260607.mbx

260607.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, June 7, 2026, Vol. 30, No. 158 Headlines 720 EAST IV: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes A&D MORTGAGE 2026-NQM4: Fitch Assigns 'BBsf' Rating on Cl. B1 Certs AFFIRM ASSET 2024-B: DBRS Confirms BB Rating on Class E Notes AIMCO CLO 22: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ALLY BANK 2026-A: Moody's Assigns B2 Rating to Class F Notes ARES LXI CLO: S&P Affirms BB- (sf) Rating on Class E-R Notes ARINI US VI: S&P Assigns BB- (sf) Rating on Class E Notes AVIS BUDGET 2026-3: Moody's Assigns (P)Ba2 Rating to Class D Notes AVIS BUDGET 2026-4: Moody's Assigns (P)Ba2 Rating to Class D Notes BAMLL COMMERCIAL 2016-ISQR: S&P Cuts X-B Certs Rating to 'B- (sf)' BANK 2017-BNK7: DBRS Cuts Rating on Class X-E Certs to Bsf BANK 2025-BNK50: DBRS Confirms Bsf Rating on Class J-RR Certs BBCMS MORTGAGE 2026-5C42: Fitch Rates Two Tranches 'BB-(EXP)sf' BENCHMARK 2018-B1: S&P Affirms CCC (sf) Rating on Class C Notes BENEFIT STREET XXXV: S&P Assigns (P) BB- (sf) Rating on E-R Notes BLUEMOUNTAIN CLO XXIX: S&P Affirms BB-(sf) Rating on Cl. E-R Notes BMARK 2026-V22: Fitch Assigns 'B-sf' Rating on Class F-RR Certs BREAN ASSET 2026-RM16: DBRS Gives (P)Bsf Rating to Class M5 Notes BRIDGE COMMERCIAL 2026-MF: Fitch Rates Class HRR Certs 'B(EXP)sf' BUSINESS JET 2026-1: S&P Assigns (P) BB (sf) Rating on Cl. C Notes CANYON CLO 2023-2: S&P Assigns Prelim BB- (sf) Rating on E-R Notes CARMAX SELECT 2026-B: S&P Assigns (P) BB (sf) Rating on E-R Notes CARVANA AUTO 2026-P2: Fitch Assigns BBsf Final Rating on Cl. N Debt CHANNEL EF 2026-1: DBRS Finalizes BBsf Rating on Class E Notes DBJPM 2016-C1: Fitch Lowers Rating on Two Tranches to 'Csf' DRYDEN 119: S&P Assigns BB- (sf) Rating on Class E-R Notes EFMT 2026-AE4: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs EFMT 2026-NQM5: DBRS Gives (P)Bsf Rating to 3 Note Classes FIGRE TRUST 2026-HE5: DBRS Gives (P)B(low) Rating to Class F Notes FORTRESS CREDIT XXVII: S&P Assigns (P) BB- (sf) Rating to E Notes GCAT 2026-NQM3: DBRS Gives (P)B(low) Rating on Class B-2 Certs GCAT 2026-NQM3: Moody's Assigns Ba2 Rating to Cl. B-1 Certs GS MORTGAGE 2017-GS6: Fitch Lowers Rating on Class F Debt to 'Csf' GS MORTGAGE 2018-GC10: DBRS Confirms C Rating on Class G-RR Certs GS MORTGAGE 2026-CES3: S&P Assigns 'B' Rating on B-2 Notes GS MORTGAGE 2026-NQM4: DBRS Gives (P)Bsf Rating on Cl. B-2 Certs GS MORTGAGE 2026-NQM4: S&P Assigns 'B' Rating on B-2 Certs GSF 2025-5: Fitch Affirms 'BB-(EXP)sf' Rating on Class E Notes HERTZ VEHICLE III: DBRS Rates Series 2026-1 Class D Notes '(P)BB' HERTZ VEHICLE III: Moody's Assigns Ba3 Rating to 2026-1 Cl. E Notes HILTON GRAND 2026-2: Fitch Assigns BB-(EXP)sf Rating on Cl. D Notes INCREF 2026-FL2: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes IVY HILL XXII: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes JP MORGAN 2021-1MEM: DBRS Cuts Rating on Class HRR Certs to CCCsf JP MORGAN 2026-3: DBRS Gives (P)B(low) Rating to Class B-5 Certs JP MORGAN 2026-FUN: S&P Assigns Prelim BB (sf) Rating on E Certs JP MORGAN 2026-NQM3: DBRS Gives (P)B(low) Rating on Cl. B-2 Certs JPMDB COMMERCIAL 2016-C2: Moody's Cuts Rating on 2 Tranches to B2 JPMF1 MULTIFAMILY 2026-FX1: DBRS Gives (P)BB Rating to H-RR Certs JPMF1 MULTIFAMILY 2026-FX1: Fitch Affirms 'B-(EXP)sf' on H-RR Certs KSL COMMERCIAL 2026-HT3: DBRS Gives (P)BB(low) Rating to F Certs MADISON PARK LXXIV: Moody's Assigns B3 Rating to $250,000 F Notes MAGNETITE XXI: S&P Affirms B- (sf) Rating on Class F-R Notes MARBLE POINT XXII: Moody's Cuts Rating on $20.25MM E Notes to B2 MENLO CLO V: S&P Assigns Prelim BB- (sf) Rating on Class E Notes MF1 2026-FL22: DBRS Finalizes B(low) Rating on 3 Note Classes MFA 2026-NQM2: Fitch Assigns 'B-(EXP)sf' Rating on Class B-2 Notes MORGAN STANLEY 2013-C11: DBRS Confirms Csf Rating on Class B Certs MORGAN STANLEY 2026-DSC2: DBRS Ups Rating on B-1 Certs to BB(high) MORGAN STANLEY 2026-NQM5: DBRS Gives (P)B Rating on Cl. B-2 Certs MORGAN STANLEY 2026-NQM5: S&P Assigns B (sf) Rating on B-2 Certs MOUNTAIN VIEW XV: S&P Affirms BB- (sf) Rating on Class E-R Notes NATIXIS COMMERCIAL 2019-MILE: DBRS Cuts Rating on C Debt to CCC NEUBERGER BERMAN 55: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes NEW RESIDENTIAL 2026-NQM7: Fitch Rates Class B2 Notes 'B-(EXP)sf' OAKTREE CLO 2024-25: S&P Assigns (P) BB- (sf) Rating on E-R Notes OAKTREE CLO 2026-34: S&P Assigns BB- (sf) Rating on Class E Notes OBX 2026-INV4: Moody's Assigns B3 Rating to Cl. B-5 Certs OBX 2026-R2: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Notes ONE JAMESTOWN XV: S&P Lowers Class E-R Notes Rating to 'B+ (sf)' ONITY LOAN 2026-HB2: DBRS Gives (P)BB Rating on Class M5 Notes OZLM IX: Moody's Withdraws Caa3 Rating on $9.5MM E-RR Notes PALMER SQUARE 2018-2: Fitch Assigns 'BB+sf' Rating on Cl. D-R Notes PALMER SQUARE 2026-1: Moody's Assigns Ba3 Rating to $20MM D Notes PMT LOAN 2026-CNF5: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs PMT LOAN 2026-J3: DBRS Gives (P)B(low) Rating on Class B-5 Notes POST CLO 2024-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes PRPM 2026-RCF4: Fitch Assigns 'BB-(EXP)sf' Rating on Class M2 Notes RKTL 2026-2: Fitch Assigns 'BBsf' Rating on Class E Notes SALUDA GRADE 2026-LOC6: DBRS Gives (P)B(low) Rating on B-2 Notes SCULPTOR CLO XXXII: S&P Assigns BB- (sf) Rating on Cl. E-R Notes SEQUOIA MORTGAGE 2026-INV3: Fitch Rates Class B5 Certificates 'Bsf' SOUND POINT XVIII: Moody's Cuts Rating on $32MM D Notes to Caa1 SUNBIT ASSET 2025-1: DBRS Confirms BB Rating on Class D Notes SYMPHONY 42: Fitch Assigns 'BB-sf' Rating on Class E-R Notes TOWD POINT 2021-SL1: DBRS Confirms B(high) Rating on Class F Notes TRESTLES CLO II: Fitch Assigns 'Bsf' Rating on Class F-RR Notes TRUIST BANK 2026-1: Moody's Assigns (P)B3 Rating to Class C Notes TRUPS FINANCIALS 2026-2: Moody's Assigns Ba2 Rating to Cl. D Notes UNLOCK HEA 2026-1: DBRS Finalizes BB(low) Rating on Cl. C Debt VERUS SECURITIZATION 2026-5: Moody's Gives (P)B3 Rating to B-2 Debt WELLS FARGO 2016-LC24: Fitch Affirms 'Csf' Rating on Two Tranches WELLS FARGO 2018-C47: DBRS Confirms B(high) Rating on H-RR Certs WELLS FARGO 2026-5C9: Fitch Assigns 'B-sf' Rating on Cl. G-RR Notes WIND RIVER 2022-1: S&P Affirms B (sf) Rating on Class E Notes ZAIS CLO 11: Moody's Cuts Rating on $19MM Class E Notes to Caa2 [] DBRS Confirms Ratings on Nine Hertz Vehicle III Deals [] DBRS Discontinues Ratings on 15 US RMBS Transactions [] DBRS Reviews 25 Classes Across Five US RMBS Deals [] DBRS Reviews 589 Classes Across 22 U.S. RMBS Deals [] Fitch Hikes Ratings on Horizon Aircraft I,II, III [] Fitch Takes Rating Actions on 6 GoodLeap Sustainable Trusts [] Moody's Hikes 77 Ratings From Nine Deals Issued by PennyMac [] Moody's Hikes 8 Ratings From 2 Nomura Home Trust Transactions [] Moody's Takes Action on Seven Bonds From Four US RMBS Deals [] Moody's Upgrades Ratings on 53 Bonds from Seven US RMBS Deals ********* 720 EAST IV: S&P Assigns Prelim BB- (sf) Rating on Cl. 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 from 720 East CLO IV Ltd./720 East CLO IV LLC, a CLO managed by Northwestern Mutual Investment Management Company LLC that was originally issued in March 2024. The preliminary ratings are based on information as of June 3, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 9, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1, A-2, B, C, D, 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. 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-R, and E-R debt is expected to be issued at a lower spread over three-month CME term SOFR than the existing debt. -- The replacement class D-1-R and D-2-R debt will replace the existing class D debt, with the class D-1-R debt being senior to class D-2-R debt. -- The non-call period will be extended to June 9,2028. -- 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. -- No additional assets will be purchased on the June 9,2026, refinancing date, and the target initial par amount will remain at $450 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2026. -- 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 720 East CLO IV Ltd./720 East CLO IV LLC Class A-1-R, $288.00 million: AAA (sf) Class A-2-R, $18.00 million: AAA (sf) Class B-R, $36.00 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-1-R (deferrable), $27.00 million: BBB- (sf) Class D-2-R (deferrable), $4.50 million: BBB- (sf) Class E-R (deferrable), $13.50 million: BB- (sf) Other Debt 720 East CLO IV Ltd./720 East CLO IV LLC Subordinated notes, $44.65 million: NR NR--Not rated. A&D MORTGAGE 2026-NQM4: Fitch Assigns 'BBsf' Rating on Cl. B1 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to A&D Mortgage Trust 2026-NQM4 (ADMT 2026-NQM4). Entity/Debt Rating Prior ----------- ------ ----- ADMT 2026-NQM4 A1FCF LT AAAsf New Rating AAA(EXP)sf A1LCF LT AAAsf New Rating AAA(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT NRsf New Rating NR(EXP)sf B3 LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary The ADMT 2026-NQM4 certificates are supported by 979 loans with a balance of $407,026,038 as of the cutoff date. This represents the 19th Fitch-rated ADMT transaction and the third Fitch-rated ADMT transaction of 2026. The transaction is expected to close on May 28, 2026. The certificates are secured by mortgage loans originated mainly by A&D Mortgage LLC (A&D) (78.31%), with the remainder originated by various third-party entities, each contributing less than 10%. Fitch considers ADMT to be an 'Acceptable' originator. The servicer of the loans is A&D (RPS3/Stable). The master servicer is Rocket Mortgage LLC (RMS1-/Stable). Of the loans, 44.8% are exempted mortgage loans that were not subject to the ability-to-repay (ATR) rule, 28.9% are safe harbor QM loans, 22.5% are designated as nonqualified mortgage (non-QM) loans and 3.8% are qualified mortgage rebuttable presumption loans. The class A-1A, A-1B, A-1FCF, A-1LCF, A-2, A-3 and M-1 certificates are fixed rate and capped at the net weighted average coupon (WAC) and have a step-up feature. The class B-1 certificate rate will be determined at pricing it will be based on either 1) the lower of a fixed rate or the net WAC rate for the related distribution date or the net WAC rate. . The class B-2 and B-3 coupons will be based on the net WAC. Fitch was not asked to rate the B-2 or B-3 classes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess credit risk and expected losses. The pool consists of 979 performing, fixed-rate and adjustable-rate fully amortizing loans, some of which have interest-only periods. It is secured by loans on primarily one- to four-family residential properties (including attached and detached single-family homes, planned unit developments [PUDs]), condos/condotel, manufactured housing, mixed-use properties, five- to 10-unit multifamily properties and two- to four-unit multifamily properties, totaling $407,026,038. The majority of the loans are first liens 95.9%, while the remaining 4.1% are second liens. The loans are exempt from QM, Safe Harbor QM, Rebuttable presumption QM or NQM loans with the majority of the loans underwritten to 12-24 months bank statement or DSCR underwriting guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned at an average of two months (one month per the transaction documents). The pool has a weighted average (WA) original FICO score of 751 and DTI of 33.4% which are indicative of high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 68.4%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 76.3%. This transaction has a Final PD of 39.49% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 44.68%. The expected loss in the 'AAAsf' rating stress is 17.64%. Structural Analysis (Mixed): ADMT 2026-NQM4 has a modified sequential structure with limited advancing of Delinquent P&I. The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to classes first to the A-1A, A-1B, A-1FCF, A-1LCF, and then A-2 and A-3 until they are reduced to zero. Class A certificates have a step-up coupon feature whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. This step-up feature will occur on or after the distribution date in June 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 classes on and after June 2030. Specifically, on any distribution date occurring on or after the distribution date in June 2030 on which the aggregate unpaid cap carryover amount for class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1A, A-1B, A-1FCF and A-1LCF certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 and M-1 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after June 2030, since classes A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. Losses are allocated reverse sequentially starting with B-3. Once the A-2 class is written off, losses will be allocated pro rata to the A-1LCF and A-1FCF on the one hand and to the A-1A and A-1B on the other. The A-1LCF and A-1FCF will take their share of losses pro rata and the A-1A and A-1B share of losses will be allocated to A-1B first and then to A-1A once A-1B is written off. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm and have a final grade of either "A" or "B". Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects the transaction to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to this transaction, and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.65%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Opus, Clarifii, Mission, and Maxwell Diligence. The third-party due diligence described in Form 15E focused on credit, compliance, and valuations. The due diligence review was conducted on 100% of the loans in the pool and 100% of the loans received a grade of A or B. Fitch considered this information in its analysis. Based on the due diligence findings, Fitch did not make any adjustments to the loans since all loans received a grade of A and B and the exceptions noted were not material. Fitch applied a 5bps z-score credit for each loan that received a due diligence grade of A or B. As a result, all the loans in the pool received a 5bps z-score credit and losses were reduced. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Mission Global, LLC, Clarifii and Maxwell Diligence Solutions, LLC and Opus to perform the review. Loans reviewed under these engagements were given compliance, credit, and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. AFFIRM ASSET 2024-B: DBRS Confirms BB Rating on Class E Notes ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed five credit ratings from Affirm Asset Securitization Trust 2024-B: Debt rated Rating Action ---------- ------ ------ Class A Notes AAA(sf) Confirmed Class B Notes AA(high)(sf) Confirmed Class C Notes A(high)(sf) Confirmed Class D Notes BBB(high)(sf) Confirmed Class E Notes BB(sf) Confirmed Credit rating rationale includes the key analytical considerations: -- Transaction capital structure and the form and sufficiency of available credit enhancement (CE). The current levels of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining cumulative net loss (CNL) assumptions at multiples of coverage commensurate with the credit ratings. -- The credit rating actions are the result of collateral performance to date and Morningstar DBRS' assessment of future performance assumptions. -- As a percentage of the original collateral balance, total delinquencies have been stable in recent months. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update," published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse 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. AIMCO CLO 22: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AIMCO CLO 22, Ltd. reset transaction. Entity/Debt Rating ----------- ------ AIMCO CLO 22, Ltd. A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary AIMCO CLO 22, Ltd. (the issuer) reset is an arbitrage cash flow collateralized loan obligation (CLO) that originally closed in Apr 2024 and will be managed by Allstate Investment Management Company. This is the first refinancing where all the existing notes would be refinanced in whole. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.24, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.64% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.77% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrix analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AAAsf' for class A-1-R, between 'Asf' and 'AA+sf' for class A-2-R, between 'BBBsf' and 'A+sf' for class B-R, between 'BBsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'BBB+sf' for class D-1-R, 'BBB+sf' for class D-2-R, and 'BB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for AIMCO CLO 22, 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. ALLY BANK 2026-A: Moody's Assigns B2 Rating to Class F Notes ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to the notes issued by Ally Bank Auto Credit-Linked Notes, Series 2026-A (ABCLN 2026-A). The credit-linked notes reference a pool of fixed rate auto installment contracts with prime-quality borrowers originated and serviced by Ally Bank (Ally, long-term issuer rating Baa2). ABCLN 2026-A is the fifth credit linked notes transaction issued by Ally to transfer credit risk to noteholders through a hypothetical - financial guaranty on a reference pool of auto loans originated and serviced by Ally. The complete rating actions are as follows: Issuer: Ally Bank Auto Credit-Linked Notes, Series 2026-A Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa2 (sf) Class C Notes, Definitive Rating Assigned A2 (sf) Class D Notes, Definitive Rating Assigned Baa2 (sf) Class E Notes, Definitive Rating Assigned Ba2 (sf) Class F Notes, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The Class A-2, Class B and Class C notes (the collateralized notes) are fixed-rate obligations secured by a cash collateral account. Principal payments to these notes will be made from proceeds in the cash collateral account held with a third-party eligible institution rated at least A2 or P-1 by us. Ally will solely be responsible for interest payments, and if the amount on deposit in the cash collateral account is less than the outstanding principal amount of the collateralized notes due to certain unlikely events, also for the payments of principal. The collateralized notes also benefit from a letter of credit (LOC), which can cover up to five months of interest payments if Ally fails to pay or enters FDIC conservatorship or receivership. This LOC is provided by an eligible institution that has a minimum Moody's rating of A2 or P-1. Due to the presence of the cash collateral account and LOC, the ratings of the collateralized notes are not capped by Ally's long-term issuer rating (Baa2). Class D notes, Class E notes, and Class F notes (the uncollateralized notes) are fixed-rate, unsecured obligations of Ally and do not benefit from the protections provided by the cash collateral account or the LOC. Interest and principal on the uncollateralized notes are paid solely from Ally's general funds, without recourse to the collateral account or the LOC. Accordingly, Moody's capped the ratings of the uncollateralized notes at Ally's long-term issuer rating (Baa2), and changes in Ally's ratings could lead to changes in the ratings of the uncollateralized notes. While the payments on the notes are not funded by collections on the reference pool of auto loans, the credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. Additionally, this transaction has a pro-rata structure with target enhancement levels, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. Moody's ratings are based on the quality of the underlying collateral reference pool and its expected performance, the strength of the capital structure, the experience of Ally as the servicer, and the creditworthiness of Ally as reflected in its credit rating. Moody's median cumulative net loss expectation for the ABCLN 2026-A reference pool is 1.05% and loss at a Aaa stress of 7.00%. Moody's based Moody's cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Ally to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A-2 notes, Class B notes, Class C notes, Class D notes, Class E notes, and Class F notes are expected to benefit from 9.00%, 7.40%, 5.30%, 4.35%, 3.20%, and 2.55% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, Class C, Class E and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Additionally, Moody's could upgrade Class D notes if the conditions mentioned above occur and Ally's long-term issuer rating is also upgraded. Down Moody's could downgrade all of the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, Moody's could also downgrade the Class D, Class E and Class F notes if Ally's long-term issuer rating is downgraded. ARES LXI CLO: S&P Affirms BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class X-R2, A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, and D-2-R2 debt from Ares LXI CLO Ltd./Ares LXI CLO LLC, a CLO managed by Ares CLO Management LLC, a subsidiary of Ares Management Corp., that was originally issued in September 2021 and underwent a refinancing in April 2024. At the same time, S&P withdrew its ratings on the previous class X-R, A-1-R, B-R, C-R, and D-R debt following payment in full on the May 29, 2026, refinancing date. S&P also affirmed its rating on the existing 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 May 29, 2027. -- No additional assets were purchased on the May 29, 2026, refinancing date, and the target initial par amount remains the same. There is 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 D-R debt was split into the replacement class D-1-R2 and D-2-R2 debt. S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on the replacement class D-2-R2 debt and the existing class E-R debt. However, we assigned our 'BBB- (sf)' rating on the replacement class D-2-R2 debt and affirmed our 'BB- (sf)' rating on the existing class E-R 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 X-R2, $1.26 million: 0.95% -- Class A-1-R2, $307.50 million: Three-month CME term SOFR + 1.21% -- Class A-2-R2, $19.90 million: Three-month CME term SOFR + 1.40% -- Class B-R2, $49.60 million: Three-month CME term SOFR + 1.60% -- Class C-R2 (deferrable), $29.80 million: Three-month CME term SOFR + 1.97% -- Class D-1-R2 (deferrable), $22.35 million: Three-month CME term SOFR + 3.40% -- Class D-2-R2 (deferrable), $7.45 million: Three-month CME term SOFR + 5.00% Previous debt -- Class X-R, $1.26 million: 1.10% -- Class A-1-R, $307.50 million: Three-month CME term SOFR + 1.53% -- Class A-2-R, $19.90 million: Three-month CME term SOFR + 1.73% -- Class B-R, $49.60 million: Three-month CME term SOFR + 2.10% -- Class C-R (deferrable), $29.80 million: Three-month CME term SOFR + 2.60% -- Class D-R (deferrable), $29.80 million: Three-month CME term SOFR + 3.90% 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 Ares LXI CLO Ltd./Ares LXI CLO LLC Class X-R2, $1.26 million: AAA (sf) Class A-1-R2, $307.50 million: AAA (sf) Class A-2-R2, $19.90 million: AAA (sf) Class B-R2, $49.60 million: AA (sf) Class C-R2, $29.80 million: A (sf) Class D-1-R2, $22.35 million: BBB- (sf) Class D-2-R2, $7.45 million: BBB- (sf) Ratings Withdrawn Ares LXI CLO Ltd./Ares LXI CLO LLC Class X-R to NR from 'AAA (sf)' Class A-1-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Rating Affirmed Ares LXI CLO Ltd./Ares LXI CLO LLC Class E-R: BB- (sf) Other Debt Ares LXI CLO Ltd./Ares LXI CLO LLC Class F-R, $1.83 million: NR Subordinated notes, $50.00 million: NR NR--Not rated. ARINI US VI: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its 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 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 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. AVIS BUDGET 2026-3: Moody's Assigns (P)Ba2 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to the notes to be issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental, LLC. The complete rating actions are as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2026-3 Series 2026-3 Rental Car Asset Backed Notes Class A, Assigned (P)Aaa (sf) Class B, Assigned (P)A2 (sf) Class C, Assigned (P)Baa3 (sf) Class D, Assigned (P)Ba2 (sf) RATINGS RATIONALE The provisional ratings on the series 2026-3 notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the proven track-record and expertise of ABCR as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available dynamic credit enhancement, which consists of subordination and over-collateralization, (6) minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure. In addition, the assumptions Moody's applied in the analysis of this transaction are the same as those applied in the analysis of the series 2026-1 transaction. Some of the key assumptions Moody's applied in Moody's quantitative analysis of these transactions are provided in the Avis Budget Rental Car Funding (AESOP) LLC, Series 2026-3 pre-sale report. Detailed application of the assumptions is provided in the methodology. The total credit enhancement requirement for the series 2026-3 notes will be dynamic and determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 13.80% minimum for non-program (risk) vehicles and (4) 35.70% for medium and heavy duty trucks, in each case, as a percentage of the outstanding note balance. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. As in prior issuances, the transaction documents will stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. The class A, B, and C notes will also benefit from subordination of 27.0%, 17.5% and 11.0% of the outstanding balance of the series 2026-3 notes, respectively. The series 2026-3 notes will have an expected final maturity of approximately 46 months, longer than the 36 months for prior series of notes issued by the issuer. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2026-3 notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2026-3 notes if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 were to decrease and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers. AVIS BUDGET 2026-4: Moody's Assigns (P)Ba2 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to the notes to be issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC. The complete rating actions are as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2026-4 Series 2026-4 Rental Car Asset Backed Notes Class A, Assigned (P)Aaa (sf) Class B, Assigned (P)A2 (sf) Class C, Assigned (P)Baa3 (sf) Class D, Assigned (P)Ba2 (sf) RATINGS RATIONALE The provisional ratings on the series 2026-4 notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the proven track-record and expertise of ABCR as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available dynamic credit enhancement, which consists of subordination and over-collateralization, (6) minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure. In addition, the assumptions Moody's applied in the analysis of this transaction are the same as those applied in the analysis of the series 2026-2 transaction. Some of the key assumptions Moody's applied in Moody's quantitative analysis of these transactions are provided in the Avis Budget Rental Car Funding (AESOP) LLC, Series 2026-4 pre-sale report. Detailed application of the assumptions is provided in the methodology. The total credit enhancement requirement for the series 2026-4 notes will be dynamic and determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.70% for medium and heavy duty trucks, in each case, as a percentage of the outstanding note balance. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. As in prior issuances, the transaction documents will stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. The class A, B, and C notes will also benefit from subordination of 27.0%, 17.5% and 11.0% of the outstanding balance of the series 2026-4 notes, respectively. The series 2026-4 notes will have an expected final maturity of approximately 66 months, longer than the 60 months for prior series of notes issued by the issuer. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2026-4 notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2026-4 notes if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 were to decrease and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers. BAMLL COMMERCIAL 2016-ISQR: S&P Cuts X-B Certs Rating to 'B- (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from BAMLL Commercial Mortgage Securities Trust 2016-ISQR, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on two other classes from the transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction backed by a portion ($370.0 million as of the May 15, 2026, trustee remittance report) of a $450.0 million, 3.62% per annum fixed-rate interest-only (IO) mortgage whole loan. The loan is secured by the borrower's fee-simple interest in International Square, which comprises three interconnected 12-story office buildings with ground-floor retail space built between 1978 and 1982, totaling 1.2 million sq ft in the Washington D.C. central business district (CBD). Rating Actions The downgrades on the class A, B, and C certificates and affirmations on the class D and E certificates primarily reflect that: -- Occupancy has declined since our last review in September 2025, falling to 70.0% as of the Sept. 30, 2025, rent roll, from our assumed 76.7%. In addition, the property faces concentrated tenant rollover in 2028 and 2029; -- The property has had minimal new leasing activity, partly because the office submarket continues to experience elevated vacancy and availability rates (over 20%) for four- and five-star properties with negative net absorption in each year since 2020 (except in 2022 and 2024). S&P believes the property's performance is not likely to improve to historical levels in the near term without significant capital investments; -- S&P's net recovery value is 16.2% lower than the valuation it derived in its last review in September 2025, which included increasing its capitalization rate assumption to reflect potential additional volatility in net cash flows (NCFs) and occupancy at the property; and -- The loan transferred to special servicing on May 7, 2026, due to imminent maturity default. The loan, which has a current payment status, matures on Aug. 10, 2026. According to the special servicer, Torchlight Loan Services LLC, it is currently gathering information on the transfer. S&P said, "The affirmations on the class D and E certificates at 'CCC (sf)' further reflect our qualitative consideration that their repayments are dependent on favorable business, financial, and economic conditions and that the classes are vulnerable to default. "The downgrades on the class X-A and X-B IO certificates reflect our criteria for rating IO securities under which the ratings on those securities cannot be higher than that of the lowest-rated reference class. The notional amount of the class X-A certificates references class A, while that of the class X-B certificates references classes B and C. "We will continue to monitor the performance of the collateral property and loan, as well as the resolution strategy and timing of the special servicing transfer. If we receive information that differs materially from our expectations, we may revisit our analysis and take additional rating actions as we deem necessary." Property-Level Analysis Update As of the Sept. 30, 2025, rent roll, the property was 70.0% leased, down from our assumed 76.7% in our last review. Further, the property faces concentrated tenant rollover in 2028 (10.6% of net rentable area; 16.2% of S&P Global Ratings' in-place gross rent) and 2029 (32.8%; 49.6%). According to CoStar, vacancy and availability rates remain high for four- and five-star properties in the Washington, D.C. CBD office submarket, where the subject property is situated. As of year-to-date May 2026, the submarket average vacancy rate was 20.7%, the availability rate was 26.5%, and the rental rate was $60.33 per sq ft. According to the September 2025 rent roll, the property had a vacancy rate of 30.0% and a gross rent of $67.45 per sq ft, as calculated by S&P Global Ratings. S&P said, "In our current analysis, given the reported declines in occupancy--as noted in the servicer-provided operating statements for the nine months ended September 2025 --as well as a still-weak office submarket, we revised our NCF, capitalization rate, and valuation assumptions. This yielded an S&P Global Ratings value of $288 per sq ft, which was 55.9% below the issuance appraised value, and an S&P Global Ratings loan-to-value ratio of 134.7% on the whole loan. Based on our analysis, the S&P Global Ratings asset quality score is 3.0 and the S&P Global Ratings income stability score is 2.5." Table 1 Servicer-reported performance Nine months ending September 2025(i) 2024(i) 2023(i) Occupancy rate (%) 76.9 73.7 73.3 Net cash flow (mil. $) 22.7 20.5 18.5 Debt service coverage (x) 1.84 1.24 1.12 Appraisal value (mil. $)(ii) 757.0 757.0 757.0 (i)Reporting period. (ii)At issuance, as of June 2016. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (June 2026)(i) (Sep 2025)(i) (Aug 2016)(i) Occupancy rate (%) 70.0 76.7 91.0 Net cash flow (mil. $) 26.6 28.3 35.9 Capitalization rate (%) 8.0 7.3 6.8 Add to Value (mil. $) (ii) 2.1 8.5 16.2 Value (mil. $) 334.1 398.6 548.3 Value per sq ft ($) 288 344 473 Loan-to-value ratio (%)(iii) 134.7 112.9 82.1 (i)Review period. (ii) Present value of future rent steps for investment grade-rated tenants. (iii) Based on the whole loan balance of $450.0 million. Ratings Lowered BAMLL Commercial Mortgage Securities Trust 2016-ISQR Class A to 'BB (sf)' from 'BBB (sf)' Class B to 'B (sf)' from 'BB (sf)' Class C to 'B- (sf)' from 'B+ (sf)' Class X-A to 'BB (sf)' from 'BBB (sf)' Class X-B to 'B- (sf)' from 'B+ (sf)' Ratings Affirmed BAMLL Commercial Mortgage Securities Trust 2016-ISQR Class D: CCC (sf) Class E: CCC (sf) BANK 2017-BNK7: DBRS Cuts Rating on Class X-E Certs to Bsf ---------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on eight classes of Commercial Mortgage Pass-Through Certificates, Series 2017-BNK7 issued by BANK 2017-BNK7 as follows: -- Class A-S to AA (sf) from AA (high) (sf) -- Class B to A (low) (sf) from A (sf) -- Class C to BBB (sf) from BBB (high) (sf) -- Class D to BB (low) (sf) from BB (sf) -- Class E to B (low) (sf) from B (sf) -- Class X-B to BBB (high) (sf) from A (low) (sf) -- Class X-D to BB (sf) from BB (high) (sf) -- Class X-E to B (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class F at CCC (sf) -- Class X-A at AAA (sf) -- Class X-F at CCC (sf) The trends on Classes A-S, B, C, D, E, X-B, X-D, and X-E are Negative. Classes F and X-F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. CREDIT RATING RATIONALE -- The credit rating downgrades and Negative trends reflect the increased credit risk for the transaction as a whole as all, but one loan has an upcoming maturity in 2027. -- Outside of the sole specially serviced loan, First Stamford Place (Prospectus ID #15: 2.4% of the pool), Morningstar DBRS has identified an additional six loans, representing 31.2% of the pool balance, that exhibit elevated refinance risk as a result of ongoing performance challenges. -- Morningstar DBRS analyzed those loans with elevated probability of default (POD) and/or loan-to-value (LTV) adjustments, which resulted in a weighted-average (WA) expected loss (EL) over double the pool average. -- When considering the likelihood of recoverability for those six loans with elevated refinance risk, Classes D, E, and F are the most susceptible to potential for realized losses, supporting the credit downgrades and Negative trends on those classes. -- The credit rating downgrades and Negative trends on Classes A-S, B, and C reflect the downward pressure as a result of the aforementioned adjustments to the loans with elevated refinance risk. If there is further credit deterioration in the pool these classes could be susceptible to future credit rating downgrades. -- The pool's risks overall are somewhat barbelled, given the concentration of loans with increased risk. Mitigating factors include 24.8% of the pool being shadow-rated investment grade, the expectation that majority of the loans in the pool repay successfully at maturity, and generally well-allocated property-type concentrations, supporting the credit rating actions towards the top of the capital stack. POOL/COLLATERAL OVERVIEW -- As of the May 2026 remittance, 60 of the original 65 loans remain in the pool with a current trust balance of approximately $1.05 billion, representing a collateral reduction of 13.7% since issuance. -- To date, four loans, representing 1.3% of the current pool balance, are fully defeased. Thirteen loans, representing 35.9% of the pool balance, are on the servicer's watchlist, nine of which are watchlisted for performance concerns and four for deferred maintenance items. -- The pool is concentrated by property type, with loans backed by office, multifamily, and retail property types representing 24.5%, 23.0%, and 22.4% of the pool, respectively. KEY LOANS First Stamford Plaza (Prospectus ID #15: 2.4% of the pool) -- The loan is secured by a Class A office complex in Stamford, Connecticut. The trust debt of $25.0 million is a pari passu portion of a $164.0 million whole loan securitized across three other CMBS transactions, including JPMCC 2017-JP7 and JPMDB 2017-C7, which are also rated by Morningstar DBRS. -- The loan transferred to special servicing in December 2023 for payment default and the trust took title of the property in February 2025. -- Stabilization efforts remain underway with the special servicer projecting a disposition in 2027. -- The property continues to face occupancy challenges as the February 2026 rent roll reported an occupancy figure of 77.0%. Tenant leases representing 2.7% and 5.8% are scheduled to expire in 2026 and 2027, respectively. While Morningstar DBRS noted 7.5% lease rollover for the upcoming 12 months at the time of the prior review, the occupancy rate has remained stagnant as new leases signed with ONS MSO, LLC (2.5% of the net rentable area (NRA)), Capital One (1.3% of the NRA), and The Guardian Life Insurance Company (1.2% of the NRA) have backfilled some of that space. -- The complex was most recently appraised in December 2025 at a value of $129.0 million, a decline from the issuance-appraised value of $285.0 million. -- Morningstar DBRS liquidated the loan based on a 20% haircut to the December 2025 appraisal while accounting for expected servicer expenses, resulted in a projected loss of $10.6 million and a loss severity of 42.0%. 222 Second Street (Prospectus ID #2: 10.5% of the pool) -- The loan is secured by a Class A office property in the South Financial District submarket of San Francisco. The trust debt of $110.0 million is a pari passu portion of a $291.5 million whole loan, securitized across two other CMBS transactions, none of which are rated by Morningstar DBRS. -- According to the December 2025 rent roll, the property is 100.0% leased to LinkedIn, which is guaranteed by its parent company, Microsoft. The lease was structured in three phases with initial lease expirations in 2025, 2026, and 2027. -- The loan entered the servicer's watchlist in August 2025 as a Cash Trap Event Period occurred related to the to the second phase of lease expirations (32.9% of the NRA). -- LinkedIn has extended its lease for the first phase (34.6% of the NRA) to December 2030, and the servicer confirmed that the second phase has also been extended to December 2031. -- According to the servicer, Floors 17-25 (25.1% of NRA) have been subleased to tenants including Silicon Valley Bank, Demandbase, and Early Warning Services LLC. However, it remains unclear if those tenants will sign direct leases at the subject property in 2027. -- According to Reis, Class A office properties within the South Financial District submarket reported a Q1 2026 vacancy rate of 21.1%. -- While there has been positive momentum from LinkedIn's renewals for the first two phases, approximately 25.0% of the NRA that is currently subleased is set to expire in 2027, potentially complicating refinancing efforts. -- Morningstar DBRS identified this loan as an elevated refinance risk and applied a stressed LTV and an elevated PoD in the analysis, resulting in an expected loss greater than 2.5x the pool average. Corporate Woods (Prospectus ID #4: 5.7% of the pool) -- The loan is secured by a portfolio of 16 office buildings and retail space across more than 2.0 million square feet in the Overland Park suburb of Kansas City. -- The portfolio comprises of five Class A office buildings (53.9% of the NRA), 10 Class B office buildings (44.7% of the NRA), and one retail building (1.4% of the NRA). -- The loan was added to the servicer's watchlist for a cash management trigger activating after the DSCR fell below breakeven in September 2025. -- According to the December 2025 rent roll, the portfolio reported an occupancy rate of 73.0%, with leases representing approximately 12.1% of the NRA set to expire in 2026. -- The rent roll is relatively granular with the largest tenant in the portfolio, PNC Bank National Association (lease expiry in October 2029), occupying only 7.4% of the NRA. -- The portfolio generated NCF of $15.8 million (DSCR of 0.98x) for year-end (YE) 2025, above the YE2024 figure of $13.8 million but well below issuance expectations. -- Morningstar DBRS also identified this loan as an elevated refinance risk and applied a stressed LTV and an elevated PoD, resulting in an expected loss that was approximately three times the pool average. SHADOW-RATED LOANS -- At issuance, four loans were shadow-rated investment grade. With this review, Morningstar DBRS confirms that the performance of those four loans--General Motors Building (Prospectus ID #1, 10.7% of the pool), Westin Building Exchange (Prospectus ID #5, 6.4% of the pool), The Churchill (Prospectus ID #8, 4.7% of the pool), and Moffet Place B4 (Prospectus ID #13, 2.8% of the pool)--remains consistent with investment-grade loan characteristics, given the strong credit metrics, experienced sponsorship, and the underlying collateral's historically stable performance. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, X-D, X-E and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2025-BNK50: DBRS Confirms Bsf Rating on Class J-RR Certs ------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of BANK 2025-BNK50 Commercial Mortgage Pass-Through Certificates, Series 2025-BNK50 issued by BANK 2025-BNK50 as follows: -- Class A-1 at AAA (sf) -- Class ASB at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (high) (sf) -- Class E at A (low) (sf) -- Class F-RR at BBB (sf) -- Class G-RR at BBB (low) (sf) -- Class H-RR at BB (low) (sf) -- Class J-RR at B (sf) -- Class XA at AAA (sf) -- Class A-4-1 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-4-X1 at AAA (sf) -- Class A-4-X2 at AAA (sf) -- Class A-5-1 at AAA (sf) -- Class A-5-2 at AAA (sf) -- Class A-5-X1 at AAA (sf) -- Class A-5-X2 at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class B-1 at AA (high) (sf) -- Class B-2 at AA (high) (sf) -- Class B-X1 at AA (high) (sf) -- Class B-X2 at AA (high) (sf) -- Class C-1 at AA (low) (sf) -- Class C-2 at AA (low) (sf) -- Class C-X1 at AA (low) (sf) -- Class C-X2 at AA (low) (sf) -- Class D-1 at A (high) (sf) -- Class D-2 at A (high) (sf) -- Class D-X1 at A (high) (sf) -- Class D-X2 at A (high) (sf) -- Class E-1 at A (low) (sf) -- Class E-2 at A (low) (sf) -- Class E-X1 at A (low) (sf) -- Class E-X2 at A (low) (sf) All trends are Stable. CREDIT RATING ACTION RATIONALE -- The credit rating confirmations and Stable trends reflect the transaction's overall stable performance since the closing of the transaction in June 2025. POOL/COLLATERAL OVERVIEW -- As of the April 2025 remittance, all the original 34 loans remained in the pool with a trust balance of $489.2 million, reflecting a collateral reduction of 0.35% since issuance. -- One loan is currently on the servicer's watchlist for a non-credit-related reason, and no loans are defeased or in special servicing. -- The pool is predominantly backed by multifamily properties (34.4% of the pool balance), followed by office (26.6%), retail (24.1%), and other property types (14.9%). ANALYTICAL CONSIDERATIONS -- In the analysis for this review, Morningstar DBRS maintained loan-to-value ratios and probabilities of default from issuance given minimal loan-level changes and the overall the lack of seasoning since origination. KEY LOANS Washington Square (Prospectus ID #1; 10.0% of the pool): -- This loan is secured by the borrower's fee-simple interest in Washington Square Mall, a 994,568-square foot (sf), super-regional mall in Portland, Oregon. -- The mall is currently 100.0% occupied with approximately 2.8% of the net rentable area (NRA) having leases scheduled to expire within the next 12 months. -- Cash flows are well in line with issuance expectations given the strong tenancy and prime location, with the annualized trailing nine-month net cash flow (NCF) from September 2025 reporting 15.6% above the Morningstar DBRS issuance derived NCF. Discovery Business Center (Prospectus ID#2; 10.0% of the pool): -- This loan is secured by the borrower's fee-simple interest in Discovery Business Center, a 1.3 million-sf office park in Irvine, California. -- According to the February 2026 rent roll, the property is 84.4% occupied, an improvement from the 79.2% occupancy in October 2024. Lease rollover concerns are moderate as approximately 14.9% of the NRA have leases scheduled to expire in 2026. -- The YE2025 NCF figure is significantly lower than issuance expectations, with the decline being revenue-driven despite the strong occupancy. However, the loan is early in its term having closed in June 2025 and is likely the result of a partial year reporting. Morningstar DBRS reached out to the servicer for details as to what is driving the decrease in revenue; however, as of this commentary, a response remains pending. SHADOW-RATED LOANS Washington Square (Prospectus ID#1; 10.0% of the pool): -- Investment-grade shadow rating reflects the loan's strong credit metrics, strong tenancy, and prime location. Discovery Business Center (Prospectus ID#2; 10.0% of the pool): -- Investment-grade shadow rating reflects the experienced sponsorship and consistent occupancy. Adini Portfolio (Prospectus ID#5; 9.8% of the pool): -- Investment-grade shadow rating reflects the strong submarket and high occupancy across the portfolio. Marriott World Headquarters (Prospectus ID#6; 9.9% of the pool): -- Investment-grade shadow rating reflects the high property quality and investment grade tenant. 10 West 66th Street Co-Op (Prospectus ID#7; 7.2% of the pool): -- Investment-grade shadow rating reflects the historically stable occupancy and sponsor commitment to the property. VISA Global HQ (Prospectus ID#8; 6.7% of the pool): -- Investment-grade shadow rating reflects the experienced sponsorship and high property quality. Foothills Park Place Shopping Center (Prospectus ID#9; 4.1% of the pool): -- Investment-grade shadow rating reflects the historically stable occupancy and low leverage. 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. BBCMS MORTGAGE 2026-5C42: Fitch Rates Two Tranches 'BB-(EXP)sf' --------------------------------------------------------------- Fitch has assigned expected ratings and Rating Outlooks to BBCMS Mortgage Trust 2026-5C42 commercial mortgage pass-through certificates, series 2026-5C42, as follows: - $7,993,000 Class A-1 'AAA(EXP)sf'; Outlook Stable; - $75,000,000a Class A-2 'AAA(EXP)sf'; Outlook Stable; - $360,483,000a Class A-3 'AAA(EXP)sf'; Outlook Stable; - $443,476,000b Class X-A 'AAA(EXP)sf'; Outlook Stable; - $75,233,000 Class A-S 'AAA(EXP)sf'; Outlook Stable; - $29,301,000 Class B 'AA-(EXP)sf'; Outlook Stable; - $22,174,000 Class C 'A-(EXP)sf'; Outlook Stable; - $126,708,000bc Class X-B 'A-(EXP)sf'; Outlook Stable; - $18,214,000c Class D 'BBB-(EXP)sf'; Outlook Stable; - $18,214,000bc Class X-D 'BBB-(EXP)sf'; Outlook Stable; - $11,879,000c Class E 'BB-(EXP)sf'; Outlook Stable; - $11,879,000bc Class X-E 'BB-(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $12,671,000c Class F 'NR(EXP)sf'; Outlook Stable; - $12,671,000bc Class X-F 'NR(EXP)sf'; - $20,590,007cd Class G-RR 'NR(EXP)sf'. (a) The exact initial certificate balances of the class A-2 and class A-3 certificates are unknown but will be $435,483,000 in aggregate, subject to a variance of plus or minus 5%. The certificate balances will be determined based on the final pricing of these classes of certificates. The expected class A-2 balance range is $0-$150,000,000, and the expected class A-3 balance range is $285,483,000-$435,483,000. Fitch's certificate balances for classes A-2 and A-3 reflect the midpoints of each respective range. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 37 loans secured by 58 commercial properties having an aggregate principal balance of $633,538,007 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate INC., Starwood Mortgage Capital LLC, KeyBank National Association, Zions Bancorporation, N.A., German American Capital Corporation, Goldman Sachs Mortgage Company, Argentic Real Estate Finance 2 LLC, Citi Real Estate Funding Inc. and Societe Generale Financial Corporation. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is expected to be LNR Partners, LLC. Computershare Trust Company, National Association will act as the trustee and certificate administrator. The operating advisor and asset representations reviewer will be Park Bridge Lender Services LLC. