0 million represents a 11.3% decline from the issuer's underwritten NCF of $84.6 million. Higher Fitch Leverage: The pool's Fitch leverage is higher than average compared to recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 106.9% is higher than the 2026 YTD and higher than 2025 averages of 98.1% and 101.0%, respectively. The pool's Fitch NCF debt yield (DY) of 8.8% is lower than the 2026 YTD and 2025 averages of 10.6% and 9.7%, respectively. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. Investment-Grade Credit Opinion Loan: One loan representing 9.6% of the pool received an investment-grade credit opinion. Mountain Industrial Portfolio received a standalone credit opinion of 'A-sf*'. The pool's total credit opinion percentage is slightly below the 2026 YTD and 2025 averages of 11.3% and 10.6%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY of 110.1% and 8.7%, respectively, are slightly worse than the equivalent conduit YTD 2026 LTV and DY averages of 103.9% and 11.0%, respectively. Lower Property Type Concentration: The pool has above average diversity by property type (as designated by Fitch) concentrations. Loans collateralized by office properties have the highest property type concentration at 22.5% of the pool, followed by industrial properties at 17.5%, multifamily at 16.2% and manufactured housing at 15.3%. No other property type comprises more than 10.3% of the pool. The Fitch effective property type count is 6.3, which is above both the YTD 2026 and 2025 averages of 4.7 and 5.5, respectively. Pools with a greater concentration by property type are at greater risk of losses, all else being equal. Fitch raises the overall loss for pools with effective property type counts below 5.0. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A reduction in cash flow decreases property value and capacity to meet its debt service obligations, which could result in negative ration action. The lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BB-sf'/'B+sf'/'Bsf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations, which could result in positive rating action. The lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BARROW HANLEY III: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings its ratings to the replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt and new class X debt from Barrow Hanley CLO III Ltd./Barrow Hanley CLO III LLC, a CLO managed by BH Credit 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, and E debt following payment in full on the May 20, 2026, refinancing date. The replacement and new debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1R, D-2R, and E-R debt was issued at a lower spread over three-month SOFR than the previous debt. -- The non-call period was extended to April 20, 2027. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to April 20, 2038. -- There will be no change to the reinvestment period end date of April 20, 2029. -- The target initial par amount increased to $450 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- New class X debt was issued on the refinancing date. This debt is expected to be paid down using interest proceeds during the first eight payment dates in equal installments of $375,000, beginning on the July 20, 2026, payment date. -- The required minimum overcollateralization coverage ratios were amended. -- An additional $1.30 million in subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Barrow Hanley CLO III Ltd./Barrow Hanley CLO III LLC Class X, $3.000 million: AAA (sf) Class A-R, $283.500 million: AAA (sf) Class B-R, $58.500 million: AA (sf) Class C-R (deferrable), $27.000 million: A (sf) Class D-1R (deferrable), $27.000 million: BBB- (sf) Class D-2R (deferrable), $1.125 million: BBB- (sf) Class E-R (deferrable), $14.175 million: BB- (sf) Ratings Withdrawn Barrow Hanley CLO III Ltd./Barrow Hanley CLO III LLC Class A-1 to not rated from 'AAA (sf)' Class A-2 to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C (deferrable) to not rated from 'A (sf)' Class D (deferrable) to not rated from 'BBB- (sf)' Class E (deferrable) to not rated from 'BB- (sf)' Other Debt Barrow Hanley CLO III Ltd./Barrow Hanley CLO III LLC Subordinated notes, $38.500 million: not rated BBCMS MORTGAGE 2020-C7: Fitch Lowers Rating on Two Tranches to CCsf ------------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of BBCMS Mortgage Trust 2020-C6 (BBCMS 2020-C6). The Rating Outlooks for affirmed classes A-S, B, C, X-B have been revised to Stable from Negative. Fitch has also downgraded five and affirmed 10 classes of BBCMS Mortgage Trust 2020-C7 (BBCMS 2020-C7). A Negative Outlook was assigned to class D following its downgrades. The Outlook for affirmed class A-S has been revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2020-C7 A-2 05492VAB1 LT AAAsf Affirmed AAAsf A-3 05492VAD7 LT AAAsf Affirmed AAAsf A-4 05492VAE5 LT AAAsf Affirmed AAAsf A-5 05492VAF2 LT AAAsf Affirmed AAAsf A-S 05492VAJ4 LT AAAsf Affirmed AAAsf A-SB 05492VAC9 LT AAAsf Affirmed AAAsf B 05492VAK1 LT AA-sf Affirmed AA-sf C 05492VAL9 LT A-sf Affirmed A-sf D 05492VAM7 LT B-sf Downgrade BB-sf E 05492VAQ8 LT CCCsf Downgrade B-sf F 05492VAT2 LT CCsf Downgrade CCCsf X-A 05492VAG0 LT AAAsf Affirmed AAAsf X-B 05492VAH8 LT AA-sf Affirmed AA-sf X-E 05492VBC8 LT CCCsf Downgrade B-sf X-F 05492VBF1 LT CCsf Downgrade CCCsf BBCMS 2020-C6 A-2 05492TAB6 LT AAAsf Affirmed AAAsf A-3 05492TAC4 LT AAAsf Affirmed AAAsf A-4 05492TBP4 LT AAAsf Affirmed AAAsf A-S 05492TAG5 LT AAAsf Affirmed AAAsf A-SB 05492TAD2 LT AAAsf Affirmed AAAsf B 05492TAH3 LT AA-sf Affirmed AA-sf C 05492TAJ9 LT A-sf Affirmed A-sf D 05492TAK6 LT BBB+sf Affirmed BBB+sf E 05492TAM2 LT BBB-sf Affirmed BBB-sf F-RR 05492TAP5 LT BB+sf Affirmed BB+sf G-RR 05492TAR1 LT B-sf Affirmed B-sf H-RR 05492TAT7 LT CCCsf Affirmed CCCsf X-A 05492TAE0 LT AAAsf Affirmed AAAsf X-B 05492TAF7 LT A-sf Affirmed A-sf X-D 05492TAZ3 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses based on the current pool balance are 3.5% in BBCMS 2020-C6 and 5.8% in BBCMS 2020-C7. Fitch Loans of Concern (FLOCs) comprise seven loans (24.8% of the pool) in BBCMS 2020-C6, including two loans in special servicing (10.3%), and nine loans (36.7%) in BBCMS 2020-C7, including four loans in special servicing (18.3%). The affirmations and Outlook revisions in BBCMS 2020-C6 and senior classes in BBCMS 2020-C7 reflect stable loss expectations and/or sufficient credit enhancement (CE), and improving performance for larger FLOCs including Parkmerced and 650 Madison Avenue (6.5%), which transferred to special servicing in September 2025 due to payment default but was returned to the master servicer in January 2026 after the borrower brought the loan current and funded leasing and shortfall reserves. The Negative Outlooks in BBCMS 2020-C6 reflect the potential for downgrades without performance stabilization of the FLOCs, particularly 2000 Park Lane (3.1%), or worse-than-expected losses from the specially serviced Trinity Multifamily Portfolio (2.7%). In addition, office loans comprise 27.3% of the pool. The downgrades in the BBCMS 2020-C7 transaction primarily reflect higher-than-expected realized losses from the Time Out MHC Portfolio as well as overall higher expected losses since the last rating action. Based on the original pool balance including realized losses, Bsf' rating case losses are 7.2% compared to 5.9% at the prior rating action. Time Out MHC Portfolio liquidated from the trust in March 2026 with a 69.4% loss severity compared to Fitch's 'Bsf' rating case loss of 26.6% (prior to concentration add-ons) at the prior rating action. The Negative Outlooks reflect exposure to loans in special servicing with high expected losses, including Meridian One Colorado (2.0%) and Bronx Multifamily Portfolio (1.9%), and the potential for downgrades should performance of the FLOCs fail to stabilize and/or they experience additional declines in performance, notably The Arbors (4.2%) and One Stockton (2.7%). Largest Contributors to Loss / FLOCs: The largest contributor to overall pool loss expectations in BBCMS 2020-C6 is the 2000 Park Lane loan, secured by a 234,859-sf office building located in Pittsburgh, PA. The largest tenant, New York Life (f/k/a Life Insurance Co. of North America), which occupied 40.6% of the NRA, vacated at lease expiration in March 2026. In addition, Coterra Energy, which occupied 24% of the NRA, did not renew its lease that expired in August 2025. According to CoStar, 172,500 sf (73% of the NRA) is listed as vacant. Over the past two years, the borrower has signed, or is expected to sign, leases accounting for approximately 20% of the NRA. As a result of the tenant departures, DSCR was reported to be -0.04x as of YE 2025. A cash sweep was activated, with approximately $2.7 million reflected in the April 2026 loan-level reserve report. Fitch's 'Bsf' rating case loss of 26.4% (prior to concentration adjustments) reflects an elevated 10.25% cap rate, a 30% stress to the YE 2024 NOI and factors a higher probability of default to account for the departure of major tenants, high availability rate at the subject property, and term default risk. The largest contributors to expected losses in BBCMS 2020-C7 are the specially serviced One Meridian Colorado and Bronx Multifamily Portfolio. One Meridian Colorado is secured by a 140,416-sf office property located in Englewood, CO. Property performance has declined since issuance due to multiple tenants vacating; occupancy was reported at 16% as of YE 2025. A receiver began marketing the property in Q1 2026 and a disposition is expected by Q4 2026. Fitch's 'Bsf' rating case loss of 88.9% (prior to concentration adjustments) reflects the most recent appraisal, equating to a value of $36.30 psf. The Bronx Multifamily Portfolio is secured by four multifamily properties located in the Bronx, NY. The loan transferred to special servicing in February 2024 for payment default and the servicer is pursuing both a foreclosure sale and the appointment of a receiver; the borrower is contesting both actions. Media reports indicate that a fire occurred at the largest of the four collateral properties in March 2026 causing heavy damage, including a roof collapse. Fitch's 'Bsf' rating case loss of 68.5% (prior to concentration adjustments) reflects a stress to the most recent March 2026 appraisal, reflecting a stressed value of $64,000/unit. The second largest driver to expected losses in BBCMS 2020-C7 is The Arbors (4.1%), which is secured by a 204,427-sf suburban office campus consisting of three, two-story office buildings located in Thousand Oaks, CA. Property performance has declined with the December 2025 occupancy dropping to 83% from 96% at YE 2023 primarily due to downsize of major tenants, ZS Associates (12.1% of NRA) and Mercury Insurance Services (9.0%), which vacated upon its September 2024 lease expiration. According to CoStar, 24% of the NRA is listed as available. Fitch's 'Bsf' rating case loss of 13.9% (prior to concentration adjustments) reflects a 10% cap rate, 20% stress to the YE 2023 NOI and factors a higher probability of default due to the occupancy decline and high availability. The third largest driver to expected losses in BBCMS 2020-C7 is One Stockton, secured by a 16,987-sf single-tenant retail building located in San Francisco, CA. The loan transferred to special servicing in January 2024 due to monetary default after the borrower ceased payments in November 2023. The property was formerly occupied by T-Mobile, on a lease through November 2026, but the tenant terminated their lease and the entirety of the space is vacant. The tenant was subsequently required to pay a termination fee and outstanding balances totaling nearly $20 million, which are being held in a cash management account. A loan modification agreement was completed and the loan was returned to the master servicer in December 2024; it has since remained current. The loan was returned to the master servicer in December 2024 following the execution of a modification and has remained current since. Fitch's 'Bsf' rating case loss of 21.0% (prior to concentration adjustments) reflects a 60% stress to the YE 2023 NOI reflecting an updated Fitch dark value of stressed value of $19.8 million, approximately 80% below the issuance appraisal, and factors a higher probability of default due to the vacant property. Changes in Credit Enhancement (CE): As of the April 2026 distribution date, the aggregate balances of the BBCMS 2020-C6 and BBCMS 2020-C7 transactions have been reduced by 5.2% and 5.5%, respectively, since issuance. The BBCMS 2020-C6 transaction includes two loans (3.5% of the pool) that have fully defeased, and BBCMS 2020-C7 has five defeased loans (1.9%). Cumulative interest shortfalls of $102,424 are affecting the non-rated class NR-RR in BBCMS 2020-C6 and shortfalls are affecting the Fitch-rated class D through the non-rated class G in BBCMS 2020-C7. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' rated classes are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur should performance of the FLOCs, most notably Trinity Multifamily Portfolio and 2000 Park Lane in BBCMS 2020-C6 and Meridian One Colorado, The Arbors, One Stockton and Bronx Multifamily Portfolio in BBCMS 2020-C7, deteriorate further or if more loans than expected default at or prior to maturity. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned office loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed 'CCCsf' ratings would occur should additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2018-B2: Fitch Lowers Rating on Two Tranches to 'B-sf' ---------------------------------------------------------------- Fitch Ratings has downgraded six and affirmed seven classes of Benchmark 2018-B2 Mortgage Trust (BMARK 2018-B2). The Rating Outlook for classes X-A, A-S, B, C, X-D, and D are Negative following the downgrade of these classes. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2018-B2 A-3 08161CAC5 LT AAAsf Affirmed AAAsf A-4 08161CAD3 LT AAAsf Affirmed AAAsf A-5 08161CAE1 LT AAAsf Affirmed AAAsf A-S 08161CAJ0 LT Asf Downgrade AA-sf A-SB 08161CAF8 LT AAAsf Affirmed AAAsf B 08161CAK7 LT BBB-sf Downgrade A-sf C 08161CAL5 LT BB-sf Downgrade BBB-sf D 08161CAP6 LT B-sf Downgrade BB-sf E-RR 08161CAR2 LT CCCsf Affirmed CCCsf F-RR 08161CAT8 LT CCsf Affirmed CCsf G-RR 08161CAV3 LT Csf Affirmed Csf X-A 08161CAG6 LT Asf Downgrade AA-sf X-D 08161CAM3 LT B-sf Downgrade BB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss increased to 14.1% (10.95% based on the original pool balance and including realized losses) from 11.4% (9.1%) at Fitch's prior rating action. The transaction has 17 Fitch Loans of Concern (FLOCs; 49.3% of the pool), including nine loans in special servicing (27.7%). The downgrades in the transaction reflect increased pool loss expectations primarily driven by continued performance deterioration and higher losses on 599 Broadway (3.7%), One Parkway North Fee (2.3%) and Worldwide Plaza (4.7%). The Negative Outlook for classes A-S, B, C, D, X-A, and X-D in the transaction reflect elevated pool losses, and the potential for further downgrades should recovery prospects on specially serviced loans/REO assets worsen and/or performance continues to deteriorate beyond current expectations on the FLOCs/specially serviced loans including the aforementioned loans and Central Park of Lisle (7.5%), Braddock Metro Center (4.0%), Intercontinental San Francisco (4.8%) and 90 Hudson (2.8%). Largest Contributors to Loss: The largest increase in expected losses since the prior review is the 599 Broadway loan (3.7% of the pool), which is a retail condo encompassing approximately 42,000 sf in the SoHo neighborhood of New York City. The asset transferred to special servicing in January 2026 for monetary default. Performance has deteriorated due to the departure of the primary subtenant, American Eagle, and the master tenant has been unsuccessful in securing a new tenant for the space. Fitch's 'Bsf' rating case loss of 26.3% (prior to concentration adjustments) reflects a 7.5% stress to the YE 2024 NOI equating to a recovery value of $1,833 psf. The second largest increase in loss expectations in the transaction since the prior rating action is the One Parkway North Fee loan (2.3%), secured by the fee interest underlying a 257,394-sf office property located in Deerfield, IL. The loan transferred to special servicing in January 2026 due to imminent monetary default. The leasehold interest has ceased making payments and is in default of their lease. A receiver was appointed in February 2026 and the special servicer is evaluating resolution options including foreclosure. Fitch's loss expectations of 32.2% (prior to concentration add-ons) reflects a 7.5% stress to the YE 2024 NOI equating to a recovery value of $93 psf. The third largest increase in loss expectations since the prior rating action is the Worldwide Plaza loan (4.0%), which is secured by a 2.0 million-sf office property located in New York City on 8th Avenue between 49th and 50th streets. The loan transferred to special servicing in September 2024 due to imminent monetary default. Per servicer reporting, the mezzanine debt was sold to an investor who accelerated the outstanding balance and scheduled a UCC sale in January 2026. Cash flow was insufficient to cover debt service and the property tax payment. Foreclosure proceedings have been initiated and a receiver has been appointed to take possession of the collateral. Fitch's 'Bsf' rating case loss of 36.1% (prior to concentration adjustments) considers the most recent appraisal value, which is approximately 74% below the issuance appraisal value, equating to a recovery value of $201 psf. Increased Credit Enhancement (CE): As of the April 2026 distribution date, the aggregate balances of the transaction have been reduced by 29.7% since issuance. Seven loans (6.8%) in the transaction are fully defeased. The transaction has 13 (49.4%) full-term, interest-only loans and 29 (50.6%) loans that are currently amortizing. Cumulative interest shortfalls of $2.69 million impacting the E-RR, F-RR, G-RR, and NR-RR classes in the transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'Asf' category could occur if performance and/or valuation of the FLOCs/specially serviced loans — most notably 599 Broadway, One Parkway North Fee, Intercontinental San Francisco, 90 Hudson, Worldwide Plaza, Central Park of Lisle and Braddock Metro Center — deteriorate further or fail to stabilize or if more loans than expected default at or prior to maturity. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with higher-than-expected losses from continued underperformance of the FLOCs, particularly the loans with deteriorating performance and/or with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. Downgrades to distressed ratings would occur should additional loans be transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and stronger performance and/or valuation on the FLOCs/specially serviced loans. This includes 599 Broadway, One Parkway North Fee, Intercontinental San Francisco 90 Hudson, Worldwide Plaza, Central Park of Lisle, and Braddock Metro Center. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable but are limited based on sensitivity to adverse selection and concentrations to the FLOCs and loans in special servicing. Upgrades to distressed ratings are not expected and would only occur with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2020-B16: Fitch Lowers Rating on Two Tranches to 'B-sf' ----------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed 11 classes of Benchmark 2020-B16 Mortgage Trust (BMARK 2020-B16). Following the downgrades, classes B, C, E, X-B, and X-D were assigned a Negative Rating Outlook. The Outlook for affirmed classes A-M, D, and X-A remains Negative. Fitch also downgraded six and affirmed eight classes of Benchmark 2020-B17 Mortgage Trust (BMARK 2020-B17). Following the downgrades, classes B, C, D, E, X-B, and X-D were assigned a Negative Outlook. The Outlook for affirmed classes A-S and X-A remains Negative. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2020-B16 A-3 08161NAC1 LT AAAsf Affirmed AAAsf A-4 08161NAE7 LT AAAsf Affirmed AAAsf A-5 08161NAF4 LT AAAsf Affirmed AAAsf A-M 08161NAH0 LT AAAsf Affirmed AAAsf A-SB 08161NAD9 LT AAAsf Affirmed AAAsf B 08161NAJ6 LT A-sf Downgrade AA-sf C 08161NAK3 LT BBB-sf Downgrade A-sf D 08161NAW7 LT BBsf Affirmed BBsf E 08161NAY3 LT B-sf Downgrade BB-sf F 08161NBA4 LT CCCsf Affirmed CCCsf G 08161NBC0 LT CCsf Affirmed CCsf X-A 08161NAG2 LT AAAsf Affirmed AAAsf X-B 08161NAL1 LT BBB-sf Downgrade A-sf X-D 08161NAN7 LT B-sf Downgrade BB-sf X-F 08161NAQ0 LT CCCsf Affirmed CCCsf X-G 08161NAS6 LT CCsf Affirmed CCsf Benchmark 2020-B17 A-2 08162MAV0 LT AAAsf Affirmed AAAsf A-4 08162MAW8 LT AAAsf Affirmed AAAsf A-5 08162MAX6 LT AAAsf Affirmed AAAsf A-S 08162MBB3 LT AA-sf Affirmed AA-sf A-SB 08162MAY4 LT AAAsf Affirmed AAAsf B 08162MBC1 LT BBB-sf Downgrade A-sf C 08162MBD9 LT BBsf Downgrade BBB-sf D 08162MAC2 LT Bsf Downgrade BBsf E 08162MAE8 LT B-sf Downgrade Bsf F-RR 08162MAG3 LT CCCsf Affirmed CCCsf G-RR 08162MAJ7 LT CCsf Affirmed CCsf X-A 08162MAZ1 LT AA-sf Affirmed AA-sf X-B 08162MBA5 LT BBsf Downgrade BBB-sf X-D 08162MAA6 LT B-sf Downgrade Bsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 6.8% (6.6% based on the original balance) from 4.8% in BMARK 2020-B16 and 8.6% from 5.3% in BMARK 2020-B17 (7.3% based on the original balance). The BMARK 2020-B16 transaction has six Fitch Loans of Concern (FLOCs; 25.3% of the pool), including two loans (8.8%) in special servicing. The BMARK 2020-B17 transaction has seven FLOCs (40.6%), including three loans (9.2%) in special servicing. The downgrades in the BMARK 2020-B16 transaction reflect higher pool loss expectations since the prior rating action, primarily driven by significantly lower updated appraisal valuations for the specially serviced loan 1019 Market (3.9% of the pool), and 181 West Madison (4.9%), a former credit opinion loan that is currently in foreclosure leading to a higher probability of default. In addition, the downgrades reflect sustained high loss expectations on FLOCs 3500 Lacey (5.7%), and Landing Square (3.9%), due to performance deterioration. The downgrades in the BMARK 2020-B17 transaction reflect higher pool loss expectations driven primarily by underperforming office FLOCs, including Murphy Crossing (10.7%), and 3500 Lacey (4.5%) and significantly lower appraisal values on the specially serviced 3000 Post Oak (3.8%), and 25 Jay Street (2.3%) resulting in higher loss expectations. The Negative Outlooks for both transactions reflect elevated office concentrations of 32.5% and 56.2%, respectively, coupled with deteriorating appraisal values for specially serviced loans and ongoing performance challenges with FLOCs in the pool. Further downgrades are possible if performance of office FLOCs does not stabilize and/or workouts for the specially serviced loans are prolonged, leading to higher-than-expected losses. In addition, the Negative Outlooks reflect the pool's high concentration of FLOCs, comprising 25.3% of the pool in BMARK 2020-B16, and 40.6% in BMARK 2020-B17. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest increase in loss since the prior rating action and the largest contributor to overall pool loss expectations in BMARK 2020-B16 is the REO asset 1019 Market loan, which is secured by an 81,722-sf office property located in downtown San Francisco, CA. The loan transferred to special servicing in February 2024 due to imminent monetary default, as the borrower noted that it may not be able to continue to fund shortfalls. A foreclosure sale took place in September 2025, at which the lender was the winning bidder. Colliers has been retained to lease available space within the property. The largest tenant, Zendesk (96.6% of the NRA, through August 2022) terminated its lease in 2021, with occupancy declining to 3.4%, as the remaining tenant, SF Chai LLC, had a lease through August 2025. The property is now fully vacant, and the loan has been cash flow negative since YE 2021, following the departure of the largest tenant. The servicer-reported YE 2024 NOI debt service coverage ratio (DSCR) was -0.94x compared with the YE 2023 NOI DSCR of -0.88x. Fitch's 'Bsf' rating case loss of 69.3% (prior to concentration adjustments) reflects a discount to the most recent appraisal value, which is approximately 81.7% below the value at issuance; the updated stressed value equates to $128 psf. The second largest contributor to overall pool loss expectations in BMARK 2020-B16 is the 181 West Madison loan, secured by a 50-story, 946,099-sf office tower located in the central business district of Chicago, IL. The loan transferred to special servicing in November 2021 due to the bankruptcy of the borrower, HNA Group and returned to the master servicer following a loan modification in August 2023. The anchor tenant, Northern Trust, contracted to 18.6% of the NRA from 42.6% (400,300 sf to 224,736 sf). This was part of a no tenant improvement, modification and extension approved in 2022 during the bankruptcy that extended the remaining 224,736 sf of the Northern Trust space to Dec. 31, 2027. The extension also included a free rent period beginning in January 2026, which along with the contraction of space impacted the property cash flows and performance causing a shortfall with the lender declaring an imminent monetary default. As of YE 2025, occupancy was 70.4% down from 88% at issuance and the servicer reported TTM September 2025 NOI DSCR fell to 1.63x, from 5.16x at issuance. The loan transferred to special servicing in February 2026 ahead of the December 2026 maturity. According to the servicer, the borrower does not plan to contribute additional capital to address projected 2026 budget shortfalls. This increases the likelihood of a payment default and the need for a workout solution which is currently heading toward a foreclosure. In April 2026, the court granted the lender's motion for receivership and entered the corresponding order. Fitch's 'Bsf' rating case loss of 31.0% (prior to concentration add-ons) utilizes the updated Fitch NCF of $11.0 million, which is 31.8% below Fitch's issuance NCF of $16.2 million, accounting for a higher vacancy assumption given the elevated submarket availability rates and the largest tenant's near-term lease expiration. According to Costar, as of 4Q25, the submarket vacancy, availability rate and average asking rent were 28.7%, 33.5% and $35.60 psf, respectively. Fitch's analysis also incorporated a capitalization rate of 9.50%, which resulted in a Fitch-stressed valuation decline approximately 69% below the issuance appraisal. The third largest contributor to overall pool loss expectations in BMARK 2020-B16 and the fourth largest contributor to overall pool loss expectations in BMARK 2020-B17 is the 3500 Lacey loan, secured by a 583,982-sf office property located in Downers Grove, IL. This loan was flagged as a FLOC due to recovering performance and weak submarket fundamentals. According to the YE 2025 rent roll, the property was 95.3% occupied. The largest tenants include Health Care Service Corporation (24.1%; December 2033), Glanbia (16.4%; February 2030), and Invesco (12.1%; April 2036, renewed from April 2025). Upcoming rollover includes 6.9% of the NRA through 2026 and 2.5% of the NRA through 2027. The servicer-reported NOI DSCR fell to 1.52x as of YE 2024, compared with 1.95x at YE 2023, 2.14x at TTM September 2022, and 2.53x at YE 2021 due to tenants receiving significant free rent periods in order to renew their leases. According to CoStar, the Eastern East/West Corridor Submarket reported a vacancy rate and average asking rental rate of 17.9% and $23.73 psf, respectively, compared with the overall market vacancy rate and average asking rental rate of 17.2% and $29.75 psf, respectively. Fitch's 'Bsf' rating case loss of 13.7% (prior to concentration add-ons) reflects a 10.0% cap rate, and a 10% stress to the YE 2024 NOI. The largest increase and contributor to overall pool loss expectations for BMARK 2020-B17 is the Murphy Crossing loan, secured by a 363,567-sf office property located in Milpitas, CA. The loan is considered a FLOC due to the massive occupancy drop after the largest tenant, Intersil Corporation (59.5% of the NRA), vacated the property at lease expiration in April 2026. As of May 2026, occupancy for the property was 20.2%, down from 79% at YE 2024, compared with 99% as of June 2023. The other tenant at the property is SonicWall, Inc (20.2%, March 2029). The most recent servicer-reported September 2025 NOI DSCR was 2.74x, compared with 3.50x at YE 2023 NOI, and 3.37x at YE 2022. As of April 2026, the balance of the total reserve account was $10.87 million. In addition, the Milipitas Submarket reported a vacancy rate and average asking rental rate of 20.3% and $40.9 psf, respectively, compared with the overall San Jose market vacancy rate and average asking rental rate of 15.2% and $58.18 psf, respectively. Fitch's 'Bsf' rating case loss of 24.2% (prior to concentration adjustments) reflects a cap rate of 10% and a 50% stress to the YE 2024 NOI to address the tenancy and occupancy concerns. The second largest increase in loss and the second largest contributor since the prior rating action to overall pool loss expectations in BMARK 2020-B17 is the 3000 Post Oak loan, secured by a 19-story, 441,523-sf office building located in Houston, TX. The loan transferred to the special servicer in August 2024 for imminent default related to the single tenant, Bechtel (98.9% of the NRA), vacating at the lease expiration in October 2024. Bechtel relocated 8.6 miles west to the Westchase area occupying an office that is approximately half the size of 3000 Post Oak. The property is currently fully vacant. The Galleria/Uptown submarket of Houston reported an elevated vacancy rate of 33.7% according to Costar as of 1Q26. As of September 2025, the servicer-reported NOI DSCR fell to -0.70x from 4.46x at YE 2024 and 2.35x at YE 2023. Fitch's 'Bsf' rating case loss of 69.6% (prior to concentration add-ons) considers the most recent appraisal value, which is approximately 82.5% below the issuance value and equates to $57.10 psf. The third largest contributor to overall pool loss expectations since the prior rating action in BMARK 2020-B17 is the 25 Jay Street loan, which is secured by a 32-unit multifamily property located in the DUMBO neighborhood of Brooklyn, NY. The loan transferred to special servicing in October 2021 and became over 90 days delinquent in March 2023. The servicer filed for foreclosure in February 2023 and, after several negotiations and restructuring, the loan has been approved for reinstatement by the special servicer, pursuant to various structures and $4.93MM in payments from the borrower. The most recent servicer-reported June 2022 NOI DSCR was 0.65x, compared with 0.47x at YE 2021, and 1.26x at YE 2020. Updated financials were requested but not provided. Fitch's 'Bsf' rating case loss of 28.1% (prior to concentration add-ons) factors a 10% stress on the most recent appraisal value, which has declined significantly from the appraisal value at issuance. Change in Credit Enhancement (CE): As of the April 2025 distribution date, the pool's aggregate balance for BMARK 2020-B16 has been reduced by 3.2% and 15.6% for BMARK 2020-B17. Two loans (2.3% of pool) are defeased in BMARK 2020-B16 and one loan (0.5% of pool) in BMARK 2020-B17. Cumulative interest shortfalls of $252,082 are impacting the non-rated class H, and V-RR in the BMARK 2020-B16 transaction. Cumulative interest shortfalls of $1.63 million realized losses of $221,531 are currently impacting the non-rated class NR-RR and VRR Interest in the BMARK 2020-B17 transaction. 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 position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to 'AAsf' and 'Asf' category rated classes could occur if performance and/or valuation of the FLOCs — most notably REO asset 1019 Market, the specially serviced 181 West Madison and Office FLOCSs 3500 Lacey, and Landing Square in BMARK 2020-B16 and Murphy Crossing, the specially serviced 25 Jay Street, and 3000 Post Oak, and 3500 Lacey in BMARK 2020-B17 — deteriorate further or fail to stabilize or if more loans than expected default at or prior to maturity. Downgrades to the 'BBBsf', 'BBsf', 'Bsf' category rated classes are possible with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed classes are possible should additionally loans transfer to special servicing and as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, including 1019 Market, 181 West Madison, 3500 Lacey, and Landing Square in BMARK 2020-B16 and Murphy Crossing, 25 Jay Street, 3000 Post Oak, and 3500 Lacey in BMARK 2020-B17. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is the likelihood of interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to the distressed classes are unlikely absent performance stabilization of the FLOCs and improved recovery prospect of loans in special servicing. