260621.mbx

260621.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 21, 2026, Vol. 30, No. 172 Headlines 37 CAPITAL 2: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes AGL CLO 13: S&P Lowers Class E Notes Rating to 'B (sf)' ASPIRE MORTGAGE 2026-3: S&P Assigns (P) B (sf) Rating on B-2 Certs BAIN CAPITAL 2021-3: S&P Lowers Class E-R Notes Rating to 'B (sf)' BANK 2026-BNK52: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches BLUEMOUNTAIN CLO 2015-4: S&P Lowers F-R Debt Rating to 'CCC- (sf)' BLUEMOUNTAIN CLO XXVI: S&P Affirms BB- (sf) Rating on E-R Notes BMO 2026-5C15: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs BUSINESS JET 2026-1: S&P Assigns BB (sf) Rating on Class C Notes CROWN CITY V: S&P Affirms BB- (sf) Rating on Class D-R Debt EFMT 2026-AE4: Moody's Assigns B2 Rating to Cl. B-5 Certs EFMT 2026-CES2: S&P Assigns Prelim B- (sf) Rating to Cl. B-2 Certs ELMWOOD CLO 29: S&P Assigns B+ (sf) Rating on Class E-R2 Notes FLAGSHIP CREDIT 2021-2: S&P Lowers Class E Notes Rating to 'B(sf)' GCM CLO 2026-10: Fitch Assigns 'BB+sf' Rating on Class E Notes HILDENE TRUPS 2018-1: Moody's Assigns (P)Ba2 Rating to D-R Notes HOMES 2026-NQM4: S&P Assigns B (sf) Rating on Class B-2 Certs HPS LOAN 5-2015: S&P Lowers Class E-RR Notes Rating to 'B- (sf)' ICG US 2024-1: S&P Assigns BB- (sf) Rating to Class E-R Debt INCREF 2026-FL3: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes JPMBB COMMERCIAL 2015-C32: Moody's Cuts Rating on 2 Tranches to C JPMF1 MULTIFAMILY 2026-FX1: Fitch Rates Class H-RR Certs 'B-sf' KENNEDY LEWIS 7: S&P Affirms BB- (sf) Rating on Class E-R Notes MFA 2026-NQM2: Fitch Assigns 'B-sf' Final Rating on Class B-2 Notes NEUBERGER BERMAN 64: Fitch Rates Class E Notes 'BB-(EXP)sf' OBX 2026-AHC2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs OCTAGON INVESTMENT 18-R: S&P Lowers Cl. D Notes Rating to 'D (sf)' OFSI BSL XIII: S&P Assigns BB- (sf) Rating on Class E-R Notes ORION CLO 2024-3: S&P Assigns B- (sf) Rating on Class F Notes PALMER SQUARE 2026-2: S&P Assigns Prelim BB-(sf) Rating on E Notes PMT LOAN 2026-INV6: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs RATE MORTGAGE 2026-J2: Fitch Rates Class B-5 Notes 'B(EXP)sf' SANTANDER MORTGAGE 2026-NQM5: S&P Assigns B(sf) Rating on B-2 Notes SOUND POINT VI-R: Moody's Cuts Rating on $30MM Cl. E Notes to Caa3 STRATA CLO II: S&P Lowers Class E Notes Rating to 'B (sf)' TRUIST BANK 2026-1: Moody's Assigns B3 Rating to Class C Notes UBS COMMERCIAL 2018-C12: Fitch Lowers Rating on E-RR Certs to 'Csf' VENTURE 36 CLO: Moody's Cuts Rating on $33.55MM Cl. E Notes to B1 VENTURE 47 CLO: S&P Affirms BB- (sf) Rating on Class E Notes VENTURE XIX: Moody's Cuts Rating on $25MM Cl. E-RR Notes to B1 VERUS SECURITIZATION 2026-5: Moody's Assigns B3 Rating to B-2 Certs WELLS FARGO 2026-5C10: Fitch Rates Class F-RR Certs 'B-(EXP)sf' WINDHILL CLO 5: S&P Assigns Prelim BB- (sf) Ratings to Cl. E Notes [] Moody's Upgrades Ratings on 19 Bonds from 3 US RMBS Deals [] Moody's Upgrades Ratings on 69 Bonds from 10 US RMBS Deals [] S&P Discontinues 'D(sf)' Ratings on 14 Classes from 6 US Deals [] S&P Takes Various Actions on 67 Classes From 15 U.S. CLO Deals ********* 37 CAPITAL 2: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to 37 Capital CLO 2, Ltd. reset transaction. Entity/Debt Rating ----------- ------ 37 Capital CLO 2, Ltd. X-R2 LT AAAsf New Rating A-1-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1-R2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary 37 Capital CLO 2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Franklin Advisers, Inc. This transaction originally closed in August 2022 and subsequently refinanced in August 2024. Fitch did not rate either of the previous transactions. The transaction will be fully refinanced for a second time on June 10, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $350 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.24, 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 96.28% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 34% of the portfolio balance in aggregate while the top five obligors can represent up to 9% of the portfolio balance in aggregate, subject to the Fitch Test Matrix selected. 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 2.8-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 covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'Asf' and 'AA+sf' for class A-1-R2, between 'A-sf' and 'AA+sf' for class A-2-R2, between 'BBB-sf' and 'A+sf' for class B-R2, between 'B+sf' and 'A-sf' for class C-R2, between less than 'B-sf' and 'BBB-sf' for classes D-1-R2, and D-2-R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'Asf' for classes D-1-R2 and D-2-R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for 37 Capital CLO 2 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. AGL CLO 13: S&P Lowers Class E Notes Rating to 'B (sf)' ------------------------------------------------------- S&P Global Ratings lowered its rating on the class E debt from AGL CLO 13 Ltd. and removed it from CreditWatch where it had placed it with negative implications. At the same time, S&P affirmed its ratings on the class A-1-R, A-2, B-R, C-R, D-1-R, and D-2-R debt from the same transaction. The transaction, a broadly syndicated U.S. CLO transaction, managed by AGL CLO Credit Management LLC, was originally issued in October 2021. It underwent a refinancing in August 2025 and will exit its reinvestment period in October 2026. On May 6, 2026, S&P had placed its rating on the class E debt on CreditWatch with negative implications primarily due to the relevant class's declining credit support, the portfolio's par loss, and indicative cash flow results. The rating actions follow S&P's review of the transaction's performance using data from the May 2026 trustee report. All of the reported overcollateralization (O/C) ratios have declined compared to those in the September 2025 trustee report as shown below: -- The class A/B O/C ratio declined to 127.37% from 129.64%, -- The class C O/C ratio declined to 118.05% from 120.15%, -- The class D O/C ratio declined to 110.00 from 111.96%, -- The class E O/C ratio declined to 105.22% from 107.09%, The decline in the O/C ratios reflects the aggregate par loss the portfolio has sustained since the last rating actions in August 2025. The par losses, coupled with decline in the portfolio's weighted average spread, have weakened cash flow results, particularly, at the junior level of the capital structure. As a result, the class E debt was no longer passing cash flows at its previous rating level. Following the decline in credit support and indicative cash flow results, S&P lowered its rating on the class E debt to 'B (sf)'. While the results of our cash flow analysis also indicated a one-notch lower rating on the class D-2-R debt than the rating action reflects, S&P affirmed the rating after considering the passing trustee O/C, current subordination level, solid portfolio quality, and the low exposure to 'CCC'/'CCC-' rated assets. Furthermore, the deal is expected to transition to amortization in October 2026, at which point the senior note paydowns should support improvements in both credit enhancement and the pure O/C metric. However, any deterioration and/or increase in defaults or par losses could lead to negative rating actions. The affirmed ratings on the class A-1-R, A-2, B-R, C-R, and D-1-R debt reflect adequate credit support at the current rating levels and passing cash flows. S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Lowered And Removed From CreditWatch AGL CLO 13 Ltd. Class E to 'B (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed AGL CLO 13 Ltd. Class A-1-R: AAA (sf) Class A-2: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) Class D-1-R: BBB- (sf) Class D-2-R: BBB- (sf) ASPIRE MORTGAGE 2026-3: S&P Assigns (P) B (sf) Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Aspire Mortgage Trust 2026-3's mortgage-backed certificates. The note issuance is an RMBS securitization 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 three months. The mortgage loans have primarily 30-year maturities, though some have 40-year maturities and one has a 20-year maturity. The loans are secured by single-family residential properties, planned-unit developments, condominiums, two- to four-family residential properties, and a condotel. The pool consists of 917 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate), QM/higher priced mortgage loan, non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt loans. The preliminary ratings are based on information as of June 12, 2026. Subsequent information may result in the assignment of a final rating that differs from the preliminary rating. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregator, Aspire Residential Conduit--Redwood Trust Inc.; -- The mortgage originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) Aspire Mortgage Trust 2026-3 Class A-1FCF, $138,000,000: AAA (sf) Class A-1LCF, $46,00,000: AAA (sf) Class A-1A, $160,550,000: AAA (sf) Class A-1B, $23,450,000: AAA (sf) Class A-1, $184,000,000: AAA (sf) Class A-2, $22,089,000: AA (sf) Class A-3, $37,274,000: A (sf) Class M-1, $17,348,000: BBB (sf) Class B-1, $10,081,000: BB (sf) Class B-2, $8,205,000: B (sf) Class B-3, $5,860,746: not rated Class A-IO-S, notional(ii): not rated Class XS, notional(ii): not rated Class R, not applicable: not rated Class LT-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 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 $468,857,746. BAIN CAPITAL 2021-3: 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 Bain Capital Credit CLO 2021-3 Ltd., a U.S. CLO managed by Bain Capital Credit U.S. CLO Manager LLC, and removed it from CreditWatch with negative implications. S&P also affirmed its ratings on class A-R, B-R, C-R, and D debt from the same transaction and removed the class D debt from CreditWatch with negative implications. The rating actions follow S&P's review of the transaction's performance using data from May 12, 2026, trustee report. The transaction, which was originally issued in June 2021, underwent a partial refinancing in January 2025 and will exit its reinvestment period in July 2026. On May 6, 2026, S&P had placed its ratings on the class D and class E-R debt on CreditWatch negative primarily due to the declining credit support available to both the classes, the portfolio's par loss since the 2025 refinancing, and indicative cash flow results. Compared to the January 2025 initial post-refinancing trustee report, following are the changes to the reported May 2026 overcollateralization (O/C) ratios: -- The class A/B O/C ratio declined to 127.06% from 128.10%. -- The class C O/C ratio declined to 117.76% from 118.72%. -- The class D O/C ratio declined to 109.73% from 110.63%. -- The class E O/C ratio declined to 105.54% from 106.40%. The decline in the O/C ratios is driven primarily by the portfolio's par loss and haircuts for defaulted and discount assets since the last rating actions in January 2025. In addition to par erosion, the portfolio credit metrics have weakened between January 2025 and May 2026. S&P Global Ratings' weighted average spread (WAS) decreased to 3.07% from 3.38% and its weighted average recovery rate (WARR) on the 'AAA' rated debt decreased to 38.00% from 38.90% during the period. Also, collateral obligations in the 'CCC' rating category increased to $28.77 million from $26.08 million and defaults increased to $1.71 million from $1.35 million during the same period. The par losses sustained by the portfolio since the refinancing, coupled with declines in the portfolio's WAS and WARR, have weakened cash flow results at both mezzanine and junior levels of the capital structure. As a result, the class D and E-R debt were no longer passing cash flows at the initial rating levels. Following the decline in credit support for the class E-R debt, coupled with the increase in 'CCC' obligations and defaulted obligations, S&P lowered its rating on the class E-R notes to 'B (sf)'. S&P said, "While the results of our cash flow analysis also indicated a lower rating on the class D debt than the rating action reflects, we affirmed the rating after considering the passing trustee O/C ratio test, the current subordination level, and the credit quality of the underlying assets." The proportion of obligations rated 'B- (sf)' has decreased to 23.27% from 26.12%, while obligations rated 'B (sf)' or higher has increased to 70.63% from 68.17%. This has helped offset some of the increases in the proportion of obligations rated in the 'CCC' category, which increased to 5.98% from 5.69%. The weighted average life of the transaction has also benefitted from further seasoning of the collateral pool, decreasing to 4.43 years from 4.66 years. Finally, the transaction is set to end its reinvestment period in July 2026, and credit support levels will change as the transaction begins de-leveraging. However, any deterioration and/or increase in defaults or par losses could lead to negative rating actions. The affirmed ratings on the class A-R, B-R, and C-R debt reflect adequate credit support at the current rating levels and passing cash flows. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. "We will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary." Rating Lowered And Removed From CreditWatch Bain Capital CLO 2021-3 Ltd. Class E-R to 'B (sf)' from 'BB- (sf)/Watch neg' Rating Affirmed And Removed From CreditWatch Bain Capital CLO 2021-3 Ltd. Class D to 'BBB- (sf)' from 'BBB- (sf)/Watch neg' Ratings Affirmed Bain Capital CLO 2021-3 Ltd. Class A-R: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) BANK 2026-BNK52: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BANK 2026-BNK52 commercial mortgage pass-through certificates, series 2026-BNK52, as follows: - $12,080,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $18,255,000 class A-SB 'AAA(EXP)sf'; Outlook Stable; - $200,000,000ab class A-4 'AAA(EXP)sf'; Outlook Stable; - $0b class A-4-1 'AAA(EXP)sf'; Outlook Stable; - $0abc class A-4-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-4-2 'AAA(EXP)sf'; Outlook Stable; - $0abc class A-4-X2 'AAA(EXP)sf'; Outlook Stable; - $268,249,000ab class A-5 'AAA(EXP)sf'; Outlook Stable; - $0b class A-5-1 'AAA(EXP)sf'; Outlook Stable; - $0abc class A-5-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-5-2 'AAA(EXP)sf'; Outlook Stable; - $0abc class A-5-X2 'AAA(EXP)sf'; Outlook Stable; - $498,584,000c class X-A 'AAA(EXP)sf'; Outlook Stable; - $91,704,000b class A-S 'AAA(EXP)sf'; Outlook Stable; - $0b class A-S-1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-S-X1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-S-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-S-X2 'AAA(EXP)sf'; Outlook Stable; - $31,161,000b class B 'AA-(EXP)sf'; Outlook Stable; - $0b class B-1 'AA-(EXP)sf'; Outlook Stable; - $0bc class B-X1 'AA-(EXP)sf'; Outlook Stable; - $0b class B-2 'AA-(EXP)sf'; Outlook Stable; - $0bc class B-X2 'AA-(EXP)sf'; Outlook Stable; - $24,039,000b class C 'A-(EXP)sf'; Outlook Stable; - $0b class C-1 'A-(EXP)sf'; Outlook Stable; - $0bc class C-X1 'A-(EXP)sf'; Outlook Stable; - $0b class C-2 'A-(EXP)sf'; Outlook Stable; - $0bc class C-X2 'A-(EXP)sf'; Outlook Stable; - $146,904,000c class X-B 'A-(EXP)sf'; Outlook Stable; - $18,697,000d class D 'BBB-(EXP)sf'; Outlook Stable; - $18,697,000cd class X-D 'BBB-(EXP)sf'; Outlook Stable; - $14,245,000,000d class E 'BB-(EXP)sf'; Outlook Stable; - $14,245,000cd class X-E 'BB-(EXP)sf'; Outlook Stable; - $8,013,000d class F 'B-(EXP)sf'; Outlook Stable; - $8,013,000cd class X-F 'B-(EXP)sf'; Outlook Stable; The following classes are not expected to be rated by Fitch: - $25,820,167d class G; - $25,820,167cd class X-G; - $29,867,535e class RR; - $7,620,000e class RR Interest. (a) The exact initial certificate balances or notional amounts of the class A-4, class A-4-X1, class A-4-X2, class A-5, class A-5-X1 and class A-5-X2 trust components (and consequently, the exact initial certificate balance or notional amount of each class of class A-4 exchangeable certificates and class A-4 exchangeable certificates) are unknown but are expected to be $468,249,000 in the aggregate, subject to a 5.0% variance. The certificate balances will be determined based on the final pricing of these classes of certificates. The expected class A-4 balance range is $0 to $200,000,000, and the expected class A-5 balance range is $268,249,000 to $468,249,000. The balance for class A-4 reflects the top point of its range, and the balance for class A-5 reflects the bottom point of its range. The class A-4-X1 and class A-4-X2 trust components will have initial notional amounts equal to the initial certificate balance of the class A-4 trust component. The class A-5 -X1 and class A-5-X2 trust components will have initial notional amounts equal to the initial certificate balance of the class A-5 trust component. In the event that the class A-4 trust component is issued with an initial certificate balance of $468,249,000, the class A-5 trust component (and, correspondingly, the class A-5 exchangeable certificates) will not be issued. (b) The class A-4, class A-4-1, class A-4-2, class A-4-X1, class A-4-X2, class A-5, class A-5-1, class A-5-2, class A-5-X1,class A-5-X2, class A-S, class AS-1, class A-S-2, class A-S-X1, class A-S-X2, class B, class B1, class B-2, class B-X1, class B-X2, class C, class C-1, class C-2, class C-X1 and class C-X2 are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A. (e) Eligible Vertical-risk retention interest representing approximately 5.0% of the initial certificate balance of each class. