260712.mbx

260712.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, July 12, 2026, Vol. 30, No. 193 Headlines 425 TRUST 2026-LEX: Moody's Assigns B2 Rating to Cl. F Certs A10 SINGLE ASSET 2023-GTWY: DBRS Confirms CCC Rating on F Certs ACHD TRUST 2026-DS1: DBRS Gives (P)B(low) Rating on Class C Notes ADAMS OUTDOOR 2026-1: Fitch Rates Class C Notes 'BB-(EXP)sf' AIMCO CLO 16: Fitch Assigns 'BB-(EXP)sf' Rating on Class E-R2 Notes AMAPS 5: Moody's Assigns Ba3 Definitive Rating to Class C Notes AMERICAN CREDIT 2026-3: S&P Assigns (P) BB- (sf) Rating on E Notes APEX CREDIT 2021: S&P Lowers Class E Notes Rating to 'B (sf)' ASCENT CAREER 2024-1: DBRS Puts BB(low) on C Notes on Review Neg. BANK 2017-BNK6: DBRS Lowers Rating on Cl. D Certs to B(high)(sf) BANK 2018-BNK10: DBRS Cuts Rating on Two Tranches to CCCsf BANK 2022-BNK39: DBRS Confirms BB(low) Rating on Cl. G Certs BANK 2026-BNK52: DBRS Gives (P)BB(low) Rating to Class F Certs BANK 2026-BNK52: Fitch Assigns 'B-sf' Rating on Two Tranches BANK5 2026-5YR22: DBRS Finalizes BBsf Rating on Class G-RR Certs BATTALION CLO XVIII: S&P Lowers Class E-R Notes Rating to 'B-(sf)' BAY TRUST 2026-MDWS: DBRS Gives (P)B(low) Rating on Cl. HRR Certs BBAM US IV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes BBAM US VII: Fitch Assigns 'BB-sf' Rating on Class E Notes BBCMS 2021-AGW: DBRS Confirms 'CCCsf' Rating on Two Tranches BBCMS TRUST 2018-CBM: DBRS Cuts Rating on Class D Certs to Csf BENEFIT STREET XXIV: S&P Assigns BB- (sf) Rating on Cl. E-RR Notes BLACKROCK DLF IX 2021-1: DBRS Puts B(low) Rating Under Review Neg. BLACKROCK DLF IX 2021-2: DBRS Puts B(low) Rating Under Review Neg. BLACKROCK DLF X 2022-1: DBRS Confirms 'Bsf' Rating on Cl. W Notes BRAVO RESIDENTIAL 2026-NQM6: Fitch Rates Class B-2 Notes 'B-sf' BROAD RIVER 2020-1: S&P Assigns BB-(sf) Rating on Class E-R2 Notes BX TRUST 2019-IMC: S&P Lowers Class D Notes Rating to 'BB (sf)' CANADIAN COMMERCIAL 2018-4: DBRS Cuts Rating on G Certs to B(low) CBAMR 2017-3: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes CHASE HOME 2026-6: DBRS Gives (P)B(low) Rating on Class B-5 Certs CHASE HOME 2026-7: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B6 Debt CHEVY CHASE 2006-3: Moody's Cuts Rating on Cl. A-NA Certs to Caa3 CIFC FUNDING 2022-I: Fitch Rates Class E-R Notes 'BB-(EXP)sf' CIFC FUNDING 2026-II: Fitch Rates Class E Notes 'BB-(EXP)sf' CITIGROUP 2026-HE1: DBRS Finalizes Bsf Rating on Class B-2 Notes CITIGROUP MORTGAGE 2026-LTV1: Fitch Rates Cl. B-2 Notes 'B-(EXP)sf' CLNY TRUST 2019-IKPR: DBRS Confirms CCC Rating on Two Tranches COMM 2014-CCRE16: Fitch Affirms Csf Rating on Class F Debt CROSSROADS ASSET 2025-A: DBRS Confirms BBsf Rating on Cl. E Notes CROWN POINT 9: Moody's Assigns B3 Rating to $250,000 Class F Notes CSAIL 2016-C6: DBRS Cuts Rating on Two Tranches to Csf CSAIL 2016-C7: DBRS Cuts Rating on Four Tranches to Csf DIAMETER CAPITAL 14: S&P Assigns Prelim BB- (sf) Rating on E Notes DIAMETER CAPITAL 7: S&P Assigns (P) BB-(sf) Rating on D-R Notes EFMT 2026-NQM6: DBRS Gives (P)Bsf Rating to Three Tranches ELMWOOD CLO VI: S&P Affirms B- (sf) Rating on Class F-RR Notes EQT TRUST 2026-IND1: Fitch Rates Class JRR Certs 'B+(EXP)sf' FIG SIX 2026-PF1: DBRS Gives (P)B(low) Rating to Class F Notes FIGRE TRUST 2026-FL2: DBRS Gives (P)Bsf Rating on Class B-2 Notes FIGRE TRUST 2026-HE5: DBRS Finalizes B(low) Rating on Cl. F Notes GGAM MASTER 2026-1: Fitch Assigns 'BB-sf' Rating on Class Y Debt GS MORTGAGE 2026-PJ8: DBRS Gives (P)B(high) Rating on B-5 Notes GSF 2025-AXMF1: Fitch Affirms 'BB-(EXP)sf' Rating on Cl. E-RR Certs HARVEST US 2026-2: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes HONO 2021-LULU: DBRS Cuts Rating on Class X-EXT Certs to BB(high) JPMDB COMMERCIAL 2017-C7: DBRS Cuts Rating on 2 Tranches to CCCsf JPMF1 MULTIFAMILY 2026-FX1: DBRS Finalizes BB Rating on H-RR Certs KSL COMMERCIAL 2026-HT3: DBRS Finalizes B(low) Rating on F Certs MAN GLG 2021-1: Moody's Affirms Ba3 Rating on $18.375MM D Notes MARATHON CLO 2021-16: S&P Lowers Class D-R Notes Rating to 'B(sf)' MCF CLO VIII: S&P Assigns Prelim BB- (sf) Rating on Cl. E-RR Notes MORGAN STANLEY 2014-150E: DBRS Confirms BBsf Rating on X-B Certs MORGAN STANLEY 2026-NQM6: DBRS Gives (P)Bsf Rating to B-2 Certs MORGAN STANLEY 2026-NQM7: Moody's Assigns Ba3 Rating to B-1 Certs MSDB TRUST 2017-712F: S&P Lowers Class C Certs Rating to 'BB-(sf)' NEW RESIDENTIAL 2026-NQM8: Fitch Rates Class B2 Notes 'B-(EXP)sf' NEWSTAR ARLINGTON: S&P Lowers Class F-R Notes Rating to 'CCC-(sf)' OCEANVIEW COMMERCIAL 2026-1: DBRS Rates Class G Certs 'B(low)' PMT LOAN 2026-CNF6: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs PMT LOAN 2026-J3: DBRS Finalizes B(low) Rating on Cl. B-5 Notes PRET TUST 2026-RPL3: Moody's Assigns (P)B2 Rating to Cl. B-2 Certs PRKCM 2026-AFC4: S&P Assigns B (sf) Rating on Class B-2 Notes PTCM RE-REMIC 2026-FRR2: DBRS Finalizes B(low) Rating on 2 Tranches RATE MORTGAGE 2026-J2: DBRS Gives (P)B(low) Rating on B-5 Notes RCKT MORTGAGE 2022-4: Moody's Hikes Rating on Cl. B-5 Certs to B2 REALT 2021-1: DBRS Confirms 'B(high)' Rating to Class G Certs RESIDENTIAL MORTGAGE 2026-MTG1: DBRS Gives (P)B Rating on B2 Notes RIN XV LLC: Moody's Assigns (P)Ba3 Rating to $8MM Class E Notes SALUDA GRADE 2026-LOC6: DBRS Finalizes B(low) Rating on B-2 Debt SEQUOIA MORTGAGE 2026-7: Fitch Assigns 'Bsf' Final on Cl. B5 Certs SEQUOIA MORTGAGE 2026-8: Fitch Assigns 'Bsf' Rating on Cl. B5 Certs SOUTHWICK PARK: S&P Lowers Class E-RR Notes Rating to 'B (sf)' SYMPHONY CLO 30: Fitch Assigns 'BB-sf' Rating on Class E-R Notes SYMPHONY CLO XXV: Moody's Cuts Rating on $18.8MM Cl. E Notes to B3 TEXAS DEBT 2024-I: Fitch Assigns 'BB-sf' Rating on Class E-R Notes TOWD POINT 2026-CES3: DBRS Gives Bsf Rating on Five Tranches TRESTLES CLO V: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes US BANK C&I 2026-1: DBRS Finalizes BBsf Rating on Class E Notes VERUS SECURITIZATION 2026-5: DBRS Finalizes B Rating on B-2 Notes VERUS SECURITIZATION 2026-6: Moody's Gives (P)B3 Rating to B-2 Debt VOYA CLO 2015-3: Fitch Lowers Rating on Class E-R Notes to 'Dsf' VOYA CLO 2024-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes WELLS FARGO 2015-LC22: DBRS Cuts Rating on 2 Tranches to Csf WELLS FARGO 2026-5C10: DBRS Gives (P)BB(low) Rating on F-RR Certs WHITEBOX CLO IV: S&P Assigns BB- (sf) Rating on Class E-R2 Notes [] DBRS Review 100 Classes Amid Seven US RMBS Transactions [] DBRS Reviews 132 Classes From 23 US RMBS Transactions [] DBRS Reviews 24 Classes Across 10 US RMBS Transactions [] DBRS Reviews 97 Classes Across 12 US RMBS Transactions [] DBRS Takes Credit Rating Actions on 30 US RMBS Deals [] Fitch Affirms Ratings on 3 Mission Lane Trust Series [] Moody's Takes Action on 6 Bonds from 4 US RMBS Deals [] Moody's Upgrades Ratings on 4 Bonds from 2 US RMBS Deals ********* 425 TRUST 2026-LEX: Moody's Assigns B2 Rating to Cl. F Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to seven classes of CMBS securities, issued by 425 Trust 2026-LEX, Commercial Mortgage Pass-Through Certificates, Series 2026-LEX. Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B2 (sf) Cl. HRR, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The certificates are collateralized by a single, floating rate loan, secured by a leasehold and leased fee mortgage on 425 Lexington Avenue, (the "Property"), which is a 31-story, Class A office building located in New York, NY. The building offers approximately 746,786 SF of net rentable area ("NRA"). Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The Property was constructed in 1987 and offers approximately 746,786 SF of rentable area. Floor plates are flexible, ranging from approximately 14,500 SF to 36,000 SF. Slab-to-slab ceiling heights are approximately 13 feet. The Property is approximately 99.1% leased as of June 2026, with the vast majority of the area occupied by Simpson Thacher & Bartlett LLP. The law firm currently occupies approximately 702,592 SF (~94% of NRA) pursuant to a lease that is scheduled to expire in October 2033. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's Actual DSCR is 1.11x and Moody's Stressed DSCR of 0.82x. Moody's DSCR is based on Moody's stabilized net cash flow. The trust loan balance of $352,000,000 represents a Moody's LTV ratio of 121.4%. Adjusted Moody's LTV ratio for the first mortgage balance is also 121.4% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The portfolio's average property quality grade is 0.50. Notable strengths of the transaction include: (i) Location and accessibility: The Property enjoys a prime location in Midtown Manhattan on Lexington Avenue between 43rd and 44th Streets, directly across the street from Grand Central Station offering superior regional and local connectivity. (ii) Asset quality and recent renovations: The property was recently renovated for over $34M (~$5.70 PSF/year) in strategic base building improvements, including elevator upgrades, window replacements, and the delivery of a brand-new, state-of-the-art amenity center. (iii) Limited rollover during loan term: Leases representing less than 5% percent of the cumulative in-place base rent is scheduled to expire prior to the loan's maturity date in 2031 Notable concerns of the transaction include: (i) High MLTV: The mortgage loan has a high MLTV ratio of 121.4%. (iv) Floating-rate profile: The initial two-year loan accrues interest at one-month Term SOFR plus an estimated spread of 3.2% subject to pricing, exposing the loan to variable debt service payments. (v) Single-tenant exposure: Simpson, Thacher & Bartlett LP accounts for 94.1% of NRA and 92.7% of the in-place base pursuant to a lease that expires two years after loan maturity in 2033 The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in May 2026. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. With respect to classes with ratings above the applicable sovereign rating, significant exposure to defeasance may also lead to a downgrade. A10 SINGLE ASSET 2023-GTWY: DBRS Confirms CCC Rating on F Certs --------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2023-GTWY issued by A10 Single Asset Commercial Mortgage 2023-GTWY as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at B (low) (sf) -- Class F at CCC (sf) Morningstar DBRS changed the trends on Class A and Class B to Stable from Negative. All remaining classes have Negative trends, with the exception to Class F, which has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. CREDIT RATING ACTION RATIONALE: -- The trend changes on Class A and Class B reflect the positive leasing momentum at the collateral, as well as the sponsor's continued commitment to the property demonstrated by the $5.0 million limited guaranty that was pledged as part of the loan extension. -- However, Morningstar DBRS maintained Negative trends on the remaining classes as cash flow and occupancy continues to be well below expectations, with recent leasing momentum only bringing the property to roughly 50% occupied. In addition, the most recent as-is and stabilized values from the October 2024 appraisals have significantly dropped from issuance levels and may continue to deteriorate given the softening submarket conditions and low investor appetite for this property type, as well as prior disruptions to the business plan. POOL/COLLATERAL OVERVIEW -- The transaction is secured by the borrower's fee-simple interest in The Gateway at Wynwood (Gateway), a 220,000-square foot (sf) Class A office building, and an adjacent 5,000-sf retail building (2830 North Miami Avenue) in Miami's Wynwood neighborhood. The loan was previously in special servicing; however, the B noteholder (the new borrower) acquired the asset through a bankruptcy sale in August 2025. With the loan assumption, formerly available future funding of $11.2 million was removed from the loan and the borrower will now be required to fund leasing costs out of pocket. The borrower subsequently made a $1.6 million principal curtailment, bringing the outstanding senior loan balance to $79.2 million, with $78.9 million held inside the trust. -- The floating-rate loan pays interest only and had an initial maturity in March 2026, with two one-year extension options, which are not subject to performance thresholds. The first option was exercised and in exchange, the sponsor provided a limited guaranty on $5.0 million of equity to be used towards tenant improvements (TI), leasing costs, and/or capital expenditures. PERFORMANCE HIGHLIGHTS -- According to the February 2026 rent roll, occupancy was 36.1% with an average rental rate of $66.34 per sf (psf) compared with June 2025 figures of 64.0% and $58.80 psf, respectively. OpenStore (18.6% of net rentable area (NRA)) appears to have vacated the property ahead of its September 2030 lease expiration. Additionally, Central Rock Gym (4.6% of NRA) filed for bankruptcy, resulting in the rejection of its lease and ultimate departure from the subject. -- Pura Vida (about 15.0% of NRA) is moving its headquarters from Miami Beach to the subject and will occupy approximately 27,000 sf of office space and 6,000 sf of ground-floor restaurant space. The tenant had previously subleased the office space from OpenStore but executed a direct lease in April 2026 at a gross rental rate of $85.00 psf with 3% annual rent steps (increasing from OpenStore's gross rental rate of $68.00 psf). The tenant was given 20.5 months of free rent and no TI allowance. The lease on the restaurant begins in January 2028 at a triple-net rent of $69.95 psf with 3% annual rent steps and includes 46 months of free rent and a TI allowance of $110.00 psf paid by the sponsor. -- Generally, leasing momentum has escalated with several tenants in various phases of executing a lease. Based on a leasing update from the servicer, occupancy may improve to 50.0% by the end of 2026. There is no tenant rollover risk in 2026 and only 4.1% of the NRA rolling in 2027. In addition, all existing leases are structured with 3% annual rent steps. -- According to Reis, office properties in the South Atlantic Region of Miami reported a Q1 2026 vacancy rate of 23.4%, which is expected to rise to 28.3% by 2031. Comparable Class A office properties in the submarket reported an average asking rental rate of $50.72 psf, below the average rental rate of the subject. -- The sponsor continues to focus on leasing the property and securing an anchor tenant for the 12th floor as the sponsor considers potentially rebranding that building, which may entail upgrades. However, these discussions are preliminary, and more time will be needed to determine the best course of action. -- Based on the December 2025 financials, the annualized net operating income (NOI) was reported at $3.2 million, which dropped from the YE2024 NOI of $5.8 million and continues to be well below Morningstar DBRS issuance expectations. -- The October 2024 appraisal reported as-is and stabilized values of $89.6 million and $105.9 million, respectively, a drop from the issuance appraised figures of $162.6 million and $193.2 million, respectively. ANALYSIS SUMMARY -- The low in-place occupancy has kept cash flow well below Morningstar DBRS' issuance expectations of $7.4 million, and even though the uptick in leasing is a positive development, the subject's ability to stabilize during the extended loan term continues to be uncertain given the challenging market dynamics. -- In addition, loan leverage is high with an as-is loan-to-value ratio (LTV) approaching 90.0%, and considering the challenging office sector, the risk of further value deterioration is elevated. -- In the analysis for this review, Morningstar DBRS analyzed the loan based on a conservative 30.0% haircut to the October 2024 as-is value, resulting in a figure of $62.7 million, which represents an LTV of 126.2%. A negative qualitative adjustment of 5.0% was applied because of the business plan execution risk, as there is a possibility of the borrower failing to stabilize the property during the loan term, leading to increased term and refinance risk. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ACHD TRUST 2026-DS1: DBRS Gives (P)B(low) Rating on Class C Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes to be issued by ACHD Trust 2026-DS1 (the Issuer or ACHD 2026-DS1): -- $102,110,000 Class A Notes at (P) BBB (sf) -- $26,810,000 Class B Notes at (P) BB (sf) -- $22,500,000 Class C Notes at (P) B (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: 1.The transaction's form and sufficiency of available credit enhancement. -- Overcollateralization, subordination, amounts held in the reserve account, and excess spread create credit enhancement levels that are commensurate with the credit ratings. -- Transaction cash flows are sufficient to repay investors under the (P) BBB (sf), (P) BB (sf), and (P) B (low) (sf) stress scenarios in accordance with the terms of the ACHD 2026-DS1 transaction documents. 2.The origination (enrollment), servicing, and administration capabilities of Achieve. 3.The presence of (a) WSFS as Master Backup Servicer and (b) Century Support Services, LLC, as Master Backup Servicer Contractor. Morningstar DBRS considered the process, timing and mechanics around replacement of (a) the Servicer and (b) the law firm Provider, to the extent such replacement(s) were to become necessary. 4.An additional haircut to cash flows was included as a qualitative adjustment in consideration of the potential for some delay in replacing the Servicer or Provider. While such delay would be reasonably expected not to be extensive, some additional cancellations could occur. 5.Morningstar DBRS considered the potential for variation in the total amount of cash collections and the timing of such cash collections in its analysis. 