260531.mbx

260531.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 31, 2026, Vol. 30, No. 151 Headlines AMUR EQUIPMENT 2022-2: DBRS Hikes Rating on Class F Notes to BBsf ANCHORAGE CREDIT 13: Moody's Raises Rating on 2 Tranches from Ba1 ARES TRUST 2026-TRON: DBRS Finalizes B(low) Rating on Cl. F Certs ARES XLI: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes ARINI US VI: S&P Assigns Prelim BB- (sf) Rating on Class E Notes BANK5 2026-5YR22: DBRS Gives (P)BBsf Rating on Cl. G-RR Certs BARCLAYS MORTGAGE 2026-NQM5: S&P Assigns 'B-' Rating on B-2 Notes BATTALION CLO XIX: S&P Affirms CCC+ (sf) Rating on Class E Notes BBCMS MORTGAGE 2026-5C41: Fitch Assigns 'B-sf' Rating on G-RR Certs BDS 2026-FL17: DBRS Finalizes (P)B(low) Rating on Class G Notes BENCHMARK 2018-B6: Fitch Affirms 'Csf' Rating on Class J-RR Debt BENCHMARK 2019-B14: Fitch Lowers Rating on Class D Debt to 'CCCsf' BENCHMARK 2026-B43: Fitch Assigns B-sf Final Rating on Two Tranches BENEFIT STREET 50: S&P Assigns BB- (sf) Rating on Class E Notes BENEFIT STREET XXIII: Fitch Assigns BB-sf Rating on Cl. E-RR Notes BX TRUST 2026-CIP: Fitch Assigns 'B+sf' Rating on Class F Certs CARVANA AUTO 2026-P2: S&P Assigns BB (sf) Rating on Class N Notes CD 2016-CD1 MORTGAGE: Fitch Lowers Rating on Two Tranches to 'Dsf' CHANNEL EF 2026-1: DBRS Rates Class E Notes '(P)BBsf' CHASE HOME 2026-JINV1: DBRS Gives (P)B(low) Rating to B-5 Certs CIFC FUNDING 2021-VI: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes COLT 2026-4: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs COLUMBIA CENT 33: S&P Affirms BB- (sf) Rating on Class E Notes COMM 2015-LC19: DBRS Confirms CCC Rating on Class G Certs COMM 2015-PC1: DBRS Cuts Rating on 2 Tranches to CCC(sf) CRIBS MORTGAGE 2025-RTL1: DBRS Confirms Bsf Rating on Cl. M2 Debt CROWN CITY IV: S&P Affirms BB- (sf) Rating on Class DR Notes DBWF 2015-LCM: DBRS Cuts Rating on 2 Tranches to CCCsf DRYDEN 119: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes EFMT 2026-AE3: Moody's Assigns B2 Rating to Cl. B-5 Certs ELLINGTON CLO III: Moody's Cuts Rating on $40MM Cl. E Notes to Ca EXETER SELECT 2026-1: S&P Assigns B (sf) Rating on Class N Notes GCAT TRUST 2026-NQM3: Moody's Assigns (P)Ba2 Rating to B-1 Debt GGP TRUST 2026-2PAK: DBRS Finalizes BBsf Rating on Cl. HRR Certs GOLUB CAPITAL 60(B): Moody's Gives Ba3 Rating to $17.8MM E-R2 Notes GS MORTGAGE 2026-PJ7: DBRS Assigns (P)B(low) Rating to B-5 Notes GS MORTGAGE-BACKED 2026-CES3: S&P Assigns (P) B Rating on B-2 Notes GS MORTGAGE-BACKED 2026-NQM4: S&P Assigns (P)B Rating on B-2 Certs HARVEST COMMERCIAL 2024-1: DBRS Confirms Bsf Rating on M-5 Notes HOPATCONG LLC: DBRS Finalizes BB(low) Rating on Class C Notes HUDSON'S BAY 2015-HBS: S&P Affirms CCC- (sf) Rating on E-10 Notes JP MORGAN 2026-4MPR: Fitch Assigns B(EXP)sf Rating on Cl. B2 Notes JPMDB 2017-C5 COMMERCIAL: Fitch Lowers Rating on D Certs to 'CCsf' JW COMMERCIAL 2026-MRCO: Fitch Rates Class HRR Certificates 'BB-sf' LAVALETTE LLC: DBRS Finalizes BB(low) Rating on Cl. C Notes LOANTAKA LLC: DBRS Finalizes BB(low) Rating on Class C Notes MORGAN STANLEY 2005-HE2: Moody's Cuts Rating on M-4 Certs to Caa1 MORGAN STANLEY 2015-UBS8: Fitch Lowers Rating on Two Classes to Dsf NASSAU 2019: Fitch Puts 'BBsf' Rating Under Criteria Observation NATL COMMERCIAL 2026-IND: Moody's Assigns (P)B2 Rating to HRR Certs NCF GRANTOR 2004-1: S&P Lowers Class A-2 Notes Rating to 'D (sf)' NYMT LOAN 2026-INV3: S&P Assigns Prelim B-(sf) Rating on B-2 Notes OBRA CLO 4: S&P Assigns BB- (sf) Rating on Class E Notes OBX 2026-HYB1: Moody's Assigns B2 Rating to Cl. B-2 Certs OBX 2026-INV4: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs OCTAGON 59: Moody's Cuts Rating on $23.5MM Class E Notes to B2 OHA CREDIT XI: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes OZLM XI: Moody's Withdraws Caa3 Rating on $10.5MM E-R Notes PEEBLES PARK: S&P Affirms BB- (sf) Rating on Class E Notes PMT LOAN 2026-J3: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs PRPM 2026-RCF3: Fitch Assigns 'BB-(EXP)sf' Rating on Class M2 Notes PRPM 2026-RCF3: Fitch Assigns 'BB-sf' Final Rating on Cl. M2 Notes RCKT MORTGAGE 2026-CES5: Fitch Assigns Bsf Rating on Five Tranches REALT 2015-1: DBRS Hikes Rating on Class G Debt From Bsf SANTANDER MORTGAGE 2026-NQM4:S&P Assigns B(sf) Rating on B-2 Notes SCULPTOR CLO XXXII: S&P Assigns Prelim Rating on Class E-R Notes SFAVE COMMERCIAL 2015-5AVE: S&P Affirms 'BB-' Rating on D Certs SPLITERO TRUST 2026-1: DBRS Assigns (P)B Rating on 2 Tranches STRUCTURED ASSET 2006-WF3: Moody's Ups Rating on M2 Certs to Ba2 SYCAMORE TREE 2023-3: S&P Affirms BB- (sf) Rating on Cl. E-R Notes TMSQ 2014-1500: DBRS Cuts Rating on Class C Certs to B(low) TOGETHER ASSET 2022-2ND1: DBRS Discontinues Bsf Rating on F Debt TRINITAS CLO IX: Moody's Cuts Rating on $12MM Class F Notes to C TRINITAS CLO XII: Moody's Cuts Rating on $11.25MM F Notes to Caa1 TRINITAS CLO XXIV: S&P Assigns BB- (sf) Rating on Class E-R Notes UNLOCK HEA 2026-1: DBRS Gives (P)BB(low) Rating on Cl. C Debt VELOCITY COMMERCIAL 2026-2: DBRS Finalizes B(low) on 3 Tranches WELLS FARGO 2015-C28: DBRS Confirms Csf Rating on 2 Tranches WESTLAKE AUTOMOBILE 2026-2: DBRS Finalizes BB Rating on E Notes [] DBRS Takes Actions on 14 Carvana Auto Transactions [] DBRS Takes Actions on 6 Bridgecrest Lending Transactions [] S&P Takes Various Actions on 56 Classes From 7 US RMBS Deals ********* AMUR EQUIPMENT 2022-2: DBRS Hikes Rating on Class F Notes to BBsf ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) upgraded seven credit ratings and confirmed two credit ratings across two Amur Equipment Finance Transactions. Debt Rated Rating Action ---------- ------ ------ Amur Equipment Finance Receivables X LLC Series 2022-1 Class D Notes AAA (sf) Upgraded Class E Notes A (high) (sf) Upgraded Class F Notes BBB (sf) Upgraded Amur Equipment Finance Receivables XI LLC Series 2022-2 Class A-2 Notes AAA (sf) Confirmed Class B Notes AAA (sf) Confirmed Class C Notes AA (high) (sf) Upgraded Class D Notes A (sf) Upgraded Class E Notes BBB (sf) Upgraded Class F Notes BB (sf) Upgraded The credit rating actions are based on the following analytical considerations: -- Amur Equipment Finance Receivables X LLC, Series 2022-1 has amortized to a pool factor of 9.04% and has a current cumulative net loss (CNL) to date of 6.02%. Despite losses tracking slightly above Morningstar DBRS' initial base case CNL expectation of 4.85%, available hard credit enhancement (CE) has grown across all tranches, sufficient to support a revised projected remaining CNL assumption at a multiple coverage commensurate with the credit ratings. -- Class D, E, and F Notes have benefited from deleveraging and their available CE has grown significantly relative to closing, sufficient to support a revised Morningstar DBRS projected remaining CNL assumption at a multiple above their current rating category range. Morningstar DBRS has upgraded its credit ratings on these classes. -- Amur Equipment Finance Receivables XI LLC, Series 2022-2 has amortized to a pool factor of 19.39% and has a current CNL to date of 7.67%. Losses are tracking above Morningstar DBRS' initial base case CNL expectation of 4.25%. Losses are tracking above Morningstar DBRS' initial base case but have moderated over the past year. The current level of hard credit enhancement (CE) is sufficient to support the Morningstar DBRS' projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the credit ratings. Higher losses are primarily driven by exposure to the transportation industry, which has been under stress in recent years and may remain stressed in the near term. However, we are seeing strong recovery rates and steadily increasing credit enhancement to mitigate the higher transportation exposure. -- The current overcollateralization (OC) amount for the Class F Notes is 4.54%, below the target of 8.50% of the outstanding receivables balance and lower than the initial OC of 7.05%. Despite that, Class F Notes still have enough CE to support the revised CNL assumption commensurate with their current credit ratings. Therefore, Morningstar DBRS has confirmed the credit rating on this class. -- All Classes of Notes have benefited from deleveraging and their available CE has grown higher than CE at closing, sufficient to support the revised Morningstar DBRS projected remaining CNL assumption at a multiple above their current rating category range. Therefore, Morningstar DBRS has confirmed and upgraded credit ratings on these classes. -- The relative benefit from obligor and geographic diversification of collateral pools. -- The transaction parties' capabilities with respect to origination, underwriting, and servicing. -- The Transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, " Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update," published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ANCHORAGE CREDIT 13: Moody's Raises Rating on 2 Tranches from Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Anchorage Credit Funding 13, Ltd.: US$59.63M Class B-1 Senior Secured Fixed Rate Notes, Upgraded to Aaa (sf); previously on Jul 24, 2025 Upgraded to Aa1 (sf) US$23.85M Class B-2 Senior Secured Fixed Rate Notes, Upgraded to Aaa (sf); previously on Jul 24, 2025 Upgraded to Aa1 (sf) US$25.88M Class C-1 Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to Aaa (sf); previously on Jul 24, 2025 Upgraded to Aa3 (sf) US$10.35M Class C-2 Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to Aaa (sf); previously on Jul 24, 2025 Upgraded to Aa3 (sf) US$20.25M Class D-1 Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to Aa1 (sf); previously on Jul 24, 2025 Upgraded to A3 (sf) US$8.1M Class D-2 Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to Aa1 (sf); previously on Jul 24, 2025 Upgraded to A3 (sf) US$34.88M Class E-1 Junior Secured Deferrable Fixed Rate Notes, Upgraded to Baa1 (sf); previously on Jul 24, 2025 Upgraded to Ba1 (sf) US$13.95M Class E-2 Junior Secured Deferrable Fixed Rate Notes, Upgraded to Baa1 (sf); previously on Jul 24, 2025 Upgraded to Ba1 (sf) Moody's have also affirmed the ratings on the following notes: US$219.38M Class A-1 Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Jul 24, 2025 Affirmed Aaa (sf) US$87.75M Class A-2 Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Jul 24, 2025 Affirmed Aaa (sf) Anchorage Credit Funding 13, Ltd., issued in July 2021, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The portfolio is managed by Anchorage Capital Group, L.L.C. The transaction's reinvestment period will end in July 2026. RATINGS RATIONALE The rating upgrades on the Class B-1, Class B-2, Class C-1, Class C-2, Class D-1, Class D-2, Class E-1 and Class E-2 notes are primarily a result of the benefit of the shorter period of time remaining before the end of the reinvestment period in July 2026. The affirmations on the ratings on the Class A-1 and Class A-2 notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CBO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. In light of reinvestment restrictions during the amortisation period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's analysed the deal assuming a higher likelihood that the collateral pool characteristics would maintain an adequate buffer relative to certain covenant requirements. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. Performing par and principal proceeds balance: USD604.8m Defaulted Securities: USD26.9m Diversity Score: 67 Weighted Average Rating Factor (WARF): 2660 Weighted Average Life (WAL): 5.34 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 4.10% Weighted Average Coupon (WAC): 5.85% Weighted Average Recovery Rate (WARR): 36.34% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CBO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: Once reaching the end of the reinvestment period in July 2026, the main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which could lengthen as a result of the manager's decision to reinvest in new issue loans or other loans with longer maturities, or participate in amend-to-extend offerings. The effect on the ratings of extending the portfolio's weighted average life can be positive or negative depending on the notes' seniority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. ARES TRUST 2026-TRON: DBRS Finalizes B(low) Rating on Cl. F Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-TRON (the Certificates) issued by ARES Trust 2026-TRON (ARES 2026-TRON): -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The ARES Trust 2026-TRON transaction is collateralized by the borrower's fee-simple interest in a portfolio of 21 industrial assets totaling 6.4 million sf. The portfolio is spread across nine states and 12 unique markets. The properties themselves are primarily distribution warehouse properties built from 1964 to 2024 with clear heights ranging from 17' to 42', with a portfolio average of 31.7 feet. Overall, the subject markets have strong fundamentals with positive annual growth in rents while absorbing new supply. Morningstar DBRS continues to take a favorable view on the long-term growth and stability of the warehouse and logistics sector. The sponsors for this transaction are various special purpose entities indirectly owned and controlled by Wilshire Fund IV REIT LLC and Park Fund IV REIT LLC. The borrower sponsor is indirectly owned by Ares Management Corporation. Ares Management Corporation is a global investment firm established in 1997, headquartered in Los Angeles, with more than $596 billion in assets under management. The real estate platform had approximately $109.5 billion in assets under management as of September 30, 2025, and specializes in public and private equity and debt management. The loan is a two-year, floating-rate, interest-only mortgage loan with three one-year extension options. The floating rate will be based on the one-month Secured Overnight Financing Rate (SOFR) plus the weighted-average mortgage loan component spread of 2.12%. The transaction will represent a cash-out financing, with the sponsor cashing out approximately $16.0 million in equity. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated class. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, Spread Maintenance Premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS Environmental (E) Factors The Emissions, Effluents, and Waste factor had a relevant effect on the credit analysis: The environmental reports prepared by Nova Group, Inc. (Nova) identified five properties with recognized environmental conditions (RECs), three properties with controlled recognized environmental conditions (CRECs), and four properties with historical recognized environmental conditions (HRECs). The ALA of these properties totals approximately 41.9%. There were no Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. ARES XLI: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares XLI CLO Ltd. Reset Transaction. Entity/Debt Rating ----------- ------ Ares XLI CLO Ltd. - New Reset A-1R3 LT NRsf New Rating A-2R3 LT AAAsf New Rating B-R3 LT AAsf New Rating C-R3 LT Asf New Rating D-R3 LT BBB-sf New Rating E-R3 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Ares XLI CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $700 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.2, 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 97.21% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.53% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AAAsf' for class A-2R3, between 'BBB-sf' and 'AAsf' for class B-R3, between 'BBsf' and 'Asf' for class C-R3, between less than 'B-sf' and 'BBB-sf' for class D-R3, and between less than 'B-sf' and 'B+sf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R3 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AA+sf' for class C-R3, 'Asf' for class D-R3, and 'BBBsf' for class E-R3. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Ares XLI CLO Ltd. - New Reset. 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. ARINI US VI: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Arini US CLO VI Ltd./Arini US CLO VI 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 Arini Loan Management US LLC. The preliminary ratings are based on information as of May 21, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The 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 Arini US CLO VI Ltd./Arini US CLO VI LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $18.25 million: BB- (sf) Subordinated notes, $43.90 million: NR NR--Not rated. BANK5 2026-5YR22: DBRS Gives (P)BBsf Rating on Cl. G-RR Certs ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-5YR22 (the Certificates) to be issued by BANK5 2026-5YR22: -- Class A-1 at (P) AAA (sf) -- Class A-2 at (P) AAA (sf) -- Class A-3 at (P) AAA (sf) -- Class X-A at (P) AAA (sf) -- Class X-B at (P) A (high) (sf) -- Class A-S at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class C at (P) A (sf) -- Class X-D at (P) BBB (high) (sf) -- Class X-E at (P) BBB (sf) -- Class X-F at (P) BBB (low) (sf) -- Class D at (P) BBB (sf) -- Class E at (P) BBB (low) (sf) -- Class F at (P) BB (high) (sf) -- Class G-RR at (P) BB (sf) All trends are Stable. Classes X-D, X-E, X-F, D, E, F, and G-RR will be privately placed. CREDIT RATING RATIONALE/DESCRIPTION The collateral for the BANK5 2026-5YR22 transaction consists of 27 fixed-rate loans secured by 184 commercial and multifamily properties with an aggregate cut-off date balance of $852.2 million. One loan, representing 9.6% of the total pool, is shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS analyzed the remainder of the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS Net Cash Flow and their respective constants, the Morningstar DBRS Weighted-Average (WA) Issuance Debt Service Coverage Ratio (DSCR) of the pool was 1.41 times (x) when the shadow-rated loans are included and 1.38x when the shadow-rated loans are excluded. The pool's Morningstar DBRS WA Issuance Loan-to-Value Ratio (LTV) was 62.6%, and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 62.5% at maturity based on the A note balances. Excluding the shadow-rated loans, the deal exhibits a moderate Morningstar DBRS WA Issuance LTV of 64.0% and a Morningstar DBRS WA Balloon LTV of 63.8%. Eight loans, making up about 37.7% of the total pool, exhibit a Morningstar DBRS Issuance LTV of higher than 67.6%. This threshold typically correlates to an above-average default frequency. Thirteen loans, representing 50.1% of the pool, exhibited a Morningstar DBRS Issuance DSCR at or below 1.31x, which is typically the threshold that indicates a higher likelihood of midterm default. The transaction has sequential-pay pass-through structure. The second-largest loan in the pool, Mountain Industrial Portfolio, representing 9.6% of the total pool balance, exhibited credit characteristics consistent with a shadow rating of BBB. One loan, representing 3.6% of the pool, is in an area with a Morningstar DBRS Market Rank of 7, which is indicative of dense urban areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Additionally, 10 loans, comprising 46.4% of the pool, are in areas with Morningstar DBRS Market Ranks of 5 or 6, which are indicative of less dense urban areas and have historically shown lower default frequencies than suburban, tertiary, and rural markets. Eight loans, representing 31.9% of the pool, are in Morningstar DBRS Metropolitan Statistical Area (MSA) Group 3, the best-performing group in terms of historical CMBS default rates among the top 25 MSAs, while five loans, representing 16.8% of the pool, are in Morningstar DBRS MSA Group 1, the worst-performing group. Nine loans, representing 30.4% of the pool, have Morningstar DBRS Issuance LTVs below 60.9%; this threshold typically represents relatively low-leverage financing and generally is associated with below-average default frequency. The pool's Morningstar DBRS WA Issuance LTV is relatively low at 62.6% (64.0% excluding shadow ratings) and the Morningstar DBRS WA Balloon LTV is 62.5% (63.8% excluding the two shadow-rated loans). The Morningstar DBRS WA DSCR of 1.41x (1.38x excluding the shadow-rated loans) is relatively high for a conduit transaction; this is particularly high when compared with the current interest rate environment where DSCRs have been severely constrained, as debt service payments have nearly doubled since mid-2022. None of the loans in the pool have a Morningstar DBRS DSCR below 1.00x and only 13.1% of the pool have Morningstar DBRS DSCRs below 1.21x. The pool has a total of 11 loans, accounting for 41.8% of the total pool, that are secured by multifamily, manufactured housing community, or self-storage properties. These property types are considered to be more stable and have historically seen lower default frequencies. The 27-loan pool results in a Herfindahl (Herf) score of 17.4, with the top 10 loans representing 67.7% of the transaction by cut-off date trust balance, and the largest loan representing 10.0% of the cut-off date trust balance. While the Herf score for the subject transaction is higher than the Herf score for the WFCM 2025-5C7 transaction (17.2) and the WFCM 2025-5C6 transaction (16.4), it is lower than the Herf scores of most of the other recent multi-borrower conduits rated by Morningstar DBRS, including BANK5 2026-5YR21 (18.0), BANK5 2026-5YR20 (18.3), WFCM 2026-5C8 (18.0), BANK5 2025-5YR19 (24.1), and BANK5 2025-5YR17 (24.1). In addition, the pool has a slightly elevated concentration of loans in California, with six loans comprising 28.9% of the pool balance, meaning that changes in California government policy or economic trends could negatively affect more than a quarter of the pool. Twenty-three loans, representing 84.3% of the pool, are being used to refinance debt. Morningstar DBRS views loans that refinance existing debt as more credit negative when compared with loans in which the proceeds are used to finance an acquisition. Acquisition financing typically demonstrates a meaningful cash investment from the sponsor, which helps to align the interests more closely with the lenders, whereas a refinance transaction may be a cash neutral or cash-out transaction, the latter of which may reduce the borrower's commitment to a property. Twenty-five of the loans, representing 95.9% of the pool, have interest-only (IO) payment structures throughout the loan term. Loans with IO payment structures potentially face refinance risk at maturity if the appraised values do not remain stable. The remaining loan amortizes over its full loan term with no periods of IO payments. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and/or Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Prepayment Premiums and Yield Maintenance Charges. 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. BARCLAYS MORTGAGE 2026-NQM5: S&P Assigns 'B-' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Barclays Mortgage Loan Trust 2026-NQM5's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans to both prime and nonprime borrowers (some with initial interest-only periods). The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, condotels, and mixed-use properties. The pool has 607 loans, which are qualified mortgage (QM)/non-higher-priced mortgage loan (average prime offer rate), QM/higher-price mortgage loan (average prime offer rate), non-QM/ability-to-repay (ATR) compliant, and ATR-exempt. S&P said, "After we assigned our preliminary ratings on May 13, 2026, the issuer decided not to issue the class A-1A and A-1B notes on the closing date. As a result, the class A-1FCF and A-1LCF note amounts increased to $165,406,000 and $55,135,000, respectively, from $82,703,000 and $27,568,000. At the same time, the corresponding class A-1 note amount increased to $220,541,000 from $110,271,000. After analyzing the final coupons and the updated structure, we assigned ratings to the classes that 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 originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Barclays Mortgage Loan Trust 2026-NQM5 Class A-1FCF, $165,406,000: AAA (sf) Class A-1LCF, $55,135,000: AAA (sf) Class A-1, $220,541,000: AAA (sf) Class A-2, $16,653,000: AA- (sf) Class A-3, $27,948,000: A- (sf) Class M-1, $9,702,000: BBB- (sf) Class B-1, $6,661,000: BB- (sf) Class B-2, $4,778,000: B- (sf) Class B-3, $3,331,434: NR Class SA, $37,450: NR Class XS, notional(ii): NR Class PT, $289,651,884: NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the net WAC shortfall amounts. (ii)On any payment date, the class XS notes will have a notional amount equal to the aggregate stated mortgage loans' principal balance as of the first day of the related due period and will not be entitled to principal payments. NR--Not rated. WAC--Weighted average coupon. BATTALION CLO XIX: S&P Affirms CCC+ (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, and C-R debt from Battalion CLO XIX Ltd./Battalion CLO XIX LLC, a CLO managed by Brigade Capital Management L.P., that was originally issued in April 2021. At the same time, S&P withdrew its ratings on the previous class A, B, and C debt following payment in full on the May 21, 2026, refinancing date. S&P also affirmed its ratings on the class D 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 replacement class A-R, B-R, and C-R debt was issued at a lower floating spread over the three-month CME term SOFR benchmark than the original debt. -- The non-call period for the replacement debt was set to Nov. 21, 2026. -- No additional assets were purchased on the May 21, 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 15, 2026. Replacement And Previous Debt Issuances Replacement debt -- Class A-R, $252.00 million: Three-month CME term SOFR + 1.04% -- Class B-R, $52.00 million: Three-month CME term SOFR + 1.60% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.05% Previous debt -- Class A, $252,00 million: Three-month CME term SOFR + 1.33161% -- Class B, $52.00 million: Three-month CME term SOFR + 1.86161% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 2.26161% 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. "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 'CCC+ (sf)' rating on the class E debt after considering the margin of failure and the relatively stable credit quality of the portfolio since our last review of this transaction. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Battalion CLO XIX Ltd./Battalion CLO XIX LLC Class A-R, $252.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R, $24.00 million: A (sf) Ratings Withdrawn Battalion CLO XIX Ltd./Battalion CLO XIX LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Ratings Affirmed Battalion CLO XIX Ltd./Battalion CLO XIX LLC Class D: BB+ (sf) Class E: CCC+ (sf) Other Debt Battalion CLO XIX Ltd./Battalion CLO XIX LLC Subordinated notes, $49.50 million: NR NR--Not rated. BBCMS MORTGAGE 2026-5C41: Fitch Assigns 'B-sf' Rating on G-RR Certs ------------------------------------------------------------------- Fitch has assigned final ratings and Ratings Outlooks to BBCMS Mortgage Trust 2026-5C41 commercial mortgage pass-through certificates, series 2026-5C41, as follows: - $3,964,000 Class A-1 'AAAsf'; Outlook Stable; - $80,000,000 Class A-2 'AAAsf'; Outlook Stable; - $289,580,000 Class A-3 'AAAsf'; Outlook Stable; - $373,544,000(a) Class X-A 'AAAsf'; Outlook Stable; - $49,362,000 Class A-S 'AAAsf'; Outlook Stable; - $28,016,000 Class B 'AA-sf'; Outlook Stable; - $22,012,000 Class C 'A-sf'; Outlook Stable; - $99,390,000(a)(b) Class X-B 'A-sf'; Outlook Stable; - $11,340,000(b) Class D 'BBBsf'; Outlook Stable; - $11,340,000(a)(b) Class X-D 'BBBsf'; Outlook Stable; - $6,670,000(b)(c) Class E-RR 'BBB-sf'; Outlook Stable; - $12,007,000(b)(c) Class F-RR 'BB-sf'; Outlook Stable; - $8,005,000(b)(c) Class G-RR 'B-sf'; Outlook Stable. Fitch does not rate the following class: - $22,679,596(b)(c) Class J-RR 'NRsf'. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 33 loans secured by 82 commercial properties having an aggregate principal balance of $533,635,597 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate INC., BSPRT CMBS Finance, LLC, Zions Bancorporation, N.A., KeyBank National Association, Citi Real Estate Funding Inc., Starwood Mortgage Capital LLC, Societe Generale Financial Corporation, Wells Fargo Bank, National Association, and UBS AG New York Branch. The master servicer is Trimont LLC, the primary servicer is KeyBank National Association, and the special servicer is CWCapital Asset Management LLC. The trustee is Deutsche Bank National Trust Company, and the certificate administrator is Computershare Trust Company, National Association. BellOak, LLC is the operating advisor and asset representations reviewer. The certificates will follow a sequential paydown structure. Since Fitch published its expected ratings on April 27, 2026, the balances for classes A-2 and A-3 were finalized. The initial certificate balance of class A-2 was expected to be in the range of $0 to $120,000,000 and the initial aggregate certificate balance of class A-3 was expected to be in the range of $249,580,000 to $369,580,000. The final class balances for classes A-2 and A-3 are $80,000,000 and $289,580,000, respectively. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 84.6% of the pool by balance. Fitch's aggregate pool net cash flow (NCF) of $48.0 million represents a 12.8% decline from the issuer's underwritten aggregate pool NCF of $55.1 million. Higher Fitch Leverage: The pool's Fitch leverage is higher than that of recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 104.58% is higher than the 2026 YTD five-year multiborrower transaction average of 97.6% and the 2025 five-year multiborrower transaction average of 101.0%. The pool's Fitch NCF debt yield (DY) of 9.0% is lower than the 2026 YTD average of 10.53% and the 2025 average of 10.2%. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The largest 10 loans represent 63.5% of the pool, which is higher than the 2026 YTD five-year average of 59.6% and lower that the 2025 five-year multiborrower average of 61.5%. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 21.9, which is lower than the 2026 YTD five-year multiborrower average of 22.8 and in line with the 2025 five-year multiborrower average of 21.8. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BDS 2026-FL17: DBRS Finalizes (P)B(low) Rating on Class G Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of notes (the Notes) issued by BDS 2026-FL17 LLC (BDS 2026-FL17 or the Issuer): -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class B-E Notes at AA (low) (sf) -- Class B-X Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class C-E Notes at A (low) (sf) -- Class C-X Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class D-E Notes at BBB (sf) -- Class D-X Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class E-E Notes at BBB (low) (sf) -- Class E-X Notes at BBB (low) (sf) -- Class F Notes at BB (low) (sf) -- Class G Notes at (P) B (low) (sf) All trends are Stable. The Class F and Class G Notes are non-offered notes. The Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes are exchangeable notes (the Exchangeable Notes) and are exchangeable for proportionate interests in the MASCOT Notes as defined below, subject to the satisfaction of certain conditions and restrictions; provided that at the time of the exchange such notes are owned by a wholly owned subsidiary of BDS V REIT LLC ("Bridge REIT"). All or a portion of each class of Exchangeable Notes may be exchanged as follows: (1) the Class B Notes may be exchanged for proportionate interests in the Class B-E Notes and the Class B-X Notes; (2) the Class C Notes may be exchanged for proportionate interests in the Class C-E Notes and the Class C-X Notes; (3) the Class D Notes may be exchanged for proportionate interests in the Class D-E Notes and the Class D-X Notes; and (4) the Class E Notes may be exchanged for proportionate interests in the Class E-E Notes (together with the Class B-E Notes, the Class C-E Notes, and the Class D-E Notes, the MASCOT P&I Notes) and the Class E-X Notes (together with the Class B-X Notes, the Class C-X Notes, and the Class D-X Notes, the MASCOT Interest Only Notes; and the MASCOT Interest Only Notes, together with the MASCOT P&I Notes, the MASCOT Notes). The BDS 2026-FL17 transaction's initial collateral consists of 24 floating-rate mortgage loans secured by 27 transitional multifamily, student housing, and manufactured housing properties. The collateral is encumbered by $1.2 billion of debt, composed of $923.1 million that will be going into the Trust, $21.1 million of future funding, and $299.2 million of funded pari passu debt. Seven loans, comprising 27.3% of the pool, are structured with future funding of $21.1 million. Four collateral interests (Somerset Upscale Apartments, Terminal 21, Serrano Apartments, Rock Springs Village Phase I), representing 13.6% of the initial pool balance, are delayed-close collateral interests, which are identified in the data tape and included in the Morningstar DBRS analysis. The Issuer is also permitted to acquire the delayed collateral interests in the 60-day period following the closing date. The transaction is a managed vehicle that includes a 30-month reinvestment period. As part of the reinvestment period, the transaction includes a 180-day ramp-up acquisition period during which the Issuer is expected to increase the trust balance by $200 million to a total target collateral principal balance of $1.1 billion. The acquisition of reinvestment collateral interests and ramp-up collateral interests will be subject to the satisfaction of the applicable eligibility criteria, the acquisition criteria, and the acquisition and disposition requirements. Morningstar DBRS assessed the ramp loans using a conservative pool construct and, as a result, the ramp loans have expected losses greater than the pool's weighted-average expected loss. Reinvestment of principal proceeds during the reinvestment period is subject to eligibility criteria that, among other criteria, include a rating agency no-downgrade confirmation by Morningstar DBRS for all new mortgage assets and funded companion participations, unless the Collateral Interest is a Participation with a principal balance of less than $500,000 and a related participation for collateral already owned by the issuer. Morningstar DBRS will confirm that a proposed action, failure to act, or other specified event will not, in and of itself, result in the downgrade or withdrawal of the current credit ratings during the reinvestment period. All tables, charts, and metrics referenced in the related presale report reflect the $923.1 million initial pool and cut-off balance. If a delayed-close collateral interest is not expected to close or fund on or prior to the delayed-close purchase termination date, which occurs 60 days after transaction close, then the Issuer may acquire such delayed-close collateral interest at any time during the transaction reinvestment period upon satisfying the transaction eligibility criteria, acquisition criteria, and acquisition and disposition requirements. The eligibility criteria establishes maximum trust concentrations for certain property types, and corresponding maximum loan-to-value ratios and minimum debt yields by property type, among other requirements. Please see the Eligibility Criteria Concentration Parameters table in the report for more details, and the Transaction Structural Features section of the report for the full eligibility criteria. The loans are secured by properties with plans to stabilize and improve the asset value. Seven of the loans, representing 27.3% of the pool, have remaining future funding totaling $21.1 million. Seventeen loans do not have remaining future funding, and the path to stabilization for such loans is primarily based on increasing occupancy, achieving operational efficiencies, or receiving tax abatements by aligning with set criteria at the secured properties. All of the loans in the pool have floating rates, and Morningstar DBRS incorporates an interest rate stress that is based on the lower of a Morningstar DBRS stressed rate that corresponds to the remaining fully extended term of the loans or the strike price of an interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the debt service payments were measured against the Morningstar DBRS As-Is Net Cash Flow, 23 of the 24 loans, representing 97.9% of the initial pool balance, had a Morningstar DBRS As-Is DSCR of below 1.00 times, a threshold indicative of refinance risk. The properties are often transitioning with potential upside in cash flow; however, Morningstar DBRS does not give full credit to the stabilization if there are no holdbacks or if other in-place structural features are insufficient to support such treatment. Furthermore, even with the structure provided, Morningstar DBRS generally does not assume the assets will stabilize above market levels. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Proceeds amounts and Interest Distribution amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings do not address nonpayment risk associated with Defaulted and Deferred Interest Distribution Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2018-B6: Fitch Affirms 'Csf' Rating on Class J-RR Debt ---------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Benchmark 2018-B5 Mortgage Trust (BMARK 2018-B5). The Rating Outlooks for classes A-S and X-A were revised to Stable from Negative. The Outlook for classes B, C, D, E-RR, X-B, and X-D remains Negative. Fitch has also affirmed 14 classes of Benchmark 2018-B6 Mortgage Trust (BMARK 2018-B6). The Outlooks for classes A-S and X-A were revised to Stable from Negative. The Outlook for classes B, C, D, E, and X-D remains Negative. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2018-B6 A-2 08162CAB6 LT AAAsf Affirmed AAAsf A-3 08162CAC4 LT AAAsf Affirmed AAAsf A-4 08162CAD2 LT AAAsf Affirmed AAAsf A-AB 08162CAE0 LT AAAsf Affirmed AAAsf A-S 08162CAF7 LT AA-sf Affirmed AA-sf B 08162CAG5 LT A-sf Affirmed A-sf C 08162CAH3 LT BBB-sf Affirmed BBB-sf D 08162CAL4 LT BB-sf Affirmed BB-sf E 08162CAN0 LT B-sf Affirmed B-sf F-RR 08162CAQ3 LT CCCsf Affirmed CCCsf G-RR 08162CAS9 LT CCsf Affirmed CCsf J-RR 08162CAU4 LT Csf Affirmed Csf X-A 08162CAJ9 LT AA-sf Affirmed AA-sf X-D 08162CAY6 LT B-sf Affirmed B-sf Benchmark 2018-B5 A-2 08160BAD6 LT AAAsf Affirmed AAAsf A-3 08160BAC8 LT AAAsf Affirmed AAAsf A-4 08160BAB0 LT AAAsf Affirmed AAAsf A-S 08160BAH7 LT AA-sf Affirmed AA-sf A-SB 08160BAE4 LT AAAsf Affirmed AAAsf B 08160BAJ3 LT A-sf Affirmed A-sf C 08160BAK0 LT BBB-sf Affirmed BBB-sf D 08160BAL8 LT BBsf Affirmed BBsf E-RR 08160BAQ7 LT Bsf Affirmed Bsf F-RR 08160BAS3 LT CCCsf Affirmed CCCsf G-RR 08160BAU8 LT CCsf Affirmed CCsf X-A 08160BAF1 LT AA-sf Affirmed AA-sf X-B 08160BAG9 LT A-sf Affirmed A-sf X-D 08160BAN4 LT BBsf Affirmed BBsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have increased to 8.2% for BMARK 2018-B5, compared to 7.4% at Fitch's prior rating action. Losses have also increased to 7.9% in BMARK 2018-B6 compared to 7.5% at Fitch's prior rating action. The BMARK 2018-B5 transaction includes 13 loans (38.2% of the pool) that have been identified as Fitch Loans of Concern (FLOCs), including five specially serviced loans (18.2%). The BMARK 2018-B6 transaction has 22 FLOCs (37.1%), including eight specially serviced loans (14.7%). The Outlook revisions for classes A-S and X-A in BMARK 2018-B5 and BMARK 2018-B6 reflect sufficient credit enhancement (CE) and the increased likelihood of repayment from loans expected to refinance at maturity. The Negative Outlooks in BMARK 2018-B5 reflect performance concerns regarding the FLOCs, particularly Aon Center and the specially serviced loans, including Westbrook Corporate Center, eBay North First Commons and Workspace (collectively 17.3% of the pool). Downgrades are possible with lower than-expected recoveries and/or prolonged workouts of the specially serviced loans, additional performance declines of the FLOCs or more loans than anticipated fail to refinance. The Negative Outlooks in BMARK 2018-B6 reflect performance concerns regarding the specially serviced loans and FLOCs, particularly, Carlton Plaza (2.2%), JAGR Hotel Portfolio (1.8%), One American Place (2.1%), and Workspace (3.9%). Given the BMARK 2018-B5 and BMARK 2018-B6 transactions have significant maturity concentrations in 2028, Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and the 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 expected losses in the BMARK 2018-B5 transaction is the Westbrook Corporate Center loan (1.8%), which is secured by a 1.14 million-sf suburban office property located in Westchester, IL. The loan transferred to special servicing in September 2024 for non-monetary default. Property occupancy has continued to decline, falling to 57% as of December 2025, from 55% at September 2024, down from 67% at YE 2023 and 71% at YE 2022. The decline is primarily due to the departure of major tenant, American Imaging Management (7.2% of the NRA) and downsize of the largest tenant, Follett Higher Education Group (11.3%), which reduced its footprint by 82,005 sf (7.1%) and extended its lease to April 2033. Fitch's 'Bsf' rating case loss of 68.2% (prior to a concentration adjustment) is based on a 30.0% stress to the most recent February 2026 appraisal value. The second largest contributor to expected losses in the BMARK 2018-B5 transaction is the 215 Lexington Avenue (2.8%) loan, which is secured by a 120,677-sf office building located in Murray Hill, Manhattan, NY. The property's major tenants include Yeshiva University (11.1% of NRA, leased through July 2030) and GRACE Communications Foundation (10.8%, February 2030). Occupancy was 59.3% as of the trailing nine months ended September 2025, and the NOI DSCR was 0.38x for the same period. According to CoStar, the property lies within the Murray Hill Office Submarket of the New York, NY market area. As of 1Q26, average rental rates were $58.27 psf and $64.62 psf for the submarket and market, respectively. Vacancy for the submarket and market was 18.3% and 13.0%, respectively. Fitch's 'Bsf' case loss of 38.3% (prior to a concentration adjustment) is based on a 9.50% cap rate to the YE 2024 NOI, and factors in an increased probability of default due to the loan's heightened maturity default risk. Fitch is also monitoring the performance of the eBay North First Commons (5.5%) loan, which is secured by a 250,056-sf suburban office property located in San Jose, CA. The loan transferred to special servicing in March 2026 due to a pending maturity default. The property is currently dark after the former sole tenant, eBay, negotiated an early termination of the lease with a payment of $16.8 million, which is being held by the servicer. The loan reported total reserves of $36.4 million or $145.7 psf as of the April 2026 loan level reserve report. According to the servicer, the borrower has listed the property for sale with offers expected within the next few months. Fitch's 'Bsf' case loss of 17.4% (prior to a concentration adjustment) is based on an 8.50% cap rate and 30.0% stress to the YE 2025 NOI, and factors in an increased probability of default due to the loan's deterioration in performance and recent transfer to special servicing. The largest contributor to expected losses in the BMARK 2018-B6 transaction is the Carlton Plaza (2.2%) loan, which is secured by a 154,933-sf suburban office building located in Woodland Hills, CA. The loan transferred to special servicing in January 2025 due to imminent monetary default. Property performance has declined due to the departure of multiple tenants. The property was 50% occupied as of the December 2025 servicer-provided rent roll, down from 63.1% as of YE 2024, and 74% at YE 2023. The servicer-reported NOI DSCR declined to 0.69x as of June 2025, from 0.92x at YE 2024, and 1.67x at YE 2023. Fitch's 'Bsf' rating case loss of 61.7% (prior to a concentration adjustment) is based on a 20.0% stress to the most recent February 2025 appraisal value. The second largest contributor to expected losses in the BMARK 2018-B6 transaction is the JAGR Hotel Portfolio (1.8%) loan, which is secured by a portfolio comprised of three full-service hotels totaling 721 keys. The hotels are in Grand Rapids, MI, Jackson, MS and Annapolis, MD. All three hotels are of the Hilton brand flag and are managed by Spire Hospitality. The loan transferred to special servicing in March 2023 due to a maturity default. The hotel portfolio's performance has continued to deteriorate with occupancy and NOI DSCR at 55% and 0.05x, respectively, as of June 2024. Fitch's 'Bsf' rating case loss of 37.0% (prior to a concentration adjustment) is based on a 20.0% stress to the most recent November 2025 portfolio appraisal value. Increased CE: As of the May 2026 distribution date, the aggregate pool balances of the BMARK 2018-B5 and BMARK 2018-B6 transactions have been reduced by 10.8% and 9.7%, respectively, since issuance. The BMARK 2018-B5 transaction includes seven loans (5.3% of the pool) that have fully defeased. Four loans (2.9%) are fully defeased in BMARK 2018-B6. Interest Shortfalls: To date, the BMARK 2018-B5 and BMARK 2018-B6 transactions have not incurred any realized principal losses. Interest shortfalls totaling $424,206 are impacting the non-rated class NR-RR in the BMARK 2018-B5 transaction, and interest shortfalls totaling $90,745 are impacting the non-rated class NR-RR in the BMARK 2018-B6 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch does not expect downgrades to the senior 'AAAsf' rated classes due to their high CE, position in the capital structure and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly, or interest shortfalls 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 if more loans than expected default at or prior to maturity. Downgrades are possible for BMARK 2018-B5 if FLOC performance deteriorates further, particularly for the Westbrook Corporate Center, Aon Center, eBay North First Commons and Workspace loans. Key FLOCs in the BMARK 2018-B6 transaction include the Carlton Plaza, JAGR Hotel Portfolio, One American Place and Workspace loans. Downgrades to classes with Negative Outlooks rated 'BBBsf', 'BBsf' and 'Bsf' are possible if FLOC performance deteriorates further, there are additional transfers to special servicing, or if certainty of losses on the specially serviced loans and/or FLOCs increases. Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur if additional loans transfer to special servicing or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'AAsf' and 'Asf' may be possible with significantly increased CE, coupled with stable to improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2019-B14: Fitch Lowers Rating on Class D Debt to 'CCCsf' ------------------------------------------------------------------ Fitch Ratings has downgraded one class and affirmed 14 classes of Benchmark 2019-B14 Mortgage Trust (BMARK 2019-B14). The Outlook for affirmed classes A-S, B, C, X-A and X-B remains Negative. Fitch has also affirmed all classes of Benchmark 2019-B15 Mortgage Trust (BMARK 2019-B14). The Outlook for affirmed classes A-S, B, C, D, E, X-A, X-B, and X-D remains Negative. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2019-B15 A-2 08160KAB0 LT AAAsf Affirmed AAAsf A-3 08160KAC8 LT AAAsf Affirmed AAAsf A-4 08160KAD6 LT AAAsf Affirmed AAAsf A-5 08160KAE4 LT AAAsf Affirmed AAAsf A-AB 08160KAF1 LT AAAsf Affirmed AAAsf A-S 08160KAG9 LT AA-sf Affirmed AA-sf B 08160KAJ3 LT A-sf Affirmed A-sf C 08160KAK0 LT BBB-sf Affirmed BBB-sf D 08160KAL8 LT BBsf Affirmed BBsf E 08160KAN4 LT BB-sf Affirmed BB-sf F 08160KAQ7 LT CCCsf Affirmed CCCsf G-RR 08160KAY0 LT CCsf Affirmed CCsf X-A 08160KAH7 LT AA-sf Affirmed AA-sf X-B 08160KAS3 LT A-sf Affirmed A-sf X-D 08160KAU8 LT BB-sf Affirmed BB-sf X-F 08160KAW4 LT CCCsf Affirmed CCCsf Benchmark 2019-B14 A-2 08162YAB8 LT AAAsf Affirmed AAAsf A-3 08162YAC6 LT AAAsf Affirmed AAAsf A-4 08162YAD4 LT AAAsf Affirmed AAAsf A-5 08162YAE2 LT AAAsf Affirmed AAAsf A-S 08162YAF9 LT A-sf Affirmed A-sf A-SB 08162YAG7 LT AAAsf Affirmed AAAsf B 08162YAH5 LT BBB-sf Affirmed BBB-sf C 08162YAJ1 LT BB-sf Affirmed BB-sf D 08162YAM4 LT CCCsf Downgrade B-sf E 08162YAR3 LT CCCsf Affirmed CCCsf F-RR 08162YAT9 LT CCsf Affirmed CCsf G-RR 08162YAV4 LT Csf Affirmed Csf X-A 08162YAK8 LT A-sf Affirmed A-sf X-B 08162YAL6 LT BBB-sf Affirmed BBB-sf X-D 08162YAP7 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: The deal-level 'Bsf' rating case loss for the BMARK 2019-B14 transaction is 11.1%, up from 9.5% at Fitch's prior rating action. The 'Bsf' rating case loss for the BMARK 2019-B15 transaction is 7.9%, slightly higher than 7.3% at the prior review. Fitch Loans of Concern (FLOCs) include 17 loans (or 53.3% of the pool) in BMARK 2019-B14, including four loans (13.2% of the pool) in special servicing. In BMARK 2019-B15, FLOCs include 10 loans (42.8% of the pool), including two loans (5.5%) in special servicing. The downgrade to class D in BMARK 2019-B14 reflects increased pool loss expectations since Fitch's prior rating action, primarily driven by a lower appraisal value for the specially serviced loan Hilton Cincinnati Netherland Plaza hotel loan (2.9% of the pool) and continued performance deterioration and/or sustained high loss expectations on office FLOCs, Watergate Office Building (6.3% of the pool), 225 Bush (5.2%), Innovation Park (5.2%), 900 & 990 Stewart Ave (3.4%), 8 West Centre (2.0%), and Sunset North (1.7%). The downgrade also reflects higher-than-expected realized losses on one liquidated loan. The Studio Movie Grill Chicago loan, originally $5.6 million, or 0.4% of the balance at the prior review, became vacant and incurred a $6.2 million realized loss, or 111% loss severity. This compares with expected losses of 82%. The Negative Outlooks in BMARK 2019-B14 reflect the potential for further downgrades if performance of the aforementioned office FLOCs does not stabilize and/or workouts for the specially serviced loans are prolonged, leading to higher-than-expected losses. The Outlooks also reflect the high concentration of office loans (40.1% of the pool) and high exposure to loans in special servicing (13.2%). The affirmations in BMARK 2019-B15 reflect increased credit enhancement (CE) from scheduled amortization and defeasance including Kildeer Village Square (6.1% of the pool), which was the third-largest contributor to loss expectations in the prior rating action. The Negative Outlooks in BMARK 2019-B15 reflect increased pool loss expectations, primarily driven by continued performance deterioration of the office FLOCs, including 899 West Evelyn (9.5%), Innovation Park (8.5%), 600 & 620 National Avenue (3.7%), Sunset North (2.5%), and 8 West Centre (2.0%). The Negative Outlooks also reflect the high concentration of office loans (46.7% of the pool) and the potential for further downgrades with worsening performance of the aforementioned FLOCs and specially serviced loans. Largest Increases in Loss: The largest contributor to overall pool losses in BMARK 2019-B14 and BMARK 2019-B15 is the Hilton Cincinnati Netherland Plaza loan (2.9% in BMARK 2019-B14 and 2.4% in BMARK 2019-B15), secured by a 29-story, 561 room, full-service hotel located in the CBD of Cincinnati, OH. The loan transferred to special servicing in February 2021 for imminent payment default. A receiver was appointed in November 2022. A recent effort to sell the hotel was unsuccessful after the purchase contract fell through. The receiver is preparing to remarket the property for sale. Property performance has failed to recover from impact from the pandemic and continues to deteriorate. As of TTM June 2025, net operating income (NOI) was negative with an NOI DSCR of -0.30x. Fitch's 'Bsf' rating case loss of 67.7% (prior to concentration add-ons) reflects a discount to the most recent February 2026 appraisal value reflecting a stressed value of $56,684 per room. The second-largest contributor to overall loss expectations in BMARK 2019-B14 is the 225 Bush loan, which is secured by a 579,987-sf office property in San Francisco, CA. The loan is flagged as a FLOC due to the declining occupancy since issuance, the sponsor's inability to backfill increasing vacancies and the loan's specially serviced status due to a failure to refinance at the November 2024 maturity. A court-approved receiver was appointed in August 2025, and the servicer reports that a note sale process has been initiated. The largest tenant at issuance, Twitch (14.5% of NRA), vacated upon its lease expiration in August 2021. Additionally, tenant Knotel (4.6% of NRA) and several other smaller tenants vacated upon lease expiration, causing occupancy to decline to 40% as of June 2024 compared with 47% at December 2023, 55% at December 2022 and 97.8% at issuance. However, recent positive leasing activity at the property is expected to increase occupancy to the higher-than-previously-expected rental level of 55%. According to Costar, the submarket reported vacancy at 29% and asking rents at $53.82 psf as of 4Q25. These metrics have significantly worsened from 8.1% and $75.29 at the time of issuance. The updated Fitch NCF of $13.2 million is 11% above Fitch's NCF at the prior review but 43% below Fitch's issuance NCF of $23.2 million. The Fitch NCF reflects leases in place according to the June 2025 rent roll and also assumes Fitch's view of sustainable, long-term performance. It includes a lease-up of vacant office space, with rents adjusted to market levels, and a sustainable long-term occupancy assumption of 70%, which is in line with the submarket. Fitch's 'Bsf' rating case loss of 30.2% (prior to concentration adjustments) reflects a higher stressed capitalization rate of 9%, in line with the prior rating action and up from 7.75% at issuance, to reflect concerns about office sector and submarket performance. This results in a Fitch-stressed valuation decline approximately 75% below the issuance appraisal. The Fitch stressed value is slightly below the most recently reported appraised value of $153 million ($263.80 psf) as of January 2025. The third-largest contributor to overall loss expectations in BMARK 2019-B14 is the specially serviced 900 & 990 Stewart Avenue loan, which is secured by a 462,615-sf suburban office property located in Garden City, NY. The loan transferred to special servicing in August 2024 due to maturity default. A loan modification that includes a three-year maturity extension through August 2027 has been conditionally approved. The property was 86.6% occupied as of the servicer-provided December 2025 rent roll and NOI DSCR was 1.54x as of the trailing nine months ended September 2025. Major tenants include Garfunkel Wild P.C. (10.2% of NRA; leased through June 2038), Wright Risk Management (8.5%; March 2029) and Meyer, Suozzi, English, and Klein (7.2%; March 2030). The loan reported total reserves of $4.9 million or $11.0 psf as of the January 2026 financial reporting. According to CoStar, the property lies within the central Nassau office submarket of the Long Island, NY market. As of 4Q25, submarket asking rents average $35.02 psf and submarket vacancy rate was 7.9%. Fitch's 'Bsf' rating case loss of 27.5% (prior to a concentration adjustment) reflects the most recent May 2025 appraisal value, which is equal to approximately $138 psf. The largest increase and second-largest contributor to overall loss expectations since the prior review in the BMARK 2019-B15 transaction, is the 899 West Evelyn loan, which is secured by a 75,475-sf class A office property, located in a premier office corridor within the Mountain View neighborhood of the Silicon Valley region. The single tenant Confluent (100%, October 2029) exercised its termination option in January 2025 and will vacate the premises at the end of October 2026. The termination option included a termination fee of $2.0 million. A cash flow sweep has been triggered with the April 2026 reserve balance reported at $7.2 million. As of YE 2025, the servicer-reported NOI DSCR was 3.61x, up from 3.23x at YE 2024 and 3.21x at YE 2023. According to CoStar, the property is located in the Mountain View submarket, which has a vacancy rate of 18.7% and asking rents of $71.71 psf. The entire property has been listed for availability at asking rents ranging from $80 - $98/sf. Fitch's 'Bsf' rating case loss of 15.6% (prior to concentration adjustments) factors in a higher probability of default given the continued concerns with the upcoming vacancy, lack of leasing activities, and elevated vacancy rates in the submarket. The third-largest increase in overall expected losses since the prior review in the BMARK 2019-B15 transaction is the Innovation Park loan, which is secured by a 1.74 million-sf office property located in Charlotte, NC. The office complex's performance continues to deteriorate, with occupancy declining to 48.3% as of December 2025, down from 75% at YE 2022. The decline in occupancy was compounded by the departure of the fourth-largest tenant, Wells Fargo (11.1% of NRA), which vacated at lease expiration in March 2025. Consequently, the NOI DSCR has decreased to 1.25x at YE 2025, down from 2.17x at YE 2024, 2.52x at YE 2023, and 3.34x at YE 2022. Fitch's 'Bsf' rating case loss expectations of 14.6% (prior to concentration add-ons) reflects a 10% stress to the YE 2024 NOI and factors an increased probability of default to account for near-term rollover, high availability and weak submarket conditions. The fourth-largest increase in loss expectations since the prior rating action in the BMARK 2019-B15 transaction is the Sunset North loan, which is secured by a 464,061-sf suburban office property located in Bellevue, WA. The property's largest tenants include ArenaNet (20.9% of NRA; leased through May 2029), WeWork (16.9%; December 2031), and Farmers New World Life Insurance (13.0%; May 2029). Property occupancy declined to 65.9% as of the September 2025 servicer-provided rent roll compared with 99% as of YE 2024 due to the former largest tenant, Intellectual Ventures (previously 32.9% of NRA), vacating upon lease expiry in May 2025. In addition, the third-largest tenant, Farmers New World Life Insurance, has an option to terminate its lease at the property in June 2026. The loan reported total reserves of $4.8 million or $10.4 psf as of the January 2026 financial reporting. According to CoStar, the property lies within the I-90 Corridor Office submarket of the Seattle, WA market. As of 4Q25, submarket asking rents average $37.97 psf and submarket vacancy rate was 39.6%. Fitch's 'Bsf' ratings case loss of 23.9% (prior to a concentration add-ons) is based on a 10.0% cap rate and 30.0% stress to the YE 2024 NOI, and factors in an increased probability of default due to weak submarket fundamentals and the loans heightened risk of a term default. The loan remains current. Dark Single-Tenant Exposure: In addition to the FLOCs noted above, one loan within both transactions has exposure to a dark single-tenant office property where the tenant does not occupy the premises but continues to pay rent. The 600 & 620 National Avenue loan is secured by a Class A- LEED Gold-certified 151,064-sf office property in Mountain View, CA with Google as the tenant on a lease through May 2029. This loan also has companion pieces in the JPMDB 2019-COR6, UBS 2019-C17 and WFCM 2019-C53 transactions. Increased Credit Enhancement (CE): As of the April 2026 distribution date, the aggregate balances of the BMARK 2019-B14 and BMARK 2019-B15 transactions have been reduced by 13.0% and 6.5%, respectively, since issuance. The BMARK 2019-B14 transaction has 26 (69.3%) full-term, interest-only (IO) loans and 23 (30.7%) loans that are currently amortizing. The BMARK 2019-B15 transaction has 17 (65.1%) full-term, IO loans and 14 (34.9%) loans that are currently amortizing. There are two loans (3.0% of the pool) that are fully defeased in the BMARK 2019-B14 transaction and one loan (6.1% of the pool) in the BMARK 2019-B15 transaction. Cumulative interest shortfalls of $5.17 million are currently impacting Classes E, F-RR, G-RR and the non-rated classes VRR Interest and NR-RR and realized losses of $13.5 million are impacting the non-rated classes VRR Interest and NR-RR in the BMARK 2019-B14 transaction. Cumulative interest shortfalls of $2.32 million and realized losses of $177,261 are currently impacting the non-rated classes VRR Interest and J-RR in the BMARK 2019-B15 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 senior position in the capital structure, high CE and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'Asf' rating category could occur should performance of the FLOCs — most notably from office loans Innovation Park, Sunset North, 600 & 620 National Avenue in both transactions, 225 Bush, Hilton Cincinnati Netherland Plaza, 900 & 990 Stewart Avenue and Watergate Office Building in BMARK 2019-B14, and 899 West Evelyn in BMARK 2019-B15 — 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 classes are possible, should additional loans transfer to special servicing and as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'Asf' rating category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with improved pool-level loss expectations and stronger performance on the FLOCs. This includes Innovation Park, Sunset North, 600 & 620 National Avenue in both transactions, 225 Bush, Hilton Cincinnati Netherland Plaza, 900 & 990 Stewart Avenue and Watergate Office Building in BMARK 2019-B14 and 899 West Evelyn and Kildeer Village Square in BMARK 2019-B15. Classes would not be upgraded above 'AA+sf' if there is a likelihood of 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 the distressed classes are unlikely without the FLOCs' performance stabilizing and improvement of the 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 2026-B43: Fitch Assigns B-sf Final Rating on Two Tranches ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Ratings Outlooks to Benchmark 2026-B43 Mortgage Trust commercial mortgage pass-through certificates, series 2026-B43 as follows: - $44,730,000 class A-1 'AAAsf'; Outlook Stable; - $36,010,000 class A-SB 'AAAsf'; Outlook Stable; - $90,000,000a class A-4 'AAAsf'; Outlook Stable; - $292,186,000a class A-5 'AAAsf'; Outlook Stable; - $462,926,000b class X-A 'AAAsf'; Outlook Stable; - $65,306,000 class A-S 'AAAsf'; Outlook Stable; - $31,412,000 class B 'AA-sf'; Outlook Stable; - $24,800,000 class C 'A-sf'; Outlook Stable; - $121,518,000b class X-B 'A-sf'; Outlook Stable; - $22,320,000c class D 'BBB-sf'; Outlook Stable; - $22,320,000bc class X-D 'BBB-sf'; Outlook Stable; - $14,053,000c class E 'BB-sf'; Outlook Stable; - $14,053,000bc class X-E 'BB-sf'; Outlook Stable; - $9,093,000c class F 'B-sf'; Outlook Stable; - $9,093,000bc class X-F 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $31,413,430cd class G-RR; - $21,911,340ce class VRR Interest. (a) The balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-4 class was expected to be in the range of $0-$150,000,000, subject to a variance of plus or minus 5%. The final class balance for class A-4 is $90,000,000. The initial aggregate certificate balance of the A-5 class was expected to be in the range of $232,186,000-$382,186,000, subject to a variance of plus or minus 5%. The final class balance for class A-5 is $292,186,000. (b) Notional amount and interest only. (c) Privately place and pursuant to Rule 144A. (d) Horizontal risk retention interest. e) Vertical risk retention interest. The ratings are based on information provided by the issuer as of May 19, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 32 loans secured by 53 commercial properties having an aggregate principal balance of $683,234,771 as of the cutoff date. The loans were contributed to the trust by Citi Real Estate Funding Inc., German American Capital Corporation, Goldman Sach Mortgage Company, Bank of America, National Association, UBS AG New York Branch, Bank of Montreal, and Barclays Capital Real Estate Inc. The master servicer is Trimont LLC, and the special servicer is CWCapital Asset Management LLC. Wilmington Savings Fund Society, FSB is the trustee. Citibank, N.A. is the certificate administrator. The certificates follow a sequential paydown structure. See Fitch's presale report for further details KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 90.6% of the pool by balance, including the largest 20 loans in the pool. Fitch's resulting net cash flow (NCF) of approximately $79.6 million represents a 16.2% decline from the issuer's underwritten NCF of approximately $95.0 million. The NCF decline is higher than the 2026 YTD mulitborrower 10-year and 2025 10-year multiborrower transaction averages of 14.8% and 13.4%, respectively. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool's Fitch leverage is higher than recent Fitch-rated multiborrower transactions. The pool's Fitch loan-to-value ratio (LTV) of 94.0% is higher than the 2026 YTD 10-year multiborrower transaction average of 93.0% and higher than the 2025 10-year multiborrower transaction average of 88.4%. The pool's Fitch NCF debt yield (DY) of 11.6% is lower than both the 2026 YTD and 2025 10-year averages of 12.4% and 12.2%, respectively. Investment-Grade Credit Opinion Loan (COL): One loan, representing 6.1% of the pool by balance, received an investment-grade credit opinion. 360 East 72nd Street Co-Op (6.1% of pool) received an investment-grade credit opinion of 'AAAsf* on a standalone basis. The pool's total credit opinion percentage is higher than the 2026 YTD 10-year multiborrower transaction average of 4.9% but lower the 2025 10-year multiborrower transaction average of 21.4%. Excluding the COL, the pool's Fitch LTV and DY are 98.7% and 10.1%, respectively, compared with the equivalent 10-year 2025 LTV and DY averages of 88.4% and 10.2%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf'/ 'B-sf'. - 10% NCF Decline: 'AAsf' / 'A-sf' / 'BBBsf' / 'BB-sf' / 'CCC+sf' / below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf'/ 'B-sf'; - 10% NCF Increase: 'AAAsf' / 'AAsf' / 'Asf' / 'BBBsf' / 'BB+sf' / 'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET 50: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Ratings Assigned Benefit Street Partners CLO 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. BENEFIT STREET XXIII: Fitch Assigns BB-sf Rating on Cl. E-RR Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Benefit Street Partners CLO XXIII, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Benefit Street Partners CLO XXIII, Ltd. A-1RR 08186VAW0 LT NRsf New Rating NR(EXP)sf A-2RR 08186VAY6 LT AAAsf New Rating AAA(EXP)sf B-RR 08186VBA7 LT AAsf New Rating AA(EXP)sf C-RR 08186VBC3 LT Asf New Rating A(EXP)sf D-1RR 08186VBE9 LT BBB-sf New Rating BBB-(EXP)sf D-2RR 08186VBG4 LT BBB-sf New Rating BBB-(EXP)sf E-RR 08186XAG1 LT BB-sf New Rating BB-(EXP)sf Sub Notes 08186XAC0 LT NRsf New Rating NR(EXP)sf Transaction Summary Benefit Street Partners CLO XXIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by BSP CLO Management L.L.C. The deal originally closed in April 2021 and was refinanced in July 2025. It will undergo its first reset on May 15, 2026. Net proceeds from the issuance of the secured and subordinated notes will be used to finance a portfolio of approximately $600 million, consisting primarily of first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.14 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.6% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.93% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-1RR, between less than 'B-sf' and 'BB+sf' for class D-2RR, and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AA+sf' for class C-RR, 'A+sf' for class D-1RR, 'A-sf' for class D-2RR, and 'BBB+sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee May 11, 2026 ESG Considerations Fitch does not provide ESG relevance scores for Benefit Street Partners CLO XXIII, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BX TRUST 2026-CIP: Fitch Assigns 'B+sf' Rating on Class F Certs --------------------------------------------------------------- Fitch Ratings has assigned the following final ratings and Rating Outlooks to BX Trust 2026-CIP commercial mortgage pass-through certificates, series 2026-CIP: - $677,040,000 class A 'AAAsf'; Outlook Stable; - $87,690,000 class B 'AAsf'; Outlook Stable; - $105,110,000 class C 'A-sf'; Outlook Stable; - $126,890,000 class D 'BBB-sf'; Outlook Stable; - $189,910,000 class E 'BB-sf'; Outlook Stable; - $48,360,000 class F 'B+sf'; Outlook Stable. Fitch does not rate the following classes: - $39,000,000a class RR; - $26,000,000a class RR Interest. (a) Class RR and class RR Interest together comprise the transaction's vertical risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in a trust that holds a $1.30 billion, two-year, floating-rate, IO mortgage loan with three one-year extension options. The loan is secured by a first mortgage lien against the borrower's fee simple and leasehold interests in a portfolio of 83 industrial properties, comprising approximately 13.0 million sf, located across 15 states and 24 distinct markets. Mortgage loan proceeds combined with sponsor equity of $166.7 million will be used to refinance approximately $1.45 billion of existing debt and pay $19.7 million in closing costs. The loan is co-originated by Deutsche Bank AG, New York Branch, Citi Real Estate Funding Inc., JPMorgan Chase Bank, National Association, Nomura Corporate Funding Americas, LLC and Goldman Sachs Bank USA. Trimont LLC will serve as master servicer and special servicer. Computershare Trust Company, National Association will act as the trustee and Deutsche Bank National Trust Company will act as certificate administrator. The certificates will follow a pro rata paydown with respect to prepayments up to 30% of the initial loan balance and a standard senior-sequential paydown thereafter. The transaction is scheduled to close on May 21, 2026. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch's stressed NCF for the portfolio is $87.6 million. This is 6.5% lower than the issuer's NCF and 8.6% above YE25 NCF. Fitch applied a 7.25% cap rate resulting in a Fitch value of $1.21 billion. High Fitch Leverage: The $1.30 billion trust loan equates to debt of $100 psf with a Fitch debt service coverage ratio of 0.82x, a loan-to-value ratio of 107.5% and a debt yield of 6.7%. The loan represents about 68% of the aggregate as-is appraised value of the individual properties of $1.91 billion. Geographic Diversity: The portfolio is well diversified, with 83 properties (13.0 million sf) located across 15 states and 24 MSAs. The three largest state concentrations by NRA are Illinois (2,035,366 sf; 10 properties), Florida (1,660,729 sf; 17 properties) and Indiana (1,630,194 sf; five properties). The three largest markets are Chicago (12.5% of NRA; 15.7% of allocated loan amount [ALA]), Dallas-Fort Worth (9.3% of NRA; 7.1% of ALA) and Miami (9.2% of NRA; 5.4% of ALA). The portfolio has an effective MSA count of 14.9 and over 120 tenants. Institutional Sponsorship: The loan is sponsored by affiliates of Blackstone Real Estate Income Trust, Inc. Blackstone is recognized as one of the world's leading investment firms, managing assets across private equity, real estate, public debt and equity, infrastructure, life sciences, growth equity, opportunistic non-investment grade credit, real assets and secondary funds. It has a team of over 800 professionals across 12 offices. As of Dec. 31, 2025, Blackstone's real estate platform had approximately $319 billion of investor capital under management. The portfolio in this transaction will be managed by Link Logistics, an affiliate of the sponsor. Link Logistics has a nationwide footprint totaling approximately 480 million sf of logistics real estate across over 3,000 properties. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBB-sf'/'BBsf'/'Bsf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'AA-sf'/'BBB+sf'/'BBsf'/'BB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CARVANA AUTO 2026-P2: S&P Assigns BB (sf) Rating on Class N Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Carvana Auto Receivables Trust 2026-P2's automobile asset-backed notes. The note issuance is an ABS securitization backed by prime auto loan receivables. The ratings reflect S&P's view of: -- The availability of 16.27%, 12.64%, 8.65%, 5.83%, and 5.36% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, A-3, and A-4, collectively), B, C, D, and N notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.00x, 3.00x, 2.00x, and 1.60x coverage of our expected cumulative net loss of 2.85% for the class A, B, C, D, and N notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and N notes, respectively, are within its credit stability limits. -- The timely interest and principal payments by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' prime automobile loans, S&P's view of the credit risk of the collateral, and its updated U.S. macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Bridgecrest Credit Co. LLC as servicer, as well as the backup servicing agreement with Vervent Inc. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned(i) Carvana Auto Receivables Trust 2026-P2 Class A-1, $122.28 million: A-1+ (sf) Class A-2, $323.50 million: AAA (sf) Class A-3, $323.50 million: AAA (sf) Class A-4, $213.37 million: AAA (sf) Class B, $45.11 million: AA (sf) Class C, $48.97 million: A (sf) Class D, $23.66 million: BBB (sf) Class N(ii), $16.50 million: BB (sf) (i)Class XS notes (unrated) were issued at closing and may be retained or sold in one or more private placements. (ii)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. CD 2016-CD1 MORTGAGE: Fitch Lowers Rating on Two Tranches to 'Dsf' ------------------------------------------------------------------ Fitch Ratings has downgraded seven and affirms six classes of German America Capital Corp.'s CD 2016-CD1 Mortgage Trust (CD 2016-CD1) commercial mortgage pass-through certificates. A Negative Rating Outlook has been assigned to classes A-M, X-A, and B following their downgrades. The Rating Outlook for class A-4 remains Negative. Fitch has affirmed 18 classes of German American Capital Corp.'s CD 2016-CD2 Mortgage Trust (CD 2016-CD2). The Rating Outlooks for classes A-4, A-M, X-A, V1-A, B, X-B, and V1-B remain Negative. Fitch has also affirmed 17 classes of CD 2017-CD4 Mortgage Trust (CD 2017-CD4). The Rating Outlooks for classes A-M, X-A, and V-A have been revised from Stable to Negative. The Rating Outlooks for classes B, C, X-B, D, X-D, V-BC and V-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- CD 2017-CD4 A-3 12515DAQ7 LT AAAsf Affirmed AAAsf A-4 12515DAR5 LT AAAsf Affirmed AAAsf A-M 12515DAT1 LT AAAsf Affirmed AAAsf A-SB 12515DAP9 LT AAAsf Affirmed AAAsf B 12515DAU8 LT AA-sf Affirmed AA-sf C 12515DAV6 LT A-sf Affirmed A-sf D 12515DAF1 LT BBsf Affirmed BBsf E 12515DAG9 LT CCCsf Affirmed CCCsf F 12515DAH7 LT CCsf Affirmed CCsf V-A 12515DAW4 LT AAAsf Affirmed AAAsf V-BC 12515DBU7 LT A-sf Affirmed A-sf V-D 12515DAZ7 LT BBsf Affirmed BBsf X-A 12515DAS3 LT AAAsf Affirmed AAAsf X-B 12515DAA2 LT A-sf Affirmed A-sf X-D 12515DAB0 LT BBsf Affirmed BBsf X-E 12515DAC8 LT CCCsf Affirmed CCCsf X-F 12515DAD6 LT CCsf Affirmed CCsf CD 2016-CD1 A-3 12514MBB0 LT PIFsf Paid In Full AAAsf A-4 12514MBC8 LT AAAsf Affirmed AAAsf A-M 12514MBE4 LT BB-sf Downgrade BBB-sf A-SB 12514MBA2 LT AAAsf Affirmed AAAsf B 12514MBF1 LT B-sf Downgrade BB-sf C 12514MBG9 LT Csf Downgrade CCCsf D 12514MAL9 LT Csf Affirmed Csf E 12514MAN5 LT Csf Affirmed Csf F 12514MAQ8 LT Dsf Downgrade Csf X-A 12514MBD6 LT BB-sf Downgrade BBB-sf X-B 12514MAA3 LT Csf Downgrade CCCsf X-C 12514MAC9 LT Csf Affirmed Csf X-D 12514MAE5 LT Csf Affirmed Csf X-E 12514MAG0 LT Dsf Downgrade Csf CD 2016-CD2 A-3 12515ABD1 LT AAAsf Affirmed AAAsf A-4 12515ABE9 LT AAAsf Affirmed AAAsf A-M 12515ABG4 LT AA-sf Affirmed AA-sf A-SB 12515ABC3 LT AAAsf Affirmed AAAsf B 12515ABH2 LT BBsf Affirmed BBsf C 12515ABJ8 LT CCCsf Affirmed CCCsf D 12515AAN0 LT Dsf Affirmed Dsf E 12515AAQ3 LT Dsf Affirmed Dsf F 12515AAS9 LT Dsf Affirmed Dsf V1-A 12515ABK5 LT AA-sf Affirmed AA-sf V1-B 12515ABL3 LT BBsf Affirmed BBsf V1-C 12515ABW9 LT CCCsf Affirmed CCCsf V1-D 12515ABQ2 LT Dsf Affirmed Dsf X-A 12515ABF6 LT AA-sf Affirmed AA-sf X-B 12515AAA8 LT BBsf Affirmed BBsf X-D 12515AAE0 LT Dsf Affirmed Dsf X-E 12515AAG5 LT Dsf Affirmed Dsf X-F 12515AAJ9 LT Dsf Affirmed Dsf KEY RATING DRIVERS 'Bsf' Loss Expectations; Realized Losses; Concentrated Maturity Risk: The downgrade of CD 2016-CD1 reflects higher expected losses and realized losses since Fitch's prior rating action. Fitch's 'Bsf' rating case loss for CD 2016-CD1 has increased to 22.1% from 15.6% at the prior rating action. Nine loans (51.8% of the pool) are considered Fitch Loans of Concern (FLOCs), including four specially serviced loans (23.4%). As of April 2026, CD 2016-CD1 has experienced realized losses of $29.5 million, affecting classes F and the non-rated class G primarily due to the disposition of the 401 South State Street loan. The classes with Negative Outlooks reflect the potential for future downgrades as the classes rely on proceeds from loans that may have difficulty refinancing at maturity, including FLOCs such as Prudential Plaza and Hilton Garden Inn San Leandro, in addition to any impact from erosion of credit enhancement (CE) if there are lower-than-expected recoveries on specially serviced assets, including Westfield San Francisco Centre and Embassy Suites Columbus. The affirmation of CD 2016-CD2 reflects the generally stable performance of the remaining loans in the pool since Fitch's prior rating action. Fitch's 'Bsf' rating case loss is 6.0%. There are 10 Fitch Loans of Concern (FLOCs; 54.9% of the pool), including one specially serviced loan (0.9%). CD 2016-CD2 has incurred $106.8 million in realized principal losses as of April 2026, which have been absorbed by classes D through G and non-rated risk retention classes. This is primarily due to the liquidations of the Park Square Portland and 229 West 43rd Street Retail Condo loans. The Negative Outlooks reflect these classes' reliance on proceeds from loans with refinance concerns, including larger FLOCs such as Prudential Plaza, 80 Park Plaza, 60 Madison Avenue and 667 Madison Avenue. The affirmation of CD 2017-CD4 reflects the generally stable performance of the remaining pool, with a slight increase in Fitch's 'Bsf' rating case loss to 7.0% from 6.8% at the prior rating action. There are 12 FLOCs (40.4% of the pool), including seven specially serviced loans (15.4%). CD 2017-CD4 has incurred $6.3 million in realized principal losses which have been absorbed by the non-rated class G and non-rated risk retention classes. The Negative Outlooks, including the revisions on class A-M, X-A, and V-A, reflect uncertainty with the refinancing of FLOCs such as Moffett Place Google, Key Center Cleveland, 111 Livingston, Hamilton Crossing and Troy Office Portfolio. Due to the concentrated nature of the three transactions, adverse selection and/or near-term loan maturities, 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. Largest Contributors to Loss Expectations: The largest contributor to expected loss in CD 2016-CD1 is the real estate-owned Westfield San Francisco Centre (14% of the pool), which is a 553,366-sf retail and a 241,155-sf office portion of a 1,445,449-sf super regional mall located in the San Francisco Union Square neighborhood. The loan transferred to special servicing in June 2023 due to imminent monetary default after the sponsors, Westfield and Brookfield, disclosed their intentions to return the keys to the lender. A receiver was appointed in October 2023. The lender completed foreclosure in November 2025. The mall is now closed. Fitch's 'Bsf' rating case loss of approximately 90% (prior to concentration add-ons) reflects a recovery value of $70 psf and is consistent with Fitch's sensitivity scenario at the prior rating action. The elevated loss expectations reflect the asset's mostly vacant status and the likelihood that there will be a near-term distressed sale. The second-largest contributor is the Hilton Garden Inn San Leandro loan (4.1% of the pool), which is secured by a 119-key, full-service hotel built in 2002 and located in the Oakland-Berkeley-Hayward MSA. The hotel has not fully recovered from the pandemic. Per the October 2025 financial statement, the TTM occupancy was 75.7%. Average daily rate (ADR) and revenue per available room (RevPAR) were $127 and $96, respectively. Fitch's 'Bsf' rating case loss expectations of approximately 49% (prior to concentration add-ons) reflects a 11.5% cap rate and TTM July 2025 net operating income (NOI), or a value of $23,272 per key. The third-largest contributor is the real estate-owned (REO) Embassy Suites Columbus (4.6% of the pool), which is a 198-key, full-service hotel located in Columbus, OH, built in 2009. The loan was transferred to special servicing in October 2025 due to imminent maturity default and borrower's inability to refinance the loan. Per the February 2026 financial statements, the TTM occupancy was 79%, ADR was $139, and RevPAR was $109. Fitch's 'Bsf' rating case loss expectations of approximately 38% (prior to concentration add-ons) reflects the updated appraisal value of $78,300 per key. Major contributor to loss expectations in both CD 2016-CD1 and CD 2016-CD2 is the Prudential Plaza loan, which comprises 10.9% and 10.1% of each pool, respectively, secured by a two-building office complex spanning 2.2 million sf in downtown Chicago, IL. A loan modification agreement was executed, which extended the maturity through August 2027 and included two one-year extension options. As of YE 2025, the servicer reported occupancy of 68% with an NCF DSCR is 2.06x. Fitch's 'Bsf' rating case loss expectations of approximately 11% (prior to concentration add-ons) reflects a stressed value of $112 psf, factoring in a YE 2024 NOI with a 15% haircut and an 11.00% cap rate. The largest contributor to loss expectations in CD 2016-CD2 is the 80 Park Plaza loan (5.3% of the pool), which is secured by a 960,689-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, whose lease expires in 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 other tenant is Pax PT Company LLC (1.1% NRA; exp 10/31/2033). As of YE 2025, the servicer reported property occupancy is 88% with an NCF DSCR of 1.59x. Fitch's 'Bsf' rating case loss expectations of approximately 27% (prior to concentration add-ons) reflects a 10.25% cap rate, YE 2024 NOI with a 10% haircut, and a higher probability of default to account for tenant renewal and refinancing concerns. The second-largest contributor to loss expectations is the 60 Madison Avenue loan (8.0% of the pool), which is secured by a 217,534sf office building located in the Midtown South market of Manhattan, New York, NY. As of 3Q25, occupancy was 58%. The property's strong location and curb appeal remain positive factors. Fitch's 'Bsf' rating case loss expectations of approximately 15% reflects a value of $277 psf, factoring in a cap rate of 9.5% and YE 2024 cash flow, and a higher probability of default to account for refinancing concerns. The largest contributor to overall expected losses for CD 2017-CD4 is the specially serviced Kona Crossroads loan (2.3% of the pool). The loan is secured by 74,896 SF retail center located in Kailua-Kona, HI and built in 1996. Performance has deteriorated due to the departure of anchor tenant, Safeway, which vacated at lease expiration in February 2026. The space had been dark since 2021 and the tenant was paying rent through lease expiration. Fitch's 'Bsf' rating case loss expectations of approximately 67% reflects a discount to the most recent reported appraisal value of $92 psf. The second-largest contributor to expected loss is the specially serviced Malibu Office (1.7% of the pool), which transferred to special servicing in May 2024. The 18,643-sf office property is located on the Pacific Coast Highway in Malibu, CA, and was built in 1989 and renovated in 2016. The single tenant, Regus, vacated in 2020 and the property remains fully vacant. Foreclosure occurred in August 2025 and there are no tenant prospects at this time. Fitch's 'Bsf' rating case loss expectations of approximately 44% (prior to a concentration adjustment) reflects the most updated appraisal value of $456 psf. The third-largest contributor is the specially serviced Hamilton Crossing loan (2.4% of the pool), secured by a 590,917-sf office complex in Carmel, IN. The loan transferred to the special servicer in July 2019 for imminent default after the property's top tenant, ADESA, which leased 30% of the NRA, vacated at its July 2019 lease expiry. Occupancy has since recovered slowly. As of the December 2025 rent roll, occupancy was approximately 65.8%, compared to 62.3% as of March 2025. Fitch's loss expectation of 27% (prior to concentration add-ons) reflects a stressed value of $62 psf, factoring in a 10.75% cap rate and YE 2024 NOI with a 30% haircut. Investment-Grade Credit Opinion Loans: For CD 2016-CD2, there is one loan, 10 Hudson Yards (9.8% of the pool), that maintains its high standalone investment-grade credit opinion due to cash flow growth, high occupancy rate, and strong property quality. 667 Madison Avenue (5.8%) is no longer considered a credit opinion loan due to its prior decline in occupancy and lower sustainable cash flow compared to the issuance level. However, the sponsor is working to re-tenant the office and retail components and has recently exhibited successful leasing momentum. The property benefits from its location at Madison Avenue and 61st Street in midtown Manhattan. Changes in Credit Enhancement: As of the April 2026 remittance report, CD 2016-CD1's aggregate balance has been reduced by 39.3% to $427.2 million from $703.2 million at issuance. Four loans (2.7%) are defeased. Other than the modified Prudential Plaza loan, all the loans are scheduled to mature in 2026 (91.8%). For CD 2016-CD2, as of April 2026, the pool's aggregate balance has been reduced by 25.7% to $688.5 million from $926.6 million at issuance. Four loans (9.2% of the pool) have been fully defeased. Other than the modified Prudential Plaza loan, all the loans, including a defeased ARD loan, are scheduled to mature in 2026 (89.9%). For CD 2017-CD4, as of April 2026, the pool's aggregate balance has been reduced by 23.8% to $686.5 million from $900.45 million at issuance. Twelve loans (27% of the pool) have been fully defeased. The majority of the pool has scheduled maturities in in 2027 (89.5%); however, 10.5% of the pool matures later in 2026. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the 'AAAsf' rated classes with Stable Outlooks are not likely due to the high CE and continued expected paydown from loan repayments and amortization, but may occur if expected losses increase significantly, and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated 'AAAsf' with Negative Outlooks and classes rated in the 'AAsf' and 'Asf' categories may occur if expected losses increase on FLOCs, including Westfield San Francisco Centre, Hilton Garden Inn San Leandro, and Prudential Plaza in CD 2016-CD1, 80 Park Plaza, Prudential Plaza, 667 Madison Avenue and 60 Madison Avenue in CD 2016-CD2, and Moffett Place Google, Key Center Cleveland, 111 Livingston, Hamilton Crossing and Troy Office Portfolio in CD 2017-CD4), loans do not refinance at maturity and/or if workout times are prolonged resulting in increased exposures or value deterioration for the specially serviced loans. Downgrades to classes rated in 'BBsf' and 'Bsf' categories may occur if expected losses increase on FLOCs and specially serviced loans, including Westfield San Francisco Centre, Prudential Plaza, Embassy Suites Columbus in CD 2016-CD1, 80 Park Plaza, and Prudential Plaza in CD 2016-CD2, and 260 West 36th Street, Hamilton Crossing, Kona Crossroads and Malibu Office in CD 2017-CD4, loans do not refinance at maturity and/or if workout times are prolonged resulting in increased exposures or value deterioration for the specially serviced loans. Downgrades to distressed classes rated 'CCCsf', 'CCsf' and 'Csf' may occur as losses are incurred and/or with a greater certainty of loss expectations. 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 loan payoffs and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance and recovery expectations on the FLOCs, specifically Prudential Plaza (in CD 2016-CD1 and CD 2016-CD2), 80 Park Plaza, 60 Madison Avenue, Kona Crossroads, Malibu Office, and Hamilton Crossing in their respective transactions. However, upgrades may 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 (especially loans secured by office properties), are better than expected and there is sufficient CE to the classes. Upgrades to classes rated '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. CHANNEL EF 2026-1: DBRS Rates Class E Notes '(P)BBsf' ----------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Notes to be issued by Channel EF 2026-1, LLC (the Issuer): -- $62,000,000 Class A-1 Notes at (P) R-1 (high) (sf) -- $87,536,000 Class A-2 Notes at (P) AAA (sf) -- $14,394,000 Class B Notes at (P) AA (sf) -- $14,051,000 Class C Notes at (P) A (sf) -- $15,308,000 Class D Notes at (P) BBB (sf) -- $11,538,000 Class E Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on the review by Morningstar DBRS of the following analytical considerations: (1) Morningstar DBRS' base case cumulative net loss assumption of 6.75% reflects the composition and credit metrics of the underlying assets, the performance to date of the portfolio managed by Channel, and the performance to date of prior equipment finance ABS transactions sponsored by the Company. Stressed loss assumptions for the collateral pool were derived by applying target multiples of 5.10 times (x), 4.20x, 3.30x, and 2.30x, and 1.80x, respectively, to the base case expected loss assumption in a (P) AAA (sf), (P) AA (sf), (P) A (sf), (P) BBB (sf), and (P) BB (sf) cash flow scenarios. (2) Morningstar DBRS' cash flow analysis tested the ability of the transaction to generate cash flows sufficient to service the interest and principal payments under four different loss timing scenarios and during zero conditional prepayment rate (CPR) and eight CPR prepayment environments. (3) The transaction's capital structure and form and sufficiency of available credit enhancement. The subordination, overcollateralization (OC), cash held in the Reserve Account, available excess spread, and other structural provisions create credit enhancement levels that are commensurate with the respective ratings for each class of Notes. Morningstar DBRS also considered a potential impact from prepayment of the Early Buy-Out Contracts on transaction's cash flows along with applicable structural provisions. (4) This transaction will not include any booked residuals. (5) The transaction will have a prefunding period (Prefunding Period) which will begin on the Closing Date and will end on the earlier of 90 days after the Closing Date, the date on which the amount in the Prefunding Account is $100,000 or less, or the occurrence of an Event of Default that has not been waived or cured on or before the next Payment Date. On the Closing Date, $31,268,924 of the proceeds from the sale of the Notes will be deposited in the Prefunding Account. During the Prefunding Period, the Issuer will use the amounts on deposit in the Prefunding Account to acquire Subsequent Contracts from the Originator for an amount equal to the product of (a) the sum of the Discounted Contract Balances of such Subsequent Equipment Contracts as of the related Cut-Off Date and (b) 89.65% (i.e. the Initial Aggregate Percentage Interest). The Subsequent Equipment Contracts will be required to meet certain eligibility criteria and, following the inclusion of Subsequent Equipment Contracts, the collateral pool must comply with certain concentration limits. (6) The initial overcollateralization percentage will be 10.35%. The transaction is structured to use Available Funds to accelerate principal payments on the Notes until an Overcollateralization Target Amount equal to the greater of 13.80% of the current Collateral Pool Balance and $1,142,371 is reached. After that point, principal payments sufficient to maintain overcollateralization will be required on each Payment Date to the extent of Available Funds in the Priority of Payments. (7) The transaction also benefits from a replenishable Reserve Account. The Initial Reserve Account Deposit will be equal to 1.00% of the sum of the aggregate Discounted Contract Balance of the Initial Equipment Contracts as of the Initial Cut-Off Date and the maximum aggregate Discounted Contract Balance of the Subsequent Equipment Contracts that can be acquired during the Prefunding Period. The Required Reserve Amount will be, with respect to any Payment Date, the lesser of (a) the Initial Reserve Account Deposit and (b) the Aggregate Outstanding Note Balance, after giving effect to payments made on such Payment Date. (8) The weighted-average (WA) net yield for the collateral pool is approximately 12.68%. The Discount Rate used for calculating the Discounted Contract Balance of each Equipment Contract will be 7.70%. As such, the transaction is expected to benefit from the modest excess spread that may be available to service the obligations of the Issuer. (9) The transaction is the eighth 144A term securitization to be sponsored by Channel, and the third such transaction to be backed by equipment finance contracts and related collateral. The company's senior management team has extensive experience in the equipment finance industry. (10) Morningstar DBRS performed an operational risk review and deems Channel to be an acceptable originator and servicer of equipment-backed leases and loans. Channel will be the Sponsor and Servicer of this Transaction. In addition, Vervent Inc. will be the back-up servicer. The collateral representing approximately 7.27% of the Statistical Discounted Pool Balance is serviced, on a "perfect pay" basis by Beacon Funding Corporation - a provider of small-ticket equipment financing to businesses across the United States, which was founded in 1990 and has completed more than 32,000 transactions, representing nearly $2 billion in equipment financing. (11) Channel originates commercial finance contracts to small- and medium-sized businesses throughout the United States through equipment finance and working capital product lines and does so through four channels: Channel Equipment Finance (CEF), Trio Capital, Channel Working Capital, and Elite. This transaction will be backed by equipment finance contracts originated by CEF and Trio Capital. (12) The largest obligor industries in the initial collateral pool are represented by Retail Stores (10.50% of the Statistical Discounted Pool Balance), Restaurants (9.76%), Specialty Construction (8.25%), Automotive (7.90%), and Commercial Construction (7.70%). The collateral pool is somewhat concentrated by equipment type. The largest financed equipment categories comprise Trailers (10.27%), Construction (10.00%), Manufacturing/Storage (7.15%), and Specialty Equipment Items (5.15%). While transportation equipment represents approximately 31.60% of the collateral pool, only 9.08% of the Statistical Discounted Pool Balance is represented by obligors within the Local Transportation, Long-Haul Trucking, and Other Transportation industries. (13) The legal structure and presence of legal opinions, which are expected to address the true sale of the assets to the Issuing Entity, the non-consolidation of Channel with the Issuer, and that the Indenture Trustee has a valid first-priority security interest in the assets. The transaction terms will also be reviewed for consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. (14) 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 Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Note Interest and Outstanding Note Balance for each of the Class A-1, Class A-2, Class B, Class C, Class D, and Class E Notes. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. Contractual payment obligations that are not financial obligations are the interest on any unpaid Note Interest on each of the Class A-1, Class A-2, Class B, Class C, Class D, and Class E Notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. CHASE HOME 2026-JINV1: DBRS Gives (P)B(low) Rating to B-5 Certs --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-JINV1 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2026-JINV1: -- $248.7 million Class A-1 at (P) AAA (sf) -- $228.0 million Class A-2 at (P) AAA (sf) -- $140.6 million Class A-3 at (P) AAA (sf) -- $140.6 million Class A-3-A at (P) AAA (sf) -- $140.6 million Class A-3-B at (P) AAA (sf) -- $140.6 million Class A-3-X1 at (P) AAA (sf) -- $140.6 million Class A-3-X2 at (P) AAA (sf) -- $140.6 million Class A-3-X3 at (P) AAA (sf) -- $105.5 million Class A-4 at (P) AAA (sf) -- $105.5 million Class A-4-A at (P) AAA (sf) -- $105.5 million Class A-4-B at (P) AAA (sf) -- $105.5 million Class A-4-X1 at (P) AAA (sf) -- $105.5 million Class A-4-X2 at (P) AAA (sf) -- $105.5 million Class A-4-X3 at (P) AAA (sf) -- $35.2 million Class A-5 at (P) AAA (sf) -- $35.2 million Class A-5-A at (P) AAA (sf) -- $35.2 million Class A-5-B at (P) AAA (sf) -- $35.2 million Class A-5-X1 at (P) AAA (sf) -- $35.2 million Class A-5-X2 at (P) AAA (sf) -- $35.2 million Class A-5-X3 at (P) AAA (sf) -- $84.4 million Class A-6 at (P) AAA (sf) -- $84.4 million Class A-6-A at (P) AAA (sf) -- $84.4 million Class A-6-B at (P) AAA (sf) -- $84.4 million Class A-6-X1 at (P) AAA (sf) -- $84.4 million Class A-6-X2 at (P) AAA (sf) -- $84.4 million Class A-6-X3 at (P) AAA (sf) -- $56.2 million Class A-7 at (P) AAA (sf) -- $56.2 million Class A-7-A at (P) AAA (sf) -- $56.2 million Class A-7-B at (P) AAA (sf) -- $56.2 million Class A-7-X1 at (P) AAA (sf) -- $56.2 million Class A-7-X2 at (P) AAA (sf) -- $56.2 million Class A-7-X3 at (P) AAA (sf) -- $21.1 million Class A-8 at (P) AAA (sf) -- $21.1 million Class A-8-A at (P) AAA (sf) -- $21.1 million Class A-8-B at (P) AAA (sf) -- $21.1 million Class A-8-X1 at (P) AAA (sf) -- $21.1 million Class A-8-X2 at (P) AAA (sf) -- $21.1 million Class A-8-X3 at (P) AAA (sf) -- $20.7 million Class A-9 at (P) AAA (sf) -- $20.7 million Class A-9-A at (P) AAA (sf) -- $20.7 million Class A-9-B at (P) AAA (sf) -- $20.7 million Class A-9-X1 at (P) AAA (sf) -- $20.7 million Class A-9-X2 at (P) AAA (sf) -- $20.7 million Class A-9-X3 at (P) AAA (sf) -- $56.2 million Class A-10 at (P) AAA (sf) -- $56.2 million Class A-10-A at (P) AAA (sf) -- $56.2 million Class A-10-B at (P) AAA (sf) -- $56.2 million Class A-10-X1 at (P) AAA (sf) -- $56.2 million Class A-10-X2 at (P) AAA (sf) -- $56.2 million Class A-10-X3 at (P) AAA (sf) -- $87.4 million Class A-11 at (P) AAA (sf) -- $87.4 million Class A-11-X at (P) AAA (sf) -- $87.4 million Class A-12 at (P) AAA (sf) -- $87.4 million Class A-13 at (P) AAA (sf) -- $87.4 million Class A-13-X at (P) AAA (sf) -- $87.4 million Class A-14 at (P) AAA (sf) -- $87.4 million Class A-14-X at (P) AAA (sf) -- $87.4 million Class A-14-X2 at (P) AAA (sf) -- $87.4 million Class A-14-X3 at (P) AAA (sf) -- $87.4 million Class A-14-X4 at (P) AAA (sf) -- $28.1 million Class A-15 at (P) AAA (sf) -- $28.1 million Class A-15-A at (P) AAA (sf) -- $28.1 million Class A-15-B at (P) AAA (sf) -- $28.1 million Class A-15-X1 at (P) AAA (sf) -- $28.1 million Class A-15-X2 at (P) AAA (sf) -- $28.1 million Class A-15-X3 at (P) AAA (sf) -- $28.1 million Class A-16 at (P) AAA (sf) -- $28.1 million Class A-16-A at (P) AAA (sf) -- $28.1 million Class A-16-B at (P) AAA (sf) -- $28.1 million Class A-16-X1 at (P) AAA (sf) -- $28.1 million Class A-16-X2 at (P) AAA (sf) -- $28.1 million Class A-16-X3 at (P) AAA (sf) -- $28.1 million Class A-17 at (P) AAA (sf) -- $28.1 million Class A-17-A at (P) AAA (sf) -- $28.1 million Class A-17-B at (P) AAA (sf) -- $28.1 million Class A-17-X1 at (P) AAA (sf) -- $28.1 million Class A-17-X2 at (P) AAA (sf) -- $28.1 million Class A-17-X3 at (P) AAA (sf) -- $49.2 million Class A-18 at (P) AAA (sf) -- $49.2 million Class A-18-A at (P) AAA (sf) -- $49.2 million Class A-18-B at (P) AAA (sf) -- $49.2 million Class A-18-X1 at (P) AAA (sf) -- $49.2 million Class A-18-X2 at (P) AAA (sf) -- $49.2 million Class A-18-X3 at (P) AAA (sf) -- $248.7 million Class A-X-1 at (P) AAA (sf) -- $6.6 million Class B-1 at (P) AA (low) (sf) -- $6.6 million Class B-1-A at (P) AA (low) (sf) -- $6.6 million Class B-1-X at (P) AA (low) (sf) -- $5.6 million Class B-2 at (P) A (low) (sf) -- $5.6 million Class B-2-A at (P) A (low) (sf) -- $5.6 million Class B-2-X at (P) A (low) (sf) -- $3.5 million Class B-3 at (P) BBB (low) (sf) -- $2.3 million Class B-4 at (P) BB (low) (sf) -- $670.7 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 7.30% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 4.85%, 2.75%, 1.45%, 0.60%, and 0.35% 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 jumbo non-owner-occupied second home and residential investment-property mortgages funded by the issuance of the Certificates. The Certificates are backed by 221 loans with a total principal balance of $282,401,980 as of the Cut-Off Date (May 1, 2026). This is the first securitization issued backed by prime jumbo non-owner-occupied second homes and residential investment-properties issued under the CHASE shelf. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 20 to 30 years and a weighted-average (WA) loan age of six months. They are traditional, prime jumbo mortgage loans. Approximately 49.9% of the loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 26.8% of the loans in the pool are designated QM Safe Harbor. Approximately 73.2% of the loans in the pool were made to investors for business purposes and exempt from the CFPB Ability-to-Repay (ATR) and QM Rules. 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. Citibank, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as the Securities Administrator. Citibank, 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. CIFC FUNDING 2021-VI: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the CIFC Funding 2021-VI, Ltd reset transaction. Entity/Debt Rating ----------- ------ CIFC Funding 2021-VI, Ltd. A-1-R 12553SAN4 LT NRsf New Rating A-2-R 12553SAQ7 LT AAAsf New Rating B-R 12553SAS3 LT AAsf New Rating C-R 12553SAU8 LT Asf New Rating D-1-R 12553SAW4 LT BBB-sf New Rating D-2-R 12553SAY0 LT BBB-sf New Rating E-R 12570PAE9 LT BB-sf New Rating Subordinated Notes 12570PAC3 LT NRsf New Rating Transaction Summary CIFC Funding 2021-VI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.92, 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 94.36% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.87% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A-sf' for class D-1R, and 'BBB+sf' for class D-2R 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 CIFC Funding 2021-VI, 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. COLT 2026-4: Fitch Assigns 'Bsf' Final Rating on Class B2 Certs --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates to be issued by COLT 2026-4 Mortgage Loan Trust (COLT 2026-4). Entity/Debt Rating Prior ----------- ------ ----- COLT 2026-4 A1FCF LT WDsf Withdrawn AAA(EXP)sf A1FCFX LT WDsf Withdrawn AAA(EXP)sf A1LCF LT WDsf Withdrawn AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A1F LT AAAsf New Rating AAA(EXP)sf A1IO LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 584 nonprime loans with a total balance of approximately $332.3 million as of the cutoff date. Loans in the pool were originated by The Loan Store, Inc. and others. The loans were aggregated by Hudson Americas L.P. and are serviced by Select Portfolio Servicing, Inc. (SPS) and Fay Servicing. The borrowers in the pool exhibit a moderate credit profile, with a weighted-average (WA) Fitch FICO of 743 and 32.9% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 68.7% mark-to-market combined LTV (cLTV). Overall, 40.5% of the pool loans are for primary residences, while the remainder are second homes or investment properties. Additionally, 99.1% of the loans are clean and current. Since the publication of Fitch's presale and expected ratings, the issuer provided final documentation that reflected the withdrawal of three classes; A-1FCF, A-1FCX and A-1LCF. The class balances were re-allocated among the remaining A-1 classes (A-1A, A-1B and A-1F). Additionally, a corresponding pricing structure was provided reflecting lower coupons between 10-30bps for all the fixed-rate classes. There were no changes to the credit enhancement and Fitch's expected ratings remain unchanged. The A-1FCF, A-1FCFX, and A-1LCF classes are no longer being issued and were cancelled by the issuer. These notes previously had expected ratings of 'AAA(EXP)sf'/Stable. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzed loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. COLT 2026-4 had a final probability of default (PD) of 45.3% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress was 40.2%. The expected loss in the 'AAAsf' rating stress was 18.2%. Structural Analysis: The mortgage cash flow and loss allocation in COLT 2026-4 were based on a modified sequential-payment structure, whereby principal was distributed pro rata among the senior certificates (A-1A, A-1B, A-1F, A-2, and A-3 classes) while excluding the subordinate bonds from principal until all senior classes were reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurred in a given period, principal was distributed sequentially, to A-1 classes, then sequentially, to A-2 and A-3 certificates until they were reduced to zero. Fitch analyzed the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applied its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE in the form of subordination and excess spread for a given rating exceeded the expected losses of that rating stress. Operational Risk Analysis: Fitch considered originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that had a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applied a 5bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which had a final grade of either "A" or "B." Counterparty and Legal Analysis: All relevant transaction parties conformed with the requirements as described in Fitch's "Global Structured Finance Rating Criteria." Relevant parties were those whose failure to perform could have a material impact on transaction performance. Additionally, all legal requirements were satisfied to fully de-link the transaction from any other entity. COLT 2026-4 was fully de-linked and served as a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers were aligned with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may have included, but were not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations did not apply to COLT 2026-4; as such, Fitch was comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Consolidated Analytics, Clarifii, Evolve, Maxwell, Opus, and Selene. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis, and 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. COLUMBIA CENT 33: S&P Affirms BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-J-R, B-R, C-R, D-1A-R, D-1F-R and D-J-R debt from Columbia Cent CLO 33 Ltd./Columbia Cent CLO 33 Corp., a CLO managed by Columbia Cent CLO Advisers LLC that was originally issued in May 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-J, B, C-1, C-F, D-1A, D-1F and D-J debt following payment in full on the May 21, 2026, refinancing date. S&P also affirmed its rating on the existing class E debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 20, 2027. -- No additional assets were purchased on the May 21, 2026, refinancing date, and the target initial par amount remains at $400.00 million. There was no additional effective date or ramp-up period and the first payment date following the refinancing is July 20, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on the replacement class D-1F-R, D-1A-R, and D-J-R debt. However, we assigned our 'BBB (sf)', 'BBB (sf)', and 'BBB- (sf)' rating on the replacement class D-1F-R, D-1A-R, and D-J-R debt, respectively, after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction. "On a standalone basis, our cash flow analysis also indicated a lower rating on the existing class E debt (which was not refinanced). However, we affirmed our 'BB- (sf)' rating on the existing class E debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction." Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $240.0 million: Three-month CME term SOFR + 1.26% -- Class A-J-R, $16.0 million: Three-month CME term SOFR + 1.50% -- Class B-R, $48.0 million: Three-month CME term SOFR + 1.65% -- Class C-R (deferrable), $24.0 million: Three-month CME term SOFR + 1.95% -- Class D-1A-R (deferrable), $14.5 million: Three-month CME term SOFR + 3.40% -- Class D-1F-R (deferrable), $7.5 million: 7.254% -- Class D-J-R (deferrable), $6.0 million: Three-month CME term SOFR + 5.10% Previous debt -- Class A-1, $240.0 million: Three-month CME term SOFR + 1.60% -- Class A-J, $16.0 million: Three-month CME term SOFR + 1.83% -- Class B, $48.0 million: Three-month CME term SOFR + 2.10% -- Class C-1 (deferrable), $14.0 million: Three-month CME term SOFR + 2.70% -- Class C-F (deferrable), $10.0 million: 6.942% -- Class D-1A (deferrable), $5.0 million: Three-month CME term SOFR + 3.90% -- Class D-1F (deferrable), $17.0 million: 8.133% -- Class D-J (deferrable), $6.0 million: Three-month CME term SOFR + 5.25% 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 Columbia Cent CLO 33 Ltd./Columbia Cent CLO 33 Corp. Class A-1-R, $240.0 million: AAA (sf) Class A-J-R, $16.0 million: AAA (sf) Class B-R, $48.0 million: AA (sf) Class C-R (deferrable), $24.0 million: A (sf) Class D-1A-R (deferrable), $14.5 million: BBB (sf) Class D-1F-R (deferrable), $7.5 million: BBB (sf) Class D-J-R (deferrable), $6.0 million: BBB- (sf) Ratings Withdrawn Columbia Cent CLO 33 Ltd./Columbia Cent CLO 33 Corp. Class A-1 to NR from 'AAA (sf)' Class A-J to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C-1 (deferrable) to NR from 'A (sf)' Class C-F (deferrable) to NR from 'A (sf)' Class D-1A (deferrable) to NR from 'BBB (sf)' Class D-1F (deferrable) to NR from 'BBB (sf)' Class D-J (deferrable) to NR from 'BBB- (sf)' Rating Affirmed Columbia Cent CLO 33 Ltd./Columbia Cent CLO 33 Corp. Class E (deferrable): BB- (sf) Other Debt Columbia Cent CLO 33 Ltd./Columbia Cent CLO 33 Corp. Subordinated notes, $39.1 million: NR NR--Not rated. COMM 2015-LC19: DBRS Confirms CCC Rating on Class G Certs --------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all remaining classes of Commercial Mortgage Pass-Through Certificates, Series 2015-LC19 issued by COMM 2015-LC19 Mortgage Trust as follows: -- Class C at A (high) (sf) -- Class X-B at AA (low) (sf) -- Class X-C at BBB (high) (sf) -- Class D at BBB (sf) -- Class E at BB (sf) -- Class F at B (sf) -- Class G at CCC (sf) Morningstar DBRS discontinued the credit rating on Class PEZ as the class can no longer be exchanged according to the conditions set forth in the offering documents. Class G no longer carries a trend given the CCC (sf) or lower credit rating. All other trends are Stable. CREDIT RATING RATIONALE -- The credit rating confirmations and Stable trends reflect Morningstar DBRS' recoverability expectations for the remaining five loans in the pool. -- Since Morningstar DBRS' previous credit rating action in June 2025, one loan was repaid in full while the Decorative Center of Houston loan (Prospectus ID #8) was liquidated with a loss to the trust of $11.9 million, in line with Morningstar DBRS' expected loss of $13.5 million. -- Four of the five remaining loans are in special servicing and were liquidated in the analysis for this review, resulting in losses that would erode nearly 90.0% of the nonrated Class H certificate, supporting the below-investment-grade credit ratings on Classes E, F, and G. -- Morningstar DBRS concluded that the senior classes continue to be well insulated from losses, further supporting the credit rating confirmations for Class C and D. POOL/COLLATERAL OVERVIEW -- As of the April 2026 remittance, five of the original 59 loans remain in the pool with a trust balance of $192.0 million, reflecting a collateral reduction of 86.5% since issuance. -- Four loans, representing 77.2% of the pool, are specially serviced. Two loans, representing 38.5% of the pool, transferred for maturity default, while the other two loans were recently transferred for nonmonetary default. ANALYTICAL CONSIDERATIONS -- In the analysis for this review, Morningstar DBRS liquidated the four loans in special servicing based on conservative haircuts ranging from 35% to 50% to the most recent appraised values. The loss severities for the four loans ranged between 6% and 53%, resulting in total liquidated losses of $20.9 million. KEY LOANS Central Plaza (Prospectus ID #4; 34.5% of the pool): -- This loan is secured by the borrower's fee-simple interest in four Class B office buildings totaling 880,035 square feet in Los Angeles. -- The loan transferred to special servicing in December 2024 for maturity default. A forbearance agreement through December 2025 was executed subject to principal paydown totaling $9.0 million. Two six-month extension options are available subject to a 0.5% fee and $2.5 million paydown. -- The properties continued to experience leasing challenges with occupancy dropping below 50% according to the March 2026 rent roll. -- According to Reis, the Mid-Wilshire submarket reported a vacancy rate of 22.6% as of Q4 2025. -- The most recent appraisal from February 2026 valued the property at $106.0 million, a decline of 25.0% from the issuance appraised value of $141.3 million. -- Given the property's declining occupancy and location in a softening office submarket, Morningstar DBRS applied a 35.0% haircut to the February 2026 appraised value, resulting in a $3.7 million projected loss. Walgreens Net Lease Portfolio II (Prospectus ID #11; 21.3% of the pool) and Walgreens Net Lease Portfolio I (Prospectus ID #14; 17.5% of the pool) -- Both loans are secured by portfolios of Walgreens retail stores across multiple states. -- The properties are fully leased to Walgreens with lease expirations ranging from 2029 to 2039. -- The loans were transferred to special servicing in March 2026 due to non-monetary default. Neither loan was repaid at their anticipated repayment date in January 2025, resulting in the initiation of cash sweeps to pay down the loans through their scheduled January 2030 maturities. -- Morningstar DBRS also notes ongoing concerns about the tenants' parent company, Walgreens Boots Alliance, which has stated that it plans to close approximately 1,200 stores over the next few years. -- Morningstar DBRS applied a 40% haircut to the issuance appraised values in the liquidation analysis for both loans, resulting in a combined projected loss of $13.2 million. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-B and X-C 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. COMM 2015-PC1: DBRS Cuts Rating on 2 Tranches to CCC(sf) -------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2015-PC1 issued by COMM 2015-PC1 Mortgage Trust as follows: -- Class X-B to BBB (sf) from A (sf) -- Class C to BBB (low) (sf) from A (low) (sf) -- Class X-C to CCC (sf) from BB (sf) -- Class D to CCC (sf) from BB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class E at C (sf) -- Class F at C (sf) -- Class X-D at C (sf) The trends on Classes C and X-B are Negative. Classes D, E, F, X-C, and X-D have credit ratings that do not typically carry a trend in commercial mortgage-backed securities credit ratings. Credit Rating Action Rationale -- The credit rating downgrades and Negative trends reflect increased loss projections and elevated term risk given all but two loans are underwater, suggesting the possibility of further value decline for the underlying properties over the remaining workout periods. -- All 13 of the loans remaining in the pool have been in special servicing since the last credit rating action in May 2025. -- Morningstar DBRS' analysis was based on a recoverability analysis, with all remaining loans liquidated based on conservative haircuts to their most recent appraised values. Projected realized losses would fully erode the remaining balances on Classes F and G, and leave an approximate balance of $8.0 million remaining for Class E. Pool/Collateral Overview -- As of the April 2026 remittance, 13 of the original 80 loans remain in the pool, with a current trust balance of approximately $220.6 million, representing collateral reduction of approximately 85% since issuance. -- Since the last credit rating action, 25 loans have repaid from the pool, combining for approximately $202.2 million of paydown. -- The remaining collateral is heavily concentrated in office property types, which represent more than 75% of the pool. Given poor performance and weak investor demand, values may continue to decline, contributing to increased risks up the capital stack that were factored into the analysis for this review. Interest in Arrears -- As of the April 2026 remittance, interest is being shorted through Class F and totals $7.7 million. Two loans have been deemed nonrecoverable by the master servicer to date; however, Morningstar DBRS expects an increased probability of further value degradation that would lead to increased future shortfalls, supporting the Negative trend on Class C. Key Loans 760 & 800 Westchester Avenue (Prospectus ID #7; 13.7% of the Pool) -- This loan is secured by two Class A suburban office buildings in Westchester County's Rye Brook, New York. -- The loan is one of three pari passu notes (with debt placed in the Morningstar DBRS-rated Wells Fargo Commercial Mortgage Trust 2015-NXS1 transaction) comprising a $100.0 million whole loan that defaulted at maturity in November 2024. A forbearance agreement was executed in December 2024, which remains in place through November 2026. -- Property performance remains below issuance expectations but has held relatively steady in recent years, with occupancy reported at 83% as of September 2025 and the debt service coverage ratio (DSCR) at 1.09 times as of the reporting for the trailing nine months ended September 2025. -- Near-term rollover is limited, reported at just 3.6% of the net rentable area (NRA) over the next 12 months. -- An appraisal dated January 2026 valued the property at $101.0 million, reflecting a material decline from the $151.0 million issuance appraisal, but implies a loan-to-value ratio which is relatively moderate, at 91.0%. -- Morningstar DBRS liquidated the loan with a 25% haircut to the January 2026 appraised value, resulting in a projected loss of approximately $7.3 million for the subject trust. 100 Pearl Street (Prospectus ID #11; 12.3% of the Pool) -- The loan is secured by a Class A office property in Hartford, Connecticut. Originally set to mature in April 2025, the loan transferred to special servicing because of imminent monetary default following sustained declines in occupancy and cash flow. Occupancy declined to the mid-50% range by late 2025, resulting in a DSCR well below breakeven. -- The special servicer is reviewing borrower-submitted workout proposals; however, Morningstar DBRS considers recovery prospects to be limited given weak submarket fundamentals and the magnitude of the value decline. -- An updated appraisal dated December 2025 valued the property at $16.2 million, down significantly from the $37.5 million issuance appraisal. -- Morningstar DBRS liquidated this loan with a 20% haircut to the most recent appraised value, resulting in projected losses of approximately $15.4 million or a loss severity of 57%. This loan was the largest contributor of the Morningstar DBRS-projected losses. 1800 41 Street (Prospectus ID #12, 10.7% of the Pool) -- This loan is secured by a suburban office property in Everett, Washington. The loan matured in June 2025 and transferred to special servicing following the departure of its former anchor tenant (Frontier Communications Parent, Inc., previously 61% of the NRA), which reduced occupancy to approximately 25%. -- The special servicer has initiated foreclosure proceedings and appointed a receiver as of September 2025. -- An updated appraisal dated July 2025 reduced the value to $20.3 million from $38.6 million at issuance. -- Morningstar DBRS liquidated this loan with a 30% haircut to the most recent appraised value, resulting in a projected loss of approximately $12.3 million or a loss severity of 52%. Given the low in-place occupancy and uncertain demand in the suburban Seattle markets, the value could be particularly exposed to further declines, however, a factor considered in the Negative trend for Class C. 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-B, X-C, and X-D 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. CRIBS MORTGAGE 2025-RTL1: DBRS Confirms Bsf Rating on Cl. M2 Debt ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed four classes from one U.S. residential mortgage-backed securities (RMBS) transaction, CRIBS Mortgage Trust 2025-RTL1. The reviewed transaction is classified as a securitization of a revolving portfolio of residential transition loans (RTLs). Morningstar DBRS confirmed its credit ratings on all four classes. Mortgage-Backed Notes Series 2025-RL1 Debt Rating Action ---- ------ ------ Class A1 A(low)(sf) Confirmed Class A2 BBB(low)(sf) Confirmed Class M1 BB(low)(sf) Confirmed Class M2 B(sf) Confirmed CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update" published on March 27, 2026 (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. Notes: All figures are in US Dollars unless otherwise noted. CROWN CITY IV: S&P Affirms BB- (sf) Rating on Class DR Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1R2, A-J2, A-2R2, B-R2, C-1R2, and C-2R2 debt from Crown City CLO IV/Crown City CLO IV LLC, a CLO managed by Western Asset Management Co. LLC that was originally issued in September 2022 and underwent a partial refinancing in March 2024. At the same time, S&P withdrew its ratings on the previous class A-1R, A-J, A-2R, B-1R, B-F, C-1R, and C-2R debt following payment in full on the May 27, 2026, refinancing date. S&P also affirmed its ratings on the class X and DR 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 27, 2027. -- No additional assets were purchased on the May 27, 2026, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- No additional subordinated notes were issued on the refinancing date. -- The previous class B-1R and B-F debt was combined into the replacement class B-R2 debt S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on the class C-1R2 and C-2R2 debt (which were refinanced) and on the class D-R debt (which was not refinanced). However, we assigned our 'BBB+ (sf)' rating on the replacement class C-1R2 debt and assigned our 'BB- (sf)' rating on the replacement class C-2R2. We also affirmed our 'BB- (sf) rating on the class DR debt after considering the margin of failure and the relatively stable overcollateralization (O/C) ratio since our last rating action on the transaction. "We were aware that the class C-1R2, C-2R2, and DR debt was not passing its cash flows at the current rating level even before the proposed refinancing. This was due largely to the par losses as reflected in the decline in the O/C levels. In addition, there has been an overall drop in the portfolio's weighted average recovery and spread. The benefits of a lower cost of funding do not seem to fully offset the above, and, as a result, the replacement class C-1R2, C-2R2, and D-R debt do not pass their cash flows at the current level even after considering the proposed refinancing. However, refinancing decreases the margin of failure, and we view this as an improvement. In addition, we considered the tranches' credit enhancement and the portfolio's exposure to 'CCC' and 'CCC-' rated obligors and decided to affirm their current ratings. 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-1R2, $241.00 million: Three-month CME term SOFR + 1.28% -- Class A-J2, $19.00 million: Three-month CME term SOFR + 1.51% -- Class A-2R2, $44.00 million: Three-month CME term SOFR + 1.72% -- Class B-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 1.95% -- Class C-1R2 (deferrable), $21.00 million: Three-month CME term SOFR + 3.75% -- Class C-2R2 (deferrable), $7.00 million: Three-month CME term SOFR + 5.20% Previous debt -- Class A-1R, $241.00 million: Three-month CME term SOFR + 1.61% -- Class A-J, $19.00 million: Three-month CME term SOFR + 2.25% -- Class A-2R, $44.00 million: Three-month CME term SOFR + 1.82% -- Class B-1R (deferrable), $10.00 million: Three-month CME term SOFR + 2.80% -- Class B-F (deferrable), $14.00 million: 6.520% -- Class C-1R (deferrable), $21.00 million: Three-month CME term SOFR + 4.50% -- Class C-2R (deferrable), $7.00 million: Three-month CME term SOFR + 5.67% 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 Crown City CLO IV/Crown City CLO IV LLC Class A-1R2, $241.00 million: AAA (sf) Class A-J2, $19.00 million: AAA (sf) Class A-2R2, $44.00 million: AA (sf) Class B-R2, $24.00 million: A (sf) Class C-1R2, $21.00 million:BBB+ (sf) Class C-2R2, $7.00 million: BBB- (sf) Ratings Withdrawn Crown City CLO IV/Crown City CLO IV LLC Class A-1R to NR from 'AAA (sf)' Class A-J to NR from 'AAA (sf)' Class A-2R to NR from 'AA (sf)' Class B-1R to NR from 'A (sf)' Class B-F to NR from 'A (sf)' Class C-1R to NR from 'BBB+ (sf)' Class C-2R to NR from 'BBB- (sf)' Ratings Affirmed Crown City CLO IV/Crown City CLO IV LLC Class X: AAA (sf) Class DR: BB- (sf) Other Debt Crown City CLO IV/Crown City CLO IV LLC Subordinated notes, $ 32.30 million: NR NR--Not rated. DBWF 2015-LCM: DBRS Cuts Rating on 2 Tranches to CCCsf ------------------------------------------------------ DBRS Limited (Morningstar DBRS) downgraded its credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2015-LCM issued by DBWF 2015-LCM Mortgage Trust as follows: -- Class B to A (high) (sf) from AA (high) (sf) -- Class C to BBB (high) (sf) from A (high) (sf) -- Class D to BB (low) (sf) from BBB (high) (sf) -- Class E to CCC (sf) from BB (low) (sf) -- Class F to CCC (sf) from BB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X-A at AAA (sf) Morningstar DBRS also changed the trends on Classes B, C, and D to Negative from Stable. Classes E and 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 ACTION RATIONALE -- The credit rating confirmations and Stable trends for Classes A-1, A-2, and XA reflect the overall steady performance of the underlying mall as well as the insulation from losses implied in the hypothetical liquidation scenario analyzed as part of this review. -- The credit rating downgrades on Classes B, C, D, E, and F and the Negative trends on Classes B, C, and D reflect the results of Morningstar DBRS' Loan-to-Value (LTV) Sizing analysis, which was based on a Morningstar DBRS Value of $285.7 million, resulting in downward pressure from the Morningstar DBRS LTV Sizing Benchmarks. The Morningstar DBRS Value approach is further described below. -- In addition, the credit rating actions reflect Morningstar DBRS' hypothetical liquidation scenario, with projected losses reaching the Class D certificate, reducing credit support to the more senior classes. LOAN/COLLATERAL OVERVIEW -- At issuance, the $410.0 million whole loan consisted of $240.0 million of senior debt and $170.0 million of junior debt. The subject transaction is backed by $120.0 million of the senior debt and the entirety of the junior debt. The 11-year fixed-rate loan amortizes over a 30-year schedule and reaches maturity in June 2026. As of the April 2026 remittance, the trust debt has amortized 17.3% with a current trust balance of $239.9 million. -- The collateral for the underlying loan consists of the fee-simple and leasehold interests in the 2.1 million-square-foot (sf) Lakewood Center mall in Lakewood, California, located approximately 10 miles north of Long Beach. -- The property was purchased in August 2025 for $332.1 million, including the loan assumption by a joint venture (JV) of Pacific Capital Retail Partners, Lyon Living, and Silverpeak. According to media sources, the JV plans to redevelop the property into a mixed-use center. -- The loan transferred to special servicing in January 2026 for imminent monetary default ahead of its June 2026 maturity date. According to the servicer commentary, the borrower is seeking to refinance the loan and has requested a loan modification that would extend the maturity date while permitting the sale of certain outparcels to better position the asset for refinancing. -- As of the April 2026 remittance, cumulative interest shortfalls totaled $149,000 and were contained to the Class E certificate. According to the servicer, the interest shortfalls have since been repaid. PERFORMANCE HIGHLIGHTS -- As per the December 2025 rent roll, the property was 94.5% occupied, compared with 94.8% in December 2024. The largest tenants include Macy's (17.3% of the net rentable area (NRA), lease expires in June 2030), Costco (8.0% of the NRA, lease expires February 2029), and JCPenney (7.8% of the NRA, lease expires in May 2030). Tenant rollover risk is notable, with approximately 12.6% of the NRA having leases scheduled to expire within the next 12 months. -- As per the December 2025 tenant sales report, the trailing-12 month (T-12) total mall sales were reported at $515 per square foot (psf), largely flat compared with the December 2024 figure of $514 psf. -- The subject property experienced cash flow disruptions during the COVID-19 pandemic and has since stabilized; however, performance figures remain below pre-pandemic levels. The most recent available financials from YE2024 reported a net cash flow (NCF) of $29.1 million, in line with the YE2023 NCF of $29.2 million but remaining below the pre-pandemic NCF of $36.2 million as of YE2019. For the same periods, the subject reported a debt service coverage ratio (DSCR) of 1.33 times (x). ANALYSIS SUMMARY -- As part of this review, Morningstar DBRS took a conservative approach and considered a liquidation scenario based on a conservative haircut to the August 2025 sale price to evaluate the extent to which realized losses would affect the bond stack. The analysis showed the senior classes would remain well insulated, with hypothetical losses contained to Classes E and F, and only slightly eroding into the Class D certificate. -- The Morningstar DBRS Value was updated with this review to reflect the recent cash flow trends and a stressed capitalization rate, resulting in a value of $285.7 million. Morningstar DBRS' NCF of $28.6 million was based on a standard 2.0% surveillance haircut to the most recent full year financials from YE2024, and the capitalization rate was increased to 10.0% from 7.75% at Morningstar DBRS' previous credit rating action. -- The Morningstar DBRS Value implies an LTV of 108.5%. -- Morningstar DBRS also maintained positive qualitative adjustments to the LTV Sizing Benchmarks, totaling 1.50% to reflect the subject's location in a densely populated, well-trafficked area. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Class X-A is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. DRYDEN 119: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary 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 proposed new class X-R debt from Dryden 119 CLO Ltd./Dryden 119 CLO LLC, a CLO managed by PGIM Inc. that was originally issued in April 2024. The preliminary ratings are based on information as of May 28, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 3, 2026, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1, B, C-1, C-2, D-1, D-2, and E debt and assign 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 proposed new class X-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing class A-1, B, C-1, C-2, D-1, D-2, and E debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt is expected to be issued at lower spreads than the existing debt. -- The non-call period will be extended to June 3, 2028. -- The reinvestment period will be extended to July 15, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 15, 2039. -- The target initial par amount will remain at $400.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing will be July 15, 2026. -- New class X-R debt will be issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds over 10 payment dates, beginning with the second payment date. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Dryden 119 CLO Ltd./Dryden 119 CLO LLC Class X-R, $3.60 million: AAA (sf) Class A-1-R, $256.00 million: AAA (sf) Class A-2-R, $6.00 million: AAA (sf) Class B-R, $42.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $2.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Other Debt Dryden 119 CLO Ltd./Dryden 119 CLO LLC Subordinated notes, $35.10 million: NR NR--Not rated. EFMT 2026-AE3: Moody's Assigns B2 Rating to Cl. B-5 Certs --------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 58 classes of residential mortgage-backed securities (RMBS) issued by EFMT 2026-AE3, and sponsored by EFMT Sponsor LLC. The securities are backed by a pool of GSE-eligible (100.00% by balance) residential mortgages aggregated by EFMT Sponsor LLC, originated and serviced by PennyMac Loan Services, LLC and loanDepot.com, LLC. The complete rating actions are as follows: Issuer: EFMT 2026-AE3 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aa1 (sf) Cl. A-16, Definitive Rating Assigned Aa1 (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aa1 (sf) Cl. A-24, Definitive Rating Assigned Aa1 (sf) Cl. A-28, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4 *, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6 *, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-28*, Definitive Rating Assigned Aaa (sf) Cl. A-X-29*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.87%, in a baseline scenario-median is 0.54% and reaches 8.70% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ELLINGTON CLO III: Moody's Cuts Rating on $40MM Cl. E Notes to Ca ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Ellington CLO III, Ltd.: US$28,500,000 Class C Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes") (current balance of $8,484,819.09), Upgraded to Aaa (sf); previously on November 4, 2024 Upgraded to Aa1 (sf) Moody's have also downgraded the ratings on the following notes: US$40,000,000 Class E Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes") (current balance including interest shortfall of $58,568,904.93), Downgraded to Ca (sf); previously on March 27, 2024 Downgraded to Caa3 (sf) US$11,000,000 Class F Secured Deferrable Floating Rate Notes due 2030 (the "Class F Notes") (current balance including interest shortfall of $17,143,685.99), Downgraded to C (sf); previously on October 4, 2023 Downgraded to Ca (sf) Ellington CLO III, Ltd., originally issued in July 2018 and partially refinanced in April 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2022. 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 is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since January 2026. The Class C notes have been paid down by approximately 67.5% or $17.6 million since then. Based on Moody's calculations, the OC ratio for the Class C notes is currently 757.14%, versus May 2026 level of 311.32%. The downgrade rating action on the Class E and Class F notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratios for the Class E and Class F notes are currently 61.36% and 52.73%, respectively, versus January 2026 levels of 68.10% and 59.94%, respectively. No action was taken on the Class D notes because its expected loss remain commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in 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: $53,995,826 Defaulted par: $38,920,341 Diversity Score: 13 Weighted Average Rating Factor (WARF): 5055 Weighted Average Spread (WAS) (before accounting for reference rate floors): 4.17% Weighted Average Recovery Rate (WARR): 42.0% Weighted Average Life (WAL): 2.42 years Par haircut in OC tests and interest diversion test: 24.35% 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 20226. 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. EXETER SELECT 2026-1: S&P Assigns B (sf) Rating on Class N Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Exeter Select Automobile Receivables Trust 2026-1's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 43.00%, 36.88%, 28.26%, 21.48%, 18.71%, and 13.82% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, E, and N notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, 1.50x, and 1.10x coverage of S&P's expected cumulative net loss of 12.25% for classes A, B, C, D, E, and N, respectively. -- S&P said, "The expectation that under a moderate ('BBB') stress scenario (1.75x our expected loss level), all else being equal, our 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', 'BB (sf)', and 'B (sf)' ratings on the class A, B, C, D, E, and N notes, respectively, will be within our credit stability limits." -- The timely payment of interest and repayment of principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, our view of the collateral's credit risk, S&P's updated macroeconomic forecast, and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with its view of the company's underwriting and its backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Exeter Select Automobile Receivables Trust 2026-1 Class A-1, $48.00 million: A-1+ (sf) Class A-2, $97.43 million: AAA (sf) Class A-3, $97.43 million: AAA (sf) Class B, $26.35 million: AA (sf) Class C, $42.67 million: A (sf) Class D, $38.96 million: BBB (sf) Class E, $8.17 million: BB (sf) Class N(i), $25.40 million: B (sf) (i)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. GCAT TRUST 2026-NQM3: Moody's Assigns (P)Ba2 Rating to B-1 Debt --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 9 classes of residential mortgage-backed securities (RMBS) to be issued by GCAT 2026-NQM3 Trust, and sponsored by Blue River Mortgage V LLC, Blue River Mortgage VI LLC, and TPG Mortgage Investment Trust, Inc. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by GCAT 2024-31, LLC, GCAT 2025-35, LLC, GCAT 2025-36, LLC, and GCAT 2026-38, LLC; originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing. The complete rating actions are as follows: Issuer: GCAT 2026-NQM3 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1A, Assigned (P)Aaa (sf) Cl. A-1B, Assigned (P)Aaa (sf) Cl. A-1FCF, Assigned (P)Aaa (sf) Cl. A-1LCF, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2 (sf) Cl. A-3, Assigned (P)A1 (sf) Cl. M-1, Assigned (P)Baa2 (sf) Cl. B-1, Assigned (P)Ba2 (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 1.99%, in a baseline scenario-median is 1.39% and reaches 18.09% 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. GGP TRUST 2026-2PAK: DBRS Finalizes BBsf Rating on Cl. HRR Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-2PAK (the Certificates) issued by GGP Trust 2026-2PAK (GGP 2026-2PAK, or the Trust): -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class HRR at BB (sf) All trends are Stable. The collateral for the GGP 2026-2PAK single-asset/single-borrower (SASB) transaction includes the borrower's fee-simple interest in a portfolio of two regional malls: Willowbrook Mall (59.3% of allocated loan amount (ALA)) in Houston and Altamonte Mall (40.7% of ALA) in Altamonte Springs, Florida. The two properties total 2,697,972 square feet (sf), and the collateral portion constitutes 1,193,710 sf. As of the January 2026 rent roll, the portfolio was approximately 96.8% occupied based on collateral sf, and 89.8% occupied based on total sf. The portfolio's collateral averaged 94.9% occupancy from 2021 through 2025, and occupancy did not fall below 93.5% over this period. Willowbrook Mall is approximately 20 miles northwest of downtown Houston. The property totals 1,526,574 sf, of which 542,202 sf is collateral for the transaction. Noncollateral space is predominately filled by anchor tenants including Dillard's, JCPenney, Macy's, and Macy's Men and Furniture. Willowbrook Mall featured a vacant anchor space that was previously occupied by Sears. General Growth Partners (GGP; the sponsor) transformed and re-leased the majority of the vacant space to Round1 Entertainment Venue, which opened in December 2025. A portion of the remaining space will be occupied by Primark, which is anticipated to open in June 2026. Notable collateral tenants include Dick's Sporting Goods, Nordstrom Rack, H&M, Zara, Old Navy, Victoria's Secret, and Apple. The collateral reported in-line sales of $545 per square foot (psf) (excluding Apple) as of YE2025, representing an 11.4% decline from YE2021 in-line sales of $615 psf (excluding Apple). Scheduled lease rollover through YE2031 represents approximately 76.4% of the Morningstar DBRS cumulative collateral net rentable area (NRA) and approximately 86.4% of the cumulative Morningstar DBRS gross rent. Built in 1973, Altamonte Mall is approximately 10 miles north of downtown Orlando. The property totals 1,171,398 sf, of which 651,508 sf is collateral for the transaction. The mall is anchored by JCPenney and noncollateral Dillard's, Macy's, and a vacant anchor space that was formerly occupied by Sears. The collateral also includes an out-parcel space, which is home to an 18-screen AMC Theatre. Notable collateral tenants include H&M, Barnes & Noble, Old Navy, Victoria's Secret, and Apple. The vacant former Sears space is owned by a joint venture between the sponsor and Seritage Growth. The sponsor intends to lease the vacant space to a national entertainment operator. Altamonte Mall has demonstrated year-over-year declining sales from 2022 to 2024. The collateral reported in-line sales of $453 psf (excluding Apple) as of YE2025, representing an 8.1% decline from YE2022 in-line sales of $493 psf (excluding Apple). Scheduled lease rollover through YE2031 represents approximately 87.4% of the Morningstar DBRS cumulative collateral NRA and approximately 87.5% of the cumulative Morningstar DBRS gross rent. The sponsor for this transaction is a joint venture between General Growth Partners (GGP) and New York State Common Retirement Fund (NYSCRF). GGP is a global real estate services company owned by affiliates of Brookfield Asset Management (Brookfield) and is one of the largest retail real estate companies in the U.S. The portfolio encompasses more than 100 million sf of retail space in more than 100 locations, spanning 35 states. NYSCRF is the third-largest public pension plan in the U.S. and reported $273 billion in net assets as of March 2025. Morningstar DBRS views the overall credit profile of the transaction as neutral to negative, with the portfolio's experienced sponsorship and consistent occupancy trends as mitigants to its regional mall nature, low sales, and elevated lease rollover. Although the portfolio will continue to face headwinds with the proliferation of e-commerce, increasing popularity of outdoor/lifestyle retail, and the dated vintages of the collateral buildings, its ability to maintain a diverse tenant roster and stable occupancy indicates its dynamic nature and the ability to adapt to each mall's respective market for longevity. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Yield Maintenance Premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. GOLUB CAPITAL 60(B): Moody's Gives Ba3 Rating to $17.8MM E-R2 Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of CLO refinancing notes issued by Golub Capital Partners CLO 60(B), Ltd. (the "Issuer"). Moody's rating action is as follows: US$248,000,000 Class A-R2 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$17,800,000 Class E-R2 Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) A comprehensive review of all credit ratings for the respective transactions have been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. OPAL BSL LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes and three other classes of refinanced secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extensions of the non-call period. 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: $395,160,028 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2975 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 4.14% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 4.2 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 Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. GS MORTGAGE 2026-PJ7: DBRS Assigns (P)B(low) Rating to B-5 Notes ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2026-PJ7 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2026-PJ7: -- $288.2 million Class A-1 at (P) AAA (sf) -- $288.2 million Class A-2 at (P) AAA (sf) -- $288.2 million Class A-3 at (P) AAA (sf) -- $216.1 million Class A-4 at (P) AAA (sf) -- $216.1 million Class A-5 at (P) AAA (sf) -- $216.1 million Class A-6 at (P) AAA (sf) -- $172.9 million Class A-7 at (P) AAA (sf) -- $172.9 million Class A-8 at (P) AAA (sf) -- $172.9 million Class A-9 at (P) AAA (sf) -- $43.2 million Class A-10 at (P) AAA (sf) -- $43.2 million Class A-11 at (P) AAA (sf) -- $43.2 million Class A-12 at (P) AAA (sf) -- $115.3 million Class A-13 at (P) AAA (sf) -- $115.3 million Class A-14 at (P) AAA (sf) -- $115.3 million Class A-15 at (P) AAA (sf) -- $72.0 million Class A-16 at (P) AAA (sf) -- $72.0 million Class A-17 at (P) AAA (sf) -- $72.0 million Class A-18 at (P) AAA (sf) -- $39.8 million Class A-19 at (P) AAA (sf) -- $39.8 million Class A-20 at (P) AAA (sf) -- $39.8 million Class A-21 at (P) AAA (sf) -- $328.0 million Class A-22 at (P) AAA (sf) -- $328.0 million Class A-23 at (P) AAA (sf) -- $328.0 million Class A-24 at (P) AAA (sf) -- $72.0 million Class A-27 at (P) AAA (sf) -- $72.0 million Class A-29 at (P) AAA (sf) -- $72.0 million Class A-30 at (P) AAA (sf) -- $72.0 million Class A-31 at (P) AAA (sf) -- $400.0 million Class A-X-1 at (P) AAA (sf) -- $288.2 million Class A-X-2 at (P) AAA (sf) -- $288.2 million Class A-X-3 at (P) AAA (sf) -- $288.2 million Class A-X-4 at (P) AAA (sf) -- $216.1 million Class A-X-5 at (P) AAA (sf) -- $216.1 million Class A-X-6 at (P) AAA (sf) -- $216.1 million Class A-X-7 at (P) AAA (sf) -- $172.9 million Class A-X-8 at (P) AAA (sf) -- $172.9 million Class A-X-9 at (P) AAA (sf) -- $172.9 million Class A-X-10 at (P) AAA (sf) -- $43.2 million Class A-X-11 at (P) AAA (sf) -- $43.2 million Class A-X-12 at (P) AAA (sf) -- $43.2 million Class A-X-13 at (P) AAA (sf) -- $115.3 million Class A-X-14 at (P) AAA (sf) -- $115.3 million Class A-X-15 at (P) AAA (sf) -- $115.3 million Class A-X-16 at (P) AAA (sf) -- $72.0 million Class A-X-17 at (P) AAA (sf) -- $72.0 million Class A-X-18 at (P) AAA (sf) -- $72.0 million Class A-X-19 at (P) AAA (sf) -- $39.8 million Class A-X-20 at (P) AAA (sf) -- $39.8 million Class A-X-21 at (P) AAA (sf) -- $39.8 million Class A-X-22 at (P) AAA (sf) -- $328.0 million Class A-X-23 at (P) AAA (sf) -- $328.0 million Class A-X-24 at (P) AAA (sf) -- $328.0 million Class A-X-25 at (P) AAA (sf) -- $72.0 million Class A-X-27 at (P) AAA (sf) -- $72.0 million Class A-X-28 at (P) AAA (sf) -- $72.0 million Class A-X-29 at (P) AAA (sf) -- $72.0 million Class A-X-30 at (P) AAA (sf) -- $10.2 million Class B-1 at (P) AA (low) (sf) -- $10.2 million Class B-1A at (P) AA (low) (sf) -- $10.2 million Class B-X-1 at (P) AA (low) (sf) -- $5.9 million Class B-2 at (P) A (low) (sf) -- $5.9 million Class B-2A at (P) A (low) (sf) -- $5.9 million Class B-X-2 at (P) A (low) (sf) -- $3.6 million Class B-3 at (P) BBB (sf) -- $2.1 million Class B-4 at (P) BB (sf) -- $847.0 thousand Class B-5 at (P) B (low) (sf) -- $288.2 million Class A-1L Loans at (P) AAA (sf) -- $288.2 million Class A-2L Loans at (P) AAA (sf) -- $288.2 million Class A-3L Loans at (P) AAA (sf) Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-29, A-30, A-31, A-1L, A-2L, and A-3L Loans are super-senior classes. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-27, A-X-28, A-X-29, A-X-30, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-29, A-30, A-31, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-29, A-X-30, B-1, B-2, A-1L, A-2L, and A-3L Loans are exchangeable classes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-27 and A-X-27 are floating-rate notes. Classes A-1L, A-2L, and A-3L are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 5.60% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (sf), (P) BB (sf), and (P) B (low) (sf) credit ratings reflect 3.20%, 1.80%, 0.95%, 0.45%, and 0.25% credit enhancement, respectively. The securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 335 loans with a total principal balance of $423,760,094 as of the Cut-Off Date. The collateral description and disclosure on the mortgage loans in the related presale report reflect the approximate aggregate characteristics as of the Cut-Off Date unless otherwise specified. The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 15 to 30 years. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 72.5%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (34.0%), PennyMac Loan Services, LLC (21.3%), LoanDepot.com (17.0%) and other originators each comprising less than 10.0% of the pool. The mortgage loans will be serviced by United Wholesale Mortgage, LLC (Sub-servicer, Cenlar) (34.1%), PennyMac Loan Services, LLC (31.9%), Newrez LLC d/b/a Shellpoint Mortgage Servicing (17.0%), and loanDepot.com LLC (17.0%). Rocket Mortgage, LLC will act as Master Servicer. Computershare Trust Company, N.A. will act as Paying Agent, Note Registrar, Rule 17g-5 Information Provider and Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of Classes A-1L, A-2L and A-3L loans which are the equivalent of ownership of Classes A-1, A-2 and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these Classes are elected. The credit ratings reflect transactional strengths that include the following: -- High-quality credit attributes. -- Well-qualified borrowers. -- Satisfactory third-party due-diligence review. -- Structural enhancements. -- 100% current loans. The transaction also includes the following challenges: -- Representations and warranties framework. -- Servicers' financial capabilities. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amounts, the related Interest Shortfalls, and the related Debt Amounts (for non-interest-only certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. GS MORTGAGE-BACKED 2026-CES3: S&P Assigns (P) B Rating on B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GS Mortgage-Backed Securities Trust 2026-CES3's mortgage-backed notes. The note issuance is an RMBS securitization backed by closed-end, second-lien, fixed-rate, and amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, a condotel, and two- to four-unit properties. The pool has 3,803 loans and comprises QM/non-HPML (safe harbor), QM/HPML (rebuttable presumption), non-QM/compliant, and not covered/exempt loans. The preliminary ratings are based on information as of May 26, 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 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 GS Mortgage-Backed Securities Trust 2026-CES3(i) Class A-1A, $269,174,000: AAA (sf) Class A-1B, $22,543,000: AAA (sf) Class A-2, $9,421,000: AA (sf) Class A-3, $10,263,000: A (sf) Class M-1, $10,430,000: BBB (sf) Class B-1, $5,047,000: BB (sf) Class B-2, $4,374,000: B (sf) Class B-3, $5,216,127: NR Class XS, notional(ii): NR Class SA, notional(iii): NR Class R, not applicable(iv): NR (i)The preliminary ratings address the ultimate payment of interest and principal, and do not address payment of the cap carryover amounts. (ii)The notional amount for the class XS notes equals the nonretained interest percentage (95%) of the loans' aggregate unpaid principal balance, initially $336,468,127. (iii)The initial balance of class SA equals the nonretained interest percentage of the pre-existing servicing advances as of the closing date, initially, $2,810. (iv)The class R notes will not have a principal amount and are the class of notes representing residual interest in the issuing entity. The class R notes are not expected to receive distributions. NR--Not rated. GS MORTGAGE-BACKED 2026-NQM4: S&P Assigns (P)B Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GS Mortgage-Backed Securities Trust 2026-NQM4's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed and adjustable-rate, amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and cooperatives. The pool has 972 loans, comprising qualified mortgage (QM) safe harbor (average prime offer rate), non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans. The preliminary ratings are based on information as of May 21, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; and -- S&P's economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) GS Mortgage-Backed Securities Trust 2026-NQM4 Class A-1FCF, $37,500,000: AAA (sf) Class A-1LCF, $12,500,000: AAA (sf) Class A-1A, $208,610,000: AAA (sf) Class A-1B, $31,323,000: AAA (sf) Class A-1, $239,933,000: AAA (sf) Class A-2, $19,871,000: AA (sf) Class A-3, $31,984,000: A (sf) Class M-1, $13,815,000: BBB (sf) Class B-1, $9,463,000: BB (sf) Class B-2, $8,138,000: B (sf) Class B-3, $5,299,309: NR Class X, notional(ii): NR Class SA(iii): NR Class PT, $378,503,309: NR Class R(iv), not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The notional amount for the class X certificates equals the non-retained interest percentage (95%) of the loans' aggregate unpaid principal balance, initially $378,503,309. (iii)The initial balance of class SA equals the non-retained interest percentage of the pre-existing servicing advances as of the closing date, initially $45,612. (iv)The class R certificates will not have a principal amount and are the class of certificates representing residual interest in the issuing entity. NR--Not rated. HARVEST COMMERCIAL 2024-1: DBRS Confirms Bsf Rating on M-5 Notes ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed the credit ratings on the following classes of notes issued by Harvest Commercial Capital Loan Trust 2024-1: Debt Rated Rating Action ---------- ------ ------ Class A AAA(sf) Confirmed Class M-1 AA(sf) Confirmed Class M-2 A(sf) Confirmed Class M-3 BBB(sf) Confirmed Class M-4 BB(sf) Confirmed Class M-5 B(sf) Confirmed The rating confirmations by Morningstar DBRS are based on the following rating rationale and analytical considerations: -- The transactions' performance, which is within Morningstar DBRS' expectations. -- Credit enhancement for the notes is provided through note subordination and excess spread. The rated notes also benefit from a reserve account that can be used to fund shortfalls in payments of the interest payment amount and to reduce the effect of any realized losses on the mortgage loans. Credit enhancement has increased since closing. -- Credit enhancement levels are sufficient to cover Morningstar DBRS-expected losses at their current respective rating levels. -- The transaction parties' capabilities with respect to originating, underwriting, and servicing of first-lien, SBA 504 and conventional commercial real estate 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. 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. HOPATCONG LLC: DBRS Finalizes BB(low) Rating on Class C Notes ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings as follows on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Notes) issued by Hopatcong LLC pursuant to the Indenture dated November 20, 2025, as amended by the First Supplement Indenture dated as of February 6, 2026, entered into between Hopatcong LLC, as Issuer and Wilmington Trust, National Association, as Trustee: -- Class A Notes at AAA (sf) -- Class B Notes at BBB (sf) -- Class C Notes at BB (low) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate return of principal on or before the Stated Maturity. The credit ratings on the Class B Notes and Class C Notes address the ultimate payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate return of principal on or before the Stated Maturity. CREDIT RATING RATIONALE/DESCRIPTION The credit rating finalizations are a result of: (1) Morningstar DBRS' review of the transaction performance by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025); and (2) the Issuer's satisfaction of certain criteria to finalize the credit ratings, such as compliance with certain maximum Advance Rate levels (per the Indenture), a Funded Equity Percentage of at least 50%, the elevation of all participation interests to assignment, and a minimum Diversity Score of 8. The Issuer is a cash flow collateralized loan obligation (CLO) transaction that is collateralized primarily by a portfolio of U.S. middle-market (MM) corporate loans. The Issuer is managed by Blue Owl Credit Private Fund Advisors LLC, an affiliate of Blue Owl Capital Inc. Morningstar DBRS considers Blue Owl Credit Private Fund Advisors LLC an acceptable CLO manager. The Reinvestment Period ends on December 31, 2029. The Stated Maturity is February 18, 2038. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The Indenture, dated November 20, 2025, as amended by the First Supplement Indenture, dated as of February 6, 2026. (2) The integrity of the transaction structure. (3) Morningstar DBRS' assessment of the portfolio quality and covenants. (4) Adequate credit enhancement to withstand Morningstar DBRS' projected collateral loss rates under various cash flow-stress scenarios. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Blue Owl Credit Private Fund Advisors LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance methodology (the Legal Criteria). Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of April 3, 2026, the Issuer is in compliance with all its performance metrics. To date, there are no defaulted obligations in the portfolio. In its review, Morningstar DBRS applied the Level I approach, as described in the CLO Methodology. No model was applied in this review. The coverage and collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows: Coverage Tests: Class A Asset Coverage Test: minimum 159.40%; currently 182.98% Class B Asset Coverage Test: minimum 118.75%; currently 131.55% Class C Asset Coverage Test: minimum 109.15%; currently 118.40% Collateral Quality Tests: Maximum Average Morningstar DBRS Risk Score Test: Subject to the CQM; maximum 34.50%; currently 25.81% Minimum WAS Test: Subject to the CQM; minimum 5.25%; currently 5.26% Minimum Weighted Average Coupon Test: minimum 5.00%; currently N/A Minimum DScore: Subject to the CQM; minimum 30; currently 33.47 Maximum Weighted Average Life Test: maximum 6.50 years; currently 3.74 years Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle-market loans; (2) the adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. The current transaction performance is within Morningstar DBRS' expectations, which, in addition to the Issuer's satisfaction of the above-referenced criteria to finalize the credit ratings, supports the finalization of the credit ratings on the Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Notes. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. 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) https://dbrs.morningstar.com/research/454196. Notes: All figures are in U.S. dollars unless otherwise noted. HUDSON'S BAY 2015-HBS: S&P Affirms CCC- (sf) Rating on E-10 Notes ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on seven classes and affirmed its ratings on two classes of commercial mortgage pass-through certificates from Hudson's Bay Simon JV Trust 2015-HBS, a U.S. CMBS transaction. At the same time, S&P removed the ratings on two classes from CreditWatch with negative implications. Its ratings on five other classes remain on CreditWatch negative, where they were initially placed on March 2, 2026. This is a U.S. stand-alone (single-borrower) CMBS transaction backed by a componentized, fixed-rate, interest-only (IO) mortgage loan totaling $379.4 million as of the May 7, 2026, trustee remittance report, down from $846.2 million at issuance. Following 10 property releases, including one that occurred in April 2026, and applying available excess cash flows, the loan was paid down by $466.8 million and currently consists of two promissory notes (down from three at issuance). One of the notes has a 5.167% annual fixed interest rate totaling $103.1 million, while the other pays a fixed interest rate of 5.455% per annum totaling $276.3 million. The notes matured on March 1, 2026. The mortgage loan is currently secured by the borrower's fee-simple and leasehold interests in 24 remaining retail properties (comprising anchor or shadow anchor parcels at larger retail malls or freestanding retail stores) totaling 3.0 million sq. ft. in 14 U.S. states, down from 34 properties totaling 4.5 million sq. ft. in 15 U.S. states at issuance. Of the 24 remaining properties, 14 operate pursuant to the Lord & Taylor LLC master lease (which was rejected in early 2026 following the bankruptcy filings) and 10 are under the Saks & Company LLC master lease. Rating Actions The downgrades on the class A-10, B-10, C-10, D-7, and D-10 certificates (despite higher model-indicated ratings on these classes) and the affirmations on the class E-7 and E-10 certificates primarily reflect S&P's assessment that the transaction continues to be exposed to heightened liquidity risk. Following Saks Global Enterprises LLC and its affiliates' bankruptcy filings in mid-January 2026, the Lord & Taylor master lease was rejected, and the company announced additional store closures, including five collateral Saks Fifth Avenue stores in the transaction. S&P said, "In our March 2026 review, our property-level analysis assumed an 'as is' and dark value approach. At this time, we maintained our net recovery value of $278.4 million that we derived in our last review, after adjusting for the Eastchester property release, which occurred in April 2026." The ratings on classes A-10, B-10, and C-10 remain on CreditWatch negative because, while the company is working to emerge from bankruptcy, there is still uncertainty as to whether the sponsor intends to reject or renegotiate the remaining master lease for the 10 Saks properties (six of which are currently dark) and fund operating expense shortfalls, as well as regarding the resolution strategy and timing of the special servicing transfer. S&P's analysis considered that the special servicer held back $30.0 million of the $78.7 million in net proceeds received from the Eastchester property sale (the remaining $48.7 million was distributed to the class A-10 certificate holders, according to the May 2026 trustee remittance report) to cover operating costs at the remaining former Lord & Taylor stores. However, there is still uncertainty regarding how long this will cover operating expense shortfalls. The downgrades on classes D-7 and D-10 to 'CCC (sf)' and the affirmations on classes E-7 and E-10 at 'CCC- (sf)' further reflect our qualitative consideration that their repayments are dependent on favorable business, financial, and economic conditions and that these classes are vulnerable to default. The downgrades on the class X-A-10 and X-B-10 IO certificates (as well as maintaining the CreditWatch negative placements) reflect our criteria for rating IO securities, under which the ratings on the IO securities would not be higher than those of the lowest-rated reference class. The notional amount of the class X-A-10 certificates references class A-10, while class X-B-10 references class B-10. S&P said, "In our March 2026 review, we lowered our ratings on nine classes due to a revised lower net recovery value and our view that liquidity and net recoveries to bondholders may be reduced as a result of the bankruptcy filings in mid-January 2026. We placed our ratings on seven classes on CreditWatch with negative implications because we are concerned that the uncertainty surrounding the bankruptcy proceedings may result in a further reduction in liquidity and recoveries for bondholders." Since that time, Saks Global has received a court-approved $500 million financing package to support its operations and boost its liquidity profile. In addition, on April 27, 2026, the company filed its Chapter 11 restructuring plan; however, its intent regarding the trust loan remains unclear. On May 1, 2026, the bankruptcy court approved its disclosure statement, allowing the company to send its reorganization plan to creditors, who are expected to vote on June 1, 2026. A court hearing is scheduled for June 5, 2026. If the plan is approved, the company expects to emerge from bankruptcy as early as summer 2026. The special servicer indicated to S&P that it is still negotiating the Saks master lease terms, as well as the resolution strategy and timing of the special servicing transfer, with the borrower. As part of the CreditWatch resolution, S&P will continue its dialogue with the servicers to monitor further developments regarding the resolution strategy and/or timing, in order to assess the impact on the trust's liquidity and recoveries to bondholders. Ratings Lowered And Removed From CreditWatch Negative Hudson's Bay Simon JV Trust 2015-HBS Class D-7 to 'CCC (sf)' from 'B- (sf)/Watch Neg' Class D-10 to 'CCC (sf)' from 'B- (sf)/Watch Neg' Ratings Lowered Hudson's Bay Simon JV Trust 2015-HBS Class A-10 to 'BBB (sf)/Watch Neg' from 'A- (sf)/Watch Neg' Class B-10 to 'BB (sf)/Watch Neg' from 'BBB- (sf)/Watch Neg' Class C-10 to 'B (sf)/Watch Neg' from 'BB- (sf)/Watch Neg' Class X-A-10 to 'BBB (sf)/Watch Neg' from 'A- (sf)/Watch Neg' Class X-B-10 to 'BB (sf)/Watch Neg' from 'BBB- (sf)/Watch Neg' Ratings Affirmed Hudson's Bay Simon JV Trust 2015-HBS Class E-7: CCC- (sf) Class E-10: CCC- (sf) JP MORGAN 2026-4MPR: Fitch Assigns B(EXP)sf Rating on Cl. B2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage Trust 2026-4MPR (JPMMT 2026-4MPR). Entity/Debt Rating ----------- ------ JPMMT 2026-4MPR A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1FC LT AAA(EXP)sf Expected Rating A1LC LT AAA(EXP)sf Expected Rating A1M LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A+(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by J.P. Morgan Mortgage Trust 2026-4MPR (JPMMT 2026-4MPR), as indicated above. The notes are supported by 248 loans with a scheduled balance of $333.53 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages originated mainly by United Wholesale Mortgage, LLC and Maxex Clearing LLC. The loan-level representations and warranties (R&Ws) are provided by the various sellers and originators. The loans will be serviced by Shellpoint (interim 49.51%), UWM (45.44%, Cenlar subservices for UWM), PLS/PennyMac (2.63%), Selene (2.42%), JPMCB (owns MSRs on Shellpoint-serviced). After the servicing transfer date, all mortgage loans in the pool serviced by Shellpoint will be serviced by JPMCB. 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, 95.9% qualify as safe-harbor qualified mortgage (SHQM), average prime offer rate (APOR) loans and 4.1% are rebuttable presumption QM. The senior notes have coupons that are fixed rate and capped at the net weighted average coupon (WAC) (the coupon steps up by 1% on and after June 2030). The M-1 class has an interest rate that is fixed rate and capped at the net WAC. The B-1. B-2, and B-3 classes have an interest rate that is 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 72.5% 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 29%, are located in California. The loans are seasoned at an average of six months. The pool has a weighted average (WA) original FICO score of 759, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (cLTV) of 77.2%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 83.6%. The weighted average debt-to-income (DTI) ratio is 39.3% and the weighted average liquid reserve amount is $381,118.98. This transaction has a final probability of default (PD) of 15.75% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 35.90%. The expected loss in the 'AAAsf' rating stress is 5.65%. Structural Analysis (Mixed) The transaction has a modified pro-rata structure with full 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-1FC, A-1LC, A-1M, 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-1FC, A-1LC, and A-1M and then A-2 and A-3 until they are reduced to zero. Like other modified pro-rata structures, interest is prioritized over the payment of principal in the principal waterfall, with interest being paid first, prior to principal. The interest waterfall is sequential, with the class A receiving current interest and unpaid interest first. Both features are supportive of timely interest being paid to the 'AAAsf' rated classes. The class A notes have a step-up coupon feature whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. 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-1FC, A-1LC, A-1M, 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 notes 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 notes in both the interest and principal waterfalls. This feature is supportive of the class A-1A, A-1FC, A-1LC and A-1M notes 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. In addition to subordination, the transaction has excess spread that will be available to reimburse the notes for losses or interest shortfalls. The excess spread may be reduced on and after June 2030, since classes A-1A, A-1FC, A-1LC, A-1M, A-2, and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to full advancing until deemed non-recoverable for delinquent principal and interest (P&I). This increases the loss severity as the servicer will need to be reimbursed for the advances, but upside is that it provides liquidity to the structure as there is less need to rely on principal to pay interest. Losses are allocated reverse sequentially starting with B-3. Once the B classes and M class are written off, losses will be allocated to the A classes with A-3 class taking the losses first followed by the A-2 class taking the losses once the A-3 is written off. Once the A-2 class is written off, losses will be allocated to the A-1M class and once the A-1M class is written off, losses will be allocated pro rata to A-1A, A-1FC, and A-1LC 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 2026-4MPR 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 2026-4MPR, 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 full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, 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 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 was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. 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 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. JPMDB 2017-C5 COMMERCIAL: Fitch Lowers Rating on D Certs to 'CCsf' ------------------------------------------------------------------ Fitch Ratings has downgraded three and affirmed nine classes of JPMDB Commercial Mortgage Securities Trust commercial mortgage pass-through certificates, series 2017-C5 (JPMDB 2017-C5). Classes A-5, A-S, B and X-A have Negative Rating Outlooks while classes A-SB and A-4 have Stable Outlooks. Entity/Debt Rating Prior ----------- ------ ----- JPMDB 2017-C5 A-4 46590TAD7 LT AAAsf Affirmed AAAsf A-5 46590TAE5 LT AAAsf Affirmed AAAsf A-S 46590TAJ4 LT Asf Affirmed Asf A-SB 46590TAF2 LT AAAsf Affirmed AAAsf B 46590TAK1 LT BBsf Affirmed BBsf C 46590TAL9 LT CCCsf Downgrade Bsf D 46590LBA9 LT CCsf Downgrade CCCsf E-RR 46590LBC5 LT Dsf Affirmed Dsf F-RR 46590LBE1 LT Dsf Affirmed Dsf G-RR 46590LBG6 LT Dsf Affirmed Dsf X-A 46590TAG0 LT Asf Affirmed Asf X-B 46590TAH8 LT CCCsf Downgrade Bsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' ratings case are 9.1% (14.6% based on the original pool balance and including realized losses), which compares with 16.7% (13.8%) at the prior rating action. Fitch Loans of Concern (FLOCs) comprise 12 loans (50.7% of the pool), including five loans in special servicing (22.9%). The downgrades reflect higher loss expectations since Fitch's prior rating action, driven by performance deterioration and the transfer of 580 Walnut Street (4.0%) to special servicing and further performance declines on FLOCs including Gateway I & II (6.7%) and Summit Place Wisconsin (3.9%). In addition, the downgrades reflect the erosion of credit enhancement due to losses incurred from the 229 West 43rd Street loan which was liquidated in August 2025. The Negative Outlooks reflect the potential for downgrades should performance of the FLOCs fail to stabilize, deteriorate further or with prolonged workouts of loans in special servicing. Given the concentration of near-term loan maturities in 2026 (29.2%) and 2027 (70.8%), Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment and/or loss expectation. This analysis contributed to the rating actions and the Negative Outlooks. Largest Contributors to Loss: The largest increase in loss expectations and second largest driver of overall loss is the 580 Walnut Street loan. The loan is secured by a 245,520-sf mixed-use property located in Cincinnati, OH, built in 1973 and renovated in 2016. The property's largest tenant, Fifth Third Bank, representing 76% of the NRA, vacated at lease expiration in December 2025. The space had been dark since 2020. The loan transferred to special servicing the following month in January 2026 and has been delinquent since February 2026. A receiver has been appointed, and workout strategies are being discussed. Fitch's 'Bsf' rating case loss (before concentration add-ons) of 43.5% reflects a 50% stress to the YE 2025 NOI and an increased probability of default to account for the departure of the anchor tenant. The stressed Fitch value of $70 PSF is in line with comparable distressed appraisal values in the Cincinnati market. The largest overall contributor and third largest increase in expected loss is the specially serviced Gateway I & II loan (6.7%). The collateral consists of two contiguous mixed-use office buildings totaling 99,393 sf in Harlem, NY. The loan transferred to special servicing in November 2024 due to monetary default. A receiver was appointed in April 2025 and is working to address outstanding operating expenses and rent collection. The servicer is tracking the loan for foreclosure. As of December 2025, reported occupancy was 78%. The largest tenant, NYSARC (The Arc New York), a non-profit funded by state agencies, leases 25.4% of NRA through November 2029 and operates residential quarters onsite, making relocation cost-prohibitive due to residents' needs. The second largest tenant renewed its lease for five years through November 2029 and in 2023, Olgam Plasma Donation Center (13% NRA) signed a lease through 2033. Fitch's 'Bsf' rating case loss (before concentration add-ons) of 29.1% reflects a 5% stress to the latest appraisal value implying a recovery value of approximately $364 psf. The third largest contributor to loss expectations is the Summit Place Wisconsin loan (3.9%), which is secured by a 668,471-sf suburban office building located in West Allis, WI. The property was 71% occupied as of YE 2025, unchanged from YE 2024, down from 78% at YE 2023 and 94% at YE 2022. NOI DSCR has followed the same trend, reporting at 1.09x as of YE 2025 and YE 2024, and down from 1.34x at YE 2023 and 1.50x at YE 2022. Performance has deteriorated primarily due to the departure of Brookdale Senior Living (27.9% of NRA) at lease expiration in April 2024 and the downsize of Children's Hospital and Health System Inc. from 19.9% to 6.6% of NRA. Fitch's 'Bsf' rating case loss (before concentration add-ons) of 36.6% reflects a 10% cap rate and 10% stress to the YE 2025 NOI. Changes in Credit Enhancement (CE): As of the May 2026 distribution date, the transaction balance has been reduced by 29.5% since issuance. Seven loans representing 26.4% of the pool have fully defeased. Cumulative interest shortfalls of $17.9 million are affecting classes D, E-RR, F-RR, G-RR and the non-rated NR-RR class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns regarding further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the 'AAAsf' rated classes with Stable Outlooks 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 classes rated in the 'AAAsf' and 'Asf' categories that have Negative Outlooks may occur should performance of the FLOCs deteriorate further, expected losses increase or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include 580 Walnut Street (4.0%), Gateway I & II (6.7%) and Summit Place Wisconsin (3.9%). Downgrades to classes rated in the 'BBsf' category could occur with higher-than-expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings of 'CCCsf' and 'CCsf' 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 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable to improved pool-level loss expectations and performance stabilization of FLOCs, including 580 Walnut Street (4.0%), Gateway I & II (6.7%) and Summit Place Wisconsin (3.9%). Upgrades of this class to 'AAsf' will also consider the concentration of defeased loans in the transaction and would not occur if interest shortfalls are expected. Upgrades to the 'BBsf' 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 due to paydown and defeasance. Upgrades to distressed ratings are not expected but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JW COMMERCIAL 2026-MRCO: Fitch Rates Class HRR Certificates 'BB-sf' ------------------------------------------------------------------- Fitch Ratings has assigned the following final ratings and Ratings Outlooks to JW Commercial Mortgage Trust 2026-MRCO commercial mortgage pass-through certificates, series 2026-MRCO. - $331,400,000 class A 'AAAsf'; Outlook Stable; - $98,400,000 class B 'AA-sf'; Outlook Stable; - $76,700,000 class C 'A-sf'; Outlook Stable; - $79,400,000 class D 'BBB-sf'; Outlook Stable; - $69,600,000 class E 'BBsf'; Outlook Stable; - $34,500,000(a) class HRR 'BB-sf'; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Transaction Summary The certificates represent the beneficial ownership interest in a trust that holds a $690.0 million, two-year, floating-rate, interest-only commercial mortgage loan with three one-year extension options. The loan is secured by a first-priority lien on the borrowers' fee interests and the operating lessee's leasehold interests in three properties located on Marco Island, FL: the JW Marriott Marco Island, Hammock Bay Golf & Country Club and The Rookery at Marco. The JW Marriott Marco Island is an 809-key, AAA Four Diamond luxury full-service beachfront resort, while Hammock Bay Golf & Country Club and The Rookery at Marco are 18-hole golf courses. The resort was acquired by a joint venture between affiliates of Trinity Fund Advisors LLC (Trinity) and Sculptor Real Estate Advisors LP (Sculptor), which act as borrower sponsors. This transaction uses a PropCo/OpCo framework in which MIH PropCo LLC, MIH Rookery LLC and MIH Hammock Bay LLC, each a special-purpose entity, own the mortgaged real estate and related assets. MIH OpCo LLC, also a single-purpose entity, leases the mortgaged property under the operating lease and is responsible for operating, leasing, managing and maintaining the hotel and related operations. Loan proceeds, along with approximately $208.9 million of borrower sponsor equity, were used to facilitate the acquisition of the property for a purchase price of approximately $835.0 million, fund an upfront replacement reserve of $32.5 million, a Lanai Tower renovation reserve of $12.4 million, a working capital reserve of $5.0 million and pay estimated closing costs of $14.0 million. The loan is co-originated by Wells Fargo Bank, National Association and JPMorgan Chase Bank, National Association, which act as mortgage loan sellers. KeyBank National Association acts as servicer and special servicer. Computershare Trust Company, National Association serves as the trustee and certificate administrator. Park Bridge Lender Services LLC is the operating advisor. The certificates follow a sequential-paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch's stressed NCF for the property is estimated at $74.9 million; this is 4.5% lower than the issuer's NCF, 2.4% below the March 2026 TTM NCF and 5.3% below the YE 2023 NCF. Fitch applied a 9.75% cap rate to derive a Fitch value of approximately $768.4 million. High Fitch Leverage: The loan equates to debt of approximately $852,905 per guestroom with a Fitch stressed debt service coverage ratio, loan-to-value ratio (LTV) and debt yield of 1.14x, 89.8% and 10.9%, respectively. Based on the appraiser's concluded as-is market value of $950.0 million, the LTV is approximately 72.6%. Strong Asset Quality in Prime Location: The 809-key resort is situated on a 27.6-acre beachfront site with approximately one-quarter mile of resort-controlled, managed beachfront. The resort is one of a limited number of properties in the region that, due to grandfathering in of government regulations, is exempt from maintaining protective dunes along its beachfront, providing guests with fully unobstructed beach access. Beach and water-based activities include parasailing, watersports rentals, sailing and shelling excursions, and fishing opportunities. The resort also offers Paradise by Sirene, an adults-only concept with extensive amenities in some rooms, plus 12 on-site food and beverage outlets, two 18-hole golf courses with dining and pro shops, a luxury full-service spa, approximately 120,000 sf of meeting space, and 95,000 sf outdoor event space. Fitch has assigned the resort a property quality grade of A-. Experienced Sponsorship and Brand Management: Trinity is a real estate investment, asset management and development firm primarily focused on hospitality investments. Sculptor is a global alternative investment manager with current and prior ownership of more than 20 Marriott-branded properties and over 30 golf courses. The resort is operated by Marriott International under the JW Marriott flag, pursuant to a long-term management agreement that expires in 2076. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf'; - 10% NCF Decline: 'AAAsf'/'Asf '/'BBB-sf'/'BBsf'/'B+sf'/'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf '/'A+sf'/'BBBsf'/'BB+sf'/'BBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. LAVALETTE LLC: DBRS Finalizes BB(low) Rating on Cl. C Notes ----------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings as follows on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Notes) issued by Lavallette LLC pursuant to the Indenture dated November 20, 2025, as amended by the First Supplement Indenture dated as of February 6, 2026, entered into between Lavallette LLC, as Issuer and Wilmington Trust, National Association, as Trustee: -- Class A Notes at AAA (sf) -- Class B Notes at BBB (sf) -- Class C Notes at BB (low) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate return of principal on or before the Stated Maturity. The credit ratings on the Class B Notes and Class C Notes address the ultimate payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate return of principal on or before the Stated Maturity. CREDIT RATING RATIONALE/DESCRIPTION The credit rating finalizations are a result of: (1) Morningstar DBRS' review of the transaction performance by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025); and (2) the Issuer's satisfaction of certain criteria to finalize the credit ratings, such as compliance with certain maximum Advance Rate levels (per the Indenture), a Funded Equity Percentage of at least 50%, the elevation of all participation interests to assignment, and a minimum Diversity Score of 8. The Issuer is a cash flow collateralized loan obligation (CLO) transaction that is collateralized primarily by a portfolio of U.S. middle-market (MM) corporate loans. The Issuer is managed by Blue Owl Credit Private Fund Advisors LLC, an affiliate of Blue Owl Capital Inc. Morningstar DBRS considers Blue Owl Credit Private Fund Advisors LLC an acceptable CLO manager. The Reinvestment Period ends on December 31, 2029. The Stated Maturity is February 18, 2038. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The Indenture, dated November 20, 2025, as amended by the First Supplement Indenture, dated as of February 6, 2026. (2) The integrity of the transaction structure. (3) Morningstar DBRS' assessment of the portfolio quality and covenants. (4) Adequate credit enhancement to withstand Morningstar DBRS' projected collateral loss rates under various cash flow-stress scenarios. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Blue Owl Credit Private Fund Advisors LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance methodology (the Legal Criteria). Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of April 3, 2026, the Issuer is in compliance with all its performance metrics. To date, there are no defaulted obligations in the portfolio. In its review, Morningstar DBRS applied the Level I approach, as described in the CLO Methodology. No model was applied in this review. The coverage and collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows: Coverage Tests: Class A Asset Coverage Test: minimum 159.40%; currently 182.91% Class B Asset Coverage Test: minimum 118.75%; currently 131.50% Class C Asset Coverage Test: minimum 109.15%; currently 118.35% Collateral Quality Tests: Maximum Average Morningstar DBRS Risk Score Test: Subject to the CQM; maximum 33.48%; currently 26.26% Minimum WAS Test: Subject to the CQM; minimum 5.05%; currently 5.15% Minimum Weighted Average Coupon Test: minimum 5.00%; currently N/A Minimum DScore: Subject to the CQM; minimum 30; currently 32.40 Maximum Weighted Average Life Test: maximum 6.50 years; currently 3.78 years Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle-market loans; (2) the adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. The current transaction performance is within Morningstar DBRS' expectations, which, in addition to the Issuer's satisfaction of the above-referenced criteria to finalize the credit ratings, supports the finalization of the credit ratings on the Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Notes. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the 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. LOANTAKA LLC: DBRS Finalizes BB(low) Rating on Class C Notes ------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings as follows on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Notes) issued by Loantaka LLC pursuant to the Indenture dated November 20, 2025, as amended by the First Supplement Indenture dated as of February 6, 2026, entered into between Loantaka LLC, as Issuer and Wilmington Trust, National Association, as Trustee: -- Class A Notes at AAA (sf) -- Class B Notes at BBB (sf) -- Class C Notes at BB (low) (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate return of principal on or before the Stated Maturity. The credit ratings on the Class B Notes and Class C Notes address the ultimate payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate return of principal on or before the Stated Maturity. CREDIT RATING RATIONALE/DESCRIPTION The credit rating finalizations are a result of: (1) Morningstar DBRS' review of the transaction performance by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025); and (2) the Issuer's satisfaction of certain criteria to finalize the credit ratings, such as compliance with certain maximum Advance Rate levels (per the Indenture), a Funded Equity Percentage of at least 50%, the elevation of all participation interests to assignment, and a minimum Diversity Score of 8. The Issuer is a cash flow collateralized loan obligation (CLO) transaction that is collateralized primarily by a portfolio of U.S. middle-market (MM) corporate loans. The Issuer is managed by Blue Owl Credit Private Fund Advisors LLC, an affiliate of Blue Owl Capital Inc. Morningstar DBRS considers Blue Owl Credit Private Fund Advisors LLC an acceptable CLO manager. The Reinvestment Period ends on December 31, 2029. The Stated Maturity is February 18, 2038. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The Indenture, dated November 20, 2025, as amended by the First Supplement Indenture, dated as of February 6, 2026. (2) The integrity of the transaction structure. (3) Morningstar DBRS' assessment of the portfolio quality and covenants. (4) Adequate credit enhancement to withstand Morningstar DBRS' projected collateral loss rates under various cash flow-stress scenarios. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Blue Owl Credit Private Fund Advisors LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance methodology (the Legal Criteria). Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of April 3, 2026, the Issuer is in compliance with all its performance metrics. To date, there are no defaulted obligations in the portfolio. In its review, Morningstar DBRS applied the Level I approach, as described in the CLO Methodology. No model was applied in this review. The coverage and collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows: Coverage Tests: Class A Asset Coverage Test: minimum 159.40%; currently 183.72% Class B Asset Coverage Test: minimum 118.75%; currently 132.08% Class C Asset Coverage Test: minimum 109.15%; currently 118.88% Collateral Quality Tests: Maximum Average Morningstar DBRS Risk Score Test: Subject to the CQM; maximum 33.48%; currently 26.89% Minimum WAS Test: Subject to the CQM; minimum 5.05%; currently 5.13% Minimum Weighted Average Coupon Test: minimum 5.00%; currently N/A Minimum DScore: Subject to the CQM; minimum 30; currently 34.68 Maximum Weighted Average Life Test: maximum 6.50 years; currently 3.99 years Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle-market loans; (2) the adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. The current transaction performance is within Morningstar DBRS' expectations, which, in addition to the Issuer's satisfaction of the above-referenced criteria to finalize the credit ratings, supports the finalization of the credit ratings on the Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Notes. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the 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. MORGAN STANLEY 2005-HE2: Moody's Cuts Rating on M-4 Certs to Caa1 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating of one bond and downgraded the rating of one bond issued by Morgan Stanley ABS Capital I Inc. Trust 2005-HE2. The collateral backing this deal consists of subprime mortgages. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE2 Cl. M-4, Downgraded to Caa1 (sf); previously on Feb 9, 2022 Upgraded to B2 (sf) Cl. M-6, Upgraded to Caa1 (sf); previously on Aug 12, 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. In addition, the rating downgrade of Class M-4 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 No actions were taken on the other rated classes in this deal 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. MORGAN STANLEY 2015-UBS8: Fitch Lowers Rating on Two Classes to Dsf ------------------------------------------------------------------- Fitch Ratings has upgraded two classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) commercial mortgage pass-through certiﬁcates, series 2015-C23. Following the upgrade, classes E and F were assigned Stable Outlooks. Fitch has upgraded two and afﬁrmed two classes of MSBAM commercial mortgage pass-through certiﬁcates, series 2015-C25 (MSBAM 2015-C25). Following the upgrade, class E was assigned a Stable Outlook and the Outlooks for classes D and X-D were revised to Stable from Negative. Fitch has downgraded two classes and afﬁrmed six classes of Morgan Stanley Capital I Trust (MSCI) 2015-UBS8 commercial mortgage pass-through certiﬁcates. Fitch revised the Outlook for class C to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2015-C25 D 61765TAN3 LT BBsf Affirmed BBsf E 61765TAP8 LT Bsf Upgrade CCCsf F 61765TAR4 LT CCCsf Upgrade CCsf X-D 61765TAJ2 LT BBsf Affirmed BBsf MSCI 2015-UBS8 C 61691ABQ5 LT Bsf Affirmed Bsf D 61691AAQ6 LT CCCsf Affirmed CCCsf E 61691AAS2 LT CCsf Affirmed CCsf F 61691AAU7 LT Csf Affirmed Csf G 61691AAW3 LT Dsf Downgrade Csf X-D 61691AAC7 LT CCsf Affirmed CCsf X-F 61691AAG8 LT Csf Affirmed Csf X-G 61691AAJ2 LT Dsf Downgrade Csf MSBAM 2015-C23 E 61690QAU3 LT BBsf Upgrade BB-sf F 61690QAW9 LT Bsf Upgrade B-sf KEY RATING DRIVERS Stable to Improved Loss Expectations and Increased CE: The upgrades and Outlook revisions to Stable reﬂect increased credit enhancement (CE) from loan payoffs, higher-than-expected recoveries on loans that paid off at or post maturity, as well as lower loss expectations on the remaining loans compared to the last rating actions. Due to the heightened maturity concentration risk, Fitch conducted a recovery and liquidation analysis that categorized and ranked remaining loans based on their loan status, collateral quality, and repayment/loss expectations to assess outstanding class ratings in relation to available CE. This analysis contributed to the Stable Outlook revisions. Four loans remain in MSBAM 2015-C23, one of which is in special servicing (5%). Two loans failed to reﬁnance at maturity and were subsequently modiﬁed and extended: Hilton Garden Inn W 54th Street (53%) and Aviare Place Apartments (26.5%). Recovery expectations have improved compared to the last rating action as the loans are now performing. MSBAM 2015-C25 has one remaining loan, 261 Fifth Avenue, which transferred to special servicing following a maturity default. Discussions are ongoing regarding a potential maturity extension, including an additional one-year option subject to performance benchmarks. The loan is currently performing in accordance with the forbearance agreement, and expected losses have declined since prior reviews. In MSCI 2015-UBS8, four loans remain, all of which are in special servicing. Grove City Premium Outlets and Gulfport Premium Outlets are performing specially serviced loans that were modified and received 24-month maturity extensions through December 2027. Loss expectations remain stable since the last rating action. Classes G and X-G were downgraded to 'Dsf' due to realized losses. Largest Contributors to Loss: The largest contributor to loss in the MSBAM 2015-C23 transaction is the Hilton Garden Inn W 54th Street loan (53%), which is secured a 401-key select service hotel located on West 54th Street between Broadway and 8th Avenue in Midtown Manhattan. The loan transferred to special servicing in February 2025 due to imminent maturity default. The loan was modiﬁed and returned to the master servicer in October 2025. Updated terms include a two-year maturity extension that will run through April 2027. The servicer reported YE 2024 NOI DSCR was 2.70x, which is in line with the prior year. As of March 2025, occupancy was reported at 94%. Fitch's 'Bsf' rating case loss of 5.4% (prior to concentration add-ons) reﬂects a 11.5% cap rate and a 15% stress to the YE 2024 NOI. This value is in line with the most recent appraisal value from April 2025. The largest contributor to loss in the MSBAM 2015-C25 transaction is the 261 5th Avenue loan (88%), which is secured by a 446,820 sf ofﬁce building in Midtown Manhattan. The loan transferred to special servicing in September 2025 due to a maturity default. A forbearance agreement became effective on Sept. 1, 2025, and discussions are ongoing regarding potential extension terms, which include a one-year maturity extension and an additional one-year option, subject to performance thresholds. As of September 2025, the property was 81% occupied. Upcoming rollover at the property is minimal. Fitch applied a discount to the October 2025 appraisal which reﬂects a Fitch stressed value of $353 psf. The largest contributor to loss in the MSCI 2015-UBS8 transaction is the Grove City Premium Outlets (51%), which is secured by a 531,200-sf open-air outlet center located in Grove City, PA. The loan transferred to special servicing in August 2025 due to imminent default. A two-year forbearance agreement was executed in December 2025 that will run through December 2027 with an option for another year if the T-12 NOI is at or above $14.5 million and the borrower achieves a debt yield of at least 11%. Fitch's 'Bsf' rating case loss of approximately 29% prior to concentration add-ons reﬂects a 15% cap rate and a 10% haircut to the YE 2024 NOI to reﬂect upcoming rollover concerns. Additionally, Fitch increased the probability of default to 100% to factor in the continued underperformance and maturity default risk. Increased Credit Enhancement (CE): As of the April 2026 remittance report, the aggregate balances of the MSBAM 2015-C23, MSBAM 2015-C25, and MSCI 2015-UBS8 transactions have been reduced by 93%, 91%, and 90.2%, respectively, since issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated in the 'BBsf' and 'Bsf' categories are unlikely, given the high level of credit enhancement and their position in the capital structure following loan payoffs. Downgrades would occur if expected losses increased significantly and/or if modified and extended loans re-default. Downgrades to the distressed ratings would occur as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely given the significant concentrations and pool composition as all loans are past their original maturities, but could occur if additional loans payoff and/or if performance of the remaining loans improve. Upgrades to distressed ratings are not expected, but possible with better-than-expected recoveries on specially serviced loans. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NASSAU 2019: Fitch Puts 'BBsf' Rating Under Criteria Observation ---------------------------------------------------------------- Fitch Ratings has placed the ratings of six publicly rated collateralized fund obligations (CFOs), or 13 classes of notes and facilities, Under Criteria Observation (UCO). These actions follow the conversion of Fitch's exposure draft "Exposure Draft: Collateralized Fund Obligations Rating Criteria" to final criteria on May 15, 2026. The UCO designation indicates that the existing ratings may change as a direct result of applying the new criteria. It does not indicate a change in the securities' underlying credit profiles, and not all designated ratings will necessarily change. Fitch expects to complete these reviews as soon as practicable, and no later than six months from the criteria release date. Each UCO review will consider changes in deal performance in addition to the application of the new criteria. Entity/Debt Rating Prior ----------- ------ ----- Astrea 7 Pte. Ltd. Class A-1 Bonds SGXF50246630 LT A+sf Under Criteria Observation A+sf Class A-2 Bonds XS2480766158 LT A+sf Under Criteria Observation A+sf Class B Bonds SGXF67664494 LT A-sf Under Criteria Observation A-sf Astrea 9 Pte. Ltd. A-1 SGXPN10C6170 LT A+sf Under Criteria Observation A+sf A-2 SGXPN10C6493 LT Asf Under Criteria Observation Asf B PIK XS3126630402 LT BBBsf Under Criteria Observation BBBsf Nassau 2019 CFO LLC Class A 63172DAA9 LT BBB+sf Under Criteria Observation BBB+sf Class B 63172DAB7 LT BBsf Under Criteria Observation BBsf Liquidity Loans LT A+sf Under Criteria Observation A+sf Astrea VI Pte. Ltd. Class B Bonds XS2308495360 LT A+sf Under Criteria Observation A+sf Astrea 8 Pte. Ltd. Class A-1 SGXPM06B2656 LT A+sf Under Criteria Observation A+sf Class A-2 SGXPM06BV5U6 LT Asf Under Criteria Observation Asf White Rose CFO 2023 Holdings, LLC Class A 96451WAA9 LT A-sf Under Criteria Observation A-sf KEY RATING DRIVERS Stressed Cash Flows Fitch has updated its cash flow stresses to a targeted asset-level distributions-to-paid-in-capital (DPI) approach, calibrated to confidence levels for each rating category. This replaces the quartile-based approach. Historical fund performance data is stressed to arrive at various rating stress levels in Fitch's Private Funds Model. Historical performance is measured using DPI. At each rating category, DPI is stressed at a specified confidence level: 90% for 'AA', 70% for 'A', and 55% for 'BBB'. Confidence level increases with each higher rating category, resulting in greater stress applied to each fund's DPI and, consequently, lower estimated periodic portfolio distributions and net asset value (NAV) appreciation (or greater NAV depreciation). For every rating stress and launch year, the relevant confidence level is used to determine the target DPI for each fund within the portfolio. The target DPI is calculated assuming a log-normal distribution of each cohort of funds, split by fund age and strategy, given the mean and standard deviation of the DPI. For rated CFO transactions, the updated rating stress levels typically result in a neutral to positive impact on modeling results and in some cases improve the Quantitative Rating Indications (QRI). Concentration and Correlation Haircuts Fitch has revised its fund concentration haircut approach and replaced the general partner haircut approach with a correlation haircut. Fitch applies haircuts to distributions received from concentrated fund positions in the CFO portfolio. A haircut is applied to any fund representing more than 10% of total portfolio exposure, calculated as the NAV plus total unfunded commitments. The haircut applied increases incrementally as the fund's exposure rises. Under the previous criteria, no credit was given in cash flow modeling to fund holdings above the 10% limit. In addition, under the latest criteria, Fitch will assess the correlation among those funds where exposure to funds managed by the same general partner (GP) and pursuing similar strategies exceeds 25% of total asset exposure. Previously, exposures to a single GP in otherwise diversified transactions were generally limited to 25% of total asset exposure; amounts above this would be capped at the rating of the GP. Now, a correlation haircut of generally 0%, 5%, or 10% of distributions will be applied, depending on the degree of correlation in the investment decision-making process of the GP. The correlation haircut is typically applied to exposures in excess of the 25% threshold. Fitch has also removed the GP rating cap for GP-concentrated transactions, unless the GP provides credit support. As a result, the haircuts applied to funds and GP concentration in Fitch's stressed cash flow analysis will change and may lead to stronger modeling results and improved QRI. Revision of Certain Concentration Limits Individual concentrated single-asset positions within a CFO will be capped at 3% of total exposure. This will most often apply to co-investments or single-asset continuation vehicles. Under the retired criteria, credit given to any one portfolio company representing more than 0.5% of a CFO's total exposure through a co-investment or direct investment was limited to 3% of total exposure, and 10% in aggregate for all such exposures. As a result, some CFOs with portfolios comprising these types of exposures will benefit from a smaller haircut to cash flow distributions under the new criteria, which may result in stronger modeling outcomes. CFOs Potentially Rated Above 'A+' Fitch typically applies an 'A+' rating cap to CFOs, reflecting the uncertainty associated with the non-contractual cash flows from the investments backing the notes. Under the latest criteria, Fitch may rate CFO transactions above 'A+', up to 'AA+', when the uncertainty associated with portfolio non-contractual cash flows is sufficiently mitigated by certain characteristics, including strong modeling results, a strong and well diversified portfolio, low loan to value, a positive assessment of the CFO manager, a structure consistent with structured finance principles, and strong liquidity. As a result, some CFO obligations may be rated above 'A+'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The key rating sensitivity for the resolution of the UCO status will be Fitch's completion of its analytical work reviewing the ratings under its new criteria. Existing rating sensitivities as defined in the latest rating action commentaries on each transaction continue to apply. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade See above. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY As the timing and size of the cash flows is uncertain, Fitch used historical private equity fund performance data from a well-known third-party data provider, which covers the performance of the various fund strategies and vintages ranging from 1990 to 2026, to model expected distributions, capital calls and NAVs of the private equity funds. ESG Considerations Not applicable NATL COMMERCIAL 2026-IND: Moody's Assigns (P)B2 Rating to HRR Certs ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to six classes of CMBS securities, to be issued by NATL Commercial Mortgage Trust 2026-IND, Commercial Mortgage Pass-Through Certificates, Series 2026-IND: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa2 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. HRR, Assigned (P)B2 (sf) RATINGS RATIONALE The certificates are collateralized by a first lien mortgage on the borrower's fee simple 55 industrial outdoor storage ("IOS") properties (each, an "IOS Property" and, collectively, the "IOS Properties") and 10 traditional warehouse / distribution industrial properties (each, an "Industrial Property" and, collectively, the "Industrial Properties"). As of May 04, 2026, the Portfolio is 94.4% leased (by NRA) with 27.9% of in-place gross rent attributed to investment grade rated tenants. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of both Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The 55 IOS Properties (53.9% of ALA; 56.4% of in-place NOI) encompass approximately 21.2 million SF (485.1 acres) of rentable land site and are 94.8% leased to 49 tenants with a WARLT of 4.8 years based on in-place base rent. They are located across 24 different markets, with the largest concentrations in Atlanta, GA (10 properties; 12.2% of ALA; 11.8% of Portfolio in-place NOI), Philadelphia, PA (nine properties; 11.0% of ALA; 11.5% of Portfolio in-place NOI), and Savannah, GA (two properties; 3.4% of ALA; 4.2% of Portfolio in-place NOI). The 10 Industrial Properties (46.1% of ALA; 43.6% of in-place NOI) encompass 4.1M SF and are 92.2% leased to eight tenants with a weighted average remaining lease term ("WARLT") of 4.8 years based on in-place base rent. They offer a weighted average ceiling clear height of ~33.6 feet, an average property size of ~412,821 SF (all 10 properties greater than 100K SF), and an average year built of 2007. They are also located across eight different markets, with the largest concentrations in Central Valley/LA, CA (one property; 16.0% of ALA; 13.6% of Portfolio in-place NOI), Columbus, OH (two properties; 13.3% of ALA; 14.4% of Portfolio in-place NOI), and Hampton Roads, VA (two properties; 5.7% of ALA; 5.0% of Portfolio in-place NOI). The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.31X and Moody's first mortgage actual stressed DSCR is 0.81X. Moody's DSCR is based on Moody's stabilized net cash flow. The whole loan first mortgage balance of $660,000,000 represents a Moody's LTV ratio of 110.9% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is also 110.9% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Inclusive the $75M of mezzanine financing, the total debt MLTV ratio (and adjusted MLTV ratio) is 123.6%. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The collateral's overall quality grade is 1.32. Notable strengths of the transaction include: geographic diversity, infill locations, IOS sector tailwinds, functionality characteristics, below market rents, tenant profile, multiple property pooling, and institutional quality sponsorship. Notable concerns of the transaction include: rollover risk, single-tenant concentration, IOS Properties' age, high Moody's loan-to value ("MLTV") ratio, floating-rate interest-only loan profile, and credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. NCF GRANTOR 2004-1: S&P Lowers Class A-2 Notes Rating to 'D (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered the ratings on three classes from National Collegiate Student Loan Trust 2004-1 (underlying trust) to 'D (sf)' as a result of the senior class A-4 notes and the subordinate class B-1 and B-2 notes failing to receive the timely payment of interest. As a result of the missed interest payments, the repackaged notes of the related NCF Grantor Trust 2004-1 also failed to receive the timely interest payments on two pass-through classes, and the ratings on them were also lowered to 'D (sf)'. Trust Performance The pool factor for the underlying trust in the latest servicer report (April 2026) was 0.86%. The historical impact of the poor collateral performance, as measured by high levels of realized cumulative net losses, has led to significant under-collateralization for all of the trusts. Based on the latest servicer report, the underlying trust's senior and total parity were 15.00% and 4.90%, respectively. Structural Features The reserve account for the underlying trust has been exhausted. The senior notes in the underlying trust benefit only from the subordination of the subordinate class notes. The transaction does not have a reprioritization trigger that would divert interest payments from the subordinate notes to support the senior notes. Rationale S&P said, "We received a March 20, 2026, event of default notice for the senior class A-4, which anticipated that the underlying trust would fail to pay interest on the upcoming distribution date. We subsequently observed in the servicer reports for March and April that the class A and B notes failed to receive the full amount of interest due and payable. Owing to the missed interest payments and severe under-collateralization, we have lowered our ratings to 'D (sf)'." S&P will continue to monitor the ongoing performance of this trust. Ratings Lowered National Collegiate Student Loan Trust 2004-1 Class A-4 to 'D (sf)' from 'CC (sf)' Class B-1 ARC to 'D (sf)' from 'CC (sf)' Class B-2 ARC to 'D (sf)' from 'CC (sf)' NCF Grantor Trust 2004-1 Class A-1 to 'D (sf)' from 'CC (sf)' Class A-2 to 'D (sf)' from 'CC (sf)' NYMT LOAN 2026-INV3: S&P Assigns Prelim B-(sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to NYMT Loan Trust 2026-INV3's mortgage-backed notes. The note issuance is an RMBS securitization backed by first‑lien, fixed‑ and adjustable‑rate, fully amortizing residential mortgage loans to both prime and nonprime borrowers (some with interest‑only periods). The loans are secured by single‑family residential properties, townhomes, planned‑unit developments, condominiums, two‑ to four‑family residential properties, and multifamily properties. The pool consists of 1,400 business‑purpose investment property loans (including 50 cross‑collateralized loans backed by 243 properties) which are all ability-to-repay exempt. One of the cross‑collateralized loans contains one parcel of land that was not given a loan balance or a property value; therefore, no credit was provided to this collateral in S&P's analysis. The preliminary ratings are based on information as of May 26, 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, and representation and warranty framework; -- The mortgage aggregator and reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. Preliminary Ratings Assigned(i)(ii) NYMT Loan Trust 2026-INV3 Class A-1, $90,180,000: AAA (sf) Class A-1A, $76,531,000: AAA (sf) Class A-1B, $13,669,000: AAA (sf) Class A-1FCF, $67,635,000: AAA (sf) Class A-1LCF, $22,545,000: AAA (sf) Class A-2, $19,426,000: AA (sf) Class A-3, $33,483,000: A (sf) Class M-1, $15,034,000: BBB (sf) Class B-1, $11,343,000: BB- (sf) Class B-2, $9,157,000: B- (sf) Class B-3, $4,510,181: NR Class A-IO-S, notional(iii): NR Class XS, notional(iii): NR Class R, not applicable: NR (i)The initial note balance of the class A-1LCF, A-1FCF, A-1A, and A-1B notes are subject to change and will be determined at the time of pricing provided that the aggregate initial note amount of the class A-1LCF, A-1FCF, A-1A, and A-1B notes will be equal to $180,380,000. (ii)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (iii)The notional amount will equal the aggregate state principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. OBRA CLO 4: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to Obra CLO 4 Ltd./Obra CLO 4 LLC's floating-rate debt. The debt issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Obra CLO Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. 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 Obra CLO 4 Ltd./Obra CLO 4 LLC Class A, $103.80 million: AAA (sf) Class A-1AL loans, $94.20 million: AAA (sf) Class A-1BL loans, $50.00 million: AAA (sf) Class B, $56.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $16.00 million: BB- (sf) Subordinated notes, $35.05 million: NR NR--Not rated. OBX 2026-HYB1: Moody's Assigns B2 Rating to Cl. B-2 Certs --------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 8 classes of residential mortgage-backed securities (RMBS) 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, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aa1 (sf) Cl. A-2, Definitive Rating Assigned Aa3 (sf) Cl. M-1, Definitive Rating Assigned A2 (sf) Cl. M-2, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Cl. B-2, Definitive Rating Assigned B2 (sf) Moody's are withdrawing the provisional ratings for Class A-1L Loans, assigned on May 13, 2026, because Class A-1L 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 0.33%, 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 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. OBX 2026-INV4: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 69 classes of residential mortgage-backed securities (RMBS) to be issued by OBX 2026-INV4 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of residential mortgages aggregated by Onslow Bay Financial LLC, and originated and serviced by multiple entities. The pool was originated primarily by Penny Mac Corp. and PennyMac Loan Services, LLC (together, 37.9% by loan balance), Fairway Independent Mortgage Corporation (11.9% by loan balance), Rocket Mortgage, LLC (11.4% by loan balance), and various other originators. PennyMac Loan Services, LLC, NewRez LLC d/b/a Shellpoint Mortgage Servicing ("Shellpoint"), and Select Portfolio Servicing, Inc are the servicers of the pool. Computershare Trust Company, N.A. is the master servicer. The complete rating actions are as follows: Issuer: OBX 2026-INV4 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-F, Assigned (P)Aaa (sf) Cl. A-F-X*, Assigned (P)Aaa (sf) Cl. A-F2, Assigned (P)Aaa (sf) Cl. A-F2-X*, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-X*, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-15*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aaa (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aaa (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aa1 (sf) Cl. A-X-25*, Assigned (P)Aaa (sf) Cl. A-X-26*, Assigned (P)Aaa (sf) Cl. A-X-27*, Assigned (P)Aa1 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-2A, Assigned (P)A3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) Cl. A-2A Loans, Assigned (P)Aaa (sf) Cl. A-3A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.78%, in a baseline scenario-median is 0.49% and reaches 7.39% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. OCTAGON 59: Moody's Cuts Rating on $23.5MM Class E Notes to B2 -------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Octagon 59, Ltd.: US$23,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to B2 (sf); previously on May 21, 2025 Downgraded to B1 (sf) Octagon 59, Ltd., issued in April 2022, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in May 2027. A comprehensive review of all credit ratings for the respective transactions(s) has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and spread compression observed in the underlying CLO portfolio. Based on Moody's calculations, the over-collateralization (OC) ratio for the Class E notes is currently 104.41%, versus May 2025 level of 106.41%. Furthermore, Moody's calculated weighted average spread (WAS) has been deteriorating and is currently 3.17%, compared to 3.46% in May 2025. No actions were taken on the Class A-1, Class A-2, Class B, 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: $480,246,243 Defaulted par: $387,174 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2868 Weighted Average Spread (WAS): 3.17% Weighted Average Recovery Rate (WARR): 45.61% Weighted Average Life (WAL): 5.25 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in this rating was "Collateralized Loan Obligations" published in 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. OHA CREDIT XI: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to OHA Credit Partners XI, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- OHA Credit Partners XI, Ltd. A-1-R2 67109FAU9 LT PIFsf Paid In Full AAAsf X-R3 LT AAAsf New Rating A-1 Loans LT AAAsf New Rating A-1-R3 LT AAAsf New Rating A-2-R2 67109FAW5 LT PIFsf Paid In Full AAAsf A-2-R3 LT AAAsf New Rating B-R3 LT AAsf New Rating C-R3 LT Asf New Rating D-1-R3 LT BBB-sf New Rating D-2-R3 LT BBB-sf New Rating E-R3 LT BB-sf New Rating Transaction Summary OHA Credit Partners XI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Oak Hill Advisors, L.P. The transaction originally closed in November 2015 and was first refinanced in November 2018 and refinanced again in May 2024. It will be fully refinanced for a third time on May 20, 2026. Net proceeds from the issuance of the refinancing notes, together with the existing subordinated notes, will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.66 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.13% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.37% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 46.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 weighted average life (WAL) used for the transaction stress portfolio and matrices is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R3 notes, between 'BBB+sf' and 'AA+sf' for class A-1-R3 debt, between 'BBB+sf' and 'AA+sf' for class A-2-R3 notes, between 'BB+sf' and 'A+sf' for class B-R3 notes, between 'Bsf' and 'BBB+sf' for class C-R3 notes, between less than 'B-sf' and 'BB+sf' for class D-1-R3 notes, between less than 'B-sf' and 'BB+sf' for class D-2-R3 notes, and between less than 'B-sf' and 'B+sf' for class E-R3 notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R3 notes, class A-1-R3 debt and class A-2-R3 notes as they are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3 notes, 'AAsf' for class C-R3 notes, 'Asf' for class D-1-R3 notes, 'A-sf' for class D-2-R3 notes, and 'BBB+sf' for class E-R3 notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for OHA Credit Partners XI, 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. OZLM XI: Moody's Withdraws Caa3 Rating on $10.5MM E-R Notes ----------------------------------------------------------- Moody's Ratings has withdrawn the rating on the following notes issued by OZLM XI, Ltd.: US$10,500,000 Class E-R Secured Deferrable Floating Rate Notes due 2030 (the "Class E-R Notes") (current balance of $2,784,471.91), Withdrawn (sf); previously on October 18, 2024 Affirmed Caa3 (sf) OZLM XI, Ltd. originally issued in March 2015 and refinanced in August 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in October 2022. RATINGS RATIONALE Moody's have decided to withdraw the rating(s) because Moody's believes Moody's have insufficient or otherwise inadequate information to support the maintenance of the rating(s). PEEBLES PARK: S&P Affirms BB- (sf) Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, and C-R debt from Peebles Park CLO Ltd./Peebles Park CLO LLC, a CLO managed by Blackstone CLO Management LLC that was originally issued in March 2024. At the same time, S&P withdrew its ratings on the previous class A, B-1, B-2, and C debt following payment in full on the May 22, 2026, refinancing date. S&P also affirmed its ratings on the existing class D and E debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 21, 2027. -- The reinvestment period was not extended. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were not extended. -- No additional assets were purchased on the May 22, 2026, refinancing date, and the target initial par amount remains at $600 million. There is no additional effective date or ramp-up period and the first payment date following the refinancing is July 21, 2026. -- The previous class B-1 and B-2 debt were combined into the replacement class B-R debt. -- The required minimum overcollateralization and interest coverage ratios were not amended. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-R, $376.00 million: Three-month CME term SOFR + 1.22% -- Class B-R, $80.00 million: Three-month CME term SOFR + 1.55% -- Class C-R (deferrable), $36.00 million: Three-month CME term SOFR + 1.90% Previous debt -- Class A, $384.00 million: Three-month CME term SOFR + 1.50% -- Class B-1, $48.00 million: Three-month CME term SOFR + 2.00% -- Class B-2, $24.00 million: 5.800% -- Class C (deferrable), $36.00 million: Three-month CME term SOFR + 2.40% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "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 Peebles Park CLO Ltd./Peebles Park CLO LLC Class A-R, $376.00 million: AAA (sf) Class B-R, $80.00 million: AA (sf) Class C-R (deferrable), $36.00 million: A (sf) Ratings Withdrawn Peebles Park CLO Ltd./Peebles Park CLO LLC Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Ratings Affirmed Peebles Park CLO Ltd./Peebles Park CLO LLC Class D (deferrable): BBB- (sf) Class E (deferrable): BB- (sf) Other Debt Peebles Park CLO Ltd./Peebles Park CLO LLC Subordinated notes, $59.35 million: NR NR--Not rated. PMT LOAN 2026-J3: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 44 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2026-J3, and sponsored by PennyMac Corp. The securities are backed by a pool of prime jumbo (67.1% by balance) and GSE-eligible (32.9% by balance) residential mortgages aggregated by PennyMac Corp., originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-J3 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-23X*, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-24X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aaa (sf) Cl. A-X2*, Assigned (P)Aaa (sf) Cl. A-X4*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X8*, Assigned (P)Aaa (sf) Cl. A-X10*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X14*, Assigned (P)Aaa (sf) Cl. A-X16*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X20*, Assigned (P)Aa1 (sf) Cl. A-X22*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.38%, in a baseline scenario-median is 0.18% and reaches 5.08% 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. PRPM 2026-RCF3: Fitch Assigns 'BB-(EXP)sf' Rating on Class M2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to PRPM 2026-RCF3, LLC (PRPM 2026-RCF3). Entity/Debt Rating ----------- ------ PRPM 2026-RCF3 A1 LT AAA(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating A3 LT A-(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating M2 LT BB-(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating CERT LT NR(EXP)sf Expected Rating Transaction Summary The PRPM 2026-RCF3, LLC notes are supported by 954 loans with a balance of $254.71 million as of the cutoff date. This will be the 13th PRPM RCF transaction to be rated by Fitch and the third RCF transaction of 2026. The transactions is expected to close on May 21, 2026. The notes are secured by a pool of recently originated and seasoned, fixed-rate and adjustable-rate, fully amortizing, interest-only performing and reperforming mortgage secured by senior and second liens on generally single family residential properties, planned unit developments, condominiums, two-to-four family residential properties, multiple properties, cooperative shares, manufactured housing, townhouses and a five-to-ten unit multi-family property. Based on the transaction documents, 83.1% of the pool loans represent collateral with a defect or exception to guidelines that precludes the loans from a government-sponsored enterprise (GSE) pool (scratch and dent [S&D]). The remaining loans are reperforming loans (RPLs) (10.3%), ITIN loans (5.2%), or non-QM (1.5%). The loans were originated by various originators, with no originator contributing more than 10% to the pool. Following the servicing transfer, which will take place on or before 45 days after the closing date, SN Servicing Corp. (SNSC), rated 'RSS3' by Fitch, will service 88.3%of the loans; Fay Servicing, rated 'RSS2' by Fitch, will service 6.2%; and Newrez LLC dba Shellpoint Mortgage Servicing, rated 'RSS2+' by Fitch, will service 5.5%. A vast majority of the loans adhere to QM rules or are exempt from the rules. Only 1.5% are non-QM loans. Fitch did not adjust the QM status in its analysis under the revised "U.S. RMBS Rating Criteria." The offered A and M notes are fixed rate and capped at available funds. The B note is a principal-only (PO) bond and is not entitled to interest. Similar to non-QM transactions, classes A and M have a step-up coupon feature that is triggered if the deal is not called in May 2030. Fitch was only asked to rate class A-1, A-2, A-3, M-1 and M-2 notes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality Mortgage Assets (Negative): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The borrowers in this pool have relatively strong credit profiles with a weighted average (WA) original FICO score of 740, current WA FICO of 722 and a Fitch-determined debt-to-income ratio (DTI) of 38.9%. The borrowers also have moderate leverage, with an original combined loan-to-value ratio (cLTV), as determined by Fitch, of 81.7% (79.58% is the cLTV in the transaction documents), translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 79.2%. Of the loans in the pool, 83.1% are considered S&D, 10.2% are RPLs or seasoned performing, 5.2% are ITIN loans and 1.5% are seasoned non-QM loans. A majority of the loans are fully documented, but 25% are less than full documentation (bank statement, DSCR or other). PRPM 2026-RCF3 has a final probability of default (PD) of 46.10% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 53.50%. The expected loss in the 'AAAsf' rating stress is 24.67%. Structural Analysis (Mixed): The transaction utilizes a sequential-payment structure with no advancing of delinquent (DQ) principal or interest. There is overcollateralization and subordination to protect the rated classed from losses should they occur. The transaction also includes a structural feature where it reallocates interest from the more junior classes to pay principal on the more senior classes on or after the occurrence of a credit event. The amount of interest paid out as principal to the more senior classes is added to the balance of the affected junior classes. This feature allows for a faster paydown of the senior classes. An offset to the positive feature of the sequential structure is that the transaction will not write down the bonds due to potential losses or undercollateralization. In periods of adverse performance, the subordinate bonds will continue to be paid interest, at the expense of principal payments that otherwise would support the more senior bonds; in a more traditional structure, the subordinate bonds would be written down and accrue a smaller amount of interest. The potential for increasing amounts of undercollateralization is partially mitigated by reallocation of available funds after a credit event. The servicers will not be advancing DQ monthly payments of principal and interest (P&I). As P&I advances made on behalf of loans that become DQ and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS is less in this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure that timely interest will be paid to the 'AAAsf' rated classes and that ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on DQ loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. In this structure, interest payments and fees are paid from the interest waterfall prior to the occurrence of a credit event. The principal waterfall will pay any current and unpaid accrued interest amounts to the classes prior to principal being paid sequentially, starting with the A-1 class prior to the occurrence of a credit event. On and after the occurrence of a credit event, fees will be paid out of available funds; after the fees are paid, interest and principal will be paid out of available funds with interest still being prioritized in the structure over the payment of principal. Coupons on the notes are based on the lower of the available funds cap (AFC) and the stated coupon. If the AFC is paid, it is considered a coupon cap shortfall (interest shortfall) and the coupon cap shortfall amount is the difference between interest that was paid (per the AFC) and what should have been paid based on the stated coupon. If the transaction is not called on the expected redemption date (May 2030), the coupons step up 100bps. Class B and the certificate class will be issued as PO bonds and will not accrue interest. The transaction has overcollateralization (OC), which will provide subordination and protect the classes from losses. This is in addition to subordination provided by the structure. Classes will not be written down by realized losses, as a result, the transaction will become under-collateralized if the OC is depleted. Operational Risk Analysis (Negative): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. For S&D transactions, credit is not given to loans with a due diligence grade of "A" or "B" since these loans have a material defect. The loans are penalized for having "C" and "D" grades. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects PRPM 2026-RCF3 to be fully de-linked and 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 PRPM 2026-RCF3, 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 37.64%, 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) by the following TPR firms, Consolidated Analytics, Canopy, Clarifii, Infinity, SitusAMC and Selene Each of these TPR firms are assessed as an acceptable TPR firm by Fitch. The third-party due diligence described in these Form 15Es focused on regulatory compliance, credit, valuation, data integrity, payment history, servicing comment review, modification and title/lien review, as applicable to each TPR's scope of review. A title/lien review was conducted on the seasoned loans in the pool. Fitch also received servicer confirmations that the lien status and payment history in the loan tape were accurate per their records. U.S. Bank National Association and Computershare conducted the custodial reviews. Fitch incorporated the due diligence results into its analysis. Based on 100% due diligence coverage of the pool, Fitch raised loss expectations on loans with grades of 'C' or 'D' that had material findings. These material findings consisted of missing HUD-1s, ATR Risk loans, loans with potential fraud issue, loan with material repairs needed, loans with state regulation violations in New York, Georgia or Texas that also had other compliance findings, underwriting defects involving documentation issues and underwriting defects involving occupancy issues. Fitch increased the loss severity and or probability of default on these loans to address these findings. Fitch considered this information in its analysis and, as a result, the losses increased. 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 Consolidated Analytics, Canopy, Clarifii, Infinity, SitusAMC and Selene to perform the reviews. The third-party due diligence described in these Form 15Es focused on regulatory compliance, credit, valuation, data integrity, payment history, servicing comment review, modification and title/lien review, as applicable to each TPR's scope of review. The sponsor engaged the third-party review firms to perform the review. Loans were assigned initial and final compliance grades (100% of the pool) under the review scope. The sponsor also engaged TPRs to conduct a title review/lien search. U.S Bank National Association and Computershare conducted the custodial reviews. The servicers confirmed the lien position for each loan and that the payment history provided in the loan tape was accurate. Fitch also received notes on exceptions based on the post-close quality control (QC) performed by the GSEs the S&D portion of the pool. The GSE post-close QC consisted of a review of compliance, credit, and valuations. Fitch considers the scope of the GSE's credit and valuation post-close QC consistent with rating agency standards. As a result, Fitch used the GSE's post-close credit and valuation QC for the non-seasoned loans in the pool since the scope is consistent with Fitch's criteria. Fitch took these notes from the GSE post-close QC into account during its analysis of the transaction. Seasoned loans do not require a credit/valuation TPR review, per Fitch's criteria. Fitch viewed this as acceptable given the loan level R&Ws in the transaction, the conservative assumptions Fitch used in its loss analysis and because compliance due diligence was performed on the loans. Using a sample of loans is acceptable for due diligence review, per Fitch's criteria. TPR also performed a review of the payment history, a servicer comment review, and a title/lien review, all of which are consistent with Fitch's criteria. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that some of the exceptions and waivers do materially affect the overall credit risk of the loans, and it increased its loss expectations on these loans to account for the issues found in the due diligence process on the loans that are considered to have material findings. For the remaining loans, Fitch did not consider the exceptions (if any) to be material due to the presence of compensating factors, such as having liquid reserves, a FICO above guideline requirements or LTVs or DTIs below guideline requirements. Therefore, no adjustments were needed to compensate for these occurrences on the non-scratch and dent loans. 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 were 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. PRPM 2026-RCF3: Fitch Assigns 'BB-sf' Final Rating on Cl. M2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to PRPM 2026-RCF3, LLC (PRPM 2026-RCF3). Entity/Debt Rating Prior ----------- ------ ----- PRPM 2026-RCF3 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf A3 LT A-sf New Rating A-(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf M2 LT BB-sf New Rating BB-(EXP)sf B LT NRsf New Rating NR(EXP)sf CERT LT NRsf New Rating NR(EXP)sf Transaction Summary The PRPM 2026-RCF3, LLC notes are supported by 954 loans with a balance of $254.71 million as of the cutoff date. This will be the 13th PRPM RCF transaction to be rated by Fitch and the third RCF transaction of 2026. The notes are secured by a pool of recently originated and seasoned, fixed-rate and adjustable-rate, fully amortizing, interest-only performing and reperforming mortgage secured by senior and second liens on generally single family residential properties, planned unit developments, condominiums, two-to-four family residential properties, multiple properties, cooperative shares, manufactured housing, townhouses and a five-to-ten unit multi-family property. Based on the transaction documents, 83.1% of the pool loans represent collateral with a defect or exception to guidelines that precludes the loans from a government-sponsored enterprise (GSE) pool (scratch and dent [S&D]). The remaining loans are reperforming loans (RPLs) (10.3%), ITIN loans (5.2%), or non-QM (1.5%). The loans were originated by various originators, with no originator contributing more than 10% to the pool. Following the servicing transfer, which will take place on or before 45 days after the closing date, SN Servicing Corp. (SNSC), rated 'RSS3' by Fitch, will service 88.3%of the loans; Fay Servicing, rated 'RSS2' by Fitch, will service 6.2%; and Newrez LLC dba Shellpoint Mortgage Servicing, rated 'RSS2+' by Fitch, will service 5.5%. A vast majority of the loans adhere to QM rules or are exempt from the rules. Only 1.5% are non-QM loans. Fitch did not adjust the QM status in its analysis under the revised "U.S. RMBS Rating Criteria." The offered A and M notes are fixed rate and capped at available funds. The B note is a principal-only (PO) bond and is not entitled to interest. Similar to non-QM transactions, classes A and M have a step-up coupon feature that is triggered if the deal is not called in May 2030. Fitch was only asked to rate class A-1, A-2, A-3, M-1 and M-2 notes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality Mortgage Assets (Negative): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The borrowers in this pool have relatively strong credit profiles with a weighted average (WA) original FICO score of 740, current WA FICO of 722 and a Fitch-determined debt-to-income ratio (DTI) of 38.9%. The borrowers also have moderate leverage, with an original combined loan-to-value ratio (cLTV), as determined by Fitch, of 81.7% (79.58% is the cLTV in the transaction documents), translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 79.2%. Of the loans in the pool, 83.1% are considered S&D, 10.2% are RPLs or seasoned performing, 5.2% are ITIN loans and 1.5% are seasoned non-QM loans. A majority of the loans are fully documented, but 25% are less than full documentation (bank statement, DSCR or other). PRPM 2026-RCF3 has a final probability of default (PD) of 46.10% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 53.50%. The expected loss in the 'AAAsf' rating stress is 24.67%. Structural Analysis (Mixed): The transaction utilizes a sequential-payment structure with no advancing of delinquent (DQ) principal or interest. There is overcollateralization and subordination to protect the rated classed from losses should they occur. The transaction also includes a structural feature where it reallocates interest from the more junior classes to pay principal on the more senior classes on or after the occurrence of a credit event. The amount of interest paid out as principal to the more senior classes is added to the balance of the affected junior classes. This feature allows for a faster paydown of the senior classes. An offset to the positive feature of the sequential structure is that the transaction will not write down the bonds due to potential losses or undercollateralization. In periods of adverse performance, the subordinate bonds will continue to be paid interest, at the expense of principal payments that otherwise would support the more senior bonds; in a more traditional structure, the subordinate bonds would be written down and accrue a smaller amount of interest. The potential for increasing amounts of undercollateralization is partially mitigated by reallocation of available funds after a credit event. The servicers will not be advancing DQ monthly payments of principal and interest (P&I). As P&I advances made on behalf of loans that become DQ and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS is less in this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure that timely interest will be paid to the 'AAAsf' rated classes and that ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on DQ loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. In this structure, interest payments and fees are paid from the interest waterfall prior to the occurrence of a credit event. The principal waterfall will pay any current and unpaid accrued interest amounts to the classes prior to principal being paid sequentially, starting with the A-1 class prior to the occurrence of a credit event. On and after the occurrence of a credit event, fees will be paid out of available funds; after the fees are paid, interest and principal will be paid out of available funds with interest still being prioritized in the structure over the payment of principal. Coupons on the notes are based on the lower of the available funds cap (AFC) and the stated coupon. If the AFC is paid, it is considered a coupon cap shortfall (interest shortfall) and the coupon cap shortfall amount is the difference between interest that was paid (per the AFC) and what should have been paid based on the stated coupon. If the transaction is not called on the expected redemption date (May 2030), the coupons step up 100bps. Class B and the certificate class will be issued as PO bonds and will not accrue interest. The transaction has overcollateralization (OC), which will provide subordination and protect the classes from losses. This is in addition to subordination provided by the structure. Classes will not be written down by realized losses, as a result, the transaction will become under-collateralized if the OC is depleted. Operational Risk Analysis (Negative): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. For S&D transactions, credit is not given to loans with a due diligence grade of "A" or "B" since these loans have a material defect. The loans are penalized for having "C" and "D" grades. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects PRPM 2026-RCF3 to be fully de-linked and 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 PRPM 2026-RCF3, 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 37.64%, 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) by the following TPR firms, Consolidated Analytics, Canopy, Clarifii, Infinity, SitusAMC and Selene Each of these TPR firms are assessed as an acceptable TPR firm by Fitch. The third-party due diligence described in these Form 15Es focused on regulatory compliance, credit, valuation, data integrity, payment history, servicing comment review, modification and title/lien review, as applicable to each TPR's scope of review. A title/lien review was conducted on the seasoned loans in the pool. Fitch also received servicer confirmations that the lien status and payment history in the loan tape were accurate per their records. U.S. Bank National Association and Computershare conducted the custodial reviews. Fitch incorporated the due diligence results into its analysis. Based on 100% due diligence coverage of the pool, Fitch raised loss expectations on loans with grades of 'C' or 'D' that had material findings. These material findings consisted of missing HUD-1s, ATR Risk loans, loans with potential fraud issue, loan with material repairs needed, loans with state regulation violations in New York, Georgia or Texas that also had other compliance findings, underwriting defects involving documentation issues and underwriting defects involving occupancy issues. Fitch increased the loss severity and or probability of default on these loans to address these findings. Fitch considered this information in its analysis and, as a result, the losses increased. 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 Consolidated Analytics, Canopy, Clarifii, Infinity, SitusAMC and Selene to perform the reviews. The third-party due diligence described in these Form 15Es focused on regulatory compliance, credit, valuation, data integrity, payment history, servicing comment review, modification and title/lien review, as applicable to each TPR's scope of review. The sponsor engaged the third-party review firms to perform the review. Loans were assigned initial and final compliance grades (100% of the pool) under the review scope. The sponsor also engaged TPRs to conduct a title review/lien search. U.S Bank National Association and Computershare conducted the custodial reviews. The servicers confirmed the lien position for each loan and that the payment history provided in the loan tape was accurate. Fitch also received notes on exceptions based on the post-close quality control (QC) performed by the GSEs the S&D portion of the pool. The GSE post-close QC consisted of a review of compliance, credit, and valuations. Fitch considers the scope of the GSE's credit and valuation post-close QC consistent with rating agency standards. As a result, Fitch used the GSE's post-close credit and valuation QC for the non-seasoned loans in the pool since the scope is consistent with Fitch's criteria. Fitch took these notes from the GSE post-close QC into account during its analysis of the transaction. Seasoned loans do not require a credit/valuation TPR review, per Fitch's criteria. Fitch viewed this as acceptable given the loan level R&Ws in the transaction, the conservative assumptions Fitch used in its loss analysis and because compliance due diligence was performed on the loans. Using a sample of loans is acceptable for due diligence review, per Fitch's criteria. TPR also performed a review of the payment history, a servicer comment review, and a title/lien review, all of which are consistent with Fitch's criteria. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that some of the exceptions and waivers do materially affect the overall credit risk of the loans, and it increased its loss expectations on these loans to account for the issues found in the due diligence process on the loans that are considered to have material findings. For the remaining loans, Fitch did not consider the exceptions (if any) to be material due to the presence of compensating factors, such as having liquid reserves, a FICO above guideline requirements or LTVs or DTIs below guideline requirements. Therefore, no adjustments were needed to compensate for these occurrences on the non-scratch and dent loans. 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 were 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. RCKT MORTGAGE 2026-CES5: Fitch Assigns Bsf Rating on Five Tranches ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by RCKT Mortgage Trust 2026-CES5 (RCKT 2026-CES5). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2026-CES5 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 M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A4 LT AAsf New Rating AA(EXP)sf A5 LT Asf New Rating A(EXP)sf A6 LT BBBsf New Rating BBB(EXP)sf B1A LT BBsf New Rating BB(EXP)sf BX1A LT BBsf New Rating BB(EXP)sf B1B LT BBsf New Rating BB(EXP)sf BX1B LT BBsf New Rating BB(EXP)sf B2A LT Bsf New Rating B(EXP)sf BX2A LT Bsf New Rating B(EXP)sf B2B LT Bsf New Rating B(EXP)sf BX2B LT Bsf New Rating B(EXP)sf XS LT NRsf New Rating NR(EXP)sf A1L LT WDsf Withdrawn AAA(EXP)sf R LT NRsf New Rating NR(EXP)sf LTR LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 5,722 closed-end second lien (CES) loans with a total balance of approximately $545.2 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or cover net weighted average coupon (WAC) shortfalls. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the class A-1L loans as they were not funded at closing and are not being offered. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RCKT 2026-CES5 has a final probability of default (PD) of 19.0% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 98.3%. The expected loss in the 'AAAsf' rating stress is 18.7%. Structural Analysis: The mortgage cash flow and loss allocation in RCKT 2026-CES5 are based on a sequential-payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal — first, to repay any current or previously allocated cumulative applied realized losses and, second, to repay potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 25.0% of the loans in the transaction by loan count. Fitch applies a 5% probability of default reduction for loans fully reviewed by a third-party review firm, which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects RCKT 2026-CES5 to be fully de-linked and a bankruptcy-remote special purpose vehicle. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to RCKT 2026-CES5 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 38.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch received Form ABS Due Diligence-15E (Form 15E), prepared by SitusAMC and Consolidated Analytics. The third-party due diligence described in Form 15E covered credit, compliance, and property valuation reviews. Fitch considered the results of this review in its analysis and, accordingly, applied an approximately 5% origination PD credit to loans that were fully reviewed by the third-party review firm and assigned a final grade of A or B. Third-party due diligence was performed on 25.0% of the transaction's loans by loan count and all reviewed loans received a grade of A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. REALT 2015-1: DBRS Hikes Rating on Class G Debt From Bsf -------------------------------------------------------- DBRS Limited (Morningstar DBRS) upgraded the credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2015-1 issued by Real Estate Asset Liquidity Trust (REALT) Series 2015-1 as follows: -- Class G to AA (sf) from B (sf) In addition, Morningstar DBRS discontinued its credit rating on Class X, given that interest payments have not been received since August 2025. Morningstar DBRS also changed the trend on Classes G to Positive from Stable. CREDIT RATING ACTION RATIONALE --The credit rating upgrade and Positive trend reflects Morningstar DBRS' favorable outlook for the transaction, supported by the recoverability expectations for the remaining loan group in the pool, U-Haul SAC 3 Portfolio. The transaction has experienced significant deleveraging since issuance, and performance of the underlying collateral backing the remaining loans continues to be stable. POOL/COLLATERAL OVERVIEW -- Since Morningstar DBRS' prior credit rating action in June 2025, three loans have repaid in full, resulting in a total collateral reduction of 97.9% since issuance, as of the April 2026 reporting. -- The U-Haul SAC 3 Portfolio is secured by 10 individual loans backed by self-storage properties across Ontario that are crosscollateralized and crossdefaulted. The subject loan is structured on a pari passu basis, with the A-2 component securitized in this transaction and the remaining balance securitized in the Institutional Mortgage Securities Canada Inc., Series 2015-6 transaction, which is also rated by Morningstar DBRS. -- At issuance, the whole-loan balance totaled $31.5 million. As of the April 2026 remittance, the whole-loan balance has been reduced to $17.4 million, with $7.0 million allocated to the subject transaction. The loan had an initial 20-year term (maturing in January 2035), and is fully amortizing over a 20-year period, effectively eliminating refinance risk. -- As of the most recent financial reporting, the portfolio continues to perform well, reporting a weighted-average (WA) occupancy rate of 90% with the underlying loans' reporting a WA debt service coverage ratio of 2.6 times. -- At issuance, Morningstar DBRS shadow-rated the U-Haul SAC 3 Portfolio loan as investment grade. With this review, Morningstar DBRS confirms that the performance of the loan remains consistent with investment-grade loan characteristics. ANALYTICAL CONSIDERATIONS -- As the transaction continues to wind down, Morningstar DBRS conducted a recoverability analysis, the results of which indicate that the remaining 10 loans are generally well positioned to repay at their respective maturity dates. -- The balance of the Class G Certificate has been reduced to approximately $740,000. The remaining loans in the pool are contributing approximately $50,000 of principal to the trust on a monthly basis, suggesting that, as the loans continue to amortize, the Class G Certificate is likely to be fully repaid within the next 18 months (given no material adverse changes). -- In addition, the Class G Certificate is supported by approximately $6.3 million of subordination from the nonrated Class H Certificate below it in the capital stack. -- The factors outlined above form Morningstar DBRS' primary rationale for the credit rating upgrade with this review. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. SANTANDER MORTGAGE 2026-NQM4:S&P Assigns B(sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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. S&P said, "Following our preliminary ratings assignment on May 14, 2026, the sponsor removed the class A-1FCF and A-1LCF notes and reallocated those balances to the class A-1A and A-1B notes and the associated exchange class A-1 notes, maintaining the subordination credit enhancement. The class B-1 notes were priced at a net weighted average coupon (WAC) rate. After analyzing the final coupons and updated structure, our ratings remain unchanged from the preliminary assignment." The 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." Ratings Assigned(i) Santander Mortgage Asset Receivable Trust 2026-NQM4 Class A-1, $209,050,000: AAA (sf) Class A-1A, $180,074,000: AAA (sf) Class A-1B, $28,976,000: 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, N/A: NR (i)The 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. N/A--Not applicable. NR--Not rated. SCULPTOR CLO XXXII: S&P Assigns Prelim Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-2-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R debt from Sculptor CLO XXXII Ltd./Sculptor CLO XXXII LLC, a CLO managed by Sculptor CLO Advisors LLC that was originally issued in April 2024. The preliminary ratings are based on information as of May 27, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 4, 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-1, B-2, C, D-1, D-2, and E debt and assign ratings to the replacement class A-1-R, A-2-R, B-R, C-1-R, C-2-R, D-1-R, D-2-R, 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-1-R, A-2-R, B-R, C-1-R, D-1-R, D-2-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class B-R debt is expected to be issued at a floating spread, replacing the current floating spread class B-1 and fixed coupon class B-2 debt. -- The floating spread class C-1-R and fixed-rate C-2-R debt are expected to replace the current floating spread class C debt. -- The non-call period will be extended to June 4, 2028. -- The reinvestment period will be extended to April 30, 2031. -- The legal final maturity date for the replacement debt and the existing subordinated notes will be extended to April 30, 2039. -- No additional assets will be purchased on the June 4, 2026, refinancing date, and the target initial par amount will remain at $400,000,000. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 30, 2026. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Sculptor CLO XXXII Ltd./Sculptor CLO XXXII LLC Class A-1-R, $252.00 million: AAA (sf) Class A-2-R, $12.00 million: AAA (sf) Class B-R, $40.00 million: AA (sf) Class C-1-R (deferrable), $17.00 million: A (sf) Class C-2-R (deferrable), $7.00 million: A (sf) Class D-1-R (deferrable), $20.00 million: BBB (sf) Class D-2-R (deferrable), $8.00 million: BBB- (sf) Class E-R (deferrable), $10.00 million: BB- (sf) Other Debt Sculptor CLO XXXII Ltd./Sculptor CLO XXXII LLC Subordinated notes, $42.39 million: NR NR--Not rated. SFAVE COMMERCIAL 2015-5AVE: S&P Affirms 'BB-' Rating on D Certs --------------------------------------------------------------- S&P Global Ratings affirmed its ratings on seven classes of commercial mortgage pass-through certificates from SFAVE Commercial Mortgage Securities Trust 2015-5AVE, a U.S. CMBS transaction. At the same time, S&P removed the seven ratings from CreditWatch with negative implications where they were initially placed on March 2, 2026. This is a U.S. stand-alone (single borrower) CMBS transaction backed by a $1.25 billion, 20-year, 4.39% fixed rate per annum, interest-only (IO) mortgage loan (as of the May 7, 2026, trustee remittance report). The loan, which matures on Jan. 1, 2035, is secured by the borrower's leased fee interest in the land underneath the landmark, 655,238-sq.-ft. 12-story, Saks Fifth Avenue flagship retail store located at 611 Fifth Avenue in Manhattan and the rights under the triple-net, 99-year ground lease agreement with the leasehold owner, who owns the property that sits atop the land. Rating Actions S&P said, "The affirmations on the class A-1, A-2A, A-2B, B, C, and D certificates and the removal of the ratings from CreditWatch with negative implications primarily reflect our view that concerns regarding reduced liquidity and recoveries to the bondholders have somewhat waned. This assessment is based on our correspondence with the special servicer, discussions with representatives of the parent company of the borrower, Saks Global Enterprises LLC, and our review of updated bankruptcy documents." Specifically, according to the restructuring plan--which has yet to be approved by creditors and was filed in April 2026--the borrower does not intend to change the terms of the underlying ground lease or loan in the transaction. To date, the borrower has remained current on its debt service payments. At this time, S&P maintained its net recovery value of $1.4 billion that S&P derived in its last review on March 2, 2026. S&P said, "The affirmation on the class X-A IO certificates reflects our criteria for rating IO securities, in which the rating on the IO security would not be higher than that of the lowest-rated reference class. The notional balance of the class X-A certificates references classes A-1, A-2A, and A-2B. "In our March 2026 review, we lowered our ratings on six classes due to our revised lower net recovery value and our view that liquidity and net recoveries to the bondholders may be reduced as a result of the bankruptcy filings in mid-January 2026. We also placed seven ratings on CreditWatch with negative implications because of our concern that the uncertainty surrounding the bankruptcy proceedings may result in a further reduction in liquidity and recoveries for bondholders." Since then, Saks Global has received a court-approved $500 million financing package to support its operations and boost its liquidity profile. In addition, on April 27, 2026, the company filed its Chapter 11 restructuring plan, which includes, among other items, the intent to reinstate the trust loan. On May 1, 2026, the bankruptcy court approved its disclosure statement, allowing Saks Global to send its reorganization plan to creditors, who are expected to vote on June 1, 2026. A court hearing is scheduled for June 5, 2026. If the plan is approved, the company expects to emerge from bankruptcy as early as summer 2026. The special servicer indicated that it is currently evaluating Saks Global's proposals to cure the various events of default under the mortgage loan agreement. S&P said, "We will continue to monitor the bankruptcy proceedings, as well as the workout strategy and timing of the specially serviced transfer. If we receive information regarding the bankruptcy plan or workout strategy that substantially differs from our expectations --particularly if it negatively affects the transaction's liquidity or recovery--we may revisit our analysis and take additional rating actions as we deem appropriate." Ratings Affirmed And Removed From CreditWatch Negative SFAVE Commercial Mortgage Securities Trust 2015-5AVE Class A-1 to 'A- (sf)' from 'A- (sf)/Watch Neg' Class A-2A to 'A+ (sf)' from 'A+ (sf)/Watch Neg' Class A-2B to 'A- (sf)' from 'A- (sf)/Watch Neg' Class B to 'BBB- (sf)' from 'BBB- (sf)/Watch Neg' Class C to 'BB (sf)' from 'BB (sf)/Watch Neg' Class D to 'BB- (sf)' from 'BB- (sf)/Watch Neg' Class X-A to 'A- (sf)' from 'A- (sf)/Watch Neg' SPLITERO TRUST 2026-1: DBRS Assigns (P)B Rating on 2 Tranches ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Asset-Backed Securities, Series 2026-1 (the Notes) to be issued by Splitero Trust 2026-1 as follows: -- $202.6 million Class A-1 at (P) A (low) (sf) -- $56.8 million Class A-2 at (P) BBB (low) (sf) -- $259.4 million Class A at (P) BBB (low) (sf) -- $15.6 million Class B-1 at (P) BB (sf) -- $20.8 million Class B-2 at (P) B (sf) -- $295.8 million Class PT at (P) B (sf) The (P) A (low) (sf) credit rating reflects credit enhancement of 31.5% for Class A-1, the (P) BBB (low) (sf) credit rating reflects credit enhancement of 12.3% for Class A-2, the (P) BB (sf) credit rating reflects credit enhancement of 7.0% for Class B-1, and the (P) B (sf) credit rating reflects credit enhancement of 0.0% for Class B-2. Classes A and PT are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home equity investments (HEIs) allow homeowners access to the equity in their homes without having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). A homeowner receives an upfront cash payment (an advance or an investment payment) in exchange for giving an investor (i.e., an originator) a stake in their property. The homeowner retains sole right of occupancy of the property and pays all upkeep and expenses during the term of the HEI, but the originator earns an investment return based on the future value of the property, typically subject to a returns cap. Like reverse mortgage loans, the HEI underwriting approach is asset based, meaning greater emphasis is placed on the value of the underlying property and the amount of home equity than on the credit quality of the homeowner. The property value is the main focus for predicting investment returns because it is the primary source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation, a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the advance and any originator return is driven by the structure of the agreement, the amount of appreciation/depreciation on the property, the amount of debt that may be senior to the HEI, and the cap on investor return. As of the cut-off date, the collateral consists of approximately $295.8 million in current exercise value from 2,246 nonrecourse HEI agreements secured by first, second, and third liens on single-family residences. All of the contracts in the asset pool were originated between 2024 and 2026. Of the pool, 224 contracts in the transaction are first-lien contracts, representing roughly $24.2 million in current exercise value; 1,893 are second-lien contracts, representing roughly $251.8 million in current exercise value; and 129 are third-lien contracts, representing roughly $19.8 million in current exercise value. Of the pool, 8.18% of the contracts are in first-lien position and have a weighted-average (WA) multiple share rate of 2.00 times (x), 85.13% are second-lien contracts and have a WA multiple share rate of 2.00x, and 6.68% of the pool are third-lien contracts with a WA multiple share rate of 2.00x. This brings the entire transaction's WA multiple share rate to 2.00x. To better understand the impact and mechanics of exchange rates, please see the example in the Contract Mechanics--Worked Example section of the related presale report. The original unadjusted loan-to-value ratio (LTV) of the pool is 36.81% (i.e., of senior liens ahead of the contracts). At cut-off, the pool had a WA investment amount (option to value; OTV) of 20.91%, and a WA option LTV (i.e., option plus senior lien) of 57.64%. The transaction uses a sequential structure. For cash distributions that are paid prior to the occurrence of a trigger event, payments are first made to the Interest Amounts and any Interest Carryover on the Class A-1, Class A-2 (prior to the occurrence of a Class A-2 trigger event), Class B-1 (prior to the occurrence of a Class B-1 trigger event), and Class B-2 (prior to the occurrence of a Class B-2 trigger event) Notes. Payments are then made to the Note Amount of Class A-1 until such notes are paid off. With respect to Class A-2, Class B-1, and Class B-2 notes, payments are then made to Note Amount until Note Amount of the Class A-2, Class B-1, and Class B-2 notes are paid off with an amount up to the amount of Net Sale Proceeds (if any) that was included in the total Available Funds on such Payment Date in sequential order. If a Class A-2 trigger event, Class B-1 trigger event, or Class B-2 trigger event occurs, payments of interest that would go to the Class A-2, Class B-1, and B-2 notes will instead be redirected first to the Advance Facility Provider, followed by principal to the Class A-1 notes until reduced to zero. For cash distributions that are paid after the occurrence of a trigger event, payments are first made to the Interest Amounts and any Interest Carryover on Class A-1 notes. In the event that the Class A-1 notes have not been redeemed or paid in full, on or after the Expected Redemption Date, the A-2 notes Accrual Amount would be paid first to Class A-1 notes until its paid off and then as Additional Accrued Amounts to Class A-1 notes, until such amounts have been reduced to zero. If the Class A-1 notes have been redeemed or paid in full prior to the Redemption Date, payments are made to the Interest Amounts and any unpaid Interest Carryover on Class A-2 notes. The Class B-1 and B-2 notes are accrual notes and will not be entitled to any payments of principal until Class A-1 and Class A-2 are paid down along with their respective Additional Accrued Amounts that have accrued but were previously unpaid. With respect to the Class A-1 notes, payments are first made to the Note Amount until such amounts are reduced to zero and then to the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until such amounts are reduced to zero on Class A-1 notes. The Class A-2 notes are then paid their respective Note Amount until it's paid off and the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until they are reduced to zero. The Class B-1 notes are then paid their respective Note Amount until it is paid off and the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until reduced to zero. Lastly, the Class B-2 notes are then paid their respective Note Amount until it is paid off and the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until reduced to zero. A Trigger Event will occur if (1) the payment date on which the balance on deposit in the Reserve Fund is less than 50% of the Reserve Fund Target Amount, (2) the payment date on which the average of the updated valuations of the outstanding options is less than 90% (in the case of the Class B-1 notes) or 95% (in the case of the Class B-2 notes) of the starting home valuation as of the cut-off date, or (3) if the notes are not redeemed by the expected redemption date (May 2029). Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Interest Payment Amount, Interest Carryforward Amount, and Principal Payment Amount. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings on the Notes do not address Additional Accrued Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. STRUCTURED ASSET 2006-WF3: Moody's Ups Rating on M2 Certs to Ba2 ---------------------------------------------------------------- Moody's Ratings has upgraded the rating of Cl.M2 issued by Structured Asset Securities Corp Trust 2006-WF3 backed by Subprime ARM mortgages. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Structured Asset Securities Corp Trust 2006-WF3 Cl. M2, Upgraded to Ba2 (sf); previously on Aug 19, 2025 Downgraded to Caa1 (sf) RATINGS RATIONALE The rating action results primarily from the correction of an error. In the prior rating action in August 2025, Cl M2 was downgraded to Caa1 based on an incorrect assumption that the bond has a weak interest recoupment mechanism whereby 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 fact Cl M2 has a strong recoupment mechanism whereby current interest and missed interest for this bond are both paid before interest is paid to Cl M3 of the transaction, and the rating action reflects this. For Cl M2, interest shortfall has indeed been recouped. The rating action also reflects the current level of credit enhancement available to the Cl M2 bond, the recent performance, analysis of the transaction structure and Moody's updated loss expectations on the underlying pools. No action was taken on the other rated class in this deal because its expected loss remains commensurate with its current rating, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in this rating was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. SYCAMORE TREE 2023-3: S&P Affirms BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, and D-2-R2 debt from Sycamore Tree CLO 2023-3 Ltd./Sycamore Tree CLO 2023-3 LLC, a CLO managed by Sycamore Tree CLO Advisors L.P., that was originally issued in April 2023 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-R, C-R, D-1-R, D-2a-R, and D-2b-R debt following payment in full on the May 27, 2026, refinancing date. S&P also affirmed its rating on the class E-R debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 20, 2027. -- The reinvestment period remains April 20, 2029. -- The legal final maturity date remains April 20, 2037. -- No additional assets were purchased on the May 27, 2026, refinancing date. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- The refinancing combined the previous class D-2a-R and D-2b-R debt into the class D-2-R2 debt. -- The required minimum overcollateralization and interest coverage ratios remain unchanged. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class D-2-R2 debt. However, we assigned our 'BBB- (sf)' rating to the class D-2-R2 debt after considering the margin of failure, comparable credit support at that rating level, and the relatively stable overcollateralization ratio since our last rating action on the transaction. Additionally, the portfolio has low exposures to 'CCC' and defaulted assets." Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R2, $336.00 million: Three-month CME term SOFR + 1.26% -- Class A-2-R2, $10.50 million: Three-month CME term SOFR + 1.50% -- Class B-R2, $52.50 million: Three-month CME term SOFR + 1.65% -- Class C-R2 (deferrable), $31.50 million: Three-month CME term SOFR + 1.90% -- Class D-1-R2 (deferrable), $31.50 million: Three-month CME term SOFR + 4.00% -- Class D-2-R2 (deferrable), $5.25 million: Three-month CME term SOFR + 5.20% Previous debt -- Class A-1-R, $336.00 million: Three-month CME term SOFR + 1.65% -- Class A-2-R, $10.50 million: Three-month CME term SOFR + 1.82% -- Class B-R, $52.50 million: Three-month CME term SOFR + 2.15% -- Class C-R (deferrable), $31.50 million: Three-month CME term SOFR + 2.60% -- Class D-1-R (deferrable), $31.50 million: Three-month CME term SOFR + 4.25% -- Class D-2a-R (deferrable), $3.25 million: Three-month CME term SOFR + 5.50% -- Class D-2b-R (deferrable), $2.00 million: 9.628% 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 Sycamore Tree CLO 2023-3 Ltd./Sycamore Tree CLO 2023-3 LLC Class A-1-R2, $336.00 million: AAA (sf) Class A-2-R2, $10.50 million: AAA (sf) Class B-R2, $52.50 million: AA (sf) Class C-R2, $31.50 million: A (sf) Class D-1-R2, $31.50 million: BBB- (sf) Class D-2-R2, $5.25 million: BBB- (sf) Ratings Withdrawn Sycamore Tree CLO 2023-3 Ltd./Sycamore Tree CLO 2023-3 LLC Class A-1-R to NR from 'AAA (sf)' Class A-2-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-1-R to NR from 'BBB- (sf)' Class D-2a-R to NR from 'BBB- (sf)' Class D-2b-R to NR from 'BBB- (sf)' Rating Affirmed Sycamore Tree CLO 2023-3 Ltd./Sycamore Tree CLO 2023-3 LLC Class E-R, $13.125 million: BB- (sf) Other Debt Sycamore Tree CLO 2023-3 Ltd./Sycamore Tree CLO 2023-3 LLC Subordinated notes: NR NR--Not rated. TMSQ 2014-1500: DBRS Cuts Rating on Class C Certs to B(low) ----------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2014-1500 issued by TMSQ 2014-1500 Mortgage Trust as follows: -- Class A to BBB (low) (sf) from BBB (sf) -- Class B to B (low) (sf) from B (sf) -- Class X-A to BBB (sf) from BBB (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class C at CCC (sf) -- Class D at CCC (sf) Morningstar DBRS also changed the trends on Classes A, B, and X-A to Stable from Negative. Classes C and D have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. CREDIT RATING ACTION RATIONALE -- Since Morningstar DBRS' previous credit rating action, occupancy at the subject property has declined to less than 50% and leasing traction has been limited, which is indicative of heightened refinance risk as the loan approaches its fully extended maturity date in October 2028. The in-place interest rate is low, at sub 4.0%, below current market interest rates. -- Given these factors, a stressed liquidation scenario was considered, based on a 20.0% haircut to the most recent appraised value of $333.0 million, as of August 2025. This approach was supported by a dark value estimate that Morningstar DBRS derived in 2024, when the loan initially transferred to special servicing. -- The results of that analysis suggest losses could be realized through the Class B certificate, a factor supporting the credit rating downgrade with this review. -- Although Morningstar DBRS' analysis continues to indicate that the Class A certificate remains well insulated from loss--consistent with its investment-grade credit rating--the transaction's overall risk profile has increased with the continued occupancy decline and lack of leasing traction in the last year, the primary rationale for the credit rating downgrade on that Class. -- The trend changes to Stable from Negative are supported by the sponsor's demonstrated commitment to the asset, reflected in the meaningful equity infusion provided as part of the forbearance agreement, as well as the potential upside to leasing indicated by current market conditions. LOAN/COLLATERAL OVERVIEW -- The transaction is secured by the borrower's fee-simple interest in a 506,000 square foot (sf), 33-story Class A mixed-use building in the Times Square Bowtie in New York City. Most of the building is configured for office use, while approximately 106,000 sf is currently configured for retail and storage space. -- The $505.0 million whole loan comprises $335.0 million of senior interest-only (IO) debt held in the trust and $170.0 million of mezzanine debt held outside the trust. -- The loan transferred to special servicing in July 2024 for maturity default. A forbearance agreement was executed in March 2025, terms of which included an initial 24-month forbearance through October 2026, with two one-year extension options to October 2028, and cash management provisions. -- The borrower made an equity contribution of $14.1 million to cover all shortfalls on an ongoing basis with an additional $20.2 million contribution to an all-purpose reserve account for future leasing and capital expenditure costs as part of the loan modification requirements. PERFORMANCE HIGHLIGHTS -- Occupancy loss has been concentrated following the departures of Nasdaq and Times Square Studio (TSS). The subject property is the former home of Good Morning America, which is now filmed in Hudson Yards. Because of the specialized build-out and unique requirements of the former studio and production space, re-leasing activity for the TSS space is expected to advance at a slower pace. -- The remainder of the tenant roster is relatively granular, with no other tenant accounting for more than 6% of the net rentable area (NRA). Leases representing under 10% of the NRA are scheduled to roll within the next 12 months. -- According to Reis, the Q4 2025 office vacancy rate for the Midtown West submarket was slightly more than 13.0%, in line with the prior year. The vacancy rate is forecast to remain elevated, through 2028. -- The loan's debt service coverage ratio has fallen below breakeven with the annualized net cash flow for the trailing-nine-month period ended September 30, 2025, approximately 50% and 68% below the YE2024 and issuance figures, respectively. ANALYSIS SUMMARY -- As previously noted, Morningstar DBRS' liquidation scenario was based on a 20.0% haircut to the most recent appraised value, an approach that was supported by the dark value derived by Morningstar DBRS in July 2024. -- The analysis for the office space and the TSS space considered an 8.75% capitalization rate (cap rate), inclusive of a 100 basis points dark-value adjustment. Total leasing costs of approximately $70.0 million were estimated for those spaces and deducted from the stabilized value. Additional assumptions included tenant improvement costs of $100 per square foot (psf) for the office space and $150 psf for the TSS space, as well as leasing commissions of 4.0%. Stabilized vacancy rates of 15.0% for the office component and 10.0% for the TSS component were applied, reflecting current vacancy conditions in the submarket. -- The ground-floor retail space, supported by stable performance, was valued on an as-is basis using a 7.0% cap rate, resulting in an $82.0 million value. -- The combined Morningstar DBRS Value of $257.8 million ($509 psf) implies an LTV of 130.0% on the senior loan balance. -- Mitigating factors include the execution of the forbearance agreement, the property's well-performing retail component and meaningful signage income because of its prime Times Square location. In addition, the sponsor, TREHI, a Tamares Group subsidiary, has demonstrated ongoing commitment to the asset. The August 2025 appraisal wasn't significantly below the December 2024 valuation, indicating the estimated as-is values for the property are relatively stable. 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. TOGETHER ASSET 2022-2ND1: DBRS Discontinues Bsf Rating on F Debt ---------------------------------------------------------------- DBRS Ratings Limited (Morningstar DBRS) discontinued its credit ratings on the Class A Loan Note, Class B, Class C, Class D, Class E and Class F notes (together, the Rated Notes) issued by Together Asset Backed Securitisation 2022-2ND1 plc (the Issuer). The discontinuation reflects the full repayment of the Rated Notes following the mandatory redemption of the debt in full on the 12 May 2026 payment date. Prior to their repayment in full, the credit ratings and the outstanding principal balances of the Rated Notes were as follows: -- Class A Loan Note rated AAA (sf); GBP 39,825,406.17 -- Class B rated AA (sf); GBP 13,993,000.00 -- Class C rated A (high) (sf); GBP 21,863,000.00 -- Class D rated A (sf); GBP 20,989,000.00 -- Class E rated BB (sf); GBP 18,365,000.00 -- Class F rated B (sf); GBP 5,247,000.00 TRINITAS CLO IX: Moody's Cuts Rating on $12MM Class F Notes to C ---------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Trinitas CLO IX, Ltd.: US$12,000,000 Class F Deferrable Floating Rate Notes due 2032, Downgraded to C (sf); previously on July 31, 2025 Downgraded to Caa3 (sf) Trinitas CLO IX, Ltd., originally issued in November 2018 later refinanced in 2020, 2021 and 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in November 2023. A comprehensive review of all credit ratings for the respective transaction(s) 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 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 an optional redemption on January 22, 2026, all outstanding notes were redeemed. As of the last payment date in April 2026, there have been no payments made on the Class F notes, and based on the collateral information, Moody's do not expect any expect material amounts of 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. TRINITAS CLO XII: Moody's Cuts Rating on $11.25MM F Notes to Caa1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Trinitas CLO XII, Ltd.: US$30,000,000 Class B-1-R-2 Floating Rate Notes due 2033 (the "Class B-1-R-2 Notes"), Upgraded to Aaa (sf); previously on August 20, 2025 Assigned Aa1 (sf) US$28,450,000 Class B-2 Fixed Rate Notes due 2033 (the "Class B-2 Notes"), Upgraded to Aaa (sf); previously on February 8, 2024 Upgraded to Aa1 (sf) US$23,850,000 Class C-R-2 Deferrable Floating Rate Notes due 2033 (the "Class C-R-2 Notes"), Upgraded to Aa2 (sf); previously on August 20, 2025 Assigned A2 (sf) US$30,200,000 Class D-R-2 Deferrable Floating Rate Notes due 2033 (the "Class D-R-2 Notes"), Upgraded to Baa2 (sf); previously on August 20, 2025 Assigned Baa3 (sf) Moody's have also downgraded the rating on the following notes: US$11,250,000 Class F Deferrable Floating Rate Notes due 2033 (the "Class F Notes"), Downgraded to Caa1 (sf); previously on March 26, 2020 Definitive Rating Assigned B3 (sf) Trinitas CLO XII, Ltd., originally issued in March 2020 and last partially refinanced in August 2025, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2025. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions on the Class B-1-R-2, Class B-2, Class C-R-2 and Class D-R-2 notes are primarily a result of deleveraging of the senior notes and an increase in these notes' over-collateralization (OC) ratios since August 2025. Class A-1-R2 and Class A-2 notes have been paid down by approximately 33.3% ($94.2 million and $9.7 million, respectively) since then. Based on the trustee's April 2026 report[1], the OC ratios for the Class B-1-R-2/B2 notes, Class C-R-2 and Class D-R-2 notes are currently 137.02%, 125.75% and 113.90%, respectively, versus August 2025 levels[2] of 129.09%, 121.28% and 112.65%, respectively. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratio for the Class F notes is currently at 102.68% versus August 2025 level of 105.24%. Furthermore, Moody's calculated weighted average rating factor (WARF) has been deteriorating and the current level is 2996, compared to 2913 in August 2025, failing the trigger of 2488. No actions were taken on the Class A-1-R-2, Class A-2 and Class E 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: $375,996,916 Defaulted par: $1,356,849 Diversity Score: 64 Weighted Average Rating Factor (WARF): 2996 Weighted Average Spread (WAS): 3.04% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 45.89% Weighted Average Life (WAL): 3.7 years Par haircut in OC tests: 3.08% 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. TRINITAS CLO XXIV: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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. At the same time, we withdrew our ratings on the previous class A-1, A-2, B, C, D-1, D-2, and E debt following payment in full on the May 21, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1R, A-2R, B-R, C-R, D-1R, and E-R debt was issued at lower spreads over three-month term SOFR than the existing debt. -- The replacement class D-2R debt was issued at a floating spread, replacing the current fixed coupon. -- The stated maturity, reinvestment period, non-call period, and weighted average life test date were each extended by two years. -- No additional assets were purchased on the May 21, 2026, refinancing date. No additional subordinated notes were issued on the refinancing date, and the target initial par amount remains at $500.00 million. -- There was 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." 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) Ratings Withdrawn Trinitas CLO XXIV Ltd./Trinitas CLO XXIV 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-1 to NR from 'BBB+' Class D-2 to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Trinitas CLO XXIV Ltd./Trinitas CLO XXIV LLC Subordinated notes, $52.864 million: NR NR--Not rated. UNLOCK HEA 2026-1: DBRS Gives (P)BB(low) Rating on Cl. C Debt ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Asset-Backed Securities, Series 2026-1 (the Notes) to be issued by Unlock HEA Trust 2026-1 as follows: -- $254.0 million Class A at (P) A (low) (sf) -- $48.5 million Class B at (P) BBB (low) (sf) -- $42.2 million Class C at (P) BB (low) (sf) The (P) A (low) (sf) credit rating reflects credit enhancement of 26.3% for Class A, the (P) BBB (low) (sf) credit rating reflects credit enhancement of 12.2% for Class B, and the (P) BB (low) (sf) credit rating reflects credit enhancement of 0.00% for Class C. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home equity investments (HEIs) allow homeowners access to the equity in their homes without having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). A homeowner receives an upfront cash payment (an Advance or an Investment Payment) in exchange for giving an Investor (i.e., an Originator) a stake in their property. The homeowner retains sole right of occupancy of the property and pays all upkeep and expenses during the term of the HEI, but the Originator earns an investment return based on the future value of the property, typically subject to a returns cap. Like reverse mortgage loans, the HEI underwriting approach is asset-based, meaning there is greater emphasis placed on the value of the underlying property and the amount of home equity than on the credit quality of the homeowner. The property value is the main focus for predicting investment return because it is the primary source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation, a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the Advance and any Originator return is driven by the structure of the agreement, the amount of appreciation/depreciation on the property, the amount of debt that may be senior to the home equity agreements (HEAs), and the cap on investor return. As of the cut-off date, the collateral consists of approximately $344.7 million in current exercise value from 3,546 nonrecourse HEI agreements secured by first, second, and third liens on single-family detached, multifamily (two- to four-family), condominium, and townhouse properties. All of the contracts in the asset pool were originated between 2022 and 2026. Of the pool, 531 contracts in the transaction are first-lien contracts, representing roughly $65.1 million in current exercise value; 2,515 are second-lien contracts, representing roughly $233.2 million in current exercise value; and 500 are third-lien contracts, representing roughly $46.4 million in current exercise value. Based on investment payment, 18.8% of the contracts are first lien and have a weighted-average (WA) exchange rate of 1.71 times (x), 67.7 % are second-lien contracts and have a WA exchange rate of 1.82x, and the remaining 13.5% of the pool are third-lien contracts with a WA exchange rate of 1.88x. This brings the entire transaction's WA exchange rate to 1.80x. To better understand the impact and mechanics of exchange rates, please see the example in the Contract Mechanics--Worked Example section of the related presale report. The current unadjusted loan-to-value ratio (LTV) of the pool is 34.01% (i.e., of senior liens ahead of the contracts). At cut-off, the pool had a WA contract-to-value (CTV, three also known as option-to-value, or OTV) of 21.00%, and a WA loan plus contract-to-value (LCTV, also known as loan plus option-to-value, or LOTV) of 55.04%. The transaction uses a sequential structure in which cash distributions are first made to reduce the interest payment amount and any interest carryforward amount on Class A, Class B (as long as a Trigger Event is not in effect), and Class C Notes (as long as a Trigger Event is not in effect). As long as a Class D Credit Event is not in effect, cash distributions are then made to reduce the Class D Current Cash Interest Amount and any Class D Current Cash Interest carryforward amount. Payments are then made to reduce the note principal balance on Class A Notes until such notes are paid off. With respect to the Class B Notes, payments are first made to any remaining Interest Payment Amount and Interest Carryforward Amount (so long as no Trigger Event is in effect) and then to reduce the note principal balance until such notes are paid off. With respect to the Class C Notes, payments are first made to any remaining Interest Payment Amount and Interest Carryforward Amount (so long as no Trigger Event is in effect) and then to reduce the note principal balance until such notes are paid off. With respect to the Class D Notes, payments are first made to any remaining Current Cash Interest Amount and then to reduce any Component D current Cash Interest Carryforward Amount (so long as no Trigger Event is in effect) and then to reduce the note principal balance until such notes are paid off. The Class D Notes are interest-bearing but will not be entitled to any payments of Accrual Interest Amount, Accrual Interest Carryforward Amount, and Principal Payment Amount until the Class A, Class B, and Class C Notes have been paid down. The Class A-IO Notes are interest only (IO) and notional to the unpaid principal balance (UPB) of the loan. Interest owed to the Class A-IO Notes is paid senior to interest owed to the Class A, Class B, Class C, and Class D Notes. The "Class B and Class C Credit Event" will occur if (1) the payment date on which the Reserve Fund is less than 50% of the Reserve Fund Target Amount or (2) the Payment Date on which the average of the Updated Valuations of the outstanding HEAs as of the end of the related Collection Period (such updated valuations to be provided on a monthly basis by or on behalf of the Asset Manager) divided by the average of the Updated Valuations or Starting Total Home Values (whichever valuation was used to determine the current value of the related HEA) for such HEAs as of the Cut-off Date is less than the Class B and Class C Home Value Decline. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Class Principal Balance, Interest Payment Amount, and Interest Carryforward Amount. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. VELOCITY COMMERCIAL 2026-2: DBRS Finalizes B(low) on 3 Tranches --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on 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 AAA (sf) -- $281.0 million Class A-S at AAA (sf) -- $281.0 million Class A-IO at AAA (sf) -- $22.8 million Class M-1 at AA (low) (sf) -- $22.8 million Class M1-A at AA (low) (sf) -- $22.8 million Class M1-IO at AA (low) (sf) -- $22.2 million Class M-2 at A (low) (sf) -- $22.2 million Class M2-A at A (low) (sf) -- $22.2 million Class M2-IO at A (low) (sf) -- $41.4 million Class M-3 at BBB (low) (sf) -- $41.4 million Class M3-A at BBB (low) (sf) -- $41.4 million Class M3-IO at BBB (low) (sf) -- $31.1 million Class M-4 at BB (low) (sf) -- $31.1 million Class M4-A at BB (low) (sf) -- $31.1 million Class M4-IO at BB (low) (sf) -- $7.9 million Class M-5 at B (sf) -- $7.9 million Class M5-A at B (sf) -- $7.9 million Class M5-IO at B (sf) -- $4.0 million Class M-6 at B (low) (sf) -- $4.0 million Class M6-A at B (low)(sf) -- $4.0 million Class M6-IO at 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 AAA (sf) credit ratings on the Certificates reflect 32.2% of credit enhancement (CE) provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), B (sf), and 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. WELLS FARGO 2015-C28: DBRS Confirms Csf Rating on 2 Tranches ------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C28 issued by Wells Fargo Commercial Mortgage Trust 2015-C28 (the Trust) as follows: -- Class D at CCC (sf) -- Class E at C (sf) -- Class X-E at C (sf) The classes all have a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. CREDIT RATING RATIONALE -- The credit rating confirmations reflect Morningstar DBRS' recoverability expectations for the five remaining loans in the pool, four of which (48.5% of the pool) are in special servicing. -- Morningstar DBRS applied liquidation scenarios to all loans, which resulted in a projected cumulative loss amount of $27.9 million. The projected liquidated losses would erode the remainder of the Class F certificate and approximately 25% of the Class E certificate, supporting the credit rating actions. -- To date, the Trust has incurred realized losses of $38.1 million, eroding the entirety of the balance on the Class G certificate and $3.2 million on the Class F certificate. -- Since Morningstar DBRS' last credit rating action in June 2025, four loans were liquidated from the Trust. Of those four, only one, the 3 Beaver Valley Road (Prospectus ID#6) loan, incurred a loss, recorded at $25.3 million as compared with the Morningstar DBRS projection of $28.5 million. POOL/COLLATERAL OVERVIEW -- As of the April 2026 remittance, five of the original 99 loans remain in the pool with a trust balance of $75.9 million, reflecting a collateral reduction of 93.5% since issuance. -- Outside of the four specially serviced loans, the remaining loan, Encino Financial Center (Prospectus ID#7, 51.5% of the pool), was returned to the master servicer as a corrected mortgage loan with an extended maturity date in November 2026. -- The three largest loans are collateralized by office properties, which represent 92.0% of the pool. The remaining 8.0% of the pool is represented by two lodging properties in Texas, both of which have the same sponsor. KEY LOANS Encino Financial Center (Prospectus ID#7, 51.5% of the pool): -- The loan is secured by a Class A office property in Encino, California. -- The loan transferred to special servicing in April 2025 for an imminent maturity default ahead of its original May 2025 maturity date. -- The loan returned to the master servicer in February 2026 as a corrected mortgage loan with an extended maturity date of November 11, 2026. -- As of the September 2025 rent roll, the property was 83.6% occupied, with leases representing 21.5% of the net rentable area (NRA) scheduled to expire within the next 12 months. -- Positive leasing activity has been observed, including lease renewals for three (15.4% of the NRA) of the top five tenants over the past year, with terms ranging from two to 10 years, supporting near-term cash flow stability. -- During the loan's period in special servicing, an updated appraisal valued the property at $48.8 million as of June 2025, representing a decline from the $72.0 million issuance value. -- For this review, Morningstar DBRS applied a 35.0% haircut to the June 2025 appraisal, (implied capitalization rate of 9.0% cap rate on the annualized September 2025 NCF with an additional stress for high rollover concentration), resulting in a hypothetical loss of $13.0 million. 3800 Embassy Parkway (Prospectus ID#16, 21.7% of the pool): -- The loan is secured by a suburban office property in Fairlawn, Ohio. -- The loan transferred to special servicing at its maturity date in in May 2025 following failure to repay. While the borrower initially requested an extension and executed a pre-negotiation agreement in June 2025, the borrower subsequently ceased cooperating and no modification was completed. -- Foreclosure proceedings were initiated in July 2025, and a receiver was appointed in September 2025. The loan remains in special servicing as of April 2026. The workout strategy is identified as foreclosure with an expected resolution by mid-2026. -- At issuance, the property was appraised at $24.8 million, which declined by roughly 40% to $14.8 million as of June 2025. -- For this review, Morningstar DBRS applied a 35.0% haircut to the most recent appraisal, resulting in projected loss of $8.3 million, or a loss severity of 51%. 3700 Buffalo Speedway (Prospectus ID#18, 18.8% of the pool): -- The loan is secured by a suburban office property in Houston. -- The loan transferred to special servicing in May 2025, following a maturity default. A loan modification was eventually executed in early 2026, extending the maturity date to September 2026, with the loan remaining in cash management. The loan continues to be monitored before being returned to the master servicer. -- Operating performance has rebounded; the trailing 12-month period ended September 2025 debt service coverage ratio of 1.75 times at an occupancy rate of 88% marked a high over the last several reporting periods. -- At issuance, the property was appraised at approximately $24.1 million, which declined by approximately 39% to $14.8 million as of July 2025. -- Morningstar DBRS applied a 20.0% haircut to the July 2025 appraisal, resulting in a projected loss of $3.7 million or a loss severity of 26%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Class X-E is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. WESTLAKE AUTOMOBILE 2026-2: DBRS Finalizes BB Rating on E Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the classes of notes issued by Westlake Automobile Receivables Trust 2026-2 (Westlake 2026-2 or the Issuer) as follows: -- $337,300,000 Class A-1 Notes at R-1 (high) (sf) -- $443,820,000 Class A-2-A Notes at AAA (sf) -- $80,000,000 Class A-2-B Notes at AAA (sf) -- $181,000,000 Class A-3 Notes at AAA (sf) -- $125,610,000 Class B Notes at AA (sf) -- $185,380,000 Class C Notes at A (sf) -- $162,860,000 Class D Notes at BBB (sf) -- $84,030,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on a review by Morningstar DBRS of the following analytical considerations: (1) Transaction capital structure, 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 non-declining 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. -- 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 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 Takes Actions on 14 Carvana Auto Transactions ----------------------------------------------------- DBRS, Inc. (Morningstar DBRS) upgraded 13 credit ratings, confirmed 52 credit ratings, and discontinued one credit rating as a result of repayment from 14 Carvana Auto Receivables Trust transactions. The Issuers are: - Carvana Auto Receivables Trust 2021-N1 - Carvana Auto Receivables Trust 2023-N3 - Carvana Auto Receivables Trust 2021-N4 - Carvana Auto Receivables Trust 2021-N2 - Carvana Auto Receivables Trust 2024-N3 - Carvana Auto Receivables Trust 2021-P2 - Carvana Auto Receivables Trust 2021-N3 - Carvana Auto Receivables Trust 2022-N1 - Carvana Auto Receivables Trust 2024-N1 - Carvana Auto Receivables Trust 2024-N2 - Carvana Auto Receivables Trust 2025-N1 - Carvana Auto Receivables Trust 2023-N4 - Carvana Auto Receivables Trust 2023-N1 - Carvana Auto Receivables Trust 2023-N2 A list of the Affected Ratings is available at: https://tinyurl.com/3xfm2bx8 Credit rating rationale includes the key analytical considerations. -- For Carvana Auto Receivables Trust 2021-P2, losses are tracking below the Morningstar DBRS initial base-case cumulative net loss (CNL) expectation. The current levels of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS revised projected remaining CNL assumption at multiples of coverage commensurate with the credit ratings. -- For Carvana Auto Receivables Trust 2021-N1, losses are tracking below the Morningstar DBRS initial base-case CNL expectation. The current levels of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS revised projected remaining CNL assumption at multiples of coverage commensurate with the credit ratings. -- For Carvana Auto Receivables Trust 2021-N2 through Carvana Auto Receivables Trust 2024-N2, although losses are tracking above the Morningstar DBRS initial base-case CNL expectations, the current level of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS revised projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- For Carvana Auto Receivables Trust 2024-N3 and Carvana Auto Receivables Trust 2025-N1, losses are tracking in line with or below the Morningstar DBRS initial base-case CNL expectations. The current levels of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- Current CE levels have increased for each tranche with the transactions compared to the initial levels. -- Although there has been a decline in recent months, as a percentage of the current collateral balances, total delinquencies are trending higher in each Transaction. -- The credit rating actions are the result of collateral performance to date and Morningstar DBRS' assessment of future performance assumptions. -- The transaction capital structures and form and sufficiency of available credit enhancement. -- 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. [] DBRS Takes Actions on 6 Bridgecrest Lending Transactions ----------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) upgraded four credit ratings, confirmed twenty-seven credit ratings, and discontinued one credit rating due to repayment, from Six Bridgecrest Lending Auto Securitization Trust Transactions as detailed in the summary chart below. Ratings Bridgecrest Lending Auto Securitization Trust 2023-1 Class C Notes AAA(sf) Confirmed Class D Notes A(high)(sf) Upgraded Class E Notes BB(high)(sf) Confirmed Class B Notes Discontinued Disc.-Repaid Bridgecrest Lending Auto Securitization Trust 2024-2 Class A-3 Notes AAA(sf) Confirmed Class B Notes AAA(sf) Confirmed Class C Notes AAA(sf) Upgraded Class D Notes BBB(high)(sf) Upgraded Class E Notes BB(high)(sf) Confirmed Bridgecrest Lending Auto Securitization Trust 2024-4 Class A-3 Notes AAA(sf) Confirmed Class B Notes AAA(sf) Confirmed Class C Notes AA(high)(sf) Upgraded Class D Notes BBB(sf) Confirmed Class E Notes BB(high)(sf) Confirmed Bridgecrest Lending Auto Securitization Trust 2025-2 Class A-2 Notes AAA(sf) Confirmed Class A-3 Notes AAA(sf) Confirmed Class B Notes AAA(sf) Confirmed Class C Notes A(sf) Confirmed Class D Notes BBB(sf) Confirmed Class E Notes BB(sf) Confirmed Bridgecrest Lending Auto Securitization Trust 2025-3 Class A-2 Notes AAA(sf) Confirmed Class A-3 Notes AAA(sf) Confirmed Class B Notes AA(sf) Confirmed Class C Notes A(sf) Confirmed Class D Notes BBB(sf) Confirmed Class E Notes BB(sf) Confirmed Bridgecrest Lending Auto Securitization Trust 2025-4 Class A-2 Notes AAA(sf) Confirmed Class A-3 Notes AAA(sf) Confirmed Class B Notes AA(sf) Confirmed Class C Notes A(sf) Confirmed Class D Notes BBB(sf) Confirmed Class E Notes BB(sf) Confirmed Credit rating rationale includes the key analytical considerations. -- For Bridgecrest Lending Auto Securitization Trust 2023-1, Bridgecrest Lending Auto Securitization Trust 2024-2, and Bridgecrest Lending Auto Securitization Trust 2024-4, although current losses are tracking above the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations, the current level of hard credit enhancement (CE) and estimated excess spread is sufficient to support the Morningstar DBRS projected remaining CNL assumption at multiples of coverage commensurate with the credit ratings. -- For Bridgecrest Lending Auto Securitization Trust 2025-2, Bridgecrest Lending Auto Securitization Trust 2025-3, and Bridgecrest Lending Auto Securitization Trust 2025-4, losses are tracking in line with the Morningstar DBRS initial base-case CNL expectations. The current levels of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- Current CE levels have increased in each transaction compared to initial levels. -- As a percentage of the current collateral balances, total delinquencies are currently trending higher. -- The transaction capital structures and form and sufficiency of available CE. -- 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. [] S&P Takes Various Actions on 56 Classes From 7 US RMBS Deals --------------------------------------------------------------- S&P Global Ratings completed its review of 56 classes from seven U.S. RMBS transactions issued in 2025. The review yielded one upgrade and 55 affirmations. A list of Affected Ratings can be viewed at: https://tinyurl.com/36jsvtyd Analytical Considerations S&P said, "For each transaction, we performed a credit analysis using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at the prior review. Our geographic concentration factors were based on the transactions' current pool composition. "We incorporate various considerations into our decisions to raise, lower, or affirm ratings while reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." Some of these considerations may include: -- Collateral performance/delinquency trends; -- The priority of principal payments; -- The priority of loss allocation; -- Expected duration; and -- Available subordination, credit enhancement floors, and/or excess spread (where available). Rating Actions The upgrade primarily reflects a growing percentage of credit support to the rated class. The affirmations reflect our projected credit support on these classes, which we believe are sufficient to cover our projected losses for those rating scenarios. ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. 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