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 70 loans secured by 79 commercial properties with an aggregate principal balance of $749,750,703 as of the cut-off date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings, JPMorgan Chase Bank, N.A., National Cooperative Bank, N.A., Wells Fargo Bank, N.A. and Bank of America, N.A The master servicers are expected to be Trimont LLC and National Cooperative Bank, N.A., and the special servicers are expected to be CWCapital Asset Management LLC and National Cooperative Bank, N.A. The trustee is expected to be Duetsche Bank National Trust Company and the certificate administrator is expected to be Computershare Trust Company, N.A. Park Bridge Lender Services LLC is expected to be the operating advisor and asset representations reviewer. The certificates are expected to follow a sequential paydown structure. The transaction is expected to close on July 7, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 30 loans totaling 83.1% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $139.1 million represents a 12.1% decline from the issuer's aggregate underwritten NCF of $158.3 million. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool has lower leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 78.8% is lower than both the 2026 YTD and 2025 10-year multiborrower transaction averages of 94.8% and 88.4%, respectively. The pool's Fitch NCF debt yield (DY) of 18.6% is higher than both the 2026 YTD and 2025 10-year multiborrower transaction averages of 11.5% and 12.2%, respectively. Investment Grade Credit Opinion Loan: One loan, 10 Union Square East representing 7.1% of the pool received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage is higher than the 2026 YTD 10-year multiborrower transaction average of 3.3%, but lower than the 2025 average of 21.4%. The pool also contains non-credit opinion co-op loans totaling 19.3% of the transaction balance. Excluding the credit opinion and co-op loans, the pool's Fitch LTV and DY are 91.8% and 11.4%, respectively, compared to the equivalent 2025 10-year multiborrower transaction LTV and DY averages of 88.7% and12.0%, respectively. Pool Concentration: The pool is moderately concentrated relative to recently rated Fitch transactions. The top 10 loans represent 57.1% of the pool, which is slightly lower than both the 2026 YTD and 2025 10-year multiborrower transaction averages of 61.7% and 62.9%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 23.8. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: Based on the scheduled balances at maturity, the pool will pay down by 4.4%, which is lower than the 2026 YTD 10-year multiborrower transaction average of 6.1%, but in line with the 2025 10-year multiborrower average of 3.9%. The pool has 31 interest- only (IO) loans (63.9% of the pool), which is greater than the 2026 YTD 10-year multiborrower transaction average of 62.3% but better than the 2025 10-year multiborrower average of 70.6%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf' / AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB-sf' / 'B-sf'. - 10% NCF Decline: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BBsf' / 'B-sf' / below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet 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' / 'BB-sf' / 'B-sf'. - 10% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'BBBsf' / BBsf' / 'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst& Young LLP, and Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on 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. BLUEMOUNTAIN CLO 2015-4: S&P Lowers F-R Debt Rating to 'CCC- (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered our rating on the class F-R debt and upgraded its rating on the class D-R2 debt from BlueMountain CLO 2015-4 Ltd., a CLO managed by Sound Point Capital Management L.P. S&P also affirmed its ratings on the class A-1-R2, C-R2, and E-R debt and removed the rating on the class E-R debt from CreditWatch with negative implications, where S&P had placed it on May 6, 2026. The rating actions follow S&P's review of the transaction's performance using data from the May 2026 trustee report. Following are the changes in the overcollateralization (O/C) ratios in the May 2026 trustee report compared to those in the August 2025 trustee report when the CLO went under refinancing: -- The class A/B O/C ratio increased to 356.24% from 180.79%. -- The class C O/C ratio increased to 179.52% from 138.86%. -- The class D O/C ratio increased to 125.96% from 115.83%. -- The class E O/C ratio increased to 105.06% from 104.30%. Though all the O/C ratios improved, the collateral portfolio credit quality has decreased since our last rating actions and is now more concentrated. As a result, even though the trustee report indicates that dollar value of the collateral obligations with the ratings in the 'CCC' category has declined, their exposure as a percentage of the portfolio now stands at 15.54%, vs. 13.57% in the last rating actions. Defaults have increased to $3.41 million from $0.88 million. The total number of obligors declined to 121 from 181 in this period. However, despite the slightly larger concentrations in 'CCC' category and defaulted collateral, the transaction, especially the senior tranches, has benefited from continued paydowns, as reflected in the higher overcollateralization. In addition, the transaction has also benefited from a drop in the weighted average life due to the underlying collateral's seasoning, with 2.54 years reported as of the April 2026 trustee report compared with 2.87 years reported at the time of our November 2025 rating actions. The upgraded rating reflects the improved credit support available to the notes at the prior rating levels. The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could result in further changes in the ratings. S&P said, "Although our cash flow analysis indicated higher ratings for the class D-R2 and E-R debt, our rating actions reflect additional sensitivity runs that considered the exposure to both lower quality assets and to assets with low market prices we noticed in the portfolio." While the paydowns did benefit the CLO, the cash flows of the junior notes continue to fail and are now exposed to a larger percentage of the 'CCC' rated collateral. S&P said, "Although there is not an O/C test on the class F-R debt, the reinvestment O/C test for this class, while no longer applicable after the reinvestment period, has decreased since our prior rating actions and this class in our opinion continues to require favorable conditions to repay as per our CCC definitions." The lowered rating of the junior notes reflects the deteriorated credit quality of the underlying portfolio and the decrease in the credit support available to the class F-R debt S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Raised BlueMountain CLO 2015-4 Ltd. Class D-R2 to 'A+ (sf)' from 'A (sf)' Rating Lowered BlueMountain CLO 2015-4 Ltd. Class F-R to 'CCC- (sf)' from 'CCC+ (sf)' Rating Affirmed and Removed from CreditWatch BlueMountain CLO 2015-4 Ltd. Class E-R (deferrable) to 'BB- (sf)' from 'BB-/Watch neg (sf)' Ratings Affirmed BlueMountain CLO 2015-4 Ltd. Class A-1-R2: AAA (sf) Class C-R2: AAA (sf) BLUEMOUNTAIN CLO XXVI: S&P Affirms BB- (sf) Rating on E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R2, B-R2, C-R2, and D-1-R2 debt from BlueMountain CLO XXVI Ltd./BlueMountain CLO XXVI LLC, a CLO managed by Sound Point Capital Management L.P. that was originally issued in November 2019 and underwent a refinancing in October 2021. At the same time, S&P withdrew its ratings on the previous class A-R, B-R, C-R, and D-1-R debt following payment in full on the June 17, 2026, refinancing date. S&P also affirmed its ratings on the class 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. 17, 2026. -- No additional assets were purchased on the June 17, 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. 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 its credit enhancement level and the overall portfolio credit quality. Additionally, we view the refinancing as 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 + 1.85% -- Class D-1-R2 (deferrable), $25.00 million: Three-month CME term SOFR + 3.00% Previous debt -- Class A-R, $320.00 million: Three-month CME term SOFR + 1.21% + CSA(i) -- Class B-R, $60.00 million: Three-month CME term SOFR + 1.775% + CSA(i) -- Class C-R (deferrable), $30.00 million: Three-month CME term SOFR + 2.20% + CSA(i) -- Class D-1-R (deferrable), $25.00 million: Three-month CME term SOFR + 3.50% + CSA(i) -- Class D-2-R (deferrable), $5.00 million: Three-month CME term SOFR + 4.37% + CSA(i) -- Class E-R (deferrable), $20.00 million: Three-month CME term SOFR + 7.13% + CSA(i) (i)The CSA is 0.26161%. CSA--Credit spread adjustment. 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 BlueMountain CLO XXVI Ltd./BlueMountain CLO XXVI LLC Class A-R2, $320.00 million: AAA (sf) Class B-R2, $60.00 million: AA (sf) Class C-R2, $30.00 million: A (sf) Class D-1-R2, $25.00 million: BBB (sf) Ratings Withdrawn BlueMountain CLO XXVI Ltd./BlueMountain CLO XXVI 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-1-R to NR from 'BBB (sf)' Ratings Affirmed BlueMountain CLO XXVI Ltd./BlueMountain CLO XXVI LLC Class D-2-R: BBB- (sf) Class E-R: BB- (sf) Other Debt BlueMountain CLO XXVI Ltd./BlueMountain CLO XXVI LLC Subordinated Notes: NR NR--Not rated. BMO 2026-5C15: Fitch Assigns 'B-(EXP)sf' Rating on Class G-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BMO 2026-5C15 Mortgage Trust commercial mortgage pass-through certificates, series 2026-5C15 as follows: - $1,257,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $200,000,000a class A-2 'AAA(EXP)sf'; Outlook Stable; - $237,047,000a class A-3 'AAA(EXP)sf'; Outlook Stable; - $438,304,000b class X-A 'AAA(EXP)sf'; Outlook Stable; - $60,267,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $31,307,000 class B 'AA-(EXP)sf'; Outlook Stable; - $23,481,000 class C 'A-(EXP)sf'; Outlook Stable; - $115,055,000b class X-B 'A-(EXP)sf'; Outlook Stable; - $16,123,000c class D 'BBB-(EXP)sf'; Outlook Stable; - $16,123,000bc class X-D 'BBB-(EXP)sf'; Outlook Stable; - $11,271,000cd class E-RR 'BB+(EXP)sf'; Outlook Stable; - $8,610,000cd class F-RR 'BB-(EXP)sf'; Outlook Stable; - $9,392,000cd class G-RR 'B-(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following class: - $27,394,447cd class J-RR. Notes: (a) The exact initial certificate balances of the class A-2 and class A-3 certificates are unknown but will be $437,047,000 in aggregate, subject to a variance of plus or minus 5.0%. 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-$200,000,000, and the expected class A-3 balance range is $237,047,000-$437,047,000. The 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) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Classes E-RR, F-RR, G-RR J-RR and K-RR certificates comprise the transaction's horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 25 loans secured by 124 commercial properties having an aggregate principal balance of $626,149,447 as of the cut-off date. The loans were contributed to the trust by Bank of Montreal, UBS AG New York Branch, 3650 Capital SCF LOE I(A), LLC, Zions Bancorporation, N.A., Wells Fargo Bank, National Association, BSPRT CMBS Finance, LLC, Goldman Sachs Mortgage Company, Societe Generale Financial Corporation and Ladder Capital Finance 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 3650 REIT Loan Servicing LLC. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 21 loans totaling 93.7% of the pool by balance. Fitch's aggregate pool net cash flow (NCF) of $68.8 million represents a 11.3% decline from the issuer's underwritten aggregate pool NCF of $77.6 million. Lower Fitch Leverage: The pool has lower 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 93.4% is below both the 2026 YTD and 2025 multiborrower five-year averages of 98.1% and 101.0%, respectively. The pool's Fitch NCF debt yield (DY) of 11.0% is higher than both the 2026 YTD and 2025 multiborrower five-year averages of 10.6% and 9.7%, respectively. Investment-Grade Credit Opinion Loans: One loan, Mountain Industrial Portfolio (7.3% of the pool), received a standalone credit opinion of 'A-sf*'. The pool's investment-grade credit opinion percentage is lower than both the 2026 YTD and 2025 multiborrower five-year averages of 11.3% and 10.6%, respectively. Excluding the credit opinion loan, the pool's Fitch LTV and DY are 87.8% and 10.3%, respectively, compared with the 2025 conduit LTV and DY averages of 105.2% and 9.3%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 65.7% of the pool, which is higher than both the 2026 YTD and 2025 multiborrower five-year averages of 60.8% and 61.5%, respectively. The pool's effective loan count of 20.3 is lower than both the 2026 YTD and 2025 multiborrower five-year 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. 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'/'BB+sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BB+sf'/'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'/'BBB-sf'/'BB+sf'/'BB-sf'/'B-sf'; - 10% NCF Improvement: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBB-sf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) 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. BUSINESS JET 2026-1: S&P Assigns BB (sf) Rating on Class C Notes ---------------------------------------------------------------- S&P Global Ratings assigned its 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 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 12 months of interest on the class 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, we will gauge the macro and credit materiality of potential shifts and reassess our guidance accordingly. 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) CROWN CITY V: S&P Affirms BB- (sf) Rating on Class D-R Debt ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-R2, A-1-R2, A-2R2, B-R2 and C-1R2 debt from Crown City CLO V/Crown City CLO V LLC, a CLO managed by Western Asset Management Co. LLC that was originally issued in April 2023 and underwent a refinancing in May 2024. At the same time, S&P withdrew its ratings on the previous class X, A-1R, A-2R, BR, C-1aR, and C-1bR debt following payment in full on the June 12, 2026, refinancing date. S&P also affirmed its ratings on the class C-2R and DR debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 20, 2027. -- No additional assets were purchased on the June 12, 2026, refinancing date, and the target initial par amount remains at $400 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- The original class C-1aR and C-1bR debt were combined into the replacement C-1R2 debt. The combined notional amount remains unchanged. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on the class C-2R and DR debt (which was not refinanced). There has been some par loss leading to a decline in overcollateralization (O/C) levels. However, we affirmed our 'BBB- (sf)' and 'BB- (sf)' ratings on the class C-2R and DR debt, respectively due to our views that the refinancing is an overall positive for the transaction and that the portfolio has relatively low exposure to 'CCC'/'CCC-' rated obligors. However, any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future." Replacement And Previous Debt Issuances Replacement debt -- Class X-R2, $0.83 million: Three-month CME term SOFR + 0.85% -- Class A-1-R2, $248.00 million: Three-month CME term SOFR + 1.25% -- Class A-2-R2, $56.00 million: Three-month CME term SOFR + 1.67% -- Class B-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 1.95% -- Class C-1R2 (deferrable), $20.00 million: Three-month CME term SOFR + 3.60% Previous debt -- Class X, $0.83 million: Three-month CME term SOFR + 1.15% -- Class A-1R, $248.00 million: Three-month CME term SOFR + 1.60% -- Class A-2R, $56.00 million: Three-month CME term SOFR + 2.10% -- Class BR (deferrable), $24.00 million: Three-month CME term SOFR + 2.60% -- Class C-1aR (deferrable), $17.00 million: Three-month CME term SOFR + 4.10% -- Class C-1bR (deferrable), $3.00 million: 8.43% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Crown City CLO V/Crown City CLO V LLC Class X-R2, $0.83 million: AAA (sf) Class A-1-R2, $248.00 million: AAA (sf) Class A-2-R2, $56.00 million: AA (sf) Class B-R2, $24.00 million: A (sf) Class C-1R2, $20.00 million: BBB+ (sf) Ratings Withdrawn Crown City CLO V/Crown City CLO V LLC Class X to NR from 'AAA (sf)' Class A-1R to NR from 'AAA (sf)' Class A-2R to NR from 'AA (sf)' Class BR to NR from 'A (sf)' Class C-1aR to NR from 'BBB+ (sf)' Class C-1bR to NR from 'BBB+ (sf)' Ratings Affirmed Crown City CLO V/Crown City CLO V LLC Class C-2R: BBB- (sf) Class DR: BB- (sf) Other Debt Crown City CLO V/Crown City CLO V LLC Subordinated notes, $31.70 million: NR NR--Not rated. EFMT 2026-AE4: Moody's Assigns B2 Rating to Cl. B-5 Certs --------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 58 classes of residential mortgage-backed securities (RMBS) 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 Servicing. The complete rating actions are as follows: Issuer: EFMT 2026-AE4 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aa1 (sf) Cl. A-16, Definitive Rating Assigned Aa1 (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aa1 (sf) Cl. A-24, Definitive Rating Assigned Aa1 (sf) Cl. A-28, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-28*, Definitive Rating Assigned Aaa (sf) Cl. A-X-29*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.78%, in a baseline scenario-median is 0.47% and reaches 7.92% 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. EFMT 