6.Most of the Issuer Debt Settlement Assets are collected by initiating ACH transfers on a monthly basis from the applicable Customer's bank account to the applicable Servicer Deposit Account. The ability to initiate these ACH transfers is dependent upon the Servicer's agreements and relationship with the bank that maintains the Servicer Deposit Account. If the Master Backup Servicer or other Successor Servicer is not able to continue to initiate these ACH transfers at the time of the servicing transfer, there would be significant disruptions in collections until the Master Backup Servicer or other Successor Servicer is able to restore these capabilities with that bank or at another account bank. As a result, the Issuer Debt Settlement Assets may temporarily experience increased delinquencies and defaults. 7.The transaction includes a "full turbo" feature where all available cashflows are used to repay Notes 8.The Notes are short term, thus exposing noteholders to a limited period of time when they may be exposed to unexpected economic stress or stress induced from problems with the sponsor. 9.Customer cancellations may adversely affect collections. Customers may cancel their participation in the debt resolution program at any time without penalty. Upon cancellation, funds in the Servicer Deposit Account are refunded, after amounts applied to fees already earned. -- If a customer withdraws prior to settlement, the related Debt Settlement Asset becomes uncollectible, and no further fees may be earned. -- Customers may withdraw from the debt resolution program for financial or non-financial reasons. -- Some Customers may be unable to continue making deposits into their Dedicated Accounts due to loss of income, hardship or other financial pressures, or may choose to prioritize other payment obligations such as mortgages or auto loans. Others may withdraw due to dissatisfaction with the debt settlement process or the level of service received or to enroll with a different debt settlement company offering alternative terms or services. 10.A significant portion of the Debt Settlement Assets consists of Earned Provider DS Assets and Unearned Provider DSFs arising under the Provider Services Agreement. A significant portion of the Debt Settlement Assets depends on the Sponsor, and any termination, modification, failure, or insolvency of the Provider could adversely affect payments on the Notes. -- The performance of this portion of the Debt Settlement Assets is highly dependent on the Servicer's ability to maintain its contractual and business relationship with the Provider. If the Provider Services Agreement were to be terminated or materially modified, the Issuer could lose the ability to earn compensation associated with these assets. 11.This ABS includes receivables that are in "pre-settlement" (92.52%) and "post-settlement" (7.48%) stages (as of the Cutoff Date). These two stages present a unique aspect associated with this new asset. Pre-Settlement fees are "future receivables" that can only be turned into collections once Achieve settles with a creditor regarding the debtors enrolled debt. From a legal standpoint, during this phase, there is not technically a receivable in which the transaction has a security interest. Instead, at this point of "Pre-Settlement", the transaction holds its security interest in the "rights to receive settlement fees". 12.The enrolled debt consists of various tiers designated by Achieve. -- Low numbered credit tiers represent higher credit quality Customers and, based on the Sponsor's analysis of data available to it on any Customer, a higher likelihood of such Customer continuing to make monthly deposits, agreeing to settlements and generating fees. -- The enrolled debt listed on each Debt Resolution Agreement is likely not a complete list of a customer's debt obligations. If a customer incurs additional debt after the date of the Issuer Debt Settlement Asset, the additional debt may impair the ability of that Customer to make monthly deposits into their Dedicated Account and the Issuer's ability to receive the fees that it expects to receive on such Issuer Debt Resolution Agreement. The additional debt may adversely affect the Customer's general creditworthiness and could result in additional financial distress, insolvency, or bankruptcy. In addition, to the extent that the Customer has or incurs additional debt, the Customer may choose to make payments on other debts, rather than make monthly deposits into such Customer's Escrow Account. 13.The debt resolution industry is well regulated at the federal and state levels. The Federal Trade Commission's Telemarketing Sales Rule (TSR) is the principal federal regulation for the debt resolution industry. The regulation generally requires that Providers may not charge a fee until a debt has been resolved, the consumer has agreed to the settlement, and the consumer has made a payment towards that settlement. 14.The provision of debt settlement services requires licensure or registration with state financial regulators. Failure to hold required licenses could result in the imposition of penalties, an order to cease doing business in a state, or restitution to consumers. 15.The sizing of the reserve fund, in the context of the transaction's short tenor, is deemed to be adequate. 16.The proposed rating of (P) BBB (sf) for the Class A Notes is supported by the following considerations: -- Reserve Account that is equal to 1.00% of the total note balance as of the Closing Date, which covers 2 months of interest payments on the Notes. -- The experience and length of operating history of the Sponsor with respect to the debt settlement industry. -- Consistent historical performance data of debt settlement related assets and the concentration of debt settlement assets related to Tier 1 originations. 17.Legal opinions that are expected to address the true sale of the debt settlement assets, the non-consolidation of the trust, and that the trust has a valid perfected security interest in the assets. 18.Transaction legal structure's consistency with Morningstar DBRS's Legal Criteria for U.S. Structured finance. 19.The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update, published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the Class A Notes, Class B Notes, and Class C Notes are the related Interest Distributable Amount and the related Note Balance. Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that are not financial obligations are the related interest on any unpaid Interest Distributable Amount for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. ADAMS OUTDOOR 2026-1: Fitch Rates Class C Notes 'BB-(EXP)sf' ------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to Adams Outdoor Advertising Limited Partnership (LP), Secured Billboard Revenue Notes, Series 2026-1: - $561,100,000 class A-2 'A-(EXP)sf'; Outlook Stable; - $102,000,000 class B 'BBB-(EXP)sf'; Outlook Stable; - $102,000,000 class C 'BB-(EXP)sf'; Outlook Stable. Transaction Summary The transaction represents a securitization in the form of notes backed by approximately 10,922 outdoor advertising displays. None of the outdoor sites are secured by mortgages; rather, the notes will primarily be secured by a perfected security interest in all the issuer's right to, title to and interest in outdoor advertising sites and associated contracts, as well as the related permits and licenses, and ground leases and parcels of real estate on which the outdoor advertising structures are located. Proceeds from the series 2026-1 notes will be used to repay the series 2023-1 class A-2, class B and class C secured billboard revenue notes in full, repay all amounts outstanding under the series 2023-1 class A-1 note, and fund a distribution to equity owners. Proceeds will also be used for general corporate purposes. The series 2026-1 transaction is secured by three fixed-rate, interest-only (IO) offered notes (classes A-2, B and C) and a floating-rate, IO variable funding note (VFN; series 2023-1 class A-1). Series 2023-1 class A-1 is not being refinanced as part of this transaction and will remain outstanding following the closing date. The series 2023-1 class A-1 VFN is benchmarked to term SOFR, which is uncapped. The outstanding principal balance of series 2023-1 class A-1 is expected to be $0.0 million at closing, with proceeds capped at $145.0 million, subject to a pro forma class A leverage ratio of no greater than 5.50x, among other conditions. The transaction is structured with an anticipated repayment date of July 2031 and a legal maturity date of July 2056. As this transaction isolates the assets from the parent company, the ratings reflect a structured finance analysis of the cash flows from advertising structures, not an assessment of the corporate default risk of the ultimate parent. KEY RATING DRIVERS Non-Traditional Asset Type; Rating Cap: Due to the specialized nature of the collateral consisting primarily of outdoor advertising displays and lack of mortgages, the senior classes of this transaction do not achieve ratings above 'Asf'. Continued Cash Flow Growth/Fitch Leverage: Fitch Ratings' net cash flow (NCF) on the pool is $86.6 million, implying a Fitch stressed debt service coverage ratio of 1.19x. Fitch's NCF increased from $70.9 million at the issuance of series 2023-1 rated notes to $86.6 million for the series 2026-1 notes, which results in a 22.3% increase during a three-year time frame. The debt multiple relative to Fitch's NCF is 8.8x, which equates to a debt yield of 11.3%. Dominant Market Share/Barriers to Entry: Adams Outdoor Advertising L.P. (AOA) primarily operates in midsize markets where it is the dominant provider of outdoor advertising, with an average 81% core market share. This dominant market share adds to the predictability of the cash flow by minimizing pricing pressure from competition. AOA faces limited competition in its market as a result of the billboard permitting process, and significant federal, state and local regulations that limit supply and prohibit new billboards. Diverse Number of Assets: AOA currently operates approximately 10,922 billboard faces including 5,906 posters, 4,530 bulletins and 486 digital displays, in 13 primary markets in 10 states. In addition, no customer accounts for greater than 1.4% of revenues, and no industry accounts for greater than 12.5% of net revenues. Experienced Sponsorship and Management Team: AOA has been operating since 1983 and is currently one of the largest domestic billboard operators. AOA has shown consistent performance and has effectively managed its operations through economic cycles, reducing expenses in 2008 and 2009 during the financial crisis and, more recently, in 2020 and 2021 during the coronavirus pandemic to offset the decline in revenue. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades are limited due to the high barriers of entry and limited competition, and the sponsors ability to manage expenses to offset declines in revenue during periods of economic downturns. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades are limited due to the provision allowing the issuance of additional notes, and the non-traditional asset type and rating cap. 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 FTI Consulting, Inc. The third-party due diligence described in Form 15E focused on comparisons and re-computations of certain billboard asset attributes. 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. AIMCO CLO 16: Fitch Assigns 'BB-(EXP)sf' Rating on Class E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to AIMCO CLO 16, Ltd. reset transaction. Entity/Debt Rating ----------- ------ AIMCO CLO 16, Ltd. A-1R2 LT AAA(EXP)sf Expected Rating A-2R2 LT AAA(EXP)sf Expected Rating B-R2 LT AA(EXP)sf Expected Rating C-R2 LT A(EXP)sf Expected Rating D-1R2 LT BBB-(EXP)sf Expected Rating D-2R2 LT BBB-(EXP)sf Expected Rating E-R2 LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary AIMCO CLO 16, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Allstate Investment Management Company. The transaction originally closed in December 2021, underwent its first refinancing in July 2024, and is expected to complete its first reset on July 10, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.66 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.11% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.51% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AA+sf' for class A-1R2, between 'A-sf' and 'AA+sf' for class A-2R2, 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 class D-1R2, between less than 'B-sf' and 'BBB-sf' for class D-2R2 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 class A-1R2 and class A-2R2 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, 'A+sf' for class D-1R2, 'A-sf' for class D-2R2 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. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AIMCO CLO 16, 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. AMAPS 5: Moody's Assigns Ba3 Definitive Rating to Class C Notes --------------------------------------------------------------- Moody's Ratings assigned a definitive rating of A2 to AMAPS 5 LLC's ("AMAPS 5" and the "Issuer") Class A-1 Floating Rate Senior Secured Notes and Class A-2 Fixed Rate Senior Secured Notes, due 2052, a definitive rating of Baa2 to the Class B Floating Rate Junior Secured Notes due 2052 and a definitive rating of Ba3 to the Class C Floating Rate Junior Secured Notes due 2052. The outlook remains stable. The (P)A2 rating on the Class A-3 Floating Rate Senior Secured Term Loan will be subsequently withdrawn for business reasons. On the closing date, Class A, Class B, and Class C debts had principal balances of $3.75 billion, $500 million, and $250 million, respectively. Within the Class A debt, Class A-1 Notes, Class A-2 Notes, and Class A-3 Loans had principal balances of $1.55 billion, $500 million, and $1.7 billion, respectively. RATINGS RATIONALE The ratings reflect the Issuer's high leverage, the strong diversification of the fund's investment portfolio, the issuer's investment guidelines (which target a large percentage of high-quality assets), robust structural protections, and financial policies as well as Apollo Global Management, Inc.'s ("Apollo"; A2 stable) experience as an asset and fund manager. AMAPS 5 is a broadly diversified, actively managed credit vehicle managed by Apollo Capital Management, L.P. On a look-through basis, the portfolio is expected to have exposure to more than 500 unique obligors across corporate finance, broadly syndicated and private credit lending, asset-backed lending, and opportunistic credit investments. Portfolio diversification is achieved through investments in a range of Apollo-managed evergreen funds, alongside directly held separately managed accounts (SMA). Apollo Global Management, Inc. is a leading global alternative asset manager and retirement services provider. Apollo's asset management platform focuses on credit and equity investment strategies. As of December 31, 2025, Apollo managed $938 billion of assets, including $749 billion in fixed income strategies. Further, the ratings are constrained by the nature of the security package, in which exposure to underlying assets is effected primarily through a pledge of the Issuer's fund interests and equity interests in its obligor subsidiaries, rather than a direct pledge of a discrete pool of assets. The Class A debt is 75% of the Issuer's capital structure, the Class B notes are 10% of the Issuer's capital structure, and the Class C notes are 5% of the Issuer's capital structure. The Class A debt's rating reflects one notch of uplift from the Issuer's A3 senior fund profile ("SFP"), which considers the credit enhancement provided by subordination of the Class B notes, Class C notes and equity, as well as the structure's sequential cash flow waterfall, which provides strong protection to the Class A debtholders. Conversely, the Class B notes' rating, and the Class C notes' rating reflect their junior positions in the capital structure. In this regard, their notching reflects their higher loss exposure, including through the order in which they receive cash distributions from the underlying investment portfolio. Investment limitations to ensure quality and mitigate concentration risks that apply to the AMAPS 5's portfolio include: minimum investment grade or investment grade-equivalent (determined by Apollo) of at least 40% of investments; minimum investment grade plus high yield (or equivalent, determined by Apollo) of at least 90%; single obligor exposure of no more than 5%; individual position exposure of no more than 5%; non-USD exposure of no more than 30%; and Moody's Diversification Score of at least 75. The Issuer will invest across four different Apollo vehicles including Credit Strategies Absolute Return (approximately 20% of AMAPS 5's total allocation), Apollo Credit Fund (approximately 14% of AMAPS 5's total allocation), Apollo IG Core Fund (approximately 10% of AMAPS 5's total allocation), Apollo IG Replacement (Lux) Fund (approximately 6% of AMAPS 5's total allocation), and approximately 50% allocation to AMAPS 5 SMA. AMAPS 5 SMA is a wholly owned subsidiary of AMAPS 5 that will have direct or indirect ownership of assets, and that can help ensure Issuer's portfolio targets are met. AMAPS 5 holds limited partnership interests in Apollo-managed credit funds as well as special-purpose accounts that own assets. To mitigate the redemption risk at the underlying funds, the transaction is structured as a self-liquidating fund: after the reinvestment period (five years from the first payment date), the Issuer is generally required to seek maximum redemptions from each underlying fund. Importantly, if redemptions are delayed for an extended period and no later than the seventh anniversary of the first payment date, the structure includes a "Slowpay Right" that allows the manager and the underlying fund's manager to work in good faith to deliver the fund's pro-rata underlying assets in kind (including potentially via an SPV, withdrawal account, liquidation trust, or similar vehicle), supporting timely