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2022-B35: DBRS Cuts Rating on 2 Tranches to Csf --------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) downgraded credit ratings on nine classes of Commercial Mortgage Pass-Through Certificates, Series 2022-B35 issued by Benchmark 2022-B35 Mortgage Trust as follows: -- Class D to BBB (low) (sf) from BBB (high) (sf) -- Class E to BB (low) (sf) from BB (high) (sf) -- Class F to B (low) (sf) from BB (low) (sf) -- Class G to CCC (sf) from B (low) (sf) -- Class H to C (sf) from CCC (sf) -- Class X-D to BB (sf) from BBB (low) (sf) -- Class X-F to B (sf) from BB (sf) -- Class X-G to CCC (sf) from B (sf) -- Class X-H to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-4-1 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class X-A at AAA (sf) Morningstar DBRS changed the trends on Classes C, D, E, F, X-D, and X-F to Negative from Stable. Classes G, H, X-G, and X-H have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all other classes are Stable. CREDIT RATING ACTION RATIONALE -- The credit rating downgrades reflect increased loss projections for the pool stemming from updated appraisals for the two loans in special servicing, Industry RiNo Station (Prospectus ID#7, 5.4% of the pool) and One Jackson Place (Prospectus ID#21, 1.3% of the pool). -- At the time of the prior credit rating action in June 2025, Morningstar DBRS downgraded Classes E, F, G, H, X-D, X-F, X-G, and X-H as a result of its liquidation and the resulting loss projections for the two loans in special servicing, prior to receiving updated appraisals for both properties. -- With this review, the updated appraisals on both loans indicated significant declines in value, supporting Morningstar DBRS' increased loss projections, which now erode nearly the entirety of the balance on Class H when accounting for the transaction's 5.0% vertical risk retention piece, supporting the downgrades on Classes G, H, X-G, and X-H. -- The increased loss projections also significantly erode the credit enhancement on junior bonds, exacerbated by the transaction's capital stack structure, supporting the credit rating downgrades on Classes D, E, F, X-D, and X-F. -- Outside of the two loans in special servicing, the remaining pool continues to exhibit overall healthy metrics. Where applicable, Morningstar DBRS stressed loan-to-value ratios (LTVs) and probability of defaults to reflect potential concerns with performing loans including declining performance metrics and/or occupancy concerns. With these stresses, the senior-most classes remain well insulated, supporting the credit rating confirmations and Stable trends for the remaining classes. POOL/COLLATERAL OVERVIEW -- As of the April 2026 remittance, all of the original 37 loans remained in the pool with a marginal collateral reduction of only 0.6% of the pool since issuance. -- One loan, Fairfield Inn & Suites Gainesville (Prospectus ID#33, 0.6% of the pool), is fully defeased, and only two loans are in special servicing: Industry RiNo Station and One Jackson Place. -- Loans secured by office properties represent the greatest property type concentration, accounting for 49.0% of the current pool balance, followed by industrial properties at 16.6%. -- Eight loans representing 18.1% of the pool balance are on the servicer's watchlist. These loans are being monitored for low debt service coverage ratio (DSCR), deferred maintenance, and failure to report financials. KEY LOANS Industry RiNo Station (Prospectus ID#7, 5.4% of the Pool) -- The largest loan in special servicing is Industry RiNo Station, which is secured by a 177,687-square-foot (sf) office complex in the Midtown submarket of Denver. -- The loan transferred to the special servicer in March 2025 for payment default stemming from a significant decline in occupancy over the past three years. According to the April 2026 servicer commentary, a receiver has been appointed and is actively working to improve occupancy. -- Occupancy declined to approximately 48% as of June 2025, down from 75% at YE2024 and 95% at issuance. -- As of the trailing six months ended June 30, 2025, DSCR has declined to 0.4 times (x). -- According to Reis, the Midtown submarket of Denver reported a Q1 2026 vacancy of 22.8%, up from 15.6% at last review, and the central business district vacancy was nearly 33%. -- An updated appraisal valued the property at $28.5 million, down from $97.5 million at issuance. -- Morningstar DBRS analyzed this loan under a liquidation scenario based on a 20% haircut to the most recent appraised value. Including the outstanding advances and expected servicer expenses, the resulting loan loss severity was about 70%, or approximately $41.3 million. One Jackson Place (Prospectus ID#21, 1.3% of the Pool) -- The second loan in special servicing, One Jackson Place, is secured by a 221,421-sf Class A office tower in downtown Jackson, Mississippi. -- The loan transferred to the special servicer in May 2025 for imminent nonmonetary default stemming from the borrower not wanting to replace the roof for a tenant that sent a default notice with intention to vacate. The loan has since been delinquent as of January 2026. -- Occupancy declined to 46% as of March 2025 and performance followed, with the March 2025 DSCR reported at 1.37x. -- According to the servicer, it is currently trying to lease-up the property and improve income for a better resolution; however, the noted workout strategy is foreclosure. -- An updated June 2025 appraisal valued the property at $2.2 million, a large decline from the $23.6 million issuance appraised value. Given the updated appraisal and soft submarket, Morningstar DBRS liquidated the property based on a 20% haircut to the updated appraisal, resulting in a projected loss of $13.6 million, a 96% loss severity. One Wilshire (Prospectus ID#1, 10.0% of the Pool) -- The largest loan in the pool is secured by a 30-story office tower in downtown Los Angeles totaling approximately 662,000 sf. -- The property is unique in that it operates primarily as a telecommunications hub connected to three transpacific fiber optic connections, featuring approximately 75.0% of net rentable area that is used as data center and telecommunications space, with the remaining components dedicated to traditional office space and a small retail space. -- The loan represents a $111.0 million component of a $389.3 million whole loan across five transactions, of which one (Benchmark 2022-B34 Mortgage Trust) is rated by Morningstar DBRS. -- As of the December 2025 rent roll, the property was 61.0% occupied, which is down from the issuance occupancy rate of 87.3%. -- The loan is notably lower leverage given the issuance appraised value of $913.0 million and $389.0 million whole loan. The loan was also made at a sub-3% interest rate, supporting a strong DSCR of 3.33x as of the trailing seven months ended December 31, 2025, reporting. -- Morningstar DBRS analyzed this loan with an updated LTV based on an 8% capitalization rate and the YE2024 NCF, resulting in a $432.5 million stressed value and an LTV of 90.0%. SHADOW-RATED LOANS -- At issuance, Morningstar DBRS shadow-rated an additional two loans, ILPT Logistics Portfolio (Prospectus ID#3, 6.6% of the pool) and 601 Lexington Avenue (Prospectus ID#19, 1.5% of the pool), as investment grade. For this review, Morningstar DBRS confirms that loan performance trends remain in line with investment-grade characteristics as supported by strong sponsorship strength and the historically stable performance of those two loans. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Classes X-A, X-D, X-F, X-G, and X-H are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO credit rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BENEFIT STREET 50: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Benefit Street Partners CLO 50 Ltd./Benefit Street Partners CLO 50 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 BSP CLO Management LLC, a subsidiary of Franklin Templeton. The preliminary ratings are based on information as of May 19, 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 Benefit Street Partners CLO 50 Ltd./ Benefit Street Partners CLO 50 LLC Class A, $315.00 million: AAA (sf) Class B, $65.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $41.58 million: NR NR--Not rated. BRAVO RESIDENTIAL 2026-CES1: Fitch Rates Class B2 Notes 'B-sf' -------------------------------------------------------------- Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2026-CES1 (BRAVO 2026-CES1). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2026-CES1 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf AIOS LT NRsf New Rating NR(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 M1 LT BBB-sf New Rating BBB-(EXP)sf R LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch has rated the residential mortgage-backed notes issued by BRAVO 2026-CES1 as indicated above. The transaction is expected to close on May 14, 2026. The notes are supported by 3,563 newly originated, closed-end second lien (CES) loans with a total balance of $343 million as of the cutoff date. loanDepot.com, LLC and PennyMac Loan Services, LLC originated approximately 70.3% and 18.5% of the loans, respectively. The remainder were originated by other originators, each accounting for less than 10% of the pool. loanDepot.com, LLC, PennyMac Loan Services and Newrez LLC dba Shellpoint Mortgage Servicing (Shellpoint) will service the loans. The servicers will not advance delinquent (DQ) monthly payments of principal and interest (P&I). Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. In addition, excess cash flow can be used to repay losses or net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. BRAVO 2026-CES1 has a final probability of default (PD) of 19.2% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 97.9%. The expected loss in the 'AAAsf' rating stress is 18.8%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in BRAVO 2026-CES1 are based on a sequential payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Furthermore, the provision for principal amounts to pay any unpaid interest prior to principal distribution is highly supportive of timely interest payments to the notes in the absence of P&I advancing. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal first to repay any current or previously allocated cumulative applied realized losses and then to repay potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers aggregator, originator and servicer capability, and the transaction-specific representation, warranty and enforcement (RW&E) framework as qualitative inputs to its RMBS ratings framework. These counterparty assessments are conducted and updated on a regular cadence independent of any specific RMBS rating, and Fitch uses a risk-based framework — considering contribution share and collateral profile — to determine which parties warrant review. The only consideration that has a direct impact on Fitch's loss expectations is the third-party due diligence results. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm deemed 'Acceptable' by Fitch and have a final grade of either "A'" or "B". Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BRAVO 2026-CES1 to be fully de-linked and bankruptcy-remote, special-purpose vehicle. All transaction parties and triggers align with Fitch expectations. Shortened Liquidation Timelines (Positive): Fitch's analysis for this transaction assumed liquidation timelines of six months in the base case and up to 12 months in the 'AAAsf 'stress case compared to 18-36 months for first lien collateral. BRAVO 2026-CES1 incorporates an optional loan charge-off at 180 days DQ. Based on historical observations, second lien collateral typically liquidates after 180 days DQ. Fitch assumes in the base case that the charge-off feature will be exercised as soon as possible, with lower probabilities of charge-off in the higher rating cases. When taken together with its presumed modification timelines of 12 months, Fitch's all-in timelines ranged from nine months at the base case to 12 months at its 'AAAsf' rating case. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 38.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton, Consolidated Analytics and Maxwell. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: - A 5% PD credit was applied at the loan level for all loans graded either 'A' or 'B'. DATA ADEQUACY Fitch relied on an independent third-party due diligence review covering 100% of the pool. The scope was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Loans reviewed under this engagement received compliance, credit, and valuation grades, with initial and final grades assigned for each subcategory. Exceptions and waivers were documented in the due diligence reports and incorporated into Fitch's analysis. Fitch also used data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information in ASF data layout format, which was considered comprehensive. The due diligence firms reviewed the ASF data tape, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRYANT PARK 2024-23: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and class A-1 loans from Bryant Park Funding 2024-23 Ltd./Bryant Park Funding 2024-23 LLC, a CLO managed by Marathon Asset Management L.P. that was originally issued in May 2024. At the same time, S&P withdrew its ratings on the previous class A-1A, A-2, B, C-1, C-2, D-1, D-2, and E debt and class A-1 loans following payment in full on the May 15, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The credit agreement for class A-1 loans was amended and restated. -- The class A-1B debt no longer exists following the refinancing. -- The non-call period was extended to May 15, 2027. -- No additional assets were purchased on the May 15, 2026, refinancing date. There was no additional effective date or ramp-up period and the first payment date following the refinancing is Aug. 15, 2026. -- The previous class C-1 and C-2 debt were combined into the replacement class C-R debt. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-1 loans, $126.5 million: Three-month CME term SOFR + 1.28% -- Class A-1-R, $121.5 million: Three-month CME term SOFR + 1.28% -- Class A-2-R, $10.0 million: Three-month CME term SOFR + 1.45% -- Class B-R, $46.0 million: Three-month CME term SOFR + 1.60% -- Class C-R (deferrable), $24.0 million: Three-month CME term SOFR + 1.80% -- Class D-1-R (deferrable), $20.0 million: Three-month CME term SOFR + 2.95% -- Class D-2-R (deferrable), $8.0 million: Three-month CME term SOFR + 4.65% -- Class E-R (deferrable), $10.0 million: Three-month CME term SOFR + 5.90% Previous debt -- Class A-1 loans, $126.5 million: Three-month CME term SOFR + 1.57% -- Class A-1A, $121.5 million: Three-month CME term SOFR + 1.57% -- Class A-1B, $0.0 million: Three-month CME term SOFR + 1.57% -- Class A-2, $10.0 million: Three-month CME term SOFR + 1.75% -- Class B-R, $46.0 million: Three-month CME term SOFR + 2.10% -- Class C-1 (deferrable), $14.0 million: Three-month CME term SOFR + 2.50% -- Class C-2 (deferrable), $10.0 million: 6.50% -- Class D-1 (deferrable), $20.0 million: Three-month CME term SOFR + 3.85% -- Class D-2 (deferrable), $8.0 million: Three-month CME term SOFR + 5.05% -- Class E (deferrable), $10.0 million: Three-month CME term SOFR + 6.73% 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 Bryant Park Funding 2024-23 Ltd./Bryant Park Funding 2024-23 LLC Class A-1 loans, $126.5 million: AAA (sf) Class A-1-R, $121.5 million: AAA (sf) Class A-2-R, $10.0 million: AAA (sf) Class B-R, $46.0 million: AA (sf) Class C-R, $24.0 million: A (sf) Class D-1-R, $20.0 million: BBB (sf) Class D-2-R, $8.0 million: BBB- (sf) Class E-R, $10.0 million: BB- (sf) Ratings Withdrawn Bryant Park Funding 2024-23 Ltd./Bryant Park Funding 2024-23 LLC Class A-1 loans to NR from 'AAA (sf)' Class A-1A to NR from 'AAA (sf)' Class A-1B to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C-1 to NR from 'A (sf)' Class C-2 to NR from 'A (sf)' Class D-1 to NR from 'BBB (sf)' Class D-2 to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Bryant Park Funding 2024-23 Ltd./Bryant Park Funding 2024-23 LLC Subordinated notes, $38.3 million: NR NR--Not rated. CARVANA AUTO 2026-P2: Fitch Assigns BB(EXP)sf Rating on Cl. N Debt ------------------------------------------------------------------ Fitch Ratings expects to assign ratings and Rating Outlooks to Carvana Auto Receivables Trust 2026-P2 (CRVNA 2026-P2). Entity/Debt Rating ----------- ------ Carvana Auto Receivables Trust 2026-P2 A-1 ST F1+(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating N LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Collateral — Prime Credit Quality: Carvana 2026-P2 is backed by collateral that is consistent with that of prior prime securitizations issued by Carvana. The Carvana 2026-P2 pool has a weighted average (WA) Fair Isaac Corp. (FICO) score of 708, lower than 713 in 2026-P1 and at the lower end of the peer (prime) issuer range. However, FICO scores above 750 total 32.4% of the pool. The transaction's percentage of extended-term loans (61+ months) is elevated at 96.5% of the pool, and loans with terms of more than 72 months formed 75.5% of the pool, both higher than in most comparable transactions. The pool is diversified by vehicle brand, model and geography. Used vehicles make up 97.3% of the pool. Forward-Looking Approach to Derive Rating Case Loss Proxy: Carvana provided managed portfolio data beginning in 2015, which showed consistent performance for its prime originations between 2015 and the start of the COVID-19 pandemic. Post-pandemic performance was strong, owing to significant government stimulus and strong used-car prices, which had a positive impact on pre-pandemic vintages with loans outstanding and the 2020 vintage originations. Performance began to deteriorate with the 2021 vintage, with each subsequent vintage experiencing higher loss levels through 2023 due to higher defaults and lower recoveries as used-vehicle values declined. At this stage, the 2024 and 2025 vintages show improvement, with losses lower than the 2023 vintage. Without a full cycle of detailed historical performance data, Fitch supplemented the Carvana managed performance data with proxy data from a comparable auto loan platform to derive the credit loss expectation. Fitch used Carvana's 2021-2023 performance data and recessionary data from 2007-2008 from peer auto ABS issuers to determine the rating case loss proxy. In addition, Fitch took into account potential risks in the current economic environment and the state of the auto industry and wholesale vehicle market (WVM), as well as future expectations and their potential impact on the pool in deriving the rating case loss proxy. Fitch's forward-looking rating case credit cumulative net loss (CNL) proxy is 3.00%, consistent with 2026-P1 and down from 3.50% in 2025-P2. Payment Structure — Adequate CE: Initial hard credit enhancement (CE) totals 11.20%, 7.10%, 2.65%, 0.50% and 0.25% for classes A, B, C, D and N, respectively. These levels are in line with those of 2026-P1, other than a 0.05% increase for class C. Initial expected excess spread is 4.55%. Initial CE is sufficient to withstand Fitch's rating case CNL proxy of 3.00% at the applicable rating loss multiples of 5.00x for 'AAAsf', 4.00x for 'AAsf', 3.00x for 'Asf', 2.00x for 'BBBsf' and 1.50x for 'BBsf'. Operational and Servicing Risks — Stable Origination, Underwriting and Servicing: Carvana demonstrates adequate abilities as an originator and underwriter, and Bridgecrest demonstrates adequate abilities as a servicer. This is evident from the performance history of Carvana's managed portfolio, as well as that of the prior Carvana and DriveTime securitizations where Bridgecrest was the servicer. In addition, Vervent Inc. serves as a backup servicer in case Bridgecrest is unable to perform. Fitch deems Carvana as an adequate originator and Bridgecrest as an adequate servicer for this transaction. Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 2.75% based on Fitch's "Global Economic Outlook - March 2026" report and historical managed and securitization performance and projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. In addition, unanticipated declines in recoveries could result in lower net loss coverage, which may make certain note ratings susceptible to negative rating action, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade 'BBsf' and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. Fitch increases the rating case CNL proxy by 1.5x and 2.0x to represent moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and the rating impact with a 50% haircut. These analyses aim to indicate the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable-to-improved asset performance, driven by steady delinquencies and defaults, would increase CE levels and lead to consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings for the subordinate notes could be upgraded by up to four notches. The class N notes could be upgraded by only one notch due to the applicable rating cap applied to excess spread notes per Fitch's Global Structured Finance Rating criteria. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 150 automobile receivables from the underlying asset pool. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The concentration of approximately 17.21% of electric vehicles in the pool did not have an impact on Fitch's ratings, rating analysis or conclusions for this transaction. Therefore, it has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHASE HOME 2026-5: DBRS Gives (P)B(low) Rating on Class B-5 Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-5 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2026-5: -- $448.7 million Class A-1 at (P) AAA (sf) -- $404.2 million Class A-2 at (P) AAA (sf) -- $323.4 million Class A-3 at (P) AAA (sf) -- $323.4 million Class A-3-A at (P) AAA (sf) -- $323.4 million Class A-3-B at (P) AAA (sf) -- $323.4 million Class A-3-X1 at (P) AAA (sf) -- $323.4 million Class A-3-X2 at (P) AAA (sf) -- $323.4 million Class A-3-X3 at (P) AAA (sf) -- $242.5 million Class A-4 at (P) AAA (sf) -- $242.5 million Class A-4-A at (P) AAA (sf) -- $242.5 million Class A-4-B at (P) AAA (sf) -- $242.5 million Class A-4-X1 at (P) AAA (sf) -- $242.5 million Class A-4-X2 at (P) AAA (sf) -- $242.5 million Class A-4-X3 at (P) AAA (sf) -- $80.8 million Class A-5 at (P) AAA (sf) -- $80.8 million Class A-5-A at (P) AAA (sf) -- $80.8 million Class A-5-B at (P) AAA (sf) -- $80.8 million Class A-5-X1 at (P) AAA (sf) -- $80.8 million Class A-5-X2 at (P) AAA (sf) -- $80.8 million Class A-5-X3 at (P) AAA (sf) -- $194.0 million Class A-6 at (P) AAA (sf) -- $194.0 million Class A-6-A at (P) AAA (sf) -- $194.0 million Class A-6-B at (P) AAA (sf) -- $194.0 million Class A-6-X1 at (P) AAA (sf) -- $194.0 million Class A-6-X2 at (P) AAA (sf) -- $194.0 million Class A-6-X3 at (P) AAA (sf) -- $129.3 million Class A-7 at (P) AAA (sf) -- $129.3 million Class A-7-A at (P) AAA (sf) -- $129.3 million Class A-7-B at (P) AAA (sf) -- $129.3 million Class A-7-X1 at (P) AAA (sf) -- $129.3 million Class A-7-X2 at (P) AAA (sf) -- $129.3 million Class A-7-X3 at (P) AAA (sf) -- $48.5 million Class A-8 at (P) AAA (sf) -- $48.5 million Class A-8-A at (P) AAA (sf) -- $48.5 million Class A-8-B at (P) AAA (sf) -- $48.5 million Class A-8-X1 at (P) AAA (sf) -- $48.5 million Class A-8-X2 at (P) AAA (sf) -- $48.5 million Class A-8-X3 at (P) AAA (sf) -- $44.5 million Class A-9 at (P) AAA (sf) -- $44.5 million Class A-9-A at (P) AAA (sf) -- $44.5 million Class A-9-B at (P) AAA (sf) -- $44.5 million Class A-9-X1 at (P) AAA (sf) -- $44.5 million Class A-9-X2 at (P) AAA (sf) -- $44.5 million Class A-9-X3 at (P) AAA (sf) -- $129.3 million Class A-10 at (P) AAA (sf) -- $129.3 million Class A-10-A at (P) AAA (sf) -- $129.3 million Class A-10-B at (P) AAA (sf) -- $129.3 million Class A-10-X1 at (P) AAA (sf) -- $129.3 million Class A-10-X2 at (P) AAA (sf) -- $129.3 million Class A-10-X3 at (P) AAA (sf) -- $80.8 million Class A-11 at (P) AAA (sf) -- $80.8 million Class A-11-X at (P) AAA (sf) -- $80.8 million Class A-12 at (P) AAA (sf) -- $80.8 million Class A-13 at (P) AAA (sf) -- $80.8 million Class A-13-X at (P) AAA (sf) -- $80.8 million Class A-14 at (P) AAA (sf) -- $80.8 million Class A-14-X at (P) AAA (sf) -- $80.8 million Class A-14-X2 at (P) AAA (sf) -- $80.8 million Class A-14-X3 at (P) AAA (sf) -- $80.8 million Class A-14-X4 at (P) AAA (sf) -- $64.7 million Class A-15 at (P) AAA (sf) -- $64.7 million Class A-15-A at (P) AAA (sf) -- $64.7 million Class A-15-B at (P) AAA (sf) -- $64.7 million Class A-15-X1 at (P) AAA (sf) -- $64.7 million Class A-15-X2 at (P) AAA (sf) -- $64.7 million Class A-15-X3 at (P) AAA (sf) -- $64.7 million Class A-16 at (P) AAA (sf) -- $64.7 million Class A-16-A at (P) AAA (sf) -- $64.7 million Class A-16-B at (P) AAA (sf) -- $64.7 million Class A-16-X1 at (P) AAA (sf) -- $64.7 million Class A-16-X2 at (P) AAA (sf) -- $64.7 million Class A-16-X3 at (P) AAA (sf) -- $64.7 million Class A-17 at (P) AAA (sf) -- $64.7 million Class A-17-A at (P) AAA (sf) -- $64.7 million Class A-17-B at (P) AAA (sf) -- $64.7 million Class A-17-X1 at (P) AAA (sf) -- $64.7 million Class A-17-X2 at (P) AAA (sf) -- $64.7 million Class A-17-X3 at (P) AAA (sf) -- $113.2 million Class A-18 at (P) AAA (sf) -- $113.2 million Class A-18-A at (P) AAA (sf) -- $113.2 million Class A-18-B at (P) AAA (sf) -- $113.2 million Class A-18-X1 at (P) AAA (sf) -- $113.2 million Class A-18-X2 at (P) AAA (sf) -- $113.2 million Class A-18-X3 at (P) AAA (sf) -- $448.7 million Class A-X-1 at (P) AAA (sf) -- $11.9 million Class B-1 at (P) AA (low) (sf) -- $11.9 million Class B-1-A at (P) AA (low) (sf) -- $11.9 million Class B-1-X at (P) AA (low) (sf) -- $6.7 million Class B-2 at (P) A (low) (sf) -- $6.7 million Class B-2-A at (P) A (low) (sf) -- $6.7 million Class B-2-X at (P) A (low) (sf) -- $4.0 million Class B-3 at (P) BBB (sf) -- $1.9 million Class B-4 at (P) BB (sf) -- $951.1 thousand Class B-5 at (P) B (low) (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-B, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12, A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17, A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A and A-18-B are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9, A-9-A, A-9-B) regarding loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 5.65% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (sf), (P) BB (sf), and (P) B (low) (sf) credit ratings reflect 3.15%, 1.75%, 0.90%, 0.50%, and 0.30% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 408 loans with a total principal balance of $500,567,347 as of the Cut-Off Date (May 1, 2026). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 10 to 30 years and a weighted-average (WA) loan age of three months. They are traditional, prime jumbo mortgage loans. Approximately 43.8% of the loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. JPMorgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as the Securities Administrator. U.S. Bank Trust National Association will act as the Delaware Trustee. JPMCB will act as the Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The Sponsor (JPMCB) will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing not less than 5.0% of the initial Class Principal Amount of each class of Certificates (other than the Class A-R Certificates) to satisfy the EU/UK Risk Retention requirements under Article 6(3) of PRASR and Chapter 4 of SECN 5 of the UK Securitization Framework and Article 6(4) of the EU Securitization Regulation. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2026-JINV1: Fitch Assigns 'B-(EXP)sf' Rating on B5 Certs ------------------------------------------------------------------- Fitch ratings have assigned expected ratings to Chase Home Lending Mortgage Trust 2026-JINV1 (Chase 2026-JINV1). Entity/Debt Rating ----------- ------ Chase 2026-JINV1 A1 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A10A LT AAA(EXP)sf Expected Rating A10B LT AAA(EXP)sf Expected Rating A10X1 LT AAA(EXP)sf Expected Rating A10X2 LT AAA(EXP)sf Expected Rating A10X3 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A11X LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A13X LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A14X LT AAA(EXP)sf Expected Rating A14X2 LT AAA(EXP)sf Expected Rating A14X3 LT AAA(EXP)sf Expected Rating A14X4 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A15A LT AAA(EXP)sf Expected Rating A15B LT AAA(EXP)sf Expected Rating A15X1 LT AAA(EXP)sf Expected Rating A15X2 LT AAA(EXP)sf Expected Rating A15X3 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A16B LT AAA(EXP)sf Expected Rating A16X1 LT AAA(EXP)sf Expected Rating A16X2 LT AAA(EXP)sf Expected Rating A16X3 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A17A LT AAA(EXP)sf Expected Rating A17B LT AAA(EXP)sf Expected Rating A17X1 LT AAA(EXP)sf Expected Rating A17X2 LT AAA(EXP)sf Expected Rating A17X3 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A18A LT AAA(EXP)sf Expected Rating A18B LT AAA(EXP)sf Expected Rating A18X1 LT AAA(EXP)sf Expected Rating A18X2 LT AAA(EXP)sf Expected Rating A18X3 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A3A LT AAA(EXP)sf Expected Rating A3B LT AAA(EXP)sf Expected Rating A3X1 LT AAA(EXP)sf Expected Rating A3X2 LT AAA(EXP)sf Expected Rating A3X3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4B LT AAA(EXP)sf Expected Rating A4X1 LT AAA(EXP)sf Expected Rating A4X2 LT AAA(EXP)sf Expected Rating A4X3 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A5A LT AAA(EXP)sf Expected Rating A5B LT AAA(EXP)sf Expected Rating A5X1 LT AAA(EXP)sf Expected Rating A5X2 LT AAA(EXP)sf Expected Rating A5X3 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A6A LT AAA(EXP)sf Expected Rating A6B LT AAA(EXP)sf Expected Rating A6X1 LT AAA(EXP)sf Expected Rating A6X2 LT AAA(EXP)sf Expected Rating A6X3 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A7B LT AAA(EXP)sf Expected Rating A7X1 LT AAA(EXP)sf Expected Rating A7X2 LT AAA(EXP)sf Expected Rating A7X3 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A8A LT AAA(EXP)sf Expected Rating A8B LT AAA(EXP)sf Expected Rating A8X1 LT AAA(EXP)sf Expected Rating A8X2 LT AAA(EXP)sf Expected Rating A8X3 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A9A LT AAA(EXP)sf Expected Rating A9B LT AAA(EXP)sf Expected Rating A9X1 LT AAA(EXP)sf Expected Rating A9X2 LT AAA(EXP)sf Expected Rating A9X3 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating B1 LT AA+(EXP)sf Expected Rating B1A LT AA+(EXP)sf Expected Rating B1X LT AA+(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 221 loans with a scheduled balance of $282.40 million as of the cutoff date. The closing date is May 29, 2026. The pool consists of prime-quality, fixed-rate jumbo mortgages solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. All of the loans are fully documented loans based on the borrowers income and credit profiles and are either investor occupied (80.6%) or are second homes (19.4%). The average loan size is $1.28 million, and the WA liquid reserves are $1.18 million Of the loans, 26.8% qualify as safe-harbor qualified mortgage while the remaining 73.2% are out of scope of QM or QM does not apply since they are investor loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate, based off the SOFR index and capped at the net WAC. KEY RATING DRIVERS Credit Risk of High-Quality Prime Jumbo Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess credit risk and expected losses. The collateral consists of 221 prime quality loans with a total unpaid balance of $282.40 million and an average size of $1.28 million. The pool is seasoned for six months, based on Fitch's analysis. The pool comprises high-quality prime loans with a weighted average (WA) FICO score of 775, a WA combined loan-to-value ratio (cLTV) of 73.4% (81.1% sustained LTV) and a WA debt-to-income ratio (DTI) of 33.6%. The WA liquid reserves amount to $1.18 millionThe loans are either investor occupied (80.6%) or are second homes (19.4%). There are no primarily owner occupied loans in the pool. These strong collateral attributes are reflected in Fitch's loss analysis. Chase 2026-JINV1 has a final probability of default (PD) of 11.28% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 38.62%. The expected loss in the 'AAAsf' rating stress is 4.36%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in Chase 2026-JINV1 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The CE or senior subordination floor of 1.40% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 1.00% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the non-retained portion of the loans will be allocated, first, to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent principal and interest (P&I) until it is deemed nonrecoverable. As a result, the LS was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyzes the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating loss projections derived from Fitch's asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. See Cash Flow Analysis section for more details. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 76.47% of the loans by balance based on Fitch's review of the due diligence. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm that have a final grade of either "A" or "B". Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects Chase 2026-JINV1 to be a fully de-linked and bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Chase 2026-JINV1, and, therefore, Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This deﬁned negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.93%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Speciﬁcally, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This deﬁned positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Speciﬁcally, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC and Digital Risk. The third-party due diligence described in Form 15E focused on Credit, Compliance, Valuations, and data integrity. Fitch considered this information in its analysis and, as a result. The pool had due diligence completed on 76.5% of the loans. All the loans reviewed in the pool had a final grade of 'A' or 'B'. Fitch applies a 5bps z-score reduction to each loan with diligence that has a final grade of 'A' or 'B'. Fitch applied this credit to the 76.5% of the loans in the pool with diligence completed and this resulted in lower losses for the overall pool. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 76.5% of the pool by balance. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Digital Risk and AMC were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also used data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the ResiPLS data layout format, and the data are considered to be comprehensive. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CITIGROUP 2016-C3: Fitch Lowers Rating on Two Tranches to 'Csf' --------------------------------------------------------------- Fitch Ratings has downgraded eight and affirmed five classes of Citigroup Commercial Mortgage Trust 2016-C3 (CGCMT 2016-C3). Fitch assigned a Stable Outlook to two classes following their downgrades. The Outlooks for three of the affirmed classes are Negative. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2016-C3 A-3 17325GAC0 LT AAAsf Affirmed AAAsf A-4 17325GAD8 LT AAAsf Affirmed AAAsf A-S 17325GAF3 LT AAsf Downgrade AAAsf B 17325GAG1 LT Asf Affirmed Asf C 17325GAH9 LT BBsf Affirmed BBsf D 17325GAL0 LT CCCsf Downgrade B-sf E 17325GAN6 LT CCsf Downgrade CCCsf F 17325GAQ9 LT Csf Downgrade CCsf X-A 17325GAJ5 LT AAsf Downgrade AAAsf X-B 17325GAK2 LT Asf Affirmed Asf X-D 17325GAU0 LT CCCsf Downgrade B-sf X-E 17325GAW6 LT CCsf Downgrade CCCsf X-F 17325GAY2 LT Csf Downgrade CCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations; Near Term Maturity Concentration: Deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 13.6% from 10.7%. The transaction has 34 remaining loans, 11 of which are Fitch Loans of Concern (FLOCs; 52.5% of the pool), including four loans (10.6%) in special servicing. All of the remaining performing loans in the pool are scheduled to mature in 2026; 33 loans mature between September and November 2026 (95.8%) and one loan matures in July 2026 (4.2%). Due to the near-term loan maturities, increasing pool concentration and adverse selection concerns, Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment at loan maturity, their loan modification or extension likelihood, and/or loss expectation to assess outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that have already defaulted or are anticipated to default due to performance declines and/or rollover concerns. The rating actions incorporate this analysis. The downgrades reflect higher pool loss expectations and refinance concerns, driven primarily by the FLOCs with elevated loss expectations, including Briarwood Mall (11.7%) and 80 Park Plaza (8.0%), as well as the increased loss expectations on 101 Hudson Street (10.2%), all of which are reporting occupancy declines and performance deterioration. In addition, the downgrades on classes A-S and X-A reflect lower near-term payoff certainty because several loans, including the aforementioned FLOCs, may not refinance at their upcoming maturity dates. The Stable Outlook on classes A-S and X-A reflects Fitch's expectation that, although these classes may not pay off in the near term, they will ultimately pay in full from loan proceeds if the loans default at maturity and are extended, or are disposed of after default. The Negative Outlooks on class B, class C, and X-B reflect the risk of further downgrades if expected losses on the FLOCs rise because they default at maturity, valuations decline, and/or resolution times for loans in special servicing lengthen. Also, the Negative Outlooks reflect the pool's concentration of office loans, comprising 38.6% of the pool. Largest Loss Contributors: The largest contributor to overall pool loss expectations is the Briarwood Mall loan, which is secured by a 369,916-sf portion of a 978,034-sf super-regional mall in Ann Arbor, MI, approximately 2.5 miles from the University of Michigan. The sponsor, Simon Property Group, acquired the remaining interest in the subject property from joint venture partner General Motors Pension Trust in April 2025. The loan was designated a FLOC due to continued occupancy declines and refinancing concerns as the loan is maturing in September 2026. The servicer-reported NOI DSCR for this interest-only (IO) loan was 1.87x as of YE 2025, compared with 1.99x as of YE 2024, 1.94x at YE 2023, 2.04x at YE 2022, below pre-pandemic levels of 3.03x at YE 2019. Occupancy was reported at 75% at YE 2025 compared with 72% at YE 2024, 71% at YE 2023, 70% at YE 2022 and 87% at YE 2019 and 95% at issuance. The remaining non-collateral anchors are Macy's, JCPenney, and Von Maur. The former Sears site is being redeveloped as part of a mixed-use project that includes a Harvest Market grocery store, Dick's Sporting Goods, and a multifamily residential complex. Fitch's 'Bsf' rating case loss of 41.2% (prior to concentration add-ons) reflects a 15% cap rate, a 7.5% stress to the YE 2023 NOI and a higher probability of default to account for refinancing concerns. Fitch's ratings also consider the loan's potential for refinancing, modification, or extension, given its continued performance during the loan term. The largest increase in loss expectations and the second-largest contributor to overall pool loss expectations is the 101 Hudson Street loan, which is secured by an office property totaling 1,351,373-sf located in Jersey City, NJ within the center of Jersey City's Waterfront district. The loan was designated a FLOC due to occupancy declines and loan performance below issuance expectations. The loan matures in October 2026. The largest tenants include Merril Lynch Pierce Fenner (28.9%, March 2027), Jefferies LLC, (4.7%, January 2035) and GBT US LLC (3.7%, November 2026). Occupancy has declined to 64% as of YE 2025 compared to 74% at YE 2022 and 98% at issuance. Upcoming rollover includes 6.0% of the NRA (Net Rentable Area) in 2026 and 31.3% of the NRA in 2027. The servicer-reported NOI DSCR was 2.58x as of YE 2025, compared with 2.62x as of YE 2024, 3.55x at YE 2023, and 2.74x at YE 2022. Fitch's 'Bsf' rating case loss of 22.2% (prior to concentration add-ons) reflects a 9% cap rate, a 20% stress to the YE 2025 NOI to reflect the occupancy declines and a higher probability of default to account for upcoming rollover and refinancing concerns. The third-largest contributor to overall pool loss expectations is the 80 Park Plaza loan, which is secured by 973,610-sf office building located in Newark, NJ. The property was developed as a build-to-suit in 1979 to serve as the headquarters for the sole tenant Public Service Enterprise Group (PSEG; 85.8% of NRA, expiring September 2030). At issuance, Fitch noted that PSEG had downsized by 14.3% of the NRA; a portion of that space (1.9% of NRA) was leased to Scholastic, Inc. through June 30, 2031, while the remainder is vacant. This FLOC was flagged due to anticipated refinance concerns, as a significant portion of PSEG's space is listed as available for sublease. The loan matures in October 2026. The property was 88% leased as of YE 2025, relatively unchanged since issuance. According to CoStar, approximately 30% of PSEG's space on the 12th through 20th floors is marketed for sublease as of May 2026. The servicer-reported NOI DSCR for this loan was 1.63x at YE 2025, compared to 1.61x at YE 2024, 1.62x at YE 2023, 1.52x at YE 2022, 1.60x at YE 2021, 1.49x at YE 2020, 1.81x at YE 2019 and 1.56x at issuance. Fitch's 'Bsf' rating case loss of 26.7% (prior to concentration add-ons) reflects a 10.25% cap rate and a 10% stress to the YE 2025 NOI to reflect the space for sublease and a higher probability of default to account for refinancing concerns. Prior Interest Shortfalls and Recovery: Classes A-S and below initially incurred interest shortfalls totaling $1.5 million in March and April 2026. The shortfalls resulted from a $2.0 million holdback requested by the master servicer, Midland Loan Services, which was removed from the trust collection account and resulted in interest shortfalls on these classes for two months. The holdback request was for potential litigation costs related to a loan on the watchlist. However, the master servicer has since refunded all but $200,000 of the holdback to bondholders, and the March and April 2026 trustee remittances have been revised. As of the revised April 2026 remittance, classes E through G are incurring total interest shortfalls of $506,067, while the senior classes have been fully reimbursed. Change in CE: As of the April 2026 distribution date, the pool's aggregate balance has been reduced by 26.8% to $554.0 million from $756.5 million at issuance. There are $3.6 million in losses that have been realized to date and 11 loans (16.9%) have been defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to 'AAAsf' rated classes are not expected due to their high CE, senior position in the capital structure and expected pay off in the near term from defeased loans and those expected to repay at maturity, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. - Downgrades to 'AAsf' and 'Asf' category rated classes could occur should performance and valuation of the FLOCs, most notably Briarwood Mall, 80 Park Plaza, 101 Hudson Street, and Hill7 Office (5.4%), deteriorate further or if more loans than expected default at or prior to maturity. - Downgrades to the 'BBsf' category rated class are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. - Downgrades to 'CCCsf', 'CCsf', and 'Csf' rated classes would occur if additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, including Briarwood Mall, 80 Park Plaza, 101 Hudson Street, and Hill7 Office (5.4%). - Upgrades to 'BBsf' category rated class 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 'CCCsf', 'CCsf', and 'Csf' are not likely, but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2016-667M: DBRS Confirms CCCsf Rating on 2 Tranches -------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2016-667M issued by COMM 2016-667M Mortgage Trust as follows: -- Class X-A at A (sf) -- Class A at A (low) (sf) -- Class B at BB (sf) -- Class C at B (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) The trends on Classes X-A, A, B, and C are Stable, while Classes D and E have credit ratings that typically do not carry a trend in commercial mortgage-backed security (CMBS) credit ratings. The credit rating confirmations reflect the collateral's increased net cash flow (NCF) since the last credit rating as a result of free rent periods for new and renewing tenants burning off in 2025. While the YE2025 NCF remains less than the Morningstar DBRS NCF derived in 2024, cash flow is expected to increase as all but one tenant will be paying full, unabated rent in 2026. The collateral property for the underlying loan is a 25-story, Class A office building in Midtown Manhattan. The $254.0 million whole loan is interest only (IO) for the entire 10-year term, with a maturity date in October 2026. The loan is sponsored by Hartz Financial, a subsidiary of Hartz Group, Inc. According to the December 2025 rent roll, the property was approximately 80.0% occupied, representing a minor increase from the previous year. As of April 2026, the property's website shows availability implying a leased rate of 81.2%, which includes a unit currently occupied by Heyman Enterprises, LLC (2.3% of net rentable area (NRA)), which will become available at the tenant's lease expiry in September 2026. Outside of Heyman Enterprsies, LLC, just one other tenant, representing 3.0% of NRA, has a lease scheduled to expire before the loan's maturity in October 2026, and three tenants, representing 9.0% of NRA have lease expiries in 2027. In the 2024 NCF analysis, Morningstar DBRS assumed an economic occupancy of 84.0% and, according to Reis, the Plaza District submarket reported a vacancy rate of 11.2% as of YE2025. The collateral reported an NCF of $11.0 million as of YE2025, representing a significant increase from the YE2024 NCF of $5.9 million, primarily driven by higher revenue following the burn off of rental abatements throughout the year. The Morningstar DBRS NCF of $14.9 million, derived in July 2024, was based on leases in place, historical operating expense information, and leasing costs based on recently executed new and renewal leases. With several tenants now paying full rent starting at various points throughout 2025, Morningstar DBRS expects NCF to continue to increase closer to the figure derived in 2024. In the analysis for this review, Morningstar DBRS maintained its valuation approach, which was based on the Morningstar DBRS NCF of $14.9 million and capitalization rate of 7.0%. The resulting Morningstar DBRS Value of $212.6 million represents a -71.3% variance from the issuance appraised value of $740.0 million and reflects a loan-to-value ratio (LTV) of 119.5%. Morningstar DBRS also maintained positive qualitative adjustments to the LTV Sizing Benchmarks totaling 4.0% to reflect the subject property's cash flow stability reflecting the recent leasing activity, the property quality, and the property's location within the Plaza District submarket. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Class X-A is an IO certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. CSAIL 2015-C3: Fitch Affirms Csf Rating on 2 Tranches ----------------------------------------------------- Fitch Ratings has affirmed seven classes of CSAIL 2015-C3 Commercial Mortgage Trust. The Rating Outlook for class C was revised to Stable from Negative. Fitch has also affirmed 12 classes of CSAIL 2016-C7 Commercial Mortgage Trust. The Outlooks for classes A-S, X-A, B, and X-B were revised to Stable from Negative. The Outlooks for classes C and D remain Negative and classes A-4 and A-5 remain Stable. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2015-C3 C 12635FAZ7 LT BBsf Affirmed BBsf D 12635FBA1 LT CCCsf Affirmed CCCsf E 12635FAG9 LT CCsf Affirmed CCsf F 12635FAJ3 LT Csf Affirmed Csf X-D 12635FBB9 LT CCCsf Affirmed CCCsf X-E 12635FAA2 LT CCsf Affirmed CCsf X-F 12635FAC8 LT Csf Affirmed Csf CSAIL 2016-C7 A-4 12637UAV1 LT AAAsf Affirmed AAAsf A-5 12637UAW9 LT AAAsf Affirmed AAAsf A-S 12637UBA6 LT AAAsf Affirmed AAAsf B 12637UBB4 LT AA-sf Affirmed AA-sf C 12637UBC2 LT BBBsf Affirmed BBBsf D 12637UAG4 LT Bsf Affirmed Bsf E 12637UAJ8 LT CCsf Affirmed CCsf F 12637UAL3 LT Csf Affirmed Csf X-A 12637UAY5 LT AAAsf Affirmed AAAsf X-B 12637UAZ2 LT AA-sf Affirmed AA-sf X-E 12637UAA7 LT CCsf Affirmed CCsf X-F 12637UAC3 LT Csf Affirmed Csf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations; Adverse Selection: Deal-level 'Bsf' rating case losses for the CSAIL 2015-C3 and CSAIL 2016-C7 transactions are 33.5% and 9.9%, respectively. CSAIL 2015-C3 is concentrated with only seven loans remaining, including six specially serviced loans (50.7% of the pool). CSAIL 2016-C7 has 29 loans remaining out of the original 53, which includes 10 (52.2%) Fitch Loans of Concern (FLOCs) with one loan (3.4%) in special servicing. The affirmations and Outlook revision to Stable in CSAIL 2015-C3 reflects the significant increase in credit enhancement (CE), better than expected outcome on the liquidation of Westfield Wheaton, and the modification/loan extension of the largest loan in the pool, The Mall of New Hampshire (49.3%). The affirmations of all classes in CSAIL 2016-C7 reflect loss expectations in line with Fitch's prior rating action. The Outlook revisions to Stable from Negative reflect increased CE and higher certainty of repayment from loans expected to refinance at maturity. The remaining Negative Outlooks reflect these classes' reliance on proceeds from loans that are expected to default at maturity and the potential for future downgrades should the expected losses increase due to further performance or appraisal value declines, lower-than-expected recoveries or prolonged workouts on specially serviced loans. Due to the near-term loan maturities, increasing pool concentration and adverse selection, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their CE. Higher probabilities of default were assigned to loans that recently transferred to special servicing or are past their respective maturity dates and expected to transfer to special servicing. Largest Contributors to Loss: The largest contributor to overall pool loss expectations in CSAIL 2015-C3 is the Westfield Trumbull loan (20.3%), which is secured by a 1.1 million-sf regional mall located in Trumbull, CT, now called Trumbull Mall. In January 2023, the mall was sold and the loan assumed by Namdar Realty Group. Anchor tenants include Target, JCPenney, Macy's and LA Fitness. Lord and Taylor closed in early 2021 following the retailer's bankruptcy. Macy's extended its lease through January 2029, from its lease expiration in April 2025. Both Macy's and Target are anchors at a competing mall located 9.5 miles away. The loan transferred to special servicing in March 2025 due to maturity default. The asset was marketed for sale in January 2026 and the special servicer is reviewing the final offers received. The reported NOI DSCR has increased year over year to 2.36x as of YE 2023 from 1.69x at YE 2022, 1.56x at YE 2021 and 1.93x at YE 2019. The increased NOI was due to a large drop in expenses as revenues only increased slightly from YE 2022 to YE 2023. Fitch's 'Bsf' rating case loss (prior to a concentration adjustment) is approximately 48%, which reflects a 17% cap rate to the Fitch cash flow based off a 15% stress to the YE 2021 NOI given the lack of certainty regarding the stability of the YE 2023 expense decline, as well as a 100% probability of default due to loan's default at maturity. The second largest contributor to overall loss expectations in CSAIL 2015-C3 is the 21 Astor Place (13.1%) loan, which is secured by a 11,121-sf retail property located in the East Village in New York City. The loan was transferred to the special servicer in November 2024 due to payment default. In July 2024, Starbucks closed after being in this location for almost 30 years. In addition, FedEx vacated over 60% of the space in 2021 and DoorDash took over the space in December 2021 at a lower rental rate. A receiver was appointed to the property in November 2025 as the special servicer continues to evaluate options and monitor the property. Fitch's 'Bsf' rating case loss (prior to a concentration adjustment) of approximately 70% is based on a discount to the most recent reported appraisal value, reflecting a stressed value of $842 psf. The third largest contributor to overall loss expectations in CSAIL 2015-C3 is the Mall of New Hampshire (49.3%) loan, which is secured by a regional mall sponsored by Simon Property Group and located in Manchester, NH. Sears, a non-collateral anchor, closed in November 2018; a portion of that space has since been re-leased to Dick's Sporting Goods and Dave & Buster's. The loan originally transferred to special servicing in May 2020 due to the pandemic and the special servicer agreed to a forbearance agreement that deferred payments between May 2020 and December 2020. The loan was returned to the master servicer in April 2021 but returned back to the special servicer in July 2025 due to maturity default. As of February 2026, the property was 78.3% occupied and the TTM September 2025 NOI DSCR was 1.69x, compared to 1.79x at YE 2024 and 1.94x at YE 2022. Tenant sales for stores less than 10,000 sf excluding Apple as of July 2024 were $378 psf, which compares to $390 psf at YE 2023, and $417 psf at YE 2021. Including Apple, tenant sales were approximately $760psf, compared with $1,535 psf at YE 2023, and $1,294 psf at YE 2021. As of June 2024, Apple's sales were $80 million. Apple's lease expires in February 2030. Fitch's 'Bsf' rating case loss (prior to a concentration adjustment) of approximately 18% is based on a discount to the most recent reported appraisal value, reflecting a stressed value of $309 psf. The largest contributor to overall loss expectations in CSAIL 2016-C7 is the Gurnee Mills (13.4%) loan, which is secured by a 1.7 million-sf portion of a 1.9 million-sf regional mall located in Gurnee, IL, approximately 45 miles north of Chicago. Non-collateral anchors include Burlington Coat Factory, Marcus Cinema and Value City Furniture. Collateral anchors include Macy's, Bass Pro Shops, Kohl's, Hobby Lobby, and Round 1 Bowling & Arcade (in the space previously occupied by Sears). The loan previously transferred to the special servicer in June 2020 for imminent monetary default, returning to the master servicer in May 2021 after receiving a forbearance. Per the September 2025 rent roll, the property was 88% occupied, compared to 88% at YE 2024, 80% at March 2024, 76.4% at June 2023, 80% at YE 2022, 77% at YE 2021, 86.7% at YE 2020 and 93% at issuance. The space previously occupied by Bed Bath & Beyond (3.6% of NRA) has been taken over by Boot Barn, which opened in June 2025, and Primark opened in November 2025. Tenants expected to open in 2026 include Sky Zone Trampoline Park, Victoria's Secret/Pink, Ikea, Rally House, and Abuela's. The servicer-reported NOI DSCR was 2.01x as of September 2025 compared to 1.88x at YE 2024, 1.87x at YE 2023, 2.06x at YE 2022, 1.86x at YE 2021, 1.24x at YE 2020, and 1.42x at YE 2019. Fitch's 'Bsf' rating case loss of approximately 29% (prior to a concentration adjustment) reflects a 15% stress to the YE 2023 NOI and a 12% cap rate. It also incorporates an increased probability of default given concerns with refinanceability and potential for maturity default. The second largest contributor to overall loss expectations in CSAIL 2016-C7 is the Peachtree Mall (3.4%) loan, which is secured by a 621,367-sf portion of an 822,443-sf regional mall located in Columbus, GA, and sponsored by Brookfield Properties Retail Group. The loan transferred to the special servicer in November 2025 for maturity default. A potential loan extension was initially being discussed but an agreement was not reached. The mall is anchored by a non-collateral Dillard's and collateral tenants that include JCPenney and Macy's. The property currently does not have a movie theater after the AMC movie theater closed in 2023. Occupancy was 83% as of September 2025 compared to 89.1% at February 2024, 93.5% at March 2023, 90.5% at YE 2021 and 90.7% at issuance. Servicer-reported NOI DSCR for this amortizing loan was 1.44x as of September 2025, compared with 1.61x at YE 2024, 1.54x at YE 2023, 1.56x at YE 2022, 1.58x at YE 2021 and 1.56x at YE 2020. Fitch's 'Bsf' rating case loss (prior to a concentration adjustment) of approximately 39% is based on a discount to the most recent reported appraisal value, reflecting a stressed value of $69 psf. Increased Credit Enhancement (CE): As of the May 2026 distribution statement, the aggregate balances of the CSAIL 2015-C3 and CSAIL 2016-C7 transactions have been reduced by 85.7% and 42.3%, respectively. There are seven loans (10.7%) in CSAIL 2016-C7 that are defeased; no remaining loans in CSAIL 2015-C3 are defeased. Interest shortfalls of $5,378,335 are impacting classes E, F, and non-rated class NR in CSAIL 2015-C3 and $1,043,511 are impacting the non-rated class NR in CSAIL 2016-C7. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not likely due to their senior position in the capital structure, continued expected amortization/paydown and defeasance of loans in CSAIL 2016-C7, but may occur should interest shortfalls impact these classes, expected to impact these classes or there are substantial increases in deal-level losses. Downgrades to the 'AA-sf' rated classes in the CSAIL 2016-C7 transaction could occur with an increase in pool-level losses from further performance deterioration of FLOCs, namely Gurnee Mills, CVS Office Centre Building, and Peachtree Mall. Downgrades to 'BBBsf' and 'BBsf' rated classes are likely with higher-than-expected losses from continued underperformance of the FLOCs, with deteriorating performance and with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. Downgrades to the 'Bsf' category are possible with higher-than-expected losses from continued underperformance of the FLOCs and/or lack of resolution and increased exposures on the specially serviced loans. Downgrades to distressed classes are possible should additional loans be transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'AA-sf' rated classes may be possible with significantly increased CE from paydowns or defeasance, coupled with stable to improved pool-level loss expectations and improved performance on the FLOCs. This includes Gurnee Mills, CVS Office Centre Building, and Peachtree Mall in CSAIL 2016-C7. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBBsf' rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' rated classes are not anticipated, given the elevated and increasing concentration, but may be possible with significantly better-than-expected recoveries on specially serviced loans upon disposition. Upgrades to the distressed classes are unlikely, absent performance stabilization of the FLOCs and improved recovery prospect of loans in special servicing. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DEEPHAVEN RESIDENTIAL 2026-CES1: DBRS Gives B Rating on B-2 Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings to the following Mortgage-Backed Notes, Series 2026-CES1 (the Notes) to be issued by Deephaven Residential Mortgage Trust 2026-CES1 (DRMT 2026-CES1 or the Trust): -- $185.8 million Class A-1A at AAA (sf) -- $28.7 million Class A-1B at AAA (sf) -- $214.5 million Class A-1 at AAA (sf) -- $12.8 million Class A-2 at AA (sf) -- $13.2 million Class A-3 at A (sf) -- $15.3 million Class M-1 at BBB (sf) -- $14.2 million Class B-1 at BB (sf) -- $8.2 million Class B-2 at B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The AAA (sf) credit rating on the Notes reflects 25.15% of credit enhancement provided by subordinate Notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 20.70%, 16.10%, 10.75%, 5.80%, and 2.95% of credit enhancement, respectively. DRMT 2026-CES1 a securitization of a portfolio of fixed, prime, expanded-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2026-CES1 (the Notes). The Notes are backed by 1,163 mortgage loans with a total principal balance of $286,536,415 as of the Cut-Off Date (March 31, 2026). The portfolio, on average, is four months seasoned, though seasoning ranges from one to 19 months. Borrowers in the pool represent prime and expanded-prime credit quality--weighted-average (WA) Morningstar DBRS-calculated FICO score of 735, Issuer-provided original combined loan-to-value ratio (CLTV) of 67.4%. As of the Cut-Off Date, 100.0% of the pool was current. Additionally, none of the borrowers are in active bankruptcy. DRMT 2026-CES1 represents the first CES securitization sponsored by RCF III TRS, LLC. Deephaven Mortgage, LLC (74.2%), Oaktree Funding Corporation (13.5%), and OCMBC, Inc (12.1%) are the top originators for the mortgage pool. The remaining originators each comprise less than 10.0% of the mortgage loans. Selene Finance LP (Selene; 100.0%) is the Servicer of all the loans in this transaction. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Paying Agent, Owner Trustee, Note Registrar, REMIC Administrator, and Certificate Registrar. U.S. Bank National Association and Computershare Trust Company, N.A. will act as the Custodians. Computershare Delaware Trust Company will act as the Delaware Trustee. As Sponsor, RCF III TRS, LLC, through one or more majority-owned affiliates, will acquire and retain a 5% eligible horizontal interest in class B-3, XS, and portion of B-2 Notes to satisfy the credit risk retention requirements. On or after the earlier of (1) the Payment Date occurring in April 2029 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Controlling Holder (majority holder of the Class XS Notes; initially expected to be affiliate of the Sponsor), may terminate the Issuer at a price equal to the greater of (A) the note amounts of the related Notes plus accrued and unpaid interest, including any cap carryover amounts, servicing advances, fees, expenses, and indemnification amounts. The Controlling Holder must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Controlling Holder will have the option, but not the obligation, to repurchase any mortgage loan (other than loans under forbearance plan as of the Closing Date) that becomes 90 or more days delinquent at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. Although the majority of the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 81.7% of the loans are designated as non-QM, 0.05% are designated as QM Rebuttable Presumption, 0.1% are designated as QM (Non-Verified), and 1.5% are designated as QM Safe Harbor. Approximately 16.7% of the mortgages are loans were not subject to the QM/ATR rules as they are made to investors for business purposes. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that becomes 180 days delinquent under the MBA delinquency method, upon review by the related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction employs a sequential-pay cash flow structure with pro rata principal payment among the senior A-1A and A-1B tranches. Principal proceeds and excess interest can be used to cover interest shortfall on the Notes, but such interest shortfalls on Class A-2 and more subordinate bonds will not be paid from principal proceeds until the Class A-1A and A-1B Notes are retired. For this transaction, the Class A-1A, A-1B, A-2, and A-3 fixed rates step-up by 100 basis points on and after the payment date in November 2029. The credit ratings reflect transactional strengths that include the following: -- Robust equity and prime/expanded-prime credit quality; -- Certain second-lien attributes; -- Satisfactory third-party due diligence review; -- Current loan status; and -- Improved underwriting standards. The transaction also includes the following challenges: -- Representations and warranties framework; -- No servicer advances of delinquent principal and interest; and -- Limited third-party diligence valuation review on a portion of the pool. Morningstar DBRS' credit rating on the notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Interest Payment Amount, Interest Carryforward Amount and Note Amount. Morningstar DBRS' credit rating on Class A-1A, A-1B, A-2, and A-3 Notes also addresses the credit risk associated with the increased rate of interest applicable to these notes if they remain outstanding on the step-up date (May 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amount based on its position in the cash flow waterfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. DRYDEN 64 CLO: Moody's Cuts Rating on $30MM Class E Notes to B1 --------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Dryden 64 CLO, Ltd.: US$30M Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Feb 19, 2025 Upgraded to Aa1 (sf) US$37.5M Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Feb 19, 2025 Affirmed Baa2 (sf) US$30M Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Feb 19, 2025 Affirmed Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$390M (Current outstanding amount US$72,859,047) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 19, 2025 Affirmed Aaa (sf) US$64.5M Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 19, 2025 Affirmed Aaa (sf) US$12M Class F Junior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Feb 19, 2025 Downgraded to Caa3 (sf) Dryden 64 CLO, Ltd., issued in May 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by PGIM, Inc.. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The upgrades on the ratings on the Class C and D notes are primarily a result of the deleveraging of the Class A notes following amortisation of the underlying portfolio since the payment date in April 2025; The Class A notes have paid down by approximately USD118.7 million (30.4% of the initial balance) in the last 12 months and USD317.1 million (81.3%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated March 2026[1] the Class A/B, Class C and Class D OC ratios are reported at 168.15%, 141.66% and 118.36% compared to April 2025[2] levels of 145.28%, 130.04% and 114.97% 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 downgrades to the ratings on the Class E notes is due to the deterioration of the key credit metrics of the underlying pool since the payment date in April 2025, with the main factor being defaults and credit risk sales having contributed to the deterioration of the portfolio par over the last twelve months. According to the trustee report, the Class EOC decreased to 104.59% in March 2026[1] from 105.21% in April 2025[2], noting again the April 2026 payments are not reflected in the reported OC ratio. In addition, the weighted average spread (WAS) of the portfolio decreased to 3.02% from 3.25% over the same period. A decline in the WAS of the portfolio will reduce the excess spread available in order to cover shortfalls caused by future defaults. The affirmations on the ratings on the Class A, B 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 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: USD248.2m Defaulted Securities: USD3.2m Diversity Score: 65 Weighted Average Rating Factor (WARF): 2796 Weighted Average Life (WAL): 3.32 years Weighted Average Spread (WAS): 2.99% Weighted Average Recovery Rate (WARR): 47.06% Par haircut in OC tests and interest diversion test: 0.8% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- 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. DRYDEN 78: S&P Assigns BB- (sf) Rating on Class E-1-R Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R2, A-2-R2, B-1-R2, B-2-R2, C-1-R2, C-2-R2, D-1-R2, and D-2-R2 debt from Dryden 78 CLO Ltd., a CLO managed by PGIM, Inc. that was originally issued in March 2020 and underwent a refinancing in April 2024. At the same time, S&P withdrew its ratings on the previous class A-1-R, A-2-R, B-1-R, B-2-R, C-1-R, C-2-R, D-1A-R, D-1B-R, and D-2-R debt following payment in full on the May 18, 2026, refinancing date. S&P also affirmed its ratings on the class E-1-R and E-2-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 May 18, 2027. -- No additional assets were purchased on the May 18, 2026, refinancing date, and the target initial par amount remains at $500 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2026. -- No additional subordinated notes were issued on the refinancing date. -- The original class D-1A-R and D-1B-R debt were combined into the replacement D-1-R2 debt. The combined notional amount remains unchanged. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E-1-R and E-2-R debt (which was not refinanced). There has been some par loss leading to a decline in overcollateralization (O/C) levels. However, we affirmed our 'BB- (sf)' ratings on classes E-1-R and E-2-R due to our views that the refinancing is an overall positive for the transaction, considering that it improved the cash flow results (leading to a lower margin of failure), and that the portfolio has relatively low exposure to 'CCC'/'CCC-' rated obligors. However, any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future." Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R2, $313.00 million: three-month CME term SOFR + 1.25% -- Class A-2-R2, $17.00 million: three-month CME term SOFR + 1.45% -- Class B-1-R2, $37.00 million: three-month CME term SOFR + 1.50% -- Class B-2-R2, $13.00 million: three-month CME term SOFR + 1.70% -- Class C-1-R2 (deferrable), $20.00 million: three-month CME term SOFR + 1.80% -- Class C-2-R2 (deferrable), $10.00 million: three-month CME term SOFR + 2.15% -- Class D-1-R2 (deferrable), $25.00 million: three-month CME term SOFR + 3.25% -- Class D-2-R2 (deferrable), $10.00 million: three-month CME term SOFR + 5.20% Previous debt -- Class A-1-R, $320.00 million: three-month CME term SOFR + 1.53% -- Class A-2-R, $10.00 million: three-month CME term SOFR + 1.73% -- Class B-1-R, $37.00 million: three-month CME term SOFR + 1.95% -- Class B-2-R, $13.00 million: three-month CME term SOFR + 2.20% -- Class C-1-R (deferrable), $20.00 million: three-month CME term SOFR + 2.45% -- Class C-2-R (deferrable), $10.00 million: 6.67% -- Class D-1A-R (deferrable), $15.50 million: three-month CME term SOFR + 3.75% -- Class D-1B-R (deferrable), $9.50 million: 7.72% -- Class D-2-R (deferrable), $10.00 million: three-month CME term SOFR + 5.75% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. 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 Dryden 78 CLO Ltd. Class A-1-R2, $313.00 million: AAA (sf) Class A-2-R2, $17.00 million: AAA (sf) Class B-1-R2, $37.00 million: AA+ (sf) Class B-2-R2, $13.00 million: AA (sf) Class C-1-R2 (deferrable), $20.00 million: A+ (sf) Class C-2-R2 (deferrable), $10.00 million: A (sf) Class D-1-R2 (deferrable), $25.00 million: BBB (sf) Class D-2-R2 (deferrable), $10.00 million: BBB- (sf) Ratings Withdrawn Dryden 78 CLO Ltd. Class A-1-R to NR from 'AAA (sf)' Class A-2-R to NR from 'AAA (sf)' Class B-1-R to NR from 'AA+ (sf)' Class B-2-R to NR from 'AA (sf)' Class C-1-R to NR from 'A+ (sf)' Class C-2-R to NR from 'A (sf)' Class D-1A-R to NR from 'BBB (sf)' Class D-1B-R to NR from 'BBB (sf)' Class D-2-R to NR from 'BBB- (sf)' Ratings Affirmed Dryden 78 CLO Ltd. Class E-1-R: BB- (sf) Class E-2-R: BB- (sf) Other Debt Dryden 78 CLO Ltd. Subordinated notes, $53.07 million: NR ELDRIDGE MMPC 2026-2: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Eldridge MMPC CLO 2026-2 Ltd./Eldridge MMPC CLO 2026-2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Eldridge Credit Advisers LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Ratings Assigned Eldridge MMPC CLO 2026-2 Ltd./Eldridge MMPC CLO 2026-2 LLC Class A-1, $202.0 million: AAA (sf) Class A-1-L loans, $30.0 million: AAA (sf) Class A-2, $16.0 million: AAA (sf) Class B, $24.0 million: AA (sf) Class C (deferrable), $32.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB (sf) Class D-2 (deferrable), $8.0 million: BBB- (sf) Class E (deferrable), $16.0 million: BB- (sf) Subordinated notes, $44.6 million: NR NR--Not rated. ELMWOOD CLO 25: S&P Affirms B- (sf) Rating on Class F Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1R, A-2R, B-R, C-R, and D-R debt from Elmwood CLO 25 Ltd./Elmwood CLO 25 LLC, a CLO managed by Elmwood Asset 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, and D debt following payment in full on the May 15, 2026, refinancing date. S&P also affirmed its ratings on the class E and F debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to May 15, 2027. -- No additional assets were purchased on the May 15, 2026, refinancing date, and the target initial par amount remains at $500 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 17, 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 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, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction will soon enter its amortization phase. Based on the latter, we expect the credit support available to all the rated classes to increase as principal is collected and the senior debt is paid down. Therefore, the class F debt does not fit our definition of 'CCC' risk in accordance with our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012." Replacement And Previous Debt Issuances Replacement debt -- Class A-1R, $310.00 million: Three-month CME term SOFR + 1.22% -- Class A-2R, $10.00 million: Three-month CME term SOFR + 1.40% -- Class B-R, $60.00 million: Three-month CME term SOFR + 1.50% -- Class C-R (deferrable), $30.00 million: Three-month CME term SOFR + 1.75% -- Class D-R (deferrable), $30.00 million: Three-month CME term SOFR + 2.80% Previous debt -- Class A-1, $310.00 million: Three-month CME term SOFR + 1.53% -- Class A-2, $10.00 million: Three-month CME term SOFR + 1.73% -- Class B, $60.00 million: Three-month CME term SOFR + 2.00% -- Class C (deferrable), $30.00 million: Three-month CME term SOFR + 2.40% -- Class D (deferrable), $30.00 million: Three-month CME term SOFR + 3.75% -- Subordinated notes, $40.00 million: N/A N/A--Not applicable. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Elmwood CLO 25 Ltd./Elmwood CLO 25 LLC Class A-1R, $310.00 million: AAA (sf) Class A-2R, $10.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-R (deferrable), $30.00 million: BBB- (sf) Ratings Withdrawn Elmwood CLO 25 Ltd./Elmwood CLO 25 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Ratings Affirmed Elmwood CLO 25 Ltd./Elmwood CLO 25 LLC Class E: BB- (sf) Class F: B- (sf) Other Debt Elmwood CLO 25 Ltd./Elmwood CLO 25 LLC Subordinated notes, $40.00 million: NR NR--Not rated. ELMWOOD CLO VIII: S&P Affirms B- (sf) Rating on Class F-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-RR, A-L, B-RR, C-RR, and D-RR debt from Elmwood CLO VIII Ltd./Elmwood CLO VIII LLC, a CLO managed by Elmwood Asset Management LLC that was originally issued in March 2021 and underwent a reset in March 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 15, 2026, refinancing date. S&P also affirmed its ratings on the class E-R and F-R debt, which were not refinanced. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture: -- The class A-L loans were issued via a credit agreement; they are pro-rata with the class A-RR notes. -- The non-call period was set to May 15, 2027. -- No additional assets were purchased on the May 15, 2026, refinancing date, and the target initial par amount remains unchanged. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. Replacement And Previous Debt Issuances Replacement debt -- Class A-RR, $572.00 million: Three-month CME term SOFR + 1.22% -- Class A-L loans, $100.00 million: Three-month CME term SOFR + 1.22% -- Class B-RR, $126.00 million: Three-month CME term SOFR + 1.55% -- Class C-RR (deferrable), $63.00 million: Three-month CME term SOFR + 1.80% -- Class D-RR (deferrable), $63.00 million: Three-month CME term SOFR + 3.25% Previous debt -- Class A-R, $672.00 million: Three-month CME term SOFR + 1.55% -- Class B-R, $126.00 million: Three-month CME term SOFR + 2.00% -- Class C-R (deferrable), $63.00 million: Three-month CME term SOFR + 2.50% -- Class D-R (deferrable), $63.00 million: Three-month CME term SOFR + 3.80% 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 (the class B-RR and C-RR debt). However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "On a standalone basis, our cash flow analysis indicated lower ratings on the class E-R and F-R debt (which were not refinanced). However, we affirmed our 'B+ (sf)' and 'B- (sf)' ratings on the class E-R and F-R debt, respectively, after considering the margin of failure, the relatively stable credit quality of the portfolio, as well as the positive cushion on the overcollateralization ratios since our last review of this transaction. In addition, we believe the payment of principal or interest on the class F-R debt, when due, does not currently depend on favorable business, financial, or economic conditions. Therefore, the class F-R debt does not fit our definition of 'CCC' risk in accordance with our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Elmwood CLO VIII Ltd./Elmwood CLO VIII LLC Class A-RR, $572.00 million: AAA (sf) Class A-L loans, $100.00 million: AAA (sf) Class B-RR, $126.00 million: AA (sf) Class C-RR, $63.00 million: A (sf) Class D-RR, $63.00 million: BBB- (sf) Ratings Withdrawn Elmwood CLO VIII Ltd./Elmwood CLO VIII LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Ratings Affirmed Elmwood CLO VIII Ltd./Elmwood CLO VIII LLC Class E-R: B+ (sf) Class F-R: B- (sf) Other Debt Elmwood CLO VIII Ltd./Elmwood CLO VIII LLC Subordinated notes, $94.50 million: NR NR--Not rated. FIGRE TRUST 2026-HE4: DBRS Finalizes B(low) Rating on Cl. F Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized the following provisional credit ratings to the Mortgage-Backed Notes, Series 2026-HE4 (the Notes) issued by FIGRE Trust 2026-HE4 (FIGRE 2026-HE4 or the Trust) as follows: -- $245.9 million Class A at AAA (sf) -- $28.8 million Class B at AA (low) (sf) -- $41.1 million Class C at A (low) (sf) -- $23.6 million Class D at BBB (low) (sf) -- $25.7 million Class E at BB (low) (sf) -- $11.1 million Class F at B (low) (sf) The AAA (sf) credit rating on the Class A Notes reflects 35.95% of credit enhancement provided by subordinate notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 28.45%, 17.75%, 11.60%, 4.90%, and 2.00% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other class in this transaction. The securitization is backed by recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of the Notes. The Notes are backed by 4,962 loans (individual HELOC draws), which correspond to 4,827 HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $383,933,694 and a total current credit limit of $408,892,340 as of the Cut-Off Date (March 31, 2026). The portfolio, on average, is three months seasoned, though seasoning ranges from zero to 21 months. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of December 2025, Figure originated, funded, and serviced more than 175,000 HELOCs totaling approximately $13.0 billion. Figure is one of the Originators and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the Sponsor of this transaction. FIGRE 2026-HE4 is the 25th rated securitization of HELOCs by Figure. Additionally, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. The transaction includes mostly junior liens (primarily second liens) and some first-lien HELOCs. HELOC Features In this transaction, all HELOCs are open-HELOCs that have a draw period of two, three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from five to 30 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average (WA) utilization rate by current line amount of approximately 93.9% after three month of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including five- to 10-year maturities. Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal Figure uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of this report for details. Transaction Counterparties Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Cornerstone Servicing (Cornerstone) and Valon Mortgage Inc. will act as Subservicers for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Cornerstone will retain servicing responsibilities on all loans that were being special serviced by Cornerstone at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. Wilmington Trust, National Association will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible interest consisting of the required percentage of the Class A, B, C, D, E, F, G, and XS Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Sponsor will agree that on an ongoing basis for so long as the Notes are outstanding: 1.It will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of Notes, in the form specified in related transaction documents; 2.Neither it nor any affiliate will sell, hedge or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitisation Rules and the UK Securitisation Rules respectively; 3.It will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitisation Rules or the UK Securitisation Rules; 4.It will confirm its EU and UK Retained Interest in the SR Investor Report; and 5.It will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason: (A) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above, or (B) it or any of its affiliates fails to comply with the covenants set out above. Similar to other transactions backed by junior lien mortgage loans or HELOCs, but different from certain Morningstar DBRS-rated FIGRE transactions, the HELOCs that are 180 days delinquent under the MBA delinquency method may not be charged off by the Servicer in its discretion. In its analysis, Morningstar DBRS assumes all junior lien HELOCs that are 180 days delinquent under the MBA delinquency method will be charged-off. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $1,343,768 (0.35% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in May 2031, the Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date. On and after the payment date in May 2031 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificateholders or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest (P&I) collections, the Class FR Certificateholders will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. Figure, as a holder of the Class FR Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificateholders. The Reserve Account's required amount will become $0 on the payment date in May 2031 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Transaction Structure The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. This transaction differs from certain previous Morningstar DBRS-rated FIGRE transactions where there is no performance trigger related to the Net WA Coupon (WAC) Rate. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of this report for more details. Notable Structural Features Similar to previous Morningstar DBRS-rated FIGRE transactions, this deal employs a Delinquency Trigger and a Cumulative Loss Trigger. The effective dates for the triggers may differ from prior rated transactions. The Delinquency Trigger is applicable on or after the 12th payment date (April 2027) rather than being applicable immediately after the Closing Date. Unlike some of the prior FIGRE securitizations that employed a pro-rata pay structure amongst all rated notes, this transaction includes rated classes - Class D, Class E, and Class F, that receive their principal payments after the pro-rata classes (Class A, Class B, and Class C) are paid in full. The inclusion of sequential pay classes retains credit support that would otherwise be reduced in the absence of a credit event. Unlike some of the prior FIGRE securitizations, this transaction includes a principal-only class, Class G, that provides credit support to the rated notes instead of overcollateralization (OC). Since there is no longer any OC, there is no longer any need for the OC Target or OC Floor present in other transactions. The Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date, lower than some of the prior FIGRE securitizations. Other Transaction Features For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of P&I on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. The Depositor may, at its option, on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at the direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible Nonperforming Loans (NPLs)) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. The credit ratings reflect transactional strengths that include the following: -- Certain HELOC attributes; -- Robust equity and prime and near-prime credit quality; -- Current loan status; and -- Satisfactory third-party due diligence sample size and compliance review. The transaction also includes the following challenges: -- Holder of the Class FR Certificates may fail to reimburse the Servicer for draws; -- Representations and warranties standard; -- No Servicer advances of delinquent P&I; and -- Certain limitations of third-party due diligence credit and valuation reviews. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the rated notes are the Current Interest, Interest Carryforward Amount, and the Note Amount. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. FLAGSHIP CREDIT 2021-3: DBRS Cuts Rating on Cl. E Debt to CCCsf --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) downgraded one credit rating on Flagship Credit Auto Trust 2021-3. Debt Rated Rating Action ---------- ------ ------ Class E CCC(sf) Downgraded Credit rating rationale includes the key analytical considerations. -- The collateral performance to date and Morningstar DBRS' assessment of future performance as of the April 2026 payment date. -- Flagship Credit Auto Trust 2021-3 has amortized to a pool factor of 9.49% and has a current cumulative net loss (CNL) to date of 14.27%. Current CNL is tracking above Morningstar DBRS' initial base-case loss expectation of 10.25%. Consequently, the revised base-case loss expectation was increased to 15.95%. The current overcollateralization (OC) percentage is 0.00% relative to the target of 3.40% of the current pool balance. Additionally, the transaction structure initially included a fully funded non-declining reserve account (RA) of 1.00% of the initial pool balance. As of the April 2026 payment date, the RA percentage, which is currently declining, is 6.77% of the current pool balance. As a result, the current level of hard credit enhancement (CE) and estimated excess spread are insufficient to support the current credit rating on the Class E Notes and, consequently, the credit rating was downgraded to a rating level commensurate with the current implied multiple. -- For the Class E Notes in Flagship Credit Auto Trust 2021-3, given the insufficient level of CE to support the full repayment of interest and principal, the credit rating was downgraded to 'CCC' (sf). In accordance with the applicable Morningstar DBRS credit rating methodology, there is a high probability that the Class E Notes will not receive full interest and principal payments by the legal final maturity. -- As a percentage of the current collateral balance, total delinquencies have decreased in recent months. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2026 Update," published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. GS MORTGAGE 2011-GC5: Moody's Lowers Rating on 2 Tranches to C -------------------------------------------------------------- Moody's Ratings has affirmed the ratings on two classes and downgraded the ratings on three classes in GS Mortgage Securities Trust 2011-GC5, Commercial Mortgage Pass-Through Certificates, Series 2011-GC5, as follows: Cl. C, Downgraded to Caa3 (sf); previously on Apr 4, 2023 Downgraded to Caa2 (sf) Cl. D, Downgraded to C (sf); previously on Apr 4, 2023 Affirmed Caa3 (sf) Cl. E, Affirmed C (sf); previously on Apr 4, 2023 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Apr 4, 2023 Affirmed C (sf) Cl. X-B*, Downgraded to C (sf); previously on Apr 4, 2023 Downgraded to Ca (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on two P&I classes, Cl. C and Cl. D, were downgraded due to the increase in interest shortfalls and higher potential losses from the exposure to delinquent specially serviced loans (100% of the pool). All three remaining loans are secured by regional malls that have experienced significant declines in cash flow and value since securitization and two of the specially serviced loans (79% of the pool) are real estate owned (REO) and have been deemed non-recoverable by the master servicer. Due to the non-recoverable determinations, interest shortfalls impacted up to Cl. D as of the April 2026 remittance statement. Moody's anticipates these shortfalls will continue and may increase further if the Parkdale Mall & Crossing loan (21% of the pool), which recently transferred back to special servicing, remains delinquent and recognizes an appraisal reduction or is deemed non-recoverable. Given the performance trends of the remaining loans, there is also risk of higher potential losses if the remaining loans remain delinquent and their performance declines further. The ratings on two P&I classes, Cl. E and Cl. F, were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, X-B, was downgraded based on a decline in the credit quality of its referenced classes. The IO class, X-B, references all remaining P&I classes, including Cl. G, which is not rated by Moody's. Social risk for this transaction is high (IPS S-4). 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. Moody's rating action reflects a base expected loss of 62.5% of the current pooled balance, compared to 37.2% at Moody's last review. Moody's base expected loss plus realized losses is now 8.3% of the original pooled balance, compared to 9.8% 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 class(es) and the recovery as a pay down of principal to the most senior class(es). Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the April 2026 distribution date, the transaction's aggregate certificate balance has decreased by 87% to $226.3 million from $1.75 billion at securitization. The certificates are collateralized by three mortgage loans secured by regional malls. All the remaining loans are delinquent, in special servicing and have passed their original or previously extended maturity dates. As of the April 2026 remittance statement cumulative interest shortfalls were $18.8 million and impact up to Cl. D. 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. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $3.3 million. The largest specially serviced loan is the Park Place Mall Loan ($152.7 million -- 67.5% of the pool), which is secured by a 478,000 SF portion of a 1.06 million SF super-regional mall in Tucson, Arizona. At securitization the non-collateral anchors were Sears, Dillard's, and Macy's, however, Sear's (221,000 SF) and Macy's (160,000 SF) closed in July 2018 and May 2020, respectively. The Sears space was sold and subsequently, Round 1 (44,000 SF) backfilled a portion of the former space in 2019. The largest collateral tenant is Century Theaters, an 18-screen movie theatre with a lease expiration in August 2026. Property performance has declined significantly since securitization, and the 2025 NOI was 27% lower than in 2019 and 42% lower than 2016. The loan has been in special servicing since September 2020 and became REO in September 2023. An April 2025 appraisal valued the property 74% below the securitization value and 48% below the outstanding loan balance. The loan has amortized 23% since securitization but is last paid through its July 2024 payment date and has been deemed non-recoverable, accruing over $14 million of cumulative non recoverable interest to date. Special servicer commentary indicates the loan is not listed for sale and the asset manager is working on new and renewal leasing. The second largest specially serviced loan is the Parkdale Mall & Crossing Loan ($47.5 million -- 21% of the pool), which is secured by a 655,000 SF portion of a 1.31 million SF super-regional mall, Parkdale Mall, and an adjacent 88,100 SF strip center, Parkdale Crossing located in Beaumont, Texas. At securitization non-collateral anchors included Sears, Dillard's, JC Penney, and Macy's. However, Macy's and Sear's both closed their locations in 2017 and February 2020, respectively. The former Macy's location had been reconfigured and Dick's Sporting Goods, HomeGoods and Five Below took occupancy in 2019, however, the Sears space remains vacant. Furthermore, a former major collateral tenant, Bealls (40,000 SF; 5% of the NRA) closed its location in May 2020 as a part of the larger Stage Stores Chapter 11 bankruptcy filing. The property's NOI has declined significantly since securitization due to lower rental revenue, and the 2025 NOI was 35% lower than in 2019 and 48% lower than 2016. The loan was previously in special servicing during 2020 and 2021 and received modifications, with the most recent extending the maturity date to March 2026 and with excess cash flow paying down the loan balance. The loan was returned to the master servicer in October 2022, however, recently transferred back to special servicing in March 2026 due to imminent balloon/maturity default as it was not able to repay at its previously extended maturity date. The loan has amortized 49% since securitization and remains last paid through its February 2026 payment date. A February 2022 appraisal valued the property 72% below the securitization value and 11% below the outstanding loan balance. Servicer commentary indicates they are continuing discussions with the borrower towards a resolution. The third largest specially serviced loan is the Champlain Centre Loan ($26.1 million -- 11.5% of the pool), which is secured by a 484,556 SF portion of a 610,556 SF power retail center located in Plattsburgh, NY. The property is anchored by a Target (non-collateral), Hobby Lobby (56,351 SF), Dicks Sporting Goods (52,000 SF), JC Penney (51,282), Kohl's (43,821 SF) and Ollie's Bargain Outlet (32,695). As of November 2025, the collateral was 88% occupied compared to 72% in September 2022 and 83% in December 2019. The loan has been in special servicing since April 2021 and became REO in April 2024. Property performance has significantly declined, and the 2025 NOI was 62% lower than in 2019 and 72% lower than 2016. An April 2025 appraisal valued the property 76% below the securitization value and 43% below the outstanding loan balance. The loan is last paid through its October 2024 payment date and has been deemed non-recoverable, accruing $1.5 million of cumulative non-recoverable interest to date. Servicer commentary indicates the loan is not listed for sale and the asset manager is working on new and renewal leasing. Moody's estimates an aggregate $141.6 million loss for the specially serviced loans (62.5% expected loss on average). GS MORTGAGE 2015-GS1: Fitch Affirms 'Csf' Rating on Two Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed eight classes of GS Mortgage Securities Trust 2015-GS1 (GSMS 2015-GS1). The Rating Outlooks for two of the affirmed classes were revised to Stable from Negative. The Outlooks are Negative for two of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2015-GS1 B 36252AAH9 LT BBBsf Affirmed BBBsf C 36252AAK2 LT Bsf Affirmed Bsf D 36252AAL0 LT CCsf Affirmed CCsf E 36252AAN6 LT Csf Affirmed Csf F 36252AAQ9 LT Csf Affirmed Csf PEZ 36252AAJ5 LT Bsf Affirmed Bsf X-B 36252AAF3 LT BBBsf Affirmed BBBsf X-D 36252AAM8 LT CCsf Affirmed CCsf KEY RATING DRIVERS 'Bsf' Loss Expectations; Increasing Adverse Selection: The affirmations reflect the generally stable pool performance and improved loss expectations. Based on the original balance and including losses to date, deal-level 'Bsf' rating case loss has decreased to 9.1% from 10.5% at Fitch's prior rating action in May 2025. All of the remaining loans in the transaction are Fitch Loans of Concern (FLOCs), which includes five loans (71.7%) in special servicing. Other than South Plains Mall (38.7% of the pool, loan maturity extended to November 2029) and Glenbrook Square (28.3%; extended to November 2030), all other loans in the pool are past their scheduled maturity dates. Due to the concentrated nature of the pool and adverse selection, Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment and/or loss expectation to assess outstanding classes' ratings relative to their credit enhancement (CE); the rating actions also incorporate this analysis. Higher probabilities of default were assigned to loans that are anticipated to default or have already defaulted at maturity due to performance declines and/or rollover concerns. The Outlook revision to Stable from Negative for class B and X-B reflect increased CE from loans repaying in full since the prior rating action in addition to modifications/loan extensions of the two largest loans (67.0% of the pool), including Glenbrook Square, which received investment equity from new sponsorship in conjunction with a modification. The Negative Outlooks on class C and PEZ reflect possible downgrades due to elevated loss expectations on FLOCs, including South Plains Mall, Glenbrook Square, and Deerfield Crossing (15.6%) loans. Downgrades are also possible should loss expectations on the specially serviced loans increase further due to lack of performance stabilization, updated lower valuations and/or with extended resolution times. The Negative Outlooks also reflect the pool's concentration of office loans, comprising two loans (24.4% of the pool), both of which are FLOCs. Largest Loss Contributors: The largest contributor to overall pool loss expectations is the Glenbrook Square loan, secured by 784,604-sf of a 1,005,604-sf super-regional mall in Fort Wayne, IN. The loan was previously in special servicing and returned to the master servicer in November 2025, after a loan assumption and modification closed in August 2025. A new sponsor acquired the property in August 2025 for an undisclosed amount and assumed the existing loan. Terms of the loan modification include an equity contribution of $10 million to bring the loan current, cover tax and insurance shortfalls, and pay associated fees and expenses. With the modification, the trust will receive excess cash and interest-only payments on the outstanding UPB through the extended maturity date in November 2030. Collateral anchors include Macy's (25% of NRA leased through January 2027) and JCPenney (19%; May 2028). Former collateral anchor Carson's (12.1%) and non-collateral anchor Sears both closed their stores at the property in 2018, and the Sears store has been demolished. Collateral occupancy was 81.0% as of the November 2025 rent roll, compared to 82.3% in April 2024 and 80.7% in September 2022. The 4Q25 servicer-reported NOI DSCR was 1.65x, compared to 1.14x at YE 2022. Fitch's 'Bsf' rating case loss of 45.8% (prior to concentration add-ons) reflects a 21% cap rate, 7.5% stress to the YE 2024 NOI and factors an elevated probability of default due to near-term anchor tenant rollover concerns and related co-tenancy risk. The second largest contributor to overall pool loss expectations is the Deerfield Crossing loan, secured by a 320,902-sf suburban office property in Mason, OH. The loan transferred to special servicing in September 2023 for imminent monetary default. According to the servicer, foreclosure was filed in November 2023 and a receiver was appointed in January 2024. According to the January 2026 rent roll, the property was 42.2% occupied, compared with 40.5% at June 2025, 55.3% at January 2024, 53.0% at June 2023, 61% at YE 2022, 82% at YE 2021 and 89% as of YE 2020. The decline in occupancy is primarily due to Cengage Learning reducing its footprint as part of a renewal agreement. As part of the 11-year renewal agreement (through January 2033), Cengage reduced its space to 56,011-sf (NRA 17.5%) from 160,069 sf (NRA 49.9%), and included a 50% rent abatement period occurring between January 2022 and January 2024. The tenant subsequently further reduced its space to 13.5% of the NRA. The TTM June 2025 servicer-reported NOI DSCR was 0.60x, compared with 0.42x at YE 2024. Fitch's 'Bsf' rating case loss of 52.2% (prior to concentration add-ons) considers a discount to the February 2025 appraisal value, which has declined 61% from the issuance appraisal value of $44.2 million. The third largest contributor to overall pool loss expectations is the South Plains Mall loan, secured by 992,140-sf portion of a 1,135,840-sf super-regional mall located in Lubbock, TX. The loan is sponsored by the Macerich Company and GIC Realty. The loan transferred to special servicing in October 2025 ahead of its November 2025 maturity date and was recently modified in February 2026 to extend the maturity date by four years through November 2029. Collateral anchors include Dillard's (22.4% of collateral NRA; June 2046), JCPenney (20.6%; March 2028), Home Depot (10.4%; December 2040), Premiere Cinemas (16 screens: 6.3%; April 2032) and a non-collateral former Sears (143,700 sf), which closed in late 2018. Dillard's previously consolidated its two locations at the mall and relocated to the former Sears space. The grand opening of the new flagship store occurred in October 2024. As of December 2025, the overall property was 81.6% occupied, compared to 77% at YE 2024, 84% at YE 2023, 96% at YE 2022, 84% at YE 2021 and 79% at YE 2020. The servicer-reported YE 2025 DSCR was 1.98x, compared to 1.97x at YE 2024 NOI DSCR, 2.00x at YE 2023 NOI DSCR, 1.87x at YE 2022, 1.69x at YE 2021 and 1.77x at YE 2020. Fitch's 'Bsf' rating case loss of 18.9% (prior to concentration add-ons) reflects a 15% cap rate and 20% stress to the YE 2024 NOI and factors a lower probability of default given the recent loan extension. Improved Credit Enhancement (CE): As of the April 2026 distribution date, the pool's aggregate balance has been reduced by 77.9% to $181.1 million from $820.6 million at issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'BBBsf' category rated class could occur with an increase in loss expectations on larger specially serviced loans or if loans re-default at or prior to their extended maturity dates. - Downgrades to the 'Bsf' category rated classes are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly Glenbrook Square, Deerfield Crossing, and South Plains Mall with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. - Downgrades to 'CCsf' and 'Csf' rated classes would occur should additional loans default at their extended loan maturities, or as losses become realized or more certain on FLOCs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to 'Bsf' category rated classes are not likely and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, particularly Glenbrook Square, Deerfield Crossing, and South Plains Mall and there is sufficient CE to the classes; - Upgrades to 'CCsf' and 'Csf' are not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. HIT TRUST 2022-HI32: DBRS Confirms B(low) Rating on Cl. G Certs --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) upgraded its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2022-HI32 issued by HIT Trust 2022-HI32 as follows: -- Class C to AAA (sf) from AA (sf) -- Class D to AA (sf) from A (high) (sf) -- Class E to BBB (high) (sf) from BBB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class F at BB (low) (sf) -- Class G at B (low) (sf) Morningstar DBRS also discontinued its credit rating on Class B, as the certificate repaid in full with the April 2026 reporting. Morningstar DBRS changed the trends on Classes D and E to Positive from Stable, while the remaining trends are Stable. The credit rating upgrades and Positive trends reflect increased credit support and continued transaction deleveraging, resulting from 19 property releases to date (14 since Morningstar DBRS' last review) and unscheduled principal curtailments, as well as the results of the stressed scenario that Morningstar DBRS considered as part of this review. The stressed scenario results also supported the credit rating confirmations on Classes F and G, in addition to the two unrated certificates with a combined balance of $45.1 million, which provide cushion to the rated certificates against realized loss. As of the April 2026 reporting, 13 properties remain in the portfolio with an outstanding aggregate principal balance of $246.6 million, reflecting a collateral reduction of 47.0% since issuance. The transaction features a pro rata/sequential pay structure that allows for pro rata paydowns of the first 20.0% at a property release price of 105.0% of the allocated loan amount (ALA), which increase to 110.0% thereafter. At issuance, the transaction was secured by a portfolio of 32 limited-service, extended-stay, select-service, and full-service hotels comprising 4,168 keys across 18 states. The transaction is sponsored by an affiliate of Hospitality Investors Trust, Inc. (HIT). HIT owns or has an interest in nearly 100 hotels across more than 25 states, all of which are operated under franchise or license agreements with a national brand owned by one of Hilton Worldwide, Inc.; Marriott International, Inc.; Hyatt Hotels Corporation; or one of their respective subsidiaries or affiliates. The $465.0 million loan, along with $5.3 million of sponsor equity, was used to refinance $455.3 million of existing debt, establish an $8.0 million upfront property improvement plan (PIP) reserve, and cover closing costs. The interest-only, floating-rate loan had an initial two-year term, with three one-year extension options available. With any extension options, the borrower was required to have a strike price equal to the greater of 4.25% and the rate, yielding a debt service coverage ratio (DSCR) of 1.05 times (x). The loan is on the servicer's watchlist as it's approaching its fully extended maturity date in July 2026; the servicer has contacted the borrower about their payoff plans. For the remaining 13 properties, operating performance remains relatively in line with Morningstar DBRS' expectations, with the financial reporting for the trailing 12-month (T-12) period ended September 30, 2025, reflecting a net cash flow (NCF) of $24.6 million, as compared with the T-12 Q3 2024 NCF of $27.8 million and the Morningstar DBRS figure for these properties. Occupancy at the remaining properties has remains healthy as well, with the portfolio reporting a weighted-average (WA) Q3 2025 occupancy figure of 77.4%, a moderate decline from the Q3 2024 and issuance figures of 79.1% and 83.5%, respectively. For the purposes of this review, Morningstar DBRS updated its loan-to-value ratio (LTV) Sizing Benchmarks to account for the 19 released properties to date. Morningstar DBRS derived a value of $200.8 million based on a Morningstar DBRS NCF of $19.7 million, which represents a conservative upgrade stress of 20% to the in-place T-12 NCF for the period ended September 30, 2025, and a capitalization rate of 9.50%. In addition, Morningstar DBRS maintained positive qualitative adjustment of 5.50% to account for strong revenue growth, sponsorship investment, and geographic diversity along with a strong presence in the high-growth Sun Belt region. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. HOMES 2026-NQM3: S&P Assigns B (sf) Rating on Class B-2 Certs ------------------------------------------------------------- S&P Global Ratings assigned its ratings to HOMES 2026-NQM3 Trust's mortgage-backed certificates. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans (some with interest-only periods) with a weighted average seasoning of five months. The loans are secured by single-family residences, planned-unit developments, townhouses, condominiums, two- to four-unit homes, manufactured housing and condotel properties to both prime and nonprime borrowers. The pool consists of 815 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate), higher-priced QM, non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt loans. S&P said, "After we assigned preliminary ratings on May 5, 2026, the sponsor increased the size of the A-1FCF and A-1LCF certificates as well as the associated exchange class A-1 certificates and decreased the size of the A-1A and A-1B certificates, keeping the subordination credit enhancement the same. In addition, the class B-1 certificate was determined at pricing to have a fixed pass-through rate. After considering the final coupons and the updated structure, our assigned ratings are unchanged from the preliminary ratings." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) HOMES 2026-NQM3 Trust Class A-1FCF, $157,800,000(ii): AAA (sf) Class A-1LCF, $52,600,000(ii): AAA (sf) Class A-1, $210,400,000(ii): AAA (sf) Class A-1A, $63,210,000: AAA (sf) Class A-1B, $9,670,000: AAA (sf) Class A-2, $22,745,000: AA (sf) Class A-3, $33,272,000: A (sf) Class M-1, $13,534,000: BBB (sf) Class B-1, $9,775,000: BB (sf) Class B-2, $8,271,000: B (sf) Class B-3, $5,074,880: NR Class A-IO-S, notional(iii): NR Class X, notional(iii)(iv): NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The class A-1FCF and A-1LCF certificate holders can exchange the initial exchangeable certificates for the class A-1 exchangeable certificates. The exchangeable certificates will receive a proportionate share of the principal and interest payments otherwise allocable to the classes of initial exchangeable certificates. (iii)The notional amount equals the loans' aggregate stated principal balance. (iv)This class will receive certain excess amounts including prepayment premium and default interest and will not be entitled to payments of principal. NR--Not rated. HPS LOAN 2024-19: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from HPS Loan Management 2024-19 Ltd./HPS Loan Management 2024-19 LLC, a CLO managed by HPS Investment Partners CLO (UK) LLP 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-1A, B-1B, B-2, C-1, C-2, D-1, D-2, and E debt following payment in full on the May 15, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 15, 2027. -- No additional assets were purchased on the May 15, 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 15, 2025. -- No additional subordinated notes were issued on the refinancing date. -- The previous class B-1A, B-1B, and B-2 debt were combined into the replacement class B-R debt. -- The previous class C-1 and C-2 debt were combined into the replacement class C-R debt. Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $256.00 million: Three-month CME term SOFR + 1.26% -- Class A-2-R, $8.00 million: Three-month CME term SOFR + 1.50% -- Class B-R, $40.00 million: Three-month CME term SOFR + 1.60% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 1.80% -- Class D-1-R (deferrable), $20.00 million: Three-month CME term SOFR + 2.75% -- Class D-2-R (deferrable), $8.00 million: Three-month CME term SOFR + 4.75% -- Class E-R (deferrable), $12.00 million: Three-month CME term SOFR + 6.25% Previous debt -- Class A-1, $256.00 million: Three-month CME term SOFR + 1.57% -- Class A-2, $8.00 million: Three-month CME term SOFR + 1.80% -- Class B-1A, $20.00 million: Three-month CME term SOFR + 2.05% -- Class B-1B, $10.00 million: 6.000% -- Class B-2, $10.00 million: Three-month CME term SOFR + 2.25% -- Class C-1 (deferrable), $18.00 million: Three-month CME term SOFR + 2.35% -- Class C-2 (deferrable), $6.00 million: Three-month CME term SOFR + 2.90% -- Class D-1 (deferrable), $20.00 million: Three-month CME term SOFR + 3.75% -- Class D-2 (deferrable), $8.00 million: Three-month CME term SOFR + 5.25% -- Class E (deferrable), $12.00 million: Three-month CME term SOFR + 7.00% 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 HPS Loan Management 2024-19 Ltd./ HPS Loan Management 2024-19 LLC Class A-1-R, $256.00 million: AAA (sf) Class A-2-R, $8.00 million: AAA (sf) Class B-R, $40.00 million: AA (sf) Class C-R, $24.00 million: A (sf) Class D-1-R, $20.00 million: BBB (sf) Class D-2-R, $8.00 million: BBB- (sf) Class E-R, $12.00 million: BB- (sf) Ratings Withdrawn HPS Loan Management 2024-19 Ltd./ HPS Loan Management 2024-19 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B-1A to NR from 'AA+ (sf)' Class B-1B to NR from 'AA+ (sf)' Class B-2 to NR from 'AA (sf)' Class C-1 to NR from 'A+ (sf)' Class C-2 to NR from 'A (sf)' Class D-1 to NR from 'BBB (sf)' Class D-2 to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt HPS Loan Management 2024-19 Ltd./ HPS Loan Management 2024-19 LLC Subordinated notes, $40.00 million: NR NR--Not rated. JP MORGAN 2018-ASH8: DBRS Cuts Rating on Cl. D Certs to B(low) -------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2018-ASH8 issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8 as follows: -- Class B to BBB (high) (sf) from A (sf) -- Class C to BB (high) (sf) from BBB (sf) -- Class X-EXT to B (sf) from B (high) (sf) -- Class D to B (low) (sf) to from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A at AA (sf) -- Class E at CCC (sf) -- Class F at CCC (sf) The trend on Class A is Stable. The trends on Classes B, C, X-EXT, and D are Negative. Classes E and F have credit ratings that do not typically carry trends in commercial mortgage-backed securities credit ratings. Credit Rating Action Rationale -- The credit rating confirmation and Stable trend on Class A reflects the continued paydown of this class as well as the insulation from losses implied in the hypothetical liquidation scenario analyzed with this review. -- The credit rating downgrades reflect the results of Morningstar DBRS' Loan-to-Value (LTV) Sizing analysis, which was based on a Morningstar DBRS Value of $213.0 million and resulted in downward credit ratings pressure across the three downgraded principal classes in Class B, C, and D. The Morningstar DBRS Value approach is further described below. Loan/Collateral Overview -- The $395.0 million mortgage loan is secured by the fee and leasehold interests in a portfolio of eight full-service hotels totaling 1,964 rooms across six states. There have been no property releases to date. -- The portfolio is primarily concentrated in California, including two hotels, Embassy Suites Santa Clara (257 rooms) and Hilton Orange County/Costa Mesa (486 rooms), accounting for 33.7% of the allocated loan amount (ALA). There are also two properties in Florida: Embassy Suites Orlando Airport (174 rooms) and Key West Crowne Plaza La Concha (160 rooms), accounting for 22.24% of the ALA. The remaining hotels are spread across Oregon (276 rooms), Virginia (267 rooms), Minnesota (220 rooms), and Maryland (124 rooms). -- In February 2023, the loan did not meet the debt yield requirement for a maturity extension and therefore, the borrower infused $50.0 million in capital in order to extend the maturity date to February 2024. -- Another loan modification was executed in April 2024 where the borrower contributed an additional $10.0 million to extend the maturity date to February 2025. As part of the modification, the borrower was required to pay down the loan by an additional $10.0 million in October 2024, bringing the outstanding balance to $325.0 million. -- In February 2025, the loan did not meet the debt yield test again for exercising the maturity extension option to February 2026. As a result, the loan transferred back to the special servicer in March 2025. The special servicer and borrower entered into a short-term extension agreement in March 2025 through February 2026 to allow time for additional modification discussions; however, no agreement was ultimately reached. Following this, special servicer issued a Notice of Default that was retroactive to the February 2025 maturity date. -- A December 2025 appraisal obtained by the special servicer estimated an as-is value of $448.0 million, down 14.4% from $523.1 million at issuance in 2018. Performance Highlights -- The portfolio experienced significant cash flow disruptions following the onset of the COVID-19 pandemic, and the servicer worked with the borrower to provide time for stabilization with the provided modifications. The sponsor has continued to exhibit commitment to the portfolio and the trust loan through the paydowns to date; however, the property-level cash flows continue to lag issuance expectations and, as of the most recent reporting from year-end 2024, the loan's debt service coverage ratio was below breakeven. -- The special servicer provided information suggesting there was some improvement in the 2025 cash flows; however, occupancy continues to lag the 82.0% figure from issuance, with the portfolio's consolidated occupancy rate reported at 69.2% as of January 2026. -- The reported consolidated portfolio revenue per available room (RevPAR) of $138.21 in January 2026 remained in line with RevPAR at YE2024 and the Morningstar DBRS-concluded RevPAR of $133.49 in 2020, when Morningstar DBRS assigned the credit ratings. Analysis Summary -- As part of this review, the Morningstar DBRS Value was updated to reflect the recent cash flow trends, resulting in a value of $213.0 million. Morningstar DBRS based its Net Cash Flow (NCF) of $19.7 million on the trailing 12-month period ended October 31, 2025, financial reporting and applied a capitalization rate of 9.2%. -- The Morningstar DBRS Value implies a LTV of 152.6%. -- Morningstar DBRS also maintained positive qualitative adjustments to the LTV Sizing Benchmarks totaling 1.00% to reflect positive market fundamentals for select properties in the portfolio. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Class X-EXT is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2026-3: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to J.P. Morgan Mortgage Trust 2026-3 (JPMMT 2026-3). Entity/Debt Rating ----------- ------ JPMMT 2026-3 A1 LT AAA(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A10A LT AAA(EXP)sf Expected Rating A10B LT AAA(EXP)sf Expected Rating A10X1 LT AAA(EXP)sf Expected Rating A10X2 LT AAA(EXP)sf Expected Rating A10X3 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A11X LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A13X LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A14X LT AAA(EXP)sf Expected Rating A14X2 LT AAA(EXP)sf Expected Rating A14X3 LT AAA(EXP)sf Expected Rating A14X4 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A15A LT AAA(EXP)sf Expected Rating A15B LT AAA(EXP)sf Expected Rating A15X1 LT AAA(EXP)sf Expected Rating A15X2 LT AAA(EXP)sf Expected Rating A15X3 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A16B LT AAA(EXP)sf Expected Rating A16X1 LT AAA(EXP)sf Expected Rating A16X2 LT AAA(EXP)sf Expected Rating A16X3 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A17A LT AAA(EXP)sf Expected Rating A17B LT AAA(EXP)sf Expected Rating A17X1 LT AAA(EXP)sf Expected Rating A17X2 LT AAA(EXP)sf Expected Rating A17X3 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A18A LT AAA(EXP)sf Expected Rating A18B LT AAA(EXP)sf Expected Rating A18X1 LT AAA(EXP)sf Expected Rating A18X2 LT AAA(EXP)sf Expected Rating A18X3 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A3A LT AAA(EXP)sf Expected Rating A3B LT AAA(EXP)sf Expected Rating A3X1 LT AAA(EXP)sf Expected Rating A3X2 LT AAA(EXP)sf Expected Rating A3X3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4B LT AAA(EXP)sf Expected Rating A4X1 LT AAA(EXP)sf Expected Rating A4X2 LT AAA(EXP)sf Expected Rating A4X3 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A5A LT AAA(EXP)sf Expected Rating A5B LT AAA(EXP)sf Expected Rating A5X1 LT AAA(EXP)sf Expected Rating A5X2 LT AAA(EXP)sf Expected Rating A5X3 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A6A LT AAA(EXP)sf Expected Rating A6B LT AAA(EXP)sf Expected Rating A6X1 LT AAA(EXP)sf Expected Rating A6X2 LT AAA(EXP)sf Expected Rating A6X3 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A7B LT AAA(EXP)sf Expected Rating A7X1 LT AAA(EXP)sf Expected Rating A7X2 LT AAA(EXP)sf Expected Rating A7X3 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A8A LT AAA(EXP)sf Expected Rating A8B LT AAA(EXP)sf Expected Rating A8X1 LT AAA(EXP)sf Expected Rating A8X2 LT AAA(EXP)sf Expected Rating A8X3 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A9A LT AAA(EXP)sf Expected Rating A9B LT AAA(EXP)sf Expected Rating A9X1 LT AAA(EXP)sf Expected Rating A9X2 LT AAA(EXP)sf Expected Rating A9X3 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating B1X LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating B2X LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating Transaction Summary Fitch Ratings expects to rate the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2026-3 (JPMMT 2026-3), as indicated above. The certificates are supported by 234 loans with a scheduled balance of $312.68 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages originated mainly by United Wholesale Mortgage, LLC, CrossCountry Mortgage LLC (CCM), and PennyMac Corp aka PennyMac Loan Services LLC,. The loan-level representations and warranties (R&Ws) are provided by the various sellers and originators. All mortgage loans in the pool will be serviced by JPMCB, PennyMac Corp aka PennyMac Loan Services, loanDepot.com and United Wholesale Mortgage. Cenlar FSB will subservice the loans for United Wholesale Mortgage. Rocket Mortgage LLC is the master servicer. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The senior certificates are fixed rate or floating rate and capped at the net weighted average coupon (WAC), The B-1A and B-2A certificates pass through rates are based off of the net WAC minus a spread and the B3, B-4, B-5, and B-6 certificates are based on the net WAC. KEY RATING DRIVERS Credit Risk of Prime Credit Quality (Positive) RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of fixed-rate, first lien residential mortgage loans with original terms to maturity of up to 30 years, and 63.4% of the loans are purchases, over 90% of the loans are single family/PUDs, and 100% of the loans are owner occupied or second homes. The majority of the loans roughly 24% are located in California. The loans are seasoned at an average of two months. The pool has a weighted average (WA) original FICO score of 773, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (cLTV) of 73.7%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 81.4%. The borrower DTI is 34.1% and the weighted average liquid reserve amount is $688,460.50. This transaction has a final probability of default (PD) of 11.52% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 36.23%. The expected loss in the 'AAAsf' rating stress is 4.18%. Structural Analysis (Mixed) The mortgage cash flow and loss allocation in JPMMT 2026-3 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The CE or senior subordination floor of 1.45% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 1.05% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the loans will be allocated, first, to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent P&I until it is deemed nonrecoverable. As a result, the LS was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyzes the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating Fitch's loss projections as 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% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm with a final grade of either "A" or "B." Counterparty and Legal Analysis (Neutral) Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects JPMMT 2026-3 to be fully de-linked and the transaction will be structured with a bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral) Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to JPMMT 2026-3, and, therefore, Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 9.57%, at 'base case'. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one ful lcategory. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Maxwell, Opus, Inglet Blair, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property value reviews. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: Fitch gives a 5bps z-score reduction to the origination PD for each loan that has a due diligence grade of "A" or "B." In this transaction 100% of the loans had a due diligence review and all the loans reviewed received a final grade of "A" or "B." As a result, losses were lowered based on the due diligence results. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool by balance. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC, Consolidated Analytics Maxwell, Opus, Inglet Blair were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more details. Fitch also used data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the Resi PLS data layout format, and the data is considered to be comprehensive. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JPMCC COMMERCIAL 2017-JP7: DBRS Cuts F-RR Certs Rating to Csf ------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2017-JP7 issued by JPMCC Commercial Mortgage Securities Trust 2017-JP7 as follows: -- Class C to BBB (low) (sf) from BBB (high) (sf) -- Class D to B (low) (sf) from BB (sf) -- Class E-RR to CCC (sf) from B (low) (sf) -- Class F-RR to C (sf) from CCC (sf) -- Class X-B to BBB (sf) from A (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at A (high) (sf) -- Class G-RR at C (sf) Morningstar DBRS also discontinued the credit rating on Class A-3. The trends on Classes B, C, D, and X-B are Negative. Classes E-RR, F-RR, and G-RR have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all other classes are Stable. The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased liquidated loss projections as a result of updated appraisals for the three loans in special servicing (21.1% of the pool) as well as the projected losses resulting from the hypothetical liquidation of a non-specially serviced but troubled loan, 211 Main Street (Prospectus ID#6; 7.4% of the pool). Projected liquidated losses from those four loans totalled around $72.0 million, which would erode just over half of the balance of Class E-RR, and significantly reduce credit enhancement to Classes D and C, supporting the credit rating downgrades. All but one of the remaining loans in the pool has an upcoming maturity in 2027; Morningstar DBRS expects most loans to successfully secure takeout financing but has identified five loans (9.8% of the pool) with elevated refinance risk that were stressed in the analysis for this review. The largest three of those loans are secured by suburban office properties where Morningstar DBRS noted increased risks in occupancy and/or rollover concerns ahead of the respective maturity dates. Morningstar DBRS analyzed these loans with stressed probability of default and loan-to-value (LTV) adjustments where applicable. Should the property values deteriorate beyond Morningstar DBRS' expectations, there could be further downward pressure on the credit ratings in the middle of the capital stack, supporting the Negative trends on Classes B, C, and D. Interest shortfalls as of the April 2026 remittance totaled nearly $2.4 million, contained to the unrated Class N-RR. Shortfalls have nearly doubled since the July 2025 credit rating action, the most recent contributor to which is the SpringHill Suites Newark Liberty International Airport loan (Prospectus ID#13; 2.7% of the pool), secured by a 200-key limited-service hotel in Newark, New Jersey, which the master servicer has deemed nonrecoverable. Morningstar DBRS liquidated the loan based on a 20% haircut to the January 2026 appraisal of $12.5 million, resulting in an implied loss severity of 98%. As of the April 2026 remittance, 31 of the original 37 loans remained in the pool, representing a collateral reduction of 27.9% since issuance. Seven loans, representing 18.6% of the pool, are defeased. There are five loans, representing 10.4% of the pool, on the servicer's watchlist. By property type, the pool is most concentrated in office properties, representing 48.1% of the pool, followed by retail properties, representing 16.0% of the pool. The largest loan in special servicing, First Stamford Place (Prospectus ID#5; 10.3% of the pool), is secured by a Class A office complex in Stamford, Connecticut. The trust debt of $60.0 million is a pari passu portion of a $164.0 million whole loan securitized across three other commercial mortgage-backed security (CMBS) transactions, including BANK 2017-BNK7 and JPMDB Commercial Mortgage Securities Trust 2017-C7, which Morningstar DBRS also rates. The loan transferred to special servicing in December 2023 for payment default and the trust took title of the property in February 2025. Stabilization efforts remain underway with the special servicer projecting a disposition in early 2027. The property has faced occupancy declines, with the February 2026 occupancy figure reported at 75%. The complex was most recently appraised in December 2025 at a value of $129.0 million, a decline from the issuance appraised value of $285.0 million. Morningstar DBRS liquidated the loan based on a 20% haircut to the December 2025 value, resulting in a projected loss of $27.4 million and a loss severity of 46%. The second-largest loan in special servicing, Starwood Capital Group Hotel Portfolio (Prospectus ID#4; 8.1% of the pool), transferred to the special servicer in March 2025 for imminent monetary default. Pari passu pieces of the whole loan are held across 11 CMBS transactions, four of which (including the subject deal) Morningstar DBRS rates. A loan modification was entered into in September 2025, allowing for the expedited sale of underperforming assets. The servicer's commentary indicates that, as of March 2026, 21 of the original 65 limited-service hotels had been released for a paydown of approximately 20.0%. At issuance, the entire portfolio was valued at $956 million; the special servicer most recently reported an appraised value of$547.2 million as of April 2025, but it is unclear whether that updated value reflects any property releases. It is also unclear which of the collateral hotels have been sold as the Investor Reporting Package shows all properties as active in the subject transaction, with none marked released. Other transactions mark some properties as released, but the total does not match the special servicer commentary. In addition, some of the transactions continue to show the issuance appraisal value and are not reporting the 2025 figure noted above. Although the noted workout strategy is a full payoff, Morningstar DBRS remains cautious given the increased propensity for adverse selection as the portfolio continues to sell off. As such, Morningstar DBRS liquidated the loan based on a 35% haircut to the April 2025 value, resulting in a projected loss of approximately $13.0 million and a relatively moderate loss severity of 28%. The 211 Main Street (Prospectus ID#6; 7.4% of the pool) loan has been troubled in the wake of the 2021 announcement that the property's single tenant, Charles Schwab Corporation (Schwab), would be relocating its headquarters to Texas. The special servicer approved a loan modification in November 2024 to allow for a four-year maturity extension through April 2028 and a conversion to amortizing payments. The loan is secured by an office building in downtown San Francisco and the Schwab lease runs through April 2028, with no termination options. Schwab is fully dark and there are currently no subleases in place. Morningstar DBRS expects that the servicer is trapping all excess cash, according to the loan modification agreement, suggesting approximately $18.0 million could be applied to pay down debt (pending any unforeseen leasing or capital costs) and reduce the trust exposure. An updated appraisal dated October 2024 valued the property at $152.0 million, well below the issuance value of $294.0 million. Morningstar DBRS concluded to a dark value of $116.1 million in the analysis for this review, which implies an LTV of 140.6% based on the senior debt. Given the lack of leasing traction since Schwab's move in 2021 and the 2024 loan modification, as well as the high LTV implied by the dark value analysis, Morningstar DBRS believes the refinance prospects are generally dim. As such, Morningstar DBRS liquidated the loan from the pool, resulting in a projected loss of approximately $16.0 million and a loss severity of 37%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A and X-B are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. JPMF1 MULTIFAMILY 2026-FX1: Fitch Rates Cl. H-RR Certs 'B-(EXP)sf' ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to JPMF1 Multifamily Mortgage Trust 2026-FX1 commercial mortgage pass-through certificates, series 2026-FX1 as follows: - $250,000,000a Class A-2 'AAA(EXP)sf'; Outlook Stable; - $0b Class A-2-1 'AAA(EXP)sf'; Outlook Stable; - $0b Class A-2-2 'AAA(EXP)sf'; Outlook Stable; - $0bc Class A-2-X1 'AAA(EXP)sf'; Outlook Stable; - $0bc Class A-2-X2 'AAA(EXP)sf'; Outlook Stable; - $324,523,000a Class A-3 'AAA(EXP)sf'; Outlook Stable; - $0b Class A-3-1 'AAA(EXP)sf'; Outlook Stable; - $0b Class A-3-2 'AAA(EXP)sf'; Outlook Stable; - $0bc Class A-3-X1 'AAA(EXP)sf'; Outlook Stable; - $0bc Class A-3-X2 'AAA(EXP)sf'; Outlook Stable; - $574,523,000c Class X-A 'AAA(EXP)sf'; Outlook Stable; - $42,217,000a Class B 'AA-(EXP)sf'; Outlook Stable; - $0b Class B-1 'AA-(EXP)sf'; Outlook Stable; - $0b Class B-2 'AA-(EXP)sf'; Outlook Stable; - $0bc Class B-X1 'AA-(EXP)sf'; Outlook Stable; - $0bc Class B-X2 'AA-(EXP)sf'; Outlook Stable; - $32,122,000a Class C 'A-(EXP)sf'; Outlook Stable; - $0b Class C-1 'A-(EXP)sf'; Outlook Stable; - $0b Class C-2 'A-(EXP)sf'; Outlook Stable; - $0bc Class C-X1 'A-(EXP)sf'; Outlook Stable; - $0bc Class C-X2 'A-(EXP)sf'; Outlook Stable; - $74,339,000c Class X-B 'A-(EXP)sf'; Outlook Stable; - $11,931,000d Class D 'BBB(EXP)sf'; Outlook Stable; - $14,684,000d Class E 'BBB-(EXP)sf'; Outlook Stable; - $26,615,000cd Class X-D 'BBB-(EXP)sf'; Outlook Stable; - $8,260,000d Class F 'BB(EXP)sf'; Outlook Stable; - $8,260,000cd Class X-F 'BB(EXP)sf'; Outlook Stable; - $9,178,000de Class G-RR 'BB-(EXP)sf'; Outlook Stable; - $11,931,000de Class H-RR 'B-(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $29,369,000de Class J-RR 'NR(EXP)sf'; - $734,215,000cd Class X-S 'NR(EXP)sf'. (a) The initial certificate balances of classes A-2 and A-3 will be determined based on the final pricing of the certificates and are expected to be $574,523,000 in aggregate, subject to a plus or minus 5% variance. The initial certificate balance of class A-2 is expected to range from $0 to $250,000,000, and the initial balance of class A-3 is expected to range from $324,523,000 to $574,523,000. Fitch's certificate balance for class A-2 reflects the top point of its range, and the balance for class A-3 reflects the bottom point of its range. (b) Exchangeable certificates; classes A-2, A-3, B, and C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding class of exchangeable certificates and vice versa. The dollar denomination of each of the certificates received must equal the dollar denomination of each of the surrendered certificates. See Appendix 4: Exchangeable Certificates for further details. (c) Notional amount and interest only. (d) Privately placed pursuant to Rule 144A. (e) Classes G-RR, H-RR, and J-RR comprise the transaction's horizontal risk retention interest. NR: Not Rated. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 17 loans secured by 24 commercial properties having an aggregate principal balance of $734,215,000 as of the cut-off date. The loans were contributed to the trust by MF1 REIT III FR TRS LLC. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is expected to be MF1 Loan Services LLC. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The operating advisor and asset representation reviewer is expected to be Pentalpha Surveillance LLC. The certificates will follow sequential paydown structure. The transaction closing date is expected to be June 10, 2026. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed NCF analysis on all 17 loans totaling 100% of the pool by balance. Fitch's aggregate pool NCF of $53.0 million represents a 9.6% decline from the issuer's aggregate underwritten pool NCF of $58.6 million. Fitch Leverage: The pool has higher leverage compared to recent U.S. private label five-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 120.9% is higher than the 2026 YTD and 2025 averages of 97.6% and 101.0%, respectively. The pool's Fitch NCF debt yield (DY) of 7.21% is lower than the 2026 YTD and 2025 averages of 10.53% and 9.7%, respectively. The pool's leverage also exceeds that of Freddie Mac seven-year K7 Series transactions rated by Fitch between 2023 and 2026 YTD, which had an average Fitch LTV of 115.7% and an average Fitch NCF DY of 7.7%. Favorable Multifamily Collateral: The pool is backed entirely by stabilized institutional-quality multifamily properties located in strong markets. Loans were originated by a single platform with consistent underwriting standards predominantly to repeat, above-average quality sponsors with demonstrated refinancing capability. The substantial majority of the sponsors in the pool are prior GSA borrowers. The originator intends to retain the B-piece, maintaining material economic exposure to long-term collateral performance. Pool Concentration/Reduced Add-On: The pool is more concentrated by loan size than recent Fitch-rated transactions. The top 10 loans in the pool make up 71.0% of the pool, which is higher than the 2026 YTD and 2025 averages of 59.6% and 61.5%, respectively. The pool's effective loan count of 16.2 is lower than the 2026 YTD and 2025 averages of 22.8 and 21.8, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk and raises overall losses for pools with effective loan counts below 40. However, given the pool's multifamily-only composition, granular tenant base, stabilized collateral and favorable diversification characteristics, including sponsor and geographic dispersion, Fitch reduced the pool's total loan concentration add-on since the pool does not present the same binary, tenant-specific or sector-specific risks associated with concentrated exposures in other property types. Criteria Variation: Fitch's analysis included one variation from the published "U.S. and Canadian Multiborrower CMBS Rating Criteria." Fitch applied a reduced multifamily property type coefficient in the Term PD calculation, resulting in expected losses (before concentration add-on) approximately halfway between the standard conduit multifamily treatment and the Freddie multifamily treatment. The combination of collateral quality, sponsor strength, platform-level origination consistency and structural alignment of interests distinguishes this pool from traditional conduit transactions and compares favorably to other multiborrower pools rated by Fitch. Fitch's expected ratings for all 13 of its rated classes are between one and three notches higher than they would be without the criteria variation. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'BB-sf'; - 10% Decline to Fitch NCF: 'AAsf'/'AAsf'/'Asf'/'BBBsf'/'BBB-sf'/'BBsf'/'B+sf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'BB-sf'; - 10% Increase to Fitch NCF: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'. CRITERIA VARIATION Fitch's analysis included one variation from the published "U.S. and Canadian Multiborrower CMBS Rating Criteria." Fitch applied a blended multifamily property type coefficient in the Term PD calculation, between the standard conduit multifamily treatment and the Freddie multifamily treatment. Under the criteria, conduit transactions are analyzed using Fitch's multiborrower CMBS loss framework, which assigns term PD, maturity PD and LGD to each loan based on loan, property and pool characteristics. The criteria also provide separate treatment for Freddie Mac multifamily transactions through adjusted model coefficients and concentration add-ons reflecting historically lower losses than conduit transactions. Fitch did not apply full Freddie Mac multifamily treatment because the loans are not agency-originated and do not benefit from Freddie Mac's origination, underwriting or structural framework. However, Fitch determined that application of the standard conduit multifamily property type coefficient would not fully reflect the risk profile of the pool. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. LENDINGCLUB 2026-P3: Fitch Assigns 'Bsf' Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by LendingClub Rated Notes Issuer Trust, Series 2026-P3 (LENDR 2026-P3). Entity/Debt Rating ----------- ------ LendingClub Rated Notes Issuer Trust, Series 2026-P3 A LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBBsf New Rating E LT BBsf New Rating F LT Bsf New Rating KEY RATING DRIVERS Strong Receivable Quality: The LENDR 2026-P3 pool comprises entirely prime loans: P1 (65.22%) and P2 (34.78%). P1 represents the highest credit quality/lowest risk, followed by P2. The LENDR 2026-P3 pool has a weighted average (WA) FICO score of 734; 17.76% of the pool has a FICO below 700, with a minimum FICO of 662. The obligors in the pool have a WA debt-to-income ratio (DTI) of 18.98%. The WA interest rate of the pool is 11.25%, and the pool has a WA remaining term of 51.56 months with close to negligible seasoning. Stabilizing Default Rate Trends: LendingClub's approved default rates for future prime loan originations that collateralize the capital structure, began to rise in 2021 vintages and increased notably in 2022 vintages. The trend continued in 1H23. However, after it began corrective measures, including lower originations in high-risk grades, the 2024 vintage showed improved performance. Fitch's WA base case default assumption (the default assumption) for LENDR 2026-P3 is 9.85%. The default assumption was established based on data stratified by LendingClub's proprietary risk grade and loan term. In setting the base case gross default assumption, Fitch considered performance trends from vintage years 2021 and 2022, and recognized the improving default curves in the latter half of vintage year 2023 and in vintage year 2024. Credit Enhancement Mitigates Stressed Losses: Credit enhancement (CE) consists of overcollateralization (OC) and subordination for the senior tranche. Initial hard CE totals 41.96%, 31.24%, 19.60%, 11.51%, 5.80% and 1.49% for the class A, B, C, D, E and F notes, respectively. Although the transaction does not have a reserve account, initial CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes. Fitch applied a 'AAAsf' rating stress of 4.25x the base case default rate for prime loans. The stress multiples decrease for lower rating levels, according to Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for the loans, WA borrower FICO scores and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Adequate Servicing Capabilities: LendingClub has maintained a strong track record of servicing consumer loans since its online lending marketplace platform launched in 2007. LendingClub performs pre-charge-off loan servicing activities in-house; it also outsources post-charge-off activities to third parties. The bank is the lead servicer on all its securitization transactions. The trust has assigned CardWorks Servicing, LLC as backup servicer. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating Sensitivity to Increased Defaults: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case defaults increase by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBB-sf'/'Bsf'/'CCCsf'; Base case defaults increase by 25%: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'CCCsf'/'NRsf'; Base case defaults increase by 50%: 'A+sf'/'BBB+sf'/'BBB-sf'/'BBsf'/'CCCsf'/'NRsf'. Rating Sensitivity to Reduced Recoveries: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case recoveries decrease by 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BBBsf'/'B+sf'/'Bsf'; Base case recoveries decrease by 25%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'B+sf'/'Bsf'; Base case recoveries decrease by 50%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'Bsf'/'B-sf'. Rating sensitivities to increased defaults and reduced recoveries: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case defaults increase by 10% / base case recoveries decrease by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBB-sf'/'Bsf'/'CCCsf'; Base case defaults increase by 25% / base case recoveries decrease by 25%: 'AA-sf'/'Asf'/'BBBsf'/'BB+sf'/'CCCsf'/'NRsf'; Base case defaults increase by 50% / base case recoveries decrease by 50%: 'Asf'/'BBB+sf'/'BB+sf'/'BB-sf'/'NRsf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case defaults decrease by 20%: 'AAAsf'/'AA+sf'/'AA-sf'/'A-sf'/'BBsf'/'BBsf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison of certain characteristics with respect to 100 randomly selected sample loans. In addition, for each sample loan, PricewaterhouseCoopers LLP observed that the loan contract has been electronically signed by the borrower. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. ESG Considerations Fitch does not provide ESG relevance scores for LendingClub Rated Notes Issuer Trust, Series 2026-P3. 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. MADISON PARK XXXIII: S&P Affirms 'B+ (sf)' Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R2, B-R2, and C-R2 debt from Madison Park Funding XXXIII Ltd./Madison Park Funding XXXIII LLC, a CLO managed by UBS Asset Management (Americas) LLC that was originally issued in November 2019 and first refinanced in February 2022. At the same time, S&P withdrew its ratings on the previous class A-R, B-R, and C-R debt following payment in full on the May 14, 2026, refinancing date. S&P also affirmed its ratings on the class D-R and E debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Nov. 14, 2026. -- The legal final maturity dates of the replacement debt were not extended. -- The transaction's reinvestment period was not extended, and the CLO remains within its amortization phase. -- No additional assets were purchased on the May 14, 2026 refinancing date. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2026. -- No additional subordinated notes were issued on the refinancing date. -- The replacement class A-R2 debt's par balance was upsized to $452,121,621.00, compared to the outstanding class A-R debt's $403,121,620.53 par balance. Since the end of the CLO's reinvestment period in January 2025, the class A-R debt had amortized to about 81.00% of its original $496,000,000.00 par balance. -- The replacement class B-R2 debt's par balance was downsized to $63,000,000.00, compared to the outstanding class B-R debt's $112,000,000.00 par balance. S&P said, "The increase in class A-R2's par balance weakened its credit enhancement, and an upsizing of this nature is atypical for a simple refinancing. Nevertheless, the class A-R2 debt passed our cash flow analysis with ample cushion at a 'AAA (sf)' rating post-upsizing. We believe the reallocation of par to the senior-most tranche (which has the lowest spread to three-month CME term SOFR) benefits the overall credit profile of the CLO transaction by lowering the weighted average cost of debt more than it otherwise would be lowered. "On a standalone basis, our cash flow analysis indicated lower ratings on the class D-R and class E debt (which were not refinanced). However, we affirmed our 'BBB- (sf)' and 'B+ (sf)' ratings on the class D-R and class E debt, respectively, after considering factors apart from model-implied ratings. The refinancing reduced these classes' margins of cash flow failure, and all coverage tests, and the collateral quality tests are passing. We expect class D-R and class E's overcollateralization levels to increase as the CLO deleverages during the amortization period. We view the refinancing as broadly credit positive for the transaction, but the reduced cost of debt did not fully offset the effect of collateral par losses and elevated 'CCC' asset concentration on class D-R and class E's cash flow results. We do not believe the class E debt depends on favorable business, financial, or economic conditions to receive interest and principal payments due in accordance with the transaction documents. Therefore, the class E debt does not fit our definition of 'CCC' risk in accordance with our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012. Any further credit deterioration or lack of improvement could lead to potential rating downgrades in the future." Replacement And Previous Debt Issuances Replacement debt -- Class A-R2, $452.12 million: Three-month CME term SOFR + 1.03% -- Class B-R2, $63.00 million: Three-month CME term SOFR + 1.45% -- Class C-R2 (deferrable), $48.00 million: Three-month CME term SOFR + 1.95% Previous debt -- Class A-R, $403.12 million: Three-month CME term SOFR + 1.29% -- Class B-R, $112.00 million: Three-month CME term SOFR + 1.80% -- Class C-R (deferrable), $48.00 million: Three-month CME term SOFR + 2.20% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "In some cases, our credit and cash flow analysis suggests 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 those 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 Madison Park Funding XXXIII Ltd./Madison Park Funding XXXIII LLC Class A-R2, $452.12 million: 'AAA (sf)' Class B-R2, $63.00 million: 'AA (sf)' Class C-R2 (deferrable), $48.00 million: 'A (sf)' Ratings Withdrawn Madison Park Funding XXXIII Ltd./Madison Park Funding XXXIII LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Ratings Affirmed Madison Park Funding XXXIII Ltd./Madison Park Funding XXXIII LLC Class D-R (deferrable): 'BBB- (sf)' Class E (deferrable): 'B+ (sf)' Other Debt Madison Park Funding XXXIII Ltd./Madison Park Funding XXXIII LLC Subordinated notes, $70.00 million: NR NR--Not rated. MCF CLO IX: S&P Assigns BB- (sf) Rating on Class E-R2 Debt ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R3, A-1-L-R3, B-R3, C-R3, D-R3, and E-R2 debt and 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. At the same time, S&P withdrew its ratings on the previous class A-1-RR, A-L-RR, B-RR, B-L, C-RR, D-RR, and E-R debt following payment in full on the May 14, 2026, refinancing date. The replacement and new debt will be issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R3, A-1-L-R3, B-R3, C-R3, and D-R3 debt was issued at a lower spread over three-month term SOFR than the previous debt. -- The replacement class E-R2 debt was issued at a higher spread over three-month term SOFR than the previous debt. -- The new class A-2-R2 debt was issued on the refinancing date. -- The new class X debt was also 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 were extended by approximately two years, while the legal final maturity dates for the replacement debt and the existing subordinated notes were extended by three years. -- The target initial par amount increased by $50 million to $350 million. However, there was 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 were amended. -- Additional subordinated notes worth $36.42 million were issued on the refinancing date. -- Provisions governing the purchase and treatment of workout loans were amended. -- The ability to purchase second-lien loans and debtor-in-possession loans were 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." 