2026-CES2: S&P Assigns Prelim B- (sf) Rating to Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to EFMT 2026-CES2's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by closed-end second lien, fixed-rate and fully amortizing mortgage loans (and one loan with an interest-only term), secured primarily by single-family residential properties, as well as townhouses, planned-unit developments, condominiums, condotels, and two- to four-unit multifamily residential properties to both prime and nonprime borrowers. The pool consists of 3,911 loans and comprises qualified mortgage (QM)/non-higher-priced mortgage loan (safe harbor), QM rebuttable presumption, non-QM/compliant and ability-to-repay-exempt mortgage loans. The preliminary ratings are based on information as of June 17, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Ellington Financial Inc.; -- Sample due diligence results consistent with represented loan characteristics; and -- S&P said, "Our macroeconomic and sector outlook, which consider our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially." Preliminary Ratings(i) Assigned EFMT 2026-CES2 Class A-1, $305,882,000: AAA (sf) Class A-1A, $294,826,000: AAA (sf) Class A-1B, $11,056,000: AAA (sf) Class A-2, $16,031,000: AA- (sf) Class A-3, $13,820,000: A- (sf) Class M-1, $12,714,000: BBB- (sf) Class B-1, $8,292,000: BB- (sf) Class B-2, $6,265,000: B- (sf) Class B-3, $5,528,894: not rated Class XS, notional(ii): not rated Class R, not applicable: not rated (i)The preliminary ratings address the ultimate payment of interest and principal. (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. ELMWOOD CLO 29: S&P Assigns B+ (sf) Rating on Class E-R2 Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1R2, A-2R2, B-R2, C-R2, D-1R2, D-2R2, and E-R2 debt from Elmwood CLO 29 Ltd./Elmwood CLO 29 LLC, a CLO managed by Barclays Capital Inc. that was originally issued in May 2024. At the same time, S&P withdrew its ratings on the previous class X, A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt following payment in full on the June 12, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to June 12, 2027. -- No additional assets were purchased on the June 12, 2026, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- No additional subordinated notes were issued on the refinancing date. -- The previous class X debt with a remaining balance of $0.25 million, was paid down in full and redeemed at the time of the refinancing and is no longer outstanding. S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on the replacement class D-1R2, D-2R2, and E-R2 debt (which were refinanced). However, we assigned our 'BBB- (sf)', 'BBB- (sf)', and 'B+ (sf)' ratings on the replacement class D-1R2, D-2R2, and E-R2 debt, respectively, after considering the margin of failure and the relatively stable overcollateralization (O/C) ratio since our last rating action on the transaction. "We were aware that the replacement class D-1R2, D-2R2, and E-R2 debt was not passing its cash flows at the current rating level even before the proposed refinancing. This was due largely to the par losses as reflected in the decline in the O/C levels. In addition, there has been an overall deterioration in assets with a drop in the portfolio's weighted average recovery and spread. The benefits of a lower cost of funding do not seem to fully offset the above, and, as a result, the class D-1R2, D-2R2, and E-R2 debt do not pass their cash flows at the current level even after considering the refinancing. However, the refinancing decreases the margin of failure, which we view as an improvement. In addition, we considered the tranches' credit enhancement and the portfolio's exposure to 'CCC' and 'CCC-' rated obligors and decided to assign the replacement class ratings. Any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future." Replacement And Previous Debt Issuances Replacement debt -- Class A-1R2, $310.00 million: Three-month CME term SOFR + 1.20% -- Class A-2R2, $7.50 million: Three-month CME term SOFR + 1.40% -- Class B-R2, $62.50 million: Three-month CME term SOFR + 1.55% -- Class C-R2 (deferrable), $30.00 million: Three-month CME term SOFR + 1.75% -- Class D-1R2 (deferrable), $30.00 million: Three-month CME term SOFR + 3.25% -- Class D-2R2 (deferrable), $3.75 million: Three-month CME term SOFR + 4.55% -- Class E-R2 (deferrable), $15.25 million: Three-month CME term SOFR + 5.75% Previous debt -- Class X, $0.25 million: 1.00% -- Class A-1R, $310.00 million: Three-month CME term SOFR + 1.52% -- Class A-2R, $7.50 million: Three-month CME term SOFR + 1.70% -- Class B-R, $62.50 million: Three-month CME term SOFR + 2.00% -- Class C-R (deferrable), $30.00 million: Three-month CME term SOFR + 2.40% -- Class D-1R (deferrable), $30.00 million: Three-month CME term SOFR + 3.45% -- Class D-2R (deferrable), $3.75 million: Three-month CME term SOFR + 4.60% -- Class E-R (deferrable), $15.25 million: Three-month CME term SOFR + 6.40% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. 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 Elmwood CLO 29 Ltd./Elmwood CLO 29 LLC Class A-1R2, $310.00 million: AAA (sf) Class A-2R2, $7.50 million: AAA (sf) Class B-R2, $62.50 million: AA (sf) Class C-R2, $30.00 million: A (sf) Class D-1R2, $30.00 million: BBB- (sf) Class D-2R2, $3.75 million: BBB- (sf) Class E-R2, $15.25 million: B+ (sf) Ratings Withdrawn Elmwood CLO 29 Ltd./Elmwood CLO 29 LLC Class X to NR from 'AAA (sf)' Class A-1R to NR from 'AAA (sf)' Class A-2R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-1R to NR from 'BBB- (sf)' Class D-2R to NR from 'BBB- (sf)' Class E-R to NR from 'B+ (sf)' Other Debt Elmwood CLO 29 Ltd./Elmwood CLO 29 LLC Subordinated notes, $42.00 million: NR NR--Not rated. FLAGSHIP CREDIT 2021-2: S&P Lowers Class E Notes Rating to 'B(sf)' ------------------------------------------------------------------ S&P Global Ratings raised its ratings on three classes of notes, lowered two, and affirmed eight from Flagship Credit Auto Trust (FCAT) 2020-3, 2020-4, 2021-1, 2021-2, 2021-4, 2022-1, and 2022-2 ABS transactions, which are backed by subprime retail auto loan receivables originated by Flagship Credit Acceptance LLC and CarFinance Capital LLC. The transactions are serviced by Flagship Financial Group LLC. The rating actions reflect: -- Each transaction's collateral performance to date and S&P's expectations regarding future collateral performance, including an increase in each series' cumulative net loss (CNL) expectations; -- The transactions' structures, and their credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent U.S. macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. Considering these factors, S&P believes the notes' creditworthiness is consistent with the raised, lowered, and affirmed ratings. Since S&P's previous reviews on Sept. 26, 2025 (FCAT 2020-3, 2020-4, 2021-1, and 2021-2) and June 3, 2025 (FCAT 2021-4, 2022-1, and 2022-2), each transaction's collateral performance continues to trend worse than its previously revised CNL expectations. However, delinquencies have recently started to trend lower. As of the May 2026 collection month (June 2026 distribution): -- FCAT 2020-3, 2020-4, 2021-1, and 2021-2 are at their respective reserve amounts. However, all are below their respective overcollateralization targets. -- FCAT 2021-4, 2022-1, and 2022-2 are under-collateralized by 3.73%, 0.76%, and 28.96%, respectively, of the current pool balance (the overcollateralization amounts were fully depleted as of the May 2025, April 2025, and May 2024 collection months, respectively, and reserve accounts were fully depleted as of the March 2026, May 2026, and September 2024 collection months, respectively). Table 1 FCAT collateral performance (%)(i) Pool 60+ day Series Mo. Factor delinq. Ext. CGL CRR CNL 2020-3 70 2.39 14.53 2.29 16.03 45.74 8.70 2020-4 67 3.37 12.47 1.65 15.54 44.81 8.58 2021-1 64 4.45 10.11 2.72 15.40 43.84 8.65 2021-2 61 6.30 11.67 2.73 18.56 41.24 10.90 2021-4 55 10.04 10.54 2.29 25.29 34.62 16.53 2022-1 52 12.39 9.89 2.60 27.85 36.75 17.62 2022-2 49 15.37 9.99 3.59 34.63 36.08 22.14 (i)As of the June 2026 distribution date. FCAT--Flagship Credit Auto Trust. Mo.--Month. Delinq.--Delinquencies. Ext.--Extensions. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2 FCAT overcollateralization summary (%)(i) Series Current Target Current ($) Target ($) (%)(ii) (%)(iii) 2020-3 25.34 9.80 1,360,254 2,250,000 2020-4 20.89 10.25 2,216,233 3,148,007 2021-1 13.57 10.25 1,661,814 2,753,247 2021-2 5.23 6.85 1,218,848 3,695,499 2021-4 (3.73) 4.00 (1,161,639) 3,106,106 2022-1 (0.76) 4.40 (331,102) 3,515,961 2022-2 (32.52) 7.25 (30,489,616) 7,189,307 (i)As of the June 2026 distribution date. (ii)Percentage of the current collateral pool balance. (iii)For each series, the overcollateralization target on any distribution date is equal to the greater of the target percentage of the current pool balance and 1% of the initial pool balance. Table 3 FCAT reserve amount summary (%)(i) Series Current Target Current ($) Target ($) (%)(ii) (%)(iii) 2020-3 62.88 1.50 3,375,000 3,375,001 2020-4 29.67 1.00 3,148,007 3,148,007 2021-1 22.48 1.00 2,753,247 2,753,247 2021-2 15.86 1.00 3,695,499 3,695,499 2021-4 0.00 1.00 0.00 3,106,106 2022-1 0.00 1.85 0.00 6,504,528 2022-2 0.00 1.00 0.00 6,100,705 (i)As of the June 2026 distribution date. (ii)Percentage of the current collateral pool balance. (iii)For each series, the reserve target on any distribution date is equal the target percentage of the initial pool balance. In view of each series' performance to date, S&P increased its expected CNLs for each series from their initial or previously revised levels. Table 4 CNL expectations (%) Lifetime CNL exp. Series Original Previous Current revised(i) 2020-3 14.00-14.50 9.00(ii) 9.25 2020-4 13.25-13.75 9.15(ii) 9.25 2021-1 13.00-13.50 9.15(ii) 9.50 2021-2 11.50-12.00 11.30(ii) 12.25 2021-4 11.25 17.50(iii) 18.50 2022-1 11.50 19.50(iii) 20.25 2022-2 11.75 25.00(iii) 26.00 (i)As of the June 2026 distribution date. (ii)Revised September 2025. (iii)Revised June 2025. CNL exp.‑‑Cumulative net loss expectations. Each transaction has a sequential principal payment structure in which the notes are paid principal by seniority (which will increase the credit enhancement for the senior notes as the pool amortizes). Credit enhancement for each transaction, where available, includes a nonamortizing reserve account, overcollateralization, subordination for the more senior tranches, and excess spread. Generally, the transactions' sequential principal payment structures have led to an increase in components of hard credit enhancement--as a percentage of the current collateral balance--since issuance, with the exception for the most subordinated classes for those series where either or both the reserve amount and overcollateralization amount are depleted. Table 5 Hard credit support(i) Total hard credit Current total hard Series Class support at issuance (%) credit support (%) 2020-3 E 6.50 88.23 2020-4 E 4.75 50.55 2021-1 E 4.75 36.05 2021-2 D 6.85 84.54 2021-2 E 2.85 21.10 2021-4 D 5.50 38.44(iii) 2021-4 E 1.50 0.00 2022-1 C 14.25 95.33(iii) 2022-1 D 6.65 34.45(iii) 2022-1 E 2.35 0.00 2022-2 C 17.30 71.94(iii) 2022-2 D 9.20 32.17(iii) 2022-2 E 2.65 0.00 (i)As of the collection period ended May 31, 2026. (ii)Calculated as a percentage of the total receivable pool balance and, if applicable, consisting of a reserve account, overcollateralization, and subordination. Excludes excess spread that can also provide additional enhancement. (iii)Calculated as a percentage of the total bonds outstanding due to the current under‑collateralization of the transaction. S&P said, "We incorporated an analysis of current hard credit enhancement compared to the remaining expected CNLs for those classes where hard credit enhancement alone, without giving credit to the excess spread, was sufficient in our view to support the rating actions. For some series, we incorporated a cash flow analysis to assess the loss coverage levels for the notes, giving credit to stressed excess spread. Our cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate, given each transaction's performance to date and our current economic outlook. "Additionally, we conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress level scenario would have on our ratings if losses trended higher than our revised base-case loss expectations. "In our view, the total credit support as a percentage of the amortizing pool balance, compared with our minimum expected remaining losses, based on the cash flow results demonstrated that all of the classes have adequate credit enhancement at the raised, lowered, and affirmed rating levels, which is based on our analysis as of the collection period ended April 2026 (the May 2026 distribution date). "We will continue to monitor each transaction's performance to ensure that the credit enhancement remains sufficient to cover our CNL expectations under our stress scenarios for each rated class." Ratings Raised Flagship Credit Auto Trust Series 2020-3, class E to 'AAA (sf)' from 'A+ (sf)' Series 2020-4, class E to 'A+ (sf)' from 'BBB (sf)' Series 2022-1, class C to 'AAA (sf)' from 'AA (sf)' Ratings Lowered Flagship Credit Auto Trust Series 2021-2, class E to 'B (sf)' from 'BB (sf) Series 2022-2, class D to 'CCC (sf)' from 'B- (sf) Ratings Affirmed Flagship Credit Auto Trust Series 2021-1, class E: BBB (sf)' Series 2021-2, class D: AAA (sf)' Series 2021-4, class D: BB (sf)' Series 2021-4 class E: CC (sf)' Series 2022-1, class D: BB- (sf)' Series 2022-1, class E: CC (sf)' Series 2022-2, class C: A+ (sf)' Series 2022-2, class E: CC (sf)' GCM CLO 2026-10: Fitch Assigns 'BB+sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to GCM CLO 2026-1, Ltd. Entity/Debt Rating ----------- ------ GCM CLO 2026-1, Ltd. A-1 LT NRsf New Rating A-1 Loans LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT A+sf New Rating D LT BBB+sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary GCM CLO 2026-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Guggenheim Investments Loan Advisors, 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+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99% first-lien senior secured loans and has a weighted average recovery assumption of 73.12%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'A-sf' for class C, and between less than 'B-sf' and 'BBB-sf' for class D and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, and 'A+sf' for class D and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for GCM CLO 2026-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. HILDENE TRUPS 2018-1: Moody's Assigns (P)Ba2 Rating to D-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to six classes of refinancing notes (the Refinancing Notes) to be issued by Hildene TruPS Securitization 2018-1, Ltd. (the Issuer): US$205,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Assigned (P)Aaa (sf) US$37,750,000 Class A-2N-R Senior Secured Floating Rate Notes due 2038, Assigned (P)Aa1 (sf) US$30,000,000 Class A-2F-2R Senior Secured Fixed Rate Notes due 2038, Assigned (P)Aa1 (sf) US$27,250,000 Class B-R Mezzanine Secured Deferrable Floating Rate Notes due 2038, Assigned (P)A2 (sf) US$20,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2038, Assigned (P)Baa3 (sf) US$5,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2038, Assigned (P)Ba2 (sf) The notes listed are referred to herein, collectively, as the Refinancing 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. The Issuer is a static cash flow TruPS CDO. The issued notes will be collateralized primarily by a portfolio of trust preferred securities ("TruPS") issued by US community banks and insurance companies and their holding companies. The portfolio is expected to be 100% ramped as of the closing date. Hildene Structured Advisors, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, deferring securities or credit risk securities. The transaction prohibits any asset purchases or substitutions at any time. In addition to the issuance of the Refinancing Notes, one class of subordinated notes will remain outstanding. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. The portfolio of this CDO consists of TruPS issued by 61 US community banks and 2 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 its insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $349,759,000 Weighted Average Rating Factor (WARF): 435 Weighted Average Spread (WAS): 2.87% Weighted Average Coupon (WAC): 6.56% Weighted Average Recovery Rate (WARR): 10.00% Weighted Average Life (WAL): 7.3 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 a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing 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™ 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. HOMES 2026-NQM4: S&P Assigns B (sf) Rating on Class B-2 Certs ------------------------------------------------------------- S&P Global Ratings assigned its ratings to HOMES 2026-NQM4 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans (some with interest-only periods) with a weighted average seasoning of five months. The loans are secured by single-family residences, planned-unit developments, townhouses, condominiums, two- to four-unit multifamily homes and a manufactured housing property to prime and nonprime borrowers. The pool consists of 955 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), non-QM/ability-to-repay (ATR)-compliant loans and ATR exempt loans. S&P said, "After we assigned our preliminary ratings on June 5, 2026, the issuer decided not to issue the class A-1A and A-1B certificates on the closing date. As a result, the class A-1FCF and A-1LCF note amounts increased to $251,509,500 and $83,836,500, respectively, from $125,757,000 and $41,919,000. At the same time, the corresponding class A-1 note amount increased to $335,346,000 from $167,676,000. 