repayment of the debt. Elements of Moody's evaluation include: Leverage. AMAPS 5 will carry initial leverage of 90%, or slightly higher at 92.5% on a consolidated, Moody's adjusted basis, which considers portfolio exposure to equities and some assumed leverage at the underlying investment funds. Asset profile. The issuer targets a portfolio with at least 40% of its combined investments in investment grade quality assets. Based on the identified portfolio, approximately 30% carry Moody's ratings. Moody's applied internal assumptions on the assets Moody's do not rate. These assumptions are more conservative than the issuer's assumptions, which are based on ratings from other credit rating agencies or internal estimates. The average of Moody's rating assumptions for the portfolio is consistent with a B sub-factor score. Diversification. AMAPS 5's underlying diversification is a key credit strength. Through its investments in multiple Apollo funds and a direct asset account, the Issuer will have exposure to over 500 individual obligors across numerous industries and asset classes at issuance, with an expectation that the obligor count will be higher upon full deployment. Prior AMAPS vintages have increased obligor counts following issuance as the underlying funds deploy into additional assets. The identified underlying portfolio's largest single obligor is expected to comprise less than 5% of total assets, and the largest industry sector around 13%. This broad diversification mitigates idiosyncratic risk and partially offsets the higher leverage in the credit analysis. Asset Coverage. While Moody's views of Asset Coverage comprises the prior three considerations, it is also supported by the use of Moody's CDOROM. Moody's CDOROM is a Monte Carlo simulation tool that uses asset-level credit quality inputs, recovery rate assumptions, and correlation assumptions to simulate portfolio losses. Fixed Charge Coverage. The ratio of net investment income to interest expense is initially projected around 1.2×. Financial Policy. AMAPS 5's financial policy reflects robust governance standards and investment guidelines. Oversight is reinforced by a dedicated governance committee that monitors compliance with investment guidelines and risk thresholds. The underlying Apollo-managed funds are subject to their own investment and financial policies. Further, the transaction structure provides multiple safeguards for debtholders. AMAPS 5 features a sequential payment waterfall. During the five-year reinvestment period, the Issuer can reinvest principal proceeds into new investments only while compliance tests are met; otherwise, cash is diverted to amortize the debt. The Indenture includes LTV ratio tests set at 85% for Class A, 92.5% for Class B, and 95% for Class C. If asset coverage declines such that these thresholds are breached, AMAPS 5 must redirect cash to repay notes until compliance is restored. These features ensure that, in stress scenarios, available cash flows prioritize reducing leverage and protecting debtholders. There are two incentives to return principal before the seventh anniversary of the first payment date for the Class A and Class B debt. First, if Class A or Class B debt is still outstanding after that point, the manager forfeits its management fee, and the issuer pays a penalty interest of an equivalent amount to Class A or Class B debtholders. Second, a separate post-ARD additional interest will be made to Class A or Class B debtholders, prior to the Issuer making distributions to equity. Moody's have decided to withdraw the rating(s) for Moody's own business reasons. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The debt could be upgraded if 1) the AMAPS 5 underlying assets exhibited stronger credit profiles than assumed and 2) the fixed charge coverage ratio experienced sustained improvement, driven by wider spreads between AMAPS 5's portfolio yield and the borrowing cost of its debt. Considerations that could lead to a downgrade are: rising LTVs from portfolio underperformance; any cash flow insufficiencies that delay the deleveraging process, or any gating of the underlying funds with respect to redemption requests from AMAPS 5; higher proportions of equity holdings than expected or higher than expected portfolio borrowings; and declining fixed charge coverage resulting from spread compression. The principal methodology used in these ratings was Closed-end Funds published in November 2024. AMERICAN CREDIT 2026-3: S&P Assigns (P) BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to American Credit Acceptance Receivables Trust 2026-3's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of July 6, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 62.62%, 56.55%, 45.34%, 36.72%, and 32.29% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and 1.20x coverage of S&P's expected cumulative net loss (ECNL) of 26.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans and any subsequent receivables that will be added during the prefunding period, S&P's view of the collateral's credit risk, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of American Credit Acceptance LLC as servicer, and its view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A. -- The transaction's payment and legal structures. Preliminary Ratings Assigned American Credit Acceptance Receivables Trust 2026-3 Class A, $364.02 million: AAA (sf) Class B, $64.13 million: AA (sf) Class C, $146.85 million: A (sf) Class D, $120.30 million: BBB (sf) Class E, $61.04 million: BB- (sf) APEX CREDIT 2021: S&P Lowers Class E Notes Rating to 'B (sf)' ------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class D-1, D-2, D-3, and E debt from Apex Credit CLO 2021 Ltd. and removed them from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class A-F, A-N-R, B-R, and C-R debt from the same transaction. The transaction, a U.S. collateralized loan obligation managed by Apex Credit Partners LLC, was originally issued in June 2021 and last refinanced in August 2025 and will exit its reinvestment period in July 2026. S&P said, "On May 6, 2026, we placed our rating on the class D-1, D-2, D-3, and E debt on CreditWatch with negative implications primarily due to the class's declining credit support and indicative cash flow results. "The rating actions follow our review of the transaction's performance using data from the May 2026 trustee report." As of May 2026 trustee report, all overcollateralization (O/C) ratios declined from their value back in August 2025, When S&P affirmed the CLO ratings following a refinance initial post -refinancing trustee report: -- The class A/B O/C ratio declined to 126.63% from 129.79%. -- The class C O/C ratio declined to 117.36% from 120.29%. -- The class D O/C ratio declined to 108.65% from 111.36%. -- The class E O/C ratio declined to 104.60% from 107.21%. The decline in the O/C ratios is driven mainly by the portfolio's par loss and uptick in defaults since the last rating action in August 2025. Though the O/C ratios have dropped, all are currently passing. Since the last rating action, collateral obligations in the 'CCC' rating category increased to $18.93 million from $14.48 million, and defaults increased to $4.01 million from $2.89 million during the same period. The par losses sustained by the portfolio since the refinancing, coupled with an increase in defaults, have weakened both the credit support and cash flow results for the class D and E debt resulting in their downgrades. S&P said, "While the results of our cash flow analysis also indicated a rating on the class D-1 debt one-notch lower than the rating action reflects, we downgraded its rating by only one notch to 'BBB (sf)' after considering the margin of failure, the current subordination level, and the relatively low exposure to 'CCC/CCC-' rated assets. However, any deterioration and/or increase in defaults or par losses could lead to negative rating actions. "Though the cash flows for class D-2 were pointing to an affirmation, it was with very small margin. Based on its weakened subordination and the sensitivity scenarios we ran, we lowered its rating by one notch to 'BB+ (sf)'. "We lowered our ratings on the class D-3 and E debt to 'BB+ (sf)' and 'B (sf)', respectively, due to the weakening of credit support, par losses, and indicative cash flow results." The affirmed ratings on the class A-F, A-N-R, B-R, and C-R debt reflect adequate credit support at the current rating levels and passing cash flow results. Although cash flow results indicated higher ratings for the class B-R and C-R debt, S&P's actions consider that the transaction is still in its reinvestment period, reinvestment activity could change some of the portfolio characteristics. 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 notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Ratings Lowered And Removed From CreditWatch Apex Credit CLO 2021 Ltd Class D-1 (deferrable) to 'BBB (sf)' from 'BBB+ (sf)/Watch Neg' Class D-2 (deferrable) to 'BB+ (sf)' from 'BBB- (sf)/Watch Neg' Class D-3 (deferrable) to 'BB+ (sf)' from 'BBB- (sf)/Watch Neg' Class E (deferrable) to 'B (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Apex Credit CLO 2021 Ltd Class A-F: AAA (sf) Class A-N-R: AAA (sf) Class B-R: AA (sf) Class C-R (deferrable): A (sf) ASCENT CAREER 2024-1: DBRS Puts BB(low) on C Notes on Review Neg. ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed two credit ratings and placed one credit rating under review with negative implications from Ascent Career Funding Trust 2024-1. Debt Rated Rating Action ---------- ------ ------ Class A Notes A(low)(sf) Confirmed Class B Notes BBB(low)(sf) Confirmed Class C Notes BB(low)(sf) UR-Neg. Credit rating rationale includes the key analytical considerations. -- As of the April 2026 payment date, Ascent Career Funding Trust 2024-1 has amortized to a pool factor of 48.61% and has total defaults of 20.83%. Total defaults are tracking above the initial base case Morningstar DBRS Default Rate expectation of 19.50%. Consequently, the revised base case Morningstar DBRS Default Rate expectation was increased to 30.00%. The current overcollateralization (OC) percentage is 17.35% relative to the target of 24.20% of the current pool balance. Additionally, the transaction structure initially included a fully funded non-declining reserve account (RA) of 1.00% of the initial pool balance. As of the April 2026 payment date, the RA percentage is 2.27% of the current pool balance. As a result, the current level of hard credit enhancement (CE) and estimated excess spread may be insufficient to support the current credit rating on the Class C Notes and, consequently, the current credit rating has been placed under review with negative implications. While Total defaults are tracking above the initial expectation, the Class A Notes and the Class B Notes have benefited from deleveraging and have sufficient CE commensurate with the current credit ratings. -- The credit rating actions are the result of collateral performance to date and Morningstar DBRS' assessment of future performance assumptions. -- As a percentage of the current collateral balance, total delinquencies have declined during the current payment date. -- Transaction capital structure and the form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update," published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. BANK 2017-BNK6: DBRS Lowers Rating on Cl. D Certs to B(high)(sf) ---------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2017-BNK6 issued by BANK 2017-BNK6 as follows: -- Class X-D to BB (low) (sf) from BBB (low) (sf) -- Class D to B (high) (sf) from BB (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class E at CCC (sf) -- Class X-E at CCC (sf) -- Class F at C (sf) -- Class X-F at C (sf) The trends on Classes B, C, D, X-B, and X-D are Negative. All other trends are Stable with the exception of Classes E, F, X-E, and X-F, which have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS) transactions. CREDIT RATING RATIONALE -- The credit rating downgrades and Negative trends reflect the increased refinance risks for select loans in the pool, including the Starwood Capital Group Hotel Portfolio loan (Prospectus ID#4; 6.1% of the pool), Hall Office G4 loan (Prospectus ID#16; 2.2% of the pool), and several other office loans. -- The Starwood Capital Hotel Portfolio loan has been in special servicing since March 2025. An updated appraisal from April 2025 showed the portfolio value had decreased by almost 50% from issuance. -- The Hall Office G4 loan was analyzed with a liquidation scenario given the Frisco, Texas, office property lost its last tenant in December 2025. -- Total projected losses of $22.9 million from the liquidation scenarios considered with this review would erode the entire unrated Class G balance and approximately 50% of Class F, currently rated C (sf). -- The credit rating confirmations on Classes A-4, A-5, A-SB, and A-S are indicative of an otherwise strong pool of assets with a weighted-average debt service coverage ratio (DSCR) of 2.15 times (x) as of the May 2026 reporting. The pool is concentrated in loans secured by retail properties (31.4% of the pool). -- The pool also benefits from the investment-grade shadow ratings for the two largest loans in the pool, General Motors Building (Prospectus ID#1; 12.5% of the pool) and Del Amo Fashion Center (Prospectus ID#3; 8.2% of the pool). POOL/COLLATERAL OVERVIEW -- As of the May 2026 remittance, 62 of the original 72 loans remain in the pool with a trust balance of $722.6 million, reflecting a collateral reduction of 22.6% from issuance. -- Eight loans, representing 7.7% of the current pool balance, are defeased and the only loan in special servicing is the Starwood Capital Group Hotel Portfolio loan. -- Thirteen loans, representing 16.6% of the pool, are being monitored on the servicer's watchlist primarily for a low DSCR, low occupancy, and/or tenant rollover triggers. ANALYTICAL CONSIDERATIONS -- In the analysis for this review, Morningstar DBRS applied stressed capitalization (cap) rates to the most recently available year-end cash flow figures for distressed office loans to derive a stressed loan-to-value ratio (LTV). The LTVs for three office loans, representing 11.1% of the pool were adjusted upward as a result. The resulting weighted-average expected loss for those loans was more than double the pool average. -- The Starwood Capital Hotel Portfolio loan and the Hall Office G4 loan were analyzed with liquidation scenarios. -- Two additional office loans of concern, 580 Howard (Prospectus ID#33; 1.0% of the pool) and 1680 Duke Street (Prospectus ID#25; 1.4% of the pool), were analyzed with conservative liquidation scenarios because of significant tenant rollover risk, low occupancy rates, and soft office submarket fundamentals. KEY LOANS Starwood Capital Hotel Portfolio: -- At issuance, this pari passu loan was secured by a portfolio of 65 lodging properties totaling 6,366 keys across 21 states. The loan is also known as the Starwood Capital Group Hotel Portfolio and is held across 13 CMBS transactions. -- The loan has been in special servicing since March 2025 and a loan modification closed in September 2025 which served to adjust the release provisions to expedite the sale of underperforming assets. -- As of April 2026, 25 properties had been released from the pool with $148.76 million of principal paydown. Morningstar DBRS noted that all properties show as active in the investor reporting package for this transaction. -- The most recent financials reflect an annualized June 2025 net cash flow that was 60% below issuance levels. -- The portfolio was most recently appraised for $547.2 million in April 2025, down from $956.0 million at issuance. -- The analyzed liquidation scenario considered a 35% haircut to the April 2025 appraised value, reflecting consideration for the released collateral and additional cushion for further value volatility. -- The scenario resulted in a liquidation value of $355.7 million, a loss severity of 23.0%, and an allocated loss of $10.1 million for the subject trust. Hall Office G4: -- This loan is secured by a suburban office property outside of Dallas in Frisco, Texas, and matures in July 2027. The property is fully vacant after the loss of its remaining tenant in December 2025. -- The servicer advised the property is currently undergoing a feasibility study as part of a potential plan for conversion into an innovation center for the City of Frisco. -- The Q1 2026 submarket vacancy rate was 26.8%, according to Reis. -- Morningstar DBRS analyzed the loan with a liquidation scenario, applying a 70% haircut to the $25.8 million appraised value from issuance, resulting in a total loss of $8.8 million and a loss severity of 54.0%. Westchester One (Prospectus ID#5; 5.2% of the pool): -- This loan is secured by a 20-story office tower in downtown White Plains, New York, approximately 30 miles north of Manhattan. The loan matures in July 2027. -- As of the December 2025 rent roll, the property was 80.8% occupied with an average rental rate of $27.1 per square foot (psf), compared with the Q1 2026 Harrison/Rye/East submarket average occupancy and asking rental rates of 73.3% and $31.5 psf, respectively, according to Reis. -- The largest tenant, New York Life Insurance Company (21.2% of net rentable area (NRA)) is on a lease running through March 2030. -- There is scheduled rollover before June 2027 representing 18.9% of the NRA, including two of the top five tenants; over 246,000 square foot (sf) of space at the subject is listed for lease and/or sublease online. -- Morningstar DBRS derived a stressed value of $97.7 million for the property based on the in-place cash flows and a stressed cap rate of 10.0%. The loan was analyzed with a stressed LTV and an elevated probability of default adjustment. The resulting expected loss was more than 3x the pool average. 