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 24 loans totaling 89.0% of the pool by balance, including all of the largest 20 loans in the pool. Fitch's resulting NCF of $72,386,625 million represents a 13.5% decline from the issuer's underwritten NCF of $83,702,603 million. Fitch Leverage: The pool higher leverage is in line with those of recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 92.6% compares favorably with the 2026 YTD and 2025 average of 98.1% and 101.0%, respectively. The pool's Fitch NCF debt yield (DY) of 11.4% is above the 2026 YTD and 2025 averages of 10.6% and 9.7%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool represent 56.0% of the pool, which compares favorably with the 2026 YTD and 2025 five-year multiborrower averages of 60.8% and 61.5%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count, at 22.3, consistent with the 2026 YTD and 2025 averages of 22.3 and 21.8, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter Duration Loans: The pool is 100% comprised of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10- year loans, all else 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'/'BBB-sf'/'BB-sf'; - 10% NCF Decline: 'AAAsf'/AAsf'/'A-sf'/'BBBsf'/'BB-sf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'; - 10% NCF Increase: 'AAAsf'/AAAsf'/'AAsf'/'Asf'/'BBBsf'/'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 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. BENCHMARK 2018-B1: S&P Affirms CCC (sf) Rating on Class C Notes --------------------------------------------------------------- S&P Global Ratings conducted an event-driven review of Benchmark 2018-B1 Mortgage Trust, a U.S. CMBS conduit transaction. As a result of its review, S&P lowered its ratings on the class A-M and B commercial mortgage pass-through certificates and affirmed the 'CCC (sf)' rating on class C from the transaction. At the same time, S&P also lowered the ratings on the class X-A and X-B interest-only (IO) certificates from the transaction. Rating Actions The downgrades on the class A-M and B certificates and the affirmation of the 'CCC (sf)' rating on the class C certificates primarily reflect a significant increase in our loss expectation for Valencia Town Center ($29.2 million; 3.9% of the total pooled trust balance), a specially serviced loan with an updated resolution strategy since S&P's last review, in April 2026. That review also resulted in downgrades on the class A-M and B certificates. The significant increase in losses will further erode the credit enhancement available to classes A-M and B. The affirmation of the class C certificates at 'CCC (sf)' reflects S&P's qualitative consideration that its repayment remains dependent on favorable business, financial, and economic conditions and that the class remains vulnerable to default. S&P said, "The downgrades on the class X-A and X-B interest-only (IO) certificates are based on our criteria for rating IO securities, which states that the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-A certificates references classes A-1, A-2, and A-3, which have been repaid in full, and classes A-4, A-5, A-SB, and A-M. The notional amount of the class X-B certificates references the class B certificates. "We will continue to monitor the performance of the transaction and the collateral loans, including any developments around the loans with reported or expected declines in performance and the resolution of the specially serviced loans. To the extent future developments differ meaningfully from our underlying assumptions, we may take further rating actions as we determine are necessary." Portfolio-Level Analysis Update S&P said, "Since our last review, in April 2026, the special servicer, LNR Partners LLC, provided an updated asset status report detailing the resolution strategy on Valencia Town Center. The updates resulted in a revision to our loss expectation on the loan, which we now expect will incur a near-total loss on the remaining loan balance." As of April 2026, Valencia Town Center was the second-largest loan in the pool, with a balance of $51.3 million (6.6%). The loan is secured by the leasehold interest in four office buildings and two parking structures totaling about 395,000 sq. ft. in Santa Clarita, California. The loan transferred to special servicing in November 2025 due to imminent default because the largest tenant at the property, Princess Cruise Lines, was expected to significantly downsize its space at the property upon lease expiration in April 2026 to approximately 138,000 sq. ft. (35% of the net rentable area). S&P noted at the time that the borrower was working with the special servicer on a potential workout, but given the collateral's leasehold status, the workout could be complicated. In addition, there was approximately $24.0 million of reserves, most of it the result of cash management triggered since 2020 following the downgrade of the credit rating on Carnival Corp., the parent company of Princess Cruise Lines. Based on the updated asset status report, the special servicer noted that without a path to realize the leasehold value through a restructuring or sale of the leasehold position, along with a ground rent increase that occurred in April 2026, any continued capital contributed to the property will only result in an increased exposure to the trust without a reasonable expectation of recovery on the collateral. In the May 2026 trustee remittance report, $22.1 million in reserves were used to partially pay down the loan to $29.2 million from $51.3 million. Given that most of the reserve funds had been used to partially repay the loan, and that an abandonment of the leasehold interest appears to be the most likely outcome, S&P expects the loan to incur a near-total loss of the remaining $29.2 million. Ratings Lowered Benchmark 2018-B1 Mortgage Trust Class A-M to 'A- (sf)' from 'A (sf)' Class B to 'BB- (sf)' from 'BB+ (sf)' Class X-A to 'A- (sf)' from 'A (sf)' Class X-B to 'BB- (sf)' from 'BB+ (sf)' Rating Affirmed Benchmark 2018-B1 Mortgage Trust Class C: CCC (sf) BENEFIT STREET XXXV: S&P Assigns (P) BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from Benefit Street Partners CLO XXXV Ltd./Benefit Street Partners CLO XXXV LLC, a CLO managed by BSP CLO Management LLC, a subsidiary of Franklin Templeton, that was originally issued in June 2024. The preliminary ratings are based on information as of June 1, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 8, 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, B, C, D, and E debt and assign ratings to the replacement class A-R, B-R, C-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-R, B-R, C-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 existing class D debt will be split into sequential replacement class D-1-R and D-2-R debt. -- The non-call period will be extended to June 8, 2028. -- The reinvestment period will be extended to July 25, 2031. The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 25, 2039. The target initial par amount will remain at $550 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 25, 2026. An additional $14.04 million in subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Benefit Street Partners CLO XXXV Ltd./ Benefit Street Partners CLO XXXV LLC Class A-R, $346.50 million: AAA (sf) Class B-R, $71.50 million: AA (sf) Class C-R (deferrable), $33.00 million: A (sf) Class D-1-R (deferrable), $33.00 million: BBB- (sf) Class D-2-R (deferrable), $5.50 million: BBB- (sf) Class E-R (deferrable), $16.50 million: BB- (sf) Other Debt Benefit Street Partners CLO XXXV Ltd./ Benefit Street Partners CLO XXXV LLC Subordinated notes, $61.79 million: NR NR--Not rated. BLUEMOUNTAIN CLO XXIX: S&P Affirms BB-(sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R2, B-R2, and C-R2 debt from BlueMountain CLO XXIX Ltd./BlueMountain CLO XXIX LLC, a CLO managed by Sound Point Capital Management L.P. that was originally issued in June 2020 and underwent a refinancing in July 2021. At the same time, S&P withdrew its ratings on the previous class A-1-R, A-2-R, B-R, and C-R debt following payment in full on June 2, 2026, the refinancing date. S&P also affirmed its ratings on the class D-1-R, D-2-R, and E-R debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Dec. 2, 2026. -- 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 June 2, 2026, refinancing date, and the target initial par amount remains at $500 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 25, 2026. -- The previous class A-1-R and A-2-R debt were combined into the replacement class A-R2 debt. -- The required minimum overcollateralization and interest coverage ratios were not amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E-R debt (which was not refinanced). However, we affirmed our 'BB- (sf)' rating on the class E-R debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction will soon enter its amortization phase in July 2026. During the amortization phase, we expect credit support available to all rated classes to increase as principal proceeds are used to pay down the senior debt. "Additionally, we view the refinancing as credit-neutral to credit-positive for the transaction. However, if performance worsens and/or transaction metrics deteriorate, this could result in potential negative rating actions going forward." Replacement And Previous Debt Issuances Replacement debt -- Class A-R2, $320.00 million: Three-month CME term SOFR + 1.05% -- Class B-R2, $60.00 million: Three-month CME term SOFR + 1.55% -- Class C-R2 (deferrable), $30.00 million: Three-month CME term SOFR + 1.95% -- Class D-1-R (deferrable), $22.50 million: Three-month CME term SOFR + 3.41% -- Class D-2-R (deferrable), $7.50 million: Three-month CME term SOFR + 4.51% -- Class E-R (deferrable), $20.00 million: Three-month CME term SOFR + 7.12% Previous debt -- Class A-1-R, $300.00 million: Three-month CME term SOFR + 1.44% -- Class A-2-R, $20.00 million: Three-month CME term SOFR + 1.66% -- Class B-R, $60.00 million: Three-month CME term SOFR + 2.01% -- Class C-R (deferrable), $30.00 million: Three-month CME term SOFR + 2.36% -- Class D-1-R (deferrable), $22.50 million: Three-month CME term SOFR + 3.41% -- Class D-2-R (deferrable), $7.50 million: Three-month CME term SOFR + 4.51% -- Class E-R (deferrable), $20.00 million: Three-month CME term SOFR + 7.12% 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 BlueMountain CLO XXIX Ltd./BlueMountain CLO XXIX LLC Class A-R2, $320.00 million: AAA (sf) (sf) Class B-R2, $60.00 million: AA (sf) (sf) Class C-R2, $30.00 million: A (sf) (sf) Ratings Withdrawn BlueMountain CLO XXIX Ltd./BlueMountain CLO XXIX 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)' Ratings Affirmed BlueMountain CLO XXIX Ltd./BlueMountain CLO XXIX LLC Class D-1-R: BBB+ (sf) Class D-2-R: BBB- (sf) Class E-R: BB- (sf) Other Debt BlueMountain CLO XXIX Ltd./BlueMountain CLO XXIX LLC Subordinated notes, $46.00 million: NR NR--Not rated. BMARK 2026-V22: Fitch Assigns 'B-sf' Rating on Class F-RR Certs --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BMARK 2026-V22 commercial mortgage pass-through certificates, series 2026-V22 as follows: - $2,580,000 class A-1 'AAAsf'; Outlook Stable; - $122,000,000a class A-2 'AAAsf'; Outlook Stable; - $386,350,000a class A-3 'AAAsf'; Outlook Stable; - $510,930,000b class X-A 'AAAsf'; Outlook Stable; - $139,593,000b class X-B 'A-sf'; Outlook Stable; - $73,902,000 class A-S 'AAAsf'; Outlook Stable; - $36,495,000 class B 'AA-sf'; Outlook Stable; - $29,196,000 class C 'A-sf'; Outlook Stable; - $25,547,000bc class X-D 'BBB-sf'; Outlook Stable; - $25,547,000c class D 'BBB-sf'; Outlook Stable; - $14,598,000c class E 'BB-sf'; Outlook Stable; - $10,036,000c,d class F-RR 'B-sf'; Outlook Stable. Fitch does not rate the following classes: - $29,196,560cd class G-RR; - $20,254,178ce class combined VRR Interest. - $0 class R. (a) Since Fitch published its expected ratings on May 4, 2026, the balances for classes A-2 and A-3 were finalized. The initial certificate balances of class A-2 was expected to be in the range of $0-$225,000,000, and the initial certificate balance of class A-3 was expected to be in the range of $283,350,000-$508,350,000.The final class balances of classes A-2 and A-3 are $122,000,000 and $386,350,000, respectively. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention interest. (e) Vertical risk retention interest. - The deal structure and the ratings reflect information provided by the issuer as of May 26, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 32 loans secured by 145 commercial properties with an aggregate principal balance of $750,154,739, as of the cutoff date. The loans were contributed to the trust by Citi Real Estate Funding Inc., German American Capital Corporation, Goldman Sachs Mortgage Company, and Barclays Capital Real Estate Inc. The master servicer is Trimont LLC, and the special servicer is LNR Partners, LLC. The trustee is Wilmington Savings Fund Society, FSB. Citibank N.A. will act as the certificate administrator. The operating advisor and asset representations reviewer will be BellOak, LLC. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 22 loans totaling 91.0% by balance. Fitch's resulting net cash flow (NCF) of $69.1 million represents a 10.5% decline from the issuer's underwritten NCF. Higher Leverage Compared to Recent Transactions: The pool has higher leverage compared to recent U.S. Private Label Multiborrower five-year transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 102.7% is higher than the 2026 YTD and 2025 averages of 97.6% and 101.0%, respectively. The pool's Fitch NCF debt yield (DY) of 9.2% is lower than the 2026 YTD and 2025 averages of 10.5% and 9.7%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 68.1% of the pool, higher than the 2026 YTD and 2025 averages of 59.6% and 61.5%, respectively. The pool's effective loan count of 21.3 is lower the 2026 YTD and 2025 average of 22.8 and 21.8, respectively. Investment-Grade Credit Opinion Loans: One loan representing 9.0% of the pool received an investment-grade credit opinion. Mountain Industrial Portfolio (9.0% of pool) received a standalone credit opinion of 'A-sf*'. The pool's total credit opinion percentage is lower than the 2026 YTD and 2025 averages of 11.2% and 10.6%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 105.3% and 9.2%, respectively, compared with the 2026 YTD conduit LTV and DY averages of 103.1% and 9.9%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'B-sf'/'below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The lists below indicate the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'BBBsf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 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. BREAN ASSET 2026-RM16: DBRS Gives (P)Bsf Rating to Class M5 Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-RM16 (the Notes) to be issued by Brean Asset Backed Securities Trust 2026-RM16 (the Issuer) as follows: -- $154.0 million Class A1 at (P) AAA (sf) -- $22.9 million Class A2 at (P) AAA (sf) -- $176.9 million Class AM at (P) AAA (sf) -- $3.9 million Class M1 at (P) AA (sf) -- $3.9 million Class M2 at (P) A (sf) -- $7.4 million Class M3 at (P) BBB (sf) -- $3.0 million Class M4 at (P) BB (sf) -- $4.5 million Class M5 at (P) B (sf) Class AM is an exchangeable note. This class can be exchanged for combinations of exchange notes as specified in the offering documents. The (P) AAA (sf) credit ratings reflect 109.4% of cumulative advance rate. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 111.8%, 114.2%, 118.8%, 120.6%, and 123.4% of cumulative advance rates, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. Reverse mortgage loans are typically offered to people who are at least 62 years old. Through reverse mortgage loans, borrowers are able to access home equity through a lump sum amount or a stream of payments without periodic repayment of principal or interest, allowing the loan balance to negatively amortize over a period of time until a maturity event occurs. Loan repayment is required: (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year) or if it is no longer the primary residence, (4) upon the occurrence of a tax or insurance default, or (5) if the borrower fails to properly maintain the related residence. In addition, borrowers are required to be current on any homeowner's association dues if applicable. Reverse mortgages are typically nonrecourse: Borrowers are not required to provide additional assets in cases where the outstanding loan amount exceeds property value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the crossover point is reached, contributing to higher loss severities for these loans. As of the May 5, 2026, cut-off date, the collateral has approximately $161.74 million in current unpaid principal balance (UPB) from 465 performing, fixed- and adjustable-rate jumbo reverse mortgage loans secured by first liens on single-family residential properties, condominiums, multifamily (two- to four-family) properties, townhomes, and a co-operative. All loans in this pool were originated in 2026, with loan ages ranging from one month to three months. Of the 465 loans, 396 (84.74% of the UPB) are fixed-rate loans with a weighted-average (WA) mortgage interest rate of 8.841%, and 69 (15.26%) are adjustable-rate mortgages with a WA mortgage interest rate of 9.745%, bringing the total pool WA mortgage interest rate to 8.979%. The transaction uses a structure in which cash distributions are made sequentially to each rated note until the rated amounts with respect to such notes are paid off. The Class A2, M1, M2, M3, and M4 notes have principal lockout insofar as they are not entitled to principal payments prior to the occurrence of an acceleration event or an auction failure event. Classes A1 and A2 (collectively, the Class A notes; and Class AM, if exchanged for all or a portion of the Class A notes as described in the offering documents) and, prior to the earlier occurrence of an auction failure event or an acceleration event, Classes M1, M2, M3, and M4 receive current interest payments on a pro rata basis. The Class M5 notes are accrual notes, and the interest accrual amount will be capitalized to the Class M5 note amount each payment period. The note rate for the Class A notes will reduce to 0.25% if the home price percentage (as measured using the S&P Cotality Case-Shiller U.S. National Home Price NSA Index) declines by 30% or more compared with the value on the cut-off date. If the Notes are not paid in full or redeemed by the Issuer on the Expected Repayment Date in May 2031, the Issuer will be required to conduct an auction within 180 calendar days of the Expected Repayment Date to offer all the mortgage assets and use the proceeds, net of fees and expenses from the auction, to be applied to payments to all amounts owed. If the proceeds from the auction are not sufficient to cover all the amounts owed, the Issuer will be required to conduct an auction within six months of the previous auction. If any of the Notes have not been redeemed or paid in full on or prior to the Expected Repayment Date, these notes will accrue additional accrued amounts. Morningstar DBRS does not rate these additional accrued amounts. If, on any payment date, the average one-month conditional prepayment rate over the immediately preceding six-month period is equal to or greater than 25%, 50% of available funds remaining after payment of fees and expenses and interest to the Class A notes will be deposited into the Refunding Account, which may be used to purchase additional mortgage loans. For additional details, please refer to the Securitization Trust Summary section of the presale report. 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 Accrual Amounts and Note Amount. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, 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. 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) at https://dbrs.morningstar.com/research/454196. Notes: All figures are in U.S. dollars unless otherwise noted. BRIDGE COMMERCIAL 2026-MF: Fitch Rates Class HRR Certs 'B(EXP)sf' ----------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Ratings Outlooks to Bridge Commercial Mortgage Trust 2026-MF, Commercial Mortgage Pass Through Certificates, Series 2026-MF. - $343,100,000 class A 'AAA(EXP)sf'; Outlook Stable; - $54,600,000 class B 'AA-(EXP)sf'; Outlook Stable; - $42,800,000 class C 'A-(EXP)sf'; Outlook Stable; - $60,300,000 class D 'BBB-(EXP)sf'; Outlook Stable; - $76,750,000 class E 'BB-(EXP)sf'; Outlook Stable; - $20,000,000 class F 'B+(EXP)sf'; Outlook Stable; - $31,450,000a class HRR 'B(EXP)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 interests in a trust that holds a two-year, floating-rate, IO mortgage loan with three one-year extension options. The mortgage will be secured by the borrowers' fee simple interests in 11 multifamily properties totaling 4,956 units, located across six states and seven markets (Dallas, Atlanta, Las Vegas, Phoenix, Orlando, Tampa and San Diego). The properties comprise garden-style multifamily communities. Loan proceeds will be used to refinance approximately $469.4 million in prior debt, return $152.8 million in equity to the sponsor and pay $6.8 million in closing costs. The borrower sponsors acquired the properties between 2018 and 2021 and have invested approximately $94.9 million ($19,417 per unit) in capital improvements since 2018. After transaction close, the borrower sponsors will have a cost basis of over $835.7 million and approximately $206.7 million of cash equity remaining in the portfolio. The loan is sponsored by Bridge Multifamily Fund IV International Master LP, Bridge Multifamily Fund IV-A LP and Bridge Multifamily Fund IV LP, both Delaware limited partnerships affiliated with Bridge Investment Group. The certificates will follow a pro rata paydown structure for prepayments of the initial 30% of the loan amount and a standard senior sequential paydown structure thereafter. The mortgage loan has no additional debt. The loan is expected to be originated by Wells Fargo Bank, National Association, JPMorgan Chase Bank, National Association, Morgan Stanley Bank, N.A. and Atlas SP Commercial Mortgage, L.P. KeyBank National Association is expected to be the master servicer, with CWCapital Asset Management LLC as special servicer. Computershare Trust Company, National Association will act as trustee, certificate administrator and custodian. BellOak, LLC will act as operating advisor. The transaction is expected to close on June 18, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch assumed a stressed net cash flow (NCF) for the portfolio at $45.3 million and a 7.75% cap rate to derive a Fitch value of approximately $584.1 million ($117,851 per unit). High Fitch Leverage: The $629.0 million whole loan equates to debt of approximately $126,917 per unit, with a Fitch stressed loan-to-value ratio (LTV) and debt yield of 107.7% and 7.2%, respectively. Geographic Diversity: The portfolio is secured by 11 multifamily properties located in six states and seven MSAs. The three largest state concentrations by allocated loan amount (ALA) are Texas (29.7% of ALA; two properties), Georgia (23.4% of ALA; three properties) and Florida (18.0% of ALA; three properties). The three largest markets by ALA are Dallas, TX (29.7% of ALA; 29.2% of unit count), Atlanta, GA (23.4% of ALA; 28.8% of unit count) and Las Vegas, NV (17.4% of ALA; 17.4% of unit count). The portfolio has effective MSA and property counts of 5.10 and 7.85, respectively. Institutional Sponsorship: The loan is sponsored by Bridge Multifamily Fund IV International Master LP, Bridge Multifamily Fund IV-A LP and Bridge Multifamily Fund IV LP, affiliates of Bridge Investment Group. Bridge Investment Group is an alternative investment manager with approximately $121.0 billion in assets under management (AUM), across specialized asset classes, and experience of over 16 years. In September 2025, Apollo Global Management, Inc. completed a take-private acquisition of Bridge, becoming its ultimate parent entity. Apollo is a global alternative investment manager with $938.4 billion in AUM across credit, equity and real assets. The sponsor has approximately $206.7 million of cash equity remaining in the transaction. The properties are managed in-house by affiliates of the sponsors, with Bridge's principals averaging more than 20 years of experience in local and capital markets. 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'/'Bsf'; - 10% NCF Decline: 'AAsf'/BBB+sf '/'BBB-sf'/'BBsf'/'Bsf'/'B-sf'/'CCC+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'/'Bsf'; - 10% NCF Increase: 'AAAsf'/'AA+sf '/'A+sf'/'BBB+sf'/'BB+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 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. BUSINESS JET 2026-1: S&P Assigns (P) BB (sf) Rating on Cl. C Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Business Jet Securities 2026-1 LLC's fixed-rate asset-backed notes. The note issuance is an ABS transaction backed by loans and leases related to 28 aircraft with an initial aggregate asset value of $813.60 million as of the cutoff date, the corresponding security or ownership interests in the underlying aircraft, and shares and beneficial interests in entities that directly and indirectly receive aircraft portfolio cash flows, among others. The preliminary ratings are based on information as of June 1, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The likelihood of timely interest (excluding additional interest) on the class A notes on each payment date, the ultimate payment of interest (excluding additional interest) on the class B and C notes on or before the legal final maturity, and the ultimate payment of principal on the class A, B, and C notes on or before the legal final maturity; -- The approximately 69% loan-to-value (LTV) ratio (based on the aggregate asset value) on the class A notes, the 76% LTV on the class B notes, and the 81% LTV on the class C notes; -- A fairly diversified and young portfolio of business jets that are either on loan, finance lease, or operating lease to corporates and high net worth individuals; -- The scheduled amortization profile, which is a straight line over 12.5 years for the class A and B notes and 5.8 years for the class C notes. However, the amortization of all classes will switch to full turbo after year six; -- The transaction's debt service coverage ratios, net loss trigger, and utilization trigger, which, if failed, will result in sequential turbo amortization of the notes; -- The transaction's LTV test (class A notes balance divided by aggregate asset value), which, if failed, will result in turbo amortization of the class A notes until the test is brought back to compliance; -- The subordination of class B and C notes' interest and principal to the class A notes' interest and principal; -- The sequential partial sweep payments to the class A and B notes: starting on the 49th payment date and continuing until and including the 72nd payment date, 25% of remaining available funds after all prior payments; -- A liquidity facility, which is available to cover senior expenses and interest on the class A notes. The amount available will equal nine months of interest on the class A notes; and -- The class C interest reserve account, which will not be funded initially but will be funded in the payment priority subject to available amounts in an amount equal to, and provided that no late/early amortization event has occurred within six months of the closing date, in an amount equal to twelve months of interest on the C notes. S&P Global Ratings believes there is a high degree of unpredictability around the duration and scale of the Middle East war and its potential effect on commodity prices, supply chains, economies, and credit conditions. As a result, our baseline forecasts carry a significant amount of uncertainty. As situations evolve, S&P will gauge the macro and credit materiality of potential shifts and reassess our guidance accordingly. Preliminary Ratings Assigned Business Jet Securities 2026-1 LLC Class A, $561.39 million: A (sf) Class B, $56.95 million: BBB+ (sf) Class C, $40.68 million: BB (sf) CANYON CLO 2023-2: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt and proposed new class X-R debt from Canyon CLO 2023-2 Ltd./Canyon CLO 2023-2 LLC, a CLO managed by Canyon CLO Advisors L.P. that was originally issued in May 2024. The preliminary ratings are based on information as of June 1, 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 debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing debt and assign ratings to the replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2R, 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 debt and withdraw our preliminary ratings on the replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt and proposed new class X-R debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1R, A-2R, B-R, C-R, D-1R, and E-R debt is expected to be issued at a lower spread over three-month CME term SOFR than the existing debt. -- The replacement class A-1R, A-2R, B-R, C-R, D-1R, and E-R debt is expected to be issued at a floating spread, replacing the current floating spread. -- An additional 'BBB-(sf)' rated class, class D-2R, is expected to be issued at an 11% par subordination level. -- The non-call period will be extended to July 15, 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. -- No additional assets will be purchased on the June 3, 2026, refinancing date, and the target initial par amount will remain at $500 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2026. -- New class X-R debt will be issued on the refinancing date. This debt is expected to be paid down using interest proceeds during the first 10 payment dates in equal installments of $200,000. -- No additional subordinated notes will be 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, "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." Preliminary Ratings Assigned Canyon CLO 2023-2 Ltd./Canyon CLO 2023-2 LLC Class X-R, $2.00 million: AAA (sf) Class A-1R, $315.00 million: AAA (sf) Class A-2R, $10.00 million: AAA (sf) Class B-R, $55.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1R (deferrable), $30.00 million: BBB- (sf) Class D-2R (deferrable), $5.00 million: BBB- (sf) Class E-R (deferrable), $15.00 million: BB- (sf) Other Debt Canyon CLO 2023-2 Ltd./Canyon CLO 2023-2 LLC Subordinated notes, $40.35 million: NR NR--Not rated. CARMAX SELECT 2026-B: S&P Assigns (P) BB (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to CarMax Select Receivables Trust 2026-B's (CMXS 2026-B) auto receivables asset-backed notes. The note issuance is an ABS securitization backed by nonprime auto loan receivables. The preliminary ratings are based on information as of June 4, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 38.16%, 32.87%, 25.18%, 19.28%, and 16.70% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on our stressed cash flow scenarios. These credit support levels provide at least 3.60x, 3.35x, 2.60x, 1.75x, and 1.50x coverage of our expected cumulative net loss of 9.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its preliminary 'A-1+ (sf)' and 'AAA (sf)', 'AA+ (sf)', 'A+ (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned preliminary ratings. -- The collateral characteristics of the series' pool of nonprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at U.S. Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of CarMax Business Services LLC as servicer. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned CarMax Select Receivables Trust 2026-B Class A-1, $90.00 million: A-1+ (sf) Class A-2, $170.29 million: AAA (sf) Class A-3, $170.29 million: AAA (sf) Class B, $40.41 million: AA+ (sf) Class C, $55.96 million: A+ (sf) Class D, $48.19 million: BBB (sf) Class E(i), $24.87 million: BB (sf) (i)The class E notes are not being offered and are anticipated to be either privately placed or retained by the depositor or another affiliate of CarMax Business Services LLC. CARVANA AUTO 2026-P2: Fitch Assigns BBsf Final Rating on Cl. N Debt ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Carvana Auto Receivables Trust 2026-P2 (CRVNA 2026-P2). Entity/Debt Rating Prior ----------- ------ ----- Carvana Auto Receivables Trust 2026-P2 A-1 ST F1+sf New Rating F1+(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf N LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral — Prime Credit Quality: Carvana 2026-P2 is backed by collateral that is consistent with that of prior prime securitizations issued by Carvana. The Carvana 2026-P2 pool has a weighted average Fair Isaac Corp. (FICO) score of 708, lower than 713 in 2026-P1 and at the lower end of the peer (prime) issuer range. However, FICO scores above 750 total 32.4% of the pool. The transaction's percentage of extended-term loans (61+ months) is elevated at 96.5% of the pool, and loans with terms of more than 72 months formed 75.5% of the pool, both higher than in most comparable transactions. The pool is diversified by vehicle brand, model and geography. Used vehicles make up 97.3% of the pool. Forward-Looking Approach to Derive Rating Case Loss Proxy: Carvana provided managed portfolio data beginning in 2015, which showed consistent performance for its prime originations between 2015 and the start of the COVID-19 pandemic. Post-pandemic performance was strong, owing to significant government stimulus and strong used-car prices, which had a positive impact on pre-pandemic vintages with loans outstanding and the 2020 vintage originations. Performance began to deteriorate with the 2021 vintage, with each subsequent vintage experiencing higher loss levels through 2023 due to higher defaults and lower recoveries as used-vehicle values declined. At this stage, the 2024 and 2025 vintages show improvement, with losses lower than the 2023 vintage. Without a full cycle of detailed historical performance data, Fitch supplemented Carvana's managed performance data with proxy data from a comparable auto loan platform to derive the credit loss expectation. Fitch used Carvana's 2021-2023 performance data and recessionary data from 2007-2008 from peer auto ABS issuers to determine the rating case loss proxy. In addition, Fitch took into account potential risks in the current economic environment and the state of the auto industry and wholesale vehicle market, as well as future expectations and their potential impact on the pool in deriving the rating case loss proxy. Fitch's forward-looking rating case credit cumulative net loss (CNL) proxy is 3.00%, consistent with 2026-P1 and down from 3.50% in 2025-P2. Payment Structure — Adequate CE: Initial hard credit enhancement (CE) totals 11.20%, 7.10%, 2.65%, 0.50% and 0.25% for classes A, B, C, D and N, respectively. These levels are in line with those of 2026-P1, other than a 0.05% increase for class C. Initial expected excess spread is 4.58%. Initial CE is sufficient to withstand Fitch's rating case CNL proxy of 3.00% at the applicable rating loss multiples of 5.00x for 'AAAsf', 4.00x for 'AAsf', 3.00x for 'Asf', 2.00x for 'BBBsf' and 1.50x for 'BBsf'. Operational and Servicing Risks — Stable Origination, Underwriting and Servicing: Carvana demonstrates adequate abilities as an originator and underwriter, and Bridgecrest demonstrates adequate abilities as a servicer. This is evident from the performance history of Carvana's managed portfolio, as well as that of the prior Carvana and DriveTime securitizations where Bridgecrest was the servicer. In addition, Vervent Inc. serves as a backup servicer in case Bridgecrest is unable to perform. Fitch deems Carvana an adequate originator and Bridgecrest an adequate servicer for this transaction. Fitch's base case loss expectation, which does not include a margin of safety and is not used in its quantitative analysis to assign ratings, is 2.75% based on Fitch's "Global Economic Outlook - March 2026" report and historical managed and securitization performance and projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. In addition, unanticipated declines in recoveries could result in lower net loss coverage, which may make certain note ratings susceptible to negative rating action, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade 'BBsf' and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. Fitch increases the rating case CNL proxy by 1.5x and 2.0x to represent moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and the rating impact with a 50% haircut. These analyses aim to indicate the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies and defaults, would increase CE levels and lead to consideration for potential upgrades. If CNL is 20% less than the projected proxy, the ratings for the subordinate notes could be upgraded by up to four notches. The class N notes could be upgraded by only one notch due to the applicable rating cap applied to excess spread notes per Fitch's "Global Structured Finance Rating Criteria." USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 150 automobile receivables from the underlying asset pool. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The concentration of approximately 17.21% of electric vehicles in the pool did not have an impact on Fitch's ratings, rating analysis or conclusions for this transaction. Therefore, it has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHANNEL EF 2026-1: DBRS Finalizes BBsf Rating on Class E Notes -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Notes issued by Channel EF 2026-1, LLC (the Issuer): -- $62,000,000 Class A-1 Notes at R-1 (high) (sf) -- $87,536,000 Class A-2 Notes at AAA (sf) -- $14,394,000 Class B Notes at AA (sf) -- $14,051,000 Class C Notes at A (sf) -- $15,308,000 Class D Notes at BBB (sf) -- $11,538,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The 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 AAA (sf), AA (sf), A (sf), 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 credit 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 does not include any booked residuals. (5) The transaction has a prefunding period (Prefunding Period) which begins 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. An amount up to $31,268,924 of the proceeds from the sale of the Notes has been 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 is 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 is 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 is 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 is the Sponsor and Servicer of this Transaction. In addition, Vervent Inc. is 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 is 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 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 were also 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. Notes: All figures are in U.S. dollars unless otherwise noted DBJPM 2016-C1: Fitch Lowers Rating on Two Tranches to 'Csf' ----------------------------------------------------------- Fitch Ratings has downgraded four and affirmed six classes of DBJPM 2016-C1 Mortgage Trust commercial pass-through certificates, series 2016-C1 (DBJPM 2016-C1). The Outlooks for Classes A-M and X-A were revised to Stable from Negative. Class B was assigned a Negative Outlook following the downgrades. Fitch has downgraded three and affirmed seven classes of Credit Suisse Commercial Mortgage Trust's CSAIL 2016-C6 commercial mortgage trust pass-through certificates. Classes B, C, and X-B, maintain a Negative Rating Outlook. The Outlooks for classes A-S and X-A were revised to Stable from Negative. Fitch has downgraded six and affirmed three classes of DBJPM 2016-C3 Mortgage Trust commercial mortgage pass-through certificates, series 2016-C3 (DBJPM 2016-C3). The Outlooks for classes B, C, and X-B remain Negative. The Outlooks for classes A-M and X-A were revised to Stable from Negative. Fitch has affirmed 12 classes of Wells Fargo Commercial Mortgage Trust 2016-NXS6 (WFCM 2016-NXS6) and revised the Outlooks for classes A-S, B, and X-B to Stable from Negative. Fitch maintains the Negative Outlooks for classes C, D, and X-D. Entity/Debt Rating Prior ----------- ------ ----- DBJPM 2016-C1 A-4 23312LAS7 LT PIFsf Paid In Full AAAsf A-M 23312LAT5 LT AAsf Affirmed AAsf B 23312LAU2 LT BBBsf Affirmed BBBsf C 23312LAV0 LT CCCsf Downgrade Bsf D 23312LAG3 LT Csf Downgrade CCsf E 23312LAH1 LT Csf Affirmed Csf F 23312LAJ7 LT Csf Affirmed Csf X-A 23312LAW8 LT AAsf Affirmed AAsf X-B 23312LAB4 LT CCCsf Downgrade Bsf X-C 23312LAC2 LT Csf Downgrade CCsf X-D 23312LAD0 LT Csf Affirmed Csf DBJPM 2016-C3 A-5 23312VAF3 LT AAAsf Affirmed AAAsf A-M 23312VAH9 LT AA+sf Affirmed AA+sf B 23312VAJ5 LT BBB+sf Downgrade A+sf C 23312VAK2 LT B-sf Downgrade BBsf D 23312VAS5 LT Csf Downgrade CCCsf E 23312VAU0 LT Csf Downgrade CCsf X-A 23312VAG1 LT AA+sf Affirmed AA+sf X-B 23312VAL0 LT BBB+sf Downgrade A+sf X-C 23312VAN6 LT Csf Downgrade CCCsf WFCM 2016-NXS6 A-3 95000KBA2 LT AAAsf Affirmed AAAsf A-4 95000KBB0 LT AAAsf Affirmed AAAsf A-S 95000KBD6 LT AAAsf Affirmed AAAsf B 95000KBG9 LT Asf Affirmed Asf C 95000KBH7 LT BBB-sf Affirmed BBB-sf D 95000KAJ4 LT B-sf Affirmed B-sf E 95000KAL9 LT Csf Affirmed Csf F 95000KAN5 LT Csf Affirmed Csf X-A 95000KBE4 LT AAAsf Affirmed AAAsf X-B 95000KBF1 LT Asf Affirmed Asf X-D 95000KAA3 LT B-sf Affirmed B-sf X-E 95000KAC9 LT Csf Affirmed Csf CSAIL 2016-C6 A-S 12636MAJ7 LT AAAsf Affirmed AAAsf B 12636MAK4 LT Asf Affirmed Asf C 12636MAL2 LT BBBsf Affirmed BBBsf D 12636MAV0 LT CCCsf Downgrade Bsf E 12636MAX6 LT Csf Downgrade CCsf F 12636MAZ1 LT Csf Affirmed Csf X-A 12636MAG3 LT AAAsf Affirmed AAAsf X-B 12636MAH1 LT Asf Affirmed Asf X-E 12636MAP3 LT Csf Downgrade CCsf X-F 12636MAR9 LT Csf Affirmed Csf KEY RATING DRIVERS 'B' Loss Expectations; Increasing Adverse Selection and Pool Concentration: Deal-level 'Bsf' rating case losses are 36.4% in DBJPM 2016-C1, 32.2% in CSAIL 2016-C6, 25.8% in DBJPM 2016-C3, and 5.5% in WFCM 2016-NXS6. Fitch Loans of Concern (FLOCs) comprise five loans (100% of the pool) in DBJPM 2016-C1, all loans are in special servicing (100%); five loans (100%) in CSAIL 2016-C6, all loans specially serviced; five loans (41.0%) in DBJPM 2016-C3, including four specially serviced loans (37.9%); and 10 loans (30.5%) in WFCM 2016-NXS6, including three specially serviced loans (7.7%). The downgrades of classes C, D, X-B, and X-C in DBJPM 2016-C1 are driven by the pool being concentrated with all loans in special servicing and past initial maturity dates including increased expected losses on Williamsburg Premium Outlets (37.9%) and Hagerstown Premium Outlets (14.5%) since the prior review. Additionally, $14.5 million of nonrecoverable advances from the Sheraton North Houston (18.7%) have affected the non-rated classes G and H. The Negative Outlook on class B reflects possible downgrades with lower-than-expected recoveries and/or prolonged workouts on the remaining specially serviced loans. The downgrades of classes D, E, and X-E in CSAIL 2016-C6 reflect an increase in pool loss expectations since Fitch's prior rating action, driven primarily by the Quaker Bridge Mall (34.2%), Laurel Corporate Center (21.9%), Mission Ridge (17.7%), and Jay Scutti Plaza (11.3%) loans. Better-than-expected recoveries from loans that paid off since Fitch's last rating action have partially offset the increases in expected losses. The Negative Outlooks on classes B, C, and X-B reflect declining performance associated with the specially serviced loans. The downgrades of B, C, D, E, X-B, and X-C in DBJPM 2016-C3 reflect an increase in pool loss expectations since Fitch's prior rating action, driven primarily by the real estate-owned Westfield San Francisco Centre (21%), 260 Townsend Street (7%), and InterContinental Kansas City Hotel (6.1%). The Negative Outlooks on classes B, C, and X-B reflect possible further downgrades if performance weakens beyond current expectations, property values decline further, and/or prolonged workout timelines on specially serviced loans, which can impair recoveries upon disposition. The affirmations in WFCM 2016-NXS6 reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks on classes C, D, and X-D reflect the potential for downgrades with further degradation in the value of FLOCs and specially serviced loans or with prolonged workouts for specially serviced loans, including loans failing to refinance at maturity. Due to the heightened concentration risk and the large concentration of 2026 loan maturities in these transactions, Fitch conducted a recovery and liquidation analysis that categorized and ranked the remaining loans based on loan status, collateral quality, and repayment/loss expectations to assess the outstanding class ratings in relation to available credit enhancement (CE). Largest Contributor to Loss Expectations: The largest contributor to overall expected loss in the DBJPM 2016-C1 transaction is the specially serviced Sheraton North Houston loan, which is secured by a 419-key full-service hotel located in Houston, TX. The loan was originally identified as a FLOC prior to the pandemic after United Airlines relocated its pilot training program to Denver, resulting in lost contract revenue. The loan transferred to special servicing in November 2020 due to payment default after the borrower indicated it was unwilling to fund cash flow shortfalls. GF Hotels was appointed receiver in April 2021. The property was listed for sale in January 2025 through an auction platform and the sale concluded in March 2025. The successful bidder, with an offer of $14.75 million, received court approval. As of April 2026, the bidder had been unable to close on the property, and the special servicer plans to relist it for sale. Since the prior rating action, the total loan exposure has decreased by 29.9% due to P&I and servicer advances being deemed nonrecoverable, which applied realized losses to the non-rated classes G and H. Fitch's 'Bsf' rating case loss of 66.8% (prior to concentration add-ons) is based on a Fitch stressed value, which equates to a recovery of $29,415 per key. The second-largest contributor to overall expected loss in DBJPM 2016-C1 is the specially serviced Hagerstown Premium Outlets loan, secured by a 484,994-sf outlet center located in Hagerstown, MD. The loan transferred to special servicing in September 2023 due to payment default. The sponsor, Simon Property Group, completed a loan modification in July 2025, converting the loan to an interest-only structure. The property was 46.5% occupied as of September 2025. Since YE 2021, the NOI DSCR has remained at or below 1.00x, with a reported NOI DSCR of 0.77x as of December 2024, down from 0.99x as of June 2023 and 1.00x at YE 2022. Fitch's 'Bsf' rating case loss of 77.9% (prior to concentration add-ons) is based on the most recent appraisal value, which is approximately 81.1% below the issuance appraisal value and equates to a stressed value of $38 psf. The largest contributor to overall expected loss in CSAIL 2016-C6 is the Quaker Bridge Mall loan, which is secured by a 357,221-sf regional mall located in Lawrenceville, NJ. The non-collateral anchor tenant Lord & Taylor closed in February 2021, and non-collateral anchor tenant Sears closed in 2018, leaving two remaining anchors: JCPenney and Macy's. As of December 2025, the collateral was 72% occupied, compared with 78% in December 2024. The previous largest collateral tenant, Forever 21 (7.5% of NRA; lease expiration in January 2026), vacated in early 2025, which reduced occupancy to 72%. The three largest remaining tenants are Old Navy (4.9%; March 2030), H&M (4.9%; January 2028), and Victoria's Secret (3.4%; January 2030). The NOI DSCR for the full-term interest-only loan as of YE 2025 was 1.85x, compared with 2.06x at YE 2024, 2.08x at YE 2023, 2.00x at YE 2022, and 2.22x at YE 2021. Fitch's 'Bsf' rating case loss of 31.9% (prior to concentration add-ons) reflects a 13% cap rate and a 10% stress to YE 2025 NOI due to tenant rollover. The second-largest contributor to overall expected loss in CSAIL 2016-C6 is the Laurel Corporate Center loan, which is secured by five office buildings totaling 560,147 sf within the Laurel Corporate Center and Bishops Gate Corporate Center office parks. The loan transferred to special servicing in April 2024 due to monetary default and is tracking toward foreclosure. As of February 2026, the buildings were 71.9% occupied, compared with 85.5% in December 2023, 89.8% in December 2022, and 92.0% in December 2021. The NOI DSCR for the amortizing loan as of September 2025 was 1.34x compared to 1.52x at YE 2024, 2.45x at YE 2023, 2.24x at YE 2022, 2.20x at YE 2021, and 2.22x at YE 2020. The property has upcoming tenant rollover of 10.0% in 2026, 15.0% in 2027, and 17.8% in 2028. According to the servicer, disposition strategies are being evaluated. Fitch's 'Bsf' rating case loss of 46.7% (prior to concentration add-ons) reflects a discount to the most recent appraisal, resulting in a stressed value of approximately $50 psf. The largest increase since the prior review and third-largest contributor to overall expected loss in CSAIL 2016-C6 is the Mission Ridge loan, which is secured by two buildings totaling 310,702 sf in Chantilly, VA. The complex meets Level IV security standards and Department of Defense facility criteria, with 30% of the space designated as SCIF space for the secure storage, discussion, and processing of sensitive information. The loan transferred to special servicing in April 2026 due to maturity default. The property's largest tenant, the FBI (56% of NRA), has discussed relocating certain divisions as part of its broader space consolidation strategy. Publicly discussed options have included repurposing the Ronald Reagan Building or building a new headquarters in Greenbelt, MD, though timing and execution remain uncertain. Fitch's 'Bsf' rating case loss of 26.6% (prior to concentration add-ons) reflects a 9.5% cap rate and a 10% stress to YE 2024 NOI due to the possibility of the largest tenant vacating. The largest contributor to overall expected loss in DBJPM 2016-C3 is the REO Westfield San Francisco Centre asset. It consists of a 553,366-sf retail portion and a 241,155-sf office portion of a 1,445,449-sf super-regional mall located in San Francisco's 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 intention to return the keys to the lender. Foreclosure was completed in December 2025, and the asset is currently REO. According to the servicer, the asset is being marketed for sale, and a disposition is expected to be finalized toward the end of 2Q26 or in early 3Q26. Various media outlets have reported that a sale is pending. Most tenants exercised cotenancy termination rights after non-collateral anchor tenants Nordstrom and Bloomingdale's vacated. The shopping mall permanently closed in January 2026 and an on-site property manager is the only remaining occupant. Fitch's 'Bsf' rating case loss of 90.0% (prior to concentration add-ons) reflects a recovery value of $35 psf and is consistent with Fitch's sensitivity scenario at the prior rating action. The elevated loss expectations reflect the asset's completely vacant status and the likelihood of a near-term distressed sale. The second-largest contributor to overall expected loss in DBJPM 2016-C3 is the 260 Townsend Street loan, secured by a 65,638-sf, seven-story office building and an adjacent 82-space parking garage located in San Francisco, CA. At year-end 2025, the property was 65% occupied, but the property's largest tenant will be vacating in September 2026. The YE 2025 NOI DSCR was 1.70x, compared with 2.56x at YE 2024, 2.20x at YE 2023, and 2.14x at YE 2022. The borrower and lender are currently discussing a loan modification to allow the borrower time to re-lease the property. The borrower recently signed a lease with a tenant for 10,793 sf and has issued an LOI to another. Fitch's 'Bsf' rating case loss of 33.1% (prior to concentration add-ons) reflects a 10% cap rate and a 15% stress to YE 2025 NOI due to tenant rollover, as well as a higher probability of default to account for refinancing concerns. The largest contributor to overall expected loss in WFCM 2016-NXS6 is the Peachtree Mall (3.3%) loan, which is secured by the fee-simple interest in a 535,374-sf regional shopping center located in Columbus, GA. The property also includes 286,313 sf of non-collateral anchor space. The loan transferred to the special servicer in November 2025 due to imminent maturity default. The borrower and special servicer initially discussed a possible loan extension but were unable to reach acceptable terms. They are in the process of appointing a receiver for the property. The property was 83% occupied as of September 2025, compared with 86% at YE 2024 and 94% at YE 2023. The largest anchor tenant, Macy's (26% of NRA), has a lease expiration date in September 2027 and has not given notice as to whether it plans to renew. The NOI DSCR as of September 2025 was 1.44x, compared with 1.61x at YE 2024, 1.54x at YE 2023, 1.56x at YE 2022, and 1.58x at YE 2021. Fitch's 'Bsf' rating case loss of 36.2% (prior to concentration add-ons) is based on a stress to the most recent appraisal value. This is approximately 67% below the issuance appraisal value and equates to a stressed value of $69 psf. The second-largest contributor to overall expected loss in WFCM 2016-NXS6 is the Sterling Jewelers Corporate Headquarters FES (3.1%) loan, which is secured by a four-story, single-tenant, 85,686-sf office building in Akron, OH. The property is 100% leased to Sterling Jewelers, Inc. through January 2048 but the property remains vacant. Previously, the entire 79,268 sf of space was available for sublease on CoStar. The listing was removed in November 2025, and a new lease was not signed. Fitch requested a leasing update from the servicer, but none was provided. Fitch's 'Bsf' rating case loss of 33.0% (prior to concentration add-ons) is based on a 25% stress to YE 2025 NOI and a 10% cap rate, as well as a higher probability of default to account for the vacant building. The largest increase in loss expectations since the prior rating action and the third-largest contributor to overall expected loss in WFCM 2016-NXS6, is 313-315 W Muhammad Ali Boulevard (1%), which transferred to special servicing in December 2023 due to imminent monetary default. The single tenant, JCAO - Child Services Division, vacated upon lease expiration in December 2023. The property is currently dark. A receiver was appointed in July 2024, and the asset became REO in September 2025. The asset is secured by a 49,300-sf office property in Louisville, KY, built in 1908 and renovated in 1992. Per the special servicer, the property was recently auctioned and the property is under contract and is expected to close by the end of May. Fitch's 'Bsf' rating case loss of 111.4% (prior to concentration add-ons) is based on a Fitch stressed value, which equates to a recovery of $5 psf. The expected loss includes the total loan exposure of $4.6 million, while the scheduled loan balance is $3.9 million. Changes in Credit Enhancement (CE): As of the May 2026 distribution date, the aggregate balances of DBJPM 2016-C1, CSAIL 2016-C6, DBJPM 2016-C3, and WFCM 2016-NXS6 have been paid down by 77.5%, 76.6%, 55.2%, and 42.9%, respectively, since issuance. As of the April 2026 distribution date, the aggregate balance of CSAIL 2016-C6 has been paid down by 74.6% since issuance. In DBJPM 2016-C1, five of the original 33 loans remain outstanding and interest shortfalls total approximately $4.8 million, in CSAIL 2016-C6, seven of the original 50 loans remain outstanding and interest shortfalls total approximately $2.8 million, in DBJPM 2016-C3, 14 of the original 36 loans remain outstanding and interest shortfalls total approximately $5.8 million, and in WFCM 2016-NXS6, 42 of the original 51 loans remain outstanding and interest shortfalls total approximately $2.9 million. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades of the 'AAAsf' rated classes with Stable Outlooks are not expected, given their position in the capital structure and the expectation of continued amortization and loan repayments. However, downgrades may occur if deal-level losses rise materially and/or interest shortfalls occur or are anticipated. Downgrades of classes rated in the 'AAsf' and 'Asf' categories, particularly those with Negative Outlooks, could occur if FLOC performance deteriorates further, expected losses increase, or more loans than anticipated default during the term and/or at or before maturity. These FLOCs include Sheraton North Houston and Hagerstown Premium Outlets in DBJPM 2016-C1; Quaker Bridge Mall, Laurel Corporate Center, Mission Ridge, and Jay Scutti Plaza in CSAIL 2016-C6; Westfield San Francisco Centre, 260 Townsend Street, and Intercontinental Kansas City Hotel in DBJPM 2016-C3; and Peachtree Mall, Sterling Jewelers Corporate Headquarters FES, and 313-315 W Muhammad Ali Boulevard in WFCM 2016-NXS6. Downgrades of classes rated in the 'BBBsf' and 'Bsf' categories with Negative Outlooks are possible if expected losses increase because of continued underperformance of specially serviced loans or greater certainty of near-term losses. Further downgrades of distressed classes would occur as losses become more certain and/or are realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades of classes rated in the 'AAsf' and 'Asf' categories may occur with significantly increased credit enhancement through paydowns, combined with stable to improved pool-level loss expectations and stabilized performance of the FLOCs, including Sheraton North Houston and Hagerstown Premium Outlets in DBJPM 2016-C1; Quaker Bridge Mall, Laurel Corporate Center, Mission Ridge, and Jay Scutti Plaza in CSAIL 2016-C6; Westfield San Francisco Centre, 260 Townsend Street, and Intercontinental Kansas City Hotel in DBJPM 2016-C3; and Peachtree Mall, Sterling Jewelers Corporate Headquarters FES, and 313-315 W Muhammad Ali Boulevard in WFCM 2016-NXS6. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades of classes rated in the 'BBBsf' and 'Bsf' categories are possible only if performance of the remaining pool remains stable, recoveries exceed expectations, and sufficient credit enhancement is available to support the classes. Upgrades of distressed classes are not expected but are possible if recoveries on specially serviced loans are better than expected 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. DRYDEN 119: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and 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. At the same time, S&P withdrew its ratings on the previous class A-1, B, C-1, C-2, D-1, D-2, and E debt following payment in full on the June 3, 2026, refinancing date. The replacement and new debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt was issued at lower spreads than the existing debt. -- The non-call period was extended to June 3, 2028. -- The reinvestment period was extended to July 15, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 15, 2039. -- 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 will be July 15, 2026. -- New class X-R debt was 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 were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 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) Ratings Withdrawn Dryden 119 CLO Ltd./Dryden 119 CLO LLC Class A-1 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C-1 to NR from 'A+ (sf)' Class C-2 to NR from 'A (sf)' Class D-1 to NR from 'BBB (sf)' Class D-2 to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Dryden 119 CLO Ltd./Dryden 119 CLO LLC Subordinated notes, $35.10 million: NR NR--Not rated. EFMT 2026-AE4: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 58 classes of residential mortgage-backed securities (RMBS) to be issued by EFMT 2026-AE4 Trust, 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, and Cornerstone. The complete rating actions are as follows: Issuer: EFMT 2026-AE4 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa1 (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. A-15, Assigned (P)Aa1 (sf) Cl. A-16, Assigned (P)Aa1(sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aa1 (sf) Cl. A-24, Assigned (P)Aa1 (sf) Cl. A-28, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4 *, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6 *, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-15*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aa1 (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aa1 (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aa1 (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aaa (sf) Cl. A-X-25*, Assigned (P)Aa1 (sf) Cl. A-X-28*, Assigned (P)Aaa (sf) Cl. A-X-29*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.78%, in a baseline scenario-median is 0.47% and reaches 7.92% 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 May 2026. 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. EFMT 2026-NQM5: DBRS Gives (P)Bsf Rating to 3 Note Classes ---------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-NQM5 (the Notes) to be issued by EFMT 2026-NQM5 (the Issuer) as follows: -- $73.4 million Class A-1FCF at (P) AAA (sf) -- $73.4 million Class A-1FCX at (P) AAA (sf) -- $21.6 million Class A-1LCF at (P) AAA (sf) -- $214.3 million Class A-1A at (P) AAA (sf) -- $32.8 million Class A-1B at (P) AAA (sf) -- $247.1 million Class A-1 at (P) AAA (sf) -- $38.0 million Class A-1F at (P) AAA (sf) -- $38.0 million Class A-1IO at (P) AAA (sf) -- $34.8 million Class A-2 at (P) AA (high) (sf) -- $39.8 million Class A-3 at (P) A (high) (sf) -- $10.8 million Class M-1 at (P) BBB (high) (sf) -- $24.5 million Class B-1A at (P) BB (sf) -- $24.5 million Class B-X-1A at P) BB (sf) -- $24.5million Class B-1 at (P) BB (sf) -- $8.6 million Class B-2A at (P) B (sf) -- $8.6 million Class B-X-2A at (P) B (sf) -- $8.6 million Class B-2 at (P) B (sf) Class A-1, Class B-1, and Class B-2 are exchangeable certificate while Classes A-1A, A-1B, B-1A, B-X-1A, and B-2A, B-X-2A are initial exchangeable certificates. These classes can be exchanged in combinations as specified in the offering documents. Classes A-1FCX, B-X-1A and B-X-2A are interest-only (IO) certificates. The class balances represent notional amounts. The (P) AAA (sf) credit ratings on the Certificates reflect 24.60% of credit enhancement provided by the subordinated Certificates. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 17.70%, 9.80%, 7.65%, 2.80% and 1.10% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. CREDIT RATING RATIONALE/DESCRIPTION This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2026-NQM5. The Certificates are backed by 1,381 loans with a total principal balance of approximately $504,157,991 as of the Cut-Off Date (May 1, 2026). The pool is, on average, two months seasoned with loan ages ranging from one to 22 months. Approximately 28.8%, 24.5% and 10.85% of the Mortgage Loans were originated by The Loan Store, Inc., Lendsure Mortgage Corp. and American Heritage Lending, LLC respectively. The remainder of the Mortgage Loans were originated by various mortgage lending institutions, individually comprised less than 10% of the overall mortgage loans. Cornerstone Servicing will service 100.0% of the loans, Computershare Trust Company, N.A will act as Custodian. Rocket Mortgage LLC will act as Master Servicer. Citibank N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 41.2% of the loans by balance are designated as non-QM. Approximately 53.0% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 5.3% of the pool are designated as QM Safe Harbor, and there are 0.5% QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will fund advances of delinquent P&I until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the Mortgage Bankers Association (MBA) method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, EFMT Sponsor LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% of the Initial Class Notional Amount of each class of Offered Certificates, the Class A-IO-S and the Class X Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class X may, at its option, on or after the earlier of (1) the payment date in May 2029 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Certificates at the optional redemption price described in the transaction documents. The Sponsor will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 7.5% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). The Class A-1A and Class A-1B, and separately the Class A-1FCF and Class A-1LCF, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, and Class M-1. Of note, the Class A Certificates coupon rates step-up by 100 basis points on and after the payment date in June 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition -- Compliance with the ATR rules -- Improved underwriting standards -- Current loan status -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- Debt service coverage ratio loans -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers -- Limited servicer advances of delinquent P&I -- The representations and warranties standard. Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Distribution Amount, Interest Carryforward Amount and the related Class Balance (for non-IO Notes). Morningstar DBRS' credit ratings on the Class A-1FCF, Class A-1LCF, Class A-1A and Class A-1B Certificates also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (June 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. FIGRE TRUST 2026-HE5: DBRS Gives (P)B(low) Rating to Class F Notes ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-HE5 (the Notes) to be issued by FIGRE Trust 2026-HE5 (FIGRE 2026-HE5 or the Issuer) as follows: -- $232.6 million Class A at (P) AAA (sf) -- $31.1 million Class B at (P) AA (high) (sf) -- $26.9 million Class C at (P) A (high) (sf) -- $30.6 million Class D at (P) BBB (high) (sf) -- $25.6 million Class E at (P) BB (low) (sf) -- $11.3 million Class F at (P) B (low) (sf) The (P) AAA (sf) credit rating on the Class A Notes reflects 36.45% of credit enhancement provided by subordinate notes. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 27.95%, 20.60%, 12.25%, 5.25%, and 2.15% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other class in this transaction. The securitization is backed by recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 4,460 loans (individual HELOC draws) which correspond to 4,249 HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $365,976,352 and a total current credit limit of $382,772,947 as of the Cut-Off Date (April 30, 2026). The portfolio, on average, is four months seasoned, though seasoning ranges from zero to 27 months. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the home equity line of credit (HELOC) product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of June 2025, Figure originated, funded, and serviced more than 201,700 HELOCs totaling approximately $15.7 billion. Figure is one of the Originators and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the Sponsor of this transaction. FIGRE 2026-HE5 is the 26th rated securitization of HELOCs by Figure. Additionally, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. HELOC Features In this transaction, all HELOCs are open-HELOCs that have a draw period of two, three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from five to 30 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average (WA) utilization rate by current line amount of approximately 95.6% after four months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including five- to 10-year maturities. Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal Figure uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the related report for details. Transaction Counterparties Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Cornerstone Servicing (Cornerstone) will act as Subservicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Cornerstone will retain servicing responsibilities on all loans that were being special serviced by Cornerstone at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. Wilmington Trust, National Association will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible interest consisting of the required percentage of the Class A, B, C, D, E, F, G, and XS Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Sponsor will agree that on an ongoing basis for so long as the Notes are outstanding: -- It will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of Notes, in the form specified in related transaction documents; -- Neither it nor any affiliate will sell, hedge or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitisation Rules and the UK Securitisation Rules respectively; -- It will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitisation Rules or the UK Securitisation Rules; -- It will confirm its EU and UK Retained Interest in the SR Investor Report; and -- It will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason: (A) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above, or (B) it or any of its affiliates fails to comply with the covenants set out above. Similar to other transactions backed by junior lien mortgage loans or HELOCs, but different from certain Morningstar DBRS-rated FIGRE transactions, the HELOCs that are 180 days delinquent under the MBA delinquency method may not be charged off by the Servicer in its discretion. In its analysis, Morningstar DBRS assumes all junior lien HELOCs that are 180 days delinquent under the MBA delinquency method will be charged-off. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $1,280,917 (0.35% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in June 2031, the Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date. On and after the payment date in June 2031 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificateholders or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest (P&I) collections, the Class FR Certificateholders will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. Figure, as a holder of the Class FR Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificateholders. The Reserve Account's required amount will become $0 on the payment date in June 2031 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Transaction Structure The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of the related report for more details. Other Transaction Features For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of P&I on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. The Depositor may, at its option, on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at the direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible Nonperforming Loans (NPLs)) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. The credit ratings reflect transactional strengths that include the following: -- Certain HELOC attributes; -- Robust equity and prime and near-prime credit quality; -- Current loan status; and -- Satisfactory third-party due diligence sample size and compliance review. The transaction also includes the following challenges: -- Holder of the Class FR Certificates may fail to reimburse the Servicer for draws; -- Representations and warranties standard; -- No Servicer advances of delinquent P&I; and -- Certain limitations of third-party due diligence credit and valuation reviews. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the rated notes are the Current Interest, Interest Carryforward Amount, and the Note Amount. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. FORTRESS CREDIT XXVII: S&P Assigns (P) BB- (sf) Rating to E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Fortress Credit Opportunities XXVII CLO B LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Fortress CLO Manager B LLC, a subsidiary of Fortress Investment Group LLC. The preliminary ratings are based on information as of June 4, 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; -- The transaction's legal structure, which is expected to be bankruptcy remote; and -- The rating requirements of The Bank of Nova Scotia as the class A-1R loan holder, as well as the rating requirements of any future class A-1R loan holder(s). 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 Fortress Credit Opportunities XXVII CLO B LLC Class A-1R (i)(ii)(iii), $40.00 million: AAA (sf) Class A-1T, $188.00 million: AAA (sf) Class A-2, $20.00 million: AAA (sf) Class B, $24.00 million: AA (sf) Class C (deferrable), $32.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB (sf) Class D-2 (deferrable), $8.00 million: BBB- (sf) Class E (deferrable), $16.00 million: BB- (sf) Subordinated notes, $46.82 million: NR (i)Revolving tranche. (ii)Issued in loan form. (iii)The preliminary rating on the class A-1R loans addresses the full and timely payment of principal and the referenced interest amount (i.e. interest rate cap), and it does not consider any capped amounts above this referenced interest amount. NR--Not rated. GCAT 2026-NQM3: DBRS Gives (P)B(low) Rating on Class B-2 Certs -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-NQM3 (the Certificates) to be issued by GCAT 2026-NQM3 Trust (GCAT 2026-NQM3 or the Issuer) as follows: -- $37.5 million Class A-1FCF at (P) AAA (sf) -- $12.5 million Class A-1LCF at (P) AAA (sf) -- $188.8 million Class A-1A at (P) AAA (sf) -- $27.1 million Class A-1B at (P) AAA (sf) -- $215.9 million Class A-1 at (P) AAA (sf) -- $18.5 million Class A-2 at (P) AA (high) (sf) -- $23.7 million Class A-3 at (P) A (sf) -- $4.7 million Class M-1 at (P) BBB (high) (sf) -- $13.0 million Class B-1 at (P) BB (high) (sf) -- $4.7 million Class B-2 at (P) B (low) (sf) The (P) AAA (sf) credit ratings reflect 20.25% of credit enhancement provided by the subordinated classes. The (P) AA (high) (sf), (P) A (sf), (P) BBB (high) (sf), (P) BB (high) (sf), and (P) B (low) (sf) credit ratings reflect 14.70%, 7.60%, 6.20%, 2.30%, and 0.90%, respectively, of credit enhancement. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. GCAT 2026-NQM3 is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 752 loans with a total principal balance of approximately $333,361,110 as of May 1, 2026 (the Cut-Off Date). The pool is, on average, three months seasoned with loan ages ranging from zero to 9 months. Approximately 35.3%, 32.4%, and 10.8% of the Mortgage Loans were originated by Arc Home, The Loan Store, and Guild Mortgage Company respectively. The remainder of the Mortgage Loans were originated by various mortgage lending institutions, individually comprised less than 10% of the overall mortgage loans. NewRez LLC (NewRez), formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint will service 100% of the loans. Computershare Trust Company, N.A. and U.S. Bank, National Association will act as Custodians. Rocket Mortgage LLC will act as Master Servicer. U.S. Bank Trust Company, National Association will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 25.6% of the loans by balance are designated as non-QM. Approximately 46.2% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 26.5% of the pool are designated as QM Safe Harbor, and there are 1.7% QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will fund advances of delinquent P&I until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the Mortgage Bankers Association (MBA) method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Retaining Sponsor will retain an eligible vertical interest in the transaction in the required amount of no less than 5.0% of the Initial Class Balance (other than the Class X, Class A-IO-S and Class R Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Controlling Holder may, at its option, on any Distribution Date on or after the date that is the earlier of (i) three years after the Closing Date or (2) the date on which the balance of mortgage loans and REO properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Certificates at the optional termination price described in the transaction documents. The Depositor will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 7.50% of the total principal balance as of the Cut-Off Date. The Issuer may require the Representing Originator to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). The Class A-1A and Class A-1B, and separately the Class A-1FCF and Class A-1LCF, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. The Class A-1 is an exchangeable certificate and can be exchanged with the Class A-1A and Class A-1B as specified in the offering documents. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A Certificates coupon rates step-up by 100 basis points on and after the payment date in June 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. The credit ratings reflect transactional strengths that include the following: -- Robust Loan Attributes and Pool Composition; -- Compliance with the ATR Rules; -- Satisfactory third-party due diligence review; -- Current loan status; and -- Improved underwriting standards. The transaction also includes the following challenges: -- Debt Service Coverage Ratio (DSCR) Loans; -- Certain Non-Prime, Non-QM, Investor Loans, and Loans to Foreign National Borrowers; -- Representations and warranties framework; and -- Limited Servicer Advances of Delinquent Principal and Interest (P&I). Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amount, Interest Carryforward Amount, and Class Balance. The associated financial obligations are listed at the end of this press release. Morningstar DBRS' credit ratings on the Class A Certificates also address the credit risk associated with the increased rate of interest applicable if the Class A certificates remain outstanding on or after the distribution date in June 2030 in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any cap carryover amount based on its position in the cash flow waterfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. GCAT 2026-NQM3: Moody's Assigns Ba2 Rating to Cl. B-1 Certs ----------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 7 classes of residential mortgage-backed securities (RMBS) issued by GCAT 2026-NQM3 Trust, and sponsored by Blue River Mortgage VI LLC, Blue River Mortgage V 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, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A1 (sf) Cl. M-1, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Moody's are withdrawing the provisional ratings for the Class A-1FCF and Class A-1LCF assigned on May 19, 2026, because the Class A-1FCF and Class A-1LCF were not issued 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 1.99%, in a baseline scenario-median is 1.38% and reaches 18.08% 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 May 2026. 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. GS MORTGAGE 2017-GS6: Fitch Lowers Rating on Class F Debt to 'Csf' ------------------------------------------------------------------ Fitch Ratings has downgraded four and affirmed eight classes of GS Mortgage Securities Trust 2017-GS6 (GSMS 2017-GS6). Fitch assigned a Negative Outlook to two classes following their downgrades. The Outlooks are Negative for five of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- GSMS 2017-GS6 A-2 36253PAB8 LT AAAsf Affirmed AAAsf A-3 36253PAC6 LT AAAsf Affirmed AAAsf A-AB 36253PAD4 LT AAAsf Affirmed AAAsf A-S 36253PAG7 LT AAAsf Affirmed AAAsf B 36253PAH5 LT A-sf Affirmed A-sf C 36253PAJ1 LT BBB-sf Affirmed BBB-sf D 36253PAK8 LT B-sf Downgrade BB-sf E 36253PAP7 LT CCsf Downgrade CCCsf F 36253PAR3 LT Csf Downgrade CCsf X-A 36253PAE2 LT AAAsf Affirmed AAAsf X-B 36253PAF9 LT BBB-sf Affirmed BBB-sf X-D 36253PAM4 LT B-sf Downgrade BB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations; Near-Term Maturity Concentration: Deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 7.7% from 6.3%. The transaction has 44 remaining loans, eight of which are Fitch Loans of Concern (FLOCs; 31.6% of the pool), including two loans (16.3%) in special servicing. All of the remaining loans in the pool are scheduled to mature in September 2026 (15 loans, 7.6%) or between January and May 2027 (29 loans, 92.4%). Due to the near-term loan maturities, increasing pool concentration and adverse selection concerns, Fitch performed a recovery and liquidation analysis. The analysis grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment at loan maturity, their loan modification or extension likelihood, and/or loss expectation to assess outstanding classes' ratings relative to their credit enhancement (CE). Fitch assigned higher probabilities of default to loans that are likely to default or have performance declines and/or rollover concerns. The rating actions incorporate this analysis. The downgrades reflect higher pool loss expectations, driven primarily by the FLOCs with elevated loss expectations, including Lafayette Centre (9.0%) and One West 34th Street (4.5%). The downgrades also reflect increased loss expectations on GSK R&D Centre (7.3%). All of these loans are reporting occupancy declines and/or performance deterioration and are expected to have difficulty refinancing. The Negative Outlooks reflect possible downgrades should loss expectations on the FLOCs increase further if they default at maturity, with updated lower valuations and/or with extended resolution times for loans in special servicing. The Negative Outlooks also reflect the pool's concentration of office loans, comprising 51.6% of the pool. Largest Loss Contributors: The largest contributor to overall pool loss expectations is the Lafayette Centre loan, which is secured by a 790,803-sf office property in Washington, D.C. (three office buildings connected by an outdoor plaza and a below-grade mall level). The loan transferred to special servicing in May 2024 for imminent monetary default. The largest tenant, U.S. Commodity Futures Trading Commission (CFTC), had initially noted its intention to vacate and not renew its lease, which was scheduled to expire in September 2025. The tenant represents 37% of the NRA and approximately 60% of the total rent. However, CFTC subsequently extended its lease for an additional year through September 2026, as of August 2025. According to the servicer commentary, as of May 2026 the tenant has not indicated its intention to extend its lease beyond the upcoming September 2026 expiration. Additionally, Medstar, the second-largest tenant, leases 14.2% of the NRA through August 2031 but has a termination option in 2026. The termination option has a $9.4 million penalty, if exercised. According to the December 2025 rent roll, the property was 74% occupied with a most recent servicer-reported NOI DSCR of 1.93x as of December 2025, compared with 1.79x as of September 2024. According to servicer updates, there have been no new discussions regarding a modification or forbearance. CoStar reports that, as of 2Q26, the Washington, D.C., office submarket market had a 17.4% vacancy rate, 19.2% availability rate and $55.61 psf market asking rent. Fitch's 'Bsf' rating case loss of 28.1% (prior to concentration add-ons) reflects a 9.50% cap rate and 15% stress to the YE 2025 NOI to account for occupancy declines, higher submarket vacancy rate and upcoming rollover of the largest tenant in 2026. Fitch's analysis also incorporates an increased probability of default to account for heightened refinance risk. The second-largest contributor to overall loss expectations is the One West 34th Street loan. It is secured by a 210,358-sf office property in New York City, across from the Empire State Building at the corner of West 34th Street and Fifth Avenue. Major tenants include CVS (ground-floor retail; 7.2% of NRA; lease through January 2034), Amazon (3.5%; October 2026) and S4K Entertainment L (3.1%; January 2029). Property occupancy declined to 62.0% as of YE 2025 from 74.5% at YE 2024, 78.3% at YE 2023, 86.7% at YE 2022 and 80.4% at YE 2021. Occupancy declined between 2023 and 2024 following the departure of four tenants (combined 5.3% of NRA) at lease expiry. Servicer-reported NOI DSCR was 0.73x at YE 2025, compared with 0.97x at YE 2024, 1.05x at YE 2023, 0.87x at YE 2022 and 0.82x at YE 2021. The loan is cash managed and reported an excess cash flow reserve of $2.95 million and a replacement reserve of $254,793 as of May 2026. According to CoStar, as of 2Q26, the Penn Plaza/Garment office submarket of New York reported a 11.8% vacancy rate, 10.9% availability rate and $106.26 psf market asking rent. Fitch's 'Bsf' rating case loss of 37.5% (prior to concentration adjustments) is based on a 9.25% cap rate and a 15% stress to YE 2024 NOI and incorporates a higher probability of default due to elevated maturity default risk. The largest increase in loss expectations and the third-largest contributor to overall loss expectations is the GSK R&D Centre loan, which is secured by a 635,058-sf mixed-use property in Rockville, MD. The loan transferred to special servicing in March 2026 due to imminent monetary default. The sole tenant, Human Genome Sciences, Inc. (HGS), a subsidiary of GlaxoSmithKline PLC, has a lease expiration in May 2026. As of May 2026, according to the servicer, the tenant is expected to vacate upon lease expiration, and the borrower has engaged a broker to market the property for lease, with discussions ongoing with prospective tenants. Property occupancy has remained 100% since issuance, prior to the expected departure of HGS. Servicer-reported NOI DSCR was 5.09x at YE 2025, compared with 4.91x at YE 2024, 4.82x at YE 2023, 4.71x at YE 2022 and 4.61x at YE 2021. Fitch's 'Bsf' rating case loss of 15.5% (prior to concentration adjustments) is based on a 9.50% cap rate and a 17.5% stress to YE 2025 NOI, reflecting the implied dark value of the property. It also incorporates a higher probability of default due to elevated refinance risk from the departure of the sole tenant. Change in CE: As of the May 2026 distribution date, the pool's aggregate balance has been reduced by 6.6% to $895.7 million from $959.1 million at issuance. Interest shortfalls of approximately $499,000 and $13,000 are currently affecting classes G and VRR respectively. There have been no realized losses to date, and 19 loans (17.3%) have been defeased. 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 their high CE, senior position in the capital structure and expected pay off in the near term from defeased loans and those expected to repay at maturity, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. - Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are possible with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur; - Downgrades to 'Asf' category rated class could occur should performance and valuation of the FLOCs, most notably Lafayette Centre, One West 34th Street, and GSK R&D Centre, deteriorate further or if more loans than expected default at or prior to maturity. - Downgrades to the 'BBBsf' and 'Bsf' category rated classes are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. - Downgrades to 'CCsf' and 'Csf' rated classes would occur if additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, including Lafayette Centre, One West 34th Street, and GSK R&D Centre. - Upgrades to 'BBBsf' and 'Bsf' category rated class are not likely and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to 'CCsf', and 'Csf' rated 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. GS MORTGAGE 2018-GC10: DBRS Confirms C Rating on Class G-RR Certs ----------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-GS10 issued by GS Mortgage Securities Trust 2018-GS10 as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at A (sf) -- Class C at BBB (sf) -- Class D at BB (high) (sf) -- Class E at B (low) (sf) -- Class F at CCC (sf) -- Class G-RR at C (sf) -- Class X-A at AAA (sf) -- Class X-B at A (high) (sf) -- Class X-D at B (sf) Classes F and G-RR have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. All other trends are Stable. CREDIT RATING ACTION RATIONALE -- At the previous credit rating action in June 2025, Morningstar DBRS downgraded its credit ratings on Classes B, X-B, C, D, X-D and E to reflect the liquidated loss projections and continued credit erosion from the three loans in special servicing. The downgrades were also warranted given the high concentration of loans backed by suburban office properties (formerly 40.0% of the pool). -- In total, almost $117.0 million in pooled certificates at the bottom of the capital stack are unrated or have Morningstar DBRS credit ratings below investment grade. -- With this review, the credit rating confirmations and Stable trends are reflective of the relatively unchanged credit outlook since the prior credit rating action. Based on the analysis for this review, Morningstar DBRS' liquidated loss projections total approximately $34.0 million, down slightly from $35.7 million at the previous review; the scenario suggests losses remain contained to the Class G-RR certificate. -- Since the last credit rating action, the pool's former largest loan, GSK North American HQ (Prospectus ID#1, formerly 9.5% of the pool), was liquidated in December 2025 with no loss. -- The positive outcome for the GSK North American HQ loan has been offset by an updated appraisal for the now-largest loan, 1000 Wilshire (Prospectus ID#2, 16.7% of the pool), which valued the collateral property 70.0% below the issuance appraised value. That loan is the largest contributor to Morningstar DBRS' projected liquated loss amount. POOL/COLLATERAL OVERVIEW -- The subject transaction has a directed certificate component tied to the subordinate debt portion of the largest loan in the pool; Morningstar DBRS does not rate those certificates. -- As of the April 2026 remittance, 32 of the original 33 loans remain in the pool with a pooled trust balance of $707.0 million, reflecting a collateral reduction of 12.8% since issuance. Inclusive of the directed certificate balance, the trust balance is $770.0 million. Defeasance exposure is relatively limited, with just two loans representing 2.9% of the pool. -- Ten loans, representing 26.1% of the pool, including two of the 10 office-backed loans, are currently on the servicer's watchlist, being monitored mainly for rollover concerns, high submarket vacancy, and low debt to service coverage ratios (DSCRs). Two loans, representing 10.4% of the pool, are in special servicing. -- The pool reported a healthy weighted-average (WA) DSCR of 2.4 times (x), which remains in line with issuance WA DSCR. ANALYTICAL CONSIDERATIONS -- In the analysis for this review, Morningstar DBRS applied elevated probabilities of default (PODs) to increase the loan-level expected losses (ELs) for nine loans (31.0% of the pool balance) that were identified as loans of concern. The resulting WA EL for these loans was approximately 2.0x greater than the pool average EL. -- Six of the loans analyzed with stressed PODs are in the top 15 and the scenarios primarily reflected rollover risk, with lease expirations ranging between 10% and 35% of the respective net rentable area (NRA) over the next 12 months. KEY LOANS 1000 Wilshire (Prospectus ID#2, 16.7% of the pool): -- The largest loan in special servicing is 1000 Wilshire, which is secured by a 477,774-square-foot (sf) Class A office building in Los Angeles. The loan transferred to special servicing in March 2025 for maturity default. -- Wedbush Securities (21.0% of the NRA), the former largest tenant, vacated at lease expiration in December 2025, dropping occupancy to less than 50%. According to the servicer, there are currently no prospective tenants. -- According to Reis, Inc., the subject's Downtown submarket reported a Q1 2026 vacancy of 19.3%, where it's expected to hover through 2030. -- An updated March 2026 appraisal valued the property at $59.1 million, representing a significant 70% decline from the $197.5 million issuance appraised value. -- Morningstar DBRS referred to the recent liquidation price of $30.3 million ($90 per sf (psf)) for 811 Wilshire in the COMM 2014-UBS6 transaction as a comparable for the subject property. Referencing that value suggested a 30.0% haircut to the March 2026 value, resulting in a Morningstar DBRS liquidation value of $41.3 million ($87 psf), a projected loss severity of 41.0% on the senior portion of the debt that backs the pooled certificates, and implied losses of $26.8 million. CAPITAL COMPLEX (Prospectus ID#25, 1.1% of the pool): -- The smaller loan in special servicing, Capital Complex, is secured a 178,328-sf office property in Frankfurt, Kentucky. The loan transferred to special servicing in January 2023 because of imminent monetary default. The trust took title to the property in April 2026. -- Occupancy is low, most recently reported at 63.0% as of September 2025, down from 99.0% from issuance. The YE2025 financials reported a low DSCR of 0.40x, down by 1.75x when compared with the issuance figure. -- The bulk of the tenancy is represented by government tenants and the second-largest tenant, Department of Juvenile Justice (24,581 sf, 13.5% of the NRA), has a lease expiration in June 2026. The renewal status for that tenant has not been communicated by the special servicer to date. -- The property was most recently valued at $6.75 million in July 2025, a 52.0% decline from the issuance appraised value of $14.1 million. -- Because of the secondary market, low in-place occupancy, and potential for further decline in the near term, Morningstar DBRS analyzed this loan with 30% haircut to the most recent appraised value, resulting in a liquidated value of $4.7 million ($26 psf), a loss severity of 84% and implied losses of approximately $7.1 million. SHADOW-RATED LOAN -- Two loans, Aliso Creek Apartments (Prospectus ID#3, 8.9% of the pool) and Marina Heights State Farm (Prospectus ID#11, 3.9% of the pool), were shadow-rated investment grade by Morningstar DBRS at issuance. With this review, Morningstar DBRS confirms that the performance of these two loans remains consistent with investment-grade loan characteristics. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, 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. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2026-CES3: S&P Assigns 'B' Rating on B-2 Notes ---------------------------------------------------------- S&P Global Ratings assigned its 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 qualified mortgage (QM)/non-HPML (safe harbor), QM/HPML (rebuttable presumption), non-QM/compliant, and not covered/exempt loans. S&P said, "After we assigned preliminary ratings on May 26, 2026, the interest rate for the class B-2 notes was priced with the net weighted average coupon (WAC) rate. After analyzing the final coupons, our ratings remain unchanged from our preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (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." 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 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 2026-NQM4: DBRS Gives (P)Bsf Rating on Cl. B-2 Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-NQM4 (the Certificates) to be issued by GS Mortgage-Backed Securities Trust 2026-NQM4 (GSMBS 2026-NQM4 or the Issuer) as follows: -- $37.5 million Class A-1FCF at (P) AAA (sf) -- $12.5 million Class A-1LCF at (P) AAA (sf) -- $208.6 million Class A-1A at (P) AAA (sf) -- $31.3 million Class A-1B at (P) AAA (sf) -- $239.9 million Class A-1 at (P) AAA (sf) -- $19.9 million Class A-2 at (P) AA (high) (sf) -- $32.0 million Class A-3 at (P) A (high) (sf) -- $13.8 million Class M-1 at (P) BBB (high) (sf) -- $9.5 million Class B-1 at (P) BB (high) (sf) -- $8.1 million Class B-2 at (P) B (sf) The (P) AAA (sf) credit ratings reflect 23.40% of credit enhancement provided by the subordinated classes. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (high) (sf), and (P) B (sf) credit ratings reflect 18.15%, 9.70%, 6.05%, 3.55%, and 1.40%, respectively, of credit enhancement. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. GSMBS 2026-NQM4 is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 972 loans with a total principal balance of approximately $398,424,536 as of May 1, 2026 (the Cut-Off Date). The pool is, on average, five months seasoned with loan ages ranging from five to 10 months. The mortgage loan seller acquired approximately 16.1% of the mortgage loans, by aggregate stated principal balance as of the Cut-off Date, from United Wholesale Mortgage, LLC; approximately 83.9% of the loans were originated by other originators. All the other originators individually comprised less than 10% of the overall mortgage loans. NewRez LLC (NewRez), formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint, and Select Portfolio Servicing Inc. will service 97.6% and 2.4% of the loans, respectively. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend) will act as Custodian and Securities Administrator. U.S. Bank Trust N.A. will act as Delaware Trustee. As of the Cut-Off Date, 99.6% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 58.3% of the loans by balance are designated as non-QM. Approximately 39.4% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 2.3% of the pool are designated as QM Safe Harbor (by unpaid principal balance), and there are no QM Rebuttable Presumption loans. Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either greater than 90 days delinquent under the MBA method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance; the cost of preservation, restoration, and protection of mortgaged properties; and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The sponsor, Goldman Sachs Mortgage Company, or a majority-owned affiliate, will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the trust representing the right to receive at least 5.0% of the amounts collected on the mortgage loans, net of the trust's fees, expenses, and reimbursements and paid on the Notes (other than the Class R Certificates) and the Retained Interest to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The controlling holder may, at its option, on or after the earlier of (1) the distribution date in May 2029 and (2) the date on which the balance of mortgage loans falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption), purchase all of the outstanding Certificates at the price described in the transaction documents. The Issuer may require the seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold. Class A-1A and Class A-1B, and separately Class A-1FCF and Class A-1LCF, have group-specific allocations of principal, interest, and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Class A-1 is an exchangeable certificate and can be exchanged with Class A-1A and Class A-1B as specified in the offering documents. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid cap carryover amounts due to the Class A and Class M-1 certificates (and Class B-1 if issued with fixed rate). Of note, the Class A certificates coupon rates step-up by 100 basis points on and after the payment date in June 2030. Interest and principal otherwise payable to the Class B-3 certificates as accrued and unpaid interest may be used to pay the Class A certificates' cap carryover amounts. The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition; -- Compliance with the ATR rules; -- Satisfactory third-party due diligence review; -- Current loan status; and -- Improved underwriting standards. The transaction also includes the following challenges: -- Debt service coverage ratio (DSCR) loans; -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers; -- Representations and warranties framework; and -- Limited servicer advances of delinquent P&I Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amount, Interest Carryforward Amount, and Class Principal Balance. The associated financial obligations are listed at the end of this press release. Morningstar DBRS' credit ratings on the Class A certificates also address the credit risk associated with the increased rate of interest applicable if the Class A certificates remain outstanding on or after the distribution date in June 2030 in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any cap carryover amount. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2026-NQM4: S&P Assigns 'B' Rating on B-2 Certs ---------------------------------------------------------- S&P Global Ratings assigned its ratings to GS Mortgage-Backed Securities Trust 2026-NQM4's mortgage-backed certificates. The certificates issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and cooperatives. The pool consists of 972 loans, comprising qualified-mortgage (QM) safe harbor (average prime offer rate), non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. S&P said, "Following our preliminary rating actions on May 21, 2026, the issuer decided not to issue the class A-1FCF and A-1LCF certificates on the closing date. As a result, the class A-1A and A-1B certificate amounts increased to $252.082 million and $37.851 million, respectively, from $208.610 million and $31.323 million. The corresponding class A-1 certificate amount also increased to $289.933 million from $239.933 million. The subordination credit enhancement on the classes remains unchanged. After analyzing the final coupons and the updated structure, we assigned ratings to the remaining classes that are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned GS Mortgage-Backed Securities Trust 2026-NQM4 Class A-1A, $252,082,000: AAA (sf) Class A-1B, $37,851,000: AAA (sf) Class A-1, $289,933,000: 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(i): NR Class SA, (ii): NR Class PT, $378,503,309: NR Class R(iii),N/A: NR (i)The notional amount for the class X certificates equals the non-retained interest percentage (95%) of the loans' aggregate unpaid principal balance and is initially $378,503,309. (ii)The class SA certificate balance equals the non-retained interest percentage of the pre-existing servicing advances as of the closing date and is initially $45,612. (iii)The class R certificates will not have a principal amount and represents residual interest in the issuing entity. NR--Not rated. N/A--Not applicable. GSF 2025-5: Fitch Affirms 'BB-(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has upgraded the expected ratings for classes A-1, A-2, A-S and B of GSF 2025-5 Issuer LLC. Fitch has also affirmed the existing expected ratings for classes C, D, E and X. The rating actions relate to GSF 2025-5 Ramp No. 1. - $34,148,000 class A-1 upgraded to 'AAA(EXP)sf' from 'A(EXP)sf': Outlook Stable - $68,311,000 class A-2 upgraded to 'AAA(EXP)sf' from 'A(EXP)sf': Outlook Stable - $14,271,000 class A-S upgraded to 'AAA(EXP)sf' from 'A(EXP)sf': Outlook Stable - $12,739,000 class B upgraded to 'AA-(EXP)sf' from 'A(EXP)sf': Outlook Stable - $12,243,000 class C affirmed at 'A-(EXP)sf': Outlook Stable - $0a class X affirmed at 'A-(EXP)sf': Outlook Stable - $15,411,000b class D affirmed at 'BBB-(EXP)sf': Outlook Stable - $9,732,000c class E affirmed at 'BB-(EXP)sf': Outlook Stable The following class is not expected to be rated by Fitch: - $15,708,000c class F (a) Notional amount and interest only (IO). (b) Privately placed and pursuant to Rule 144A. (c) Horizontal risk retention interest, estimated to be 13.93% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $182,563,000. The expected ratings are based on information provided by the issuer as of May 20, 2026. Transaction Summary The transaction contains five-year, fixed rate, stabilized loans in a Qualified REIT subsidiary. This is a ramping facility that funds loans directly from the securitization vehicle upon their origination. On Day 1, note holders have committed to buy all the notes the securitization will issue. When new loans are ready to be funded, a capital call will be issued and the note holders will purchase the new notes that are issued. Fitch previously rated a pool of 10 identified but unclosed loans totaling $172.1 million and applied a rating cap of 'Asf' in October 2025. Since October 2025, the pool size increased from $172.2 million to $182.6 million and included a net increase of three loans for a total of 13 loans secured by 13 properties. Fitch will rerate at several funding milestones: (i) after the identified 13-loan pool closes; and (ii) when funding reaches 50%, 75%, and 100% of the target funding amount of $700 million across 30 loans. Fitch modeled the issuer-provided tape of 13 loans totaling $182.6 million. Fitch reviewed all 13 loans. Fitch toured five properties, which account for 48.7% of the pool. Guided tours represented 60.8% of the site visits. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on five loans totaling 100% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $19.6 million represents a 10.2% decline from the issuer's aggregate underwritten NCF of $21.8 million. Lower Leverage Compared to Recent Transactions: The pool's Fitch loan-to-value ratio (LTV) of 97.2% is lower than the 2026 YTD Multiborrower five-year Fitch LTV of 98.1%, and lower than the 2025 Multiborrower five-year Fitch LTV average of 101.0%. Additionally, the pool's Fitch debt yield (DY) is 10.8%, higher than the 2026 YTD Multiborrower five-year Fitch DY average of 10.5%, and higher than the 2025 Multiborrower five-year Fitch DY average of 9.7%. Lower Interest Rates: The pool's weighed average note rate is 6.0%, lower than the 2026 YTD Multiborrower five-year average note rate of 6.3%, and lower than the 2025 Multiborrower five-year average of 6.5%. Additionally, the pool's Fitch Term Debt Service Coverage Ratio (DSCR) is 1.49x, higher than the 2026 YTD Multiborrower Fitch Term DSCR average of 1.31x, and higher than the 2025 Multiborrower five-year Fitch Term DSCR average of 1.20x. Highly Concentration by Loan Size: The pool carries 13 loans with an effective loan count of 10.5 and translates to a higher pool concentration compared to recent multiborrower transactions. The pool's effective loan count of 10.5 is lower than the 2026 YTD Multiborrower five-year average of 22.3 and 2025 Multiborrower five-year average of 21.8. Amortization: The pool is comprised of 100% of interest-only amortization loans and features 0.0% paydown from securitization to maturity. This is lower than the 2026 YTD Multiborrrower five-year average of 2.0%, and lower than the 2025 Multiborrower five-year average of 0.9%. Higher Property-Type Concentration: GSF 2025-5 has an effective property count of 3.2. This is lower than the 2026 YTD Multiborrower five-year average of 5.5, and the 2025 Multiborrower five-year average of 4.7. The 2025 CRE CLO and 2025 Multiborrower five-year reported multifamily exposures of 76.7% and 27.8%, respectively. Office accounts for 35.2% of the pool; this is higher than the 2026 YTD Multiborrower five-year average of 22.7% and 2025 Multiborrower five-year average of 20.9%. Higher Geographic Concentration: GSF 2025-5 has an effective geographic count of 7.8, which is lower than the 2026 YTD Multiborrower five-year average of 13.7 and lower than the 2025 Multiborrower five-year average of 8.7. Loans located in the NYC MSA account for 23.3% of the pool. Loans located in the Richmond, VA MSA account for 17.5% of the pool. Loans located in the Chicago MSA account for 10.8% of the pool. Shorter Duration Loans: Loans with five-year original terms constitute 100% of the pool, while Fitch-rated multiborrower transactions have historically primarily included 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 decreased property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivities to changes in one variable, Fitch NCF: A-1 & A-2 / A-S / B / C / D / E - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf/'A-sf'/'BBB-sf'/'BB-sf' - 10% Decline to Fitch NCF: 'AAAsf'/'AAAsf'/'AA-sf/'A-sf'/'BB+sf'/'B+sf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvements in cash flow increase property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivities to changes in one variable, Fitch NCF: A-1 & A-2 / A-S / B / C / D / E - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf/'A-sf'/'BBB-sf'/'BB-sf' - 10% Increase to Fitch NCF: 'AAAsf'/'AAAsf'/'AAAsf/'A+sf'/'BBBsf'/'BBsf' 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. HERTZ VEHICLE III: DBRS Rates Series 2026-1 Class D Notes '(P)BB' ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes (collectively, the Notes) to be issued by Hertz Vehicle Financing III LLC (HVF III): Hertz Vehicle Financing III LLC (HVF III) Series 2026-1 -- $163,500,000 Series 2026-1, Class A Notes at (P) AAA (sf) -- $24,000,000 Series 2026-1, Class B Notes at (P) A (sf) -- $32,000,000 Series 2026-1, Class C Notes at (P) BBB (sf) -- $19,000,000 Series 2026-1, Class D Notes at (P) BB (sf) Hertz Vehicle Financing III LLC (HVF III) Series 2026-2 -- $163,500,000 Series 2026-2, Class A Notes at (P) AAA (sf) -- $24,000,000 Series 2026-2, Class B Notes at (P) A (sf) -- $32,000,000 Series 2026-2, Class C Notes at (P) BBB (sf) -- $19,000,000 Series 2026-2, Class D Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement in the form of subordination, overcollateralization (OC), letters of credit (LOCs), and any amounts held in the reserve account support the Morningstar DBRS stress-case liquidation analysis with bankruptcy and liquidation period assumptions that vary by rating category and vehicle type (program versus nonprogram) as well as residual value stresses that vary by rating category for nonprogram vehicles and program vehicles from non-investment-grade-rated manufacturers. -- Liquid credit enhancement will be provided in the form of a reserve account and/or an LOC sufficient to cover interest on the Notes, consistent with Morningstar DBRS' criteria for this asset class. (2) Credit enhancement in the transaction is dynamic, depending on the composition of the vehicles in the fleet and certain market value tests. --The enhancement in the transaction depends on whether the vehicles are program or nonprogram, whether the manufacturer is investment grade or below investment grade, and if a vehicle is a medium-duty truck. -- For nonprogram vehicles, the enhancement levels may increase as a result of two market value tests: (1) a marked-to-market (MTM) test that compares the market value of the vehicles with the net book value (NBV) of these vehicles and (2) a disposition proceeds test that compares the actual disposition proceeds of vehicles sold with the NBV of those vehicles. -- If the credit enhancement required in the transaction increases and HVF III is unable to meet the increased enhancement levels, then an Amortization Event may occur that will result in a Rapid Amortization of the notes. -- The required credit enhancement is subject to a floor of 9.00% of the assets. (3) Amortization Events include, but are not limited to, default in the payment of amounts due after five consecutive business days, default in the payments of amounts due by the expected final payment date, deficiency of amounts available in the liquidity reserve account, payment default under the master lease, the required asset amount exceeding the aggregate asset amount, servicer default, and administrator default. (4) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the documents. The credit ratings address the timely payment of interest to the Class A, Class B, Class C, and Class D noteholders at their respective note rates as well as ultimate payment of principal on the notes, in each case by the legal final payment date. (5) The intention of each party to the master lease to treat the lease as a single indivisible lease. (6) The transaction allows vehicles, for which the Collateral Agent has not yet been noted on the Certificates of Title as lienholder, to remain as eligible assets for up to 45 days for new vehicles and 60 days for used vehicles (Lien Holidays). All vehicles benefit from a negative pledge. (7) Inclusion of medium-duty trucks that are subject to a limit of 5% and a required credit enhancement of 35%. (8) Tesla vehicles are subject to a concentration limit of 10.0%. (9) 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. (10) The transaction parties' capabilities to effectively manage rental car operations and dispose of the fleet to the extent necessary. -- Morningstar DBRS has performed an operational review of Hertz and considers the entity a capable rental fleet operator and manager. -- Lord Securities Corporation is the backup administrator for this transaction, and defi AUTO, LLC is the backup disposition agent. (11) The legal structure and its consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology, the provision of legal opinions that address the treatment of the operating lease as a true lease, the nonconsolidation of the special-purpose vehicles with Hertz and its affiliates, and that the trust has a valid first-priority security interest in the assets. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Notes are the related Monthly Interest Amount and the related Principal Amount. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each of the rated Notes is the related interest on any unpaid Monthly Interest Amount. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. HERTZ VEHICLE III: Moody's Assigns Ba3 Rating to 2026-1 Cl. E Notes ------------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the series 2026-1 and series 2026-2 rental car asset-backed notes issued by Hertz Vehicle Financing III LLC (HVF III, or the issuer), which is Hertz's rental car ABS master trust facility. The series 2026-1 notes and the series 2026-2 notes have an expected final payment date in three and five years, respectively. HVF III is a Delaware limited liability company, a bankruptcy-remote special purpose entity, and a direct subsidiary of The Hertz Corporation (Hertz, B2 negative). The collateral backing the notes consists of a fleet of vehicles and a single operating lease of the fleet to Hertz for use in its rental car business, as well as certain manufacturer and incentive rebate receivables owed to the issuer by the original equipment manufacturers (OEMs). Moody's also announced that the issuance of the series 2026-1 notes and series 2026-2 notes, in and of itself and at this time, will not result in a reduction, withdrawal, or placement under review for downgrade of any of the ratings currently assigned to the outstanding series of notes issued by the issuer. The complete rating actions are as follows: Hertz Vehicle Financing III LLC Series 2026-1 Rental Car Asset Backed Notes Class A, Definitive Rating Assigned Aaa (sf) Class B, Definitive Rating Assigned A1 (sf) Class C, Definitive Rating Assigned Baa3 (sf) Class D, Definitive Rating Assigned Ba2 (sf) Class E, Definitive Rating Assigned Ba3 (sf) Hertz Vehicle Financing III LLC Series 2026-2 Rental Car Asset Backed Notes Class A, Definitive Rating Assigned Aaa (sf) Class B, Definitive Rating Assigned A1 (sf) Class C, Definitive Rating Assigned Baa3 (sf) Class D, Definitive Rating Assigned Ba2 (sf) Class E, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The definitive ratings of the notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which The Hertz Corporation (Hertz) uses to operate its rental car business, (2) the credit quality of Hertz, which has a corporate family rating of B2 with a negative outlook, as the primary lessee and guarantor under the single operating lease, (3) the experience and expertise of Hertz as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available credit enhancement, which consists of over-collateralization, (6) the required minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure, including standard bankruptcy remoteness and security interest provisions. In addition, the assumptions Moody's applied in the analysis of this transaction are the same as those applied in the analysis of the series 2025-5 and series 2025-6 transactions. Some of the key assumptions Moody's applied in its quantitative analysis of these transactions are provided in the Hertz Vehicle Financing III LLC, Series 2026-1 and Series 2026-2 pre-sale report. Detailed application of the assumptions is provided in the methodology. The required credit enhancement for the series 2026-1 and series 2026-2 notes is a blended rate, which is a function of Moody's ratings on the vehicle manufacturers and defined asset categories. The actual required amount of credit enhancement fluctuates based on the mix of vehicles in the securitized fleet. Consistent with prior transactions, the series are subject to a credit enhancement floor of 9.00% in the form of over-collateralization, regardless of fleet composition. The series 2026-1 and series 2026-2 class A, B, C, and D notes also benefit from subordination of 34.6%, 25.0%, 12.2%, and 4.6% of the outstanding balance of each series, respectively. The minimum liquidity enhancement amount is around 3.75% of the outstanding note balance for the series 2026-1 notes and 4.00% for the series 2026-2 notes, sized to cover six months of interest plus 50 basis points. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2026-1 and series 2026-2 notes if (1) the credit quality of the lessee improves, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to improve, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers, or (3) the residual values of the non-program vehicles collateralizing the transaction were to increase materially relative to Moody's expectations. Down Moody's could downgrade the ratings of the series 2026-1 and series 2026-2 notes if (1) the credit quality of the lessee deteriorates or a corporate liquidation of the lessee were to occur and introduce operational complexity in the liquidation of the fleet or other risks, (2) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers, or (3) reduced demand for used vehicles results in lower sales volumes and sharp declines in used vehicle prices above Moody's assumed depreciation. HILTON GRAND 2026-2: Fitch Assigns BB-(EXP)sf Rating on Cl. D Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to notes issued by Hilton Grand Vacations Trust 2026-2 (HGVT 2026-2). Entity/Debt Rating ----------- ------ Hilton Grand Vacations Trust 2026-2 A LT AAA(EXP)sf Expected Rating B LT A-(EXP)sf Expected Rating C LT BBB-(EXP)sf Expected Rating D LT BB-(EXP)sf Expected Rating Transaction Summary The notes are backed by a pool of fixed-rate timeshare loans originated by Hilton Resorts Corporation (HRC), Diamond Resorts Corporation (Diamond) and Bluegreen Vacations Corporation (Bluegreen). Hilton Grand Vacations, Inc. (HGV) completed its acquisition of Diamond and Bluegreen in August 2021 and January 2024, respectively. As a result of the acquisitions, Diamond and Bluegreen are now wholly owned indirect subsidiaries of HGV. KEY RATING DRIVERS Borrower Risk — Stable Collateral: The 2026-2 pool has a weighted average (WA) Fair Isaac Corp. (FICO) score of 745, down marginally from 746 in 2026-1 but up from 742 in 2025-2. Loans with original balances greater than $100,000 have increased to 17.0%, from 16.1% in 2026-1; this is considered a credit negative, as larger-balance loans have led to higher cumulative gross defaults (CGDs) in prior HGVT transactions. Additionally, the pool includes approximately 2.3% of loans made to foreign obligors, up from a 1.0% concentration in 2026-1. The WA original term of 123 months and seasoning of 11 months are consistent with 2026-1. The share of upgraded loans from existing owners, at 70.3%, is higher than 63.7% in 2026-1. HGVT 2026-2 is HGV's sixth transaction to include HRC, Diamond and Bluegreen loans, which represent 33.5%, 33.1% and 33.5% of the collateral pool, respectively. On a like-for-like FICO basis, the HRC loans perform better than the Diamond and Bluegreen loans. Forward-Looking Approach on Rating Case CGD Proxy — Weakening Performance: HRC's managed portfolio delinquency and default performance showed notable increases in CGDs for the 2007-2010 vintages. Subsequent performance improvement was observed from 2010 to 2015, but the 2016-2024 vintages have demonstrated elevated CGDs that are outpacing those of the recessionary vintages for HRC, Diamond and Bluegreen. Similarly, recent securitized transactions are weaker in performance than earlier transactions. Fitch's rating case CGD proxy is 19.50% for 2026-2. Payment Structure — Adequate CE: Initial hard credit enhancement (CE) is 65.10%, 32.90%, 16.20% and 5.90% for class A, B, C and D notes, respectively. CE is higher for all classes relative to 2026-1. Hard CE comprises overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 6.96% per annum. Available CE is sufficient to support stressed 'AAAsf', 'A-sf', 'BBB-sf' and 'BB-sf' multiples of Fitch's CGD proxy of 19.50%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels higher than the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Declining default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Hence, Fitch conducts sensitivity analysis by stressing both a transaction's initial rating case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade, 'BBsf' and to 'CCCsf' based on the break-even default coverage provided by the CE structure. Fitch also considers prepayment sensitivity of 1.5x and 2.0x increases to the prepayment assumptions, as well as increases of 1.5x and 2.0x to the rating case CGD proxy, which represent moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable-to-improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for upgrades. If CGD is 20% less than the projected proxy, the expected ratings would be maintained for the class A note at a stronger rating multiple. For the class B, C, and D notes, the multiples would increase, resulting in potential upgrades of two, one, and two notches, respectively. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with due diligence information from KPMG LLP. The due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and recalculation of certain characteristics with respect to 150 sample loans. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. INCREF 2026-FL2: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to INCREF 2026-FL2 LLC as follows: - $743,346,000a class A 'AAA(EXP)sf'; Outlook Stable; - $119,245,000a class A-S 'AAA(EXP)sf'; Outlook Stable; - $91,370,000a class B 'AA-(EXP)sf'; Outlook Stable; - $71,237,000a class C 'A-(EXP)sf'; Outlook Stable; - $41,814,000a class D 'BBB(EXP)sf'; Outlook Stable; - $21,680,000a class E 'BBB-(EXP)sf'; Outlook Stable; - $38,716,000b class F 'BB-(EXP)sf'; Outlook Stable; - $26,327,000b class G 'B-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $85,175,910b Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 12.125% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,238,910,911 and does not include future funding. The expected ratings are based on information provided by the issuer as of May 26, 2026. Transaction Summary The primary assets of issuer are 36 loans secured by 103 commercial properties with an aggregate principal balance of $1,238,910,911 as of the cutoff date. There is no ramp-up collateral interest in the pool. The pool includes five delayed-close collateral interests totaling approximately $307.9 million, which is expected to close or be modified within 90 days of the settlement date. The pool features $210.5 million of expected future funding. The loans were contributed to the trust by INCREF CLO Seller LLC. The servicer is expected to be KeyBank National Association, and the special servicer is expected to be Bellwether Asset Services, LLC. The trustee is expected to be Wilmington Trust, National Association and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans in the pool (71.3% by balance). Fitch's resulting aggregate net cash flow (NCF) of $64.0 million represents an 8.3% decline from the issuer's aggregate underwritten NCF of $69.8 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Fitch Leverage: The pool's Fitch loan-to-value ratio (LTV) of 135.3% is slightly below both the 2026 YTD and 2025 CRE CLO averages of 139.0% and 139.6%, respectively. The pool's Fitch NCF debt yield (DY) of 6.5% is in line with both the 2026 YTD and 2025 CRE CLO averages of 6.5%. Lower Loan Concentration: The pool is less concentrated than 2026 YTD and 2025 rated transactions. The top 10 loans make up 53.6% of the pool, which is lower than both the 2026 YTD and 2025 CRE CLO averages of 60.1% and 61.7%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 24.3. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Other Property Type Concentration: One loan representing 7.5% of the pool by balance is a portfolio of industrial outdoor storage (IOS), representing the third-largest property type in the transaction. Fitch modeled this loan as "other" property types, reflecting a higher concentration compared to the 2026 YTD and 2025 CRE CLO averages of 1.5% and 0.4%, 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'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/lower than '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'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including the Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any 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 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. IVY HILL XXII: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, A-LR, B-R, C-R, D-R, and E-R debt and proposed new class X-R debt from Ivy Hill Middle Market Credit Fund XXII Ltd./Ivy Hill Middle Market Credit Fund XXII LLC, a CLO managed by Ivy Hill Asset Management L.P., a subsidiary of Ares Management Corp., that was originally issued in March 2024. The preliminary ratings are based on information as of June 1, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On June 10, 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, B, C, D and E debt and class A loans and assign ratings to the replacement class A-R, A-LR, B-R, C-R, D-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 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 and proposed new debt. According to the proposed supplemental indenture: -- The non-call period will be extended to June 10, 2028. -- The reinvestment period will be extended to July 20, 2030. -- The legal final maturity date for the replacement debt and the existing subordinated notes will be extended to July 20, 2038. -- No additional assets will be purchased on June 10, 2026, refinancing date, and the target initial par amount will remain at $450.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- New class X-R debt will be issued on the refinancing date. This debt is expected to be paid down using interest proceeds in equal installments of $129,166.67, beginning on the first payment 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 rates 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 Ivy Hill Middle Market Credit Fund XXII Ltd./ Ivy Hill Middle Market Credit Fund XXII LLC Class X-R, $1.55 million: AAA (sf) Class A-R, $231.00 million: AAA (sf) Class A-LR(i), $30.00 million: AAA (sf) Class B-R, $45.00 million: AA (sf) Class C-R (deferrable), $36.00 million: A (sf) Class D-R (deferrable), $27.00 million: BBB- (sf) Class E-R (deferrable), $27.00 million: BB- (sf) Other Debt Ivy Hill Middle Market Credit Fund XXII Ltd./ Ivy Hill Middle Market Credit Fund XXII LLC Subordinated notes, $54.80 million: NR (i)The class A-LR debt, issued in loan form, is convertible into class A-R debt. NR--Not rated. JP MORGAN 2021-1MEM: DBRS Cuts Rating on Class HRR Certs to CCCsf ----------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-1MEM issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-1MEM as follows: -- Class A to AA (sf) from AAA (sf) -- Class X to AA (high) (sf) from AAA (sf) -- Class B to A (low) (sf) from AA (low) (sf) -- Class C to BBB (low) (sf) from BBB (sf) -- Class D to B (high) (sf) from BB (low) (sf) -- Class E to B (low) (sf) from B (sf) -- Class HRR to CCC (sf) from B (low) (sf) Morningstar DBRS maintained Negative trends on all classes. CREDIT RATING ACTION RATIONALE -- The credit rating downgrades reflect the downward pressure in the loan-to-value (LTV) Sizing Benchmarks following updates to Morningstar DBRS' analysis with this review, incorporating the softer market conditions and limited leasing momentum following the departure of InterSystems Corporation (InterSystems) (formerly 58.5% of net rentable area (NRA)), which vacated the property in June 2025. -- The implied LTV of 123.2% on the trust debt is based on an updated Morningstar DBRS value of $336.2 million, further described below. -- While the funds collected from termination fees and cash sweep provisions, totaling $47.8 million as of the April 2026 reporting, are expected to be sufficient to release the property, Morningstar DBRS continues to view the execution risk of such a large lease-up as significant, particularly in the current environment. -- The Negative trends reflect uncertainty surrounding the leasing momentum and overall demand for vacant space at the property, as evidenced by only one lease signed during the last 30 months and Microsoft Corporation's upcoming lease expiration (Microsoft) (38.3% of NRA) in June 2028. LOAN/COLLATERAL OVERVIEW -- The collateral for the underlying loan is One Memorial Drive, a Class A, 17-story office building totaling 409,422 square feet adjacent to the Massachusetts Institute of Technology (MIT) campus in Cambridge, Massachusetts. -- The property was built in 1985 and renovated in 2018, with approximately $49.0 million spent on capital improvements, including elevator modernizations, HVAC upgrades, roof replacements, and tenant improvements (TIs) for the two largest tenants. Sponsorship is provided by Metropolitan Life Insurance Company and Norges Bank Investment Management. -- Whole-loan proceeds of $414.0 million include six pari passu senior notes with an aggregate initial principal balance of $299.3 million and one junior note with an initial principal balance of $114.7 million. The subject transaction totals $255.8 million and consists of one senior note with a principal balance of $141.5 million and the junior note. The remaining notes are securitized in BMARK 2021-B30 and BMARK 2021-B31, neither of which are rated by Morningstar DBRS. The loan is interest-only throughout its 10-year term with a scheduled maturity in October 2031. -- The loan structure provides for a cash flow sweep to be initiated in certain circumstances involving the InterSystems lease, which was activated in December 2023. InterSystems was required to pay a termination fee, which together with the cash flow sweep amounted to $55.4 million upon the tenant's departure in June 2025. PERFORMANCE HIGHLIGHTS -- As of December 2025, the property was 45.0% occupied, with two primary tenants, Microsoft and MIT (6.2% of NRA). In March 2024, MIT executed a 10-year lease commencing January 2026, with an initial rental rate of $96.00 per square foot (psf), 10 months of free rent, and a tenant improvement allowance of $120.00 psf. Microsoft has been in occupancy since 2007 and has one ,10-year extension option remaining. The tenant has no termination options available. -- According to Cushman & Wakefield's Q1 2026 Boston MarketBeat report, Class A office properties in the East Cambridge submarket reported an overall vacancy rate of 20.3% and an overall average asking rate of $90.83 psf. -- As of YE2025, the loan reported a net cash flow (NCF) of $18.4 million (a debt service coverage ratio of 2.25 times), well below historical figures which typically hovered around $30.0 million given the increased vacancy. -- No updated appraisals have been received, as the loan remains current. ANALYSIS SUMMARY -- In its analysis for this review, Morningstar DBRS derived a stabilized NCF of $22.7 million, which considered the departure of InterSystems and gave credit to the collective reserves, releasing the space to market, less the associated MIT leasing costs. -- Morningstar DBRS assumed a vacancy rate of 18.0% based on the greater submarket data, an increase from the 12.0% economic vacancy assumed during the July 2024 credit rating action, when updates were made to capture the observed secular shift in use and demand for office space. -- With the potential upside in revenue, Morningstar DBRS assumed a stabilization period and inflated operating expense line items by 10% over their current levels. Tenant improvement (TI) assumptions were also increased to $120 psf for new TIs and $60 psf for renewal based on a 10-year term, respectively. -- Morningstar DBRS increased the capitalization rate to 6.75% from 6.50% with this review to conclude a value of $336.2 million, down from the Morningstar DBRS value of $388.2 million derived in 2024 and issuance appraised value of $828.0 million. -- The implied LTV based on the updated Morningstar DBRS value and the trust debt is 123.2%. Morningstar DBRS also applied cumulative positive qualitative adjustments of 3.5% for property quality and market fundamentals. In previous years, Morningstar DBRS had given a 3.0% positive qualitative adjustment for market fundamentals; however, given the shift in market dynamics, that credit was reduced to 1.5% with this review. -- The updated Morningstar DBRS value and implied LTV resulted in downward pressure across the capital stack, supporting the credit rating downgrades and Negative trends as outlined above. VARIANCES -- The Morningstar DBRS credit ratings assigned to Classes A, B, C, D, and E are higher than the results implied by the LTV Sizing Benchmarks by three or more notches. These variances are warranted given the loan structure, which has collected sufficient funds to re-lease the property, coupled with the property's location adjacent to MIT and an institutional loan sponsor that appears committed to re-tenanting the property. -- In addition, the Morningstar DBRS As-Is NCF derived as part of this review indicates that the debt service coverage would remain above breakeven for the investment-grade rated classes should leasing momentum continue to be slow to gain traction. -- Morningstar DBRS also considered a dark value in excess of $319.0 million, which suggests a recovery for those same classes should the loan default and the servicer ultimately liquidate the asset. 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 is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2026-3: DBRS Gives (P)B(low) Rating to Class B-5 Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-3 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2026-3: -- $292.2 million Class A-1 at (P) AAA (sf) -- $265.8 million Class A-2 at (P) AAA (sf) -- $212.6 million Class A-3 at (P) AAA (sf) -- $212.6 million Class A-3-A at (P) AAA (sf) -- $212.6 million Class A-3-B at (P) AAA (sf) -- $212.6 million Class A-3-X1 at (P) AAA (sf) -- $212.6 million Class A-3-X2 at (P) AAA (sf) -- $212.6 million Class A-3-X3 at (P) AAA (sf) -- $159.5 million Class A-4 at (P) AAA (sf) -- $159.5 million Class A-4-A at (P) AAA (sf) -- $159.5 million Class A-4-B at (P) AAA (sf) -- $159.5 million Class A-4-X1 at (P) AAA (sf) -- $159.5 million Class A-4-X2 at (P) AAA (sf) -- $159.5 million Class A-4-X3 at (P) AAA (sf) -- $53.2 million Class A-5 at (P) AAA (sf) -- $53.2 million Class A-5-A at (P) AAA (sf) -- $53.2 million Class A-5-B at (P) AAA (sf) -- $53.2 million Class A-5-X1 at (P) AAA (sf) -- $53.2 million Class A-5-X2 at (P) AAA (sf) -- $53.2 million Class A-5-X3 at (P) AAA (sf) -- $127.6 million Class A-6 at (P) AAA (sf) -- $127.6 million Class A-6-A at (P) AAA (sf) -- $127.6 million Class A-6-B at (P) AAA (sf) -- $127.6 million Class A-6-X1 at (P) AAA (sf) -- $127.6 million Class A-6-X2 at (P) AAA (sf) -- $127.6 million Class A-6-X3 at (P) AAA (sf) -- $85.0 million Class A-7 at (P) AAA (sf) -- $85.0 million Class A-7-A at (P) AAA (sf) -- $85.0 million Class A-7-B at (P) AAA (sf) -- $85.0 million Class A-7-X1 at (P) AAA (sf) -- $85.0 million Class A-7-X2 at (P) AAA (sf) -- $85.0 million Class A-7-X3 at (P) AAA (sf) -- $31.9 million Class A-8 at (P) AAA (sf) -- $31.9 million Class A-8-A at (P) AAA (sf) -- $31.9 million Class A-8-B at (P) AAA (sf) -- $31.9 million Class A-8-X1 at (P) AAA (sf) -- $31.9 million Class A-8-X2 at (P) AAA (sf) -- $31.9 million Class A-8-X3 at (P) AAA (sf) -- $26.4 million Class A-9 at (P) AAA (sf) -- $26.4 million Class A-9-A at (P) AAA (sf) -- $26.4 million Class A-9-B at (P) AAA (sf) -- $26.4 million Class A-9-X1 at (P) AAA (sf) -- $26.4 million Class A-9-X2 at (P) AAA (sf) -- $26.4 million Class A-9-X3 at (P) AAA (sf) -- $85.0 million Class A-10 at (P) AAA (sf) -- $85.0 million Class A-10-A at (P) AAA (sf) -- $85.0 million Class A-10-B at (P) AAA (sf) -- $85.0 million Class A-10-X1 at (P) AAA (sf) -- $85.0 million Class A-10-X2 at (P) AAA (sf) -- $85.0 million Class A-10-X3 at (P) AAA (sf) -- $53.2 million Class A-11 at (P) AAA (sf) -- $53.2 million Class A-11-X at (P) AAA (sf) -- $53.2 million Class A-12 at (P) AAA (sf) -- $53.2 million Class A-13 at (P) AAA (sf) -- $53.2 million Class A-13-X at (P) AAA (sf) -- $53.2 million Class A-14 at (P) AAA (sf) -- $53.2 million Class A-14-X at (P) AAA (sf) -- $53.2 million Class A-14-X2 at (P) AAA (sf) -- $53.2 million Class A-14-X3 at (P) AAA (sf) -- $53.2 million Class A-14-X4 at (P) AAA (sf) -- $42.5 million Class A-15 at (P) AAA (sf) -- $42.5 million Class A-15-A at (P) AAA (sf) -- $42.5 million Class A-15-B at (P) AAA (sf) -- $42.5 million Class A-15-X1 at (P) AAA (sf) -- $42.5 million Class A-15-X2 at (P) AAA (sf) -- $42.5 million Class A-15-X3 at (P) AAA (sf) -- $42.5 million Class A-16 at (P) AAA (sf) -- $42.5 million Class A-16-A at (P) AAA (sf) -- $42.5 million Class A-16-B at (P) AAA (sf) -- $42.5 million Class A-16-X1 at (P) AAA (sf) -- $42.5 million Class A-16-X2 at (P) AAA (sf) -- $42.5 million Class A-16-X3 at (P) AAA (sf) -- $42.5 million Class A-17 at (P) AAA (sf) -- $42.5 million Class A-17-A at (P) AAA (sf) -- $42.5 million Class A-17-B at (P) AAA (sf) -- $42.5 million Class A-17-X1 at (P) AAA (sf) -- $42.5 million Class A-17-X2 at (P) AAA (sf) -- $42.5 million Class A-17-X3 at (P) AAA (sf) -- $74.4 million Class A-18 at (P) AAA (sf) -- $74.4 million Class A-18-A at (P) AAA (sf) -- $74.4 million Class A-18-B at (P) AAA (sf) -- $74.4 million Class A-18-X1 at (P) AAA (sf) -- $74.4 million Class A-18-X2 at (P) AAA (sf) -- $74.4 million Class A-18-X3 at (P) AAA (sf) -- $292.2 million Class A-X-1 at (P) AAA (sf) -- $8.8 million Class B-1 at (P) AA (low) (sf) -- $8.8 million Class B-1-A at (P) AA (low) (sf) -- $8.8 million Class B-1-X at (P) AA (low) (sf) -- $5.3 million Class B-2 at (P) A (low) (sf) -- $5.3 million Class B-2-A at (P) A (low) (sf) -- $5.3 million Class B-2-X at (P) A (low) (sf) -- $3.0 million Class B-3 at (P) BBB (low)(sf) -- $1.7 million Class B-4 at (P) BB (low) (sf) -- $781.7 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-3A, A-3B, 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, 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-3A, A-3B, 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 (Class A-9-B) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 6.55% 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 3.75%, 2.05%, 1.10%, 0.55%, and 0.30% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to J.P. Morgan Mortgage Trust 2026-3 (JPMMT 2026-3), a securitization of a portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Mortgage Pass-Through Certificates, Series 2026-3(the Certificates). The Certificates are backed by 234 loans with a total principal balance of $312,680,099 as of the Cut-Off Date (May 01, 2026). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of three months. Approximately 9.1% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. Pennymac Loan Services, LLC (PennyMac), United Wholesale Mortgage, LLC (UWM), and CrossCountry Mortgage, LLC (CrossCountry) originated 36.3%, 15.8% and 11.8% of the pool, respectively. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced by JPMorgan Chase Bank, National Association (45.1%), PennyMac Loan Services, LLC (36.3%), and United Wholesale Mortgage, LLC (15.8%). For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (September 1, 2026). For certain Servicers in this transaction, 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. Rocket Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (Computershare; rated BBB (high) with a Stable trend) will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. 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. JP MORGAN 2026-FUN: S&P Assigns Prelim BB (sf) Rating on E Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2026-FUN's commercial mortgage pass-through certificates. The certificate issuance is a CMBS transaction backed by a commercial mortgage loan secured by the borrowers' fee simple and operating leasehold interests in Kalahari Resorts & Conventions--Pocono Mountains, a 977-guestroom waterpark resort in Pocono Manor, Pennsylvania, and in Kalahari Resorts & Conventions--Sandusky, a 314-guestroom (exclusive of 576 non-collateral condo guestrooms) waterpark resort in Sandusky, Ohio. The preliminary ratings are based on information as of June 4, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P Global Ratings' view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction structure. Preliminary Ratings Assigned J.P. Morgan Chase Commercial Mortgage Securities Trust 2026-FUN(i) Class A, $258.21 million: AAA (sf) Class B, $87.02 million: AA- (sf) Class C, $65.36 million: A- (sf) Class D, $71.25 million: BBB- (sf) Class E, $31.16 million: BB (sf) Class RR interest(ii), $27.00 million: not rated (i)Certificate balances are approximate, subject to a variance of plus or minus 5.0%. (ii)Eligible vertical residual interest. JP MORGAN 2026-NQM3: DBRS Gives (P)B(low) Rating on Cl. B-2 Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-NQM3 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2026-NQM3 (the Issuer) as follows: -- $148.1 million Class A-1FCF at (P) AAA (sf) -- $49.4 million Class A-1LCF at (P) AAA (sf) -- $171.5 million Class A-1A at (P) AAA (sf) -- $26.0 million Class A-1B at (P) AAA (sf) -- $197.5 million Class A-1 at (P) AAA (sf) -- $51.5 million Class A-2 at (P) AA (low) (sf) -- $34.9 million Class A-3 at (P) A (low) (sf) -- $11.7 million Class M-1 at (P) BBB (low) (sf) -- $13.5 million Class B-1 at (P) BB (low) (sf) -- $7.5 million Class B-2 at (P) B (low) (sf) Class A-1 is an exchangeable certificate while Classes A-1A and A-1B are the depositable certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 24.10% of credit enhancement provided by the 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 14.20%, 7.50%, 5.25%, 2.65% and 1.20% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and non-prime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2026-NQM3. The Certificates are backed by 1,411 loans with a total principal balance of approximately $520,350,413 as of the Cut-Off Date (May 1, 2026). The pool is, on average, four months seasoned with loan ages ranging from one to twenty-three months. Approximately 22.7% of the Mortgage Loans by balance were originated by United Wholesale Mortgage, LLC (UWM), 17.8% of the loans were originated by Cake Mortgage Corp. and 15.5% of the loans were originated by Constructive Loans, LLC. The Mortgage Loan Seller acquired approximately 12.0% from MAXEX Clearing LLC ("MAXEX"). All the other originators individually comprised less than 20% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint will service approximately 90.5% of the loans, Selene Finance LP will service 5.3% of the loans, United Wholesale Mortgage, LLC, will service 4.2% of the loans, and Fay Servicing, LLC, will service 0.1% of the loans. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as Master Servicer, Custodian, and Securities Administrator. Wilmington Savings Fund Society, FSB will act as Owner Trustee. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 25.6% of the loans by balance are designated as non-QM. Approximately 63.6% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 10.6% of the pool are designated as QM Safe Harbor, and 0.2% are QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will generally advance delinquent principal and interest on the mortgage loans for four months. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Retaining Sponsor will retain an eligible horizontal residual interest in the transaction in the required amount of no less than 5.0% of the aggregate fair value of the Certificates (other than the Class A-R Certificates) consisting of a portion of the Class B-2, Class B-3, and Class XS Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On any date following the date on which the aggregate UPB of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Optional Clean-Up Call Holder will have the option to terminate the transaction by directing the master servicer to purchase all of the mortgage loans and any real estate owned (REO) property from the Issuer at a price equal to the sum of the aggregate UPB of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, any non-interest-bearing deferred amounts, and expenses that are payable or reimbursable to the transaction parties. The holder of the Trust Certificates may, at its option, on any Distribution Date on or after the date that is the earlier of (i) three years after the Closing Date or or (2) the date on which the balance of mortgage loans and REO properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Certificates at the optional termination price described in the transaction documents. Master Servicer on behalf of the Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). The Class A-1A and Class A-1B, and separately the Class A-1FCF and Class A-1LCF, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. The Class A-1 is an exchangeable certificate and can be exchanged with the Class A-1A and Class A-1B as specified in the offering documents. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2, and A-3 Certificates coupon rates step up by 100 basis points on and after the payment date in June 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2, and A-3 Certificates Cap Carryover Amounts after the Class A coupons step up. The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition; -- Compliance with the ATR rules; -- Improved underwriting standards; -- Current loan status; and -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- Debt service coverage ratio loans; -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers; -- Limited servicer advances of delinquent P&I; and -- The representations and warranties standard. Morningstar DBRS' credit ratings on the Certificates 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 Class Principal Amount. Morningstar DBRS' credit ratings on the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2, and A-3 Certificates also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (June 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. JPMDB COMMERCIAL 2016-C2: Moody's Cuts Rating on 2 Tranches to B2 ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings on five classes in JPMDB Commercial Mortgage Securities Trust 2016-C2, Commercial Mortgage Pass-Through Certificates, Series 2016-C2 as follows: Cl. A-4, Downgraded to Aa2 (sf); previously on Aug 28, 2025 Affirmed Aaa (sf) Cl. A-S, Downgraded to Ba1 (sf); previously on Aug 28, 2025 Downgraded to Baa1 (sf) Cl. B, Downgraded to B2 (sf); previously on Aug 28, 2025 Downgraded to Ba2 (sf) Cl. X-A*, Downgraded to Baa3 (sf); previously on Aug 28, 2025 Downgraded to Aa3 (sf) Cl. X-B*, Downgraded to B2 (sf); previously on Aug 28, 2025 Downgraded to Ba2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on three P&I classes, Cl. A-4, Cl. A-S, and Cl. B, were downgraded due to a decline in pool performance, higher expected losses and increased interest shortfalls. Specially serviced loans represent 99% of the pool, including Quaker Bridge Mall (26.7% of the pool), which is secured by a regional mall that has lost two of its anchor tenants and performance remains below pre-pandemic levels, 100 East Pratt (17.7% of the pool), which is secured by an office property which is only 17% leased after its former largest tenant vacated the property, and Four Penn Center (14.1% of the pool), which is secured by an office property which has seen a significant decline in performance since securitization. Three of the specially serviced loans (35.6% of the pool), including 100 East Pratt, have already been deemed non-recoverable and are contributing to ongoing interest shortfalls impacting Cl. B. As of the May 2026 remittance, nearly all loans are in special servicing and have passed their original maturity dates and given the higher interest rate environment and further deterioration in collateral performance, Moody's do not anticipate significant paydowns in the near term. As a result, potential losses could increase and interest shortfalls may rise if the outstanding loans remain delinquent or there are additional appraisal reductions or non-recoverability determinations on the remaining loans. The rating on the interest only (IO) class, Cl. X-A, was downgraded based on a decline in the credit quality of its referenced classes and from principal paydowns of higher quality referenced classes. Cl. X-A originally referenced all senior classes up to and including Cl. A-S, however, Cl. A-4 has now paid down 67% from its original balance and all classes senior to Cl. A-4 have previously paid off in full. The rating on the IO class, Cl. X-B, was downgraded based on a decline in the credit quality of its referenced class. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. The transaction's Issuer Profile Score (IPS) is S-4 and Moody's has revised the transaction's Credit Impact Score to CIS-4 from CIS-2. Moody's rating action reflects a base expected loss of 37.5% of the current pooled balance, compared to 17.5% at Moody's last review. Moody's base expected loss plus realized losses is now 16.4% of the original pooled balance, compared to 12.9% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. . Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 99% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the May 15, 2026 distribution date, the transaction's aggregate certificate balance has decreased by 65% to $312.2 million from $892.8 million at securitization. The certificates are collateralized by nine mortgage loans, eight of which (99% of the pool) are in special servicing. Three of the specially serviced loans (36% of the pool) have been deemed non-recoverable. As of the May 2026 remittance statement cumulative interest shortfalls were $8.3 million and impact up to Cl. B. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. One loan has been liquidated from the pool, contributing to an aggregate realized loss of $28.9 million (for an average loss severity of 29%). The majority of realized losses are due to the servicer reimbursement of prior loan advances. Eight loans, constituting 99% of the pool, are currently in special servicing. The largest specially serviced loan is the Quaker Bridge Mall Loan ($83.3 million -- 26.7% of the pool), which is secured by the borrower's fee interest in 357,221 square foot (SF) portion of a 1.1 million SF super-regional mall located in Lawrenceville, New Jersey. The loan represents a pari-passu portion of a $150.0 million senior mortgage loan and there is also $30.0 million of subordinate debt in the form of a B-note. At securitization, non-collateral anchor tenants included Macy's, Sears and JC Penney and one anchor tenant, Lord & Taylor, owned its improvements but leased the land from the borrower. However, Sears vacated their space in September 2018 and Lord & Taylor closed during 2020 as a part of their larger chapter 11 bankruptcy filing. The loan previously transferred to special servicing in November 2020 due to payment default and the loan was subsequently brought current and returned to the master servicer in October 2021. Property performance has generally declined compared to 2018, and the 2025 NOI was 26% lower than in 2018. As of December 2025, inline occupancy was 72% compared to 83% in December 2019. The loan transferred back to special servicing in May 2026 as the borrower was not able to pay off the loan at its scheduled maturity date. The second largest specially serviced loan is the 100 East Pratt Loan ($55.3 million -- 17.7% of the pool), which represents a pari-passu portion of a $101.7 million mortgage loan. The loan is secured by an approximately 663,000 SF, 28-story, Class A office building located in downtown Baltimore, Maryland. The property also includes an 8-level parking garage with 932 parking spaces. The largest tenant, T. Rowe Price, a global asset management firm that occupied 449,000 SF (67% of the NRA), exercised their early termination option, inclusive of a $20.4 million termination fee that was available at securitization, and officially vacated their space in April 2025. As of March 2026, the property was reported as 17% leased compared to 90% in March 2025. While the loan has amortized approximately 8% since securitization and had a DSCR above 1.80X in March 2025, Moody's expects the cash flow to decline significantly (absent of additional leasing activity) going forward. The loan transferred to special servicing in May 2025 for imminent default and the servicer is proceeding with foreclosure and has appointed a receiver as of February 2026. The most recent appraisal from August 2025 valued the property 83% lower than the value at securitization and 69% below the total outstanding loan balance. The loan was unable to repay at its April 2026 maturity date, has been deemed non-recoverable, remains last paid through its June 2025 payment date and is reported to have over $43 million in reserves. The third largest specially serviced loan is the Williamsburg Premium Outlets Loan ($50.0 million -- 16.0% of the pool), which is secured by a 522,000 SF open-air outlet center located in Williamsburg, Virginia, approximately 45 miles southeast of Richmond. The loan represents a pari-passu portion of a $184.2 million mortgage loan. The property is located along I-64, the primary highway for tourists traveling from Norfolk and Virginia Beach from Richmond and Washington DC. The property was 80% leased as of January 2026 compared to 79% as of December 2021 and 86% as of December 2020. The loan transferred to special servicing in December 2025 ahead of its maturity date in February 2026. A loan modification was recently executed to extend the maturity date to February 2029, change the loan to amortizing from interest-only and implement a cash trap. A January 2026 appraisal valued the property 10% below the outstanding loan balance and 51% below the appraisal value from securitization. The fourth largest specially serviced loan is the Four Penn Center Loan ($44.0 million -- 14.1% of the pool), which is secured by the borrower's fee simple interest in a 522,600 SF, multi-tenant office building located in the central business district of Philadelphia, Pennsylvania. The loan represents a pari-passu portion of a $63.2 million mortgage loan. Property performance declined in 2018 after the loss of two major tenants but improved in 2023 after property occupancy rebounded. However, occupancy has since declined and the property was 65% leased as of December 2025 compared to 59% in December 2020 and 84% at securitization. The Market West office submarket of Philadelphia reported a high vacancy rate of 16.8% as of Q1 2026 compared to 8.1% in 2016 according to CBRE Econometric Advisors. The loan transferred to special servicing in May 2026 due to maturity default, has amortized 8% since securitization and remains last paid through its April 2026 payment date. The fifth largest specially serviced loan is the DoubleTree Houston Intercontinental Airport Loan ($38.0 million -- 12.2% of the pool), which is secured by a 313 key full-service hotel located in Houston, Texas. The loan transferred to special servicing in June 2020 due to imminent default at the borrower's request in relation to business disruptions from the coronavirus pandemic. The property was not generating sufficient cash flow to cover debt service and the borrower was unwilling to fund shortfalls. The borrower consented to the appointment of a receiver, which has since been appointed and was working to stabilize operations. The loan has been deemed non-recoverable by the master servicer and remains last paid through its October 2020 payment date. The loan previously accrued a significant amount of servicer advances which have all been recouped as of the May 2026 remittance from other loan payoffs. The servicer is evaluating property capital needs and disposition strategy and timing. The sixth largest specially serviced loan is the Legends at Kingsville Loan ($18.0 million -- 5.8% of the pool), which is secured by a 504-bed (198-unit), three-story student housing complex that caters to the student population of Texas A&M University - Kingsville. The loan transferred to special servicing in October 2022 due to imminent monetary default. Property performance has declined as a result lower occupancy due to declining enrollment at Texas A&M University and higher than expected non-controllable operating expenses. A receiver was appointed in August 2023 to manage and stabilize the property and as of May 2026, the property was 81% occupied. The loan reached its original maturity in February 2026 and remains last paid through its March 2024 payment date. The remaining two specially serviced loans (combined 6.3% of the pool) are secured by a hotel and multifamily property. Moody's estimates an aggregate $117.0 million loss for the specially serviced loans (40.6% expected loss on average). The sole non-specially serviced loan is fully-amortizing and defeased (1.3% of the pool). JPMF1 MULTIFAMILY 2026-FX1: DBRS Gives (P)BB Rating to H-RR Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-FX1 (the Certificates) to be issued by JPMF1 Multifamily Mortgage Trust 2026-FX1 (the Trust): -- Class A-2 at (P) AAA (sf) -- Class A-2-1 at (P) AAA (sf) -- Class A-2-2 at (P) AAA (sf) -- Class A-2-X1 at (P) AAA (sf) -- Class A-2-X2 at (P) AAA (sf) -- Class A-3 at (P) AAA (sf) -- Class A-3-1 at (P) AAA (sf) -- Class A-3-2 at (P) AAA (sf) -- Class A-3-X1 at (P) AAA (sf) -- Class A-3-X2 at (P) AAA (sf) -- Class X-A at (P) AAA (sf) -- Class X-B at (P) AA (low) (sf) -- Class B at (P) AA (high) (sf) -- Class B-1 at (P) AA (high) (sf) -- Class B-2 at (P) AA (high) (sf) -- Class B-X1 at (P) AA (high) (sf) -- Class B-X2 at (P) AA (high) (sf) -- Class C at (P) A (high) (sf) -- Class C-1 at (P) A (high) (sf) -- Class C-2 at (P) A (high) (sf) -- Class C-X1 at (P) A (high) (sf) -- Class C-X2 at (P) A (high) (sf) -- Class X-D at (P) A (low) (sf) -- Class X-F at (P) BBB (high) (sf) -- Class D at (P) A (sf) -- Class E at (P) BBB (high) (sf) -- Class F at (P) BBB (sf) -- Class G-RR at (P) BBB (low) (sf) -- Class H-RR at (P) BB (sf) All trends are Stable. The Class X-D, X-F, X-S, D, E, F, G-RR, H-RR, J-RR, and R Certificates will be privately placed. The Class A-2-1, Class A-2-2, Class A-2-X1, Class A-2-X2, Class A-3-1, Class A-3-2, Class A-3-X1, Class A-3-X2, Class B-1, Class B-2, Class B-X1, Class B-X2, Class C-1, Class C-2, Class C-X1 and Class C-X2 certificates are also offered certificates. Such classes of certificates, together with the Class A-2, Class A-3, Class B and Class C certificates, constitute the "Exchangeable Certificates." The Class D, Class E, Class F, Class G-RR, and Class H-RR certificates, together with the Exchangeable Certificates with a certificate balance, are referred to as the principal balance certificates. CREDIT RATING RATIONALE/DESCRIPTION The collateral for the JPMF1 Multifamily Mortgage Trust 2026-FX1 (JPMF1 2026-FX1) transaction consists of 17 fixed-rate loans secured by 24 commercial and multifamily properties with an aggregate cut-off date balance of $734.2 million. Morningstar DBRS analyzed the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of default within the term and its liquidity at maturity. The pool's Morningstar DBRS weighted-average (WA) Issuance loan-to-value ratio (LTV) was 69.6% and all the loans in the pool have interest-only (IO) payment structures for the full term of the loan. Ten loans, making up 65.3% of the total pool, have a Morningstar DBRS Issuance LTV of at least 67.6%. This threshold typically correlates to an above-average default frequency. There are 10 loans, representing 61.5% of the pool, with an Issuer underwritten (UW) debt service coverage ratio (DSCR) less than or equal to 1.36 times (x) at issuance. Historically loans secured with Issuer UW DSCR greater than 1.36x have demonstrated less probability of default relative to loans secured with Issuer UW DSCR less than 1.36x DSCR. Comparatively, the Morningstar DBRS sample of 89.4% resulted in an average Morningstar DBRS haircut of -9.5% and a corresponding WA Morningstar DBRS DSCR of 1.24x. The Morningstar DBRS sample indicated a diverse range of property quality throughout the pool as Morningstar DBRS assessed the collateral of 21.7% of the initial mortgage pool balance as being of Average - or Below Average quality and 21.2% of the pool as being of Average + or Above Average quality. The transaction has sequential-pay pass-through structure. MF1 Capital LLC (MF1) is a leading multifamily lending platform that has originated 572 loans totaling $28.8 billion since 2018 and securitized $25.4 billion across 23 commercial real estate collateralized loan obligation (CRE CLO) transactions as of December 31, 2025. Its extensive CRE CLO experience demonstrates strong underwriting and asset management, which supports its transition into the fixed-rate conduit market. The Issuer will retain the subordinate 6.875% of the capital structure, Morningstar DBRS views this favorably as it is more than the typical 5.0% risk retention piece required by U.S. credit risk retention rules. Morningstar DBRS views the Issuer retention as credit positive because the Issuer itself holds the most subordinate part of the capital structure and aligns interests between the Issuer and other investors. All 17 loans in the pool are secured by multifamily or manufactured housing properties. Such property types have historically demonstrated lower rates of default compared with most other commercial property types and, as a result, typically have lower expected losses. Morningstar DBRS views the asset classes favorably because of the current high cost of home ownership and strong rental tailwinds. Morningstar DBRS sampled 89.4% of the pool and considers the average net cash flow (NCF) variance of -9.5% to be low. Low NCF variances generally imply strong Issuer origination practices. Additionally, Morningstar DBRS notes that some of the loans benefited from seasoning as additional accretive multifamily collectives and commercial leasing have occurred since the loans were originated. Four loans, representing 25.0% of the total pool, are in Morningstar DBRS metropolitan statistical area (MSA) Group 3, the best-performing group in terms of historical commercial mortgage-backed securities (CMBS) default rates among the top 25 MSAs. All MSA Group 3 properties in the pool are in the New York-Northern New Jersey-Long Island MSA. The 17-loan pool has an average Herfindahl score of 15.3 with the top 10 loans representing 71.0% of the transaction by cut-off date trust balance. There are 16 loans, representing 96.3% of the pool, that are being used to refinance existing debt. Morningstar DBRS views loans that refinance existing debt as more credit negative than loans that finance an acquisition. Acquisition financing typically includes a meaningful cash investment from the sponsor, which aligns its interests more closely with the lenders, whereas refinance transactions may be cash-neutral or cash-out transactions, the latter of which may reduce the borrower's commitment to a property. The pool has a Morningstar DBRS WA Issuance LTV of 69.6%, indicating moderately high leverage. One loan, comprising 7.8% of the total pool, has a Morningstar DBRS Issuance LTV higher than 75.7%, a threshold that typically correlates to the highest frequency of default. All 17 loans in the pool have 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. There are 16 loans in the pool, representing 95.6% of the pool balance, that represent cash-out financing, in which the borrower used a portion of loan proceeds to repatriate equity to itself. Morningstar DBRS generally views cash-out transactions as less favorable because the sponsors typically have less incentive to support properties during economic stress if they have less equity at stake. The refinanced portion of the pool is partially composed of prior MF1 CRE CLO loans, in which borrowers successfully completed business plans to renovate or lease-up and are now realizing the value of their business plan via a fixed-rate cash-out refinance. Five loans, representing 32.3% of the pool, have sponsors that Morningstar DBRS regards as Weak. This designation was generally applied to sponsors with low net worth and liquidity, a recent history of defaults/bankruptcies, or outstanding/prior litigations. Ten loans, representing 56.7% of the total pool, are in a Morningstar DBRS Market Rank 3 or 4, which is indicative of less densely populated suburban markets that have historically seen higher-than-average default rates with a negative impact on expected losses (ELs). Only one loan, representing 9.7% of the pool balance, is in a Morningstar DBRS Market Rank of 7, a rank indicative of a dense urban location in a top 25 MSA and associated with low ELs. 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/or Interest Distribution Amounts for the rated classes. 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, yield maintenance charges and prepayment 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. Classes X-A, X-B, X-D, and X-F are 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. Morningstar DBRS notes that the related 17g-7 disclosure and website were amended on May 22, 2026, to reflect the correct credit rating on the Commercial Mortgage Pass-Through Certificates, Series 2026-FX1, Class X-B, X-D, and X-F certificates. Notes: All figures are in U.S. dollars unless otherwise noted. JPMF1 MULTIFAMILY 2026-FX1: Fitch Affirms 'B-(EXP)sf' on H-RR Certs ------------------------------------------------------------------- Fitch Ratings has affirmed the expected ratings and Rating Outlooks of 31 classes of JPMF1 Multifamily Mortgage Trust 2026-FX1 commercial mortgage pass-through certificates, series 2026-FX1. Fitch has also assigned expected ratings to five new classes of notes: A-S, A-S-1, A-S-2, A-S-X1 and A-S-X2. The updated class list is as follows: - $250,000,000ab class A-2 'AAA(EXP)sf'; Outlook Stable; - $0b class A-2-1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-2-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-2-X1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-2-X2 'AAA(EXP)sf'; Outlook Stable; - $263,950,000ab class A-3 'AAA(EXP)sf'; Outlook Stable; - $0b class A-3-1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-3-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-3-X1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-3-X2 'AAA(EXP)sf'; Outlook Stable; - $60,573,000b class A-S 'AAA(EXP)sf'; Outlook Stable; - $0b class A-S-1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-S-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-S-X1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-S-1 'AAA(EXP)sf'; Outlook Stable; - $42,217,000b class B 'AA-(EXP)sf'; Outlook Stable; - $0b class B-1 'AA-(EXP)sf'; Outlook Stable; - $0b class B-2 'AA-(EXP)sf'; Outlook Stable; - $0bc class B-X1 'AA-(EXP)sf'; Outlook Stable; - $0bc class B-X2 'AA-(EXP)sf'; Outlook Stable; - $32,122,000b class C 'A-(EXP)sf'; Outlook Stable; - $0b class C-1 'A-(EXP)sf'; Outlook Stable; - $0b class C-2 'A-(EXP)sf'; Outlook Stable; - $0bc class C-X1 'A-(EXP)sf'; Outlook Stable; - $0bc class C-X2 'A-(EXP)sf'; Outlook Stable; - $11,931,000d class D 'BBB(EXP)sf'; Outlook Stable; - $14,684,000d class E 'BBB-(EXP)sf'; Outlook Stable; - $8,260,000d class F 'BB(EXP)sf'; Outlook Stable; - $9,178,000de class G-RR 'BB-(EXP)sf'; Outlook Stable; - $11,931,000de class H-RR 'B-(EXP)sf'; Outlook Stable - $519,950,000c class X-A 'AAA(EXP)sf'; Outlook Stable; - $134,912,000c class X-B 'A-(EXP)sf'; Outlook Stable; - $26,615,000cd class X-D 'BBB-(EXP)sf'; Outlook Stable; - $8,260,000cd class X-F 'BB(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $29,369,000de class J-RR 'NR(EXP)sf'; - $734,215,000cd class X-S 'NR(EXP)sf'. (a) The initial certificate balances of classes A-2 and A-3 will be determined based on the final pricing of the certificates and are expected to be $513,950,000 in aggregate, subject to a plus or minus 5% variance. The initial certificate balance of class A-2 is expected to range from $0 to $250,000,000, and the initial balance of class A-3 is expected to range from $263,950,000 to $513,950,000. Fitch's certificate balance for class A-2 reflects the top point of its range, and the balance for class A-3 reflects the bottom point of its range. (b) Exchangeable certificates; classes A-2, A-3, A-S, B, and C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding class of exchangeable certificates and vice versa. The dollar denomination of each of the certificates received must equal the dollar denomination of each of the surrendered certificates. (c) Notional amount and interest only. (d) Privately placed pursuant to Rule 144A. (e) classes G-RR, H-RR, and J-RR comprise the transaction's horizontal risk retention interest. NR: Not Rated. Since Fitch assigned expected ratings on May 18, 2026, the following changes have occurred: The aggregate initial certificate balances of classes A-2 and A-3 has decreased to $513,950,000 from $574,523,000. The certificate balance of class A-3 has decreased to $263,950 from $324,523,000. The initial certificate balance of class A-3 is expected to range from $263,950,000 to $513,950,000, Fitch's certificate balance for class A-3 reflects the bottom point of its range. The issuer has added class A-S and its four corresponding classes of exchangeable certificates; A-S-1, A-S-2, A-S-X1 and A-S-X2. The notional balance of class X-A has decreased to $513,950,000 from $574,523,000. The notional balance of class X-B has increased to $134,912,000 from $74,339,000. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 17 loans secured by 24 commercial properties having an aggregate principal balance of $734,215,000 as of the cut-off date. The loans were contributed to the trust by MF1 REIT III FR TRS LLC. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is expected to be MF1 Loan Services LLC. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The operating advisor and asset representation reviewer is expected to be Pentalpha Surveillance LLC. The certificates will follow sequential paydown structure. The transaction closing date is expected to be June 10, 2026. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed NCF analysis on all 17 loans totaling 100% of the pool by balance. Fitch's aggregate pool NCF of $53.0 million represents a 9.6% decline from the issuer's aggregate underwritten pool NCF of $58.6 million. Fitch Leverage: The pool has higher leverage compared to recent U.S. private label five-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 120.9% is higher than the 2026 YTD and 2025 averages of 97.6% and 101.0%, respectively. The pool's Fitch NCF debt yield (DY) of 7.21% is lower than the 2026 YTD and 2025 averages of 10.53% and 9.7%, respectively. The pool's leverage also exceeds that of Freddie Mac seven-year K7 Series transactions rated by Fitch between 2023 and 2026 YTD, which had an average Fitch LTV of 115.7% and an average Fitch NCF DY of 7.7%. Favorable Multifamily Collateral: The pool is backed entirely by stabilized institutional-quality multifamily properties located in strong markets. Loans were originated by a single platform with consistent underwriting standards predominantly to repeat, above-average quality sponsors with demonstrated refinancing capability. The substantial majority of the sponsors in the pool are prior GSA borrowers. The originator intends to retain the B-piece, maintaining material economic exposure to long-term collateral performance. Pool Concentration/Reduced Add-On: The pool is more concentrated by loan size than recent Fitch-rated transactions. The top 10 loans in the pool make up 71.0% of the pool, which is higher than the 2026 YTD and 2025 averages of 59.6% and 61.5%, respectively. The pool's effective loan count of 16.2 is lower than the 2026 YTD and 2025 averages of 22.8 and 21.8, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk and raises overall losses for pools with effective loan counts below 40. However, given the pool's multifamily-only composition, granular tenant base, stabilized collateral and favorable diversification characteristics, including sponsor and geographic dispersion, Fitch reduced the pool's total loan concentration add-on since the pool does not present the same binary, tenant-specific or sector-specific risks associated with concentrated exposures in other property types. Criteria Variation: Fitch's analysis included one variation from the published "U.S. and Canadian Multiborrower CMBS Rating Criteria." Fitch applied a reduced multifamily property type coefficient in the Term PD calculation, resulting in expected losses (before concentration add-on) approximately halfway between the standard conduit multifamily treatment and the Freddie multifamily treatment. The combination of collateral quality, sponsor strength, platform-level origination consistency and structural alignment of interests distinguishes this pool from traditional conduit transactions and compares favorably to other multiborrower pools rated by Fitch. Fitch's expected ratings for all of its rated classes are between one and three notches higher than they would be without the criteria variation. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'BB-sf'; - 10% Decline to Fitch NCF: 'AAsf'/'AAsf'/'Asf'/'BBBsf'/'BBB-sf'/'BBsf'/'B+sf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'BB-sf'; - 10% Increase to Fitch NCF: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'. CRITERIA VARIATION Fitch's analysis included one variation from the published "U.S. and Canadian Multiborrower CMBS Rating Criteria." Fitch applied a blended multifamily property type coefficient in the Term PD calculation, between the standard conduit multifamily treatment and the Freddie multifamily treatment. Under the criteria, conduit transactions are analyzed using Fitch's multiborrower CMBS loss framework, which assigns term PD, maturity PD and LGD to each loan based on loan, property and pool characteristics. The criteria also provide separate treatment for Freddie Mac multifamily transactions through adjusted model coefficients and concentration add-ons reflecting historically lower losses than conduit transactions. Fitch did not apply full Freddie Mac multifamily treatment because the loans are not agency-originated and do not benefit from Freddie Mac's origination, underwriting or structural framework. However, Fitch determined that application of the standard conduit multifamily property type coefficient would not fully reflect the risk profile of the pool. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. KSL COMMERCIAL 2026-HT3: DBRS Gives (P)BB(low) Rating to F Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-HT3 (the Certificates) to be issued by KSL Commercial Mortgage Trust 2026-HT3 (KSL 2026-HT3): -- Class A at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class C at (P) A (high) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) -- Class F at (P) B (low) (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The KSL 2026-HT3 transaction is secured by the fee-simple and/or leasehold interests in 12 hospitality properties across seven states and Washington, D.C. The portfolio consists of 2,290 keys, including five properties (1,204 keys; representing 48.6% of allocated loan amount (ALA)) operating under the Marriott brand family; two properties (365 keys; representing 18.7% of ALA) operating under the Hyatt brand family; three properties (318 keys; representing 16.5% of ALA) as independent brands; and two properties (403 keys, representing 16.2% of ALA) operating under the Hilton brand family. The properties were constructed between 1990 and 2015 and have a weighted-average (WA) year built of 2003. The subject financing of $890.0 million refinanced approximately $779.2 million of existing debt, returned approximately $52.2 million of equity to the sponsor, repaid a corporate facility of $40.0 million, funded a $9.7 million upfront property improvement plan (PIP) letter of credit (LOC), and covered closing costs of $8.9 million. The loan has a two-year initial term with three one-year extension options with interest-only payments throughout. The borrower is expected to purchase an interest rate cap agreement through the initial maturity date of June 9, 2028, with a one-month term Secured Overnight Financing Rate strike price of 4.86085%. The transaction sponsor is an affiliate of KSL Capital Partners, LLC (KSL). KSL is a private equity firm specializing in equity and debt investments in U.S. and international travel and leisure enterprises, spread across five primary sectors: hospitality, recreation, clubs, real estate, and travel services. KSL has been an industry leader for its nearly 30 years of operation by strategically acquiring lodging and leisure-oriented assets and implementing management to help drive cash flow. Since 2005, KSL has raised more than $28 billion worth of capital commitments that focus solely on its travel and leisure endeavors, investing in more than 200 businesses worldwide. Since 2016, approximately $177.6 million ($77,535 per key) in capital expenditure (capex) has been invested in the properties. An additional $9.7 million of planned capex is budgeted for two of the properties from 2026 through 2027: The Envoy Hotel ($25,735 per key) and Hyatt Union Square ($34,831 per key). The planned capex is part of brand-mandated PIPs over the fully extended five-year loan term. In lieu of an upfront reserve to cover the cost of the brand-mandated PIPs, the sponsor is required to deliver an LOC in an amount equal to $9.7 million. Once performed, these improvements would allow the portfolio to maintain its competitive position and improve its overall financial performance. The largest properties by net cash flow (NCF) are The Westin Savannah Harbor Golf Resort & Spa, The Envoy Hotel, and the Hyatt Union Square, which represent approximately 18.8%, 11.9%, and 11.7%, respectively, of the trailing 12 months (T-12) ended March 2026 NCF. No other property represents more than 11.2% of the T-12 ended March 2026 portfolio NCF. The 12 properties average approximately 191 keys, and the largest hotel, The Westin Savannah Harbor Golf Resort & Spa, contains 403 keys (17.6% of total portfolio keys), over 100 keys more than the next-largest hotel in the portfolio. The portfolio is across seven states and Washington, D.C., with the largest concentration by ALA in New York and Georgia, which account for approximately 38.7% and 14.4%, respectively, of the loan balance by ALA. No other state accounts for more than 11.8% of the loan balance by ALA. Five of the assets have a Morningstar DBRS Market Rank of 7 (51.9% of ALA), and the WA Market Rank for the portfolio is 5.4. The locations are primarily high-barrier-to-entry urban markets that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. In 2023, the portfolio achieved an occupancy rate of 75.0% and an average daily rate (ADR) of $285.32, resulting in a revenue per available room (RevPAR) of $213.93. Over the past two years, the portfolio continued to experience consistent top-line growth. During the T-12 period ended March 31, 2026, the portfolio reported an occupancy rate of 78.2%, reflecting increases of 0.3% and 1.2% compared with YE2025 and YE2024, respectively, and an ADR of $290.63, reflecting increases of 0.4% and 0.6% over the same periods. These figures resulted in a RevPAR of $227.38, representing increases of 0.8% and 1.8% over YE2025 and YE2024, respectively. Of the 12 properties in the portfolio, eight saw RevPAR increases from YE2023 to the T-12 ended March 31, 2026, with seven of the 12 properties experiencing consistent year-over-year RevPAR increases from 2023 through 2025. The portfolio achieved a WA RevPAR penetration of 104.0% during the T-12 ended January 31, 2026, as well as 105.7% in YE2025 and 105.0% in YE2024, indicating that the majority of properties in the portfolio have historically outperformed their respective competitive sets. Morningstar DBRS concluded a RevPAR of $221.62 based on an occupancy rate of 76.3% and an ADR of $290.45. This RevPAR figure is 2.5% lower than the T-12 ended March 31, 2026, RevPAR of $227.38 and 1.8% lower than the YE2025 RevPAR of $225.57. The overall portfolio appraised value is $1.2 billion, which equates to an elevated appraised loan-to-value ratio (LTV) of 75.2%. The Morningstar DBRS-concluded value of $909.4 million ($397,116 per key) represents a 23.1% discount to the appraised value and results in a Morningstar DBRS LTV of 97.9%, which is indicative of high-leverage financing; however, the Morningstar DBRS Value is based on a capitalization rate (cap rate) of 8.17%, which represents significant stress over current prevailing market cap rates. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, the credit rating does not address Spread Maintenance Payments. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. MADISON PARK LXXIV: Moody's Assigns B3 Rating to $250,000 F Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of notes issued and one class of loans incurred by Madison Park Funding LXXIV, Ltd. (the Issuer): US$155,000,000 Class A-1 Floating Rate Senior Notes due 2038, Assigned Aaa (sf) US$165,000,000 Class A-1L Loans maturing 2038, Assigned Aaa (sf) US$250,000 Class F Deferrable Floating Rate Junior Notes due 2039, Assigned B3 (sf) The notes and loans listed are referred to herein, collectively, as the Rated Debt. The Class A-1L Loans may not be exchanged or converted into notes at any time. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Madison Park Funding LXXIV is a managed cash flow CLO. The issued debt will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of not senior secured loans. The portfolio is approximately 90% ramped as of the closing date. UBS Asset Management (Americas) LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2960 Weighted Average Spread (WAS): 3.00% Weighted Average Recovery Rate (WARR): 45.50% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. MAGNETITE XXI: S&P Affirms B- (sf) Rating on Class F-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R2, B-R2, C-R2, and D-R2 debt from Magnetite XXI Ltd./Magnetite XXI LLC, a CLO managed by BlackRock Financial Management Inc. that was originally issued in March 2019 and underwent a refinancing in March 2021. At the same time, S&P withdrew its ratings on the previous class A-R, B-R, C-R, and D-R debt following payment in full on the June 2, 2026, refinancing date. S&P also affirmed its ratings on the class E-R and F-R debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Dec. 2, 2026. -- No additional assets were purchased on the June 2, 2026, refinancing date, and the target initial par amount remains at $500 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- 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 lower ratings the class C-R2, D-R2, E-R, and F-R debt (class E-R and F-R debt were not refinanced). However, we affirmed our 'A (sf)', 'BBB- (sf)', 'B+ (sf)', and 'B- (sf)' ratings on the class C-R2, D-R2, E-R, and F-R debt, respectively, after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction has entered its amortization phase in April. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down, and the refinancing is viewed as credit-neutral to credit-positive for the transaction. However, if performance does not improve and/or metrics deteriorate, this could result in potential negative rating actions going forward. In addition, we believe the payment of principal or interest on the class E-R and F-R debt, when due, does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012." Replacement And Previous Debt Issuances Replacement debt -- Class A-R2, $320.00 million: Three-month CME term SOFR + 0.98% -- Class B-R2, $60.00 million: Three-month CME term SOFR + 1.30% -- Class C-R2 (deferrable), $30.00 million: Three-month CME term SOFR + 1.55% -- Class D-R2 (deferrable), $30.00 million: Three-month CME term SOFR + 2.40% Previous debt -- Class A-R, $310.00 million: Three-month CME term SOFR + 1.02% + CSA(i) -- Class B-R, $70 million: Three-month CME term SOFR + 1.35% + CSA(i) -- Class C-R (deferrable), $30.00 million: Three-month CME term SOFR + 1.60% + CSA(i) -- Class D-R (deferrable), $30.00 million: Three-month CME term SOFR + 2.65% + CSA(i) -- Subordinated notes, $30.25 million: N/A (i)The CSA is 0.26161%. CSA--Credit spread adjustment. N/A--Not applicable. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "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 Magnetite XXI Ltd./Magnetite XXI LLC Class A-R2, $320.00 million: AAA (sf) Class B-R2, $60.00 million: AA (sf) Class C-R2 (deferrable), $30.00 million: A (sf) Class D-R2 (deferrable), $30.00 million: BBB- (sf) Ratings Withdrawn Magnetite XXI Ltd./Magnetite XXI LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Ratings Affirmed Magnetite XXI Ltd./Magnetite XXI LLC Class E-R: B+ (sf) Class F-R: B- (sf) Other Debt Magnetite XXI Ltd./Magnetite XXI LLC Subordinated notes, $30.25 million: NR NR--Not rated. MARBLE POINT XXII: Moody's Cuts Rating on $20.25MM E Notes to B2 ---------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Marble Point CLO XXII Ltd.: US$20.25 million Class E Mezzanine Deferrable Floating Rate Notes, Downgraded to B2 (sf); previously on May 28, 2025 Downgraded to B1 (sf) Moody's have also affirmed the ratings on the following notes: US$249 million Class A-R Senior Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 25, 2025 Assigned Aaa (sf) US$54.5 million Class B-R Senior Floating Rate Notes, Affirmed Aa2 (sf); previously on Jul 25, 2025 Assigned Aa2 (sf) US$19.25 million Class C-R Mezzanine Deferrable Floating Rate Notes, Affirmed A2 (sf); previously on Jul 25, 2025 Assigned A2 (sf) US$25 million Class D Mezzanine Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Jul 26, 2021 Assigned Baa3 (sf) Marble Point CLO XXII Ltd., originally issued in July 2021 and partially refinanced in July 2025, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Marble Point CLO Management LLC. The transaction's reinvestment period will end in July 2026. RATINGS RATIONALE The rating downgrade on the Class E notes is primarily a result of the deterioration of the key credit metrics of the underlying pool since the last rating action in July 2025. According to the trustee report dated April 2026[1] the Weighted Average Spread (WAS) declined to 2.99% from 3.21% in June 2025[2], and the Weighted Average Recovery Rate (WARR) declined to 45.96% from 46.29% over the same period. The reduction in WAS lowers the level of excess spread available to absorb losses arising from future defaults, while the decline in WARR increases the expected severity of such losses. The affirmations on the ratings on the Class A-R, B-R, C-R and D notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD387.37m Defaulted Securities: USD0.16m Diversity Score: 77 Weighted Average Rating Factor (WARF): 2831 Weighted Average Life (WAL): 4.53 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.75% Weighted Average Coupon (WAC): 8.00% Weighted Average Recovery Rate (WARR): 45.76% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. Moody's notes that the May 2026 trustee report was published at the time Moody's were completing Moody's analysis of the April 2026 data. Key portfolio metrics such as WARF, diversity score, weighted average spread and life exhibit little or no change between these dates. 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. 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. MENLO CLO V: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Menlo CLO V Ltd./Menlo CLO V 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 Permira US CLO Manager LLC, a subsidiary of Permira Credit LLC. The preliminary ratings are based on information as of May 29, 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 Menlo CLO V Ltd./Menlo CLO V LLC Class A, $272.00 million: AAA (sf) Class B, $51.00 million: AA (sf) Class C (deferrable), $25.50 million: A (sf) Class D (deferrable), $25.50 million: BBB- (sf) Class E (deferrable), $17.00 million: BB- (sf) Subordinated notes, $37.12 million: NR NR--Not rated. MF1 2026-FL22: DBRS Finalizes B(low) Rating on 3 Note Classes ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of notes (the Notes) issued by MF1 2026-FL22 LLC (MF1 2026-FL22 or the Issuer): -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (high) (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (high) (sf) -- Class E Notes at BBB (sf) -- Class F Notes at BBB (low) (sf) -- Class F-E Notes at BBB (low) (sf) -- Class F-X Notes at BBB (low) (sf) -- Class G Notes at BB (high) (sf) -- Class G-E Notes at BB (high) (sf) -- Class G-X Notes at BB (high) (sf) -- Class H Notes at BB (low) (sf) -- Class H-E Notes at BB (low) (sf) -- Class H-X Notes at BB (low) (sf) -- Class I Notes at B (low) (sf) -- Class I-E Notes at B (low) (sf) -- Class I-X Notes at B (low) (sf) All trends are Stable. The Class F, Class F-E, Class F-X, Class G, Class G-E, Class G-X, Class H, Class H-E, Class H-X, Class I, Class I-E, and Class I-X Notes are non-offered notes. The Class F Notes, the Class G Notes, the Class H Notes, and the Class I Notes (the Exchangeable Notes) are exchangeable for proportionate interests in MASCOT Notes, subject to the satisfaction of certain conditions and restrictions, provided that, at the time of the exchange, the Exchangeable Notes are owned by a wholly owned subsidiary of the Sponsor, in the case of Classes G, H, I and the Income Notes, and an affiliate of the Sponsor, in the case of Class F. All or a portion of each class of Exchangeable Notes may be exchanged as follows: (1) the Class F Notes may be exchanged for proportionate interests in the Class F-E Notes and the Class F-X Notes, (2) the Class G Notes may be exchanged for proportionate interests in the Class G-E Notes and the Class G-X Notes and (3) the Class H Notes may be exchanged for proportionate interests in the Class H-E Notes and the Class H-X Notes, and (4) the Class I Notes may be exchanged for proportionate interests in the Class I-E Notes (collectively with the Class F-E Notes, the Class G-E Notes, and the Class H-E Notes, the MASCOT P&I Notes) and the Class I-X Notes (collectively with the Class F-X Notes, the Class G-X Notes, and the Class H-X Notes, the MASCOT Interest Only Notes). Since the release of the Morningstar DBRS Presale Report on April 29, 2026, the Issuer upsized the deal by 25.0% to an Aggregate Collateral Interest Cut-off Date Balance of $1,500,000,000. The Morningstar DBRS Credit Rating Report is reflective of this updated balance. Please see the Supplement to Preliminary Offering Memorandum for detail. CREDIT RATING RATIONALE/DESCRIPTION The initial collateral consists of 33 floating-rate mortgage loans and participations in mortgage loans and mortgage/mezzanine loan combinations. Two collateral interests that are cross-collateralized and cross-defaulted in the pool were rolled up and treated as one collateral interest. The roll up is the Stratford & FOUND Roll-Up, which comprises collateral interest numbers 16 and 17, Stratford Arms and FOUND Study Chelsea (3.1% of the initial pool balance). The collateral is encumbered by $3.0 billion of debt, composed of $1.5 billion going into the trust, $1.3 billion of funded pari passu debt, $123.0 million in future funding, and $42.8 million in existing mezzanine debt. No loans are delayed-close mortgage assets. The transaction is a managed vehicle, which includes a 30-month reinvestment period. Reinvestment of principal proceeds during the reinvestment period is subject to eligibility criteria, which, among other criteria, includes a rating agency no-downgrade confirmation (RAC) by Morningstar DBRS for all new mortgage assets and funded companion participations. The eligibility criteria indicates that only multifamily, manufactured housing, furnished apartments, student housing, or build-to-rent properties can be brought into the pool during the reinvestment period. Additionally, the eligibility criteria establishes minimum DSCR, LTV, and Herfindahl requirements. Certain events within the transaction require the Issuer to obtain RAC and Morningstar DBRS will confirm that a proposed action or failure to act or other specified event will not, in and of itself, result in the downgrade or withdrawal of the current rating. The Issuer is required to obtain RAC for all acquisitions of companion participations. The loans are secured by properties that are in a period of transition with plans to stabilize and improve the asset value. In total, 21 loans, representing 66.5% of the pool, have remaining future funding participations totaling $123.0 million, which the Issuer may acquire in the future. Please see the chart below for the participations that the Issuer will be able to acquire. All of the loans in the pool have floating interest rates and all loans have interest rate caps. Morningstar DBRS incorporates an interest rate stress that is based on the lower of a Morningstar DBRS stressed rate that corresponds to the remaining fully extended term of the loans or the strike price of an interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the debt service payments were measured against the Morningstar DBRS As-Is NCF, 30 loans representing 87.6% of the initial pool balance, had a Morningstar DBRS As-Is DSCR of 1.00x or below, a threshold indicative of default risk. Additionally, the Morningstar DBRS Stabilized DSCR was less than 1.00x for 26 of the 33 loans, 80.5% of the initial pool balance, which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, Morningstar DBRS does not give full credit to the stabilization if there are no holdbacks or if other structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, Morningstar DBRS generally does not assume the assets will stabilize above market levels. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Amounts and Interest Distribution amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings do not address nonpayment risk associated with Defaulted and Deferred Interest Distribution Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS ESG Considerations had a relevant effect on the credit analysis. Environmental (E) Factors The emissions, effluents, and waste factor had a relevant effect on the credit analysis. The Environmental Site Assessments (ESAs) for The Westline identified a recognized environmental condition, which was related to the historic use of the property as an auto repair shop and a lumber shop. The subsurface investigation revealed releases of hazardous substances into the soil and groundwater. Remedial activities were conducted, and according to a draft Remedial Action Report dated November 2025, approximately 9,700 tons of nonhazardous soil/fill and 1,800 tons of hazardous lead-impacted soil/fill were excavated and disposed off-site. The ESAs recommend continued cooperation with the authorities. Morningstar DBRS did not apply a penalty as the loan agreement contains specific stipulations requiring the borrower to take all steps to ensure a Notice of Satisfaction from the New York City Office of Environmental Remediation for the open Voluntary Cleanup Program case at the property. There were no Social/Governance factors that had a significant or relevant effect on the credit analysis. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. MFA 2026-NQM2: Fitch Assigns 'B-(EXP)sf' Rating on Class B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to MFA 2026-NQM2 Trust (MFA 2026-NQM2). Entity/Debt Rating ----------- ------ MFA 2026-NQM2 A-1FCF LT AAA(EXP)sf Expected Rating A-1LCF LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-1F LT AAA(EXP)sf Expected Rating A-1IO LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 469 nonprime loans with a total balance of approximately $309.0 million as of the cutoff date. Loans in the pool were originated by multiple originators and are currently serviced by Planet Home Lending, LLC and Citadel Servicing Corporation, with all Citadel loans subserviced by ServiceMac, LLC. MFA 2026-NQM2 has a weighted average (WA) Fitch FICO of 744 and a mark-to-market combined loan-to-value ratio of 68.2%. Approximately 56.3% of the loans are backed by primary residences, while the remaining 43.7% of the loans are backed by second homes or investment properties. Of the pool loans, 85.5% were underwritten to less than full documentation. In addition, 43.1% were underwritten to a 12- or 24-month bank statement program, 24.1% are debt service coverage ratio (DSCR) or DSCR no-ratio product, 9.2% are CPA P&L product, and 9.1% were underwritten to an asset depletion or written verification of employment product. Of the pool, 55.9% are non-qualified mortgages (NQMs). Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential payment structure with no P&I advancing. 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. MFA 2026-NQM2 has a final probability of default (PD) of 44.1% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 36.4%. The expected loss in the 'AAAsf' rating stress is 16.0%. Structural Analysis: The mortgage cash flow and loss allocation in MFA 2026-NQM2 are based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially. Fitch 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 is sufficient for the given rating levels. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on all loans in the transaction. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review 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 entity. Fitch expects MFA 2026-NQM2 to be fully de-linked and a bankruptcy-remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to MFA 2026-NQM2, and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch's sensitivity analysis provides three levels of rating sensitivities to demonstrate how the ratings would react to steeper MVDs than those assumed at issuance. The various rating sensitivities include defined stresses and defined sensitivities. The implied rating sensitivities only indicate some of the potential outcomes and do not consider other risk factors to which the transaction is exposed or are considered during the surveillance process. Furthermore, the sensitivity analyses are calculated based on pool-level WA attributes and may differ from a loan-level re-analysis of the pool at the additional stress levels. The defined stresses show the impact of three defined stress assumptions where the SHP level is 10, 20 and 30 percentage points lower than that derived at transaction issuance. These assumptions result in higher sLTVs and steeper sMVDs, the most significant drivers of PD and loss severity in Fitch's loss model. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton, Consolidated Analytics, Evolve, Maxwell, Clarifii, Selene, Infinity, Canopy, AMC, Digital Risk, and Inglet Blair. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2013-C11: DBRS Confirms Csf Rating on Class B Certs ------------------------------------------------------------------ DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2013-C11 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 as follows: -- Class A-S at BBB (high) (sf) -- Class B at C (sf) Morningstar DBRS changed the trend on Class A-S to Negative from Stable. Class B has a credit rating that does not typically carry a trend in commercial mortgage-backed securities credit ratings. CREDIT RATING ACTION RATIONALE -- The credit rating confirmations reflect Morningstar DBRS' liquidated loss projections, which remain relatively unchanged since the most recent credit rating action. -- The servicer provided updated 2025 appraisals for all three remaining loans and Morningstar DBRS updated its liquidation scenarios to reflect those values; however, loss projections are expected to remain contained to the Class B certificate. -- The Negative trend on Class A-S reflects an elevated risk of interest shortfalls if resolution timelines on the loan workouts continue to extend, increasing the trust's exposure to servicing advances, fees, and expenses. -- Should Morningstar DBRS' loss expectations increase or should Class A-S experience full or partial untimely interest payments, downward credit ratings pressure may be realized. POOL/COLLATERAL OVERVIEW -- As of the April 2026 reporting, three of the original 38 loans remained with a trust balance of $121.4 million, reflecting a collateral reduction of 85.8% because of loan amortization, repayment, and loss. -- The remaining retail and mixed-use backed loans have been in special servicing for several years and are either in foreclosure or real estate owned, with values down between 35% and 60% from the issuance appraised values. -- Recent appraisal trends are mixed: Westfield Countryside's (Prospectus ID#1; 70.6% of the pool balance) value increased by 28% year over year (YOY), while Bridgewater Campus' (28.4% of the pool) value declined 11% YOY; however, total exposure for both loans continues to rise because of servicer advances. -- Cumulative interest shortfalls have risen to nearly $9.0 million, up $2.8 million since the prior review, with Class B shorted approximately 95% of certificate interest with the April 2026 reporting, largely driven by nonrecoverability determinations. ANALYTICAL CONSIDERATIONS -- Given the concentration of defaulted loans remaining, Morningstar DBRS considered liquidation scenarios based on conservative stresses to the most recent appraised values to determine the recoverability of the remaining principal balance by class. -- Morningstar DBRS estimates that losses could approach $60.0 million, fully eroding the nonrated Class C and approximately half of Class B. Class A-S is expected to be repaid in full; however, shortfalls may become a factor given the nonrecoverability determinations and the possibility of extended workout periods continuing. KEY LOANS Westfield Countryside -- The loan is secured by the in-line portion of an approximately1.3 million-square foot regional mall in Clearwater, Florida, anchored by Nordstrom Rack (non-collateral), Macy's; Dillard's, Inc.; and JCPenney. The former Sears anchor closed in 2018. -- The loan transferred to special servicing in June 2020, and a receiver was appointed in January 2021 following sponsor default. The sponsor, Unibail-Rodamco-Westfield SE (URW), co-operated in a foreclosure process and ceased further capital support. -- Initial sale efforts were not successful; however, more recently, URW sold select non-collateral components to Benderson Development Co LLC, including the stand-alone Nordstrom Rack and the former Sears space, the latter of which is being redeveloped for an incoming Whole Foods and Target. -- A July 2025 appraisal valued the property at $120.0 million (up from $93.5 million in September 2024), but still significantly lower than the $270.0 million issuance value and the $132.9 million outstanding loan balance. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-DSC2: DBRS Ups Rating on B-1 Certs to BB(high) ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) upgraded its provisional credit ratings on Class M-1 and Class B-1, and finalized provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2026-DSC2 (the Certificates) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-DSC2 (the Issuer) as follows: Debt Rated Rating Action ---------- ------ ------ $171.0 million Class A-1FCF AAA (sf) Provis.-Final $57.0 million Class A-1LCF AAA (sf) Provis.-Final $228.0 million Class A-1 AAA (sf) Provis.-Final $36.0 million Class A-2 AA (low) (sf) Provis.-Final $18.7 million Class A-3 A (low) (sf) Provis.-Final $8.9 million Class M-1 BBB sf) Provis.-Upgraded $8.6 million Class B-1 BB (high) (sf) Provis.-Upgraded $10.2 million Class B-2 B (sf) Provis.-Final Class A-1-A Discontinued Disc-Withdrawn Class A-1-B Discontinued Disc-Withdrawn Class A-1 is an exchangeable certificate while Classes A-1FCF and A-1LCF are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 28.10% of credit enhancement provided by the subordinated Certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (sf) credit ratings reflect 16.75%, 10.85%, 8.05%, 5.35%, and 2.15% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed and adjustable-rate investor debt service coverage ratio (DSCR) first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,057 loans with a total principal balance of approximately $317,172,319 as of the Cut-Off Date (April 1, 2026). Morningstar DBRS discontinued and withdrew its provisional credit ratings on the Class A-1-A and Class A-1-B initially contemplated in the offering documents, as they were not issued at closing. Subsequent to the issuance of the related Presale Report, Morningstar DBRS finalized its "Rating U.S. RMBS Transactions" methodology. This methodology was applied to finalize the credit ratings and final collateral credit rating loss levels published in this report. Unless specified otherwise, all collateral reported statistics regarding the mortgage loans in this report are based off the Presale Report. The pool is, on average, four months seasoned with loan ages ranging from one to 16 months. Approximately 17.8% of the Mortgage Loans were originated by Hometown Equity Mortgage, LLC, 16.6% were originated by Loan Funder LLC, and 16.2% were initially sourced from MAXEX Clearing LLC. The remainder of the Mortgage Loans were originated by various mortgage lending institutions, each comprising less than 15% of the overall mortgage pool. Selene Finance LP will service 33.4% of the loans, Newrez LLC d/b/a Shellpoint Mortgage Servicing, LLC will service 29.1% of the loans, Select Portfolio Servicing Inc. will service 27.2% of the loans, and Cornerstone Servicing, a Division of Cornerstone Capital Bank, SSB (Cornerstone) will service 10.3% of the loans respectively. Computershare Trust Company, N.A will act as Custodian. Rocket Mortgage, LLC will act as Master Servicer. Citibank N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure rule. Servicers will fund advances of delinquent P&I until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the Mortgage Bankers Association (MBA) method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (i) 5% of each of the Class A-IO-S, Class A-1FCF, Class A-1LCF, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3 and Class XS Certificates directly or (ii) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS may, at its option, on or after the earlier of (1) the payment date in April 2029 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). The Class A-1FCF and Class A-1LCF have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. The Class A-1 is an exchangeable certificate and can be exchanged with the Class A-1FCFand Class A-1LCF as specified in the offering documents. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, and M-1. Of note, the Class A Certificates coupon rates step-up by 100 basis points on and after the payment date in May 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are within certain disaster areas (such as those affected by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections (PDI) for any property in a known disaster zone prior to the transactions closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition; -- Improved underwriting standards; -- Current loan status; and -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- DSCR loans; -- Certain investor loans and loans to foreign national borrowers; -- Limited servicer advances of delinquent P&I; and -- The representations and warranties standard. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amount, Interest Carryforward Amount, and the related Class Balance. Morningstar DBRS' credit ratings on the Class A-1FCF, A-1LCF, A-2, and A-3 Certificates also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (May 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-NQM5: DBRS Gives (P)B Rating on Cl. B-2 Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-NQM5 (the Certificates) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-NQM5 (the Issuer) as follows: -- $111.2 million Class A-1FCF at (P) AAA (sf) -- $37.1 million Class A-1LCF at (P) AAA (sf) -- $148.3 million Class A-1 at (P) AAA (sf) -- $128.6 million Class A-1-A at (P) AAA (sf) -- $19.7 million Class A-1-B at (P) AAA (sf) -- $27.0 million Class A-2 at (P) AA (low) (sf) -- $34.5 million Class A-3 at (P) A (low) (sf) -- $13.8 million Class M-1 at (P) BBB (low) (sf) -- $7.5 million Class B-1 at (P) BB (sf) -- $8.7 million Class B-2 at (P) B (sf) Class A-1 is an exchangeable certificate while Classes A-1-A and A-1-B are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 24.66% of credit enhancement provided by the subordinated Certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 17.80%, 9.05%, 5.55%, 3.65%, and 1.45% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 809 loans with a total principal balance of approximately $393,742,963 as of the Cut-Off Date (May 1, 2026). The pool is, on average, four months seasoned with loan ages ranging from one to 16 months. Approximately 13.43% and 11.3% of the Mortgage Loans were originated by United Wholesale Mortgage, LLC and MAXEX Clearing LLC respectively. The remainder of the Mortgage Loans were originated by various mortgage lending institutions, individually comprised less than 10% of the overall mortgage loans. NewRez LLC (NewRez), formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint will service 71.76% of the loans, Selene Finance LP will service 16.7% of the loans, and Select Portfolio Servicing, Inc. will service 11.7% of the loans respectively. Computershare Trust Company, N.A will act as Custodian. Rocket Mortgage LLC will act as Master Servicer. Citibank N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 33.1% of the loans by balance are designated as non-QM. Approximately 57.12% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 9.4% of the pool are designated as QM Safe Harbor, and there are 0.4% QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will fund advances of delinquent P&I until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the Mortgage Bankers Association (MBA) method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (i) 5% of each of the Class A-IO-S, Class A-1FCF, Class A-1LCF, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3 and Class XS Certificates directly or (ii) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS may, at its option, on or after the earlier of (1) the payment date in May 2029 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). The Class A-1-A and Class A-1-B, and separately the Class A-1FCF and Class A-1LCF, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A Certificates coupon rates step-up by 100 basis points on and after the payment date in June 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition; -- Compliance with the ATR rules; -- Improved underwriting standards; -- Current loan status; and -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- Debt service coverage ratio loans; -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers; -- Limited servicer advances of delinquent P&I; and -- The representations and warranties standard. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amount, Interest Carryforward Amount, and the related Class Balance. Morningstar DBRS' credit ratings on the Class A-1FCF, A-1LCF, A-1-A, A-1-B, A-2, and A-3 Certificates also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (June 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-NQM5: S&P Assigns B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-NQM5's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of four months. The mortgage loans primarily have a 30-year maturity. There are 22 loans with 40-year maturities and two loans with 15-year maturities. The loans are secured by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family residential properties and five- to 10-unit multifamily properties. The pool consists of 809 loans backed by 924 properties, which are qualified mortgage (QM)/non-higher-priced mortgage loan (non-HPML) (average prime offer rate [APOR]), QM/HPML (rebuttable presumption), non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. After S&P assigned its preliminary ratings on May 19, 2026, the issuer decided not to issue the class A-1-A and A-1-B certificates on the closing date. As a result, the class A-1FCF and A-1LCF note amounts increased to $222,480,000 and $74,160,000, respectively, from $111,240,000 and $37,080,000. At the same time, the corresponding class A-1 note amount increased to $296,640,000 from $148,320,000. However, the credit enhancement on the transaction did not change. The class B-1 certificates were priced at a net weighted average coupon (WAC) rate. After analyzing the final coupons and the updated structure, our ratings remain unchanged from the preliminary ratings. The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A., and originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-NQM5 Class A-1FCF, $222,480,000: AAA (sf) Class A-1LCF, $74,160,000: AAA (sf) Class A-1, $296,640,000: AAA (sf) Class A-2, $27,016,000: AA- (sf) Class A-3, $34,453,000: A- (sf) Class M-1, $13,781,000: BBB- (sf) Class B-1, $7,481,000: BB (sf) Class B-2, $8,662,000: B (sf) Class B-3, $5,709,963: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $19,690,963: NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal; they do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $393,742,963. NR--Not rated. N/A--Not applicable. MOUNTAIN VIEW XV: S&P Affirms BB- (sf) Rating on Class 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 Mountain View CLO XV Ltd./Mountain View CLO XV LLC, a CLO managed by Seix CLO Management LLC that was originally issued in January 2020 and last underwent a reset in May 2024. At the same time, S&P withdrew its ratings on the previous class A-1-R, A-2-R, B-1-R, B-2-R, C-R, and D-R debt following payment in full on the June 2, 2026, refinancing date. S&P also affirmed its ratings on the existing class X and E-R debt, which were not refinanced. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture: -- The non-call period was extended to June 2, 2027. -- No additional assets were purchased on the June 2, 2026, refinancing date, and the target initial par remains unchanged. There is no additional effective date or ramp-up period and the first payment date following the refinancing is July 15, 2026. -- The previous class B-1-R and B-2-R debt were refinanced by the replacement class B-R-2 debt. -- The previous class D-R debt was refinanced by the replacement class D-1-R2 and D-2-R2 debt. Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R2, $240.00 million: Three-month CME term SOFR + 1.29% -- Class A-2-R2, $16.00 million: Three-month CME term SOFR + 1.50% -- Class B-R2, $48.00 million: Three-month CME term SOFR + 1.65% -- Class C-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 2.05% -- Class D-1-R2 (deferrable), $15.95 million: Three-month CME term SOFR + 3.70% -- Class D-2-R2 (deferrable), $6.05 million: Three-month CME term SOFR + 5.30% Previous debt -- Class A-1-R, $240.00 million: Three-month CME term SOFR + 1.67% -- Class A-2-R, $16.00 million: Three-month CME term SOFR + 1.85% -- Class B-1-R, $40.00 million: Three-month CME term SOFR + 2.15% -- Class B-2-R, $8.00 million: 6.280% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.90% -- Class D-R (deferrable), $22.00 million: Three-month CME term SOFR + 4.60% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned (the class B-R2, C-R2, D-1-R2, and D-2-R2 debt). However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "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 Mountain View CLO XV Ltd./Mountain View CLO XV LLC Class A-1-R2, $240.00 million: AAA (sf) Class A-2-R2, $16.00 million: AAA (sf) Class B-R2, $48.00 million: AA (sf) Class C-R2, $24.00 million: A (sf) Class D-1-R2, $15.95 million: BBB- (sf) Class D-2-R2, $6.05 million: BBB- (sf) Ratings Withdrawn Mountain View CLO XV Ltd./Mountain View CLO XV LLC Class A-1-R to NR from 'AAA (sf)' Class A-2-R to NR from 'AAA (sf)' Class B-1-R to NR from 'AA (sf)' Class B-2-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Ratings Affirmed Mountain View CLO XV Ltd./Mountain View CLO XV LLC Class X: AAA (sf) Class E-R: BB- (sf) Other Debt Mountain View CLO XV Ltd./Mountain View CLO XV LLC Subordinated notes: NR NR--Not rated. NATIXIS COMMERCIAL 2019-MILE: DBRS Cuts Rating on C Debt to CCC --------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2019-MILE issued by Natixis Commercial Mortgage Securities Trust 2019-MILE as follows: -- Class B to B (low) (sf) from BB (low) (sf) -- Class C to CCC (sf) from B (low) (sf) Morningstar DBRS also confirmed its credit ratings on four classes as follows: -- Class A at BBB (low) (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) -- Class F at CCC (sf) The trends on Classes A and B remain Negative while Classes C, D, E, and F have credit ratings that typically do not carry a trend in commercial mortgage-backed securities. CREDIT RATING RATIONALE/DESCRIPTION -- The credit rating downgrades reflect Morningstar DBRS' increased loss expectations since the prior credit rating action in June 2025. -- Given the subject property's sustained low occupancy, declining cash flow, and weak submarket fundamentals, Morningstar DBRS considered a liquidation scenario based on a conservative as-dark value estimate of $153.0 million. -- The resulting loss severity exceeded 60%, indicating that losses could be realized through the Class B certificate upon the eventual resolution of the loan. -- Given the relatively small cushion against loss remaining in the scenario for the Class A certificate, the trends remain Negative to reflect the potential for further credit deterioration. LOAN/COLLATERAL OVERVIEW -- The loan is secured by the fee-simple and leasehold interests in the Wilshire Courtyard property, which comprises two six-story, LEED Gold-certified office buildings totaling approximately 1.1 million square feet in the Miracle Mile submarket of Los Angeles. -- The loan was previously modified, allowing for a maturity extension to June 2026. As part of the modification, the borrower completed a $23.9 million principal curtailment, reducing the trust balance to $384.3 million (a 5.9% reduction from issuance). The loan most recently transferred to special servicing in May 2026 for imminent monetary default. PERFORMANCE HIGHLIGHTS -- According to the April 2026 rent roll, occupancy declined to 51.4% from 59.6% in April 2025, primarily because major tenants vacated, including: Concord Music Group (3.4% of net rentable area (NRA); lease expiration in September 2025), Skydance Media, LLC (2.4% of NRA; vacated in February 2025), and ATTN, Inc. (2.0% of NRA; lease expiration in December 2025). -- As of the April 2026 reporting period, the property reported a net cash flow (NCF) of $7.3 million, equating to a debt service coverage ratio (DSCR) of 0.26 times (x) at YE2025 compared with an NCF of $12.4 million and a DSCR of 0.39x at YE2024 and an NCF of $17.5 million and a DSCR of 0.54x at YE2023. -- The decline in performance reflects elevated vacancy levels as well as rent concessions and abatements. -- According to Q1 2026 Reis data, the Mid-Wilshire/Miracle Mile/Park Mile submarket reported an average asking rent of $40.70 per square foot (psf) and a vacancy rate of 22.7%. ANALYSIS SUMMARY -- In the absence of an updated appraisal since issuance and sustained low occupancy rates and decreased cash flow for the collateral property, Morningstar DBRS considered a conservative as-dark value approach to estimate recovery prospects under a fully vacant scenario. Although the property is around half full, this conservative approach reflects the overall distress in the market that could mean low investor appetite should the servicer foreclose and ultimately liquidate the property. -- The analysis assumes an 18-month downtime period, followed by lease-up at market rents. Key assumptions include a vacancy factor of 20.0%, a concluded market rent of $50.00 psf based on recently executed leases, and an expense ratio of 43.3%, resulting in a stabilized NCF of $26.4 million. -- Morningstar DBRS applied a capitalization rate of 9.25%, supported by market trends and incorporating a 100-basis point adjustment to account for the time and risk associated with re-tenanting the space. Tenant improvement costs of $68.16 psf and leasing commissions of 6.0% were maintained from Morningstar DBRS' prior stressed value analysis in 2020. -- The total stabilization cost, including downtime expenses, was estimated at $132.9 million, with a concluded as-dark value of $153.0 million ($144 psf). The as-dark value estimate implies a loan-to-value ratio of 251.2% on the outstanding principal balance. -- The liquidation scenario that Morningstar DBRS considered gave credit to $19.9 million in reserves on hand. Based on the estimated trust exposure of approximately $416.4 million (including projected liquidation costs and advances), the analysis indicates a loss severity exceeding 60%, which would fully erode Classes C through G and materially affect Class B. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. NEUBERGER BERMAN 55: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 55, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers CLO 55, Ltd. A-1 640969AA9 LT PIFsf Paid In Full AAAsf A-1-R 640969AN1 LT NRsf New Rating A-2 640969AC5 LT PIFsf Paid In Full AAAsf A-2-R 640969AQ4 LT AAAsf New Rating B 640969AE1 LT PIFsf Paid In Full AA+sf B-R 640969AS0 LT AAsf New Rating C 640969AG6 LT PIFsf Paid In Full A+sf C-R 640969AU5 LT Asf New Rating D-1 640969AJ0 LT PIFsf Paid In Full BBBsf D-1-R 640969AW1 LT BBB-sf New Rating D-2 640969AL5 LT PIFsf Paid In Full BBB-sf D-2-R 640969AY7 LT BBB-sf New Rating E 640982AA2 LT PIFsf Paid In Full BB+sf E-R 640982AN4 LT BB-sf New Rating Transaction Summary Neuberger Berman Loan Advisers CLO 55, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Loan Advisers IV LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.36 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.63% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.16% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 6.2% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers CLO 55, 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. NEW RESIDENTIAL 2026-NQM7: Fitch Rates Class B2 Notes 'B-(EXP)sf' ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust, Series 2026-NQM7 (NRMLT 2026-NQM7). Entity/Debt Rating ----------- ------ NRMLT 2026-NQM7 A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by NRMLT 2026-NQM7 as indicated above. The transaction is expected to close on June 12, 2026. The notes are supported by 890 nonprime loans that were primarily originated by NewRez LLC (NewRez), with a total balance of approximately $483.8 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. NRMLT 2026-NQM7 has a final probability of default (PD) of 37.9% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 41.7%. The expected loss in the 'AAAsf' rating stress is 15.8%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM7 are based on a modified sequential structure, whereby the principal is distributed pro rata among the senior certificates while subordinate bonds are shut out from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the collective class A-1 notes (namely, the A-1FCF, A-1LCF, A-1A and A-1B notes), A-2 notes and A-3 notes, until they are reduced to zero. Among the collective class A-1 notes, interest and principal payments will be made either pro rata or sequentially depending on which combination of A-1 notes is outstanding. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5-bp reduction for loans fully reviewed by a third-party review (TPR) firm that has a final grade of either "A" or "B." Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects NRMLT 2026-NQM7 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2026-NQM7; therefore, Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by several firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B." ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. OAKTREE CLO 2024-25: S&P Assigns (P) BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class X-R, A-R, B-R, C-R, D-R, and E-R debt from Oaktree CLO 2024-25 Ltd./Oaktree CLO 2024-25 LLC, a CLO managed by Oaktree CLO Management Company LLC that was originally issued in February 2024. The preliminary ratings are based on information as of June 1, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 10, 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 X, A, A-J, B, C, D, and E debt and assign ratings to the replacement class X-R, A-R, B-R, C-R, D-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 X-R, A-R, B-R, C-R, D-R, and E-R debt is expected to be issued at a lower spread over three-month term SOFR than the existing debt. -- The stated maturity, reinvestment period, and non-call period will each be extended by two years. -- The non-call period will be extended to April 20, 2028. -- The reinvestment period will be extended to April 20, 2031. -- The legal final maturity date for the replacement debt and the existing subordinated notes will be extended to April 20, 2039. -- No additional assets will be purchased on the June 10, 2026, refinancing date, and the target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- Replacement class X-R debt will be issued on the refinancing date. This debt is expected to be paid down using interest proceeds during the reinvestment period in equal installments of $425,000, beginning on the second payment date following the refinancing. -- 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 Oaktree CLO 2024-25 Ltd./Oaktree CLO 2024-25 LLC Class X-R, $4.25 million: AAA (sf) Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $16.00 million: BB- (sf) Other Debt Oaktree CLO 2024-25 Ltd./Oaktree CLO 2024-25 LLC Subordinated notes, $35.00 million: NR NR--Not rated. OAKTREE CLO 2026-34: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Oaktree CLO 2026-34 Ltd./Oaktree CLO 2026-34 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Oaktree CLO Management Co. LLC. The 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 Oaktree CLO 2026-34 Ltd./Oaktree CLO 2026-34 LLC Class A, $256.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $3.50 million: BBB- (sf) Class E (deferrable), $12.50 million: BB- (sf) Subordinated notes, $36.63 million: NR NR--Not rated. OBX 2026-INV4: Moody's Assigns B3 Rating to Cl. B-5 Certs --------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 66 classes of residential mortgage-backed securities (RMBS) 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 (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, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-F, Definitive Rating Assigned Aaa (sf) Cl. A-F-X*, Definitive Rating Assigned Aaa (sf) Cl. A-F2, Definitive Rating Assigned Aaa (sf) Cl. A-F2-X*, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. A-X-27*, Definitive Rating Assigned Aa1 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A Loans, Class A-2A Loans, and Class A-3A Loans, assigned on May 19, 2026, because the Class A-1A Loans, Class A-2A Loans, and Class A-3A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.78%, in a baseline scenario-median is 0.49% and reaches 7.39% 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 May 2026. 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-R2: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OBX 2026-R2 Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by seasoned first-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and non-prime borrowers. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, townhouses, and condominiums. The pool has 947 loans, mostly composed of non-QM/ATR-compliant and ATR-exempt loans. The weighted average seasoning of the pool is approximately 45 months. The preliminary ratings are based on information as of May 29, 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 framework, and geographic concentration; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) OBX 2026-R2 Trust Class A-1FCF, $108,195,000: AAA (sf) Class A-1LCF, $36,065,000: AAA (sf) Class A-1, $144,260,000: AAA (sf) Class A-1A, $125,934,000: AAA (sf) Class A-1B, $18,331,000: AAA (sf) Class A-1F, $32,058,000: AAA (sf) Class A-1IO, $32,058,000(ii): AAA (sf) Class A-2, $24,441,000: AA (sf) Class A-3, $22,404,000: A+ (sf) Class M-1, $19,960,000: BBB- (sf) Class B-1, $9,166,000: BB- (sf) Class B-2, $6,110,000: B- (sf) Class B-3, $4,685,012: Not rated Class A-IO-S, Notional(iii): Not rated Class XS, Notional(iv): Not rated Class R, Not applicable: Not rated (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The class A-1IO notes are inverse floating-rate notes. They will have a notional amount equal to the note amount of the class A-1F notes, which are floating-rate notes, and will not be entitled to payments of principal. The note rate for the class A-1IO notes on any payment date up to but excluding the payment date in June 2030 will be an annual rate equal to the excess, if any, of (1) the lesser of (a) 6.000%, and (b) the product of the net WAC rate for such payment date divided by the class A-1 senior blended rate and 6.000%; over (2) the note rate on the class A-1F notes for such payment date. Beginning on the payment date in June 2030, and on each payment date thereafter, the note rate for the class A-1IO notes will be an annual rate equal to the excess, if any, of (1) the lesser of (a) 7.000%, and (b) the product of the net WAC rate for such payment date divided by the step-up class A-1 senior blended rate and 7.000%; over (2) the note rate on the class A-1F notes for such payment date. (iii)The notional amount will equal the aggregate stated principal balance of the SPS-serviced mortgage loans and Shellpoint serviced mortgage loans as of the first day of the related due period and will not be entitled to principal payments. (iv)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $407,349,012. ONE JAMESTOWN XV: S&P Lowers Class E-R Notes Rating to 'B+ (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its rating on the class E-R debt from Jamestown CLO XV Ltd. and removed it from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class X-R2, A-1-R2, A-2-R2, B-R2, C-R, and D-R debt from the same transaction. The transaction, a U.S. collateralized loan obligation managed by Investcorp Credit Management US LLC, was originally issued in March 2020 and was reset in June 2024. In March 2026, it underwent a refinancing and will exit its reinvestment period in July 2027. On Feb. 5, 2025, S&P had placed its rating on the class E-R debt on CreditWatch Negative primarily due to the relevant class's declining credit support, and indicative cash flow results. The rating actions follow its review of the transaction's performance using data from the May 2026 trustee report. Compared to the February 2026 trustee report used at the time of refinancing, the reported May 2026 overcollateralization (O/C) ratios have changed slightly: -- The class A/B O/C ratio declined to 128.80% from 129.37%. -- The class C O/C ratio declined to 119.37% from 119.90%. -- The class D O/C ratio declined to 111.23% from 111.73%. -- The class E O/C ratio declined to 106.80% from 107.28%. The decline in the O/C ratios is primarily due to the par loss incurred by Jamestown CLO XV Ltd. In addition, the cash flows were affected by the decrease in the weighted average spread and the decline in the recovery rating distribution, and were no longer passing at their previous rating. As a result, S&P downgraded the class E-R notes and removed it from CreditWatch Negative. The affirmations reflect the classes' adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could result in further rating actions. On a standalone basis, the results of our cash flow analysis indicated lower ratings on the class D-R and E-R notes than the rating actions reflect. However, S&P affirmed its rating on the class D-R note and lowered our rating on the class E-R note to B+ (sf) after considering the margin of failure, the tranche's respective credit support, the transaction's low exposure to 'CCC'/'CCC-' rated obligors, and S&P's view that the credit support to these notes may improve once the CLO starts to amortize after its reinvestment ends next year. S&P said, "Our cash analysis indicated a higher rating on the class B-R2 and C-R notes. 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 affirmed our ratings for both classes. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Lowered And Removed From CreditWatch Jamestown CLO XV Ltd. Class E-R to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Jamestown CLO XV Ltd. Class X-R2: AAA (sf) Class A-1-R2: AAA (sf) Class A-2-R2: AAA (sf) Class B-R2: AA (sf) Class C-R: A (sf) Class D-R: BBB- (sf) ONITY LOAN 2026-HB2: DBRS Gives (P)BB Rating on Class M5 Notes -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Asset-Backed Notes, Series 2026-HB2 (the Notes) to be issued by Onity Loan Investment Trust 2026-HB2 as follows: -- $358.6 million Class A at (P) AAA (sf) -- $39.5 million Class M1 at (P) AA (low) (sf) -- $28.8 million Class M2 at (P) A (low) (sf) -- $27.5 million Class M3 at (P) BBB (low) (sf) -- $27.5 million Class M4 at (P) BB (low) (sf) -- $17.9 million Class M5 at (P) B (sf) Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. The (P) AAA (sf) credit rating reflects 31.0% of credit enhancement (CE). The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (sf) credit ratings reflect 23.4%, 17.8%, 12.5%, 7.2%, and 3.8% of CE, respectively. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues, if applicable. Reverse mortgages are typically nonrecourse; borrowers do not have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of March 31, 2026 (the Cut-Off Date), the collateral has approximately $519.35 million in unpaid principal balance from 1,527 performing and nonperforming home equity conversion mortgage reverse mortgage loans and real estate owned assets secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, planned unit developments, and townhomes. The mortgage assets were originated between 1998 and 2021. Of the total assets, 299 have a fixed interest rate (20.70% of the balance), with a 5.080% weighted-average (WA) interest rate. The remaining 1,228 assets have floating-rate interest (79.30% of the balance) with a 5.854% WA interest rate, bringing the entire collateral pool to a 5.694% WA interest rate. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A notes) have been reduced to zero. This structure provides CE in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. Classes M1, M2, M3, M4, M5, and M6 (together, the Class M Notes) have principal lockout insofar as they are not entitled to principal payments prior to a Redemption Date, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the Notes will start to receive payments. Note that the Morningstar DBRS cash flow, as it pertains to each note, models the first payment being received after these dates for each of the respective notes; therefore, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (May 2029) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the Notes, another auction will follow every three months, for up to a year after the Mandatory Call Date. If these have failed to pay off the Notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. If the Class M4, Class M5, and Class M6 notes have not been redeemed or paid in full by the Mandatory Call Date, these notes will accrue Additional Accrued Amounts. Morningstar DBRS does not rate these Additional Accrued Amounts. 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 Amount, Cap Carryover, and Note Amount. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings on the Notes do not address Additional Accrued Amounts based on their position in the cash flow waterfall. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. OZLM IX: Moody's Withdraws Caa3 Rating on $9.5MM E-RR Notes ----------------------------------------------------------- Moody's Ratings has withdrawn the rating on the following notes issued by OZLM IX Ltd.: US$9,500,000 Class E-RR Secured Deferrable Floating Rate Notes due 2031 (current outstanding balance of $2,255,492.21), Withdrawn (sf); previously on August 12, 2025 Downgraded to Caa3 (sf) OZLM IX, Ltd. originally issued in December 2014, refinanced in March 2017, November 2018, October 2021 and then in March 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 October 2023. 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). PALMER SQUARE 2018-2: Fitch Assigns 'BB+sf' Rating on Cl. D-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Palmer Square CLO 2018-2 Ltd.'s refinancing notes classes X-R, A-1-R2, A-2-R2 and B-R2. Fitch has also affirmed the ratings and Rating Outlooks for classes C-R and D-R. Entity/Debt Rating Prior ----------- ------ ----- Palmer Square CLO 2018-2, Ltd. A-1-R2 LT AAAsf New Rating A-1R 69688MAN5 LT PIFsf Paid In Full AAAsf A-2-R2 LT AA+sf New Rating A-2R 69688MAQ8 LT PIFsf Paid In Full AA+sf B-R 69688MAS4 LT PIFsf Paid In Full A+sf B-R2 LT A+sf New Rating C-R 69688MAU9 LT BBB-sf Affirmed BBB-sf D-R 69688LAG2 LT BB+sf Affirmed BB+sf X-R LT AAAsf New Rating Transaction Summary Palmer Square CLO 2018-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Palmer Square Capital Management LLC. Fitch rated the reset of the transaction on March 28, 2024. The net proceeds from the issuance of the refinancing notes will be used to repay the class X through B notes in full on May 28, 2026. Fitch rates Class X-R through D-R notes in the 2026 refinancing. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.71% first-lien senior secured loans and has a weighted average recovery assumption of 73.04%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 2.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 10.8 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the third supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - Spreads have been reduced for all classes of refinanced notes. - The non-call period for the refinanced notes is extended to May 28, 2027. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. FITCH ANALYSIS The portfolio includes 397 assets from 347 primarily high-yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $470 million. As of the latest trustee report prior to the refinance date, the transaction was not passing its Minimum Weighted Average Coupon and Maximum Moody's Rating Factor tests and the 'Caa'/'CCC' Concentration limitation. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'/'B-'. Fitch has an explicit rating, credit opinion or private rating for 42.1% of the current portfolio par balance; ratings for 57.4% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.5% were unrated. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 16.2%, 13.0%, and 12.0%, respectively; - Assumed risk horizon: 6.0 years; - Minimum weighted average spread of 3.12%; - Fixed-rate assets: 5.00%; - 'CCC' obligors as defined by Fitch's ratings: 7.5%; - Minimum weighted average coupon of 5.52%; - Non-first priority senior secured assets: 10.0%; The transaction will exit its reinvestment period on April 16, 2029. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class X-R: 'AAAsf' / Default 43.40% / Recovery 38.71% / Cushion 56.60% - Class A-1-R2: 'AAAsf' / Default 43.40% / Recovery 38.71% / Cushion 11.40% - Class A-2-R2: 'AA+sf' / Default 42.50% / Recovery 47.53% / Cushion 8.60% - Class B-R2: 'A+sf' / Default 37.60% / Recovery 57.45% / Cushion 9.00% - Class C-R: 'BBB-sf' / Default 27.80% / Recovery 66.55% / Cushion 9.90% - Class D-R: 'BB+sf' / Default 26.00% / Recovery 72.31% / Cushion 6.70% Fitch Stress Portfolio (FSP) Model Outputs: - Class X-R: 'AAAsf' / Default 49.40% / Recovery 35.22% / Cushion 50.60% - Class A-1-R2: 'AAAsf' / Default 49.40% / Recovery 35.22% / Cushion 4.70% - Class A-2-R2: 'AA+sf' / Default 48.10% / Recovery 43.45% / Cushion 2.40% - Class B-R2: 'A+sf' / Default 42.60% / Recovery 52.58% / Cushion 2.10% - Class C-R: 'BBB-sf' / Default 32.30% / Recovery 61.61% / Cushion 4.40% - Class D-R: 'BB+sf' / Default 30.30% / Recovery 67.00% / Cushion 2.00% Fitch affirmed the class C-R notes at 'BBB-sf' with a Stable Outlook, two notches below the model-implied rating (MIR) of 'BBB+sf', and the class D-R notes at 'BB+sf' with a Stable Outlook, which matches the MIR. In Fitch's view, the MIR for the class C-R notes does not adequately reflect the transaction's recent adverse performance trend, including realized losses in the current portfolio, or the below-average credit enhancement available to this tranche. These factors indicate a higher likelihood of further credit deterioration and weaker recovery prospects, increasing the tranche's sensitivity to additional portfolio stress. Fitch therefore believes that an upgrade of the class C-R notes in line with the MIR could be reversed in the near term and has affirmed the ratings on the class C-R and class D-R notes instead. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'A-sf' and 'AAAsf' for class A-1-R2, between 'BBB-sf' and 'AAsf' for class A-2-R2, between 'BB-sf' and 'A-sf' for class B-R2, between less than 'B-sf' and 'BBB-sf' for class C-R, and between less than 'B-sf' and 'BB-sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-1-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-R2, 'AA+sf' for class B-R2, 'A+sf' for class C-R, and 'BBB+sf' for class D-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 Palmer Square CLO 2018-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. PALMER SQUARE 2026-1: Moody's Assigns Ba3 Rating to $20MM D Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of notes issued by Palmer Square Loan Funding 2026-1, Ltd. (the Issuer or Palmer Square 2026-1): US$340,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$60,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034, Assigned Aa1 (sf) US$22,500,000 Class B Senior Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$22,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$20,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Palmer Square 2026-1 is a static cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. The portfolio is fully ramped as of the closing date. Palmer Square Capital Management LLC (the Servicer) may engage in disposition of the assets on behalf of the Issuer, during the life of the transaction. Reinvestment is not permitted and all sale and unscheduled principal proceeds received will be used to amortize the notes in sequential order. In addition to the Rated Notes, the Issuer issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,178,459 Diversity Score: 79 Weighted Average Rating Factor (WARF): 2487 Weighted Average Spread (WAS): 2.82% (actual spread vector of the portfolio) Weighted Average Coupon (WAC): 3.80% (actual coupon vector of the portfolio) Weighted Average Recovery Rate (WARR): 46.37% Weighted Average Life (WAL): 4.95 years (actual amortization vector of the portfolio) Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Servicer's investment decisions and management of the transaction will also affect the performance of the Rated Notes. PMT LOAN 2026-CNF5: 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-CNF5 and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages aggregated by PennyMac Corp., originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-CNF5 CI. A-1, Assigned (P)Aaa (sf) CI. A-2, Assigned (P)Aaa (sf) CI. A-3, Assigned (P)Aaa (sf) CI. A-4, Assigned (P)Aaa (sf) CI. A-5, Assigned (P)Aaa (sf) CI. A-6, Assigned (P)Aaa (sf) CI. A-7, Assigned (P)Aaa (sf) CI. A-8, Assigned (P)Aaa (sf) CI. A-9, Assigned (P)Aaa (sf) CI. A-10, Assigned (P)Aaa (sf) CI. A-11, Assigned (P)Aaa (sf) CI. A-12, Assigned (P)Aaa (sf) CI. A-13, Assigned (P)Aaa (sf) CI. A-14, Assigned (P)Aaa (sf) CI. A-15, Assigned (P)Aaa (sf) CI. A-16, Assigned (P)Aaa (sf) CI. A-17, Assigned (P)Aaa (sf) CI. A-18, Assigned (P)Aaa (sf) CI. A-19, Assigned (P)Aa1 (sf) CI. A-20, Assigned (P)Aa1 (sf) CI. A-21, Assigned (P)Aa1 (sf) CI. A-22, Assigned (P)Aa1 (sf) CI. A-23, Assigned (P)Aaa (sf) CI. A-23X*, Assigned (P)Aaa (sf) CI. A-24, Assigned (P)Aaa (sf) CI. A-24X*, Assigned (P)Aaa (sf) CI. A-X1*, Assigned (P)Aa1 (sf) CI. A-X2*, Assigned (P)Aaa (sf) CI. A-X4*, Assigned (P)Aaa (sf) CI. A-X6*, Assigned (P)Aaa (sf) CI. A-X8*, Assigned (P)Aaa (sf) CI. A-X10*, Assigned (P)Aaa (sf) CI. A-X12*, Assigned (P)Aaa (sf) CI. A-X14*, Assigned (P)Aaa (sf) CI. A-X16*, Assigned (P)Aaa (sf) CI. A-X18*, Assigned (P)Aaa (sf) CI. A-X20*, Assigned (P)Aa1 (sf) CI. A-X22*, Assigned (P)Aa1 (sf) CI. B-1, Assigned (P)Aa3 (sf) CI. B-2, Assigned (P)A3 (sf) CI. B-3, Assigned (P)Baa3 (sf) CI. B-4, Assigned (P)Ba3 (sf) CI. B-5, Assigned (P)B3 (sf) CI. 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 0.44%, in a baseline scenario-median is 0.21% and reaches 5.92% 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 May 2026. 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. PMT LOAN 2026-J3: DBRS Gives (P)B(low) Rating on Class B-5 Notes ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-J3 (the Notes) to be issued by PMT Loan Trust 2026-J3 (PMTLT 2026-J3 or the Trust) as follows: -- $274.2 million Class A-1 at (P) AAA (sf) -- $274.2 million Class A-1A Loans at (P) AAA (sf) -- $274.2 million Class A-2 at (P) AAA (sf) -- $164.5 million Class A-3 at (P) AAA (sf) -- $164.5 million Class A-4 at (P) AAA (sf) -- $205.7 million Class A-5 at (P) AAA (sf) -- $205.7 million Class A-6 at (P) AAA (sf) -- $68.6 million Class A-7 at (P) AAA (sf) -- $68.6 million Class A-8 at (P) AAA (sf) -- $219.4 million Class A-9 at (P) AAA (sf) -- $219.4 million Class A-10 at (P) AAA (sf) -- $41.1 million Class A-11 at (P) AAA (sf) -- $41.1 million Class A-12 at (P) AAA (sf) -- $13.7 million Class A-13 at (P) AAA (sf) -- $13.7 million Class A-14 at (P) AAA (sf) -- $54.8 million Class A-15 at (P) AAA (sf) -- $54.8 million Class A-16 at (P) AAA (sf) -- $109.7 million Class A-17 at (P) AAA (sf) -- $109.7 million Class A-18 at (P) AAA (sf) -- $30.8 million Class A-19 at (P) AAA (sf) -- $30.8 million Class A-20 at (P) AAA (sf) -- $305.0 million Class A-21 at (P) AAA (sf) -- $305.0 million Class A-22 at (P) AAA (sf) -- $109.7 million Class A-23 at (P) AAA (sf) -- $109.7 million Class A-23X at (P) AAA (sf) -- $164.5 million Class A-24 at (P) AAA (sf) -- $164.5 million Class A-24X at (P) AAA (sf) -- $305.0 million Class A-X1 at (P) AAA (sf) -- $274.2 million Class A-X2 at (P) AAA (sf) -- $164.5 million Class A-X4 at (P) AAA (sf) -- $205.7 million Class A-X6 at (P) AAA (sf) -- $68.6 million Class A-X8 at (P) AAA (sf) -- $219.4 million Class A-X10 at (P) AAA (sf) -- $41.1 million Class A-X12 at (P) AAA (sf) -- $13.7 million Class A-X14 at (P) AAA (sf) -- $54.8 million Class A-X16 at (P) AAA (sf) -- $109.7 million Class A-X18 at (P) AAA (sf) -- $30.8 million Class A-X20 at (P) AAA (sf) -- $305.0 million Class A-X22 at (P) AAA (sf) -- $7.4 million Class B-1 at (P) AA (low) (sf) -- $4.0 million Class B-2 at (P) A (sf) -- $2.7 million Class B-3 at (P) BBB (high) (sf) -- $1.8 million Class B-4 at (P) BB (sf) -- $484.0 thousand Class B-5 at (P) B (low) (sf) Classes A-X1, A-X2, A-X4, A-X6, A-X8, A-X10, A-X12, A-X14, A-X16, A-X18, A-X20, A-X22, A-23X, and A-24X are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-13, A-15, A-17, A-18, A-19, A-21, A-22, A-23, A-24, A-X2, A-X6, A-X8, A-X10, A-X18, A-X22, A-23X, A-24X, and A-1A Loans are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. 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-23, A-24, and A-1A Loans are super-senior tranches. These classes benefit from additional protection from the senior support notes (Class A-20) with respect to loss allocation. The Class A-1A Loans 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 5.45% of credit enhancement provided by subordinated Notes. The (P) AA (low) (sf), (P) A (sf), (P) BBB (high) (sf), (P) BB (sf), and (P) B (low) (sf) credit ratings reflect 3.15%, 1.90%, 1.05%, 0.50%, 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 pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 22 and 30 years and a weighted-average (WA) loan age of one month. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 74.3%. 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. All of the mortgage loans were originated by and will be serviced by PennyMac Corp. (PennyMac). Citibank, N.A. (Citibank) will act as the Paying Agent, Note Registrar, Certificate Registrar, Securities Intermediary, and Fiscal Agent. Deutsche Bank National Trust Company will act as the Custodian, and Wilmington Savings Fund Society, FSB will serve as Owner Trustee and Collateral Trustee. The Servicer will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or Fiscal Agent (Stop-Advance Loan). The Servicer will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Citibank, N.A. (Citibank, N.A.; rated AA (low) with a Stable trend), as the Fiscal Agent will be obligated to fund any P&I advances that the Servicer is required to make if the Servicer fails in its obligation to do so. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-global financial crisis (GFC) structure. This transaction allows for the issuance of the Class A-1A Loans, which are the equivalent of ownership of the Class A-1 Notes. This class is issued in the form of a loan made by the investor instead of a note purchased by the investor. If Class A-1A Loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Note. There is no change to the structure if this Class is 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; and -- 100% current loans. The transaction also includes the following challenges: -- Limited securitization and performance history; -- A representations and warranties framework; -- Limited advances of delinquent P&I; and -- The servicing administrator's financial capabilities. Morningstar DBRS' credit rating on the notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Interest Payment Amount, Interest Shortfall, and Debt Amount. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. POST CLO 2024-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Post CLO 2024-1 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Post CLO 2024-1 Ltd. X LT NRsf New Rating A-1-R LT NRsf New Rating A-2 73743EAC2 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 73743EAE8 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 73743EAG3 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 73743EAJ7 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 73743FAA3 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Post CLO 2024-1 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Post Advisory Group LLC. The deal originally closed in April 2024, and it will be refinanced on May 22, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.95, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.76% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.66% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43.5% 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-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Post CLO 2024-1 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. PRPM 2026-RCF4: Fitch Assigns 'BB-(EXP)sf' Rating on Class M2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to PRPM 2026-RCF4, LLC (PRPM 2026-RCF4). Entity/Debt Rating ----------- ------ PRPM 2026-RCF4 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 Transaction Summary Fitch expects to rate the series 2026-RCF4 residential mortgage-backed notes to be issued by PRPM 2026-RCF4, LLC, as indicated above. The notes are supported by 978 loans with a balance of $261.06 million as of the cutoff date. This will be the 14th PRPM RCF transaction to be rated by Fitch and the fourth RCF transaction of 2026. The transactions is expected to close on June 12, 2026. The notes are secured by a pool of recently originated and seasoned, fixed-rate and adjustable-rate, fully amortizing, interest-only (IO) performing and reperforming mortgages. These are secured by senior and second liens on generally single-family residential properties, planned unit developments, condominiums, two- to four-family residential properties, multiple properties, manufactured housing, five- to 10-unit multifamily properties, townhouses, land and a condotel. Based on the transaction documents, 74.5% 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 non-QM (13.3%), performing or reperforming loans (RPLs) (10.7%) and ITIN loans (1.4%). The loans were originated by various originators, with no originator contributing more than 10% to the pool. SN Servicing Corp. (SNSC), rated 'RSS3' by Fitch, will service 53.4% of the loans; Fay Servicing, rated 'RSS2' by Fitch, will service 28.9%; Rocket Mortgage, dba Rushmore Servicing rated 'RSS2' will service 8.9%; and Newrez LLC dba Shellpoint Mortgage Servicing, rated 'RSS2+' by Fitch, will service 8.8%. A majority of the loans adhere to QM rules or are exempt from the rules. Only 13.3% are non-QM loans. Fitch did not adjust the QM status in its analysis under its 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 June 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 717 and a Fitch-determined debt-to-income ratio (DTI) of 41.4%. The borrowers also have moderate leverage, with an original combined loan-to-value ratio (cLTV), as determined by Fitch, of 82.0% (81.6% is the cLTV in the transaction documents), translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 78.0%. Of the loans in the pool, 74.5% are considered S&D, 10.7% are RPLs or seasoned performing, 1.5% are ITIN loans and 13.3% are seasoned non-QM loans. A majority of the loans are fully documented, but roughly 28% are less than full documentation (bank statement, DSCR or other). PRPM 2026-RCF4 has a final probability of default (PD) of 44.10% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 53.13%. The expected loss in the 'AAAsf' rating stress is 23.44%. Structural Analysis (Mixed): The transaction utilizes a sequential-payment structure with no advancing of delinquent (DQ) principal or interest. There is overcollateralization (OC) 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 (June 2030), the coupons step up 100 bps. Class B and the certificate class will be issued as PO bonds and will not accrue interest. The transaction has 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-RCF4 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-RCF4, 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 10.7%, 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) by the following TPR firms, ProTitle, Consolidated Analytics, Canopy, Covius, Clayton, 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, 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, loan with environmental hazard exposure on property, loan with material repairs needed, loans with state regulation violations in New York, Georgia or Texas that also had other compliance findings or noted to be high cost loans or TX cash outs, 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 ProTitle, Consolidated Analytics, Canopy, Covius, Clayton, 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, 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. RKTL 2026-2: Fitch Assigns 'BBsf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by RKTL 2026-2. Entity/Debt Rating Prior ----------- ------ ----- RKTL 2026-2 A LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Solid Receivables Quality: The RKTL 2026-2 pool consists of unsecured consumer loans made to obligors with strong credit scores. The weighted average (WA) credit score is 745 and WA income is $152,393. The pool consists of amortizing loans with a WA net interest rate of 12.81% and a WA original term of 54 months, averaging one month of seasoning. Of the loans, 93% were originated to borrowers who own a home. Base Case Default Reflects Recent Performance Trends: Rocket Loans' managed default rates increased in 2022 and 2023. However, since initiating corrective measures that included tightening credit standards, performance in 2H23 and 2024 vintages improved quarter over quarter (qoq). CGD for 60-month term loans reached approximately 10.8% in 4Q22, while CGD for 36-month term loans reached approximately 8.2% in 2Q23. Furthermore, since August 2025, RockLoans has declined certain loans with a 7% or higher probability of default label. Performance improved notably in the 2024 vintage and early 2025 vintage for loans with a 7% to 9% probability of default label. Fitch's WA base case gross default assumption (the default assumption) for RKTL 2026-2 is 9.29%. The default assumption was based on data stratified by Rocket Loans' probability of default label and loan term. In setting the expected case default assumption, Fitch considered performance trends in the 2022 and 2023 vintages and improving trends of default curves in the 2024 vintage. Credit Enhancement Mitigates Stressed Losses: Initial credit enhancement (CE) totals 41.72%, 27.52%, 17.52%, 10.32% and 6.47% of the initial pool balance for the class A, B, C, D and E notes, respectively. The transaction amortizes the notes sequentially and excess cash is not released before the specified overcollateralization (OC) amount of 11.00% is met. Fitch tested the initial CE under stressed cash flow assumptions for all classes and found that the classes pass all stresses at the rating level assigned to the respective class of notes. In particular, Fitch applied a 'AAAsf' rating stress of 5.0x the base case default rate for consumer loans. The stress multiples decrease for lower rating levels according to the higher prescribed multiples described in Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for the loans, RockLoans' recent changes to underwriting guidelines and marketing strategies, the WA FICO score of the borrowers and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Assurance for True Lender Status for Partner Bank-Loan Origination: Rocket Loans' securitization transactions comprise consumer loans originated by Cross River Bank, a New Jersey state-chartered commercial bank. The bank's true lender status in the context of Rocket Loans' loan acquisition is subject to legal and regulatory uncertainty, especially if the loans' interest rates exceeded those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that Rocket Loans, rather than Cross River Bank, is the true lender, loans could be declared unenforceable, void or subject to interest rate reductions and other penalties. This would increase negative rating pressure. Fitch's analysis and expected ratings reflect a review of the transaction's eligibility criteria for selecting the receivables for RKTL 2026-2, which reduces exposure to loans with interest rates above usury caps. Fitch also performed an operational risk review and deemed Rocket Loans' compliance, legal and operational capabilities as acceptable to meet consumer protection regulations. Adequate Servicing Capabilities with Removal Risk: Rocket Loans has a strong record of servicing consumer loans. Since launching of the RockLoans Platform in 2016, Rocket Loans has acted as a subservicer for the consumer loans originated by Cross River Bank. Starting in May 2025, Rocket Loans became the sole servicer of certain personal loans originated through the RockLoans Platform. The entity's credit risk profile is mitigated by backup servicing provided by Systems & Services Technologies, Inc. Fitch considers all parties to be adequate servicers for this pool at their expected rating levels. The class R-1 certificate holder may remove Rocket Loans as servicer at any time without cause and without controlling noteholders' approval, and with no obligation to consider noteholders' interests when selecting a successor servicer. While this provision did not impact Fitch's analysis because its effect is limited to servicing operations, the servicer replacement right granted to the subordinated class R-1 certificate holder is not typically seen in comparable public structured finance transactions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased defaults (class A/B/C/D/E): Expected Ratings: 'AAAsf (EXP)'/'AA-sf (EXP)'/'A-sf (EXP)'/'BBB-sf (EXP)'/'BBsf (EXP)' Increased default base case by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBB-sf'/'BB-sf'; Increased default base case by 25%: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'B+sf'; Increased default base case by 50%: 'A+sf'/'A-sf'/'BBB-sf'/'BB-sf'/'CCCsf'; Increased default base case by 10% and reduced recovery base case by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'B+sf'; Increased default base case by 25% and reduced recovery base case by 25%: 'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; Increased default base case by 50% and reduced recovery base case by 50%: 'A+sf'/'BBB+sf'/'BB+sf'/'B+sf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity from decreased defaults (class A/B/C/D/E): Expected Ratings: 'AAAsf (EXP)'/'AA-sf (EXP)'/'A-sf (EXP)'/'BBB-sf (EXP)'/'BBsf (EXP)' Decreased default base case by 10%: 'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BBsf'; Decreased default base case by 25%: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BB+sf'; Decreased default base case by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'AA-sf'/'BBB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 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 of certain characteristics with respect to 150 randomly selected preliminary portfolio loans. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SALUDA GRADE 2026-LOC6: DBRS Gives (P)B(low) Rating on B-2 Notes ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following Asset-Backed Securities, Series 2026-LOC6 (the Notes) to be issued by Saluda Grade Alternative Mortgage Trust 2026-LOC6 (GRADE 2026-LOC6 or the Trust): -- $209.9 million Class A-1A at (P) AAA (sf) -- $31.0 million Class A-1B at (P) AAA (sf) -- $241.0 million Class A-1X at (P) AAA (sf) -- $209.9 million Class A-1AX at (P) AAA (sf) -- $31.0 million Class A-1BX at (P) AAA (sf) -- $14.3 million Class M-1 at (P) AA (low) (sf) -- $15.8 million Class M-2 at (P) A (low) (sf) -- $14.9 million Class M-3 at (P) BBB (low) (sf) -- $13.5 million Class B-1 at (P) BB (low) (sf) -- $7.3 million Class B-2 at (P) B (low) (sf) The (P) AAA (sf) credit ratings on the Notes reflect 22.35% of credit enhancement provided by subordinate notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 17.75%, 12.65%, 7.85%, 3.50%, and 1.15% 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 recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of asset-backed securities (the Notes). The Notes are backed by 2,089 loans (individual HELOC draws) which correspond to HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $310,327,341 and a total current credit limit of $366,972,653 as of the Cut-Off Date (April 30, 2026). The portfolio, on average, is three months seasoned, though seasoning ranges from zero to 38 months. All HELOCs are current, and the vast majority of loans (approximately 99.7%) - including 1.1% that experienced delinquency due to servicing transfer-related issues - have never been 30 or more days delinquent since origination. All the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. GRADE 2026-LOC6 represents the tenth HELOC securitization by the Sponsor, Saluda Grade Opportunities Fund LLC (Saluda Grade). The performance of the previous transactions to date has been satisfactory. HELOC Features In this transaction, all loans are open-HELOCs that have a draw period of three, five or ten years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. After the draw term, HELOC borrowers have a repayment period ranging from 5 to 25 years and are no longer allowed to draw. All HELOCs in this transaction are floating-rate loans. For approximately 95.3% of the loans, interest-only (IO) payment periods aligned with their draw periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. While these HELOCs do not need to be fully drawn at origination, the weighted-average (WA) utilization rate of approximately 94.4% after three months of seasoning on average. 100% of the HELOCs in this transaction are adjustable-rate mortgage loans, all the loans are fully amortizing with a shorter draw period, and may have terms significantly shorter than 30 years, including 10- to 20-year terms. Transaction and Other Counterparties The mortgages were originated by HomeBridge Financial Services, Inc (72.6%) and Angel Oak Mortgage Solutions LLC (21.5%) as well as other originators each comprising less than 10.0% of the pool by balance. NewRez LLC d/b/a Shellpoint Mortgage Servicing will service 100% of the loans within the pool for a servicing fee of 0.20% per year. Wilmington Savings Fund Society, FSB (WSFS Bank) will serve as the Custodian, Indenture Trustee, Delaware Trustee, Paying Agent, Note Registrar, and Certificate Registrar. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws, and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class G Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the HELOC Funding Account (including amounts deposited into the HELOC Funding Account on behalf of the Class G Certificate holder after the Closing Date). The HELOC Funding Account is funded at closing initially with a rounded balance of $1,699,359 (3.00% of the unutilized credit limit as of the Cut-Off Date). Prior to the payment date in June 2031, the HELOC Funding Account required amount will be $1,699,359. On and after the payment date in June 2031 (after the draw period ends for vast majority of HELOCs), the HELOC Funding Account required amount will become $0. If the HELOC Funding Account is not at target, the Paying Agent will use the interest remittance amount remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, making any principal payments to the Class G Certificateholders, and paying the accrued and unpaid interest on the bonds to build it to the target. To the extent the HELOC Funding Account is not funded up to its required amount from the interest collections, the Class G Certificateholders will be required to use its own funds to reimburse the Servicer for any Net Draws. In the event the Class G Certificateholder has not remitted to the HELOC Funding Account an amount sufficient to fully reimburse the Servicer, principal collections on the loans in subsequent periods may be used to reimburse the Servicer for such unreimbursed Net Draws. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, upon review by the related Servicer, may be charged off. Transaction Structure This transaction incorporates a pro-rata cash flow structure; however, principal payment will be distributed sequentially so long as none of the Class M-1, M-2, or M-3 Notes is a Locked Out Class, as described below in the report under Cashflow Structure and Features. On the first Payment Date, each of the Class M-1, M-2, and M-3 Notes will be a Locked-Out Class. Additionally, the pro rata cash flow structure is subject to a Credit Event, which is based on certain performance trigger events related to cumulative losses and delinquencies. If a Credit Event is in effect, principal distributions are made sequentially. Cumulative Loss and Delinquency Trigger Events are applicable immediately after the Closing Date. Relative to a sequential pay structure, a pro rata structure subject to a sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Other Transaction Features The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Notes to satisfy the credit risk-retention requirements. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable. On any payment date on or after three years after the closing date or the first payment date when the unpaid principal balance falls to or below 20% of the Cut-Off Date UPB, the Sponsor, at the direction of the Controlling Holder, may exercise a call and purchase all of the outstanding Notes at the repurchase price (Optional Redemption) described in the transaction documents. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the real estate owned (REO) properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the Servicer will have the option to purchase the mortgage loans and REO properties at the termination price described in the transaction documents (Clean-Up Call). The Sponsor will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The credit ratings reflect transactional strengths that include the following: -- Robust equity and prime and near-prime credit quality, -- Certain HELOC attributes, -- Current loan status, and -- Satisfactory third-party due-diligence sample size and review. The transaction also includes the following challenges: -- Representations and warranties standard, and -- No servicer advances of delinquent principal and interest. Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Interest Payment Amount, Interest Carryforward Amount, and the Class 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 Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. SCULPTOR CLO XXXII: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-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. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B-1, B-2, C, D-1, D-2, and E debt following payment in full. The replacement debt was issued via a 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 was issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class B-R debt was 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 replaced the current floating spread class C debt. -- The non-call period was extended to June 4, 2028. -- The reinvestment period was extended to April 30, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes was extended to April 30, 2039. -- No additional assets were purchased on the June 4, 2026, refinancing date, and the target initial par amount remains at $400,000,000. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 30, 2026. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 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) Ratings Withdrawn Sculptor CLO XXXII Ltd./Sculptor CLO XXXII LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D-1 NR from 'BBB+ (sf)' Class D-2 to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Sculptor CLO XXXII Ltd./Sculptor CLO XXXII LLC Subordinated notes, $42.39 million: NR NR--Not rated. SEQUOIA MORTGAGE 2026-INV3: Fitch Rates Class B5 Certificates 'Bsf' ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Ratings Outlooks to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-INV3 (SEMT 2026-INV3). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2026-INV3 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AA+sf New Rating AA+(EXP)sf A20 LT AA+sf New Rating AA+(EXP)sf A21 LT AA+sf New Rating AA+(EXP)sf A22 LT AA+sf New Rating AA+(EXP)sf A23 LT AA+sf New Rating AA+(EXP)sf A24 LT AA+sf New Rating AA+(EXP)sf A25 LT AA+sf New Rating AA+(EXP)sf A26F LT AAAsf New Rating AAA(EXP)sf ACH4 LT AAAsf New Rating AAA(EXP)sf A31 LT AAAsf New Rating AAA(EXP)sf ACH67 LT AAAsf New Rating AAA(EXP)sf A32 LT AAAsf New Rating AAA(EXP)sf A33 LT AAAsf New Rating AAA(EXP)sf A34 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AA+sf New Rating AA+(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AA+sf New Rating AA+(EXP)sf AIO21 LT AA+sf New Rating AA+(EXP)sf AIO22 LT AA+sf New Rating AA+(EXP)sf AIO23 LT AA+sf New Rating AA+(EXP)sf AIO24 LT AA+sf New Rating AA+(EXP)sf AIO25 LT AA+sf New Rating AA+(EXP)sf AIO26 LT AA+sf New Rating AA+(EXP)sf AIO27 LT AAAsf New Rating AAA(EXP)sf AIO27F LT AAAsf New Rating AAA(EXP)sf AIO28 LT AA+sf New Rating AA+(EXP)sf AIO29 LT AAAsf New Rating AAA(EXP)sf AIO30 LT AA+sf New Rating AA+(EXP)sf AIO33 LT AAAsf New Rating AAA(EXP)sf AIO67 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B1A LT AA-sf New Rating AA-(EXP)sf B1X LT AA-sf New Rating AA-(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary SEMT 2026-INV3 features entirely fixed-rate prime investor and second-occupancy loans acquired by Redwood from Rocket Mortgage and various other mortgage originators. The certificates are supported by 1,264 loans with a total balance of approximately $502.66 million as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. The borrowers in the pool exhibit a strong credit profile, with a weighted-average (WA) Fitch FICO of 766 and 37.2% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 70.5% mark-to-market combined LTV (cLTV). Overall, 99.8% of the pool loans are for investor properties or second homes, while the remainder are primary residences. In addition, 100% of the loans were underwritten to full documentation. Following the publication of the presale and expected ratings, the issuer provided an updated tape that included 11 loan drops. The change in collateral lowered the 'AAAsf' expected loss by 1bps to 3.59%. In addition, the issuer also provided a corresponding pricing structure that Fitch analyzed. There were no changes to the credit enhancement and Fitch's expected ratings remain unchanged. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions were 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. SEMT 2026-INV3 had a final probability of default (PD) of 20.4% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress was 43.8%. The expected loss in the 'AAAsf' rating stress was 8.9%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-INV3 were based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes received only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzed the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch 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 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 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 by loan count. Fitch applied a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which had a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expected all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties were those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should have been satisfied to fully de-link the transaction from any other entities. SEMT 2026-INV3 is fully de-linked and a bankruptcy-remote special-purpose vehicle (SPV). All transaction parties and triggers aligned with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations did not apply to SEMT 2026-INV3, and, therefore, Fitch was comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 38.0% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, Opus, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SOUND POINT XVIII: Moody's Cuts Rating on $32MM D Notes to Caa1 --------------------------------------------------------------- Moody's Rating has taken a variety of rating actions on the following notes issued by Sound Point CLO XVIII, Ltd.: US$48 million Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Baa1 (sf); previously on Dec 1, 2025 Upgraded to Baa2 (sf) US$32 million Class D Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa1 (sf); previously on Dec 1, 2025 Downgraded to B3 (sf) Moody's have also affirmed the ratings on the following notes: US$66.9 million Class A-2A (Current outstanding amount USD39,762,117) Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 1, 2025 Affirmed Aaa (sf) US$21.1 million Class A-2B-R (Current outstanding amount USD12,540,817) Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Dec 1, 2025 Affirmed Aaa (sf) US$48 million Class B Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 1, 2025 Upgraded to Aaa (sf) Sound Point CLO XVIII, Ltd., issued in January 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in January 2023. RATINGS RATIONALE The rating upgrade on the Class C notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio over since the last rating action in December 2025. The Class A-1 notes have paid down by approximately USD15.2 million (2.9% of original balance) since the last rating action in December 2025 and by USD520m (100%) since closing. The Class A-2A notes and Class A-2B-R notes have paid down by approximately USD39.8 million (40.6% of original balance) and USD12.5 million (40.6% of original balance) since the last rating action in December 2025, respectively. As a result of the deleveraging, over-collateralisation (OC) has increased for Class A, Class B and Class C. According to the trustee report dated May 2026[1] the Class A, Class B and Class C OC ratios are reported at 325.84%, 169.91% and 114.92% compared to November 2025[2] levels of 220.03%, 150.17% and 113.98%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. All of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The affirmations on the ratings on Class A-2A, Class A-2B-R and Class B notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The downgrade action on Class D notes is primarily a result of deterioration in the credit quality of the underlying collateral pool and deterioration in Class D OC ratio since the last rating action in December 2025. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated May 2026[1], the WARF was 4138, compared with 3917 in November 2025[2]. Securities with ratings of Caa1 or lower currently make up approximately 35.73% of the underlying portfolio, as per the May 2026[1] report, versus 25.91% in November 2025[2]. The Class D OC ratio has deteriorated since the last rating action in December 2025. According to the trustee report dated May 2026[1] the Class D OC ratio is reported at 94.52% compared to November 2025[2] level of 98.20%. The Class D OC test has been in breach since May 2025. Key model inputs: The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD177.7m Defaulted Securities: USD5.63m Diversity Score: 41 Weighted Average Rating Factor (WARF): 3850 Weighted Average Life (WAL): 2.48 years Weighted Average Spread (WAS): 3.31% Weighted Average Recovery Rate (WARR): 45.68% Par haircut in OC tests and interest diversion test: 9.06% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into its cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SUNBIT ASSET 2025-1: DBRS Confirms BB Rating on Class D Notes ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed four credit ratings from Sunbit Asset Securitization Trust 2025-1: Debt Rated Rating Action ---------- ------ ------ Class A Notes AA(sf) Confirmed Class B Notes A(sf) Confirmed Class C Notes BBB(sf) Confirmed Class D Notes BB(sf) Confirmed Credit rating rationale includes the key analytical considerations. -- Transaction capital structure and the form and sufficiency of available credit enhancement (CE). The current levels of hard CE and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining cumulative net loss (CNL) assumptions at multiples of coverage commensurate with the credit ratings. -- The credit rating actions are the result of collateral performance to date and Morningstar DBRS' assessment of future performance assumptions. -- As a percentage of the original collateral balance, total delinquencies have been stable in recent months. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update," published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse 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. SYMPHONY 42: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Symphony 42 CLO, Ltd.'s refinancing notes classes X-R, A-2-R, B-R, C-R, D-R, and E-R. Entity/Debt Rating Prior ----------- ------ ----- Symphony CLO 42, Ltd. X-R LT AAAsf New Rating A-1-L-R LT NRsf New Rating A-1-R LT NRsf New Rating A-2 871987AJ2 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B-1 871987AC7 LT PIFsf Paid In Full AAsf B-2 871987AL7 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 871987AE3 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 871987AG8 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 871985AA5 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Symphony CLO 42, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Symphony Alternative Asset Management LLC that originally closed March 2024. On May 28, 2026 (refinancing date), all the notes will be refinanced for the proceeds of the issuance of new secured notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $480 million of primarily first lien senior secured leveraged loans (excluding defaults and principal cash). KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.98 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.67% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.22% 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 2.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Fitch Analysis The portfolio includes 396 assets from 363 primarily high yield obligors. In Fitch's view, 0.4% of the portfolio consists of assets that are rated 'CC' or below. The portfolio balance, excluding defaults and including principal cash, is approximately $490 million. As of the latest trustee report prior to the refinance date, the transaction has not passed its Minimum Floating Spread and Weighted Average Rating Factor tests. All other collateral quality tests, coverage tests, and concentration limitations passed. The current portfolio's weighted average rating is 'B+'/'B'. Fitch has an explicit rating, credit opinion or private rating for 46.3% of the current portfolio par balance; ratings for 53.5% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.2% were unrated. As per Fitch's criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and on the indicative portfolio for the non-refinanced notes, if any. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 1.5% each, for an aggregate of 7.5%; - Largest three industries: 15.0%, 12.0%, and 12.0%, respectively; - Assumed risk horizon: 6 years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 72.70%; - Maximum weighted average rating factor of 24.00; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 6.50%; The transaction will exit its reinvestment period on April 17, 2029. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class X-R: 'AAAsf' / Default 41.20% / Recovery 39.32% / Cushion 58.80% - Class A-2-R: 'AAAsf' / Default 41.20% / Recovery 39.32% / Cushion 11.60% - Class B-R: 'AAsf' / Default 38.40% / Recovery 48.18% / Cushion 11.30% - Class C-R: 'Asf' / Default 34.20% / Recovery 57.89% / Cushion 10.20% - Class D-R: 'BBB-sf' / Default 26.30% / Recovery 67.30% / Cushion 8.40% - Class E-R: 'BB-sf' / Default 22.00% / Recovery 72.30% / Cushion 3.80% Fitch Stress Portfolio (FSP) Model Outputs: - Class X-R: 'AAAsf' / Default 47.80% / Recovery 38.75% / Cushion 52.20% - Class A-2-R: 'AAAsf' / Default 47.80% / Recovery 38.75% / Cushion 4.70% - Class B-R: 'AAsf' / Default 44.50% / Recovery 46.54% / Cushion 4.50% - Class C-R: 'Asf' / Default 39.70% / Recovery 56.11% / Cushion 3.70% - Class D-R: 'BBB-sf' / Default 31.00% / Recovery 65.39% / Cushion 4.30% - Class E-R: 'BB-sf' / Default 26.00% / Recovery 71.18% / Cushion 0.00% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'A-sf' and 'AAAsf' for class A-2-R, between 'BBB-sf' and 'AAsf' for class B-R, between 'BB-sf' and 'A-sf' for class C-R, and between less than 'B-sf' and 'BBB-sf' for class D-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, and 'A+sf' for class D-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Symphony CLO 42, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TOWD POINT 2021-SL1: DBRS Confirms B(high) Rating on Class F Notes ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) upgraded four credit ratings and confirmed 11 credit ratings on all classes of securities included in Two Towd Point Asset Trust Student Loan Transactions. The credit rating actions are based on the following analytical considerations: -- Transaction capital structure, current rating, and sufficient credit enhancement levels, which have increased since closing. -- Credit enhancements are in the form of overcollateralization, reserve account, and excess spread with senior notes benefiting from subordination of junior notes. -- Credit enhancement levels are sufficient to support the Morningstar DBRS-expected default and loss severity assumptions under various stress scenarios. -- Collateral performance is within expectations, and cumulative net losses remain low. Forbearance and delinquency levels remain relatively stable. -- The transactions parties' capabilities with respect to origination, underwriting, and servicing. -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns - March 2026 Update, published on March 27, 2026. These baseline macroeconomic scenarios replace DBRS Morningstar's 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. RATINGS Towd Point Asset Trust 2018-SL1 Class AB Notes AAA(sf) Confirmed Class AC Notes AAA(sf) Upgraded Class B Notes AAA(sf) Confirmed Class C Notes AAA(sf) Upgraded Class D-1 Notes A(sf) Upgraded Class D-2 Notes BBB(sf) Upgraded Towd Point Asset Trust 2021-SL1 Class A1 Notes AAA(sf) Confirmed Class A2 Notes AAA(sf) Confirmed Class AB Notes AA(sf) Confirmed Class B Notes AA(sf) Confirmed Class AC Notes A(sf) Confirmed Class C Notes A(sf) Confirmed Class D Notes BBB(sf) Confirmed Class E Notes BB(sf) Confirmed Class F Notes B(high)(sf) Confirmed TRESTLES CLO II: Fitch Assigns 'Bsf' Rating on Class F-RR Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Trestles CLO II, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Trestles CLO II, Ltd. X-RR LT NRsf New Rating A-1-RR LT NRsf New Rating A-2-R 89531MAL6 LT PIFsf Paid In Full AAAsf A-2-RR LT AAAsf New Rating B-1-R 89531MAN2 LT PIFsf Paid In Full AA+sf B-2-R 89531MAQ5 LT PIFsf Paid In Full AAsf B-RR LT AAsf New Rating C-R 89531MAS1 LT PIFsf Paid In Full A+sf C-RR LT Asf New Rating D-1-R 89531MAU6 LT PIFsf Paid In Full BBBsf D-1-RR LT BBB-sf New Rating D-2-R 89531MAW2 LT PIFsf Paid In Full BBB-sf D-2-RR LT BBB-sf New Rating E-R 89531VAE2 LT PIFsf Paid In Full BB-sf E-RR LT BB-sf New Rating F-R 89531VAG7 LT PIFsf Paid In Full Bsf F-RR LT Bsf New Rating Transaction Summary Trestles CLO II, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by APC Asset Development I, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.32 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.62% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.94% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'Bsf' and 'BBB+sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-1-RR, between less than 'B-sf' and 'BB+sf' for class D-2-RR, between less than 'B-sf' and 'B+sf' for class E-RR, and between less than 'B-sf' and 'B+sf' for class F-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AAsf' for class C-RR, 'Asf' for class D-1-RR, 'A-sf' for class D-2-RR, 'BBB+sf' for class E-RR, and 'BBB-sf' for class F-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Trestles CLO II, 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. TRUIST BANK 2026-1: Moody's Assigns (P)B3 Rating to Class C Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to the notes to be issued by Truist Bank Auto Credit-Linked Notes, Series 2026-1 (TACLN 2026-1). The credit-linked notes reference a pool of fixed rate auto installment contracts with prime-quality borrowers originated and serviced by Truist Bank (Truist, senior unsecured A3). TACLN 2026-1 is the second credit linked notes transaction issued by Truist to transfer credit risk to noteholders through a hypothetical financial guaranty on a reference pool of auto loans originated and serviced by Truist. The complete rating actions are as follows: Issuer: Truist Bank Auto Credit Linked Notes, Series 2026-1 Class B Notes, Assigned (P)A3 (sf) Class C Notes, Assigned (P)B3 (sf) RATINGS RATIONALE The notes are fixed-rate. Unlike principal payment, interest payment to the notes is not dependent on the performance of the reference pool. This deal is unique in that the source of payments for the notes will be Truist's own funds, and not the collections on the loans or note proceeds held in a segregated trust account. Thus, the notes are unsecured obligations of Truist and Moody's capped the ratings of the notes at Truist's senior unsecured rating (A3 stable). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure seen in US auto loan securitizations. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience of Truist as the servicer, and the creditworthiness of Truist as reflected in its credit rating. Moody's median cumulative net loss expectation for the 2026-1 reference pool is 0.60% and the loss at a Aaa stress is 5.00%. Moody's based Moody's cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Truist to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class B notes and Class C notes are expected to benefit from 2.00% and 1.20% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B and Class C notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Moody's could also upgrade the Class B notes if Truist's senior unsecured rating is upgraded. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Moody's could also downgrade the notes if Truist's senior unsecured rating is downgraded. TRUPS FINANCIALS 2026-2: Moody's Assigns Ba2 Rating to Cl. D Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to five classes of notes issued by TruPS Financials Note Securitization 2026-2 (the Issuer or TFNS 2026-2): US$156,250,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$57,250,000 Class A-2 Senior Secured Floating Rate Notes due 2039, Assigned Aa2 (sf) US$24,000,000 Class B Mezzanine Deferrable Floating Rate Notes due 2039, Assigned A3 (sf) US$18,000,000 Class C Mezzanine Deferrable Floating Rate Notes due 2039, Assigned Baa3 (sf) US$16,500,000 Class D Mezzanine Deferrable Floating Rate Notes due 2039, Assigned Ba2 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CDO's portfolio and structure. TFNS 2026-2 is a static cash flow CDO. The issued notes will be collateralized primarily by trust preferred securities ("TruPS") and subordinated debt issued by US community banks and their holding companies and insurance companies. The portfolio is expected to be 100% ramped as of the closing date. EJF CDO Manager LLC (the Manager), an affiliate of EJF Capital LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, credit risk securities, certain securities whose issuer has been acquired, or merged with another institution ("APAI securities"). Subject to certain reinvestment criteria, the Manager may reinvest proceeds from sales of APAI securities or from the repayments of substitutable securities. Substitutable security is any bank subordinated note issued after January 01, 2012 that either (a) has a stated maturity that is prior to the second anniversary of the closing date of the transaction or (b) initially bears interest at a fixed rate and is scheduled to convert to a floating rate instrument prior to the second anniversary of the closing date of the transaction. In addition to the Rated Notes, the Issuer issued one class of preferred shares. The portfolio of this CDO consists of TruPS and subordinated debt issued by 51 US community banks and 14 insurance companies, the majority of which Moody's do not rate. Moody's assess the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc™, an econometric model developed by Moody's Analytics. Moody's evaluations of the credit risk of the bank obligors in the pool relies on FDIC Q4-2025 financial data. Moody's assess the default probability of insurance company obligors that do not have public ratings through credit assessments provided by Moody's insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $300,720,000 Weighted Average Rating Factor (WARF): 827 Weighted Average Spread (WAS) Float only: 3.36% Weighted Average Coupon (WAC) Fixed only: 7.37% Weighted Average Coupon (WAC) Fixed to float: 7.06% Weighted Average Spread (WAS) Fixed to float: 3.91% Weighted Average Life (WAL): 7.74 years In addition to the quantitative factors that Moody's explicitly model, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Methodology Underlying the Rating Action The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assess through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. UNLOCK HEA 2026-1: DBRS Finalizes BB(low) Rating on Cl. C Debt -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Asset-Backed Securities, Series 2026-1 (the Notes) issued by Unlock HEA Trust 2026-1 as follows: -- $254.0 million Class A at A (low) (sf) -- $48.5 million Class B at BBB (low) (sf) -- $42.2 million Class C at BB (low) (sf) The A (low) (sf) credit rating reflects credit enhancement of 26.3% for Class A, the BBB (low) (sf) credit rating reflects credit enhancement of 12.2% for Class B, and the 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. VERUS SECURITIZATION 2026-5: Moody's Gives (P)B3 Rating to B-2 Debt ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 14 classes of residential mortgage-backed securities (RMBS) to be issued by Verus Securitization Trust 2026-5 (Verus 2026-5), and sponsored by VMC Asset Pooler, LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages acquired by entities administered by Verus Mortgage Capital (Verus), originated by multiple entities and serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing and Cornerstone Servicing, a Division of Cornerstone Capital Bank SSB. The complete rating actions are as follows: Issuer: Verus Securitization Trust 2026-5 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1A, Assigned (P)Aaa (sf) Cl. A-1B, Assigned (P)Aaa (sf) Cl. A-1F, Assigned (P)Aaa (sf) Cl. A-1FCF, Assigned (P)Aaa (sf) Cl. A-1LCF, Assigned (P)Aaa (sf) Cl. A-1IO*, Assigned (P)Aaa (sf) Cl. A-1IO1*, Assigned (P)Aaa (sf) Cl. A-1IO2*, 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) Cl. B-2, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 2.47%, in a baseline scenario-median is 1.74% and reaches 23.05% 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 May 2026. 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. WELLS FARGO 2016-LC24: Fitch Affirms 'Csf' Rating on Two Tranches ----------------------------------------------------------------- Fitch Ratings has affirmed 11 classes of Wells Fargo Commercial Mortgage Trust 2016-LC24 (WFCM 2016-LC24). The Outlooks remain Negative for classes X-B, B, and C. Fitch has also affirmed nine classes of Wells Fargo Commercial Mortgage Trust 2016-LC25 (WFCM 2016-LC25). The Outlooks remain Negative for classes X-D and D. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2016-LC24 A-4 95000HBF8 LT AAAsf Affirmed AAAsf A-S 95000HBH4 LT AAAsf Affirmed AAAsf B 95000HBL5 LT AAsf Affirmed AAsf C 95000HBM3 LT BBBsf Affirmed BBBsf D 95000HAL6 LT CCCsf Affirmed CCCsf E 95000HAN2 LT CCsf Affirmed CCsf F 95000HAQ5 LT Csf Affirmed Csf X-A 95000HBJ0 LT AAAsf Affirmed AAAsf X-B 95000HBK7 LT AAsf Affirmed AAsf X-D 95000HAA0 LT CCCsf Affirmed CCCsf X-EF 95000HAC6 LT Csf Affirmed Csf WFCM 2016-LC25 A-3 95000JAU2 LT AAAsf Affirmed AAAsf A-4 95000JAV0 LT AAAsf Affirmed AAAsf A-S 95000JAX6 LT AAAsf Affirmed AAAsf B 95000JBA5 LT AA-sf Affirmed AA-sf C 95000JBB3 LT A-sf Affirmed A-sf D 95000JAC2 LT BBB-sf Affirmed BBB-sf X-A 95000JAY4 LT AAAsf Affirmed AAAsf X-B 95000JAZ1 LT AAAsf Affirmed AAAsf X-D 95000JAA6 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: WFCM 2016-LC24 'Bsf' rating case loss expectations have increased to 16.1% based on the outstanding pool balance, compared to 10.8% at the prior rating action. Based on the original pool balance and including realized losses, deal-level 'Bsf' rating case loss expectations are 9.0% compared to 8.7% at the last rating action. WFCM 2016-LC25 'Bsf' rating case loss expectations are 7.4% based on the outstanding pool balance, compared to 5.9% at the last rating action. Based on the original pool balance and including realized losses, 'Bsf' rating case loss expectations are 5.2% compared to 4.8% at the prior rating action. Fitch Loans of Concern (FLOCs) comprise 11 loans (32.3% of the pool), including four specially serviced loans (21.2%) in the WFCM 2016-LC24 transaction, and 13 loans (29.7%), including one specially serviced loan (1.6%) in WFCM 2016-LC25. The affirmations in both transactions reflect pool performance and loss expectations generally in line with Fitch's expectations at the prior rating action. The Negative Outlooks in WFCM 2016-LC24 reflect the potential for downgrades should performance of the specially serviced office loans including 1140 Avenue of the Americas (7.7%), One Meridian (5.9%), Pinnacle II (4.6%) and One & Two Corporate Plaza (3.0%) fail to stabilize, deteriorate further or face prolonged workout timelines without progress toward resolution. The Negative Outlooks in WFCM 2016-LC25 reflect performance and refinance concerns with FLOCs in the transaction, including The Shops at Somerset Square (4.5%), Gurnee Mills (3.5%), Causeway Plaza I, II & III (4.1%) and 101 Hudson Stret (2.5%), as well as the potential for downgrade with further deterioration of the specially serviced loan, Holiday Inn Milwaukee River (1.6%). Due to the large concentration of loan maturities in 2026 for both transactions, Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on current status and collateral quality and ranked them by perceived likelihood of repayment and/or loss expectation. The majority of loans in WFCM 2016-LC24 and WFCM 2016-LC25 mature through August 2026 and November 2026, respectively. This analysis contributed to the rating actions and the Negative Outlooks in both transactions. Largest Contributors to Loss: The largest overall contributor to loss in WFCM 2016-LC24 is the 1140 Avenue of the Americas loan (7.7% of the pool), which is secured by a leasehold interest in a 247,183-sf office property in Midtown Manhattan. The loan transferred to special servicing in March 2025 due to imminent default and has been delinquent since April 2025. Performance continues to weaken, with cashflow turning negative in 2025. Cashflow has been insufficient to cover debt service since 2021. YE 2025 occupancy was reported at 74% which compares with 75% as of YE 2024. The loan also faces elevated near-term rollover, with 24% of NRA expiring within one year. The collateral is subject to a ground lease with an expiration in 2066 and the current annual ground lease payment of $4.75 million. Fitch's 'Bsf' rating case loss of 85.3% (prior to concentration add-ons) reflects a discount to the most recent appraisal value, implying a stressed value of approximately $59 psf. The short-term nature of the underlying ground lease along with the high ground rent payment are key factors contributing to the significant impairment to value. The second largest contributor to loss in WFCM 2016-LC24 is the One & Two Corporate Plaza loan (3.0%), which is secured by a 276,025-sf suburban office property in Houston, Texas. The loan transferred to special servicing in December 2020 and became REO in October 2022. Performance remains weak, with reported occupancy of 44% as of YE 2025, up from 37% in 2024 with cash flow remaining negative since 2024. The property continues to face elevated lease rollover, with 16% of NRA expiring within one year and an additional 10% within two years. Fitch's 'Bsf' rating case loss of 83.0% (prior to concentration add-ons) reflects a stress to the most recent appraisal value equating to recovery of $15 million. Elevated loss expectations reflect the significant balance of outstanding advances and expenses, which have increased total exposure. The largest increase in loss expectations since the prior rating action and the third largest contributor to loss in WFCM 2016-LC24 is the One Meridian loan (5.9%). The loan transferred to special servicing in April 2026 due to imminent default related to cash flow issues. The loan is secured by a two-property office portfolio totaling 596,728-sf. The property suffers from sustained underperformance with cashflow insufficient to cover debt service and YE 2025 reported occupancy of 65% in-line with the prior two years. YE 2025 NOI down 1.2% year-over-year and remains 57.9% below the originator's underwritten NOI from issuance. The property faces elevated rollover, with 29% of NRA expiring within one year and an additional 22% within two years. Fitch's 'Bsf' rating case loss of 39.5% (prior to concentration add-ons) reflects a 10.25% cap rate and a 20% stress to YE 2025 NOI to account for rollover risk, as well as a higher probability of default to account for performance deterioration and refinance concerns. The largest increase in loss expectations since the prior rating action and the third largest contributor to loss in WFCM 2016-LC25 is the Holiday Inn Milwaukee River (1.6%) loan, which is secured by a 160-key full-service hotel in Milwaukee, WI. The loan transferred to special servicing in August 2024 due to imminent default and has remained delinquent since December 2024. The borrower is unwilling to fund additional operating shortfalls, and a receiver has been appointed. Cash flow has deteriorated significantly, with YE 2025 NOI 87% below issuance expectations and a reported NOI DSCR of 0.26x, down from 0.61x as of YE 2024. Fitch's 'Bsf' rating case loss of 70.2% (prior to concentration add-ons) reflects a stress to the most recent appraisal value which equates to a recovery of approximately $19,500 per key. The largest overall contributor to loss in WFCM 2016-LC25 is The Shops at Somerset Square loan (4.5%), which is secured by a 113,987-sf unanchored retail property in Glastonbury, Connecticut. The loan remains a FLOC due to refinance concerns and sustained underperformance. As of September 2025, occupancy declined to 69% from 80% as of YE 2024. NOI DSCR in the same period declined to 0.89x from 1.16x with YE 2024 NOI 44% below the originator's underwritten expectations from issuance. The property also faces moderate near-term rollover, with 10% of NRA expiring within one year and 11% within two years. Fitch's 'Bsf' rating case loss of 34.8% reflects a 10.0% cap rate, a 7.5% stress to YE 2023 NOI, and an elevated probability of default due to refinance concerns as the loan approaches maturity in November 2026. The second largest overall contributor to loss in WFCM 2016-LC25 is the Causeway Plaza I, II & III loan (4.1%), which is secured by a 335,566-sf suburban office property in Metairie, LA. The loan remains a FLOC due to rollover risk and declining performance trends since 2023. As of YE 2025, occupancy has declined to 73%, down from 86% in 2024 and 89% in 2023. YE 2025 NOI has declined 18.3% year-over-year and remains 28.1% below the originator's underwritten expectations from issuance. The property faces elevated near-term rollover, with 18% of NRA expiring within one year and an additional 15% within two years. Fitch's 'Bsf' rating case loss of 26.8% (prior to concentration add-ons) reflects a 10.0% cap rate, a 15% stress to YE 2025 NOI, and a higher probability of default to account for weakening performance and substantial rollover exposure. Changes in Credit Enhancement (CE): As of the May 2025 distribution date, the aggregate balances of WFCM 2016-LC24 and WFCM 2016-LC25 have been paid down by 29.8% and 44.3%, respectively, since issuance. Defeasance in WFCM 2016-LC24 and WFCM 2016-LC25 totals six loans (5.8% of the pool) and 11 loans (12.4% of the pool), respectively. Cumulative interest shortfalls for WFCM 2016-LC24 totaled $4.6 million affecting classes D, E, F and the non-rated classes G, H and I. Cumulative interest shortfalls for WFCM 2016-LC25 were $1.5 million affecting the non-rated H class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible downgrades with 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 senior position in the capital structure, high CE and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected. Downgrades to classes rated in the 'AAsf' and 'Asf' categories, particularly those with 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 1140 Avenue of the Americas, One Meridian, Pinnacle II and One & Two Corporate Plaza in WFCM 2016-LC24 and The Shops at Somerset Square, Causeway Plaza I, II & III, and Holiday Inn Milwaukee River in WFCM 2016-LC25. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particularly those with Negative Outlooks, 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', 'CCsf' and 'Csf' would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable to improved pool-level loss expectations and performance stabilization of FLOCs, including 1140 Avenue of the Americas, One Meridian, Pinnacle II and One & Two Corporate Plaza in WFCM 2016-LC24 and The Shops at Somerset Square, Causeway Plaza I, II & III, and Holiday Inn Milwaukee River in WFCM 2016-LC25. Upgrades of these classes to 'AAAsf' will also consider the concentration of defeased loans in the transaction and would not occur if interest shortfalls are expected. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur with sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes 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. WELLS FARGO 2018-C47: DBRS Confirms B(high) Rating on H-RR Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed all credit ratings on the classes of Commercial Mortgage Pass-Through Certificates, Series 2018-C47 issued by Wells Fargo Commercial Mortgage Trust 2018-C47 as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at A (low) (sf) -- Class E-RR at BBB (sf) -- Class F-RR at BBB (low) (sf) -- Class G-RR at BB (sf) -- Class H-RR at B (high) (sf) -- Class X-A at AAA (sf) -- Class X-B at A (high) (sf) -- Class X-D at A (sf) The trends on Classes F-RR, G-RR, and H-RR are Negative. The trends on all remaining classes are Stable. CREDIT RATING ACTION RATIONALE -- At the previous credit rating action in June 2025, Morningstar DBRS maintained Negative trends on Classes F-RR, G-RR, and H-RR because of outstanding interest shortfalls. The shortfalls were first reported in May 2025 and were categorized as interest on advances related to a specially serviced loan, Holiday Inn Fidi (Prospectus ID#6; 4.1% of the pool balance). -- While the shortfalls for all three classes were ultimately recovered shortly after that credit rating action, Morningstar DBRS has maintained the Negative trends with this review to reflect the increased risks that remain given the continued credit erosion exhibited by three of the four loans in special servicing. -- The Negative trends are also supported by the declining performance trends for the pool's largest loan, Starwood Hotel Portfolio (Prospectus ID#1; 8.1% of the pool), which continues to report declining performance for the underlying hotel portfolio. -- The credit rating confirmations reflect the overall stable performance of the nonspecially serviced loans in the transaction and the favorable property type concentration across the pool, which includes 19 loans (35.6% of the current pool balance) secured by retail property types, and 10 loans (11.3% of the current pool balance) secured by multifamily assets. -- Since the last credit rating action, two formerly specially serviced loans, Stewart MHP (Prospectus ID#60; 0.3% of the pool balance) and 3974 Amboy Road (Prospectus ID#70; 0.2% of the pool balance), both liquidated for a combined realized loss of $1.7 million, which was contained to the nonrated Class J-RR, which has a remaining balance of approximately $37.5 million. POOL/COLLATERAL OVERVIEW -- As of the April 2026 remittance, 69 of the original 74 loans remain in the pool with a trust balance of $865.2 million, reflecting a collateral reduction of 9.1% since issuance. -- Twenty loans, representing 16.2% of the pool, are fully defeased and four loans, representing 15.4% of the pool, are in specially servicing. -- Twelve loans, representing 15.5% of the pool, including two office loans within the top 10, are currently on the servicer's watchlist, being monitored mainly for rollover and/or vacancy concerns, and/or low debt service coverage ratios (DSCRs). ANALYTICAL CONSIDERATIONS -- Morningstar DBRS analyzed loans exhibiting declining performance trends with elevated probabilities of default (PODs) and/or stressed loan-to-value ratios (LTVs) to increase the expected loss (EL) at the loan level, as applicable. -- Morningstar DBRS applied stressed capitalization rate (cap rate) adjustments to increase the LTVs across all eight loans secured by office properties exhibiting declines in performance and/or other increased credit risks. -- There are two top five loans secured by regional malls in the Aventura Mall and Christiana Mall loans, which combine for almost 12.0% of the pool balance; these loans have very low LTVs based on the issuance appraisals, resulting in below average ELs in the model output. Although it is likely cap rates have increased for these properties since the 2018 issuance, the performance for both properties remains strong and both are considered key destinations within their respective markets. No adjustments to the analysis were made for either loan. -- Morningstar DBRS' analysis considered conservative liquidation scenarios for two of the four specially serviced loans in Ellsworth Place (Prospectus ID# 10; 2.6% of the pool balance) and Willowdaile Shopping Center (Prospectus ID #47; 0.7% of the pool balance), based on respective haircuts of 25.0% and 30.0% to the most recent appraised values. The analysis resulted in cumulative implied liquidated losses of approximately $9.5 million, which would be comfortably contained to the nonrated Class J-RR. KEY LOANS Starwood Hotel Portfolio (Prospectus ID#1; 8.1% of the pool): -- The loan is secured by a portfolio of 22 hotel properties totaling 2,943 keys. The portfolio includes seven limited-service hotels, four full-service hotels, six select-service hotels, and five extended-stay hotels. -- The loan transferred to the special servicer in January 2026 because of imminent default. The loan was reported less than 30 days late as of the April 2026 remittance. The DSCR has been reported below breakeven since YE2024. -- The special servicer reports active negotiations with borrower for a potential modification to accommodate the borrower's plan to sell some of the collateral hotels prior to the September 2028 maturity. -- As of the trailing 12-month period, ended December 31, 2025, financials, the portfolio reported a weighted-average (WA) occupancy rate, average daily rate (ADR), and revenue per available room (RevPAR) of 63.1%, $124.40, and $78.90, respectively. In comparison, as of YE2024, the property reported a WA occupancy rate, ADR, and RevPAR of 61.37%, $123.00, and $76.23, respectively. -- The servicer reported a revenue-driven cash flow decline of nearly 24% as of June 2025 when compared with the YE2024 figure of $11.6 million. -- Morningstar DBRS analyzed the loan with a stressed LTV of 170.8%, based on a value of $155.2 million. The stressed value was derived based on a blended net cash flow (NCF) between the YE2023 NCF and YE2024 NCF and a cap rate of 9.5%. The loan was also stressed with an elevated POD, with the analyzed scenario resulting in an EL approximately 4 times the pool average. Holiday Inn FiDi (Prospectus ID#6; 4.0% of the pool): -- At issuance, the loan was secured by a full-service hotel in the financial district of downtown Manhattan, New York. -- The loan transferred to the special servicer in May 2020 because of monetary default. -- In July 2025, the loan was modified and assumed after the property was acquired by Hawkins Way Capital for $154.5 million. The new sponsor planned to redevelop the property into a 650-bed student housing property and that project began shortly after the acquisition. -- The first phase of the conversion was completed in November 2025, with final completion slated for Spring 2026. The loan is expected to return to the master servicer in the second half of 2026. -- Prior to the assumption, the property was re-appraised for $150.0 million, down from the issuance appraisal of $233.0 million. -- Morningstar DBRS analyzed this loan with an updated LTV of 91.4% based on the March 2025 appraisal, which stressed the EL in the analysis; however, given the recent acquisition and ongoing redevelopment, Morningstar DBRS believes the loan will likely resolve in a full repayment or with a relatively minimal loss. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, 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. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2026-5C9: Fitch Assigns 'B-sf' Rating on Cl. G-RR Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2026-5C9 commercial mortgage pass-through certificates, series 2026-5C9 as follows: - $5,383,000 class A-1 'AAAsf'; Outlook Stable; - $76,585,000 class A-2 'AAAsf'; Outlook Stable; - $351,987,000 class A-3 'AAAsf'; Outlook Stable; - $433,955,000 (a) class X-A 'AAAsf'; Outlook Stable; - $44,945,000 class A-S 'AAAsf'; Outlook Stable; - $34,096,000 class B 'AA-sf'; Outlook Stable; - $26,348,000 class C (b) 'A-sf'; Outlook Stable; - $105,389,000 (a) class X-B 'A-sf'; Outlook Stable; - $24,022,000 class (b) D 'BBB-sf'; Outlook Stable; - $24,022,000 class (a)(b) X-D 'BBB-sf'; Outlook Stable; - $8,524,000 class (b) E 'BBsf'; Outlook Stable; - $8,524,000 class (a)(b) X-E 'BBsf'; Outlook Stable; - $6,200,000 class (b) F 'BB-sf'; Outlook Stable; - $6,200,000 class (a)(b) X-F 'BB-sf'; Outlook Stable; - $10,074,000 (b)(c) class G-RR 'B-sf'; Outlook Stable. Fitch does not rate the following classes: - $8,524,000 (b)(c) class H-RR; - $23,247,843 (b)(c) class J-RR. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Classes G-RR, H-RR and J-RR certificates comprise the transaction's horizontal risk retention interest. Since Fitch published its expected ratings on May 5, 2026, the following changes have occurred: - The balances for A-2 and A-3 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-2 class was expected to be in the range of $0-200,000,000, and the initial certificate balance of class A-3 was expected to be in the range of $228,572,000-$428,572,000. The final balances of classes A-2 and A-3 are $76,585,000 and $351,987,000, respectively. The deal structure and ratings reflect the information provided by the issuer as of May 28, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 29 loans secured by 138 commercial properties having an aggregate principal balance of $619,935,844 as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association, JPMorgan Chase Bank, National Association, LMF Commercial, LLC, Argentic Real Estate Finance 2 LLC, RREF V - D Direct Lending Investments, LLC, Societe Generale Financial Corporation, Goldman Sachs Mortgage Company, Natixis Real Estate Capital LLC, Zions Bancorporation, N.A., and Barclays Capital Real Estate Inc. The master servicer is Trimont LLC, the special servicer is Rialto Capital Advisors, LLC, and the operating advisor is Pentalpha Surveillance LLC. Deutsche Bank National Trust Company is the trustee, and Computershare Trust Company, National Association is the certificate administrator. The certificates follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 20 loans totaling 90.4% of the pool by balance. Fitch's aggregate pool net cash flow (NCF) of $57.5 million represents a 14.7% decline from the issuer's underwritten aggregate pool NCF of $67.4 million. Higher Fitch Leverage: The pool has higher leverage compared to recent U.S. private label five-year multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 105.3% is higher than the 2026 YTD and 2025 averages of 97.6% and 101.0%, respectively. The pool's Fitch NCF debt yield (DY) of 9.3% is lower than the 2026 YTD and 2025 averages of 10.5% and 9.7%, respectively. Investment-Grade Credit Opinion Loans: One loan, Mountain Industrial Portfolio (4.0% of the pool), received a standalone credit opinion of 'A-sf*'. The pool's investment-grade credit opinion percentage is lower than the 2026 YTD and 2025 averages of 11.2% and 10.6%, respectively. Excluding the credit opinion loan, the pool's Fitch LTV and DY are 106.5% and 9.3%, respectively, compared with the 2026 YTD conduit LTV and DY averages of 103.1% and 9.9%, respectively. Higher Pool Concentration: The pool is more concentrated than recent Fitch-rated transactions. The top 10 loans in the pool make up 64.2% of the pool, which is higher than the 2026 YTD and 2025 averages of 59.6% and 61.5%, respectively. The pool's effective loan count of 20.2 is lower than the 2026 YTD and 2025 averages of 22.8 and 21.8, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BBsf' / 'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf' / 'AAsf' / 'A-sf' / 'BBBsf' / 'BBsf' / 'B+sf' / 'B-sf'/below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BBsf' / 'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf' / AAAsf' / 'AA+sf' / 'Asf' / 'BBBsf' / 'BBB-sf' / 'BB+sf'/'B+sf'; USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WIND RIVER 2022-1: S&P Affirms B (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-RR, B-1-RR, and C-RR debt from Wind River 2022-1 CLO Ltd./Wind River 2022-1 CLO LLC, a CLO managed by First Eagle Alternative Credit LLC that was originally issued in June 2022 and underwent a partial refinancing in October 2024. At the same time, S&P withdrew its ratings on the previous class A-R, B-1-R, and C-R debt following payment in full on the June 4, 2026, refinancing date. S&P also affirmed its ratings on the class B-2, D-1-R, D-2, 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 June 4, 2027. -- No additional assets were purchased on the June 4, 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, "In May 2026, we placed our ratings on the class D-1-R, D-2, and E debt on CreditWatch with negative implications due to declining credit support and weakened cash flow results. Although the refinancing is viewed as net positive for the CLO structure due to the modestly improving cash flow results, including for tranches currently on CreditWatch, we intend to monitor post-refinance performance metrics before resolving the CreditWatch placements and taking further rating action on the affected tranches." Replacement And Previous Debt Issuances Replacement debt -- Class A-RR, $240.00 million: Three-month CME term SOFR + 1.15% -- Class B-1-RR, $59.00 million: Three-month CME term SOFR + 1.55% -- Class C-RR (deferrable), $24.00 million: Three-month CME term SOFR + 2.05% Previous debt -- Class A-R, $240.00 million: Three-month CME term SOFR + 1.35% -- Class B-1-R, $59.00 million: Three-month CME term SOFR + 1.85% -- Class B-2, $5.00 million: 5.03% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.20% -- Class D-1-R (deferrable), $15.00 million: Three-month CME term SOFR + 3.35% -- Class D-2 (deferrable), $9.00 million: Three-month CME term SOFR + 5.42% -- Class E (deferrable), $15.00 million: Three-month CME term SOFR + 8.12% 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 Wind River 2022-1 CLO Ltd./Wind River 2022-1 CLO LLC Class A-RR, $240.00 million: AAA (sf) Class B-1-RR, $59.00 million: AA (sf) Class C-RR, $24.00 million: A (sf) Ratings Withdrawn Wind River 2022-1 CLO Ltd./Wind River 2022-1 CLO LLC Class A-R to NR from 'AAA (sf)' Class B-1-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Ratings Affirmed Wind River 2022-1 CLO Ltd./Wind River 2022-1 CLO LLC Class B-2: AA (sf) Class D-1-R: BBB+ (sf)/Watch neg Class D-2: BBB- (sf)/Watch neg Class E: B (sf)/Watch neg NR--Not rated. ZAIS CLO 11: Moody's Cuts Rating on $19MM Class E Notes to Caa2 --------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by ZAIS CLO 11, Limited: US$21 million Class C-R Secured Deferrable Mezzanine Floating Rate Notes, Upgraded to Aaa (sf); previously on Sep 22, 2025 Upgraded to Aa1 (sf) US$19 million Class E Deferrable Mezzanine Floating Rate Notes, Downgraded to Caa2 (sf); previously on Sep 22, 2025 Downgraded to B3 (sf) Moody's have also affirmed the ratings on the following notes: US$16 million (Current outstanding balance US$10,546,869) Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 20, 2024 Assigned Aaa (sf) US$48 million Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 20, 2024 Assigned Aaa (sf) US$24 million Class D Deferrable Mezzanine Floating Rate Notes, Affirmed Baa3 (sf); previously on Jun 20, 2024 Upgraded to Baa3 (sf) ZAIS CLO 11, Limited, originally issued in Dec 2018 and partially refinanced in June 2024, is a managed cashflow CLO. The portfolio is managed by ZAIS Leveraged Loan Master Manager, LLC. The transaction's reinvestment period ended in January 2024. RATINGS RATIONALE The rating upgrade on the Class C-R notes is primarily a result of the deleveraging of the Class A-1-R, which has been repaid in full, and Class A-2-R notes following amortisation of the underlying portfolio since the last rating action in September 2025. The downgrade on the rating on the Class E notes is due to the deterioration in over-collateralisation ratio since the last rating action in September 2025 following loss of par. The affirmations on the ratings on the Class A-2-R, Class B-R and Class D notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-R notes have paid down in full whilst Class A-2-R notes have paid down by approximately USD5.45million (34.08%) since the last rating action in September 2025. As a result of the deleveraging, over-collateralisation (OC) has increased for the top of capital structure. The transaction has lost some par since the last rating action which further deteriorated Class E OC. According to the trustee report dated May 2026[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 207.59%, 152.79%, 117.38% and 99.18% compared to August 2025[2] levels of 154.14%, 131.33%, 112.32% and 100.78%, respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD122.09m Defaulted Securities: USD1.48m Diversity Score: 36 Weighted Average Rating Factor (WARF): 2971 Weighted Average Life (WAL): 2.73 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.64% Weighted Average Recovery Rate (WARR): 46.63% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. [] DBRS Confirms Ratings on Nine Hertz Vehicle III Deals -------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on 36 securities issued by nine Hertz Vehicle Financing III LLC transactions. The Issuers are: Hertz Vehicle Financing III LLC, Series 2025-3 Hertz Vehicle Financing III LLC, Series 2025-4 Hertz Vehicle Financing III LLC, Series 2021-2 Hertz Vehicle Financing III LLC, Series 2024-2 Hertz Vehicle Financing III LLC, Series 2024-1 Hertz Vehicle Financing III LLC, Series 2023-3 Hertz Vehicle Financing III LLC, Series 2023-1 Hertz Vehicle Financing III LLC, Series 2023-2 Hertz Vehicle Financing III LLC, Series 2023-4 A list of the Affected Ratings is available at: https://tinyurl.com/5n6kcf53 The credit rating actions are based on the following analytical considerations: -- Transaction's capital structure, current rating, and sufficient credit enhancement (CE) levels. Current CE has remained stable relative to initial levels and are at the required levels for each class of notes. -- The fleet mix remains stable and strong, with a high portion of vehicles from investment grade manufacturers. -- Gains above book value remain consistently strong, with residual gains well over 100% in recent months. -- Collateral performance is within expectations. The master trust is in compliance with respect to the key concentration limits and all performance related triggers. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update," published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. [] DBRS Discontinues Ratings on 15 US RMBS Transactions ------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed its credit ratings on 60 classes from 15 U.S. residential mortgage-backed securities (RMBS) transactions. Out of the 15 transactions, one is classified as Agency Credit transaction, five are classified as Prime transaction, four are classified as Non-QM, one is classified as Single Family Rental, one is classified as mortgage insurance linked notes and remaining three are classified as legacy RMBS. Morningstar DBRS discontinued its credit ratings on all 60 classes that it reviewed. The Issuers are: - Visio 2019-2 Trust - STAR 2021-SFR1 Trust - Bellemeade Re 2023-1 Ltd. - RATE Mortgage Trust 2024-J2 - Mill City Mortgage Loan Trust 2023-NQM2 - Visio 2020-1 Trust - Chase Home Lending Mortgage Trust 2024-6 - Mill City Mortgage Loan Trust 2023-NQM1 - Connecticut Avenue Securities, Series 2018-C04 - GS Mortgage-Backed Securities Trust 2020-PJ4 - GS Mortgage-Backed Securities Trust 2024-PJ1 - GS Mortgage-Backed Securities Trust 2023-PJ6 - J.P. Morgan Mortgage Trust 2005-A4 - GSR Mortgage Loan Trust 2005-AR6 - Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF2 A list of the Ratings is available at https://tinyurl.com/yk28u5fw CREDIT RATING RATIONALE/DESCRIPTION The discontinued credit ratings reflect the full repayment of principal to the bondholders. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Reviews 25 Classes Across Five US RMBS Deals ---------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed 25 classes across five U.S. residential mortgage-backed securities (RMBS) transactions. Of the five transactions reviewed, four are classified as reverse mortgage transactions and one is classified as a home equity investment transaction. Morningstar DBRS confirmed its credit ratings on all 25 classes. RATINGS Debt Rated Rating Action ---------- ------ ------ Brean Asset-Backed Securities Trust 2025-RM11 Mortgage-Backed Notes Class A1 AAA(sf) Confirmed Class A2 AAA(sf) Confirmed Class AM AAA(sf) Confirmed Class M1 AA(sf) Confirmed Class M2 A(sf) Confirmed Class M3 BBB(sf) Confirmed Class M4 BB(sf) Confirmed Class M5 B(sf) Confirmed Cascade Funding Mortgage Trust 2025-AB3 Asset-Backed Notes Class A AAA(sf) Confirmed Class M1 AA(low)(sf) Confirmed Class M2 A(low)(sf) Confirmed Class M3 BBB(low)(sf) Confirmed Class M4 BB(low)(sf) Confirmed Class M5 B(sf) Confirmed Ellington Financial Mortgage Trust 2025-RM1 Asset-Backed Notes Class A-1A AAA(sf) Confirmed Class A-1B AAA(sf) Confirmed Class A-2 AA(sf) Confirmed Class A-3 A(sf) Confirmed Class B-1 BBB(sf) Confirmed Finance of America Structured Securities Trust 2025-PC1 Mortgage-Backed Notes Class A1 AAA(sf) Confirmed Class A2 AAA(sf) Confirmed Point Securitization Trust 2025-1 Optioned-Backed Notes Class A-1 A(low)(sf) Confirmed Class A-2 BBB(low)(sf) Confirmed Class B-1 BB(low)(sf) Confirmed Class B-2 B(high)(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. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in US Dollars unless otherwise noted. [] DBRS Reviews 589 Classes Across 22 U.S. RMBS Deals ----------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed 589 classes across 22 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed deals are classified as prime jumbo, agency credit-risk transfer, home equity line of credit, closed end seconds, and re-performing loan transactions. Of the 589 classes reviewed, Morningstar DBRS upgraded its credit ratings on 170 classes and confirmed its credit ratings on the remaining 419 classes. The Issuers are: - J.P. Morgan Mortgage Trust 2020-7 - PRPM 2025-RPL4, LLC - FIGRE Trust 2024-HE2 - Towd Point Mortgage Trust 2020-3 - J.P. Morgan Mortgage Trust 2020-8 - J.P. Morgan Mortgage Trust 2020-4 - J.P. Morgan Mortgage Trust 2020-5 - Towd Point Mortgage Trust 2025-CES1 - SoFi Mortgage Trust Series 2016-1 - Citigroup Mortgage Loan Trust 2020-RP1 - Freddie Mac STACR REMIC Trust 2021-DNA5 - Freddie Mac STACR REMIC Trust 2025-DNA2 - Freddie Mac STACR REMIC Trust 2023-HQA2 - Freddie Mac STACR REMIC Trust 2022-HQA2 - Freddie Mac STACR REMIC Trust 2022-DNA5 - Freddie Mac STACR REMIC Trust 2023-HQA1 - GS Mortgage-Backed Securities Trust 2020-RPL1 - Wells Fargo Mortgage Backed Securities 2019-1 Trust - Wells Fargo Mortgage Backed Securities 2020-5 Trust - Wells Fargo Mortgage Backed Securities 2019-3 Trust - Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2016-1 - Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2021-2 A list of the Affected Ratings is available at: https://tinyurl.com/52n5298k CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update" published on March 27, 2026 (https://dbrs.morningstar.com/research/477332). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in US Dollars unless otherwise noted. [] Fitch Hikes Ratings on Horizon Aircraft I,II, III ---------------------------------------------------- Fitch Ratings has upgraded the Horizon Aircraft Finance I Limited (Horizon I), Horizon Aircraft Finance II Limited (Horizon II), and Horizon Aircraft Finance III Limited (Horizon III) class A, B and C notes. The notes have been assigned Stable Rating Outlooks following the upgrades. Entity/Debt Rating Prior ----------- ------ ----- Horizon Aircraft Finance III Limited A 44040JAA6 LT Asf Upgrade BBBsf B 44040JAB4 LT BB+sf Upgrade BBsf C 44040JAC2 LT B+sf Upgrade CCC+sf Horizon Aircraft Finance II Limited Series A 44040HAA0 LT Asf Upgrade BBB+sf Series B 44040HAB8 LT BBBsf Upgrade BB+sf Series C 44040HAC6 LT B+sf Upgrade B-sf Horizon Aircraft Finance I Limited A 440405AE8 LT Asf Upgrade BBBsf B 440405AF5 LT BBsf Upgrade B+sf C 440405AG3 LT B-sf Upgrade CCC+sf Transaction Summary The ratings reflect current transaction performance, Fitch's cash flow projections, and the expectation for the structures to withstand rating-specific stresses under Fitch's criteria and cash flow modeling. Lease terms, lessee credit quality and performance, and Fitch's assumptions and stresses all inform the modeled cash flows and coverage levels. Horizon I's A, B, and C notes have de-levered since its last review in May 2025, primarily driven by four asset sales that resulted in approximately $42 million of net proceeds. Horizon II and III's notes have also de-levered since the May 2025 review due to the sale of one asset in each transaction. The series B notes in Horizon II and III began paying principal again for the first time since mid-2020. Sale proceeds supported the payments. The upgrade of the Horizon I A, B, and C notes reflects $72 million in pay down on the A note since last review and the resulting improvement in the loan to value (LTV) of all three classes. In Horizon II, the upgrade of the A, B, and C notes reflects $59 million ($28 million on the A note and $31 million on the B note) in total pay down since last review and the resulting improvement in the LTV of all three classes. In Horizon III, the upgrade of the A, B, and C notes reflects $78 million ($49 million on the A note and $29 million on the B note) in total pay down since last review resulting in an improvement in the loan to value (LTV) of both classes. The A notes for Horizon I, II, and III are ahead of schedule by 4%, 13%, and 2% respectively, and are paying principal and interest. The B notes are behind schedule for Horizon I and III by $54 million (189%) and $2 million (7%), respectively, with Horizon I's B note not paying principal. Horizon III's B note received principal for the first time in five years in November of 2025. Horizon II's B note is ahead of schedule by $10 million (59%) and began receiving principal in April 2025 for the first time since mid-2020. All three transaction's C notes are significantly behind schedule. Aircraft Collateral and Asset Value: Aircraft ABS transaction servicers report continued demand for aircraft, particularly those with maintenance green time remaining. However, the pace of aircraft sales in the transactions surveilled by Fitch appears to be moderating. Macro Risks Fitch expects global passenger traffic to see growth trends in line with or modestly below long-term trend rates, supported by an increasing propensity to travel in emerging markets and potential improvements in North America after a soft 2025. Fitch also expects the market to remain supported by demand for premium products, particularly in North America and Europe. Continuation of return-to-office trends may support improved business travel volumes. Macroeconomic volatility, political uncertainty and consumer health will remain watch items. Aircraft supply remains tight, although The Boeing Company's (BBB-/Stable) improving delivery reliability and ramping narrowbody production will aid airlines' planning visibility. Pratt & Whitney-related groundings will continue to be a constraint. Nearly 20% of delivered A320 NEO family aircraft are listed as parked/in storage, although this should improve in 2026. For more information, see Fitch's report, "Global Airlines Outlook 2026." Fitch is closely monitoring the conflict in the Middle East and its potential impact on aviation ABS. Fitch expects aviation ABS ratings to remain stable under its baseline scenario, which assumes the Iran conflict is resolved in 2Q26. However, risks to this base case are significant, and sustained hostilities, operational and shipping disruptions, and high oil prices could result in greater credit pressure over time. Extended conflict and airspace closures could require flight rerouting and cancellations, pressuring airline earnings and potentially weakening lessee credit quality. If the conflict is prolonged and sustained, elevated jet fuel prices will further weigh on airline margins, particularly for airlines with limited or no fuel hedging in place. Airlines may curtail capacity growth to preserve profitability or pass down higher costs, which may dampen demand. Financially weaker carriers struggling to absorb these combined pressures face heightened default risk and may return aircraft early to lessors, resulting in increased aircraft downtime and longer periods of non-performing leases. For more information, see Fitch's report, "Aviation ABS Credit Vulnerable to Sustained Iran Conflict." KEY RATING DRIVERS Asset Values: The Fitch Value for the Horizon I, II, and III pools are $289 million (a decrease of 48 million, 14%), $194 million (a decrease of $24 million, 11%), and $308 million (a decrease of 13 million, 4%) over the last 12 months, respectively. Fitch used the most recent appraisals as of December 2025 for Horizon I, II, and III, and applied depreciation and market value decline assumptions pursuant to its criteria. Fitch Values are generally derived from base values unless the remaining leasable life is less than three years, in which case a market value is used. Fitch then uses the lesser of the mean and median of the given value. Using the Fitch Value, the changes in LTVs since Fitch's prior review are as follows: - Horizon I: A note 63.1% to 48.6%; B note 87.5% to 77.0%; C note 103.6% to 97.1%. - Horizon II: A note 51.4% to 43.2%; B note 69.0% to 47.0%; C note 93.2% to 76.0%. - Horizon III: A note 63.9% to 50.6%; B note 82.5% to 60.6%; C note 97.4% to 77.2%. The mean MABV (depreciated from the appraisal effective date to April 2026) in Horizon I, II, and III is $329 million, $215 million, and $315 million respectively. Tiered Collateral Quality: The Horizon I pool consists of 21 narrowbody (NB) aircraft with the majority characterized as mid/late-life aircraft (weighted-average [WA] age of 16.5 years), along with two engines. The WA age-adjusted tier is 1.8. The Horizon II pool consists of 11 narrowbody (NB) aircraft with the majority characterized as mid/late-life aircraft (weighted-average [WA] of 14.1 years), along with one airframe and one engine. The WA age-adjusted tier is 1.7. The Horizon III pool consists of 16 narrowbody (NB) aircraft with the majority characterized as mid/late-life aircraft WA of 14.8) and one engine. The WA age-adjusted tier is 1.7 Fitch uses three tiers when assessing the desirability and liquidity of aircraft collateral: tier one, which is the most liquid, and tier three which is the least liquid. Additional details regarding Fitch's tiering methodology can be found here. Pool Concentration: The Horizon I and III pools are well-diversified with 21 assets on lease to 16 lessees in Horizon I and 16 assets on lease to 14 lessees in Horizon III. The Horizon II pool is concentrated with 11 assets on lease to 10 lessees. Fitch applies a concentration haircut to its forecasted cashflows based on the effective count of aircraft in the pool. As the pool ages and Fitch models aircraft being sold at the end of their leasable lives (generally 20 years), pool concentration will continue to increase. Horizon I is reasonably diversified across regions with 33% exposure to Emerging Asia Pacific, 23% to Emerging South & Central America, 21% to Developed Europe, 16% to Emerging Europe & CIS, and 6% to Developed Asia Pacific. 1% remains off-lease. Horizon II is reasonably diversified across regions with 33% exposure to Emerging Asia Pacific, 21% to Developed Europe, 18% to Developed Asia Pacific, 13% to Emerging Middle East & Africa, 8% to Emerging Europe & CIS, and 7% to Emerging South & Central America. Horizon III has 41% exposure to Emerging Asia Pacific, 16% to Developed Europe. 15% to Emerging South & Central America, 10% to Emerging Europe & CIS, 9% to Emerging Middle East & Africa, and 6% to Developed North America. 3% remains off-lease. Lessee Credit Risk: Fitch considers the credit risk posed by the pool of lessees high. The portfolio composition by lessee credit rating has not materially changed since the last review for Horizon I, II, or III. Horizon II is more concentrated with poorly rated lessees due to an asset count of 11. Although delinquencies have improved since prior review in Horizon I and II, significant arrear balances persist. Operation and Servicing Risk: Fitch has found Babcock and Brown Aircraft Management (BBAM) to be an effective servicer based on its experience as a lessor, overall servicing capabilities and historical ABS performance to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - An increase in delinquencies that result in material cashflow declines, lower lease rates, increased loan to values (LTVs) or sales of aircraft below Fitch's projections could lead to a downgrade; - Fitch ran a sensitivity related to the lessee credit quality in the pool. Fitch assigns a credit rating of 'CCC' to 'CC' to 82% of the pool based on Fitch Value for Horizon I, and 92% for Horizon II, and 74% to Horizon III. The sensitivity assumes all future lessees are rated 'CCC'. This scenario results in a one notch change to the model-implied ratings for the C notes in all three transactions; - Fitch ran a sensitivity in which it lowered the depreciation rates for Tier 1 aircraft aged 0-10 by two percentage points. For older Tier 1 aircraft and all Tier 2 and Tier 3 aircraft, depreciation rates were either increased one or two percentage points or maintained relative to criteria. For Horizon I, scenario resulted in a one-notch decrease from the model-implied ratings for the class C notes, but there was no change to the class A or B notes. For Horizon II, this scenario resulted in a two-notch decrease in model-implied ratings for the class C note, and no change in the class A or class B notes. For Horizon III, this scenario resulted in a two-notch decrease in model-implied ratings for the class C note, and no change in the class A or class B notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - The aircraft ABS sector has a rating cap of 'Asf'; - If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios, this may also lead to an upgrade; - Fitch also considers jurisdictional concentrations per its "Structured Finance and Covered Bonds Country Risk Rating Criteria," which could result in rating caps lower than 'Asf'. CRITERIA VARIATION Fitch applied a variation from its "Aircraft Operating Lease ABS Rating Criteria" to deviate downward from the model implied rating for the class B notes in both the Horizon I and Horizon III transactions. The ultimate ratings were informed by the sensitivity of the ratings to modeling assumptions and conventions, the notes being behind scheduled principal balance, the waterfall structure trapping cash and prioritizing series A principal payments, and lessee arrear and credit quality concerns. SUMMARY OF FINANCIAL ADJUSTMENTS Fitch applied a variation from its "Aircraft Operating Lease ABS Rating Criteria" to deviate downward from the model implied rating for the class B notes in both the Horizon I and Horizon III transactions. The ultimate ratings were informed by the sensitivity of the ratings to modeling assumptions and conventions, the notes being behind scheduled principal balance, the waterfall structure trapping cash and prioritizing series A principal payments, and lessee arrear and credit quality concerns. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Fitch Takes Rating Actions on 6 GoodLeap Sustainable Trusts -------------------------------------------------------------- Fitch Ratings has taken various rating actions on six GoodLeap Sustainable Home Solutions Trust (GoodLeap) transactions. Fitch downgraded the GoodLeap 2023-2 class B notes to 'B-sf' from 'Bsf' and the class C notes to 'CCCsf' from 'B-sf'. The Rating Outlook for the class B notes is Negative. Fitch affirmed the ratings for the remaining 16 classes across the six transactions. Fitch also revised the Outlooks to Negative from Stable on the 2023-4 class C notes and the 2024-1 class B and C notes. Fitch revised the Outlook on the 2023-3 class B notes to Stable from Negative. Fitch does not typically assign Outlooks to classes rated 'CCC' or below. Fitch downgraded the GoodLeap 2023-2 class B and class C notes because lower prepayment rates and higher defaults have increased their sensitivity to economic pressure. Since closing, these transactions have shown lower overcollateralization and significant negative excess spread. These trends have increased pressure on the subordinated notes. The class A notes also reflect this pressure because they have not yet reached their target overcollateralization. Prepayment rates have remained below Fitch's initial projections. As a result, note lives have extended and exposure to losses has increased. The broader economic environment also supports this view. Weak housing activity and slower-than-expected monetary easing suggest that prepayments will stay low. Low prepayments reduce the credit enhancement available to absorb defaults. These factors highlight the weaker prospects for the GoodLeap 2023-2 class B and class C notes and support Fitch's revised performance expectations. Entity/Debt Rating Prior ----------- ------ ----- GoodLeap Sustainable Home Solutions Trust 2021-5 A 38237HAA5 LT Asf Affirmed Asf B 38237HAB3 LT BBBsf Affirmed BBBsf C 38237HAC1 LT BBsf Affirmed BBsf GoodLeap Sustainable Home Solutions Trust 2022-1 A 38237JAA1 LT Asf Affirmed Asf B 38237JAB9 LT BBBsf Affirmed BBBsf C 38237JAC7 LT BBsf Affirmed BBsf GoodLeap Sustainable Home Solutions Trust 2023-2 A 38237AAA0 LT A-sf Affirmed A-sf B 38237AAB8 LT B-sf Downgrade Bsf C 38237AAC6 LT CCCsf Downgrade B-sf GoodLeap Sustainable Home Solutions Trust 2023-3 A 38237CAA6 LT Asf Affirmed Asf B 38237CAB4 LT BBsf Affirmed BBsf C 38237CAC2 LT CCCsf Affirmed CCCsf GoodLeap Sustainable Home Solutions Trust Series 2023-4 A 38237YAA8 LT Asf Affirmed Asf B 38237YAB6 LT BBBsf Affirmed BBBsf C 38237YAC4 LT BBsf Affirmed BBsf GoodLeap Sustainable Home Solutions Trust 2024-1 A 38237BAA8 LT Asf Affirmed Asf B 38237BAB6 LT BBBsf Affirmed BBBsf C 38237BAC4 LT BBsf Affirmed BBsf Transaction Summary The transactions in this review are securitizations of consumer loans originated by GoodLeap, LLC and backed by residential solar equipment and a small portion of home efficiency loans. KEY RATING DRIVERS Prepayments Exacerbate Negative Excess Spread: Prepayments in the GoodLeap Solar ABS transactions have remained below Fitch's initial expectations both before and after the re-amortization date, which occurs in month 18. GoodLeap 2023-2 has shown the lowest average prepayment levels among the Fitch-rated GoodLeap transactions. It also has the lowest excess spread. The current weighted average (WA) cost of funds, rebased to stated principal balance, ranges from 2.1% to 4.9% across the GoodLeap transactions. As a result, annual excess spread before fees ranges from negative 2.4% to negative 0.3%. GoodLeap 2023-2 and 2023-3 have the most negative annual excess spread. While the loans were purchased at a discount to mitigate negative or low excess spreads, the lower prepayments extend the life of the rated notes. This increases the effect of negative excess spreads, which erodes credit enhancement (CE) to protect against credit losses. Fitch expects prepayment rates to remain subdued in the short term because most Fitch-rated GoodLeap transactions have seasoned beyond their re-amortization date. Low housing activity, driven by high mortgage rates, supports this view. All the GoodLeap transactions now exhibit seasoning that exceeds the re-amortization term. As a result, Fitch has applied a post re-amortization assumption in its analysis and did not change the base case prepayment rate since the last review. Lower Prepayments and CE Levels Drive Negative Outlooks: Fitch downgraded the GoodLeap 2023-2 class B and class C notes. Fitch also assigned Negative Outlooks to those notes, the GoodLeap 2023-4 class C notes, and the GoodLeap 2024-1 class B and class C notes. These actions reflect the notes' vulnerability to low prepayment rates and rising defaults. The 2023-2, the 2023-3, and 2024-1 class B & C notes and the 2023-4 class C notes have not received any principal payments since closing, further increasing the stress on these subordinate notes. In 2023-3, stabilization of constant default rates (CDRs) from prior peaks has led to a relative benefit to class B CE, resulting in the change in the Rating Outlook to Stable. The class A notes in GoodLeap 2023-2 have CE of 37.7% of stated balance, below the 41.5% target. CE for the class B and class C notes has declined since closing to 32.7% and 28.3%, respectively. Higher-Than-Expected Defaults: Default rates have exceeded Fitch's expectations since its last review. As a result, Fitch increased the WA base case lifetime default rates across all GoodLeap transactions. Fitch increased cumulative WA default assumptions as follows: GoodLeap 2021-5 to 13.78% from 11.07%; GoodLeap 2022-1 to 15.98% from 12.32%; GoodLeap 2023-2 to 15.41% from 12.40%; GoodLeap 2023-3 to 14.68% from 12.10%; GoodLeap 2023-4 to 16.49% from 13.03%; and GoodLeap 2024-1 to 16.70% from 12.50%. These assumptions are expressed as a percentage of the original asset balance. In addition, Fitch adjusted the rating default multiples it uses to stress performance at higher rating levels. Fitch lowered the weighted average (WA) default multiples it applies at the 'Asf' level to 2.80x from 2.96x for GoodLeap 2021-5, to 2.79x from 2.98x for GoodLeap 2022-1, to 2.85x from 2.97x for GoodLeap 2023-2, to 2.88x from 3.03x for GoodLeap 2023-3, to 2.76x from 2.95x for GoodLeap 2023-4, and to 2.73x from 2.98x for GoodLeap 2024-1. These revisions reflect additional FICO-based performance data and Fitch's macroeconomic outlook. Amortization Triggers Strengthen Protection for Senior Notes: The senior notes benefit from structural protections tied to target overcollateralization (OC) levels. When asset performance weakens, the structure first uses principal collections to cover defaults. If cumulative losses breach trigger levels, the payment waterfall switches to turbo mode and pays the senior notes sequentially. This mechanism redirects cash flow to the senior notes more quickly during stress and increases their protection. The notes initially amortize to maintain target OC levels. All the transactions except GoodLeap 2021-5 have breached their cumulative net loss (CNL) triggers. Adequate Servicing Capabilities: GoodLeap, LLC has serviced the transactions since closing, and Vervent, Inc. (Vervent) serves as backup servicer. Vervent must step in as backup servicer within 30 days of notification upon the occurrence of a servicer termination. Minimum counterparty ratings and replacement and other counterparty-related provisions in the transaction documents are in line with Fitch's counterparty criteria. Fitch views the backup servicing arrangements and other mitigants to servicer disruption risk to be in line with ratings of up to 'Asf'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Asset performance worsening or sustained low prepayments without expectation of future increases may pressure the ratings. Material changes in policy support, the economics of purchasing and financing photovoltaic panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete may also negatively affect the ratings. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch currently caps this transaction's ratings in the 'Asf' category due to limited performance history. The rating is further constrained by the level of CE. A positive rating action could result from an increase in CE due to deleveraging, underpinned by low defaults. CRITERIA VARIATION Fitch applied a variation from its Consumer ABS Rating Criteria to deviate downward from the Model Implied Rating by more than three notches for the GoodLeap 2022-1 class A notes. The ultimate ratings were informed by the sensitivity analysis due to the sensitivity of the ratings to model assumptions and conventions, repayment timing and tranche thickness. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Moody's Hikes 77 Ratings From Nine Deals Issued by PennyMac -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 77 bonds from nine US residential mortgage-backed transactions (RMBS). The collateral backing these deals consists of prime jumbo and agency-eligible investor mortgage loans issued by PennyMac. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: PMT Loan Trust 2021-INV1 Cl. B-2, Upgraded to Aa1 (sf); previously on Mar 5, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Aug 21, 2025 Upgraded to Ba1 (sf) Issuer: PMT Loan Trust 2024-INV1 Cl. B-1, Upgraded to Aa2 (sf); previously on Nov 6, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Nov 6, 2024 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Nov 6, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Nov 6, 2024 Definitive Rating Assigned B3 (sf) Issuer: PMT Loan Trust 2025-INV1 Cl. A-31, Upgraded to Aaa (sf); previously on Jan 30, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-32, Upgraded to Aaa (sf); previously on Jan 30, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-33, Upgraded to Aaa (sf); previously on Jan 30, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Upgraded to Aaa (sf); previously on Jan 30, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Upgraded to Aaa (sf); previously on Jan 30, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Upgraded to Aaa (sf); previously on Jan 30, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jan 30, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Jan 30, 2025 Definitive Rating Assigned Baa3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Jan 30, 2025 Definitive Rating Assigned B3 (sf) Issuer: PMT Loan Trust 2025-INV2 Cl. A-31, Upgraded to Aaa (sf); previously on Feb 21, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-32, Upgraded to Aaa (sf); previously on Feb 21, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-33, Upgraded to Aaa (sf); previously on Feb 21, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Upgraded to Aaa (sf); previously on Feb 21, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Upgraded to Aaa (sf); previously on Feb 21, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Upgraded to Aaa (sf); previously on Feb 21, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Feb 21, 2025 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Feb 21, 2025 Definitive Rating Assigned Ba3 (sf) Issuer: PMT Loan Trust 2025-INV3 Cl. A-31, Upgraded to Aaa (sf); previously on Mar 21, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-32, Upgraded to Aaa (sf); previously on Mar 21, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-33, Upgraded to Aaa (sf); previously on Mar 21, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Upgraded to Aaa (sf); previously on Mar 21, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Upgraded to Aaa (sf); previously on Mar 21, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Upgraded to Aaa (sf); previously on Mar 21, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Mar 21, 2025 Definitive Rating Assigned A3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Mar 21, 2025 Definitive Rating Assigned B3 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Mar 21, 2025 Definitive Rating Assigned Aa3 (sf) Issuer: PMT Loan Trust 2025-INV4 Cl. A-31, Upgraded to Aaa (sf); previously on Apr 16, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-32, Upgraded to Aaa (sf); previously on Apr 16, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-33, Upgraded to Aaa (sf); previously on Apr 16, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Upgraded to Aaa (sf); previously on Apr 16, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Upgraded to Aaa (sf); previously on Apr 16, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Upgraded to Aaa (sf); previously on Apr 16, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Apr 16, 2025 Definitive Rating Assigned A3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Apr 16, 2025 Definitive Rating Assigned B3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Apr 16, 2025 Definitive Rating Assigned Baa3 (sf) Issuer: PMT Loan Trust 2025-INV6 Cl. B-1, Upgraded to Aa2 (sf); previously on Jun 12, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 12, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jun 12, 2025 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Aug 21, 2025 Upgraded to B2 (sf) Issuer: PMT Loan Trust 2025-INV8 Cl. A-31, Upgraded to Aaa (sf); previously on Aug 14, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-32, Upgraded to Aaa (sf); previously on Aug 14, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-33, Upgraded to Aaa (sf); previously on Aug 14, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Upgraded to Aaa (sf); previously on Aug 14, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Upgraded to Aaa (sf); previously on Aug 14, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Upgraded to Aaa (sf); previously on Aug 14, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 14, 2025 Definitive Rating Assigned A3 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Aug 14, 2025 Definitive Rating Assigned B3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Aug 14, 2025 Definitive Rating Assigned Ba3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Aug 14, 2025 Definitive Rating Assigned Baa3 (sf) Issuer: PMT Loan Trust 2025-J2 Cl. A-26, Upgraded to Aaa (sf); previously on Aug 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-27, Upgraded to Aaa (sf); previously on Aug 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-28, Upgraded to Aaa (sf); previously on Aug 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-29, Upgraded to Aaa (sf); previously on Aug 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-30, Upgraded to Aaa (sf); previously on Aug 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-31, Upgraded to Aaa (sf); previously on Aug 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-33, Upgraded to Aaa (sf); previously on Aug 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Upgraded to Aaa (sf); previously on Aug 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X26*, Upgraded to Aaa (sf); previously on Aug 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X27*, Upgraded to Aaa (sf); previously on Aug 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X28*, Upgraded to Aaa (sf); previously on Aug 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X30*, Upgraded to Aaa (sf); previously on Aug 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Upgraded to Aaa (sf); previously on Aug 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Aug 28, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 28, 2025 Definitive Rating Assigned Ba3 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 28, 2025 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 28, 2025 Definitive Rating Assigned Ba1 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under 0.01% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.3x for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Hikes 8 Ratings From 2 Nomura Home Trust Transactions ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds from two US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by Nomura Home Equity Loan Trust between 2006 and 2007. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Nomura Home Equity Loan Trust 2006-FM2 Cl. II-A-2, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. II-A-3, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to Ca (sf) Cl. II-A-4, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Issuer: Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3 Cl. I-A-1, Upgraded to Caa2 (sf); previously on Apr 1, 2025 Upgraded to Caa3 (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Apr 1, 2025 Upgraded to Caa2 (sf) Cl. II-A-2, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Cl. II-A-3, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Confirmed at Ca (sf) Cl. II-A-4, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Confirmed at Ca (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, Moody's revised loss-given-default expectation for each bond, and recent settlement payments received. Each of the bonds being upgraded have 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 upgrades for the group II senior bonds for both transactions also reflect recent settlement payments received by these deals. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. No actions were taken on the other rated classes in these deals because the expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Takes Action on Seven Bonds From Four US RMBS Deals -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of five bonds and downgraded the ratings of two bonds from four US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Soundview Home Loan Trust 2007-OPT3 Cl. II-A-3, Upgraded to Aa2 (sf); previously on Sep 5, 2025 Upgraded to Baa1 (sf) Cl. II-A-4, Upgraded to Aa3 (sf); previously on Sep 5, 2025 Upgraded to Baa1 (sf) Issuer: Structured Asset Investment Loan Trust 2004-8 Cl. A1, Downgraded to Baa1 (sf); previously on Dec 19, 2023 Downgraded to A1 (sf) Cl. A4, Downgraded to Baa1 (sf); previously on Dec 19, 2023 Downgraded to A1 (sf) Issuer: Structured Asset Investment Loan Trust 2004-BNC1 Cl. A2, Upgraded to A1 (sf); previously on Dec 6, 2023 Downgraded to Baa1 (sf) Issuer: Structured Asset Securities Corp Trust 2006-WF1 Cl. M6, Upgraded to Aa2 (sf); previously on Aug 25, 2025 Upgraded to A1 (sf) Cl. M7, Upgraded to Caa1 (sf); previously on Aug 25, 2025 Upgraded to Caa3 (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. The rating upgrades are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The rating downgrades are primarily due to a decline in credit enhancement available to the bonds due to the deal passing performance triggers. In addition, Class M7 from Structured Asset Securities Corp Trust 2006-WF1 has incurred a missed or delayed disbursement of an interest payment and is expected to incur a principal write-down. Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While all shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 53 Bonds from Seven US RMBS Deals ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 53 bonds from seven US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Flagstar Mortgage Trust 2021-3INV Cl. B-1, Upgraded to Aaa (sf); previously on Apr 16, 2025 Upgraded to Aa1 (sf) Cl. B-1-A, Upgraded to Aaa (sf); previously on Apr 16, 2025 Upgraded to Aa1 (sf) Cl. B-1-X*, Upgraded to Aaa (sf); previously on Apr 16, 2025 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on Apr 16, 2025 Upgraded to Aa2 (sf) Cl. B-2-A, Upgraded to Aa1 (sf); previously on Apr 16, 2025 Upgraded to Aa2 (sf) Cl. B-2-X*, Upgraded to Aa1 (sf); previously on Apr 16, 2025 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Apr 16, 2025 Upgraded to Ba2 (sf) Issuer: Flagstar Mortgage Trust 2021-6INV Cl. B-1, Upgraded to Aaa (sf); previously on Sep 24, 2024 Upgraded to Aa1 (sf) Cl. B-1-A, Upgraded to Aaa (sf); previously on Sep 24, 2024 Upgraded to Aa1 (sf) Cl. B-1-X*, Upgraded to Aaa (sf); previously on Sep 24, 2024 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on Jul 15, 2025 Upgraded to Aa2 (sf) Cl. B-2-A, Upgraded to Aa1 (sf); previously on Jul 15, 2025 Upgraded to Aa2 (sf) Cl. B-2-X*, Upgraded to Aa1 (sf); previously on Jul 15, 2025 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Sep 24, 2024 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Jul 15, 2025 Upgraded to Ba2 (sf) Issuer: OBX 2024-J1 Trust Cl. A-19, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-14*, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-24*, Upgraded to Aaa (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 31, 2025 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Jul 31, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jul 31, 2025 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Aug 21, 2025 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Jul 31, 2025 Upgraded to Ba3 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Sep 19, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to Aa2 (sf); previously on Jul 31, 2025 Upgraded to A1 (sf) Issuer: OBX 2025-J1 Trust Cl. B-1, Upgraded to Aa2 (sf); previously on May 15, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on May 15, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on May 15, 2025 Definitive Rating Assigned A2 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on May 15, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 21, 2025 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on May 15, 2025 Definitive Rating Assigned Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Aug 21, 2025 Upgraded to B1 (sf) Cl. B-X-1*, Upgraded to Aa2 (sf); previously on May 15, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to Aa3 (sf); previously on May 15, 2025 Definitive Rating Assigned A2 (sf) Issuer: Oceanview Mortgage Trust 2022-1 Cl. B-1, Upgraded to Aa1 (sf); previously on Jun 14, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Mar 25, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Mar 25, 2025 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Aug 21, 2025 Upgraded to Ba3 (sf) Issuer: Oceanview Mortgage Trust 2022-INV6 Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 2, 2025 Upgraded to A1 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Jun 2, 2025 Upgraded to Baa1 (sf) Issuer: Oceanview Mortgage Trust 2025-INV1 Cl. B-1, Upgraded to Aa2 (sf); previously on Feb 5, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Feb 5, 2025 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Feb 5, 2025 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Aug 21, 2025 Upgraded to B2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under 0.03% and a small percentage of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.47x for the non-exchangeable tranches upgraded. Moody's analysis on certain bonds included an assessment of the existing credit enhancement floor, in place to mitigate the potential default of a small number of loans at the tail end of a transaction, and also reflected the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2026. All rights reserved. ISSN: 1520-9474. 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