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: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) HOMES 2026-NQM4 Trust Class A-1FCF, $ 251,509,500: AAA (sf) Class A-1LCF, $ 83,836,500: AAA (sf) Class A-1, $ 335,346,000: AAA (sf) Class A-2, $29,393,000: AA (sf) Class A-3, $47,430,000: A (sf) Class M-1, $13,138,000: BBB (sf) Class B-1, $8,461,000: BB (sf) Class B-2, $6,681,000: B (sf) Class B-3, $4,898,884: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal; they do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate stated principal balance. NR--Not rated. N/A--Not applicable. HPS LOAN 5-2015: S&P Lowers Class E-RR Notes Rating to 'B- (sf)' ---------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-1-3R, B-2-RR, C-3R, and D-3R notes from HPS Loan Management 5-2015 Ltd. a broadly syndicated U.S. CLO managed by HPS Investment Partners LLC, and removed them from CreditWatch, where S&P placed them with positive implications on May 6, 2026. At the same time, S&P lowered its ratings on the class E-RR and F-RR debt from the same transaction and removed them from CreditWatch where S&P had placed them with negative implications on May 6, 2026. S&P said, "The rating actions follow our review of the transaction's performance using data from the May 2026 trustee report. Although the same portfolio backs all of the tranches, there can be circumstances such as this, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it experienced both principal paydowns (which increased the senior credit support) and faced principal losses and decline in credit quality (which decreased the junior credit support)." Following are the changes in the overcollateralization (O/C) ratios in the May 2026 trustee report compared to those in the November 2024 trustee report, which was the first report post the October 2024 refinancing: -- The class A/B O/C ratio improved to 301.09% from 138.25%. -- The class C O/C ratio improved to 168.00% from 122.36%. -- The class D O/C ratio improved to 123.51% from 111.88%. -- The class E O/C ratio declined to 103.56% from 105.32%. While the senior and mezzanine O/C ratios experienced positive movement due to the lower balances of the senior debt, the junior O/C ratio declined due to a combination of par losses and increased haircuts following an increase in the portfolio's exposure to 'CCC' or lower quality assets. Collateral obligations with ratings in the 'CCC' category are at $13.99 million as of May 2026 trustee report, compared with $22.99 million reported as of the November 2024. Though the dollar value of the 'CCC' exposure has declined, the CLO's portfolio has amortized significantly since our last rating action. Consequently, the percentage exposure of the 'CCC' balance increased and is now more than the maximum allowed by the documents. As a result, the trustee, as per the terms of the CLO documents, haircuts the O/C numerator for this excess. The upgrades reflect the improved credit support available to the debt at the prior rating levels. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class D-3R debt. S&P said, "However, we believe that its subordinated position may result in a greater likelihood of rating migration than that of the more senior classes in the event of portfolio volatility. Additionally, we also considered the transaction's higher exposure to 'CCC' collateral obligations, as well as to some assets with low market values, which limited the upgrade on the class D-3R debt to offset future potential credit migration in the underlying collateral." The downgrades reflect deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class E-RR and F-RR debt, which, in turn, affected their cash flows that were no longer passing at their respective previous rating level. S&P said, "Although the cash flow results indicated a lower rating for the class F-RR debt, we limited its downgrade to 'CCC- (sf)' as we believe that this tranche does not support the conclusion of a "virtual certainty of default" yet and aligns more with our 'CCC' ratings definitions. Similarly, though the rating on the class E-RR debt is affected by the application of the largest obligor default test--a supplemental stress test included as part of our corporate collateralized debt obligation criteria--we do not believe that the tranche aligns with our 'CCC'/'CC' definition yet, based on its existing credit enhancement and the transaction's exposure to 'CCC'/'CCC-' rated collateral. As a result, the downgrade was limited to 'B- (sf)'." S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch HPS Loan Management 5-2015 Ltd. Class B-1-3R to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class B-2-RR to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class C-3R (deferrable) to 'AAA (sf)' from 'A (sf)/Watch Pos' Class D-3R (deferrable) to 'BBB+ (sf)' from 'BBB- (sf)/Watch Pos' Ratings Lowered And Removed From CreditWatch HPS Loan Management 5-2015 Ltd. Class E-RR (deferrable) to 'B- (sf)' from 'B+ (sf)/Watch Neg' Class F-RR (deferrable) to 'CCC- (sf)' from 'B- (sf)/Watch Neg' ICG US 2024-1: S&P Assigns BB- (sf) Rating to Class E-R Debt ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1R, A-2R, B-R, C-R, D-R, and E-R debt from ICG US CLO 2024-1 Ltd./ICG US CLO 2024-1 LLC, a CLO managed by ICG Debt Advisors LLC, an affiliate of ICG plc, that was originally issued in May 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B, C, D-1, and 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 supplemental indenture: -- The replacement class A-1R, A-2R, B-R, C-R, D-R, and E-R debt was issued at a lower spread over three-month SOFR than the existing debt. -- The stated maturity, reinvestment period, and non-call period were extended by approximately two years. -- The non-call period was extended to July 15, 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 March 31, 2039. -- No additional assets were purchased on the June 12, 2026, refinancing date, and the target initial par amount remained at $400 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 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 ICG US CLO 2024-1 Ltd./ICG US CLO 2024-1 LLC Class A-1R, $240 million: AAA (sf) Class A-2R, $16 million: AAA (sf) Class B-R, $48 million: AA (sf) Class C-R (deferrable), $24 million: A (sf) Class D-R (deferrable), $24 million: BBB- (sf) Class E-R (deferrable), $16 million: BB- (sf) Ratings Withdrawn ICG US CLO 2024-1 Ltd./ICG US CLO 2024-1 LLC Class A-1 to not rated from 'AAA (sf)' Class A-2 to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Class D-1 to not rated from 'BBB (sf)' Class D-2 to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' Other Debt ICG US CLO 2024-1 Ltd./ICG US CLO 2024-1 LLC Subordinated notes, $39 million: not rated INCREF 2026-FL3: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to INCREF 2026-FL3 LLC as follows: - $720,000,000a class A 'AAA(EXP)sf'; Outlook Stable; - $115,500,000a class A-S 'AAA(EXP)sf'; Outlook Stable; - $90,000,000a class B 'AA-(EXP)sf'; Outlook Stable; - $69,000,000a class C 'A-(EXP)sf'; Outlook Stable; - $40,500,000a class D 'BBB(EXP)sf'; Outlook Stable; - $21,000,000a class E 'BBB-(EXP)sf'; Outlook Stable; - $39,000,000b class F 'BB-(EXP)sf'; Outlook Stable; - $25,500,000b class G 'B-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $79,500,000b,c Income Notes. (a) Privately placed and pursuant to Rule 144A or Regulation S. (b) Retained notes. (c) Horizontal risk retention interest, estimated to be 6.6% of the principal amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,051,050,629 and does not include future funding. The pool also includes ramp-up collateral interest of $148.9 million. The expected ratings are based on information provided by the issuer as of June 10, 2026. Transaction Summary The notes are collateralized by 23 collateral interests secured by 62 commercial properties with an aggregate principal balance of$1,051,050,629 as of the cutoff date and $148.9 million held in cash to be used during the ramp period. The pool does not include $112.5 million of expected future funding. The loans were contributed to the trust by INVCMI 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 all 23 loans totaling 100.0% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $47.9 million represents a 5.3% decline from the issuer's aggregate underwritten NCF of $50.6 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 138.3% is slightly lower than 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 6.28% is lower than both the 2026 YTD and 2025 CRE CLO averages of 6.50% and 6.47%, respectively. Pool Concentration: The pool concentration is in line with recently rated Fitch transactions. The top 10 loans make up 59.3%, which is slightly below 2026 YTD and 2025 CRE CLO averages of 60.1% and 61.7%, respectively. The pool's effective loan count of 20.2 is in line with the 2026 YTD and 2025 CRE CLO averages of 21.1 and 20.4, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. No Amortization: The pool is 100% comprised of IO loans, which is higher than the 2026 YTD and 2025 CRE CLO averages of 73.6% and 73.6%, respectively, based on the fully extended loan terms. As a result, the pool is expected to have zero principal paydown at the end of the fully extended loan term. The pool's percentage paydown of 0.0% is worse than the 2026 YTD and 2025 CRE CLO averages of 0.5% and 0.5%, 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'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'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 in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. 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 stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. JPMBB COMMERCIAL 2015-C32: Moody's Cuts Rating on 2 Tranches to C ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings on five classes in JPMBB Commercial Mortgage Securities Trust 2015-C32, Commercial Mortgage Pass-Through Certificates, Series 2015-C32 as follows: Cl. A-5, Downgraded to Baa1 (sf); previously on Dec 12, 2025 Downgraded to Aa3 (sf) Cl. A-S, Downgraded to B3 (sf); previously on Dec 12, 2025 Downgraded to Ba2 (sf) Cl. B, Downgraded to C (sf); previously on Dec 12, 2025 Downgraded to Caa1 (sf) Cl. X-A*, Downgraded to Ba2 (sf); previously on Dec 12, 2025 Downgraded to Baa2 (sf) Cl. X-B*, Downgraded to C (sf); previously on Dec 12, 2025 Downgraded to Caa1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the three principal and interest (P&I) classes were downgraded due to higher expected losses and increased interest shortfalls driven by the pool's significant exposure to severely delinquent specially serviced loans. All the remaining eleven loans are currently in special servicing, and six of these loans (71.7% of the pool) are more than one-year delinquent and have already been deemed non-recoverable by the master servicer. Due to the non-recoverable determinations and appraisal reductions, interest shortfalls have continued to increase and all classes up to Cl. A-S have not received any interest since the June 2025 remittance date. While Cl. A-5 has not had any interest shortfalls, the class would have a higher risk of interest shortfalls if any additional loans became non-recoverable. The three largest non-recoverable specially serviced assets are all secured by mixed property types located in the Chicago CBD: the Civic Opera Building loan (17.9% of the pool), the Hilton Suites Chicago Magnificent Mile loan (17.5% of the pool), and the Palmer House Retail Shops loan (15.6% of the pool). Each of these loans has been delinquent on debt service payments since 2021 and has undergone substantial value deterioration. The significant delinquencies, exposure to non-recoverable loans and accumulated advances and non-recoverable interest across the remaining loans increases the likelihood of higher potential losses and increased interest shortfalls. As of the May 2026 remittance, cumulative servicer advances—encompassing principal and interest, taxes and insurance, other protective expenses, and unaccrued advance interest—total $4.9 million, reflecting ongoing operational and financial stress. Due to the significant exposure to the severely delinquent non-recoverable loans, there is also an aggregate amount of $24.2 million of cumulative non-recoverable interest across the six non-recoverable loans, which could reduce the ultimate principal recovery from these loans. In Moody's rating analysis Moody's also analyzed loss and recovery scenarios to reflect the recovery value, the current cash flow of the properties and timing to ultimate resolution on the remaining loans in the pool. The rating on the interest-only (IO) class, Cl. X-A, was downgraded due to the decline in credit quality of the referenced classes and from paydowns of higher rated reference classes. Class X-A originally referenced all classes senior to and including Cl. A-S, however, Classes A-SB, A-4, A-3, A-2 and A-1 have previously paid off in full and the only outstanding references classes are now Cl. A-5 and A-S. The rating on the interest-only (IO) class, Cl. X-B, was downgraded due to the decline in credit quality of its referenced class. Moody's rating action reflects a base expected loss of 61.5% of the current pooled balance, compared to 53.3% at Moody's last review. Moody's base expected loss plus realized losses is now 25.7% of the original pooled balance, compared to 23.6% 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 May 2026. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since all of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced 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 2026 distribution date, the transaction's aggregate certificate balance has decreased by 68% to $369 million from $1.1 billion at securitization. The certificates are collateralized by 11 mortgage loans and there are cumulative outstanding advances (P&I, T&I, other expenses and unpaid advance interest) of $4.9 million. Four loans have been liquidated from the pool, contributing to an aggregate realized loss of $14.0 million (for an average loss severity of 35.7%). All eleven loans are currently in special servicing, of which six loans (71.7% of the pool) have been deemed non-recoverable by the master servicer. The largest specially serviced loan is the Civic Opera Building Loan ($66.2 million – 17.9% of the pool), which represents a pari-passu portion of a $144.8 million whole loan. The loan is secured by a 915,162 square foot (SF), 44-story office property located in the West Loop of Chicago. The property was constructed in 1929 and most recently renovated in 2015. The loan transferred to special servicing in July 2020 due to imminent monetary default in relation to business disruptions from the coronavirus pandemic. The property's occupancy has significantly declined 48% as of December 2025, compared to 80% in 2019 and 92% at securitization. A January 2026 appraisal reflected a 58% decline in value compared to the value at securitization and 36% below the current loan balance. An appraisal reduction of $30.0 million has been recognized on this loan as of the May 2026 remittance statement and the loan has been deemed non-recoverable. Servicer commentary indicates that the lender is continuing with the foreclosure process and the receiver continues its strategy of renewing existing tenants while seeking new leasing prospects. As of the May 2026 remittance, the loan was last paid through May 2021 and has amortized 11.8% since securitization. The second largest specially serviced loan is the Hilton Suites Chicago Magnificent Mile Loan ($64.4 million – 16.6% of the pool), which is secured by a 345 key full-service hotel located on Chicago's Magnificent Mile. The hotel was built in 1989 and renovated in 2014. Property performance started weakening in 2019 due to new hotel supply in the submarket since securitization. The loan transferred to special servicing in May 2020 due to imminent monetary default in relation to business disruptions from the coronavirus pandemic. The lender began the foreclosure process in July 2022, and the loan became REO in April 2023. As of the May 2026 remittance, a $39.0 million appraisal reduction has been recognized and the loan has been deemed non-recoverable. Based on the servicer commentary, the listing agreement was executed. The loan was last paid through December 2021 and has amortized 16.6% since securitization. The third largest specially serviced loan is the Palmer House Retail Shops Loan ($57.7 million – 15.6% of the pool), which is secured by the 134,564 SF ground floor interest underneath the non-collateral Palmer House hotel located in Chicago's central loop. The collateral composition is approximately 49% parking (166 spaces), 40% retail, and 11% office based on net rentable area. Property performance was significantly impacted during the pandemic, as access to the retail component is through the non-collateral Palmer House Hilton Hotel, which was closed from April 2020 through June 2021. In addition, the parking operator, representing 49% of the collateral NRA, exercised its one-time termination option and vacated the property in July 2020. The loan transferred to special servicing in July 2020 due to delinquent payments and became REO in June 2024. An April 2026 appraisal indicated a 94% decline in value from securitization. Servicer commentary indicates that they