580 Howard & 1680 Duke Street: -- The 580 Howard loan is secured by a 24,105-sf office property in the central business district of San Francisco. Although the DSCR and occupancy rate remain healthy as of the September 2025 financials, Morningstar DBRS notes more than 70.0% of the NRA is scheduled to roll before loan maturity in May 2027. -- Morningstar DBRS analyzed the loan with a liquidation scenario based on a 65% haircut to the issuance value; however, the loss severity was below 10% as the going in LTV was very low for this loan. -- The 1680 Duke Street loan is secured by a 47,755-sf suburban office property in Alexandria, Virginia. The loan is currently on the servicer's watchlist for a low occupancy rate, last reported at 48.0% in December 2025. -- The decline in occupancy is tied to the downsizing of the largest tenant, National School Board Association, by more than 75.0%; that development also triggered a cash flow sweep. Morningstar DBRS analyzed the loan with a conservative liquidation scenario based on a 65% haircut to the issuance value given the low in-place occupancy, with the resulting loss severity around 35%. SHADOW-RATED LOANS General Motors Building and Del Amo Fashion Center: -- Morningstar DBRS maintained the shadow ratings on the General Motors Building and Del Amo Fashion Center loans. Morningstar DBRS confirms that the characteristics of the two loans remain consistent with the investment-grade shadow ratings, as supported by the strong credit metrics, strong sponsorship strength, and the historically stable performance of the collateral underlying those loans. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, X-D, X-E, and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2018-BNK10: DBRS Cuts Rating on Two Tranches to CCCsf ---------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded the credit ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2018-BNK10 issued by BANK 2018-BNK10 as follows: -- Class D to BB (sf) from BBB (low) (sf) -- Class X-D to BB (high) (sf) from BBB (sf) -- Class E to B (sf) from BB (low) (sf) -- Class X-E to B (high) (sf) from BB (sf) -- Class F to CCC (sf) from B (low) (sf) -- Class X-F to CCC (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) Morningstar DBRS changed the trends on Classes C, D, E, X-B, X-D, and X-E to Negative from Stable. The trends on all remaining classes are Stable with the exception of Classes F and X-F, which have credit ratings that typically do not carry a trend in commercial mortgage-backed securities (CMBS) transactions. CREDIT RATING RATIONALE -- The credit rating downgrades and trend changes reflect ongoing concerns about several distressed office loans in the pool that are nearing maturity dates in late 2027 and early 2028. Morningstar DBRS expects that these loans will continue to underperform and/or their collateral values could further deteriorate in the near-to-moderate term as they are subject to significant tenant rollover, soft office submarkets, and low occupancy rates/debt service coverage ratios (DSCRs). -- Five office loans exhibiting elevated risks were analyzed with liquidation scenarios as part of this review, which resulted in a total projected loss of $36.1 million that would write down approximately 85% of the unrated Class G balance, further supporting the credit rating downgrades and trend changes. -- The credit rating confirmations and Stable trends for the senior bonds reflect the otherwise healthy risk profiles for the remaining loans in the pool as evidenced by the high weighted-average (WA) DSCR. -- No loans in special servicing and two loans, shadow-rated as investment grade and accounting for 11.1% of the current pool balance, are among the top 15. POOL/COLLATERAL OVERVIEW -- As of the May 2026 remittance, 63 of the original 68 loans remain in the pool with a trust balance of $1.2 billion, reflecting a collateral reduction of 7.2% from issuance. -- Fifteen loans, representing 26.9% of the pool, are being monitored on the servicer's watchlist primarily for low DSCRs and/or upcoming maturity dates. ANALYTICAL CONSIDERATIONS -- The liquidation scenarios considered for five loans with elevated refinance risks contributed $36.1 million of projected losses and an average loss severity of 35.0%. -- In the analysis for this review, Morningstar DBRS applied stressed capitalization (cap) rates to the most recently available year-end cashflow figures for two additional office loans and two loans backed by hotel collateral to derive stressed loan-to-value ratios (LTVs) and increase the expected loss (EL) in the model. Those four loans, representing 11.0% of the pool, had a WA EL that was almost 4 times (x) the pool average. KEY LOANS Wisconsin Hotel Portfolio (Prospectus ID#4; 5.0% of the pool) -- The loan is secured by a portfolio of 11 limited-service and extended-service hotels across Wisconsin. -- The loan was added to the servicer's watchlist in January 2026 for a DSCR below 1.0x. -- The drop in cashflow is expense driven. Revenues have seen moderate growth but have been unable to keep up with increases in operating expenses. -- Both average daily rate and revenue per available room figures lagged those of the competitive set as of YE2025. -- Morningstar DBRS believes the value of the property has declined from the issuance appraised value of $118.0 million. In the analysis for this review, Morningstar DBRS applied a stressed LTV of 104.2%, reflective of a value estimate of $57.9 million. The value estimate considered a cap rate of 9.0%, which was applied to the YE2025 net cash flow (NCF); this approach increased the EL in the model to more than twice the pool average. 2020 Southwest 4th Avenue (Prospectus ID#8; 3.7% of the pool) -- This loan is secured by a Class A office building in Portland, Oregon. -- Occupancy declined by more than 20.0% between 2023 and 2025 following the departure of a major tenant and the largest tenant's downsizing of its footprint in exchange for a new seven-year lease with no termination or contraction options. -- According to a site inspection from March 2026, the second-largest tenant (8.2% of the net rentable area (NRA)) had vacated and the suite was dark. The tenant is expected to make contractual rent payments until its February 2028 lease expiration. -- Although the DSCR remains healthy, the YE2025 NCF was 20.0% below issuance levels. -- Given the decline in occupancy and soft submarket vacancy rate of 29.2% according to Reis, Morningstar DBRS opted to liquidate the loan in the analysis based on an estimated as-is value of $34.9 million. The value estimate reflects a 9.5% cap rate applied to the YE2025 NCF. The resulting projected loss was $9.9 million with a loss severity of 22.0%. One Newark Center (Prospectus ID#12; 2.6% of the pool) -- The loan is secured by a Class A office tower in Newark, New Jersey. -- According to the YE2025 financials, the DSCR and occupancy rate have recovered to 1.27x and 77.0%, respectively; however, the NCF remains 17.0% below issuance levels. -- According to the June 2025 rent roll, the most recent on file, eight leases, representing 19.3% of the NRA, have expired or are scheduled to expire in the next 12 months. -- The property reports a average rental rate comparable with the Newark submarket, however, its vacancy rate continues to underperform the submarket, which Reis reported at 18.5% as of Q1 2026. -- This property's continued lag in performance compared with the submarket, particularly given the high concentration of scheduled roll, was a factor considered in Morningstar DBRS' analysis. -- Morningstar DBRS liquidated the loan from the pool based on a stressed value of $44.6 million (based on a 9.5% cap rate and a 15% haircut to the YE2025 NCF), with a total loss of $8.3 million and a loss severity of 27.0%. -- Three additional loans of concern -- 11311 McCormick Road (Prospectus ID#16; 1.8% of the pool), Rainbow Sunset Pavilion - NV (Prospectus ID#18; 1.6% of the pool), and F5 Networks (Prospectus ID#44; 0.4% of the pool) -- were also liquidated in Morningstar DBRS' analysis as a result of soft office submarkets, low DSCRs, and/or significant upcoming tenant rollover. -- The property backing the F5 Networks loan is dark, with the sole tenant's lease expiration upcoming in August 2026. -- The total projected loss amount across those three loans was $17.9 million with an average loss severity of 42.0%. SHADOW-RATED LOANS The Apple Campus 3 (Prospectus ID #1; 7.9% of the pool) and Moffett Towers II - Building 2 (Prospectus ID#10; 3.2% of the pool) loans each represent pari passu pieces of larger loans held across several CMBS transactions. -- With this review, Morningstar DBRS maintained the shadow ratings on both loans given their continued performances in line with investment-grade characteristics as supported by the investment-grade tenancy (in place on a long-term lease in the case of the Apple Campus 3 loan), strong credit metrics, and strong sponsorship strength. -- It is noteworthy that the single tenant in the Moffett Towers II - Building 2 property, Amazon, has a lease that expires in April 2028. The lead transaction is the WFCM 2018-C43 deal, also rated by Morningstar DBRS; that deal's May 2026 loan-level reserve report appears to confirm the cash flow sweep that was to begin if the lease was not renewed within 24 months of the lease expiry date has been initiated. -- The report shows deposits of around $555,000 being collected each month and a reserve balance of around $2.2 million reported to be on hand. Morningstar DBRS has requested a leasing update and an update on whether the loan has been placed on the servicer's watchlist given the initiation of the cash flow sweep. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, X-D, X-E, and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2022-BNK39: DBRS Confirms BB(low) Rating on Cl. G Certs ------------------------------------------------------------ DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2022-BNK39 issued by BANK 2022-BNK39 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-3-X1 at AAA (sf) -- Class A-3-X2 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-4-1 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-4-X1 at AAA (sf) -- Class A-4-X2 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class B at AA (high) (sf) -- Class B-1 at AA (high) (sf) -- Class B-2 at AA (high) (sf) -- Class B-X1 at AA (high) (sf) -- Class B-X2 at AA (high) (sf) -- Class C at AA (low) (sf) -- Class C-1 at AA (low) (sf) -- Class C-2 at AA (low) (sf) -- Class C-X1 at AA (low) (sf) -- Class C-X2 at AA (low) (sf) -- Class D at A (sf) -- Class X-D at BBB (high) (sf) -- Class E at BBB (sf) -- Class X-F at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class X-G at BB (sf) -- Class G at BB (low) (sf) All trends are Stable. CREDIT RATING ACTION RATIONALE -- The credit rating confirmations reflect the overall stable performance of the pool since issuance, with a moderate concentration of loans on the servicer's watchlist and no specially serviced or delinquent loans as of the May 2026 reporting. -- Cash flows overall are stable, with the 15 largest loans, representing 66.4% of the pool, reporting a weighted-average (WA) improvement of nearly 7.0% when comparing the most recent year-end financials to issuance figures. POOL/COLLATERAL OVERVIEW -- As of the May 2026 remittance, all 66 of the original loans remain in the pool with a trust balance of $1.2 billion, reflecting a collateral reduction of 0.9% since issuance. -- Amortization is limited through the life of the deal as 43 loans, representing 80.1% of the pool balance, are interest only (IO) for their full term. An additional six loans, representing 5.6% of the pool balance, have partial IO periods that remain in place. The lack of amortization is partially offset by the pool's favorable leverage metrics with Morningstar DBRS WA issuance and balloon loan-to-value ratios (LTVs) of 53.7% and 52.0%, respectively, primarily driven by very low LTVs from the shadow-rated loans and co-operative loans. -- By property type, the pool is most concentrated by loans backed by multifamily, office, and retail properties, which represent 27.1%, 21.1%, and 20.1% of the pool, respectively. One loan, representing 0.2% of the pool, is secured by collateral that has been fully defeased. -- There are nine loans, representing 18.9% of the pool on the servicer watchlist, with a WA debt service coverage ratio (DSCR) of 2.37 times (x) based on the most recent year-end financials. The majority of the loans were flagged for deferred maintenance and/or upcoming lease expirations associated with cash flow sweep triggers. ANALYTICAL CONSIDERATIONS -- In the analysis for this review, Morningstar DBRS calculated updated LTVs using in-place net cash flows (NCFs) and market capitalization (cap) rates for one loan, Madonna Plaza and, where applicable, applied elevated probabilities of default (PODs). The resulting WA expected loss (EL) for these loans was more than 3.0x greater than the pool average EL. KEY LOANS Madonna Plaza (Prospectus ID#8; 3.8% of the pool) -- This loan is secured by a 287,129-square-foot (sf) retail center in San Luis Obispo, California. -- The property's former largest tenant, Kohl's (21.8% of net rentable area (NRA)), vacated in March 2025 but paid rent through its lease expiration in January 2026. Prior to cash management being triggered, a $2.5 million letter of credit (the Kohl's deposit amount) was pledged. -- The departure reduces occupancy to approximately 72% from 94% as of December 2024. The three largest remaining tenants are Ralphs (18.1% of NRA; lease expires September 2026), Best Buy (10.5%; March 2028), and Ross Dress for Less (7.7%; January 2030). -- Historically, the property has demonstrated stable performance, with occupancy above 90% and DSCR above 1.50x. While the Kohl's departure increases vacancy and may reduce foot traffic, the tenant contributed only approximately $0.5 million in annual rent. As a result, the DSCR is projected to remain above breakeven. -- At issuance, Morningstar DBRS derived an NCF of $3.5 million, representing a 17.6% haircut to the issuer's underwritten figure, primarily driven by market rent adjustments and vacancy assumptions. Following Kohl's departure, Morningstar DBRS expects performance to align closely with this figure. -- The sponsor has demonstrated a strong leasing track record, including redeveloping the former Sears box for Ross Dress for Less and backfilling the Petco space with Party City and Five Below. -- The loan benefits from structural protections against rollover risk, including a holdback tied to DSW's early termination option and a hard lockbox with springing cash management if major tenants do not renew. As of the May 2026 reporting, the loan had approximately $2.7 million in reserves to aid re-leasing efforts. 5 Crosby Street (Prospectus ID#9; 3.7% of the pool) -- This loan is secured by a 70,074-sf office building in New York's SoHo neighborhood. -- At its prior review, Morningstar DBRS flagged concerns related to Lemonade's tenancy (80.3% of NRA), given its November 2025 lease expiration and partial renewal covering only two of five floors, with the remaining space sublet. -- As of the January 2026 rent roll, the property was 100% occupied by three tenants: Lemonade (32.3% of NRA), Anysphere (32.2%), and Front Row (16.1%). All have executed lease extensions through Q1 2029, at a WA rental rate of $76.80 per square foot (psf), exceeding Lemonade's previous rate of $68.30 psf. -- According to Reis, Inc., the South Broadway submarket reported a 14.6% vacancy rate and average asking rent of $75.70 psf as of Q1 2026, compared with the property's average rental rate of $85.75 psf. -- Despite strong leasing momentum supporting near-term stability through 2029, tenants representing nearly 90% of the tenant base have lease expirations prior to the loan's 2031 maturity, indicating potential elevated refinance risk if market conditions soften. -- The loan includes structural protections against rollover risk, such as a $1.25 million upfront tenant improvement/leasing commission reserve and additional funds accumulated through a cash flow sweep triggered by Lemonade's original lease expiration, totaling approximately $2.5 million as of May 2026. SHADOW-RATED LOANS 601 Lexington Avenue (Prospectus ID#1; 9.2% of the pool) 333 River Street (Prospectus ID#3; 6.3% of the pool) CX - 350 & 450 Water Street (Prospectus ID#7; 4.4% of the pool) Park Avenue Plaza (Prospectus ID#11; 2.9% of the pool) -- These loans benefit from low going-in and balloon A-note LTVs ranging between 31.9% and 50.5%, based on the Morningstar DBRS values derived at issuance and DSCRs of more than 3.00x. For this review, Morningstar DBRS maintained the shadow ratings as loan performance trends remained consistent with investment-grade loan characteristics. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes A-3-X1, A-3-X2, A-4-X1, A-4-X2, A-S-X1, A-S-X2, B-X1, B-X2, C-X1, C-X2, X-A, X-B, X-D, X-F, and X-G are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2026-BNK52: DBRS Gives (P)BB(low) Rating to Class F Certs -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-BNK52 (the Certificates) to be issued by BANK 2026-BNK52 (the Trust): -- Class A-1 at (P) AAA (sf) -- Class A-SB at (P) AAA (sf) -- Class A-4 at (P) AAA (sf) -- Class A-4-1 at (P) AAA (sf) -- Class A-4-2 at (P) AAA (sf) -- Class A-4-X1 at (P) AAA (sf) -- Class A-4-X2 at (P) AAA (sf) -- Class A-5 at (P) AAA (sf) -- Class A-5-1 at (P) AAA (sf) -- Class A-5-2 at (P) AAA (sf) -- Class A-5-X1 at (P) AAA (sf) -- Class A-5-X2 at (P) AAA (sf) -- Class X-A at (P) AAA (sf) -- Class X-B at (P) A (high) (sf) -- Class A-S at (P) AAA (sf) -- Class A-S-1 at (P) AAA (sf) -- Class A-S-2 at (P) AAA (sf) -- Class A-S-X1 at (P) AAA (sf) -- Class A-S-X2 at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class B-1 at (P) AA (sf) -- Class B-2 at (P) AA (sf) -- Class B-X1 at (P) AA (sf) -- Class B-X2 at (P) AA (sf) -- Class C at (P) A (sf) -- Class C-1 at (P) A (sf) -- Class C-2 at (P) A (sf) -- Class C-X1 at (P) A (sf) -- Class C-X2 at (P) A (sf) -- Class X-D at (P) BBB (high) (sf) -- Class X-E at (P) BBB (low) (sf) -- Class X-F at (P) BB (sf) -- Class D at (P) BBB (sf) -- Class E at (P) BB (high) (sf) -- Class F at (P) BB (low) (sf) All trends are Stable. The Class X-D, Class X-E, Class X-F, Class X-G, Class D, Class E, Class F, Class G, Class V, and Class R Certificates will be privately placed. The Class A-4-1, Class A-4-2, Class A-4-X1, Class A-4-X2, Class A-5-1, Class A-5-2, Class A-5-X1, Class A-5-X2, Class A S-1, Class A-S-2, Class A-S-X1, Class A-S-X2, Class B-1, Class B-2, Class B-X1, Class B-X2, Class C-1, Class C-2, Class C-X1, and Class C-X2 certificates are also offered certificates. Such classes of certificates, together with the Class A-4, Class A-5, Class A-S, Class B, and Class C certificates, constitute the Exchangeable Certificates. The Class A-1, Class A-SB, Class D, Class E, Class F, and Class G certificates, together with the Exchangeable Certificates with a certificate balance, are referred to as the principal balance certificates. CREDIT RATING RATIONALE/DESCRIPTION The collateral for the BANK 2026-BNK52 transaction consists of 70 loans secured by 79 commercial and multifamily properties with an aggregate cut-off date balance of approximately $749.8 million. One loan (10 Union Square East), representing 7.1% of the pool, was shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS analyzed the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. The pool's Morningstar DBRS Weighted-Average (WA) Issuance Loan-to-Value Ratio (LTV) was 48.7% and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 46.9% at maturity based on the A note balances. Excluding the shadow-rated loan and co-op loans, the deal exhibits a Morningstar DBRS WA Issuance LTV of 58.8% and a Morningstar DBRS WA Balloon LTV of 56.7%. Six loans in the pool, representing 15.9% of the pool balance, have a Morningstar DBRS LTV of 67.6% and above. In comparison, five loans, representing 10.9% of the pool, have an appraised LTV of 67.6% or above. Loans with appraised LTV ratios of 67.6% and above have historically seen higher default frequency in historical CMBS transactions. When the cut-off balances were measured against the Morningstar DBRS NCF and their respective constants, the initial Morningstar DBRS WA Debt Service Coverage Ratio (DSCR) of the pool was 2.88 times (x). Excluding this shadow-rated loan and loans secured by co-ops, this figure decreases to 1.74x. Eight loans in the pool, representing 22.2% of the pool balance, have a Morningstar DBRS DSCR of below 1.37x. In comparison, there are only three loans (Sheraton Denver Downtown Hotel, Ward's Crossing, and Pecan Ridge MHC), representing 5.7% of the pool, that have an Issuer DSCR of below 1.37x. Loans with Issuer Issuance DSCRs lower than 1.37x have historically had higher default frequencies than loans with Issuance DSCRs above this threshold. The transaction has a sequential-pay pass-through structure. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and/or Interest Distribution Amounts of the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, yield maintenance charges and prepayment premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, X-D, X-E, and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. BANK 2026-BNK52: Fitch Assigns 'B-sf' Rating on Two Tranches ------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BANK 2026-BNK52, Commercial Mortgage Pass-Through Certificates, Series 2026-BNK52 as follows: - $12,080,000 class A-1 'AAAsf'; Outlook Stable; - $18,255,000 class A-SB 'AAAsf'; Outlook Stable; - $169,050,000ab class A-4 'AAAsf'; Outlook Stable; - $0b class A-4-1 'AAAsf'; Outlook Stable; - $0abc class A-4-X1 'AAAsf'; Outlook Stable; - $0b class A-4-2 'AAAsf'; Outlook Stable; - $0abc class A-4-X2 'AAAsf'; Outlook Stable; - $299,199,000ab class A-5 'AAAsf'; Outlook Stable; - $0b class A-5-1 'AAAsf'; Outlook Stable; - $0abc class A-5-X1 'AAAsf'; Outlook Stable; - $0b class A-5-2 'AAAsf'; Outlook Stable; - $0abc class A-5-X2 'AAAsf'; Outlook Stable; - $498,584,000c class X-A 'AAAsf'; Outlook Stable; - $91,704,000b class A-S 'AAAsf'; Outlook Stable; - $0b class A-S-1 'AAAsf'; Outlook Stable; - $0bc class A-S-X1 'AAAsf'; Outlook Stable; - $0b class A-S-2 'AAAsf'; Outlook Stable; - $0bc class A-S-X2 'AAAsf'; Outlook Stable; - $31,161,000b class B 'AA-sf'; Outlook Stable; - $0b class B-1 'AA-sf'; Outlook Stable; - $0bc class B-X1 'AA-sf'; Outlook Stable; - $0b class B-2 'AA-sf'; Outlook Stable; - $0bc class B-X2 'AA-sf'; Outlook Stable; - $24,039,000b class C 'A-sf'; Outlook Stable; - $0b class C-1 'A-sf'; Outlook Stable; - $0bc class C-X1 'A-sf'; Outlook Stable; - $0b class C-2 'A-sf'; Outlook Stable; - $0bc class C-X2 'A-sf'; Outlook Stable; - $146,904,000c class X-B 'A-sf'; Outlook Stable; - $18,697,000d class D 'BBB-sf'; Outlook Stable; - $18,697,000cd class X-D 'BBB-sf'; Outlook Stable; - $14,245,000d class E 'BB-sf'; Outlook Stable; - $14,245,000cd class X-E 'BB-sf'; Outlook Stable; - $8,013,000d class F 'B-sf'; Outlook Stable; - $8,013,000cd class X-F 'B-sf'; Outlook Stable; The following classes are not 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) Since Fitch published its expected ratings on June 9, 2026, the balances for classes A-4 and A-5 were finalized. The initial certificate balance of the class A-4 was expected to be in the range of $0 to $200,000,000, and the initial aggregate certificate balance of the class A-5 was expected to be in the range of $268,249,000 to $468,249,000. The final class balances for classes A-4 and A-5 are $169,050,000 and $299,199,000, respectively. The class A-4-X1 and class A-4-X2 trust components 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 have initial notional amounts equal to the initial certificate balance of the class A-5 trust component. (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 Trimont LLC and National Cooperative Bank, N.A., and the special servicers are CWCapital Asset Management LLC and National Cooperative Bank, N.A. The trustee is Deutsche Bank National Trust Company and the certificate administrator is Computershare Trust Company, N.A. Park Bridge Lender Services LLC is the operating advisor and asset representations reviewer. The certificates will follow a sequential paydown structure. 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 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' / '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. BANK5 2026-5YR22: DBRS Finalizes BBsf Rating on Class G-RR Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-5YR22 (the Certificates) issued by BANK5 2026-5YR22: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at A (high) (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class X-D at BBB (high) (sf) -- Class X-E at BBB (sf) -- Class X-F at BBB (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class G-RR at BB (sf) All trends are Stable. Classes X-D, X-E, X-F, D, E, F, and G-RR will be privately placed. CREDIT RATING RATIONALE/DESCRIPTION The collateral for the BANK5 2026-5YR22 transaction consists of 27 fixed-rate loans secured by 184 commercial and multifamily properties with an aggregate cut-off date balance of $852.2 million. One loan, representing 9.6% of the total pool, is shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS analyzed the remainder of the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS Net Cash Flow and their respective constants, the Morningstar DBRS Weighted-Average (WA) Issuance Debt Service Coverage Ratio (DSCR) of the pool was 1.41 times (x) when the shadow-rated loans are included and 1.38x when the shadow-rated loans are excluded. The pool's Morningstar DBRS WA Issuance Loan-to-Value Ratio (LTV) was 62.6%, and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 62.5% at maturity based on the A note balances. Excluding the shadow-rated loans, the deal exhibits a moderate Morningstar DBRS WA Issuance LTV of 64.0% and a Morningstar DBRS WA Balloon LTV of 63.8%. Eight loans, making up about 37.7% of the total pool, exhibit a Morningstar DBRS Issuance LTV of higher than 67.6%. This threshold typically correlates to an above-average default frequency. Thirteen loans, representing 50.1% of the pool, exhibited a Morningstar DBRS Issuance DSCR at or below 1.31x, which is typically the threshold that indicates a higher likelihood of midterm default. The transaction has sequential-pay pass-through structure. The second-largest loan in the pool, Mountain Industrial Portfolio, representing 9.6% of the total pool balance, exhibited credit characteristics consistent with a shadow rating of BBB. One loan, representing 3.6% of the pool, is in an area with a Morningstar DBRS Market Rank of 7, which is indicative of dense urban areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Additionally, 10 loans, comprising 46.4% of the pool, are in areas with Morningstar DBRS Market Ranks of 5 or 6, which are indicative of less dense urban areas and have historically shown lower default frequencies than suburban, tertiary, and rural markets. Eight loans, representing 31.9% of the pool, are in Morningstar DBRS Metropolitan Statistical Area (MSA) Group 3, the best-performing group in terms of historical CMBS default rates among the top 25 MSAs, while five loans, representing 16.8% of the pool, are in Morningstar DBRS MSA Group 1, the worst-performing group. Nine loans, representing 30.4% of the pool, have Morningstar DBRS Issuance LTVs below 60.9%; this threshold typically represents relatively low-leverage financing and generally is associated with below-average default frequency. The pool's Morningstar DBRS WA Issuance LTV is relatively low at 62.6% (64.0% excluding shadow ratings) and the Morningstar DBRS WA Balloon LTV is 62.5% (63.8% excluding the two shadow-rated loans). The Morningstar DBRS WA DSCR of 1.41x (1.38x excluding the shadow-rated loans) is relatively high for a conduit transaction; this is particularly high when compared with the current interest rate environment where DSCRs have been severely constrained, as debt service payments have nearly doubled since mid-2022. None of the loans in the pool have a Morningstar DBRS DSCR below 1.00x and only 13.1% of the pool have Morningstar DBRS DSCRs below 1.21x. The pool has a total of 11 loans, accounting for 41.8% of the total pool, that are secured by multifamily, manufactured housing community, or self-storage properties. These property types are considered to be more stable and have historically seen lower default frequencies. The 27-loan pool results in a Herfindahl (Herf) score of 17.4, with the top 10 loans representing 67.7% of the transaction by cut-off date trust balance, and the largest loan representing 10.0% of the cut-off date trust balance. While the Herf score for the subject transaction is higher than the Herf score for the WFCM 2025-5C7 transaction (17.2) and the WFCM 2025-5C6 transaction (16.4), it is lower than the Herf scores of most of the other recent multi-borrower conduits rated by Morningstar DBRS, including BANK5 2026-5YR21 (18.0), BANK5 2026-5YR20 (18.3), WFCM 2026-5C8 (18.0), BANK5 2025-5YR19 (24.1), and BANK5 2025-5YR17 (24.1). In addition, the pool has a slightly elevated concentration of loans in California, with six loans comprising 28.9% of the pool balance, meaning that changes in California government policy or economic trends could negatively affect more than a quarter of the pool. Twenty-three loans, representing 84.3% of the pool, are being used to refinance debt. Morningstar DBRS views loans that refinance existing debt as more credit negative when compared with loans in which the proceeds are used to finance an acquisition. Acquisition financing typically demonstrates a meaningful cash investment from the sponsor, which helps to align the interests more closely with the lenders, whereas a refinance transaction may be a cash neutral or cash-out transaction, the latter of which may reduce the borrower's commitment to a property. Twenty-five of the loans, representing 95.9% of the pool, have interest-only (IO) payment structures throughout the loan term. Loans with IO payment structures potentially face refinance risk at maturity if the appraised values do not remain stable. The remaining loan amortizes over its full loan term with no periods of IO payments. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and/or Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Prepayment Premiums and Yield Maintenance Charges. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, X-D, X-E, and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BATTALION CLO XVIII: S&P Lowers Class E-R Notes Rating to 'B-(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class D-R and E-R debt from Battalion CLO XVIII Ltd. and removed them from CreditWatch negative. S&P also affirmed its ratings on the class A-RR, B-RR, and C-RR debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the May 5, 2026, trustee report. The transaction, a broadly syndicated U.S. CLO managed by Brigade Capital Management L.P., was originally issued in October 2020. It underwent the first reset in October 2021 and the second refinancing in August 2025. It will exit its reinvestment period in October 2026. On May 6, 2026, S&P had placed its ratings on the class D-R and E-R debt on CreditWatch negative primarily due to each class's declining credit support and indicative cash flow results. Since S&P's last rating action in August 2025 when the CLO refinanced a portion of its debt, following are the changes to the overcollateralization (O/C) ratios as noted in the May 2026 trustee report compared with the September 2025 trustee report: -- The class A/B O/C ratio declined to 125.74% from 127.67%. -- The class C O/C ratio declined to 116.54% from 118.33%. -- The class D O/C ratio declined to 108.60% from 110.26%. -- The class E O/C ratio declined to 103.88% from 105.47%, The decline in the O/C ratios is driven mainly by the portfolio's par loss. In addition, some portfolio credit metrics have weakened between September 2025 and May 2026 and these also affected the cash flow results: -- S&P Global Ratings' weighted average spread decreased to 3.39% from 3.58%. -- Collateral obligations in the 'CCC' rating category increased to $27.49 million from $20.57 million. -- Defaults increased to $3.26 million from $2.94 million. On the other hand, S&P Global Ratings' weighted average recovery rate on the 'AAA (sf)' rated debt increased to 38.50% from 38.00% during this period, all the coverage tests continue to pass, and the portfolio currently has a very low exposure to obligors rated 'CCC' or 'CCC-'. S&P said, "As the class C-RR, D-R, and E-R debt were no longer passing cash flows and their credit subordination was not commensurate with their respective previous rating levels, we lowered our ratings on the class D-R to 'BB+ (sf)' and the class E-R to 'B- (sf)'. Though the cash flow results indicated a lower rating for the class E-R debt, our action considered its current subordination level and the relatively low exposure to the 'CCC' and 'CCC-' rated obligations, and reflects our opinion that it is currently neither vulnerable to nonpayment nor dependent upon favorable conditions to meet its financial commitments as per our 'CCC' ratings definitions. "While the results of our cash flow analysis also indicated a one-notch lower rating on the class C-RR debt than the rating action reflects, we affirmed its rating after considering the passing trustee O/C, low exposure to 'CCC'/'CCC-' rated assets, and the potential improvement if paydowns commence following the end of the reinvestment period in October 2026. However, any deterioration and/or increase in defaults or par losses could lead to negative rating actions." The affirmed ratings on the class A-RR and B-RR 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." 