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) Ratings Withdrawn MCF CLO IX Ltd./MCF CLO IX LLC Class A-1-RR to NR from 'AAA (sf)' Class A-L-RR to NR from 'AAA (sf)' Class B-RR to NR from 'AA (sf)' Class B-L to NR from 'AA (sf)' Class C-RR to NR from 'A (sf)' Class D-RR to NR from 'BBB- (sf)' Class E-R to NR from '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. MFA 2026-INVR1: S&P Assigns B(sf) Rating on Class B-2 Certificates ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to MFA 2026-INVR1 Trust's mortgage pass-through certificates. The certificates issuance is an RMBS transaction backed by seasoned first-lien, fixed- and adjustable-rate, fully amortizing business-purpose residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, including townhouses, condominiums, two- to four-family residential properties, five- to 10-unit multifamily and 10-plus-unit multifamily properties. The pool consists of 2,189 loans, which are all ability-to-repay (ATR)-exempt. Of the 2,189 loans, 526 are cross-collateralized loans backed by 2,441 properties. After S&P assigned its preliminary ratings on May 5, 2026, the sponsor resized the class A-1FCF, A-1LCF, and the associated exchangeable class A-1 certificates and the class A-1A and A-1B certificates, keeping the subordination credit enhancement unchanged. Also, at pricing, class M-1 was priced to be a fixed-rate bond. After analyzing the final coupons and the updated structure, S&P's assigned ratings are unchanged from the preliminary ratings. The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregator and mortgage originators; -- The due diligence results consistent with represented loan characteristics; and -- S&P said, "Our macroeconomic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) MFA 2026-INVR1 Trust Class A-1FCF, $247,447,000: AAA (sf) Class A-1LCF, $82,482,000: AAA (sf) Class A-1A, $15,000,000: AAA (sf) Class A-1B, $2,571,000: AAA (sf) Class A-1, $329,929,000: AAA (sf) Class A-2, $37,877,000: AA (sf) Class A-3, $58,721,000: A (sf) Class M-1, $23,896,000: BBB (sf) Class B-1A, $14,998,000: BB (sf) Class B-1B, $5,592,000: BB- (sf) Class B-2, $8,898,000: B (sf) Class B-3, $10,931,002: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal; they do not address the payment of the cap carryover amounts. (ii)The notional amount equals the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. N/A--Not applicable. NR--Not rated. MORGAN STANLEY 2019-NUGS: Moody's Cuts Rating on Cl. A Certs to Ca ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on one class and affirmed the ratings on four CMBS classes in Morgan Stanley Capital I Trust 2019-NUGS as follows: Cl. A, Downgraded to Ca (sf); previously on Aug 14, 2025 Downgraded to Caa1 (sf) Cl. B, Affirmed C (sf); previously on Aug 14, 2025 Downgraded to C (sf) Cl. C, Affirmed C (sf); previously on Aug 14, 2025 Downgraded to C (sf) Cl. D, Affirmed C (sf); previously on Aug 14, 2025 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Aug 14, 2025 Affirmed C (sf) RATINGS RATIONALE The rating on the most senior principal and interest (P&I) class, Cl. A, was downgraded primarily due to an increase in Moody's loan-to-value (LTV) ratio resulting from weaker fundamentals in the downtown Denver office market. The downgrades also incorporate the loan's delinquent status, rising interest shortfalls since last review driven by the significant appraisal reduction amount (ARA), and the potential for higher expected losses upon the ultimate loan resolution given the property's performance and market value trends on comparable office properties. The loan has recognized an ARA of $171.8 million since the July 2025 remittance statement, resulting in interest shortfalls impacting all outstanding classes. The loan has been in special servicing since December 2022 and was last paid through its February 2026 payment date. The loan is secured by a Class A office property located in Downtown Denver, which was 62% leased as of March 2026, compared to 87% at securitization. Operating performance is expected to weaken further, with 2026 budgeted net operating income (NOI) and net cash flow (NCF) projected to decline further due to expiring leases and significant capital expenditure estimates. Leases representing 11% of the net rentable area (NRA) are scheduled to expire through year-end 2026. Additionally, the Downtown Denver market fundamentals have continued to deteriorate with a vacancy of 32% in Q1 2026 for Class A office, consistent with year-end 2025 and up from 30% in 2024. Anticipated further declines in occupancy and financial performance are expected to reduce the NOI DSCR on the total first mortgage debt to decline to below 1.0X in 2026. The ratings on four P&I classes, Cl. B, Cl. C, Cl. D and Cl. E, were affirmed because the ratings are consistent with Moody's expected loss. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. 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. 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 May 2026 distribution date, the transaction's aggregate certificate balance remains unchanged at $277.1 million from securitization. The property is encumbered by $50.6 million of non-pooled B-note and $45.3 million of mezzanine debt. The original two-year, floating rate, interest only loan included three one-year extensions with a final maturity date in December 2024. The loan transferred to special servicing in December 2022, and subsequently, a receiver was appointed in August 2023 and CBRE was appointed as property manager to handle management and leasing. The loan is secured by a 1.2 million square feet (SF), Class A, office property comprised of 52-story tower and an adjoining 12-story garage located in the central business district (CBD) of Denver, Colorado. The property has seen continued decline in its occupancy since securitization after several large tenants downsized their spaces. As of March 2026, the property was 62% leased, compared to 87% at securitization and the reported NOI for the trailing twelve month period ending September 2025 was $13.2 million down from $16.7 million in 2024. Furthermore, the 2026 budgeted NOI and NCF are expected to decline further with expiring leases and significant capital expenditure estimates. The property faces lease rollover that accounts for approximately 11% of the NRA though year-end 2026. Moody's expects the senior mortgage debt service coverage ratio to decline to well below 1.00X in 2026. While the property is well-located in the Denver CBD, the office market vacancies of Downtown Denver have increased significantly since securitization. According to CBRE Econometric Advisors, the Downtown submarket in Denver included over 29 million SF of Class A office space as of Q1 2026 with a vacancy of 32%, which is significantly higher than the vacancy rate of 11% in 2019. Given the property's size and weak office fundamentals in the Denver downtown market, the property will be challenged to lease up its vacated space. An updated appraised value reported as of the July 2025 remittance report showed a 34% decline from 2024 appraised value, a 76% decline from securitization and was also 58% lower than the outstanding balance of the senior mortgage. As a result, the loan has recognized an ARA of $171.8 million since July 2025. As a result of the property and market performance, Moody's have lowered Moody's NCF to $8.9 million from $12.5 million last review and Moody's capitalization rate remains at 12%. Moody's LTV and Adjusted Moody's LTV for the senior mortgage balance is in excess of 300%. As of the May 2026 remittance, there are outstanding interest shortfalls totaling $12.9 million up from $4.9 million at last review affecting all outstanding classes with no losses having been realized as of the current distribution date. MORGAN STANLEY 2026-DSC2: Moody's Assigns Ba3 Rating to B-1 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 7 classes of residential mortgage-backed securities (RMBS) issued by Morgan Stanley Residential Mortgage Loan Trust 2026-DSC2, and sponsored by Morgan Stanley Mortgage Capital Holdings LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by Morgan Stanley, including loans aggregated by Hometown Equity Mortgage LLC (17.8% by loan balance), Loan Funder LLC (16.6% by loan balance), MAXEX Clearing LLC (16.2% by loan balance), OCMBC INC (13.2% by loan balance) and EF Holdco WRE Assets LLC (10.3% by loan balance) and other entities, originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Morgan Stanley Residential Mortgage Loan Trust 2026-DSC2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1FCF, Definitive Rating Assigned Aaa (sf) Cl. A-1LCF, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa3 (sf) Cl. A-3, Definitive Rating Assigned A3 (sf) Cl. M-1, Definitive Rating Assigned Baa3 (sf) Cl. B-1, Definitive Rating Assigned Ba3 (sf) Moody's are withdrawing the provisional ratings for Class A-1-A and Class A-1-B, assigned on May 01, 2026, because Class A-1-A and Class A-1-B 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 4.17%, in a baseline scenario-median is 3.32% and reaches 26.70% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. MORGAN STANLEY 2026-NQM5: S&P Assigns (P)B(sf) Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-NQM5's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of four months. The mortgage loans primarily have a 30-year maturity. There are 22 loans with 40-year maturities and two loans with 15-year maturities. The loans are secured by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family residential properties and five- to 10-unit multifamily properties. The pool consists of 809 loans backed by 924 properties, which are QM/non-HPML (APOR), QM/HPML (rebuttable presumption), non-QM/ATR-compliant, and ATR-exempt. The preliminary ratings are based on information as of May 19, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A., and originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-NQM5 Class A-1FCF, $111,240,000: AAA (sf) Class A-1LCF, $37,080,000: AAA (sf) Class A-1, $148,320,000: AAA (sf) Class A-1-A, $128,632,000: AAA (sf) Class A-1-B, $19,688,000: AAA (sf) Class A-2, $27,016,000: AA- (sf) Class A-3, $34,453,000: A- (sf) Class M-1, $13,781,000: BBB- (sf) Class B-1, $7,481,000: BB (sf) Class B-2, $8,662,000: B (sf) Class B-3, $5,709,963: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $19,691,963: NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $393,742,963. NR--Not rated. N/A--Not applicable. MTN COMMERCIAL 2026-LPFX: Fitch Assigns 'B+sf' Rating on HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Ratings Outlooks to MTN Commercial Mortgage Trust 2026-LPFX commercial mortgage pass-through certificates, series 2026-LFPX as follows: Entity/Debt Rating Prior ----------- ------ ----- MTN COMMERCIAL MORTGAGE TRUST 2026-LPFX A LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT A-sf New Rating A-(EXP)sf E LT BBB-sf New Rating BBB-(EXP)sf F LT BB-sf New Rating BB-(EXP)sf HRR LT B+sf New Rating B+(EXP)sf - $663,900,000 class A 'AAAsf'; Outlook Stable; - $71,800,000 class B 'AAsf'; Outlook Stable; - $67,000,000 class C 'Asf'; Outlook Stable; - $54,700,000 class D 'A-sf'; Outlook Stable; - $157,400,000 class E 'BBB-sf'; Outlook Stable; - $203,575,000 class F 'BB-sf'; Outlook Stable; - $64,125,000(a) class HRR 'B+sf'; Outlook Stable. (a) Horizontal risk retention interest representing approximately 5.0% of the estimated fair value of all classes. Transaction Summary The certificates represent the beneficial ownership interest in a trust that holds a portion of a $1.62 billion, five-year, fixed-rate, IO commercial mortgage whole loan. The whole loan is secured by a first priority mortgage lien on the borrower's fee simple and leasehold interests in a portfolio of 90 industrial properties totaling approximately 19.2 million sf located across 27 states and 57 markets. The sponsors are affiliates of Industrial Logistics Properties Trust (ILPT) which will act as borrower/sponsor. The whole loan is structured as a split loan comprising 12 senior trust notes totaling $831.9 million, 12 subordinate trust notes totaling $450.6 million and 12 pari passu non-trust senior companion notes totaling $337.5 million. The non-trust companion notes are currently being contributed to one or more future securitization transactions. Whole mortgage loan proceeds were used to refinance approximately $1.61 billion of existing debt from the prior securitization (MTM 2022-LPFL), funded an estimated $8.2 million of closing costs and established a $3.5 million reserve for outstanding landlord obligations. The loan was originated by Wells Fargo Bank, National Association, Citi Real Estate Funding Inc., Bank of America, N.A., UBS AG New York Branch, Morgan Stanley Mortgage Capital Holdings LLC and Bank of Montreal. Midland Loan Services, a Division of PNC Bank, National Association is the servicer and BSP Special Servicer, LLC is the special servicer. Computershare Trust Company, N.A. is the trustee and certificate administrator. Park Bridge Lender Services LLC is the operating advisor. The transaction follows a sequential paydown structure and closed on May 13, 2026. KEY RATING DRIVERS Fitch Net Cash Flow (NCF) Fitch estimates stressed NCF for the portfolio at $110.5 million. This is 5.4% lower than the issuer's NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of approximately $1.52 billion. High Fitch Leverage The $1.62 billion whole loan equates to debt of approximately $83 psf with a Fitch stressed debt service coverage ratio, loan-to-value ratio and debt yield of 0.83x, 106.2% and 6.8%, respectively. Based on the appraiser's concluded as-is market value of $2.15 billion, the loan-to-value ratio is approximately 75.3%. Geographic and Tenant Diversity The portfolio is well diversified, with 90 primarily industrial properties (approximately 15.8 million sf) located across 27 states and 57 MSAs. The three states with the largest concentrations are Georgia (five properties; 11.5% by total portfolio sf), Indiana (four properties; 10.2% by total portfolio sf) and Ohio (nine properties; 9.6% by total portfolio sf). The three MSAs with the largest concentrations are Indianapolis-Carmel-Anderson, IN (three properties; 8.4% by total portfolio sf), Kansas City, MO-KS (five properties; 5.4% by total portfolio sf) and Savannah, GA (two properties; 5.0% by total portfolio sf). The Fitch effective MSA count for the portfolio is 33.4. The portfolio also exhibits tenant diversity, as it features over 36 distinct tenants. The largest tenant in the portfolio is Federal Express Corporation, representing approximately 57.3% of Fitch base rent (47.2% of NRA). Other than Federal Express Corporation, no tenant accounts for more than 7.9% of Fitch base rent. Institutional Sponsorship and Property Management The transaction benefits from sponsorship by ILPT, the borrower sponsor and guarantor, while property management is provided by The RMR Group LLC (RMR). As of Dec. 31, 2025, ILPT's broader portfolio consisted of 411 industrial and logistics properties totaling approximately 59.9 million rentable sf. ILPT is externally managed by RMR, and the 90 properties securing the whole loan are managed by The RMR Group LLC pursuant to the management agreement. RMR is an alternative asset manager focused on CRE and related businesses, with an approximately 900-person real estate platform across more than 30 regional offices, approximately $39 billion of assets under management and more than 35 years of institutional CRE experience. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'Asf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/BBB-sf'/'BBsf'/'Bsf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'Asf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'A+sf'/'BBB+sf'/'BB+sf'/'BBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis orconclusions. 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. OBX 2026-HYB1 TRUST: Moody's Assigns (P)B2 Rating to Cl. B-2 Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 9 classes of residential mortgage-backed securities (RMBS) to be issued by OBX 2026-HYB1 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of seasoned and newly originated Hybrid ARM (100% by balance) residential mortgages aggregated by Onslow Bay Financial LLC, originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint). The complete rating actions are as follows: Issuer: OBX 2026-HYB1 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1A, Assigned (P)Aaa (sf) Cl. A-1B, Assigned (P)Aa1 (sf) Cl. A-2, Assigned (P)Aa3 (sf) Cl. M-1, Assigned (P)A2 (sf) Cl. M-2, Assigned (P)Baa2 (sf) Cl. B-1, Assigned (P)Ba2 (sf) Cl. B-2, Assigned (P)B2 (sf) Cl. A-1L Loans, Assigned (P)Aaa (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.33%, in a baseline scenario-median is 0.16% and reaches 4.81% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above our 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 39: Moody's Cuts Rating on $12MM F Notes to Caa3 ------------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by Octagon Investment Partners 39, Ltd.: US$12,000,000 Class F Secured Deferrable Floating Rate Notes due 2030, Downgraded to Caa3 (sf); previously on December 12, 2025 Affirmed Caa2 (sf) Octagon Investment Partners 39, Ltd., originally issued in November 2018 and partially refinanced in March 2024, is a managed cashflow CLO. The notes issued by the Issuer were originally collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2023. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rating action reflects the transaction's recent deal performance, analysis of the transaction structure, Moody's updated loss expectations on the underlying pool and Moody's revised loss-given-default expectations on the Class F notes. The downgrade rating action on the Class F notes considers all principal payments made to the Class F notes since issuance and is based on Moody's expectations of the ultimate loss-given-default on the notes as a percent of their original principal balance. Moody's have been informed that in connection with a deal redemption on February 27, 2026, the noteholders of Class F notes agreed to receive an amount less than the original redemption price. As of the last payment date in March 2026, around 65.5% of the original principal balance of Class F notes had been repaid to the noteholders, and at this time Moody's do not expect material amounts of additional repayments to be paid on the Class F notes. Methodology Used for the Rating Action The principal methodology used in this rating was "Collateralized Loan Obligations" published in April 2026. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. ORION CLO 2024-3: Fitch Assigns BB+(EXP)sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Orion CLO 2024-3 Ltd. Entity/Debt Rating ----------- ------ Orion CLO 2024-3 Ltd. X LT AAA(EXP)sf Expected Rating A-1-R LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA+(EXP)sf Expected Rating C-R LT A+(EXP)sf Expected Rating D-R LT BBB+(EXP)sf Expected Rating E-R LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Orion CLO 2024-3 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Antares Liquid Credit Strategies LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.59% first-lien senior secured loans and has a weighted average recovery assumption of 73.77%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 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 'A-sf' and 'AAAsf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, and between less than 'B-sf' and 'BB+sf' for class D-R and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-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, and 'A+sf' for class D-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Orion CLO 2024-3 Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ORION CLO 2024-3: S&P Assigns Prelim B-(sf) Rating on Cl. F-R Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R debt and proposed new class F-R debt from Orion CLO 2024-3 Ltd./Orion CLO 2024-3 LLC, a CLO managed by Antares Liquid Credit Strategies LLC that was originally issued in June 2024. The preliminary ratings are based on information as of May 14, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 15, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing debt and assign ratings to the replacement class A-1-R and proposed new class F-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement class A-1-R and proposed new class F-R debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R debt is expected to be issued at a lower spread over three-month term SOFR than the existing debt. -- The replacement class A-1-R debt is expected to be issued at a floating spread, replacing the current floating spread. -- The new class F-R debt is expected to be issued on the refinancing date. -- The non-call period will be extended to July 25, 2028. -- The reinvestment period will be extended to July 25, 2031. -- The legal final maturity dates for the replacement debt will be extended to July 25, 2039. -- No additional assets will be purchased on the June 15, 2026, refinancing date, and the target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 25, 2026. -- The required minimum overcollateralization and interest coverage ratios will be amended. 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. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Orion CLO 2024-3 Ltd./Orion CLO 2024-3 LLC Class A-1-R, $240.00 million: AAA (sf) Class F-R (deferrable), $0.25 million: B- (sf) Other Debt Orion CLO 2024-3 Ltd./Orion CLO 2024-3 LLC Subordinated notes, $46.75 million: NR NR--Not rated. PFP 2026-14: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to PFP 2026-14, Ltd., PFP 2026-14, LLC as follows: - $760,500,000a class A 'AAA(EXP)sf'; Outlook Stable; - $160,875,000a class A-S 'AAA(EXP)sf'; Outlook Stable; - $89,375,000a class B 'AA-(EXP)sf'; Outlook Stable; - $69,875,000a class C 'A-(EXP)sf'; Outlook Stable; - $42,250,000a class D 'BBB(EXP)sf'; Outlook Stable; - $19,500,000a class E 'BBB-(EXP)sf'; Outlook Stable; - $37,375,000b class F 'BB-(EXP)sf'; Outlook Stable; - $24,375,000b class G 'B-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $95,875,000b preferred shares. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 12.125% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,062,333,926 and does not include future funding. The pool also includes ramp-up collateral interest of $237.7 million. The expected ratings are based on information provided by the issuer as of May 14, 2026. Transaction Summary The certificates represent the beneficial interests in the trust, the primary assets of which are 30 loans secured by 32 commercial properties having an aggregate principal balance of $1,062,333,926 as of the cutoff date. The pool also includes ramp-up collateral interest of $237.7 million. The ramp period lasts for six months from settlement, and the reinvestment period lasts for 30 months from settlement. The pool does not include $52.0 million of expected future funding. The loans were contributed to the trust by PFP 2026-14 Depositor, LLC. The servicer is expected to be Trimont LLC, and the special servicer is expected to be Prime Finance Special Servicing, LLC. The trustee is expected to be Wilmington Trust, National Association, and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans in the pool (87.0% by balance). Fitch's resulting aggregate net cash flow (NCF) of $26.2 million represents a 9.3% decline from the issuer's aggregate underwritten NCF of $28.9 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool has lower leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 136.1% is lower than both the 2025 and 2024 CRE CLO averages of 139.6% and 140.7%, respectively. However, the pool's Fitch NCF debt yield (DY) of 6.3% is in line with both the 2025 and 2024 CRE CLO averages of 6.5% and 6.5%, respectively. Better Pool Diversity: The pool diversity is better than recent Fitch-rated CRE CLO transactions. The top 10 loans make up 56.0% of the pool, which is lower than both the 2025 and 2024 CRE CLO averages 61.7% and 70.5%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 22.7. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: The pool comprises of 98.6% partial interest-only (IO) loans, based on fully extended loan terms. This is better than both the 2025 and 2024 CRE CLO averages of 26.0% and 43.2%, respectively. As a result, the pool is expected to have 1.9% principal paydown by fully extended maturity of the loans. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions during 2025 and 2024 were 0.5% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BB-sf' /'CCC+sf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf' /'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement, then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on its analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. PMT LOAN 2026-INV5: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 73 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2026-INV5, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages aggregated, originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-INV5 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-35, Definitive Rating Assigned Aaa (sf) Cl. A-35X*, Definitive Rating Assigned Aaa (sf) Cl. A-36, Definitive Rating Assigned Aaa (sf) Cl. A-36X*, Definitive Rating Assigned Aaa (sf) Cl. A-37, Definitive Rating Assigned Aaa (sf) Cl. A-37X*, Definitive Rating Assigned Aaa (sf) Cl. A-38, Definitive Rating Assigned Aaa (sf) Cl. A-38X*, Definitive Rating Assigned Aaa (sf) Cl. A-39, Definitive Rating Assigned Aaa (sf) Cl. A-39X*, Definitive Rating Assigned Aaa (sf) Cl. A-40, Definitive Rating Assigned Aaa (sf) Cl. A-40X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned on April 29, 2026, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.75%, in a baseline scenario-median is 0.46% and reaches 7.38% 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. RKTL 2026-2: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the notes issued by RKTL 2026-2. Entity/Debt Rating ----------- ------ RKTL 2026-2 A LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Solid Receivables Quality: The RKTL 2026-2 pool consists of unsecured consumer loans made to obligors with strong credit scores. The weighted average (WA) credit score is 745 and WA income is $152,393. The pool consists of amortizing loans with a WA net interest rate of 12.81% and a WA original term of 54 months, averaging one month of seasoning. Of the loans, 93% are originated to borrowers who own a home. Base Case Default Reflects Recent Performance Trends: Rocket Loans' managed default rates increased in 2022 and 2023. However, since initiating corrective measures that included tightening credit standards, performance in 2H23 and 2024 vintages improved quarter over quarter (qoq). CGD for 60-month term loans reached approximately 10.8% in 4Q22, while CGD for 36-month term loans reached approximately 8.2% in 2Q23. Furthermore, since August 2025, RockLoans started to decline certain loans with 7% or above default probability label, Fitch observed notable improvement in performance in vintage 2024 and early vintage 2025 for loans with labels 7% to 9% probability of default. Fitch's WA base case gross gross default assumption (the default assumption) for RKTL 2026-2 is 9.29%. The default assumption was established based on data stratified by Rocket Loans' default probability label and loan term. In setting the expected case (default assumption), Fitch considered performance trends from vintage years 2022 and 2023 and considered improving trends of default curves in vintage year 2024. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 41.25%, 27.05%, 17.05%, 9.85% and 6.00% of the initial pool balance for class A, B, C, D and E notes, respectively. The transaction amortizes the notes sequentially and excess cash is not released before the specified overcollateralization (OC) amount of 11.00% is met. Fitch tested the initial CE under stressed cash flow assumptions for all classes and found that the classes pass all stresses at the rating level assigned to the respective class of notes. In particular, Fitch applied a 'AAAsf' rating stress of 5.0x the base case default rate for consumer loans. The stress multiples decrease for lower rating levels according to the higher prescribed multiples described in Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for the loans, RockLoans' recent changes to underwriting guidelines and marketing strategies, the WA FICO score of the borrowers and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Assurance for True Lender Status for Partner Bank-Loan Origination: Rocket Loans' securitization transactions comprise consumer loans originated by Cross River Bank, a New Jersey state-chartered commercial bank. The bank's true lender status in the context of Rocket Loans' loan acquisition is subject to legal and regulatory uncertainty, especially if the loans' interest rates exceeded those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that Rocket Loans, rather than Cross River Bank, is the true lender, loans could be declared unenforceable, void or subject to interest rate reductions and other penalties. This would increase negative rating pressure. Fitch's analysis and expected ratings reflect a review of the transaction's eligibility criteria for selecting the receivables for RKTL 2026-2, which reduces exposure to loans with interest rates above usury caps. Fitch also performed an operational risk review and deemed Rocket Loans' compliance, legal and operational capabilities as acceptable to meet consumer protection regulations. Adequate Servicing Capabilities with Removal Risk: Rocket Loans has a strong record of servicing consumer loans. Since the launching of the RockLoans Platform in 2016, Rocket Loans has acted as a subservicer for the consumer loans originated by Cross River Bank. Starting in May 2025, Rocket Loans became the sole servicer of certain personal loans originated through the RockLoans Platform. The entity's credit risk profile is mitigated by backup servicing provided by Systems & Services Technologies, Inc. Fitch considers all parties to be adequate servicers for this pool at their expected rating levels. The class R-1 certificate holder may remove Rocket Loans as servicer at any time without cause and without controlling noteholders' approval, and with no obligation to consider noteholders' interests when selecting a successor servicer. While this provision did not impact Fitch's analysis because its effect is limited to servicing operations, the servicer replacement right granted to the subordinated class R-1 certificate holder is not typically seen in comparable public structured finance transactions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased defaults (class A/B/C/D/E): Expected Ratings: 'AAAsf (EXP)'/'AA-sf (EXP)'/'A-sf (EXP)'/'BBB-sf (EXP)'/'BBsf (EXP)' Increased default base case by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBB-sf'/'BB-sf'; Increased default base case by 25%: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'Bsf'; Increased default base case by 50%: 'A+sf'/'BBB+sf'/'BBB-sf'/'BB-sf'/'CCCsf'; Increased default base case by 10% and reduced recovery base case by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'B+sf'; Increased default base case by 25% and reduced recovery base case by 25%: 'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; Increased default base case by 50% and reduced recovery base case by 50%: 'A+sf'/'BBB+sf'/'BB+sf'/'B+sf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity from decreased defaults (class A/B/C/D/E): Expected Ratings: 'AAAsf (EXP)'/'AA-sf (EXP)'/'A-sf (EXP)'/'BBB-sf (EXP)'/'BBsf (EXP)' Decreased default base case by 10%: 'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BBsf'; Decreased default base case by 25%: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BB+sf'; Decreased default base case by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'AA-sf'/'BBB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ROCKFORD TOWER 2021-1: Moody's Cuts Rating on $18MM E Notes to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Rockford Tower CLO 2021-1, Ltd.: US$44,000,000 Class B Senior Secured Floating Rate Notes due 2034, Upgraded to Aa1 (sf); previously on June 11, 2021 Assigned Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$18,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034, Downgraded to B1 (sf); previously on June 11, 2021 Assigned Ba3 (sf) Rockford Tower CLO 2021-1, Ltd., originally issued in June 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in July 2026. 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 B notes reflects the benefit of the short period of time remaining before the end of the deal's reinvestment period in July 2026 and increase in overcollateralization ratio (OC) as the result of expected amortization of the senior notes after the end of reinvestment period. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained and continue to satisfy certain covenant requirements. The deal has also benefited from a shortening of the portfolio's weighted average life since April 2025. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's April 2026 report, the OC ratio for the Class E notes is reported at 107.26%[1] versus April 2025 level of 108.47%[2]. No actions were taken on the Class A-1, Class A-2, Class C, and Class D 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: $392,823,155 Defaulted par: $3,467,700 Diversity Score: 83 Weighted Average Rating Factor (WARF): 2789 Weighted Average Spread (WAS): 2.97% Weighted Average Recovery Rate (WARR): 45.66% Weighted Average Life (WAL): 4.73 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. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SANTANDER BANK 2023-MTG1: Fitch Gives BBsf Rating on Cl. M-5 Notes ------------------------------------------------------------------ Fitch Ratings has taken rating actions on seven classes from PacWest Reference Notes, series 2022-1 and Santander Bank Mortgage Credit-Linked Notes (SBCLN), series 2023-MTG1. Fitch previously reviewed PacWest Reference Notes, series 2022-1 in December 2025 and SBCLN 2023-MTG1 in October 2025. Entity/Debt Rating Prior ----------- ------ ----- SBCLN 2023-MTG1 M-1 80290CBM5 LT Asf Upgrade A-sf M-2 80290CBN3 LT A-sf Affirmed A-sf M-3 80290CBP8 LT BBBsf Affirmed BBBsf M-4 80290CBQ6 LT BBBsf Affirmed BBBsf M-5 80290CBR4 LT BBsf Affirmed BBsf PacWest Reference Notes, Series 2022-1 M-1 694908AD6 LT AA-sf Upgrade A+sf M-2 694908AE4 LT A+sf Upgrade Asf Transaction Summary The notes in these transactions are credit-linked notes. They are general obligations of their respective issuer, secured only by a collateral account. The issuer may, but is not required to, make principal payments on the notes from amounts in the collateral account. The notes are exposed to the credit risk of the issuer and have a maximum rating cap at their issuer's Issuer Default Rating (IDR). Following an update to Fitch's Bank Rating Criteria, the long-term IDRs of Citibank, N.A. and Santander Bank, N.A., and the rating caps, have changed. Fitch has: - Upgraded three classes - Affirmed four classes Of the upgrades, two were driven by the update to the Bank Rating Criteria and the direct counterparty linkage. The other upgrade is related to lower expected losses. The M-1 of PacWest Reference Notes, series 2022-1 is on Rating Outlook Positive. The remaining six classes are on Rating Outlook Stable. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Neutral): Pool expected losses are down slightly for these two transactions since their last review. The 'AAAsf' rating-case expected loss for PacWest 2022-1 is 4.1%, down 35bps from December. For SBCLN 2023-MTG1 the 'AAAsf' expected loss is 2.25%, down 9bps from October, and currently sitting at Fitch's minimum pool expected loss floors. Both pools are highly performing with an average 30+ DQ% of less than 1%. Additionally, the average mark-to-market combined loan-to-value ratio is 43.8% for these pools, contributing to lower loss severities. Structural Analysis (Positive): Both transactions feature pro-rata pay structures, where unscheduled principal is allocated relative to senior and subordinate class sizes, subject to performance and credit enhancement (CE) tests. Losses are allocated reverse sequentially. Additionally, these transactions use CE floors to mitigate tail risk and maintain CE levels of senior bonds while there is principal leakage to junior classes. With the pro-rata structure and principal leakage, these transactions build up relative CE slower compared to straight sequential structures. The average CE for the classes in this review increased by 1bps since YE 2025. Operational Risk Analysis (Neutral): Fitch has not made any operational risk adjustments in this review. 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. Counterparty Risk and Credit Linkages (Positive): PacWest Reference Notes, series 2022-1 has a direct counterparty linkage to Citibank, N.A. and SBCLN 2023-MTG1 has a direct counterparty linkage to Santander Bank, N. A.. Both banks were subject to rating upgrades following the release of updated Fitch Bank Rating Criteria. The ratings on the PacWest Reference Notes were directly linked to Pacific Western Bank's IDR. In 1H23, Fitch downgraded PacWest after being negatively affected by the failure of some regional banks. Funds were transferred to an eligible account at Citibank N. A. (AA-/Positive as of May 2026), so the notes are capped at the rating of CitiBank, N.A. The notes of SBCLN 2023-MTG1 are general unsecured debt obligations of Santander Bank N.A. (A/ Stable as of May 2026), and as such are capped at the rating of Santander Bank, N.A. All other relevant transaction parties conform with the requirements described in its Global Structured Finance Rating Criteria. Rating Cap Analysis (Neutral): These classes were not subject to any upgrade cap considerations, other than the counterparty caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative stress 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 decline at the base case. This analysis indicates some potential rating migration with higher MVDs compared with the model projection. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth with no assumed overvaluation. The analysis assumes positive home price growth of 10.0%. Excluding the senior classes already rated 'AAAsf' as well as classes that are constrained due to qualitative rating caps, the analysis indicates there is potential positive rating migration for all of the other rated classes. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. For enhanced disclosure of Fitch's stresses and sensitivities, please refer to U.S. RMBS Loss Metrics. 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 PacWest Reference Notes, Series 2022-1 and SBCLN 2023-MTG1 have an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to credit linkage to a counterparty, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. 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. SANTANDER MORTGAGE 2026-NQM4: S&P Assigns (P)B Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Santander Mortgage Asset Receivable Trust 2026-NQM4's mortgage-backed notes. The note issuance is an RMBS securitization backed first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, two- to four-family units, condominiums, a co-operative property, townhouses, a condotel, and manufactured housing properties. The pool consists of 634 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-repay (ATR) compliant, or ATR-exempt. The preliminary ratings are based on information as of May 14, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage aggregator, Santander Bank N.A., and originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) Santander Mortgage Asset Receivable Trust 2026-NQM4 Class A-1, $104,525,000: AAA (sf) Class A-1A, $90,037,000: AAA (sf) Class A-1B, $14,488,000: AAA (sf) Class A-1FCF, $83,620,000: AAA (sf) Class A-1LCF, $20,905,000: AAA (sf) Class A-2, $18,688,000: AA (sf) Class A-3, $28,105,000: A (sf) Class M-1, $12,604,000: BBB (sf) Class B-1, $8,982,000: BB (sf) Class B-2, $7,389,000: B (sf) Class B-3, $4,925,865: NR Class B-3A, $3,694,000: NR Class B-3B, $1,231,865: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class PT, $289,743,865: NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the net weighted average coupon shortfall amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. SBALR COMMERCIAL 2020-RR1: Moody's Cuts Rating on A-S Certs to Ba1 ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings on six classes in SBALR Commercial Mortgage 2020-RR1 Trust, Commercial Mortgage Pass-Through Certificates, Series 2020-RR1 as follows: Cl. A-3, Downgraded to Baa1 (sf); previously on Oct 7, 2025 Downgraded to A1 (sf) Cl. A-AB, Downgraded to Baa1 (sf); previously on Oct 7, 2025 Downgraded to A1 (sf) Cl. A-S, Downgraded to Ba1 (sf); previously on Oct 7, 2025 Downgraded to Baa1 (sf) Cl. B, Downgraded to Caa2 (sf); previously on Oct 7, 2025 Downgraded to B2 (sf) Cl. C, Downgraded to C (sf); previously on Oct 7, 2025 Downgraded to Caa3 (sf) Cl. X-A*, Downgraded to Baa1 (sf); previously on Oct 7, 2025 Downgraded to A1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on five P&I classes were downgraded due to the increased interest shortfalls and potential higher anticipated losses from the significant exposure to delinquent loans in special servicing. Nine loans, representing 36.2% of the pool balance, are in special servicing, of which eight loans (Emerald Bronx Multifamily Portfolios 1 thru 8 for a total of 34.5% of the pool balance) are collateralized by predominantly rent-stabilized multifamily portfolios in the Bronx, New York that have recognized significant declines in cash flow and valuation largely due to tenant non-payment and rising operating costs. Furthermore, all the specially serviced loans have been deemed non-recoverable causing interest shortfalls to increase and impact up to Cl. A-S as of the April 2026 remittance statement. Additionally, due to the prolonged delinquency the specially serviced loans have accrued outstanding advances totaling $19.5 million (including P&I advances, other expenses, and cumulative accrued unpaid advance interest). Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries which may result in lower recovery to the total trust balance. Given the pool's substantial concentration in specially serviced and delinquent loans, Moody's anticipate that interest shortfalls will persist and are likely to increase if performance of the specially serviced loans remains distressed. The rating on the IO class, Cl. X-A, was downgraded due to a decline in the credit quality of its referenced classes. Our rating action reflects a base expected loss of 22.9% of the current pooled balance, compared to 19.7% at our last review. Our base expected loss plus realized losses is now 18.6% of the original pooled balance, compared to 16.7% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "US and Canadian Conduit/Fusion Commercial Mortgage-backed Securitizations" published in June 2024. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate our 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, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the April 2026 distribution date, the transaction's aggregate certificate balance has decreased by 20% to $319 million from $400 million at securitization. The certificates are collateralized by 44 mortgage loans ranging in size from less than 1% to 5.2% of the pool, with the top ten loans (excluding defeasance) constituting 42% of the pool. One loan, constituting 6.3% of the pool, has defeased and are secured by US government securities. Moody's use a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 31, compared to 33 at our last review. Seventeen loans, constituting 32% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of our ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan has been liquidated from the pool, resulting in a realized loss of $1 million. Nine loans, constituting 36.2% of the pool, are currently in special servicing. Eight of the specially serviced loans, representing 34.5% of the pool, have the same sponsor (the "Emerald Bronx Multifamily Portfolios") and have been in special servicing since May 2023. These assets are primarily Bronx-based multifamily properties with rent-stabilized units, where performance has been hampered by increased operating costs and tenant non-payment. Due to the decline in property performance the values have declined significantly since securitization and the most recent appraisal values for each of the properties were below the respective loan's total exposure (inclusive of advances). The portfolios are each interest-only throughout their entire 10-year loan terms with fixed rates of 4.2%. Due to the prolonged delinquency, significant loan advances and distressed performance Moody's have assumed a material loss for each of the eight portfolio loans. The remaining loan in special servicing is the Executive Center V Loan ($5.6 million, 1.7% of the pool), which is secured by an office in Brookfield, WI. The loan has been in special servicing since May 2024 and is now REO. The property performance is well below levels at securitization, and the most recent appraisal value of the property was below the outstanding loan balance. Moody's have also assumed a high default probability for seven poorly performing loans, constituting 13.3% of the pool, and have estimated an aggregate loss of $62.1 million (a 39.3% expected loss on average) from these specially serviced loans and troubled loans. The largest two troubled loans are the Gutman and Hoffman Multifamily Portfolio - Pool A Loan ($12.3 million - 3.9% of the pool) and Pool B Loan ($11.7 million - 3.7% of the pool), which secured multiple multifamily properties and located in the Bronx borough of New York City, NY. The properties have faced declining NOI due to a combination of rent collection issues and high insurance expenses. The third and fourth troubled loans are the Innerbelt Lofts Loan ($5.9 million – 1.8% of the pool) and Village South Apartments loan ($5.5 million – 1.7% of the pool), both secured by multifamily properties with declining performance since securitization and low DSCRs. The remaining troubled loans have had declining DSCRs and are secured by properties with declining revenues since securitization. As of the April 2026 remittance statement cumulative interest shortfalls were $5.8 million. Moody's anticipate 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, non-recoverability determinations, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The credit risk of loans is determined primarily by two factors: 1) our assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) our assessment 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 make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between our sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2023 and 2024 operating results for the whole pool, and partial year 2025 operating results for 4% of the pool (excluding specially serviced and defeased loans). Our weighted average conduit MLTV is 109%, compared to 107% at our last review. Our conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 18% to the most recently available net operating income (NOI). Moody's Value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed conduit DSCRs are 1.55X and 1.02X, respectively, compared to 1.62X and 1.04X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 9.5% of the pool balance. The largest loan is the Hurstbourne Landings and Oak Run Apartments Loan ($11.2 million – 3.5% of the pool), which is secured by two garden style apartments located in Louisville, KY. The properties' cash flow has been stable since 2022 and remains above levels at securitization. The loan is on the master servicer's watchlist as the borrower remains behind on the January and February 2026 debt service installment and there was an insurance issue that has not been cured to date. The loan has been amortized by about 11.7% and Moody's LTV and stressed DSCR are 128% and 0.78X, respectively. The second largest loan is the Crystal Townhomes Loan ($9.8 million – 3.1% of the pool), which is secured by a 124-unit garden-style multifamily property located in Atlanta, Georgia. The property's NOI has increased annually since securitization due to higher revenues. The loan is interest-only for its entire term and Moody's LTV and stressed DSCR are 95% and 1.05X, respectively. The third largest loan is The Sandy Building Loan ($9.3 million – 2.9% of the pool), which is secured by a 79,070 SF suburban office building located in Troy, Michigan, approximately 15 miles north of the CBD. The property had stable performance since securitization with high occupancy. The loan has been amortized by about 11.8% and Moody's LTV and stressed DSCR are 126% and 0.94X, respectively, compared to 136% and 0.87X at the last review. SHACKLETON 2017-XI CLO: Moody's Cuts Rating on $7.5MM F Notes to Ca ------------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Shackleton 2017-XI CLO, Ltd. US$30M Class D Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Dec 19, 2025 Upgraded to Aa3 (sf) US$22.5M (Current outstanding amount US$22,611,308) Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa2 (sf); previously on Dec 19, 2025 Downgraded to B3 (sf) US$7.5M (Current outstanding amount US$8,383,414) Class F Junior Secured Deferrable Floating Rate Notes, Downgraded to Ca (sf); previously on Dec 19, 2025 Affirmed Caa3 (sf) Moody's have also affirmed the ratings on the following notes: US$27.5M (Current outstanding amount US$23,379,494) Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 19, 2025 Affirmed Aaa (sf) Shackleton 2017-XI CLO, Ltd. issued in August 2017, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Alcentra NY, LLC. The transaction's reinvestment period ended in August 2022. RATINGS RATIONALE The upgrade on the ratings on the Class D notes is primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in December 2025. The Class B-R1 and B-R2 notes have been fully repaid, and the Class C-R notes have paid down by approximately USD 4.1 million (15%) since the last rating action in December 2025. As a result of the deleveraging, over-collateralisation (OC) has increased for Class C-R and Class D notes. According to the trustee report dated April 2026[1] the Class C OC and Class D OC ratios are reported at 312.81% and 137.01%, compared to November 2025[2] levels of 181.83% and 124.94%, respectively. The downgrades to the ratings on the Class E and F notes are due to the deterioration in over-collateralisation ratios for the junior notes since the last rating action in December 2025. The over-collateralisation ratios of the Class E and F notes have deteriorated since the last rating action in December 2025. According to the trustee report dated April 2026[1] the Class E OC ratio is reported at 96.24% compared to November 2025[2] level of 101.20%. The Moody's calculated OC ratio for the Class F notes is currently at 86.68% compared to the November 2025[2] level of 94.89%. The affirmation on the rating on the Class C-R notes is primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's use in our analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on our published methodology and could differ from the trustee's reported numbers. In our base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD75.7m Defaulted Securities: USD5.8m Diversity Score: 24 Weighted Average Rating Factor (WARF): 3744 Weighted Average Life (WAL): 2.71 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.23% Weighted Average Recovery Rate (WARR): 47.19% Par haircut in OC tests and interest diversion test: 7.38% The default probability derives from the credit quality of the collateral pool and our expectation 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 incorporate these default and recovery characteristics of the collateral pool into our 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 assume 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 our expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assume 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 our 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 our other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SONA US 1: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Sona US CLO 1 Ltd. Entity/Debt Rating ----------- ------ SONA US CLO 1 LTD. A-1 LT NRsf New Rating A-1-L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Sub LT NRsf New Rating Transaction Summary Sona US CLO 1 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sona Asset Management (U.S.) LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.49 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 96.99% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.58% 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 WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'Asf' for class D-1, 'BBB+sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for SONA US CLO 1 LTD. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. STRUCTURED ASSET 2004-16XS: Moody's Cuts 2 Tranches to Caa3 ----------------------------------------------------------- Moody's Ratings has downgraded the ratings of two bonds issued by Structured Asset Securities Corp Trust 2004-16X. The collateral backing this deal consists of Alt-A mortgages. The complete rating actions are as follows: Issuer: Structured Asset Securities Corp Trust 2004-16XS Cl. A3B, Downgraded to Caa3 (sf); previously on Jan 6, 2026 Upgraded to Aaa (sf) Cl. A4B, Downgraded to Caa3 (sf); previously on Jan 6, 2026 Upgraded to Aaa (sf) RATINGS RATIONALE The rating action is driven by the fact that the collateral pool backing the transaction has decreased to an effective number below the threshold established in the US RMBS Surveillance Methodology. Moody's do not maintain ratings on US RMBS securities in a structure where the effective number of borrowers has reduced below the threshold. However, Cl. A3B and Cl. A4B have the benefit of support provided by a certificate guarantee. For structured finance securities with third party support, the rating applied is the higher of the support provider's rating and the rating without any consideration of the third-party support. The rating downgrades for Cl. A3B and Cl. A4B reflect the rating of the support provider, MBIA Insurance Corporation. Principal Methodology The principal methodology used in these ratings was "Guarantees, Letters of Credit and Other Forms of Credit Substitution Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: An upgrade or downgrade of the support provider's rating could lead to the upgrade or downgrade of the ratings. TRINITAS CLO XXIV: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt from Trinitas CLO XXIV Ltd./Trinitas CLO XXIV LLC, a CLO managed by Trinitas Capital Management LLC, a subsidiary of Clearlake Capital Group, that was originally issued in February 2024. The preliminary ratings are based on information as of May 19, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 21, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1, A-2, B, C, D-1, D-2, and E debt and assign ratings to the replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1R, A-2R, B-R, C-R, D-1R, and E-R debt is expected to be issued at a lower spread over three-month term SOFR than the existing debt. -- The replacement class D-2R debt is expected to be issued at a floating spread, replacing the current fixed coupon. -- The stated maturity, reinvestment period, non-call period, and weighted average life test date will each be extended by two years. -- No additional assets will be purchased on the May 21, 2026, refinancing date. No additional subordinated notes will be issued on the refinancing date, and the target initial par amount will remain at $500.00 million. -- There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 25, 2026. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Trinitas CLO XXIV Ltd./Trinitas CLO XXIV LLC Class A-1R, $310.000 million: AAA (sf) Class A-2R, $17.500 million: AAA (sf) Class B-R, $52.500 million: AA (sf) Class C-R (deferrable), $30.000 million: A (sf) Class D-1R (deferrable), $27.500 million: BBB- (sf) Class D-2R (deferrable), $3.750 million: BBB- (sf) Class E-R (deferrable), $17.250 million: BB- (sf) Other Debt Trinitas CLO XXIV Ltd./Trinitas CLO XXIV LLC Subordinated notes, $52.864 million: NR NR--Not rated. UPG HI 2026-1: Fitch Assigns 'BBsf' Rating on Class C Debt ---------------------------------------------------------- Fitch Ratings has assigned ratings to the asset-backed securities (ABS) issued by UPG HI 2026-1 Issuer Trust (UPG HI 2026-1). UPG HI 2026-1 is a term transaction backed by a pool of loan draws on unsecured, fixed-rate home improvement (HI) loans totaling $316.1 million. The transaction is originated by Upgrade, Inc. via Cross River Bank, the originating partner bank. The HI loan draws were purchased by Rithm Home Improvement Loan Trust I from Upgrade. Entity/Debt Rating Prior ----------- ------ ----- UPG HI 2026-1 Issuer Trust A LT Asf New Rating A(EXP)sf B LT BBBsf New Rating BBB(EXP)sf C LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Consistent Receivable Quality: UPG HI 2026-1 is backed by a pool of HI loan draws on unsecured HI loans originated at the point of sale to U.S. homeowners through a national network of contractors. The loan proceeds made available to the borrowers are designated for the financing of windows and doors, roofing; kitchens and bathrooms, heating, ventilation and air conditioning systems, remodeling and a variety of other HI products and services. However, they typically exclude projects for water filtration systems and solar systems. Rithm Home Improvement Trust I, which purchased the HI loan draws, is contributing the underlying pool of HI loans for the securitization. The Upgrade program offers four core loan products: Reduced Rate (RR), Zero Interest Loan (ZIL), No-Interest No-Payment (No-No) and No-Interest Yes-Payment (No-Yes) loans. The RR product is a standard interest-bearing amortized loan and the ZIL product is no interest-bearing equivalent. No-No and No-Yes are promotional products with a promotional period of up to 24 months, during which no interest is accrued or billed. For all promotional products, principal and interest amortization occurs after the promotional period. The No-Yes product requires a minimum principal payment during the promotional period. Additional promotional product variations, Deferred No-No and Deferred No-Yes, work similarly, with deferred interest accruing during the promotional period and extinguished if full prepayment of the loan occurs prior to the completion of the promotional period; otherwise, the deferred accrued interest will amortize in equal installments over the amortization period. The weighted average (WA) FICO score of the asset pool is 780. The WA original term of the asset pool is 136 months and the WA loan seasoning is six months. Rating Cap at 'Asf': The Upgrade home improvement (HI) loan origination program began in 2022. Fitch received about three years of historical performance data. Fitch believes three years of historical data provides only limited insight into the loans' lifetime performance. The asset pool's weighted average (WA) original term is about 11.3 years, and Upgrade offers terms of up to 20 years. Fitch used available performance data from comparable U.S. HI and unsecured consumer loan originators to complement Upgrade-specific historical data. Fitch caps the transaction at 'Asf' because of limited historical data. Asset Pool Assumptions: Fitch's WA base-case lifetime default rate assumption is 7.66%, based on the asset pool's mix of product types and FICO scores. Fitch assumes a rating-case default multiple of 3.23x at the 'Asf' rating level, with a corresponding lifetime default rate of 24.2%. The multiple is assessed at the median-high end of the range in Fitch's applicable rating criteria, primarily reflecting the limited data history of originator-specific performance. Fitch assumes a zero-recovery rate on defaulted loans because the loans are unsecured and limited historical recovery data are limited. Fitch differentiates prepayment rate assumptions by product type, recognizing that prepayment incentives vary across product structures. For deferred products (Deferred No-No and Deferred No-Yes) as well as No-No and No-Yes products, Fitch has observed significantly higher prepayment activity during the promotional period, with prepayment rates accelerating as the end of the promotional period approaches, driven by the anticipated payment step-up upon expiration. To account for this observed behavior, Fitch increased its base case CPR assumptions for these product types during the promotional period relative to the prior transaction, while post-promotional period prepayment assumptions remain unchanged. Prepayment assumptions for all other product types are also unchanged from the prior transaction. The assumed base case weighted average (WA) prepayment rate is 20.92% per annum (p.a.) during the promotional period and 11.15% p.a. thereafter, based on the mix of FICO scores in the asset pool. All other asset pool and cash flow modeling assumptions are as described in Fitch's rating criteria and throughout this report. Transaction Structure: The pool of HI assets is financed via three classes of rated notes (A, B and class C notes; together, the notes). The notes pay a monthly fixed interest rate set at closing, with the first payment date in April 2026. Credit enhancement (CE) is provided by overcollateralization (OC; initially equal to 7.15% of the asset pool at closing), OC via the subordination of more junior notes, a fully funded non-amortizing reserve sized at 0.50% of the initial note balance and excess spread to the extent generated by the asset pool (estimated at 7.0% pa). The assumed base case WA prepayment rate is 20.92% p.a. during the promotional period, up from 15.50% p.a. The structure provides for OC build-up to target 7.15% of the outstanding asset pool, with a floor of 0.50% of the initial asset pool. Target OC for the class A notes is 24.00%. CE at closing (as a percentage of the initial asset pool, including the reserve fund) is 14.46%, 10.46% and 7.61% for the classes A, B and C notes, respectively. Adequate Servicing Capabilities: Upgrade, Inc. and NewRez LLC will act as servicer and backup servicer, respectively, for the transaction upon closing. Minimum counterparty ratings and replacement and other counterparty-related provisions in the transaction documents are in line with Fitch's counterparty criteria. Fitch views backup servicing arrangements and mitigants to servicer disruption risk to be in line with final ratings of up to 'Asf'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased base case defaults rates: - Ratings for class A, B and C notes: 'Asf (EXP)'/'BBBsf (EXP)'/'BBsf (EXP)'; - Increased base case default by 10%: 'BBB+sf'/'BBB-sf'/'BBsf'; - Increased base case default by 25%: 'BBBsf'/'BB+sf'/'BBsf'; - Increased base case default by 50%: 'BB+sf'/'BBsf'/'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity to decreased base case defaults rates: - Ratings for class A, B and C notes: 'Asf (EXP)'/'BBBsf (EXP)'/'BBsf (EXP)'; - Decreased base case default by 50%: 'Asf'/'Asf'/'Asf'. CRITERIA VARIATION o Given that this scenario, with (1) back-loaded defaults and seen as highly unlikely, (2) that the magnitude on the fail is on a single scenario and (3) strong pass across other stress scenarios above the recommendation (even within the other high prepayment stress scenarios, which is deemed as highly stressful given positive excess spread in the transaction), the recommendation is to assign Expected Ratings two notches above the MIR of BBB+sf and in line with the Target for Class A at Asf. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics with respect to 150 randomly selected statistical receivables. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. VELOCITY COMMERCIAL 2026-2: DBRS Gives (P) B (low) on 3 Tranches ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Certificates, Series 2026-2 (the Certificates) to be issued by Velocity Commercial Capital Loan Trust 2026-2 (VCC 2026-2 or the Issuer) as follows: -- $281.0 million Class A at (P) AAA (sf) -- $281.0 million Class A-S at (P) AAA (sf) -- $281.0 million Class A-IO at (P) AAA (sf) -- $22.8 million Class M-1 at (P) AA (low) (sf) -- $22.8 million Class M1-A at (P) AA (low) (sf) -- $22.8 million Class M1-IO at (P) AA (low) (sf) -- $22.2 million Class M-2 at (P) A (low) (sf) -- $22.2 million Class M2-A at (P) A (low) (sf) -- $22.2 million Class M2-IO at (P) A (low) (sf) -- $41.4 million Class M-3 at (P) BBB (low) (sf) -- $41.4 million Class M3-A at (P) BBB (low) (sf) -- $41.4 million Class M3-IO at (P) BBB (low) (sf) -- $31.1 million Class M-4 at (P) BB (low) (sf) -- $31.1 million Class M4-A at (P) BB (low) (sf) -- $31.1 million Class M4-IO at (P) BB (low) (sf) -- $7.9 million Class M-5 at (P) B (sf) -- $7.9 million Class M5-A at (P) B (sf) -- $7.9 million Class M5-IO at (P) B (sf) -- $4.0 million Class M-6 at (P) B (low) (sf) -- $4.0 million Class M6-A at (P) B (low)(sf) -- $4.0 million Class M6-IO at (P) B (low) (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 32.2% of credit enhancement (CE) provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), (P) B (sf), and (P) B (low) (sf) credit ratings reflect 26.70%, 21.35%, 11.35%, 3.85%, 1.95%, and 0.97% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2026-2 is a securitization of a portfolio of newly originated fixed rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. Nine of these loans were originated through the U.S. SBA 504 loan program, and are backed by first-lien, owner occupied, commercial real-estate. The securitization is funded by the issuance of the Mortgage-Backed Certificates, Series 2026-2 (the Certificates). The Certificates are backed by 1,108 mortgage loans with a total principal balance of $414,496,260 as of the Cut-Off Date (April 1, 2026). Approximately 39.7% of the pool is comprised of residential investor loans, about 58.7% are traditional SBC loans, and the remaining 1.6% are SBA 504 loans. The majority of the loans in this securitization were originated by Velocity Commercial Capital, LLC (Velocity or VCC). New Day Commercial Capital, LLC, which is a wholly owned subsidiary of Velocity Commercial Capital, LLC, which is wholly owned by Velocity Financial, Inc, originated 61 (19.3%) of the loans in the pool. The loans were generally underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (with the exception being the 9 SBA 504 loans which, per SBA guidelines, were underwritten to the small business cash flows, rather than the property value). For all of the New Day originated loans, underwriting was based on business cashflows but loans were secured by real estate. For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt-service coverage ratio (DSCR) in underwriting SBC loans with balances more than USD 750,000 for purchase transactions and more than USD 500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA-RESPA Integrated Disclosure rule. Onity Mortgage Corporation (Onity) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as subservicer for the 61 New Day originated loans, and Onity will also act as the Backup Servicer for these loans. In the event that New Day fails to service these loans in accordance with the related subservicing agreement, Onity will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent P&I until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Custodian. U.S. Bank Trust Company, National Association will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of REO properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A credit enhancement (CE) falling below 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each class' target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each class' target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY--SBC LOANS The collateral for the SBC portion of the pool consists of 411 individual loans, secured by 411 commercial and multifamily properties with an average cut-off date loan balance of $592,029. None of the mortgage loans are cross collateralized or cross defaulted with each other. Given the complexity of the structure and granularity of the pool, Morningstar DBRS applied its "Rating and Monitoring North American CMBS Multi-Borrower Transactions" methodology (the CMBS Methodology). The CMBS loans have a WA fixed interest rate of 10.6%. This is in line with the Velocity Commercial Capital Loan Trust 2026-1 transaction; 30 basis points (bps) lower than the Velocity Commercial Capital Loan Trust 2025-5 transaction; 40 bps lower than the Velocity Commercial Capital Loan Trust 2025-4 transaction; and 20 bps lower than the Velocity Commercial Capital Loan Trust 2025-3 transaction. Most of the loans have original term lengths of 30 years and fully amortize over 30-year schedules. However, 18 loans, which represent 14.9% of the SBC pool, have an initial interest-only period between 60 and 120 months. All the SBC loans were originated between January 2026 and March 2026 (100.0% of the cut-off pool balance), resulting in a WA seasoning of 0.6 months. The SBC pool has a WA original term length of approximately 360 months, or approximately 30 years. Based on the original loan amount and the current appraised values, the SBC pool has a WA LTV of 61.1%. However, Morningstar DBRS made LTV adjustments to 51 loans that had an implied capitalization rate (cap rate) more than 200 bps lower than a set of minimal cap rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum cap rates range from 5.50% for properties in Morningstar DBRS Market Rank 7 to 8.00% for properties in Morningstar DBRS Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 64.8%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in the CMBS Methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the CMBS Methodology, for a pool of approximately 72,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 28%, the refinance default rate was approximately 7% (approximately one quarter of the total default rate), and the term default rate was approximately 21%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-Year Idealized Default Table default probability to derive a POD for a CMBS bond from its credit rating, Morningstar DBRS generally estimates a one-quarter reduction in the CMBS Reference Obligation POD maps to a tranche rating. This tranche rating is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising interest rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rate and lending spreads, the SBC pool has a significant increase in interest rates compared with Velocity Commercial Capital (VCC) transactions in 2022 and 2023. Consequently, approximately 53.8% of the deal (202 SBC loans) has an Issuer NOI DSCR of less than 1.0x, which is slightly less than the previous 2025 transactions, but a larger composition than the previous VCC transactions in 2023 and 2022. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, there is a WA FICO score of 709 for the SBC loans, which is relatively similar to prior VCC transactions. With regard to the aforementioned concerns, Morningstar DBRS applied a 2.5% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. A comparison of the subject deal with previous VCC transactions is in the Presale Report. Morningstar DBRS also applied an additional 2.5% penalty to the fully adjusted cumulative default assumptions to account for the anticipated delinquencies based on performance from the prior VCC transactions. The SBC pool is quite diverse based on loan count and size, with an average cut-off date balance of $592,029, a concentration profile equivalent to that of a transaction with 139 equal size loans, and a top 10 loan concentration of 17.8%. Increased pool diversity helps insulate the higher rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial). All loans in the SBC pool fully amortize over their respective remaining loan terms, reducing refinance risk. The SBC pool contains four loans where an income approach to value was not contemplated in the appraisal and an Issuer NCF was not provided. Morningstar DBRS applied a POD penalty to the loan to mitigate this risk. The SBC pool includes 14 loans originated via New Day's Lite Doc Investor Loan Program, which does not require tax returns to be reviewed. Morningstar DBRS applied a POD penalty to the loan to mitigate this risk. As classified by Morningstar DBRS for modeling purposes, the SBC pool contains a significant exposure to retail (25.6% of the SBC pool) and office (20.0% of the SBC pool), which are two of the higher volatility asset types. Combined, retail and office properties represent approximately 45.6% of the SBC pool balance. Morningstar DBRS applied a 25.7% reduction to the NCF for retail properties and a 36.6% reduction to the NCF for office assets in the SBC pool, which is higher than the average NCF reduction applied for comparable property types in CMBS analyzed deals. Morningstar DBRS identified the largest commercial loan was secured by a co-op property type, which was ultimately classified as multifamily for underwriting and analytical purposes. Additionally, this loan was adjusted with an additional 15% POD hit because of the property having a negative cash flow and other concerns surrounding rent-stabilized co-ops. Morningstar DBRS did not perform site inspections on loans within its sample for this transaction. Of the 80 loans sampled, one was Average + (1.3% of sample), 15 were Average (28.6%), 33 were Average - (35.7%), 30 were Below Average (33.9%), and one was Poor (0.5%). Morningstar DBRS assumed unsampled loans were Average - quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions rated by Morningstar DBRS. Limited property-level information was available for Morningstar DBRS to review. Asset summary reports, PCRs, Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. Morningstar DBRS received appraisals for 30 SBC loans in the pool, which represents 30.6% of the SBC pool balance. These appraisals were issued between July 2025 and March 2026. No ESA reports were provided nor required by the Issuer; however, all loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. No probable maximum loss (PML) information or earthquake insurance requirements are provided. Therefore, an LGD penalty was applied to all properties in California to mitigate this potential risk. Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 10.6%, which is indicative of the broader increased interest rate environment and represents a large increase over VCC deals in 2022 and early 2023. Morningstar DBRS generally assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small balance borrowers and assessments from past small balance transactions rated by Morningstar DBRS. SBA 504 LOANS The transaction includes nine SBA 504 loans, totaling approximately $6.69 million or 1.61% of the aggregate 2026-2 collateral pool. These are predominantly owner-occupied, 1st lien CRE-backed loans, originated via the U.S. Small Business Administration's 504 loan program ('SBA 504') in conjunction with community development companies ('CDC'), made to small businesses, with the stated goal of community economic development. The SBA 504 loans are fixed rate with 360-month original terms and are fully amortizing. The loans were originated between February 9, 2026, and March 31, 2026, via New Day, which will also act as sub-servicer of the loans, The total outstanding principal balance as of the cutoff date is approximately $6,688,577, with an average balance of $743,175. The weighted average interest rate of the 504 loan sub-pool is 9.25%. The loans are subject to prepayment penalties of 5%, 4%, 3%, 2% and 1% respectively in the first five years from origination. These loans are for properties which are owner-occupied by the small business borrower. Weighted average loan to value is 50.65%. Weighted average debt service coverage ratio is approximately 1.25x and the weighted average FICO of this sub-pool is 762. For these loans, Morningstar DBRS applied its Rating U.S. Structured Finance Transactions methodology, Small Business, Appendix (XVIII). As there is limited historical information for the originator, we utilized proxy data from the publicly available SBA data set, which contains several decades of performance data, stratified by industry categories of the small business operators, to derive an expected default rate. Recovery assumptions were derived from the Morningstar DBRS CMBS data set of loss given default stratified by property type, loan to value, and market rank. These were input into our proprietary model, the Morningstar DBRS CLO Insight Model, which uses a Monte Carlo process to generate stressed loss rates corresponding to a specific rating level. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 688 mortgage loans with a total balance of approximately $164 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to the No Ratio program guidelines for business-purpose loans. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update," published on March 27, 2026. The credit ratings reflect transactional strengths that, for residential investor loans, include the following: -- Improved underwriting standards, -- Robust loan attributes and pool composition, and -- Satisfactory third-party due-diligence review. The transaction also includes the following challenges: -- Residential investor loans underwritten to No Ratio lending programs, and -- Representations and warranties framework. Morningstar DBRS incorporates a dynamic cash flow analysis in its credit rating process. Morningstar DBRS applied a baseline of four prepayment scenarios under the Standard Intex convention and two default timing curves and two interest rate stresses to test the resilience of the rated classes. Morningstar DBRS ran a total of 16 cash flow scenarios at each credit rating level for this transaction. Additionally, weighted-average coupon (WAC) deterioration stresses were incorporated in the runs. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amount, Interest Carryforward Amount, and the related Certificate Principal Balance. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Rate Carryover Amounts or Prepayment Interest Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. VERUS SECURITIZATION 2026-R4: S&P Assigns 'B-' Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Verus Securitization Trust 2026-R4's mortgage-backed notes. The note issuance is an RMBS securitization backed by seasoned first-lien, fixed- and adjustable-rate residential mortgage loans, including loans with initial interest only periods, to prime and non-prime borrowers with original terms to maturity up to 40 years. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, and townhouses. The pool has 927 ability-to-repay (ATR) -exempt loans backed by 989 properties. Certain changes have been made to the transaction structure since the preliminary ratings were assigned on May 5, 2026: classes A-1A and A-1B were not issued; classes A-1, A-1FCF, and A-1LCF were resized, and class B-1 was priced at a fixed rate coupon. The credit enhancement on each class remains unchanged. After analyzing the final coupons and updated structure, S&P assigned final ratings to the classes that are unchanged from the preliminary ratings. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Verus Securitization Trust 2026-R4 Class A-1FCF, $179,040,000: AAA (sf) Class A-1LCF, $59,680,000: AAA (sf) Class A-1, $238,720,000: AAA (sf) Class A-2, $20,159,000: AA (sf) Class A-3, $32,984,000: A (sf) Class M-1, $18,325,000: BBB- (sf) Class B-1, $9,995,000: BB- (sf) Class B-2, $7,330,000: B- (sf) Class B-3, $5,664,216: NR Class A-IO-S, notional(ii): NR Class XS, notional(iii): NR Class R, N/A: NR (i) The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii) The notional amount will equal the aggregate interest-bearing principal balance of the mortgage loans as of the first day of the related due period. (iii) The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. VERUS SECURITIZATION 2026-R5: Fitch Rates Cl. B-2 Notes 'B-(EXP)sf' ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2026-R5 (Verus 2026-R5). Entity/Debt Rating ----------- ------ VERUS 2026-R5 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1FCF LT AAA(EXP)sf Expected Rating A-1LCF LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The Verus 2026-R5 notes are supported by 950 loans with a balance of $446.6 million, including $0.15 million, or 0.03% of the aggregate pool balance in non-interest bearing deferred principal amounts as of May 1, 2026 (the cutoff date) The transaction is scheduled to close on May 29, 2026. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential-payment structure. The transaction has a stop-advance feature whereby the P&I advancing party will advance delinquent P&I for up to 90 days. All loans in the pool are seasoned more than 24 months. Currently, 4.6% of the pool is delinquent, 12.3% is current but has experienced delinquency (DQ) within the past 12 months, and 83.1% is clean and current. Primary residence loans comprise 58.1% of the Verus 2026-R5 transaction pool, followed by second home and investor loans at 41.9%. In terms of documentation type, the transaction consists predominantly of loans originated to a bank statement program (36.1%) and debt service coverage ratio (DSCR) loans at 28.0%. The remaining 35.9% of the population was underwritten to either a CPA P&L, asset underwriting, foreign national, full or written verification of employment product. KEY RATING DRIVERS Credit Risk of Mortgage Assets: The performance of underlying residential mortgages or mortgage-related assets directly affects RMBS transactions. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. Verus 2026-R5 has a final probability of default (PD) of 52.1% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 36.7%. The expected loss in the 'AAAsf' rating stress is 19.1%. Structural Analysis: Verus 2026-R5 bases its mortgage cash flow and loss allocation on a modified sequential-payment structure with limited advancing, whereby principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or DQ trigger event occurs in a given period, principal will be distributed sequentially. 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, DQs and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (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 all loans in the transaction. Fitch applies a 5 bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements 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 Verus 2026-R5 to be fully de-linked and a bankruptcy remote 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 Verus 2026-R5; therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 37.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. 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. WELLS FARGO 2015-NXS1: DBRS Confirms CCC Rating on X-F Certs ------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2015-NXS1 issued by Wells Fargo Commercial Mortgage Trust 2015-NXS1 as follows: -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at CCC (sf) -- Class X-E at BB (sf) -- Class X-F at CCC (sf) The trends on Classes D, E, and X-E are Stable. Classes F and X-F have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. CREDIT RATING ACTION RATIONALE -- The credit rating confirmations and Stable trends reflect Morningstar DBRS' recoverability expectations for the pool, which is in wind down with just 12 loans remaining. Four of the remaining loans, representing about half of the pool balance, are secured by office collateral; three of those four loans, representing nearly 45.0% of the pool, are in special servicing. -- In addition to the loans in special servicing, Morningstar DBRS identified several loans with elevated refinance risk and value deficiency when considering the likelihood of repayment. -- The results of the recoverability analysis suggest that losses would significantly erode the unrated Class G, leaving Class F susceptible to losses should performance deteriorate for the specially serviced loans and/or loans with elevated refinance risk and value deficiencies, supporting the credit rating confirmations with this review. POOL/COLLATERAL OVERVIEW -- As of the April 2026 remittance, 12 of the original 56 loans remain in the pool with a trust balance of $116.7 million, reflecting a collateral reduction of 87.8% since issuance. -- Three loans, representing 44.6% of the pool, are specially serviced. The largest of which (27.6% of the pool) is performing under a forbearance agreement, while the other two specially serviced loans are nonperforming, matured loans. -- Four loans, representing 50.7% of the pool, including the three specially serviced loans, are secured by office collateral. -- Since the last credit rating action in June 2025, five loans have repaid from the pool with no additional loss to the trust. This includes three loans that were in special servicing and accounted for about $8.0 million of Morningstar DBRS' liquated losses at the last credit rating action. Since then, each of those three loans were granted a loan modification and repaid in full at their respective extended maturity dates. -- Eight of the remaining nine loans (49.3% of the pool) are on the servicer's watchlist. Seven of these loans are secured by Walgreens properties and are being monitored because they are past their anticipated repayment date (ARD); however, these loans have a final maturity date in 2035. The other loan on the servicer's watchlist, 100 West 57th Street loan (Prospectus ID#6, 20.0% of the pool), is secured by a ground lease for the land beneath a 21-story, Class A residential co-op building, in Manhattan, New York, that is past its ARD in November 2019 and has a final maturity in April 2035. ANALYTICAL CONSIDERATIONS -- In the analysis for this review, Morningstar DBRS considered conservative liquidation scenarios based on haircuts ranging from 20.0% to 25.0% to the most recent appraised values for each of the three loans in special servicing, all of which are now past their maturity dates. The analysis resulted in cumulative implied losses of approximately $15.2 million. -- In addition, Morningstar DBRS noted that in a conservate scenario based on a 50.0% haircut to the issuance appraisal values, value deficiency for the loans with elevated refinance risk would be contained to the nonrated Class G certificate. KEY LOANS 760 & 800 Westchester Avenue (Prospectus ID#7, 18.4% of the pool): -- This loan, the largest in special servicing, is secured by two Class A office properties in Rye Brook, New York. -- The loan is pari passu with the COMM 2015-PC1 Mortgage Trust (Morningstar DBRS-rated) and COMM 2015-DC1 transactions. -- The loan transferred to special servicing in April 2024 for imminent monetary default. However, the loan was later modified, terms of which include a two-year forbearance agreement extending the maturity date to November 2026 and a 12-month extension option through November 2027, provided the loan achieves a debt yield of 7%. As part of the forbearance, the borrower was required to deposit $1.9 million into an all-purpose reserve and excess cash flow is to be deposited into the newly created reserve. -- According to the January 2026 appraisal, the property occupancy rate was 80.2% compared with the occupancy rate of 80.9% cited in the December 2024 appraisal and the issuance occupancy rate of 90.0%. -- Leases representing approximately 20.4% of the net rentable area are scheduled to expire by YE2027; the rollover risk is compounded by weak submarket fundamentals as evidenced by the Q4 2025 Reis, Inc. report for the Harrison/Rye/East office submarket, which reports an elevated vacancy rate of 26.5%. -- As of the September 2025 servicer reporting, the property generated an annualized net cash flow (NCF) of $4.8 million, equating to a debt service coverage ratio (DSCR) of 1.09 times (x). In comparison, the property generated an NCF of $8.0 million as of YE2024, equating to a DSCR of 1.79x. -- An updated appraisal completed in January 2026 valued the property at $101.0 million, an increase from the December 2024 appraised value of $99.0 million, but a decline of nearly 35.0% from the issuance appraised value of $151.0 million. -- In its analysis, Morningstar DBRS applied a 20.0% haircut to the most recent appraised value, resulting in implied losses of $7.5 million, or a loss severity of 18.0%. Canyon Falls (Prospectus ID#29, 7.4% of the pool): -- Canyon Falls is the second-largest contributor to Morningstar DBRS' liquidated losses and is secured by a 94,315-square-foot suburban office property in Twinsburg, Ohio. -- The loan transferred to special servicing in November 2023 because of imminent monetary default, following the former largest tenant, Enivsion RX Options, Inc. (81% of NRA), going dark prior to its November 2023 lease expiration. As such, the property occupancy rate is constrained, most recently reported at 26.0% as of September 2025 and the only two remaining tenants have upcoming lease expiration dates in 2028. -- The nonperforming matured balloon loan has been delinquent since maturing in February 2025. -- As of March 2026, the special servicer is proceeding with foreclosure proceedings and a foreclosure sale is being scheduled for the first half of 2026. -- An updated appraisal valued the property at $6.0 million as of October 2025, in line with the April 2025 appraised value of $6.2 million but a significant decline from the appraisal value at issuance of $13.5 million. -- In its analysis, Morningstar DBRS applied a 20.0% haircut to the October 2025 appraised value, resulting in liquidated losses of $5.2 million, or a loss severity of 61.0%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-E and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. WESTLAKE AUTOMOBILE 2026-2: DBRS Gives (P)BB Rating on Cl. E Notes ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the classes of notes to be issued by Westlake Automobile Receivables Trust 2026-2 (Westlake 2026-2 or the Issuer) as follows: -- $295,000,000 Class A-1 Notes at (P) R-1 (high) (sf) -- $229,225,000 Class A-2-A Notes at (P) AAA (sf)* -- $229,225,000 Class A-2-B Notes at (P) AAA (sf)* -- $158,410,000 Class A-3 Notes at (P) AAA (sf) -- $109,910,000 Class B Notes at (P) AA (sf) -- $162,210,000 Class C Notes at (P) A (sf) -- $142,500,000 Class D Notes at (P) BBB (sf) -- $73,520,000 Class E Notes at (P) BB (sf) *The combination of the Class A-2-A and Class A-2-B Notes is expected to equal $458,450,000. The allocation of the principal amount between the Class A-2-A and Class A-2-B Notes will be determined at or before the time of pricing (subject to a maximum allocation of 50% to the Class A-2-B Notes) and may result in the principal amount of the Class A-2-B Notes being zero. CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on a review by Morningstar DBRS of the following analytical considerations: (1) Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of subordination, OC, amounts held in the reserve fund, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date for each class. (3) Morningstar DBRS' CNL assumption for the Westlake 2026-2 transaction is 11.75% based on the pool composition as of the Statistical Calculation Date (March 31, 2026). -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update, published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. (4) The Westlake 2026-2 transaction has positive structural features, including the following: -- A nondeclining reserve account that is fully funded at closing (equal to 1.00% of the initial pool balance). -- A targeted OC equal to the sum of 13.00% of the outstanding pool balance and 1.00% of the initial pool balance. Initial OC levels start at 7.65% and are subject to a floor of 1.00% of the initial pool balance. (5) The Westlake 2026-2 Notes are exposed to interest rate risk because of the fixed-rate collateral and the variable interest rate borne by the Class A-2-B Notes. -- Morningstar DBRS ran interest rate stress scenarios to assess the effect on the transaction's performance, and its ability to pay noteholders per the transaction's legal documents. The entire Class A-2 balance is $458,450,000. The Class A-2-A and A-2-B split so that Class A-2-B is capped at 50% of the Class A-2. This is the floating rate tranche so Morningstar DBRS assumes it maxed out at the 50/50 floating rate/fixed rate split when analyzing the cash flow runs. -- Morningstar DBRS assumed two stressed interest rate environments for each credit rating category, which consist of increasing and declining forward interest rate paths for 30-day compounded average Secured Overnight Financing Rate (SOFR) based on the Morningstar DBRS Interest Rate and Currency Stresses for Global Structured Finance Transactions. (6) The credit quality of the collateral as of the Statistical Calculation Date and performance of the auto loan portfolio by origination channels. (7) The capabilities of Westlake with regard to originations, underwriting, and servicing. -- Morningstar DBRS has performed an operational review of the Company and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. -- The Westlake senior management team has considerable experience and a successful track record within the auto finance industry, having managed the Company through multiple economic cycles. (8) The quality and consistency of provided historical static pool data for Westlake originations and performance of the Westlake auto loan portfolio. (9) Computershare Trust Company, N.A. (rated BBB (high) and R-1 (low), both with Stable trends, by Morningstar DBRS) has served as a backup servicer for Westlake. (10) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Westlake, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. The collateral securing the notes consists entirely of a pool of retail automobile contracts secured by predominantly used vehicles that typically have high mileage. The loans are primarily made to obligors who are categorized as subprime, largely because of their credit history and credit scores. Westlake is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The credit ratings on the Class A-1, A-2-A, A-2-B, and A-3 Notes reflect 40.85% of initial hard credit enhancement provided by subordinated notes in the pool (32.20%), the reserve account (1.00%), and OC (7.65%). The credit ratings on the Class B, Class C, Class D, and Class E Notes reflect 33.60%, 22.90%, 13.50%, and 8.65% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each class of Notes are the related Noteholders' Monthly Interest Distributable Amount and the related Note Balance. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each class of Notes is the related interest on any Noteholders' Interest Carryover Shortfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Confirms 13 Ratings From 3 Republic Finance Transactions ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed 13 credit ratings from three Republic Finance Issuance Trust transactions. Ratings Debt Rated Rating Action ---------- ------ ------ Republic Finance Issuance Trust 2024-A Class A Notes AA(sf) Confirmed Class B Notes A(sf) Confirmed Class C Notes BBB(f) Confirmed Class D Notes BB(sf) Confirmed Republic Finance Issuance Trust 2024-B Class A Notes AA(sf) Confirmed Class B Notes A(low)(sf) Confirmed Class C Notes BBB(low)(sf) Confirmed Class D Notes BB(low)(sf) Confirmed Republic Finance Issuance Trust 2025-A Class A Notes AAA(sf) Confirmed Class B Notes AA(low)(sf) Confirmed Class C Notes A(low)(sf) Confirmed Class D Notes BBB(low)(sf) Confirmed Class E Notes BB(low)(sf) Confirmed Credit rating rationale includes the key analytical considerations: -- Republic Finance Issuance Trust 2024-A, Republic Finance Issuance Trust 2024-B and Republic Finance Issuance Trust 2025-A are currently within the initial revolving terms. Current credit enhancement (CE) levels are in line with initial levels. -- Current charge-offs for the transactions are in line with initial expectations. -- For Republic Finance Issuance Trust 2024-A, Republic Finance Issuance Trust 2024-B and Republic Finance Issuance Trust 2025-A, as a percentage of the current collateral balances, total delinquencies have declined below peak levels in recent months. -- The level of hard CE is in the form of overcollateralization, subordination, and amounts held in reserve fund available in the transactions. Hard CE and estimated excess spread are sufficient to support Morningstar DBRS' current credit rating levels. -- The collateral performance to date and Morningstar DBRS' assessment of future performance. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2026 Update," published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. [] DBRS Reviews 15 Classes on 2 U.S. RMBS Transactions ------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) reviewed 15 classes across two U.S. residential mortgage-backed securities (RMBS) transactions. Of the two transactions reviewed, one is classified as a home equity line of credit and the other as a single-family rental. Morningstar DBRS confirmed its credit ratings on all 15 classes. CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update" published on March 27, 2026 (https://dbrs.morningstar.com/research/477332). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (May 16, 2025) at https://dbrs.morningstar.com/research/454196. Notes: All figures are in US Dollars unless otherwise noted. Ratings AMSR 2025-SFR1 Trust Single-Family Rental Pass-Through Certificates Class A AAA(sf) Confirmed Class B AA(sf) Confirmed Class C A(low)(sf) Confirmed Class D BBB(sf) Confirmed Class E-1 BBB(sf) Confirmed Class E-2 BBB(low)(sf) Confirmed Class F-1 BB(high)(sf) Confirmed Class F-2 BB(low)(sf) Confirmed Class F-3 BB(low)(sf) Confirmed FIGRE Trust 2025-PF1 Mortgage-Backed Notes Class A AAA(sf) Confirmed Class B AA(low)(sf) Confirmed Class C A(low)(sf) Confirmed Class D BBB(low)(sf) Confirmed Class E BB(low)(sf) Confirmed [] Moody's Takes Action on 2 Bonds from 2 US RMBS Deals ------------------------------------------------------- Moody's Ratings has upgraded the rating of one bond and downgraded the rating of one bond from two US residential mortgage-backed transactions (RMBS), backed by subprime and Alt-A 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: Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2 Cl. M-8, Downgraded to Caa2 (sf); previously on Aug 26, 2025 Upgraded to Caa1 (sf) Issuer: GSAA Home Equity Trust 2005-6 Cl. B-1, Upgraded to Caa1 (sf); previously on Aug 15, 2025 Upgraded 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. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrade of Class M-8 from Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2 is due to outstanding credit interest shortfalls on the bond that are not expected to be recouped. This bond has weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The rating upgrade of Class B-1 from GSAA Home Equity Trust 2005-6 is the result of the improving performance of the related pool, and an increase in credit enhancement available to the bond. The credit enhancement over the past 12 months has grown 1.2x for the bond. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 2 Bonds from 2 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of two bonds from two US residential mortgage-backed transactions (RMBS), backed by manufactured housing mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Conseco Finance Securitizations Corp. Series 2001-1 Cl. A-5, Upgraded to Baa3 (sf); previously on Jul 23, 2025 Upgraded to B1 (sf) Issuer: Oakwood Mortgage Investors, Inc., Series 1999-A M-1, Upgraded to Aaa (sf); previously on Jul 23, 2025 Upgraded to Aa2 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. Credit enhancement grew by 1.5x on average for these bonds upgraded over the past 12 months. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 35 Bonds from 8 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 35 bonds from eight US residential mortgage-backed transactions (RMBS) backed by prime jumbo and agency eligible mortgage loans, while FIGRE 2025-FL1 is backed by first-lien home equity lines of credit (HELOCs). 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: Chase Mortgage Reference Notes, Series 2021-CL1 Cl. M-2, Upgraded to A1 (sf); previously on May 31, 2024 Upgraded to A2 (sf) Cl. M-5, Upgraded to Baa3 (sf); previously on Feb 6, 2025 Upgraded to Ba1 (sf) Issuer: Chase Home Lending Mortgage Trust 2025-1 Cl. B-2, Upgraded to A1 (sf); previously on Jan 30, 2025 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Jan 30, 2025 Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Jan 30, 2025 Definitive Rating Assigned A2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jan 30, 2025 Definitive Rating Assigned Ba2 (sf) Issuer: Chase Home Lending Mortgage Trust 2025-4 Cl. B-2, Upgraded to A2 (sf); previously on Apr 29, 2025 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A2 (sf); previously on Apr 29, 2025 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A2 (sf); previously on Apr 29, 2025 Definitive Rating Assigned A3 (sf) Issuer: Chase Home Lending Mortgage Trust 2025-7 Cl. B-2, Upgraded to A1 (sf); previously on Jun 26, 2025 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Jun 26, 2025 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Jun 26, 2025 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Jun 26, 2025 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jun 26, 2025 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Aug 21, 2025 Upgraded to B2 (sf) Issuer: Chase Home Lending Mortgage Trust 2025-8 Cl. B-2, Upgraded to A2 (sf); previously on Jul 30, 2025 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A2 (sf); previously on Jul 30, 2025 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A2 (sf); previously on Jul 30, 2025 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Jul 30, 2025 Definitive Rating Assigned Baa3 (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 Jul 30, 2025 Definitive Rating Assigned B3 (sf) Issuer: Chase Home Lending Mortgage Trust 2025-9 Cl. B-2, Upgraded to A1 (sf); previously on Aug 27, 2025 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Aug 27, 2025 Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Aug 27, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 27, 2025 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Aug 27, 2025 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Aug 27, 2025 Definitive Rating Assigned B3 (sf) Issuer: FIGRE Trust 2025-FL1 Cl. B-1, Upgraded to Ba1 (sf); previously on Aug 8, 2025 Definitive Rating Assigned Ba2 (sf) Cl. M-1, Upgraded to Baa1 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Issuer: Flagstar Mortgage Trust 2021-11INV Cl. B-2, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (sf) Cl. B-2-A, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (sf) Cl. B-2-X*, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Dec 20, 2024 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Dec 20, 2024 Upgraded to Ba1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under .05% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.3x for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, and credit enhancement. 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 40 Bonds from 7 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 40 bonds from seven US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: RCKT Mortgage Trust 2021-4 Cl. B-1, Upgraded to Aaa (sf); previously on Oct 18, 2024 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Oct 18, 2024 Upgraded to Aa1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Oct 18, 2024 Upgraded to Baa1 (sf) Cl. B-X-1*, Upgraded to Aaa (sf); previously on Oct 18, 2024 Upgraded to Aa1 (sf) Issuer: RCKT Mortgage Trust 2024-INV1 Cl. A-21, Upgraded to Aaa (sf); previously on Jun 20, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-22, Upgraded to Aaa (sf); previously on Jun 20, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-12*, Upgraded to Aaa (sf); previously on Jun 20, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Jun 20, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Jun 20, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Apr 1, 2025 Upgraded to A2 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Apr 1, 2025 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Apr 1, 2025 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Apr 1, 2025 Upgraded to B2 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Jun 20, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Apr 1, 2025 Upgraded to A2 (sf) Issuer: RCKT Mortgage Trust 2024-INV2 Cl. A-31, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-32, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-33, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-22*, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-23*, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-36*, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Sep 19, 2024 Definitive Rating Assigned Baa3 (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) Cl. B-X-1*, Upgraded to Aa2 (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Issuer: UWM Mortgage Trust 2021-INV4 Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 25, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 21, 2025 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Aug 21, 2025 Upgraded to Ba3 (sf) Issuer: UWM Mortgage Trust 2021-INV5 Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 25, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 21, 2025 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Aug 21, 2025 Upgraded to Ba3 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2020-5 Trust Cl. B-5, Upgraded to Baa2 (sf); previously on Jan 24, 2024 Upgraded to Baa3 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2021-2 Trust Cl. B-2, Upgraded to Aa2 (sf); previously on Jan 24, 2024 Upgraded to A1 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Nov 15, 2024 Upgraded to Baa2 (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 0.04% 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, by 1.3x for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the remaining rated classes in these deals because the expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. 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