are soliciting broker proposals to market the collateral independently for sale in the near term. As of May 2026 remittance, the master servicer has recorded a 100% appraisal reduction based on the current loan balance and deemed the loan non-recoverable. The loan was last paid through January 2021 and has amortized 7% since securitization. The fourth largest specially serviced loan is the Gateway Business Park Loan ($46.3 million – 12.5% of the pool), which is secured by a 514,037 SF, office park located in Mount Laurel, NJ, east of the Philadelphia Central Business District (CBD). The collateral consists of eight low-rise suburban office buildings with a granular tenant roster. Property performance began to weaken in 2022, driven by declining occupancy, with occupancy falling to 47% as of December 2025 from 82% at securitization. The loan transferred to special servicing in April 2025 following a payment default and subsequently failed to repay at its scheduled September 2025 maturity date. Foreclosure proceedings were filed in September 2025. Per the servicer commentary, they are continuing discussions with the borrower over possible alternative to foreclosing. A May 2025 appraisal valued the property 52% below the value at securitization. As of the May 2026 remittance, the master servicer has recognized a 31% appraisal reduction based on the current loan balance and deemed the loan non-recoverable. The loan was last paid through May 2025 and has amortized 17% since securitization. The fifth largest specially serviced loan is the One Shell Square Loan ($29.0 million – 7.9% of the pool), which represents a pari passu portion of a $101.4 million A-note. The loan is also structured with $20 million of mezzanine debt. The loan is secured by a 1.2 million SF, LEED Gold certified office tower located in New Orleans, LA CBD. The 51-story building was constructed in 1972 and is the tallest building in Louisiana. The largest tenant, Shell Oil Company, reduced its presence at the property and its existing lease extends through the end of 2026. However, management has indicated that Shell is in negotiations to extend the lease by at least one year due to development delays and challenges associated with their new river district facility. The building was rebranded as Hancock Whitney Center following the relocation of Hancock Whitney, the second-largest tenant representing 17% of NRA, which established its regional headquarters at the property in 2018. The loan transferred to special servicing in July 2025 after failing to repay at its scheduled July 2025 maturity date. An August 2025 appraisal reflected a 50% decline in value from securitization. Servicer commentary indicates that lender has engaged counsel and will dual track foreclosure with workout discussions. As of the May 2026 remittance, the loan was last paid through May 2026 and has amortized 20% since securitization. The remaining six specially serviced loans are secured by a mix of property types and each make up less than 7.1% of the pool and have now passed their original maturity dates. Moody's estimates an aggregate $227.0 million loss for the specially serviced loans (62% expected loss on average). As of the May 2026 remittance statement cumulative interest shortfalls were $40.0 million and impact up to Class A-S. 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), non-recoverable determinations, loan modifications and extraordinary trust expenses. JPMF1 MULTIFAMILY 2026-FX1: Fitch Rates Class H-RR Certs 'B-sf' --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to JPMF1 Multifamily Mortgage Trust 2026-FX1 commercial mortgage pass-through certificates, series 2026-FX1 as follows: - $75,000,000ab class A-2 'AAAsf'; Outlook Stable; - $0b class A-2-1 'AAAsf'; Outlook Stable; - $0b class A-2-2 'AAAsf'; Outlook Stable; - $0bc class A-2-X1 'AAAsf'; Outlook Stable; - $0bc class A-2-X2 'AAAsf'; Outlook Stable; - $438,950,000ab class A-3 'AAAsf'; Outlook Stable; - $0b class A-3-1 'AAAsf'; Outlook Stable; - $0b class A-3-2 'AAAsf'; Outlook Stable; - $0bc class A-3-X1 'AAAsf'; Outlook Stable; - $0bc class A-3-X2 'AAAsf'; Outlook Stable; - $60,573,000b class A-S 'AAAsf'; Outlook Stable; - $0b class A-S-1 'AAAsf'; Outlook Stable; - $0b class A-S-2 'AAAsf'; Outlook Stable; - $0bc class A-S-X1 'AAAsf'; Outlook Stable; - $0bc class A-S-1 'AAAsf'; Outlook Stable; - $42,217,000b class B 'AA-sf'; Outlook Stable; - $0b class B-1 'AA-sf'; Outlook Stable; - $0b class B-2 'AA-sf'; Outlook Stable; - $0bc class B-X1 'AA-sf'; Outlook Stable; - $0bc class B-X2 'AA-sf'; Outlook Stable; - $32,122,000b class C 'A-sf'; Outlook Stable; - $0b class C-1 'A-sf'; Outlook Stable; - $0b class C-2 'A-sf'; Outlook Stable; - $0bc class C-X1 'A-sf'; Outlook Stable; - $0bc class C-X2 'A-sf'; Outlook Stable; - $11,931,000d class D 'BBBsf'; Outlook Stable; - $14,684,000d class E 'BBB-sf'; Outlook Stable; - $8,260,000d class F 'BBsf'; Outlook Stable; - $9,178,000de class G-RR 'BB-sf'; Outlook Stable; - $11,931,000de class H-RR 'B-sf'; Outlook Stable - $513,950,000c class X-A 'AAAsf'; Outlook Stable; - $26,615,000cd class X-D 'BBB-sf'; Outlook Stable; - $8,260,000cd class X-F 'BBsf'; Outlook Stable. Fitch does not rate the following classes: - $29,369,000de class J-RR 'NRsf'; - $734,215,000cd class X-S 'NRsf'. (a) Since Fitch published its expected ratings on May 22, 2026, the balances for classes A-2 and A-3 were finalized. The initial certificate balance of class A-2 was expected to range from $0 to $250,000,000, and the initial balance of class A-3 was expected to range from $263,950,000 to $513,950,000. The final class balances of classes A-2 and A-3 are $75,000,000 and $438,950,000, respectively. Fitch has withdrawn the expected rating of 'A-(EXP)sf' from class X-B because the class was removed from the final deal structure by the issuer. (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. 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 Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is MF1 Loan Services LLC. The trustee and certificate administrator is Computershare Trust Company, National Association. The operating advisor and asset representation reviewer is Pentalpha Surveillance LLC. The certificates will follow sequential paydown structure. The transaction closing date is June 10, 2026. Fitch has withdrawn the expected rating of 'A-(EXP)sf' from class X-B because the class was removed from the final deal structure by the issuer. 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 Criteria Variation: Fitch's analysis included one variation from the published "U.S. and Canadian Multiborrower CMBS Rating Criteria." This variation is as follows: 1. 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) 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. KENNEDY LEWIS 7: 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, and D-1-R2 debt from Kennedy Lewis CLO 7 Ltd./Kennedy Lewis CLO 7 LLC, a CLO managed by Kennedy Lewis Loan Management LLC that was originally issued in January 2020 and underwent a refinancing in March 2024. At the same time, S&P withdrew its ratings on the previous class A-1-R, A-2-R, B-R, C-R, and D-1-R debt following payment in full on the June 17, 2026, refinancing date. S&P also affirmed its ratings on the existing class D-2-R and E-R debt, which were not refinanced. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E-R debt. However, we affirmed our 'BB- (sf)' rating on the class E-R debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction. In addition, we believe the payment of principal or interest on the class E-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-1-R2, $244.00 million: Three-month CME term SOFR + 1.20% -- Class A-2-R2, $16.00 million: Three-month CME term SOFR + 1.45% -- Class B-R2, $44.00 million: Three-month CME term SOFR + 1.55% -- Class C-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 2.00% -- Class D-1-R2 (deferrable), $18.15 million: Three-month CME term SOFR + 3.85% Previous debt -- Class A-1-R, $244.00 million: Three-month CME term SOFR + 1.62% -- Class A-2-R, $16.00 million: Three-month CME term SOFR + 2.00% -- Class B-R, $44.00 million: Three-month CME term SOFR + 2.20% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.65% -- Class D-1-R (deferrable), $18.15 million: Three-month CME term SOFR + 4.00% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Kennedy Lewis CLO 7 Ltd./Kennedy Lewis CLO 7 LLC Class A-1-R2, $244.00 million: AAA (sf) Class A-2-R2, $16.00 million: AAA (sf) Class B-R2, $44.00 million: AA (sf) Class C-R2 (deferrable), $24.00 million: A (sf) Class D-1-R2 (deferrable), $18.15 million: BBB- (sf) Ratings Withdrawn Kennedy Lewis CLO 7 Ltd./Kennedy Lewis CLO 7 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 (deferrable) to NR from 'A (sf)' Class D-1-R (deferrable) to NR from 'BBB- (sf)' Ratings Affirmed Kennedy Lewis CLO 7 Ltd./Kennedy Lewis CLO 7 LLC Class D-2-R (deferrable): BBB- (sf) Class E-R (deferrable): BB- (sf) Other Debt Kennedy Lewis CLO 7 Ltd./Kennedy Lewis CLO 7 LLC Subordinated notes: NR NR--Not rated. MFA 2026-NQM2: Fitch Assigns 'B-sf' Final Rating on Class B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by MFA 2026-NQM2 Trust (MFA 2026-NQM2). Entity/Debt Rating Prior ----------- ------ ----- MFA 2026-NQM2 A-1FCF LT AAAsf New Rating AAA(EXP)sf A-1LCF LT AAAsf New Rating AAA(EXP)sf A-1A LT WDsf Withdrawn AAA(EXP)sf A-1B LT WDsf Withdrawn AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-1F LT AAAsf New Rating AAA(EXP)sf A-1IO LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The 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. There were no changes to the collateral since publication of the presale. The structure was updated post-pricing. The credit enhancement for the M-1 class increased 75bps. Additionally, the coupons for all classes decreased approximately between 4bps-25bps. As a result, the weighted average excess spread increased to 83bps, a 3bps increase from the previous level of 80bps and Fitch upgraded its expected rating for M-1 class from 'BBB- (EXP)sf' to 'BBBsf'. Ratings for the other classes remained the same. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the previous classes A-1A and A-1B, as these were not funded at close and are no longer being offered. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. 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 confirms all relevant transaction parties 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 have been 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 AMC, Canopy, Clayton, Consolidated Analytics, Evolve, Maxwell, Clarifii, Selene, Infinity, Digital Risk and IngletBlair. 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. NEUBERGER BERMAN 64: Fitch Rates Class E Notes 'BB-(EXP)sf' ----------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 64, Ltd. Entity/Debt Rating ----------- ------ Neuberger Berman Loan Advisers CLO 64, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Neuberger Berman Loan Advisers CLO 64, 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 $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.23, 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 98.78% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.88% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices is reduced by up to 12 months for the WAL covenants that are greater than 6 years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'BB-sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D-1, and between less than 'B-sf' and 'BBB-sf' for class D-2 and between less than 'B-sf' and 'BB+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, and 'Asf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers CLO 64, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. OBX 2026-AHC2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 65 classes of residential mortgage-backed securities (RMBS) to be issued by OBX 2026-AHC2 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages aggregated by Onslow Bay Financial LLC, and originated and serviced by AmeriHome Mortgage Company, LLC. The complete rating actions are as follows: Issuer: OBX 2026-AHC2 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-F, Assigned (P)Aaa (sf) Cl. A-F-X*, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-X*, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)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)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aaa (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aaa (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aa1 (sf) Cl. A-X-25*, Assigned (P)Aaa (sf) Cl. A-X-26*, Assigned (P)Aaa (sf) Cl. A-X-27*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-2A, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3(sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *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 0.47%, in a baseline scenario-median is 0.23% and reaches 6.23% 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. OCTAGON INVESTMENT 18-R: S&P Lowers Cl. D Notes Rating to 'D (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on seven classes of notes from Octagon Investment Partners 26 Ltd., Octagon Investment Partners 27 Ltd., Octagon Investment Partners XVII Ltd., Octagon Investment Partners XXII Ltd., and Octagon Investment Partners 18-R Ltd. to 'D (sf)', of which one rating was also removed from CreditWatch with negative implications. All of these transactions are U.S. broadly syndicated CLO transactions. The rating actions follow S&P's review of the respective transaction's reports and discussions with the manager. Each CLO's portfolio has been largely liquidated, and there is limited collateral remaining to pay interest and principal on these notes. Therefore, following S&P's review, it lowered the ratings on all seven classes to 'D (sf)', as the remaining assets in the respective portfolios are insufficient to pay the rated note balances in full. Ratings Lowered Octagon Investment Partners 26 Ltd. Class E-R to 'D (sf)' from 'B- (sf)' Octagon Investment Partners 27 Ltd. Class E-R to 'D (sf)' from 'B (sf)' Class F-R to 'D (sf)' from 'CCC- (sf)' Octagon Investment Partners XVII Ltd. Class F-R2 to 'D (sf)' from 'CCC- (sf)' Octagon Investment Partners XXII Ltd. Class F-RR to 'D (sf)' from 'CCC (sf)' Octagon Investment Partners 18-R Ltd. Class E to 'D (sf)' from 'CCC+ (sf)' Rating Lowered And Removed From Watch Negative Octagon Investment Partners 18-R Ltd. Class D to 'D (sf)' from 'B+ (sf)/Watch Neg' OFSI BSL XIII: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-R, A-1-R, A-J-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from OFSI BSL XIII CLO Ltd./OFSI BSL XIII CLO LLC, a CLO managed by OFS CLO III, a subsidiary of OFS Capital Management, that was originally issued in May 2024. At the same time, S&P withdrew its ratings on the previous class X, A-1, A-J, B, C, D-1, D-2, and E debt following payment in full on the June 12, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class X-R, A-1-R, A-J-R, B-R, C-R, D-1-R, and E-R debt was issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class D-2-R debt was issued at a floating spread, replacing the current fixed coupon. -- The stated maturity, reinvestment period, and non-call dates will be extended by 2.25 years. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 20, 2039. -- The reinvestment period was extended to July 20, 2031. -- The non-call period was extended to July 20, 2028. -- The target initial par amount remains at $300.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- Additional subordinated notes were issued on the refinancing date, increasing to $32.35 million from $25.00 million. 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 OFSI BSL XIII CLO Ltd./OFSI BSL XIII CLO LLC Class X-R, $4.15 million: AAA (sf) Class A-1-R, $180.00 million: AAA (sf) Class A-J-R, $12.00 million: AAA (sf) Class B-R, $36.00 million: AA (sf) Class C-R (deferrable), $18.00 million: A (sf) Class D-1-R (deferrable), $15.00 million: BBB (sf) Class D-2-R (deferrable), $3.00 million: BBB- (sf) Class E-R (deferrable), $9.75 million: BB- (sf) Ratings Withdrawn OFSI BSL XIII CLO Ltd./OFSI BSL XIII CLO LLC Class X to NR from 'AAA (sf)' Class A-1 to NR from 'AAA (sf)' Class A-J to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C 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 OFSI BSL XIII CLO Ltd./OFSI BSL XIII CLO LLC Subordinated notes, $32.35 million: NR NR--Not rated. ORION CLO 2024-3: S&P Assigns B- (sf) Rating on Class F Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R debt and new class F debt from Orion CLO 2024-3 Ltd./Orion CLO 2024-3 LLC, a CLO managed by Antares Liquid Credit Strategies LLC that was originally issued in June 2024. At the same time, S&P withdrew its ratings on the previous class A, B, C, D, and E debt following payment in full on the June 15, 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 debt was issued at a lower spread over three-month term SOFR than the existing debt. -- The replacement class A-1-R debt was issued at a floating spread, replacing the current floating spread. -- The new class F debt was issued on the refinancing date. -- The non-call period was extended to July 25, 2028. -- The reinvestment period was extended to July 25, 2031. -- The legal final maturity dates for the replacement debt were extended to July 25, 2039. -- The stated maturity of the class A-1-R notes will initially be the payment date in July 2038. However, if the class A-1 condition has been satisfied, the stated maturity of the class A-1-R notes will be the payment date in July 2039. -- No additional assets were purchased on the June 15, 2026, refinancing date, and the target initial par amount remains at $400 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is October 25, 2026. -- The required minimum overcollateralization and interest coverage ratios were amended. 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 Orion CLO 2024-3 Ltd./Orion CLO 2024-3 LLC Class A-1-R, $240.00 million: AAA (sf) Class F (deferrable), $0.25 million: B- (sf) Ratings Withdrawn Orion CLO 2024-3 Ltd./Orion CLO 2024-3 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Orion CLO 2024-3 Ltd./Orion CLO 2024-3 LLC Class A-2-R, $20.00 million: NR Class B-R, $44.00 million: NR Class C-R, $24.00 million: NR Class D-R, $24.00 million: NR Class E-R, $14.00 million: NR Class X, $4.00 million: NR Subordinated notes, $44.025 million: NR NR—Not rated. PALMER SQUARE 2026-2: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Palmer Square CLO 2026-2 Ltd./Palmer Square CLO 2026-2 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 Palmer Square Capital Management LLC. The preliminary ratings are based on information as of June 15, 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 Palmer Square CLO 2026-2 Ltd./Palmer Square CLO 2026-2 LLC Class A, $252.0 million: AAA (sf) Class B, $52.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D (deferrable), $24.0 million: BBB- (sf) Class E (deferrable), $13.6 million: BB- (sf) Subordinated notes, $37.0 million: NR NR--Not rated. PMT LOAN 2026-INV6: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 74 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2026-INV6, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages aggregated, originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-INV6 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aa1 (sf) Cl. A-29, Assigned (P)Aa1 (sf) Cl. A-30, Assigned (P)Aa1 (sf) Cl. A-31, Assigned (P)Aa1 (sf) Cl. A-32, Assigned (P)Aa1 (sf) Cl. A-33, Assigned (P)Aa1 (sf) Cl. A-35, Assigned (P)Aaa (sf) Cl. A-35X*, Assigned (P)Aaa (sf) Cl. A-36, Assigned (P)Aaa (sf) Cl. A-36X*, Assigned (P)Aaa (sf) Cl. A-37, Assigned (P)Aaa (sf) Cl. A-37X*, Assigned (P)Aaa (sf) Cl. A-38, Assigned (P)Aaa (sf) Cl. A-38X*, Assigned (P)Aaa (sf) Cl. A-39, Assigned (P)Aaa (sf) Cl. A-39X*, Assigned (P)Aaa (sf) Cl. A-40, Assigned (P)Aaa (sf) Cl. A-40X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aa1 (sf) Cl. A-X2*, Assigned (P)Aaa (sf) Cl. A-X3*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X7*, Assigned (P)Aaa (sf) Cl. A-X8*, Assigned (P)Aaa (sf) Cl. A-X9*, Assigned (P)Aaa (sf) Cl. A-X11*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X14*, Assigned (P)Aaa (sf) Cl. A-X15*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X19*, Assigned (P)Aaa (sf) Cl. A-X21*, Assigned (P)Aaa (sf) Cl. A-X22*, Assigned (P)Aaa (sf) Cl. A-X24*, Assigned (P)Aaa (sf) Cl. A-X25*, Assigned (P)Aaa (sf) Cl. A-X26*, Assigned (P)Aaa (sf) Cl. A-X27*, Assigned (P)Aaa (sf) Cl. A-X30*, Assigned (P)Aa1 (sf) Cl. A-X31*, Assigned (P)Aa1 (sf) Cl. A-X32*, Assigned (P)Aa1 (sf) Cl. A-X33*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.73%, in a baseline scenario-median is 0.44% and reaches 7.35% 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. RATE MORTGAGE 2026-J2: Fitch Rates Class B-5 Notes 'B(EXP)sf' ------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by RATE Mortgage Trust 2026-J2 (RATE 2026-J2). Entity/Debt Rating ----------- ------ RATE 2026-J2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 LT AAA(EXP)sf Expected Rating A-22 LT AAA(EXP)sf Expected Rating A-23 LT AAA(EXP)sf Expected Rating A-24 LT AAA(EXP)sf Expected Rating A-25 LT AAA(EXP)sf Expected Rating A-26 LT AAA(EXP)sf Expected Rating A-27 LT AAA(EXP)sf Expected Rating A-29 LT AAA(EXP)sf Expected Rating A-30 LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating A-X-2 LT AAA(EXP)sf Expected Rating A-X-3 LT AAA(EXP)sf Expected Rating A-X-4 LT AAA(EXP)sf Expected Rating A-X-5 LT AAA(EXP)sf Expected Rating A-X-6 LT AAA(EXP)sf Expected Rating A-X-7 LT AAA(EXP)sf Expected Rating A-X-8 LT AAA(EXP)sf Expected Rating A-X-9 LT AAA(EXP)sf Expected Rating A-X-10 LT AAA(EXP)sf Expected Rating A-X-11 LT AAA(EXP)sf Expected Rating A-X-12 LT AAA(EXP)sf Expected Rating A-X-13 LT AAA(EXP)sf Expected Rating A-X-14 LT AAA(EXP)sf Expected Rating A-X-15 LT AAA(EXP)sf Expected Rating A-X-16 LT AAA(EXP)sf Expected Rating A-X-17 LT AAA(EXP)sf Expected Rating A-X-18 LT AAA(EXP)sf Expected Rating A-X-19 LT AAA(EXP)sf Expected Rating A-X-20 LT AAA(EXP)sf Expected Rating A-X-21 LT AAA(EXP)sf Expected Rating A-X-22 LT AAA(EXP)sf Expected Rating A-X-23 LT AAA(EXP)sf Expected Rating A-X-24 LT AAA(EXP)sf Expected Rating A-X-25 LT AAA(EXP)sf Expected Rating A-X-26 LT AAA(EXP)sf Expected Rating A-X-27 LT AAA(EXP)sf Expected Rating A-X-28 LT AAA(EXP)sf Expected Rating A-X-29 LT AAA(EXP)sf Expected Rating A-X-30 LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-1A LT AA(EXP)sf Expected Rating B-X-1 LT AA(EXP)sf Expected Rating B-2 LT A(EXP)sf Expected Rating B-2A LT A(EXP)sf Expected Rating B-X-2 LT A(EXP)sf Expected Rating B-3 LT BBB(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating A-X-S LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating A-1L LT AAA(EXP)sf Expected Rating A-2L LT AAA(EXP)sf Expected Rating A-3L LT AAA(EXP)sf Expected Rating Transaction Summary The notes are supported by 290 loans with a total balance of approximately $360.3 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages originated by Guaranteed Rate, Inc. Distributions of principal and interest and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RATE 2026-J2 has a final probability of default of 6.54% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 34.43%. The expected loss in the 'AAAsf' rating stress is 2.25%. Structural Analysis: The mortgage cash flow and loss allocation in RATE 2026-J2 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The transaction incorporates a structural feature for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. This feature can result in interest reductions to rated bonds in high-stress delinquency scenarios. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement 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 by loan count. Fitch applies a 5-bps 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 entities. Fitch expects RATE 2026-J2 to be fully de-linked and a bankruptcy remote special purpose vehicle. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to RATE 2026-J2 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 The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 37.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics. 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. SANTANDER MORTGAGE 2026-NQM5: S&P Assigns B(sf) Rating on B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Santander Mortgage Asset Receivable Trust 2026-NQM5's mortgage-backed notes. The note issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties including townhouses, planned-unit developments, two- to four-family units, condominiums, a condotel, and manufactured housing properties. The pool consists of 679 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability to repay (ATR)-compliant, or ATR-exempt. The preliminary ratings are based on information as of June 15, 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 mortgage aggregator, Santander Bank N.A., and originators; and -- "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 Santander Mortgage Asset Receivable Trust 2026-NQM5 Class A-1, $108,183,000(i): AAA (sf) Class A-1A, $92,628,000(i): AAA (sf) Class A-1B, $15,555,000(i): AAA (sf) Class A-1FCF, $86,546,000(i): AAA (sf) Class A-1LCF, $21,637,000(i); AAA (sf) Class A-2, $19,444,000: AA (sf) Class A-3, $33,598,000: A (sf) Class M-1, $15,399,000: BBB (sf) Class B-1, $11,200,000: BB (sf) Class B-2, $9,022,000: B (sf) Class B-3, $6,066,503: NR Class B-3A, $4,549,000: NR Class B-3B, $1,517,503: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class PT, $311,095,503: NR Class R, N/A: NR (i)The initial note balance of the class A-1A, A-1B, A-1FCF, and A-1LCF notes are subject to change and will be determined at the time of pricing, provided that the aggregate initial note amount of the class A-1A, A-1B, A-1FCF, and A-1LCF notes will be equal to $216,366,000. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. SOUND POINT VI-R: Moody's Cuts Rating on $30MM Cl. E Notes to Caa3 ------------------------------------------------------------------ Moody's Ratings has taken a variety of rating actions on the following notes issued by Sound Point CLO VI-R, Ltd.: US$33M Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa2 (sf); previously on Aug 29, 2025 Affirmed A2 (sf) US$30M (Current outstanding balance US$30,751,443) Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa3 (sf); previously on Aug 29, 2025 Downgraded to Caa1 (sf) US$12M (Current outstanding balance US$15,460,365) Class F Junior Secured Deferrable Floating Rate Notes, Downgraded to Ca (sf); previously on Aug 29, 2025 Downgraded to Caa3 (sf) Moody's have also affirmed the ratings on the following notes: US$390M (Current outstanding balance US$76,085,232) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 29, 2025 Affirmed Aaa (sf) US$66M Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 29, 2025 Upgraded to Aaa (sf) US$33M Class D Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Ba1 (sf); previously on Aug 29, 2025 Affirmed Ba1 (sf) Sound Point CLO VI-R, Ltd., issued in October 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 October 2023. RATINGS RATIONALE The upgrade of the rating on the Class C notes is primarily a result of the significant deleveraging of the Class A notes following amortisation of the underlying portfolio since the last rating action in August 2025. The downgrades of the ratings on the Class E and F notes are due to deterioration of the key credit metrics of the underlying pool since the last rating action in August 2025. The affirmations of the ratings on the Class A, B 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 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 4311, compared with 3820 in July 2025[2]. Securities with ratings of Caa1 or lower currently make up approximately 32.09%% of the underlying portfolio, versus 18.10% in July 2025. The Class A notes have paid down by approximately USD115.4 million 29.6% since the last rating action in August 2025 and as a result of the deleveraging, over-collateralisation (OC) has increased for the most senior classes. 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 157.08%, 127.48%, 107.26% and 93.45% compared to July 2025 [2] levels of 133.65%, 119.24%, 107.64% and 98.89%, 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: USD239,064,591 Defaulted Securities: USD6,714,767 Diversity Score: 51 Weighted Average Rating Factor (WARF): 3943 Weighted Average Life (WAL): 2.80 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.40% Weighted Average Recovery Rate (WARR): 45.21% Par haircut in OC tests and interest diversion test: 9.90% 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 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. STRATA CLO II: S&P Lowers Class E Notes Rating to 'B (sf)' ---------------------------------------------------------- S&P Global Ratings lowered its rating on the class E debt from Strata CLO II Ltd. and removed it from CreditWatch with negative implications. S&P also affirmed its ratings on the class A-R2, B-R2, C-R2, and D-R2 debt from the same transaction. The U.S. CLO transaction, managed by HPS Investment Partners LLC, was issued in October 2021. It subsequently refinanced all but its junior debt class in July 2024 and underwent a second refinancing in October 2025. S&P has rated the transaction since its original closing in 2021. On May 6, 2026, S&P had placed its rating on the class E debt on CreditWatch negative, primarily owing to the declining credit support for this tranche, the portfolio's sizeable par losses since its 2025 refinancing, and the indicative cash flow results for the tranche. The rating actions follow S&P's review of the transaction's performance using data from the May 2026 trustee report. The top two overcollateralization (O/C) ratios have increased, while the bottom two O/C ratios have declined since the transaction's October 2025 refinancing: -- The class A/B O/C ratio increased to 142.54% from 140.32%. -- The class C O/C ratio increased to 122.88% from 122.73%. -- The class D O/C ratio declined to 112.53% from 113.26%. -- The class E-1 O/C ratio declined to 106.99% from 108.12%. The increase in the top two O/C ratios reflects paydowns on the senior A-R2 debt, which has now redeemed about 12.81% of its original balance since the transaction exited its reinvestment phase in October 2025. The decline in the bottom two O/C ratios reflects the aggregate par loss the portfolio has sustained since the October 2025 refinancing. Assets rated in the 'CCC' category have decreased to $36.76 million as of the May 2026 trustee report from $42.60 million at the refinancing in October 2025. In the meantime, defaulted assets have decreased to zero from $5.34 million as of the October 2025 refinancing. However, the sizeable par losses incurred since the refinancing have weakened cash flow results at the mezzanine and junior levels of the capital structure. The lowered rating on class E reflects the drop in credit support and the failing cash flow results at the previous rating level. Although S&P's cash flow results indicate a lower rating on the class E debt on a standalone basis, it restricted the downgrade to two notches because: -- S&P believes existing credit support is commensurate with the current (lowered) rating on this tranche; -- There are no defaulted assets in the current portfolio; -- The transaction has only just started amortizing; and -- The current subordination level neither indicates that this tranche depends on favorable conditions to meet its payment obligations, nor does it have a clear path to virtual certainty of default. Therefore, it does not fit S&P's definition of a 'CCC+' or lower rating. However, any further decline in credit support to this tranche or any increase in par losses could lead to a negative rating action in the future. The affirmations reflect S&P's view that the credit support available to these tranches is commensurate with the current rating levels. S&P said, "Although our cash flow results indicate lower ratings on the class C-R2 and D-R2 debt on a standalone basis, we affirmed our ratings on these classes, considering the relatively small margin of shortfall in cash flow results at the current ratings, our view that existing credit support is commensurate with the current ratings, as well as the fact that the portfolio currently lacks defaulted assets and the transaction has only just started amortizing, which may eventually strengthen credit support at these levels of the capital structure. However, any further decline in credit support to these tranches or any increase in par losses could lead to negative rating actions in the future. "Although our cash flow results indicate a higher rating on the class B-R2 debt on a standalone basis, we affirmed our rating on this class, considering the small amount of senior debt paydowns to date, as well as the portfolio's elevated exposure to assets rated in the 'CCC' category and assets currently priced at distressed levels. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, as well as on 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 the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." Rating Lowered And Removed From CreditWatch Strata CLO II Ltd. Class E to 'B (sf)' from 'BB-/Watch neg' Ratings Affirmed Strata CLO II Ltd. Class A-R2: AAA (sf) Class B-R2: AA (sf) Class C-R2: A (sf) Class D-R2: BBB- (sf) TRUIST BANK 2026-1: Moody's Assigns B3 Rating to Class C Notes -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes 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 Class B Notes, Definitive Rating Assigned A3 (sf) Class C Notes, Definitive Rating Assigned 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. UBS COMMERCIAL 2018-C12: Fitch Lowers Rating on E-RR Certs to 'Csf' ------------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed 14 classes of UBS Commercial Mortgage Trust 2018-C12 Commercial Mortgage Pass-Through Certificates (UBS 2018-C12). The Rating Outlooks on classes A-S, B, C, D X-B, and X-D remain Negative and on classes A-SB, A-3, A-4, A-5, and X-A remain Stable. Fitch has downgraded seven and affirmed six classes of Wells Fargo Commercial Mortgage Trust 2019-C51 (WFCM 2019-C51). Fitch has also revised the Outlooks on classes A-S and B to Negative from Stable. Fitch assigned Negative Outlooks to the downgraded classes C, D, X-B, X-D, and E-RR. The Outlooks on classes A-SB, A-3, A-4, and X-A remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Wells Fargo Commercial Mortgage 2019-C51 A-3 95001VAT7 LT AAAsf Affirmed AAAsf A-4 95001VAU4 LT AAAsf Affirmed AAAsf A-S 95001VAX8 LT AAAsf Affirmed AAAsf A-SB 95001VAS9 LT AAAsf Affirmed AAAsf B 95001VAY6 LT AA-sf Affirmed AA-sf C 95001VAZ3 LT BBBsf Downgrade A-sf D 95001VAC4 LT BBB-sf Downgrade BBB+sf E-RR 95001VAE0 LT BB-sf Downgrade BBsf F-RR 95001VAG5 LT CCCsf Downgrade B-sf G-RR 95001VAJ9 LT CCsf Downgrade CCCsf X-A 95001VAV2 LT AAAsf Affirmed AAAsf X-B 95001VAW0 LT BBBsf Downgrade A-sf X-D 95001VAA8 LT BBB-sf Downgrade BBB+sf UBS 2018-C12 A-3 90353DAX3 LT AAAsf Affirmed AAAsf A-4 90353DAY1 LT AAAsf Affirmed AAAsf A-5 90353DAZ8 LT AAAsf Affirmed AAAsf A-S 90353DBC8 LT AAsf Affirmed AAsf A-SB 90353DAW5 LT AAAsf Affirmed AAAsf B 90353DBD6 LT A-sf Affirmed A-sf C 90353DBE4 LT BBB-sf Affirmed BBB-sf D 90353DAC9 LT B-sf Affirmed B-sf D-RR 90353DAE5 LT CCCsf Affirmed CCCsf E-RR 90353DAG0 LT Csf Downgrade CCsf F-RR 90353DAJ4 LT Csf Affirmed Csf G-RR 90353DAL9 LT Dsf Affirmed Dsf X-A 90353DBA2 LT AAAsf Affirmed AAAsf X-B 90353DBB0 LT A-sf Affirmed A-sf X-D 90353DAA3 LT B-sf Affirmed B-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 8.6% in UBS 2018-C12 compared to 8.5% at Fitch's prior rating action. Deal-level 'Bsf' rating case losses in WFCM 2019-C51 have increased to 6.7% from 4.5% since Fitch's prior rating action. Fitch Loans of Concern (FLOCs) comprise 16 loans (42.2% of the pool) in UBS 2018-C12, including six specially serviced loans (20.2%). FLOCs in WFCM 2019-C51 comprise 12 loans (47.2%), including two specially serviced loans (7.9%). The top four loans by loan balance in WFCM 2019-C51 pool are FLOCs. The downgrade of class E-RR in UBS 2018-C12 reflects the increase in certainty of losses on the specially serviced loans since Fitch's prior rating action. Expected losses increased for Riverfront Plaza (7.0%). However, this was largely offset by reduced total exposure associated with the Aspect RHG Hotel Portfolio (4.9%) and Copeland Tower & Stadium Place (3.0%). The Aspect RHG Hotel Portfolio sold one asset and used recoveries to pay back servicer advances and expenses. The servicer deemed Copeland Tower & Stadium Place non-recoverable, and they have begun to recover prior advances and stopped advancing principal and interest. The downgrades in WFCM 2019-C51 are driven by increased overall pool loss expectations since Fitch's prior rating action. The increase reflects performance concerns on office FLOCs (47.2% of the pool), particularly Nova Place (11.2%), 188 Spear Street (7.4%), 450-460 Park Avenue South (7.1%), 155 Tice Boulevard (2.9%), and Patuxent Crossing (2.4%). The Negative Outlooks for UBS 2018-C12 and WFCM 2019-C51 reflect the potential for further downgrades with prolonged workouts and/or valuation declines for the specially serviced loans and further performance deterioration of the FLOCS. Largest Contributors to Loss Expectations: The largest increase in loss since the prior rating action and largest contributor to overall pool loss expectations in UBS 2018-C12 is the Riverfront Plaza loan, which is secured by a two-building, 951,897 sf office property located in Richmond, VA. The loan transferred to special servicing in January 2024 due to a failure to comply with excess cash requirements and has been delinquent four times within the past 12 months. The second largest tenant, Truist (14.9% NRA), vacated upon lease expiration in August 2025. Costar (7.8% NRA), the fifth largest tenant, will be vacating at lease expiration in June 2026. Currently, there are no prospects to backfill either space. Without these tenants, occupancy at the property will fall to roughly 55%. A receiver was appointed in August 2025 and has focused on capital improvements and leasing efforts for the property. Fitch's 'Bsf' rating case loss of 38.2% (prior to concentration add-ons) includes a discount to the most recently reported appraised value, which is approximately 53% below the appraised value at issuance. This reflects a Fitch value of approximately $89 psf. The second largest contributor to overall pool loss expectations in UBS 2018-C12 is Copeland Tower & Stadium Place asset, which is secured by two office buildings in Arlington, TX. Copeland Tower consists of a 12 story, 126,628 sf office building, while Stadium Place is 84,653 sf and five stories. The loan transferred to special servicing in January 2021 and has been REO since October 2022. Per the March 2026 rent roll, Copeland Tower was 32.7% occupied and Stadium Place was 68.4% occupied. Multiplan, which occupied 59,000 sf (46.7% NRA) at Copeland Tower, vacated upon its February 2024 lease expiration, and the space has remained vacant. Rollover at Copeland Tower consists of 2.6% in 2026 and 6.7% in 2027. Stadium Place's largest tenant, State of Texas (46.2k sf; 54.6% NRA) has a lease expiration in September 2027. The servicer reported that they plan to start marketing the collateral for sale in 2026. Fitch's 'Bsf' rating case loss of 36.1% (prior to concentration add-ons) is based on the most recently reported appraised value, which is approximately 67% below the appraised value at issuance. This reflects a Fitch value of approximately $66 psf. The third largest contributor to overall pool loss expectations in UBS 2018-C12 is Aspect RHG Hotel Portfolio, which is secured by four limited-service hotels (461 keys) in Colorado, Tennessee, and Arizona. The loan transferred to special servicing in March 2025 due to a monetary default and was foreclosed on in December 2025. In March 2026, the Aloft Hotel Broomfield, CO was disposed of, and the proceeds were used to repay advances on the loan. Occupancy within the portfolio has decreased to 55.4% as of YE 2025 compared with 62.8% in 2024, 67.7% in 2023, and 81.2% at issuance. This has led to DSCRs of 0.09x, 0.53x, 1.03x, and 2.59x over the same periods. Historical performance included the Aloft Broomfield; going forward, the portfolio will consist of three hotels (322 keys). Further dispositions of the portfolio are being discussed. Fitch's 'Bsf' rating case loss of 17.1% (prior to concentration add-ons) reflects a discount to the most recently reported appraised values of the remaining three hotels in the portfolio. In UBS 2018-C12, Fitch also took into account the 20 Times Square loan that transferred to the special servicer in May 2026 after failing to pay off at maturity. Maturity was previously extended one year from June 2025 to May 2026. Prior to that, the loan was modified in late 2023 following an extended period in special servicing related to mechanics' liens, mezzanine lender enforcement, and foreclosure of the hotel component of the non-collateral improvements. As part of that modification, the mezzanine lender assumed control, funded a $69.2 million guaranteed obligations reserve, made a $50 million principal curtailment, and extended the loan's maturity to May 2025, allowing it to return to the master servicer. The largest contributor to overall pool loss expectations in WFCM 2019-C51 is 188 Spear Street. The loan transferred to special servicing in March 2026 due to imminent monetary default, as the largest tenant, Amazon (59% of NRA and 57% of rent), confirmed it will be vacating after its January 2027 lease expiration. The loan is secured by a 218,669 sf office property in San Francisco, CA. The second largest tenant, New Relic Inc (34% of NRA and 34% of rent), has a lease expiration in July 2027, and renewal intentions have not been provided to the servicer. Per CoStar, the space for both tenants is available for leasing. As of YE 2025 servicer reported occupancy and DSCR were 97% and 3.54x. Occupancy would decline to 37% excluding Amazon. Per Costar, the South Financial District Submarket reported a 25.9% vacancy rate and $61.95 psf in average rents. Amazon and New Relic have current rents at $95 psf and $101 psf respectively. The loan is structured with a full cash flow sweep that is triggered 12 months prior to each of Amazon and New Relic's respective lease expiration. The cash flow sweep is capped at $50 per sf for each tenant ($10.1 million: $6.5 million from Amazon and $3.7 million from New Relic). The cash sweep balance was approximately $909,000 as of April 2026. Fitch's 'Bsf' rating case loss of 18.6% (prior to concentration add-ons) reflects a 8.5% cap rate, and 30% stress to the YE 2025 NOI due to the expected loss of the largest tenant. Although the loan is current, Fitch's analysis also assumed an increased probability of default given transfer to special servicing, above market rents and uncertainty of replacement tenants or ultimate workout. Fitch also considered a sensitivity analysis that assumed property occupancy of 75% to align with current submarket vacancy and market to market rent of $62psf for the Amazon and New Relic space. This results in a 30% loss and reflects a Fitch stressed value of approximately $327psf, in line with recent sales comparables. The Negative Outlooks reflect this analysis and the potential for additional downgrades. The second largest contributor to overall pool loss expectations in WFCM 2019-C51 is the 450-460 Park Avenue South loan, which is secured by a 183,000-sf office property in Midtown Manhattan. The loan is a FLOC due to declining occupancy and cash flow. As of the March 2026 rent roll, occupancy was 78.9%, a slight increase from 77% at YE 2024, 76% at YE 2023, and 78% at YE 2022, but still below YE 2021 occupancy of 88%. The largest tenant is WeWork (37.7% NRA, expiring December 2028), which decreased its space from 41.8% to 37.7% and significantly reduced its rent from $77 psf to $33 psf as of March 2025. According to CoStar, the Murray Hill Submarket reported a vacancy rate and average asking rental rate of 18.3% and $58.34 psf, respectively, compared with the overall market of 13.1% and $64.66 psf, respectively. Fitch's 'Bsf' rating case loss of 18.7% (prior to concentration add-ons) reflects a 9.5% cap rate, the annualized September 2025 NOI, and an elevated probability of default. The third largest contributor to overall pool loss expectations in WFCM 2019-C51 is the Nova Place loan, which is secured by a 1.1 million-sf office property across the river from downtown Pittsburgh, PA. In October 2024, PNC Bank reduced its footprint at the property to 16.2% of NRA from 34.5%. As a result, occupancy declined to 70% from 84%. PNC Bank's lease expires February 2027 and renewal intentions have not been discussed. Duquesne Light Company recently signed a new lease for 10.9% of the former PNC Bank space. With the new 2026 tenants and expected 2026 rollover, occupancy is expected to be 73.6%. According to CoStar, the Greater Downtown Office Submarket reported a vacancy rate and average asking rental rate of 13.8% and $28.79 psf, respectively, compared with the overall market of 11.5% and $23.21 psf, respectively. Fitch's 'Bsf' rating case loss of 9.0% (prior to concentration add-ons) factors a 10% stress to YE 2025 NOI and a 10% cap rate. Updated Credit Enhancement: As of the May 2026 remittance report, the aggregate balances of UBS 2018-C12 and WFCM 2019-C51 have been reduced by 21.5% and 12.7%, respectively, since issuance. Cumulative interest shortfalls for UBS 2018-C12 are $5.9 million and affect classes D-RR, E-RR, F-RR, G-RR and NR-RR; realized losses total $35.2 million, the majority of which are attributable to the disposition of the Holiday Inn - Matteson in June 2024. Cumulative interest shortfalls for WFCM 2019-C51 total $211,000 and affect the non-rated H-RR class; realized losses total $1.8 million. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' rated classes are not likely due to their position in the capital structure and expected continued amortization and loan repayments. However, downgrades could occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories may be possible with an increase in pool level losses from underperforming or specially serviced loans as well as if additional loans become FLOCs. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories are likely with the lack of performance stabilization of the FLOCs and/or prolonged workouts and valuation declines of the loans in special servicing. These FLOCs include Riverfront Plaza, Aspect RHG Hotel Portfolio, Copeland Tower & Stadium Place, Warner Courtyards, and Bank of America Center in UBS 2018-C12 and Nova Place, 188 Spear Street, and 450-460 Park Ave South in WFCM 2019-C51. Further downgrades of distressed classes would occur as losses become more certain and/or realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased credit enhancement through paydowns and/or defeasance, coupled with stable-to improved pool-level loss expectations and improved performance on the FLOCs. These FLOCs include Riverfront Plaza, Aspect RHG Hotel Portfolio, Copeland Tower & Stadium Place, Warner Courtyards, and Bank of America Center in UBS 2018-C12 and Nova Place, 188 Spear Street, and 450-460 Park Ave South in WFCM 2019-C51. Upgrades to the 'BBBsf', 'BBsf', and 'Bsf' categories would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. 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. VENTURE 36 CLO: Moody's Cuts Rating on $33.55MM Cl. E Notes to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Venture 36 CLO Limited: US$31,350,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2032, Upgraded to Aa1 (sf); previously on February 23, 2024 Upgraded to Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$33,550,000 Class E Junior Secured Deferrable Floating Rate Notes due 2032, Downgraded to B1 (sf); previously on September 9, 2020 Confirmed at Ba3 (sf) Venture 36 CLO Limited, originally issued in April 2019 and partially refinanced in June 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2024. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating action on the Class C notes is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since April 2025. The Class A-1a-R and Class A-1b-R notes have been paid down collectively by approximately 41.2% or $140.4 million since then. Based on the trustee's April 2026 report, the OC ratio for the Class C is reported at 129.84%[1] versus April 2025 level of 125.03%[2]. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's April 2026 report, the OC ratio for the Class E notes is reported at 97.34%[3] versus April 2025 level of 104.72%[4]. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is 3358[5] compared to 2971[6] in April 2025. No actions were taken on the Class A-1a-R, Class A-1b-R, Class A-2-R, Class B-1-R, Class B-2-R, and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in April 2026. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $269,321,168 Defaulted par: $10,237,681 Diversity Score: 64 Weighted Average Rating Factor (WARF): 3496 Weighted Average Spread (WAS): 3.61% Weighted Average Coupon (WAC): 10.37% Weighted Average Recovery Rate (WARR): 45.2% Weighted Average Life (WAL): 3.3 years Par haircut in OC tests and interest diversion test: 8.0% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. VENTURE 47 CLO: S&P Affirms BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A1RR, AJRR, BRR, CRR, and DRR debt from Venture 47 CLO Ltd./Venture 47 CLO LLC, a CLO managed by MJX Asset Management LLC that was originally issued in Mar 2023 and underwent a partial refinancing in May 2025. At the same time, S&P withdrew its ratings on the previous class A1R, AJR, BR, CR, and DR debt following payment in full on the June 17, 2026, refinancing date. S&P also affirmed its rating on the class E debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to June 17, 2027. -- No additional assets were purchased on the June 17, 2026, refinancing date, and the target initial par amount remains at $400 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A1RR, $240.00 million: Three-month CME term SOFR + 1.28% -- Class AJRR, $20.00 million: Three-month CME term SOFR + 1.55% -- Class BRR, $44.00 million: Three-month CME term SOFR + 1.70% -- Class CRR (deferrable), $24.00 million: Three-month CME term SOFR + 2.00% -- Class DRR (deferrable), $22.00 million: Three-month CME term SOFR + 4.60% Previous debt -- Class A1R, $240.00 million: Three-month CME term SOFR + 1.50% -- Class AJR, $20.00 million: Three-month CME term SOFR + 1.75% -- Class BR, $44.00 million: Three-month CME term SOFR + 2.05% -- Class CR (deferrable), $24.00 million: Three-month CME term SOFR + 2.55% -- Class DR (deferrable), $22.00 million: Three-month CME term SOFR + 4.90% 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 Venture 47 CLO Ltd./Venture 47 CLO LLC Class A1RR, $240.00 million: AAA (sf) Class AJRR, $20.00 million: AAA (sf) Class BRR, $44.00 million: AA (sf) Class CRR, $24.00 million: A (sf) Class DRR, $22.00 million: BBB (sf) Ratings Withdrawn Venture 47 CLO Ltd./Venture 47 CLO LLC Class A1R to NR from 'AAA (sf)' Class AJR to NR from 'AAA (sf)' Class BR to NR from 'AA (sf)' Class CR to NR from 'A (sf)' Class DR to NR from 'BBB (sf)' Rating Affirmed Venture 47 CLO Ltd./Venture 47 CLO LLC Class E: BB- (sf) Other Debt Venture 47 CLO Ltd./Venture 47 CLO LLC Subordinated notes, $29.45 million: NR NR--Not rated. VENTURE XIX: Moody's Cuts Rating on $25MM Cl. E-RR Notes to B1 -------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by Venture XIX CLO, Limited: US$25,000,000 Class E-RR Junior Secured Deferrable Floating Rate Notes due 2032 (the "Class E-RR Notes"), Downgraded to B1 (sf); previously on July 14, 2020 Confirmed at Ba3 (sf) US$7,900,000 Class F-RR Junior Secured Deferrable Floating Rate Notes due 2032 (the "Class F-RR Notes") (current outstanding balance of $9,081,431.67), Downgraded to Caa3 (sf); previously on April 16, 2025 Downgraded to Caa2 (sf) Venture XIX CLO, Limited, originally issued in January 2015 and last refinanced in December 2018, 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 January 2024. A comprehensive review of all credit ratings for the respective transactions(s) has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating actions on the Class E-RR and Class F-RR notes reflect the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratios for the Class E-RR and Class F-RR notes are at 105.88% and 102.09%, respectively, versus February 2026 levels of 108.91% and 105.52%, respectively. Furthermore, Moody's calculated weighted average rating factor (WARF) has been deteriorating and the current level is currently 3445 compared to 3373 in February 2026. No actions were taken on the Class A-RR, Class B-RR, Class C-RR and Class D-RR notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in April 2026. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $255,625,477 Defaulted par: $9,524,116 Diversity Score: 61 Weighted Average Rating Factor (WARF): 3445 Weighted Average Spread (WAS): 3.54% Weighted Average Coupon (WAC): 9.00% Weighted Average Recovery Rate (WARR): 45.13% Weighted Average Life (WAL): 3.1 years Par haircut in OC tests and interest diversion test: 8.56% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. VERUS SECURITIZATION 2026-5: Moody's Assigns B3 Rating to B-2 Certs ------------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 12 classes of residential mortgage-backed securities (RMBS) 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, Definitive Rating Assigned Aaa (sf) Cl. A-1F, Definitive Rating Assigned Aaa (sf) Cl. A-1FCF, Definitive Rating Assigned Aaa (sf) Cl. A-1LCF, Definitive Rating Assigned Aaa (sf) Cl. A-1IO*, Definitive Rating Assigned Aaa (sf) Cl. A-1IO1*, Definitive Rating Assigned Aaa (sf) Cl. A-1IO2*, 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) Cl. B-2, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A and Class A-1B assigned on May 29, 2026, because the Class A-1A and Class A-1B 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 2.45%, in a baseline scenario-median is 1.73% and reaches 22.91% 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 2026-5C10: Fitch Rates Class F-RR Certs 'B-(EXP)sf' --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2026-5C10 commercial mortgage pass-through certificates, series 2026-5C10 as follows: - $3,945,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $175,000,000 (a) class A-2 'AAA(EXP)sf'; Outlook Stable; - $203,433,000 (a) class A-3 'AAA(EXP)sf'; Outlook Stable; - $382,378,000 (b) class X-A 'AAA(EXP)sf'; Outlook Stable; - $92,863,000 (b) class X-B 'A-(EXP)sf'; Outlook Stable; - $39,603,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $30,045,000 class B 'AA-(EXP)sf'; Outlook Stable; - $23,215,000 class C 'A-(EXP)sf'; Outlook Stable; - $21,851,000 (b)(c) class X-D 'BBB-(EXP)sf'; Outlook Stable; - $13,656,000 (b)(c) class X-E 'BB-(EXP)sf'; Outlook Stable; - $21,851,000 (c) class D 'BBB-(EXP)sf'; Outlook Stable; - $13,656,000 (c) class E 'BB-(EXP)sf'; Outlook Stable; - $9,559,000 (c)(d) class F-RR 'B-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $25,947,993 (c)(d) class G-RR. (a) The initial certificate balances of classes A-2 and A-3 are unknown and expected to be $378,433,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $0 to $175,000,000, and the expected class A-3 balance range is $203,433,000 to $378,433,000. Fitch's certificate balance for classes A-2 reflects the top point of its range, and the balance for class A-3 reflects the bottom point of its range. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 29 loans secured by 62 commercial properties having an aggregate principal balance of $546,254,993 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Argentic Real Estate Finance 2 LLC, LMF Commercial, LLC, Societe Generale Financial Corporation, Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, BSPRT CMBS Finance, LLC, JPMorgan Chase Bank, National Association and UBS AG New York Branch. The master servicer is expected to be Trimont LLC, and the special servicer is expected to be Argentic Services Company LP. The trustee is expected to be Deutsche Bank National Trust Company, and the certificate administrator is expected to be Computershare Trust Company, National Association. Park Bridge Lender Services LLC is expected to be the operating advisor and asset representations reviewer. The certificates are expected to follow a sequential paydown structure. The transaction's closing date is expected to be June 29, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analysis on 19 loans totaling 89.2% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $56.4 million represents a 11.6% decline from the issuer's aggregate underwritten NCF of $63.8 million. Higher Fitch Leverage: The pool's Fitch leverage is higher than that of recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 101.6% is higher than the 2026 YTD five-year multiborrower transaction average of 98.1% and the 2025 five-year multiborrower transaction average of 101.0%. The pool's Fitch NCF debt yield (DY) of 10.3% is lower than the 2026 YTD average of 10.6% but above the 2025 average of 9.7%. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans represent 67.9% of the pool, which is higher than the 2026 YTD and 2025 five-year multiborrower averages of 60.8% and 61.5%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 18.3, which is lower than the 2026 YTD and 2025 five-year multiborrower 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: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet 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'/'BB-sf'/'Bsf'/'Bsf'/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'/'BB-sf'/'B-sf''; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on 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. WINDHILL CLO 5: S&P Assigns Prelim BB- (sf) Ratings to Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Windhill CLO 5 Ltd./Windhill CLO 5 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 PGIM Inc. and Deerpath Capital Management L.P. (Deerpath), an affiliate of PGIM Inc. and serving as its sub-advisor. The preliminary ratings are based on information as of June 12, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Preliminary Ratings Assigned Windhill CLO 5 Ltd./Windhill CLO 5 LLC Class A, $232.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $32.00 million: A (sf) Class D (deferrable), $24.00 million: BBB (sf) Class E (deferrable), $36.00 million: BB- (sf) Subordinated notes, $36.54 million: NR NR--Not rated. [] Moody's Upgrades Ratings on 19 Bonds from 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 19 bonds from three US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgages 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: GS Mortgage-Backed Securities Trust 2024-PJ11 Cl. B-1, Upgraded to Aa1 (sf); previously on Dec 27, 2024 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Dec 27, 2024 Definitive Rating Assigned Aa2 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Dec 27, 2024 Definitive Rating Assigned Aa2 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2025-PJ1 Cl. B-1, Upgraded to Aa2 (sf); previously on Jan 31, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jan 31, 2025 Definitive Rating Assigned Baa2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jan 31, 2025 Definitive Rating Assigned B1 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Jan 31, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Upgraded to Aa2 (sf); previously on Jan 31, 2025 Definitive Rating Assigned Aa3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2025-PJ2 Cl. B-1, Upgraded to Aa1 (sf); previously on Feb 28, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Feb 28, 2025 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Feb 28, 2025 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Feb 28, 2025 Definitive Rating Assigned Ba2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Feb 28, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Feb 28, 2025 Definitive Rating Assigned A3 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Feb 28, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Feb 28, 2025 Definitive Rating Assigned A3 (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 continue to display strong collateral performance, with no current cumulative losses for each transaction and a small number 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, by 42.6% for the non-exchangeable tranches upgraded. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in 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. [] Moody's Upgrades Ratings on 69 Bonds from 10 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 69 bonds from ten US residential mortgage-backed transactions (RMBS), backed by predominantly agency eligible investor (INV) mortgage loans. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GCAT 2022-INV3 Trust Cl. B-2, Upgraded to Aa2 (sf); previously on Nov 5, 2024 Upgraded to Aa3 (sf) Cl. B-2-A, Upgraded to Aa2 (sf); previously on Nov 5, 2024 Upgraded to Aa3 (sf) Cl. B-X-2*, Upgraded to Aa2 (sf); previously on Nov 5, 2024 Upgraded to Aa3 (sf) Issuer: GCAT 2023-INV1 Trust Cl. B-2, Upgraded to Aa1 (sf); previously on May 14, 2025 Upgraded to Aa3 (sf) Cl. B-2-A, Upgraded to Aa1 (sf); previously on May 14, 2025 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Cl. B-4, Upgraded to A3 (sf); previously on May 14, 2025 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on May 14, 2025 Upgraded to Ba1 (sf) Cl. B-X-2*, Upgraded to Aa1 (sf); previously on May 14, 2025 Upgraded to Aa3 (sf) Issuer: GCAT 2024-INV3 Trust Cl. A-13, Upgraded to Aaa (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-14, Upgraded to Aaa (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-23, Upgraded to Aaa (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-14*, Upgraded to Aaa (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Upgraded to Aaa (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-22*, Upgraded to Aaa (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 2, 2025 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Jun 2, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jun 2, 2025 Upgraded to A3 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jun 2, 2025 Upgraded to B1 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Aug 8, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to Aa3 (sf); previously on Jun 2, 2025 Upgraded to A1 (sf) Issuer: GCAT 2024-INV4 Trust Cl. B-1, Upgraded to Aa2 (sf); previously on Dec 5, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Dec 5, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 21, 2025 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 21, 2025 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Aug 21, 2025 Upgraded to B1 (sf) Cl. B-X-1*, Upgraded to Aa2 (sf); previously on Dec 5, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Issuer: GCAT 2025-INV1 Trust Cl. A-15, Upgraded to Aaa (sf); previously on Feb 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-16, Upgraded to Aaa (sf); previously on Feb 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-24, Upgraded to Aaa (sf); previously on Feb 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Feb 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Upgraded to Aaa (sf); previously on Feb 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X-20*, Upgraded to Aaa (sf); previously on Feb 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Upgraded to Aaa (sf); previously on Feb 28, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Feb 28, 2025 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Feb 28, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Feb 28, 2025 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Feb 28, 2025 Definitive Rating Assigned Ba2 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Feb 28, 2025 Definitive Rating Assigned A2 (sf) Issuer: GCAT 2025-INV3 Trust Cl. A-15, Upgraded to Aaa (sf); previously on Aug 27, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-16, Upgraded to Aaa (sf); previously on Aug 27, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-24, Upgraded to Aaa (sf); previously on Aug 27, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Aug 27, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Upgraded to Aaa (sf); previously on Aug 27, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X-20*, Upgraded to Aaa (sf); previously on Aug 27, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Upgraded to Aaa (sf); previously on Aug 27, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 27, 2025 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Aug 27, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Aug 27, 2025 Definitive Rating Assigned Baa2 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Aug 27, 2025 Definitive Rating Assigned A2 (sf) Issuer: MELLO MORTGAGE CAPITAL ACCEPTANCE 2021-INV2 Cl. B-2, Upgraded to Aa2 (sf); previously on Nov 25, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Aug 29, 2025 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Aug 29, 2025 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 29, 2025 Upgraded to Ba2 (sf) Issuer: Mello Mortgage Capital Acceptance 2021-INV3 Cl. B-2, Upgraded to Aa2 (sf); previously on Aug 21, 2025 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Aug 21, 2025 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Aug 21, 2025 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Issuer: Mello Mortgage Capital Acceptance 2021-INV4 Cl. B-1, Upgraded to Aa1 (sf); previously on May 1, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Feb 12, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Feb 12, 2025 Upgraded to Baa1 (sf) Issuer: Mello Mortgage Capital Acceptance 2022-INV1 Cl. B-3, Upgraded to A3 (sf); previously on Feb 12, 2025 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Feb 12, 2025 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Aug 21, 2025 Upgraded to Ba3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under .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, 1.28x for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in 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. [] S&P Discontinues 'D(sf)' Ratings on 14 Classes from 6 US Deals ----------------------------------------------------------------- S&P Global Ratings discontinued its 'D (sf)' ratings on 14 classes of commercial mortgage pass-through certificates from six U.S. CMBS transactions. S&P said, "We discontinued these ratings according to our surveillance and withdrawal policies. We previously lowered the ratings on these classes to 'D (sf)' because of accumulated interest shortfalls that we believed would remain outstanding for an extended period or, in the case of the interest-only certificates, our interest-only criteria. We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria for the classes within this review." Ratings Discontinued BBCCRE Trust 2015-GTP Class F to not rated from 'D (sf)' BFLD Trust 2020-EYP Class A to not rated from 'D (sf)' Class X-EXT to not rated from 'D (sf)' GS Mortgage Securities Trust 2018-GS10 Class WLS-A to not rated from 'D (sf)' Class WLS-B to not rated from 'D (sf)' Class WLS-C to not rated from 'D (sf)' Class WLS-D to not rated from 'D (sf)' Hudson's Bay Simon JV Trust 2015-HBS Class F-7 to not rated from 'D (sf)' Class F-10 to not rated from 'D (sf)' J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON Class HRR to not rated from 'D (sf)' WP Glimcher Mall Trust 2015-WPG Class C to not rated from 'D (sf)' Class X to not rated from 'D (sf)' Class PR-1 to not rated from 'D (sf)' Class PR-2 to not rated from 'D (sf)' [] S&P Takes Various Actions on 67 Classes From 15 U.S. CLO Deals ----------------------------------------------------------------- S&P Global Ratings took various rating actions on 67 classes of debt from 15 broadly syndicated. U.S. CLO transactions. The review resulted in 37 upgrades, five downgrades, and 25 affirmations. At the same time, S&P removed 41 ratings from CreditWatch, where they were placed with positive implications on May 6, 2026, due to a combination of paydowns, indicative cash flow results, and credit support at that time. A list of Affected Ratings can be viewed at: https://tinyurl.com/2mzkjmzd The rating actions follow S&P's review of each transaction's performance using data from its trustee report. In its review, S&P analyzed each transaction's performance and cash flows and applied our global corporate CLO criteria in our rating decisions. The transactions have all exited their reinvestment periods and are paying down the notes in the order specified in their respective documents. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. "In addition, our analysis considered each transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "While each class's indicative cash flow results are a primary factor, we also incorporate other considerations into our decision to raise, lower, or affirm ratings or limit rating movements." These considerations typically include: -- Whether the CLO is reinvesting or paying down its notes; -- Existing subordination or overcollateralization (O/C) levels and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default or dependence on favorable market conditions to meet obligations; and -- Additional sensitivity runs to account for any of the other considerations. The upgrades primarily reflect the classes' increased credit support due to the senior note paydowns, improved O/C levels, and passing cash flow results at higher rating levels. The downgrades primarily reflect the class's indicative cash flow results and decreased credit support due to principal losses, decline in the weighted average spread in their respective portfolios, and negative migration in portfolio credit quality. S&P said, "The affirmations reflect our view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. "Although our cash flow analysis indicated a different rating for some classes of notes, we took the rating action after considering one or more qualitative factors listed above. The ratings list highlights the key performance metrics behind the specific rating actions. 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