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. Ratings Lowered And Removed From CreditWatch Battalion CLO XVIII Ltd. Class D-R (deferrable) to 'BB+ (sf)' from 'BBB- (sf)/Watch Neg' Class E-R (deferrable) to 'B- (sf)' from 'B (sf)/Watch Neg' Ratings Affirmed Battalion CLO XVIII Ltd. Class A-RR: 'AAA (sf)' Class B-RR: 'AA (sf)' Class C-RR (deferrable): 'A (sf)' BAY TRUST 2026-MDWS: DBRS Gives (P)B(low) Rating on Cl. HRR Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-MDWS (the Certificates) to be issued by BAY Trust 2026-MDWS (BAY 2026-MDWS): -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (low) (sf) -- Class F at (P) B (high) (sf) -- Class HRR at (P) B (low) (sf) All trends are Stable. The BAY 2026-MDWS single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in a 1,026,874-square-foot (sf), Class A office campus in San Mateo, California. The subject property consists of five four-story buildings, known as Stations, that are 100% occupied. Roblox is the largest tenant with 940,275 sf, representing 91.6% of net rentable area (NRA). The only other office tenants, Workday and Freshworks, represent 3.3% and 2.0% of NRA, respectively. The retail space is limited to Stations 3 and 4, and the largest tenant is a chain fitness facility representing 0.5% of NRA. The in-place rent roll represents a weighted-average lease term of 8.3 years. The floating-rate loan has an initial two-year term with three one-year extension options and is interest only throughout. Loan proceeds of $700.0 million will refinance $600.0 million of existing debt, fund $56.4 million in upfront reserves, return $33.6 million of equity to the sponsor, and cover closing costs. The loan represents a Morningstar DBRS Loan-to-Value Ratio of 92.1%. Roblox has been a tenant at the property since 2023 and has continued to expand its footprint as space becomes available. It initially executed a direct lease in March 2022 for 442,111 sf (43.1% of NRA) in Stations 1 and 5. Soon after, Roblox subleased 179,496 sf in Station 2 followed by another sublease for space in Station 4 in March 2024, bringing its total leased area to 754,744 sf (73.5% of NRA). Roblox has since executed direct leases at Stations 2, 3, and 4. Roblox has already signed direct leases for Stations 6 and 7, currently under construction, but they are not collateral for the transaction. Roblox is an online gaming platform that was founded in March 2004 and went public in 2021. The platform has grown exponentially in recent years and is an established leader in the gaming world. As per its company reporting in May 2026, Roblox had a market cap of $39.6 billion and achieved nearly $5.0 billion in revenue in 2025. The platform does not have a traditional content-maturity label and its user base spans a broad spectrum from young children to adults to seniors. This has been the focus of ongoing criticism of the platform, particularly regarding child safety. As a result, six U.S. states are engaged in active lawsuits against Roblox and the platform is banned in several countries, including Turkey and Russia. In response to increasing regulatory scrutiny and public pressure, Roblox has implemented access restrictions, such as age verification and age-segmented experiences. These measures have introduced some friction in user growth and engagement, which has raised concerns about Roblox's earlier rapid expansion and its position as a high-growth leader within the online gaming ecosystem. The number of daily users declined by more than 8.0% from Q4 2025 to Q1 2026 and more than 13.0% since Q3 2025. The sponsor for this transaction is Stockbridge Real Estate Fund (Stockbridge), and the borrowers are indirectly 99% owned by the sponsor. The remaining portion of the equity is indirectly owned by Wilson Meany, the property manager and developer of the subject properties. Stockbridge is a real estate investment firm, founded in 2003 and headquartered in San Francisco. Stockbridge Capital, the general partner behind Stockbridge, has more than $37.1 billion of assets under management across the continental U.S. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts of the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Spread Maintenance Payments, or Applied Realized Loss Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BBAM US IV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to BBAM US CLO IV, Ltd. Entity/Debt Rating ----------- ------ BBAM US CLO IV, Ltd. X-R LT AAAsf New Rating A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Transaction Summary BBAM US CLO IV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by RBC Global Asset Management (U.S.) Inc. that originally closed in June 2024. Fitch did not rate the original transaction. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.88 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 98.54% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.15% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'B+sf' and 'AA+sf' for class A-2-R, between 'B+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R, and 'BBB+sf' for class E-R. 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 BBAM US CLO IV, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BBAM US VII: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to BBAM US CLO VII, Ltd. Entity/Debt Rating ----------- ------ BBAM US CLO VII, Ltd. A-1 LT NRsf New Rating A-1L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary BBAM US CLO VII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by RBC Global Asset Management (U.S.) Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.13 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 98.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.42% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is reduced up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+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, between less than 'B-sf' and 'BBBsf' 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, 'AA+sf' for class C, 'A+sf' for class D-1, and 'A+sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for BBAM US CLO VII, 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. BBCMS 2021-AGW: DBRS Confirms 'CCCsf' Rating on Two Tranches ------------------------------------------------------------ DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Pass-Through Certificates issued by BBCMS 2021-AGW Mortgage Trust, Series 2021-AGW as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-NCP at BBB (low) (sf) -- Class D at BB (high) (sf) -- Class E at B (low) (sf) -- Class F at CCC (sf) -- Class G at CCC (sf) All trends are Stable. CREDIT RATING ACTION RATIONALE -- During the previous credit rating action in March 2026, Morningstar DBRS downgraded its credit ratings on seven classes because of (1) declining operating performance across the portfolio and (2) the downward pressure implied by the loan-to-value (LTV) Sizing Benchmarks following a revision to the Morningstar DBRS Value for the underlying collateral. -- Morningstar DBRS also placed all classes Under Review with Negative Implications (UR-N) because of elevated refinance risk tied to the loan's upcoming maturity in June 2026 and indications of a decline in net cash flow (NCF) across the portfolio as of the most recently reported figures. -- At that time, for the trailing nine-month period ended September 30, 2025, NCF was reported at an annualized figure of $21.3 million (debt service coverage ratio (DSCR) of 0.82 times (x)), below both the YE2024 NCF of $24.1 million (DSCR of 0.83x) and the issuance NCF of $32.5 million (DSCR of 3.10x). -- With this review, Morningstar DBRS removed all classes from UR-N. The credit rating confirmations and Stable trends reflect the minimal performance changes to the portfolio as the latest full-year reporting indicates YE2025 NCF has remained in-line with the YE2024 NCF, which was the figure Morningstar DBRS considered in its analysis at the prior review. In addition, recent updates provided by the servicer further support the overall stable performance outlook, as further described below. LOAN/COLLATERAL OVERVIEW -- The transaction is collateralized by the leasehold interest in a portfolio of 16 cross-collateralized suburban office buildings totaling approximately 2.0 million square feet on the North Shore of Long Island, New York. -- Sponsorship is provided through a joint venture between Angelo Gordon and the We're Group. Angelo Gordon purchased a 95.5% leasehold interest in the portfolio from the We're Group, which retained the remaining 4.5% leasehold interest and 100.0% of the leased fee interest. -- Loan proceeds of $350.0 million were primarily used to refinance $234.6 million of existing debt, return $98.1 million of borrower equity, and fund upfront reserves. The loan is floating rate and had an initial maturity date in June 2023 with three one-year extension options, pushing the final maturity date to June 2026. -- New updates provided by the servicer indicate that borrower intends to pay off the loan at the upcoming maturity date. PERFORMANCE HIGHLIGHTS -- The loan's in-place DSCR is currently below breakeven, primarily attributable to the loan's floating rate structure; however, Morningstar DBRS notes that an interest rate cap with a 4.0% strike rate is in place, which would result in a DSCR above breakeven. -- According to the October 2025 rent roll, the consolidated occupancy rate across the portfolio was 75.8%, below the occupancy rate of 86.8% at issuance. The largest tenant in the portfolio is ProHealth Medical Management, LLC, occupying 17.4% of the net rentable area (NRA) with leases expiring between August 2026 and August 2030. -- The properties with the lowest occupancy rates include 8 Corporate Center Drive, 5 Dakota Drive, and 2 Huntington Quadrangle, which have all reported occupancy rates below 55.0% for the office components. -- Three properties are exposed to elevated rollover risk with tenant leases representing 97.9%, 66.7%, and 28.3% of the respective NRA at 2800 Marcus Avenue, 1 Delaware Drive, and 3000 Marcus Avenue scheduled to expire prior to YE2028. ANALYSIS SUMMARY -- As part of this review, Morningstar DBRS maintained its valuation approach from the March 2026 credit rating action, which considered a NCF of $23.6 million and a capitalization rate of 9.25%, resulting in a Morningstar DBRS Value of $255.2 million. -- The Morningstar DBRS Value implies an all-in LTV of 137.2%. -- Morningstar DBRS also maintained positive qualitative adjustments to the LTV Sizing Benchmarks totaling 1.5% for cash flow volatility--reduced from 2.5% used in the April 2024 credit rating action--and 1.0% for market fundamentals. MATERIAL VARIANCE -- The credit rating assigned to the Class E certificate is higher than the results implied by the LTV Sizing Benchmarks. The variance is warranted given the conservative assumptions in the Morningstar DBRS Value approach, as well as the significant cushion against realized losses in the Class F, G, and HRR certificates, which combine for a principal balance of more than $78.0 million. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Class X-NCP is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BBCMS TRUST 2018-CBM: DBRS Cuts Rating on Class D Certs to Csf -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) downgraded its credit ratings on four classes of the Commercial Mortgage Pass-Through Certificates, Series 2018-CBM issued by BBCMS Trust 2018-CBM as follows: -- Class A to AA (sf) from AAA (sf) -- Class B to A (sf) from AA (sf) -- Class C to BB (high) (sf) from A (sf) -- Class D to C (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed its credit ratings on the following classes: -- Class E at C (sf) -- Class F at C (sf) Morningstar DBRS changed the trends on Classes A, B, and C to Negative from Stable. Classes D, E, and F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities transactions. CREDIT RATING ACTION RATIONALE -- The credit rating downgrades and Negative trends reflect Morningstar DBRS' increased loss expectations for the underlying loan based on an updated liquidation scenario, given declines in the portfolio's appraisal value, as well as the potential for further value deterioration through the remainder of the workout period. -- Morningstar DBRS' liquidation scenario suggests losses could erode the entirety of Classes E and F and partially erode Class D, significantly reducing the credit support for Classes B, C, and A. The liquidation scenario factors consider a conservative haircut to the May 2025 appraised value, factoring in current outstanding advances, projected future advances, and liquidation expenses, yielding an implied loss of $115.0 million, or a loss severity approaching 28.0%. LOAN/COLLATERAL OVERVIEW -- The $415.0 million floating-rate loan is secured by a portfolio of 30 Courtyard by Marriott select-service hotels totaling 4,379 rooms across 15 states. -- The properties are operated and managed by Marriott Corporation under a management agreement that expires in December 2035. -- The portfolio is geographically concentrated, with the largest exposures in California (29.8% of allocated loan amount (ALA)), Michigan (10.8% of ALA), and Florida (9.6% of ALA). -- In addition to the trust debt, there is $135.0 million of mezzanine debt held outside the trust. PERFORMANCE HIGHLIGHTS -- The nonperforming loan remains in special servicing following its maturity default in July 2023, reflecting the borrower's inability to refinance or satisfy extension requirements amid declining net cash flow (NCF). -- The most recent servicer-reported NCF for YE2025 was $26.4 million, reflecting a below breakeven DSCR for the second consecutive year. -- Revenue per available room across the portfolio has remained relatively stable over the past several reporting periods hovering around $100, most recently reported at $102 as of the T-12 period ended August 31, 2025. Similarly, the occupancy rate for the same period was reported at 63.8%, relatively unchanged when compared with the two prior years' reported figures. -- Since issuance, operating expenses have increased at a faster pace than revenues, driven primarily by higher insurance costs and real estate taxes stunting growth in the bottom line. -- Morningstar DBRS expects these expense pressures to persist, limiting the likelihood of NCF returning to issuance levels. ANALYSIS SUMMARY -- Morningstar DBRS derived a stressed portfolio valuation of $342.4 million based on a conservative 25.0% haircut to the May 2025 appraised value, resulting in an analyzed liquidation value of $299.9 million. -- The May 2025 appraised value of $456.6 million implies a cap rate of 5.8% based on the servicer's most recent full year of reporting, which Morningstar DBRS considers to be aggressive. -- The resulting Morningstar DBRS value corresponds to an LTV of 121.2% for the trust debt and represents a negative variance of 44.8% from the issuance appraised value. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. BENEFIT STREET XXIV: S&P Assigns BB- (sf) Rating on Cl. E-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Benefit Street Partners CLO XXIV Ltd./Benefit Street Partners CLO XXIV LLC's fixed- and 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. This is a reset of a transaction that was not previously rated by S&P Global Ratings. The transaction is managed by BSP CLO Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Benefit Street Partners CLO XXIV Ltd./ Benefit Street Partners CLO XXIV LLC Class A-RR, $320.00 million: AAA (sf) Class B-RR, $60.00 million: AA (sf) Class C-1-RR (deferrable), $27.00 million: A (sf) Class C-2-RR (deferrable), $3.00 million: A (sf) Class D-1-RR (deferrable), $30.00 million: BBB- (sf) Class D-2-RR (deferrable), $5.00 million: BBB- (sf) Class E-RR (deferrable), $15.00 million: BB- (sf) Subordinated notes, $62.52 million: NR NR--Not rated. BLACKROCK DLF IX 2021-1: DBRS Puts B(low) Rating Under Review Neg. ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) placed its credit ratings on the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes, Class E Notes, and the Class W Notes (together, the Secured Notes) issued by BlackRock DLF IX CLO 2021-1, LLC (the Issuer) Under Review with Negative Implications. RATINGS Debt Rated Rating Action ---------- ------ ------ Class A-1 Notes AAA(sf) UR-Neg. Class A-2 Notes AAA(sf) UR-Neg. Class B Notes AA(sf) UR-Neg. Class C Notes A(sf) UR-Neg. Class D Notes BBB(sf) UR-Neg. Class E Notes BB(sf) UR-Neg. Class W Notes B(low)(sf) UR-Neg. The Secured Notes were issued pursuant to the Note Purchase and Security Agreement (NPSA) dated March 30, 2021, and amended on August 10, 2022, among the Issuer, U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS) as the Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent, and the Purchasers referred to therein. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. Morningstar DBRS considers BCIA an acceptable collateralized loan obligation (CLO) manager. The credit ratings on the Class A-1 Notes and Class A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of March 30, 2031. The credit ratings on the Class B Notes, Class C Notes, Class D Notes, Class E Notes, and Class W Notes address the ultimate payment of interest (including any Deferred Interest but excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of March 30, 2031. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes. The Class W Notes also benefit from the Class W Note Payment Amount, which allows for principal repayment of the Class W Notes with collateral interest proceeds, in accordance with the Priority of Payments. CREDIT RATING RATIONALE/DESCRIPTION The credit rating action is a result of Morningstar DBRS' review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Reinvestment Period ended on March 30, 2025. The Stated Maturity is March 30, 2031. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of April 29, 2026, the Borrower is not in compliance with all its performance metrics. The transaction is failing the Minimum Weighted Average Spread Test (current 5.18% vs. required 5.75%), the Senior Advance Rate Test (current 96.25% vs. required 89.13%), The Class E Overcollateralization Ratio Test (current 103.90% vs. required 107.54%), and Largest DBRS Industry Classification (current 26.4% vs. required 25.0%). Due to the negative performance trends observed in these metrics over the past several months, Morningstar DBRS placed the transaction in the Under Review with Negative Implications status, while we await additional information to perform our updated credit analysis. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. If continued heightened market uncertainty and volatility persist, Morningstar DBRS may extend the Under Review status for a longer period of time. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. BLACKROCK DLF IX 2021-2: DBRS Puts B(low) Rating Under Review Neg. ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) placed its credit ratings on the Class A-1 Notes, the A-2 Notes, the B Notes, the Class C Notes, the Class D Notes, Class E Notes (together, the Secured Notes), and W Notes (together, the Notes) issued by BlackRock DLF IX CLO 2021-2, LLC (the Issuer) Under Review with Negative Implications. RATINGS Debt Rated Rating Action ---------- ------ ------ Class A-1 Notes AAA(sf) UR-Neg. Class A-2 Notes AAA(sf) UR-Neg. Class B Notes AA(sf) UR-Neg. Class C Notes A(sf) UR-Neg. Class D Notes BBB(sf) UR-Neg. Class E Notes BB(sf) UR-Neg. Class W Notes B(low)(sf) UR-Neg. The Notes were issued pursuant to the Note Purchase and Security Agreement (NPSA) dated May 20, 2021, as amended on August 2, 2022, among the Issuer and U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS) as the Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent; and the Purchasers referred to therein. The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. Morningstar DBRS considers BCIA an acceptable collateralized loan obligation (CLO) manager. The credit ratings on the Class A-1 and A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of May 20, 2035. The credit ratings on the Class B Notes, Class C Notes, Class D Notes, Class E Notes, and Class W Notes address the ultimate payment of interest (including any Deferred Interest, but excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of May 20, 2035. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes. The Class W Notes also benefit from the Class W Note Payment Amount, which allows for principal repayment of the Class W Notes with collateral interest proceeds, in accordance with the Priority of Payments. CREDIT RATING RATIONALE/DESCRIPTION The credit rating action is a result of Morningstar DBRS' review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Reinvestment Period end date is May 20, 2027. The Stated Maturity is May 20, 2035. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of April 29, 2026, the Borrower is not in compliance with all its performance metrics. The transaction is failing the Minimum Weighted Average Spread Test (current 4.558 vs. required 5.25%), the Senior Advance Rate Test (current 87.55% vs. required 87.13%), and the Class E Overcollateralization Ratio Test (current 108.05% vs. required 110.75%). Due to the negative performance trends observed in these metrics over the past several months, Morningstar DBRS placed the transaction in the Under Review with Negative Implications status, while we await additional information to perform our updated credit analysis. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. If continued heightened market uncertainty and volatility persist, Morningstar DBRS may extend the Under Review status for a longer period of time. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. BLACKROCK DLF X 2022-1: DBRS Confirms 'Bsf' Rating on Cl. W Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its following credit ratings on the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, and the Class D Notes (together, the Secured Notes) issued by BlackRock DLF X CLO 2022-1, LLC, and also confirmed its credit rating on the Issuer's Class W Notes (together with the Secured Notes, the Notes), pursuant to the Note Purchase and Security Agreement (the NPSA) dated as of August 5, 2022, among BlackRock DLF X CLO 2022-1, LLC, as the Issuer; Wilmington Trust National Association (rated A (high) with a Stable trend by Morningstar DBRS), as the Collateral Agent, Custodian, Collateral Administrator, Information Agent, and Note Agent; and the Purchasers. -- Class A-1 Notes confirmed at AAA (sf) -- Class A-2 Notes confirmed at AA (high) (sf) -- Class B Notes confirmed at A (low) (sf) -- Class C Notes confirmed at BBB (sf) -- Class D Notes confirmed at BB (sf) -- Class W Notes confirmed at B (sf) The credit ratings on the Class A-1 Notes and the Class A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity of August 5, 2034. The credit ratings on the Class B, Class C, Class D, and Class W Notes address the ultimate payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes. The Class W Notes also benefit from the Class W Note Payment Amount, which allows for principal repayment of the Class W Notes with collateral interest proceeds, in accordance with the Priority of Payments. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of May 15, 2026, the Borrower is not in compliance with certain performance metrics. As a result, the Level II surveillance approach in the CLO Methodology was applied, and a Current Profile analysis was incorporated into the review of the transaction. BlackRock DLF X 2022-1 CLO, LLC is a cash flow collateralized loan obligation (CLO) transaction that is collateralized primarily by a portfolio of U.S. senior secured middle-market (MM) corporate loans. The Reinvestment Period end date is August 5, 2026. The Stated Maturity is August 5, 2034. As of May 15, 2026, the transaction is failing the Minimum Weighted Average Spread Test (current 4.86% vs required 5.25%). Morningstar DBRS considered this failure in its analysis. As of May 15, 2026, there were no defaulted obligations reported in the Portfolio. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of BlackRock Capital Investment Advisors, LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. Under the Current Profile analysis, Morningstar DBRS analyzed the actual obligations in the pool, as reported in the trustee report as of May 15, 2026. Morningstar DBRS analyzed each loan in the pool separately by inputting its credit rating, seniority, country of origin, and industry, among others, into the Morningstar DBRS CLO Insight Model. The performance metrics that Morningstar DBRS modelled in during its analysis are presented below: Collateral Quality Tests: Minimum Weighted Average Spread: threshold 5.25%; current 4.86% Maximum Morningstar DBRS Risk Score: threshold 32.75; current 31.87 Minimum Weighted Average DBRS Recovery Rate: threshold 49.00%; current 50.50% Minimum Diversity Score: threshold 23.00; current 38.00 Maximum Weighted Average Life: threshold 6.75; current 3.89 Coverage Tests: Class A Overcollateralization (OC): threshold 134.18%; current 160.84% Class B Overcollateralization (OC): threshold 119.11%; current 137.68% Class C Overcollateralization (OC): threshold 117.63%; current 129.56% Class D Overcollateralization (OC): threshold 112.76%; current 120.03% Class A Interest Coverage (IC): threshold 150.00%; current 326.68% Class B Interest Coverage (IC): threshold 140.00%; current 267.33% Class C Interest Coverage (IC): threshold 120.00%; current 244.74% Class D Interest Coverage (IC): threshold 110.00%; current 216.61% Class W Interest Coverage (IC): threshold 100.00%; current 210.21% Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured floating-rate Middle Market loans (currently 99.6%) and (2) the adequate diversification of the portfolio of collateral obligations (current DScore of 38 vs the required level of 23). Some challenges were identified as follows: (1) the weighted average credit quality of the underlying obligors may fall below investment grade and may not have public ratings and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology. The model-based analysis produced satisfactory results, which supported the credit rating confirmation on the Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning credit ratings to a facility. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. BRAVO RESIDENTIAL 2026-NQM6: Fitch Rates Class B-2 Notes 'B-sf' --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Outlooks to BRAVO Residential Funding Trust 2026-NQM6 (BRAVO 2026-NQM6). Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- BRAVO 2026-NQM6 A-1 LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1F LT AAAsf New Rating AAA(EXP)sf A-1FCF LT WDsf Withdrawn AAA(EXP)sf A-1IO LT AAAsf New Rating AAA(EXP)sf A-1LCF LT WDsf Withdrawn AAA(EXP)sf A-1PT LT WDsf Withdrawn AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf AIOS LT NRsf New Rating NR(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 M-1 LT BBB-sf New Rating BBB-(EXP)sf R LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 934 loans with a total balance of approximately $556 million as of the cutoff date. Arc Home and Citadel Servicing Corporation (Citadel), d/b/a Acra Lending (Acra) originated approximately 37.5% and 17.6% of the pool, respectively, both assessed as 'Acceptable' originators by Fitch. No other originator contributed more than 10% of the pool. Following servicing transfers after the closing date, NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) and Citadel, will service 78.2% and 21.8% of the loans, respectively. Fitch has withdrawn the expected rating of 'AAAsf'/Stable for the previous classes A-1FCF, A-1LCF, and A-1PT notes, as these were not funded at close and are not being offered. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. BRAVO 2026-NQM6 has a final probability of default (PD) of 42.4% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 39.9%. The expected loss in the 'AAAsf' rating stress is 16.9%. The pool consists of 934 newly originated non-qualified mortgage (non-QM or NQM) loans with a Fitch FICO of 744 and a weighted average (WA) original combined loan-to-value ratio (CLTV) of 70.6%. Fitch considers approximately 92.1% of the pool to be non-prime. About 11.7% of the loans in the pool are full documentation; the remaining loans are non-full documentation, including debt service coverage ratio (DSCR; 31.4%), bank statement (46.8%) and other program (10.1%) loans. DSCR loans receive a slight reduction in the non-full documentation PD penalty; however, the DSCR all-in treatment remains more punitive than for fully documented, borrower-underwritten loans. Roughly 81.5% of borrowers are self-employed or have unknown employment status. In addition, approximately 1.8% of the loans were originated to borrowers classified by Fitch as foreign nationals, including individual taxpayer identification number [ITIN] borrowers, and are therefore subject to a PD penalty due to the perceived weaker connection to the property. Structural Analysis (Positive): The mortgage cash flow and loss allocation in BRAVO 2026-NQM6 are based on a modified sequential structure, whereby the principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency (DQ) trigger event occurs in a given period, principal will be distributed sequentially to the senior notes until they are reduced to zero. Principal on the collective class A-1 designated notes (specifically, the A-1FCF, A-1LCF, A-1F, A-1IO, A-1A and A-1B notes) will be allocated either pro rata or sequentially among themselves, as set out in the priority of payments. The structure includes a step-up coupon feature where the fixed interest rate for class A-1, A-2 and A-3 will increase by 100bps, subject to the net WA coupon (WAC), starting on the June 2030 payment date. This reduces the modest excess spread available to repay losses. Starting on the June 2030 payment date, interest distribution amounts otherwise allocable to the unrated class B-3, to the extent available, may be used to reimburse any unpaid cap carryover amount for class A-1FCF, A-1LCF, A-1F, A-1IO, A-1A, A-1B, A-2 and A-3 notes. Furthermore, the provision for principal amounts to pay any unpaid interest prior to principal distribution is highly supportive of timely interest payments to the notes in the absence of principal and interest (P&I) advancing. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers aggregator, originator and servicer capability, and the transaction-specific representation, warranty and enforcement (RW&E) framework as qualitative inputs to its RMBS ratings framework. These counterparty assessments are conducted and updated on a regular cadence independent of any specific RMBS rating, and Fitch uses a risk-based framework — considering contribution share and collateral profile — to determine which parties warrant review. The only consideration that has a direct impact on Fitch's loss expectations is the third-party due diligence results. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm deemed 'Acceptable' by Fitch and have a final grade of either "A" or "B." Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BRAVO 2026-NQM6 to be fully de-linked and bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.8% 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 being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. 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 adjustments to its analysis: A 5% probability of default credit was applied at the loan level for all loans graded either "A" or "B." DATA ADEQUACY Fitch relied on an independent third-party due diligence review covering 100% of the pool. The scope was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Loans reviewed under this engagement received compliance, credit, and valuation grades, with initial and final grades assigned for each subcategory. Exceptions and waivers were documented in the due diligence reports and incorporated into Fitch's analysis. Fitch also used data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information in ASF data layout format, which was considered comprehensive. The due diligence firms reviewed the ASF data tape, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BROAD RIVER 2020-1: S&P Assigns BB-(sf) Rating on Class E-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R2, A-L, B-1-R2, B-2-R2, C-R2, D-1A-R2, D-1B-R2, D-2-R2, and E-R2 debt and new class X-R2 debt from Broad River BSL Funding CLO Ltd. 2020-1/Broad River BSL Funding CLO 2020-1 LLC, a CLO managed by Jocassee Partners LLC, a co-managed joint venture between South Carolina Retirement Systems Group Trust and Barings BDC Inc., a business development company externally advised by Barings LLC. At the same time, S&P withdrew its ratings on the previous class A-R, B-R, C-R, D-R, and E-R debt following payment in full on the July 8, 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 debt was issued at a lower weighted average cost of debt than the existing debt. -- The replacement class A-R2, A-L, B-1-R2, B-2-R2, C-R2, D-1A-R2, D-1B-R2, D-2-R2, and E-R2 debt replaced the previous class A-R, B-R, C-R, D-R, and E-R debt. -- New class X-R2 debt was issued on the refinancing date. This debt is expected to be paid down using interest proceeds in equal installments of $450,000, beginning on the first payment date following the refinancing. -- The non-call period was extended to July 8, 2028. -- The reinvestment period was extended to July 20, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 20, 2039. -- The target initial par amount increased by $90 million to $450 million on the refinancing date. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2026. -- The required minimum overcollateralization and interest coverage ratios were amended. -- Approximately $18.3 million in 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 Broad River BSL Funding CLO Ltd. 2020-1/ Broad River BSL Funding CLO 2020-1 LLC Class X-R2, $4.50 million: AAA (sf) Class A-R2, $68.00 million: AAA (sf) Class A-L loans, $220.00 million: AAA (sf) Class B-1-R2, $27.00 million: AA+ (sf) Class B-2-R2, $27.00 million: AA (sf) Class C-R2 (deferrable), $27.00 million: A (sf) Class D-1A-R2 (deferrable), $18.00 million: BBB+ (sf) Class D-1B-R2 (deferrable), $9.00 million: BBB- (sf) Class D-2-R2 (deferrable), $2.25 million: BBB- (sf) Class E-R2 (deferrable), $15.30 million: BB- (sf) Ratings Withdrawn Broad River BSL Funding CLO Ltd. 2020-1/ Broad River BSL Funding CLO 2020-1 LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' Other Debt Broad River BSL Funding CLO Ltd. 2020-1/ Broad River BSL Funding CLO 2020-1 LLC Subordinated notes, $48.08 million: NR NR--Not rated. BX TRUST 2019-IMC: S&P Lowers Class D Notes Rating to 'BB (sf)' --------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from BX Trust 2019-IMC, a U.S. CMBS transaction. The U.S. stand-alone (single-borrower) transaction is backed by a floating-rate, interest-only (IO) mortgage loan totaling $975.0 million (as of the June 2026 trustee remittance report). The loan is secured by the borrower's fee simple and leasehold interests in 16 showroom properties comprising about 9.5 million sq.-ft. located in High Point, N.C. and Las Vegas. Rating Actions The downgrades of classes A, B, C, and D despite model-indicated ratings that are higher than S&P's revised ratings for classes A, B, and C primarily reflect: -- The inability of the borrower to refinance the loan by its modified extended maturity date in June 2026. The loan initially defaulted and transferred to special servicing in 2024 after the borrower was unable to repay the loan by its original maturity date in April 2024. At that time, the loan was modified and extended to June 2026, and the borrower paid down the trust balance by $175.0 million, reducing it to $975.0 million from $1.15 billion at issuance. The loan returned to special servicing in June 2026 due to maturity default. -- S&P's net recovery value--which includes an increased capitalization rate assumption to reflect potential additional volatility in the properties' net cash flows (NCFs) and occupancy--is 27.2% lower than the valuation it derived in its October 2025 review. -- S&P's view that, based on the portfolio's limited alternative uses, tenant concentration in the challenging furniture industry, reported declining performance, and the observed higher risk premium required for showroom properties under current market conditions, the appraised value may be materially less than the July 2024 appraised value of $1.76 billion. -- S&P's concern that ongoing modification discussions--including the potential extension of the loan's maturity by up to nine months (reflecting the transaction documents' provision that the special servicer may extend the trust loan's maturity date up to, but not beyond, a date that is seven years prior to the rated final distribution date in April 2034)--may not provide sufficient time for the borrower to obtain refinancing proceeds to pay off the loan without additional capital commitment, and that a prolonged resolution may negatively impact the transaction's liquidity and ultimate recovery. -- The downgrade of the class X-NCP IO certificates reflects our criteria for rating IO securities, under which the rating on the IO securities cannot be higher than that of the lowest-rated reference class. The notional amount of the class X-NCP certificates references classes A, B, and C. S&P said, "We will continue to monitor the performance of the underlying collateral properties and the borrower's plans to repay the loan. If we receive information that differs materially from our expectations, we may revisit our analysis and take additional rating actions as we deem necessary." Property-Level Analysis Update The servicer reported that occupancy has fallen from the mid-80s range at issuance in 2019 to the low- to mid-70s range in the past few years. As of the Sept. 30, 2025, rent roll, the properties were 73.9% leased to approximately 970 tenants, down slightly from 74.7% in our last review. Due to the short-term nature of the tenant leases, the portfolio faces moderate rollover--nearly 15% of net rentable area and roughly 20% of in-place gross rent, as calculated by S&P Global Ratings--in each year through 2029. The servicer-reported NCF has similarly declined in the past few years, after reporting a peak NCF of $153.3 million in 2020. S&P said, "In our current analysis, given the reported declines in occupancy and NCFs, as well as our concern regarding the slowdown in the furniture industry--stemming from cautious consumer behavior, higher freight and fuel costs, changing tariff policies, and sluggish home sales (particularly affecting the collateral properties in High Point)--we revised our NCF, capitalization rate, and valuation assumptions. This yielded an S&P Global Ratings' value of $741.1 million, or $77 per sq. ft., which is 57.8% below the July 2024 appraised value and resulted in an S&P Global Ratings' loan-to-value of 131.6% on the $975.0 million trust mortgage loan. Based on our analysis, the S&P Global Ratings asset quality score is 2.0 and the S&P Global Ratings income stability score is 1.0." Table 1 Servicer-reported performance 2025(i) 2024(i) 2023(i) Occupancy rate (%) 70.0 71.0 72.0 Net cash flow (mil. $) 100.0 101.1 111.5 Debt service coverage (x) 1.45 1.22 1.01 Appraisal value (mil. $)(ii) 1,758 (ii) 1,758 (ii) 1,647 (iii) (i)Reporting period. (ii)As of July 2024. (iii)As of March 2019. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (July 2026)(i) (Oct 2025)(i) (April 2019)(i) Trust balance (mil. $) 975.0 975.0 1,150.0 Occupancy rate (%) 63.9 74.7 83.6 Net cash flow (mil. $) 81.5 101.3 101.3 Capitalization rate (%) 11.00 10.00 10.00 Value (mil. $) 741.1 1,018 1,018 Value per sq. ft. ($) 77 106 106 Loan-to-value ratio (%)(ii) 131.6 113.0 113.0 (i)Review period. (ii)Based on the trust balance at the time of review. Ratings Lowered BX Trust 2019-IMC Class A to 'AA (sf)' from 'AAA (sf)' Class B to 'A (sf)' from 'AA- (sf)' Class C to 'BBB (sf)' from 'A- (sf)' Class D to 'BB (sf)' from 'BBB- (sf)' Class X-NCP to 'BBB (sf)' from 'A- (sf)' CANADIAN COMMERCIAL 2018-4: DBRS Cuts Rating on G Certs to B(low) ----------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2018-4 issued by Canadian Commercial Mortgage Origination Trust 4 as follows: -- Class F to BB (low) (sf) from BB (sf) -- Class G to B (low) (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class X at A (high) (sf) Morningstar DBRS changed the trends on Classes E, F, and G to Stable from Negative. All other trends are Stable. CREDIT RATING ACTION RATIONALE -- The credit rating downgrades on Classes F and G reflect increased concerns across key loans as well as the lack of updated information available for the remaining loans in the pool. -- The primary loans of concern are part of the Europro Office Portfolio (Prospectus ID #12, #13, and #14), which collectively account for 17.2% of the pool, as discussed in further detail below. POOL/COLLATERAL OVERVIEW -- As of the May 2026 remittance, 19 of the original 53 loans remained in the pool with a trust balance of $219.0 million, representing a collateral reduction of 28.0% since Morningstar DBRS' previous credit rating action and 60.2% since issuance. Included in the paydown was the Morneau Shepell Office Complex loan, which Morningstar DBRS identified as one of the primary loans of concern at the last review. -- The remaining pool is predominantly backed by industrial properties (33.8% of the pool), followed by retail (27.3%), office (25.1%), and other property types (13.9%). -- Three loans, all part of the Europro Office Portfolio, are being monitored on the servicer's watchlist for occupancy declines. ANALYTICAL CONSIDERATIONS -- In the analysis for this review, Morningstar DBRS calculated updated loan-to-value ratios (LTVs) using in-place net cash flows (NCFs) and market capitalization rates for all the four office loans and, where applicable, applied elevated probabilities of default (PODs). The resulting weighted-average expected loss (EL) for these loans was more than three times the pool average EL. KEY LOANS Europro Office Portfolio (Prospectus ID #12, #13, and #14; collectively representing 17.2% of the pool) -- This portfolio comprises three cross-collateralized and cross-defaulted loans secured by one Class A and two Class B office properties in downtown Kitchener, Ontario. -- As per the March 2026 rent rolls, the Europro Frederick (Prospects ID#12; 5.9% of the pool), Europro Queen Street Office (Queen, Prospectus ID#13; 5.9% of the pool), and Europro King Street Office (Prospectus ID#14; 5.4% of the pool) reported occupancy rates of 52.0%, 36.7%, and 68.0%, respectively, an overall decrease from the March 2025 figures of 58.8%, 45.7%, and 57.4%, respectively. -- The Queen property also exhibits notable rollover risk, with leases representing 26.0% of the net rentable area scheduled to expire within the next 12 months. As per the Colliers Q1 2026 Waterloo Office Market Report, the downtown Kitchener submarket for Class B office properties had an average vacancy rate of 50.3%. As such, Morningstar DBRS expects the borrower will continue to face challenges backfilling any vacant space. -- Net operating income continues to fall for the portfolio, with the YE2025 operating statements reporting $3.3 million, down from $3.8 million at YE2024. -- To reflect the continued decline in occupancy and overall performance challenges, Morningstar DBRS analyzed this portfolio with a stressed LTV of 170.9% and an elevated POD, resulting in an EL more than three times the pool average. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Class X is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in Canadian dollars unless otherwise noted. CBAMR 2017-3: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the CBAMR 2017-3, Ltd. reset transaction. Entity/Debt Rating ----------- ------ CBAMR 2017-3, Ltd. X-R 12517RAA9 LT NRsf New Rating A-1L LT NRsf New Rating A-2-R 12517RAC5 LT AAAsf New Rating B-R2 12517RAE1 LT AAsf New Rating C-R2 12517RAG6 LT Asf New Rating D-1-R2 12517RAJ0 LT BBB-sf New Rating D-2-R2 12517RAL5 LT BBB-sf New Rating E-R2 12517WAA8 LT BB-sf New Rating Subordinated Notes 12481JAE1 LT NRsf New Rating Transaction Summary CBAMR 2017-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by CBAM CLO Management, LLC. The transaction closed in September 2017 and refinanced in July 2021. Fitch did not rate the July 2021 refinancing. The transaction will be refinanced for a second time on July 6, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $1300 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.92 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.2% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.41% 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 10% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'A-sf' for class C-R2, between less than 'B-sf' and 'BBB-sf' for class D1-R2, and between less than 'B-sf' and 'BB+sf' for class D2-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 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, 'A+sf' for class D1-R2, and 'A-sf' for class D2-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 CBAMR 2017-3, 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. CHASE HOME 2026-6: DBRS Gives (P)B(low) Rating on Class B-5 Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-6 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2026-6: -- $435.3 million Class A-1 at (P) AAA (sf) -- $389.7 million Class A-2 at (P) AAA (sf) -- $337.7 million Class A-3 at (P) AAA (sf) -- $337.7 million Class A-3-A at (P) AAA (sf) -- $337.7 million Class A-3-B at (P) AAA (sf) -- $337.7 million Class A-3-X1 at (P) AAA (sf) -- $337.7 million Class A-3-X2 at (P) AAA (sf) -- $337.7 million Class A-3-X3 at (P) AAA (sf) -- $253.3 million Class A-4 at (P) AAA (sf) -- $253.3 million Class A-4-A at (P) AAA (sf) -- $253.3 million Class A-4-B at (P) AAA (sf) -- $253.3 million Class A-4-X1 at (P) AAA (sf) -- $253.3 million Class A-4-X2 at (P) AAA (sf) -- $253.3 million Class A-4-X3 at (P) AAA (sf) -- $84.4 million Class A-5 at (P) AAA (sf) -- $84.4 million Class A-5-A at (P) AAA (sf) -- $84.4 million Class A-5-B at (P) AAA (sf) -- $84.4 million Class A-5-X1 at (P) AAA (sf) -- $84.4 million Class A-5-X2 at (P) AAA (sf) -- $84.4 million Class A-5-X3 at (P) AAA (sf) -- $202.6 million Class A-6 at (P) AAA (sf) -- $202.6 million Class A-6-A at (P) AAA (sf) -- $202.6 million Class A-6-B at (P) AAA (sf) -- $202.6 million Class A-6-X1 at (P) AAA (sf) -- $202.6 million Class A-6-X2 at (P) AAA (sf) -- $202.6 million Class A-6-X3 at (P) AAA (sf) -- $135.1 million Class A-7 at (P) AAA (sf) -- $135.1 million Class A-7-A at (P) AAA (sf) -- $135.1 million Class A-7-B at (P) AAA (sf) -- $135.1 million Class A-7-X1 at (P) AAA (sf) -- $135.1 million Class A-7-X2 at (P) AAA (sf) -- $135.1 million Class A-7-X3 at (P) AAA (sf) -- $50.7 million Class A-8 at (P) AAA (sf) -- $50.7 million Class A-8-A at (P) AAA (sf) -- $50.7 million Class A-8-B at (P) AAA (sf) -- $50.7 million Class A-8-X1 at (P) AAA (sf) -- $50.7 million Class A-8-X2 at (P) AAA (sf) -- $50.7 million Class A-8-X3 at (P) AAA (sf) -- $45.6 million Class A-9 at (P) AAA (sf) -- $45.6 million Class A-9-A at (P) AAA (sf) -- $45.6 million Class A-9-B at (P) AAA (sf) -- $45.6 million Class A-9-X1 at (P) AAA (sf) -- $45.6 million Class A-9-X2 at (P) AAA (sf) -- $45.6 million Class A-9-X3 at (P) AAA (sf) -- $135.1 million Class A-10 at (P) AAA (sf) -- $135.1 million Class A-10-A at (P) AAA (sf) -- $135.1 million Class A-10-B at (P) AAA (sf) -- $135.1 million Class A-10-X1 at (P) AAA (sf) -- $135.1 million Class A-10-X2 at (P) AAA (sf) -- $135.1 million Class A-10-X3 at (P) AAA (sf) -- $52.0 million Class A-11 at (P) AAA (sf) -- $52.0 million Class A-11-X at (P) AAA (sf) -- $52.0 million Class A-12 at (P) AAA (sf) -- $52.0 million Class A-13 at (P) AAA (sf) -- $52.0 million Class A-13-X at (P) AAA (sf) -- $52.0 million Class A-14 at (P) AAA (sf) -- $52.0 million Class A-14-X at (P) AAA (sf) -- $52.0 million Class A-14-X2 at (P) AAA (sf) -- $52.0 million Class A-14-X3 at (P) AAA (sf) -- $52.0 million Class A-14-X4 at (P) AAA (sf) -- $67.5 million Class A-15 at (P) AAA (sf) -- $67.5 million Class A-15-A at (P) AAA (sf) -- $67.5 million Class A-15-B at (P) AAA (sf) -- $67.5 million Class A-15-X1 at (P) AAA (sf) -- $67.5 million Class A-15-X2 at (P) AAA (sf) -- $67.5 million Class A-15-X3 at (P) AAA (sf) -- $67.5 million Class A-16 at (P) AAA (sf) -- $67.5 million Class A-16-A at (P) AAA (sf) -- $67.5 million Class A-16-B at (P) AAA (sf) -- $67.5 million Class A-16-X1 at (P) AAA (sf) -- $67.5 million Class A-16-X2 at (P) AAA (sf) -- $67.5 million Class A-16-X3 at (P) AAA (sf) -- $67.5 million Class A-17 at (P) AAA (sf) -- $67.5 million Class A-17-A at (P) AAA (sf) -- $67.5 million Class A-17-B at (P) AAA (sf) -- $67.5 million Class A-17-X1 at (P) AAA (sf) -- $67.5 million Class A-17-X2 at (P) AAA (sf) -- $67.5 million Class A-17-X3 at (P) AAA (sf) -- $118.2 million Class A-18 at (P) AAA (sf) -- $118.2 million Class A-18-A at (P) AAA (sf) -- $118.2 million Class A-18-B at (P) AAA (sf) -- $118.2 million Class A-18-X1 at (P) AAA (sf) -- $118.2 million Class A-18-X2 at (P) AAA (sf) -- $118.2 million Class A-18-X3 at (P) AAA (sf) -- $435.3 million Class A-X-1 at (P) AAA (sf) -- $10.1 million Class B-1 at (P) AA (low) (sf) -- $10.1 million Class B-1-A at (P) AA (low) (sf) -- $10.1 million Class B-1-X at (P) AA (low) (sf) -- $5.3 million Class B-2 at (P) A (low) (sf) -- $5.3 million Class B-2-A at (P) A (low) (sf) -- $5.3 million Class B-2-X at (P) A (low) (sf) -- $3.7 million Class B-3 at (P) BBB (sf) -- $2.1 million Class B-4 at (P) BB (sf) -- $916.8 thousand Class B-5 at (P) B (low) (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-B, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12, A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17, A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A and A-18-B are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9, A-9-A, A-9-B) regarding loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 5.05% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (sf), (P) BB (sf), and (P) B (low) (sf) credit ratings reflect 2.85%, 1.70%, 0.90%, 0.45%, and 0.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2026-6 (the Certificates). The Certificates are backed by 382 loans with a total principal balance of $482,546,654 as of the Cut-Off Date (June 1, 2026). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 10 to 30 years and a weighted-average (WA) loan age of three months. They are traditional, prime jumbo mortgage loans. Approximately 45.0% of the loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. JPMorgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as the Securities Administrator. U.S. Bank Trust National Association will act as the Delaware Trustee. JPMCB will act as the Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The Sponsor (JPMCB) will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing not less than 5.0% of the initial Class Principal Amount of each class of Certificates (other than the Class A-R Certificates) to satisfy the EU/UK Risk Retention requirements under Article 6(3) of PRASR and Chapter 4 of SECN 5 of the UK Securitization Framework and Article 6(4) of the EU Securitization Regulation. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. CHASE HOME 2026-7: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B6 Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and outlooks to Chase Home Lending Mortgage Trust 2026-7 (Chase 2026-7). Entity/Debt Rating ----------- ------ Chase 2026-7 A1 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A10A LT AAA(EXP)sf Expected Rating A10B LT AAA(EXP)sf Expected Rating A10X1 LT AAA(EXP)sf Expected Rating A10X2 LT AAA(EXP)sf Expected Rating A10X3 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A11X LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A13X LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A14X LT AAA(EXP)sf Expected Rating A14X2 LT AAA(EXP)sf Expected Rating A14X3 LT AAA(EXP)sf Expected Rating A14X4 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A15A LT AAA(EXP)sf Expected Rating A15B LT AAA(EXP)sf Expected Rating A15X1 LT AAA(EXP)sf Expected Rating A15X2 LT AAA(EXP)sf Expected Rating A15X3 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A16B LT AAA(EXP)sf Expected Rating A16X1 LT AAA(EXP)sf Expected Rating A16X2 LT AAA(EXP)sf Expected Rating A16X3 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A17A LT AAA(EXP)sf Expected Rating A17B LT AAA(EXP)sf Expected Rating A17X1 LT AAA(EXP)sf Expected Rating A17X2 LT AAA(EXP)sf Expected Rating A17X3 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A18A LT AAA(EXP)sf Expected Rating A18B LT AAA(EXP)sf Expected Rating A18X1 LT AAA(EXP)sf Expected Rating A18X2 LT AAA(EXP)sf Expected Rating A18X3 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A3A LT AAA(EXP)sf Expected Rating A3B LT AAA(EXP)sf Expected Rating A3X1 LT AAA(EXP)sf Expected Rating A3X2 LT AAA(EXP)sf Expected Rating A3X3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4B LT AAA(EXP)sf Expected Rating A4X1 LT AAA(EXP)sf Expected Rating A4X2 LT AAA(EXP)sf Expected Rating A4X3 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A5A LT AAA(EXP)sf Expected Rating A5B LT AAA(EXP)sf Expected Rating A5X1 LT AAA(EXP)sf Expected Rating A5X2 LT AAA(EXP)sf Expected Rating A5X3 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A6A LT AAA(EXP)sf Expected Rating A6B LT AAA(EXP)sf Expected Rating A6X1 LT AAA(EXP)sf Expected Rating A6X2 LT AAA(EXP)sf Expected Rating A6X3 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A7B LT AAA(EXP)sf Expected Rating A7X1 LT AAA(EXP)sf Expected Rating A7X2 LT AAA(EXP)sf Expected Rating A7X3 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A8A LT AAA(EXP)sf Expected Rating A8B LT AAA(EXP)sf Expected Rating A8X1 LT AAA(EXP)sf Expected Rating A8X2 LT AAA(EXP)sf Expected Rating A8X3 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A9A LT AAA(EXP)sf Expected Rating A9B LT AAA(EXP)sf Expected Rating A9X1 LT AAA(EXP)sf Expected Rating A9X2 LT AAA(EXP)sf Expected Rating A9X3 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating B1X LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating B2X LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 407 loans with a scheduled balance of $522.88 million as of the cutoff date. The closing date is July 31, 2026. The pool consists of prime-quality, fixed-rate mortgages originated solely by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans above $1.0 million. Of the loans, 99.96% qualify as safe-harbor qualified mortgage average prime offer rate loans, and 0.04% are qualified mortgage rebuttable presumption average prime offer rate loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC), or are based on the net WAC, or they are floating-rate or inverse floating-rate, based on the SOFR index and capped at the net WAC. KEY RATING DRIVERS Credit Risk of High-Quality Prime Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess credit risk and expected losses. The collateral consists of 407 loans with a total unpaid balance of $522.88 million and an average size of $1.3 million. The pool is seasoned three months, based on Fitch's analysis. The pool comprises high-quality prime loans with a weighted average (WA) FICO score of 772, a WA combined loan-to-value ratio (cLTV) of 74.11% (81.83% sustained LTV), and a WA debt-to-income ratio (DTI) of 34.22%. The WA liquid reserves amount to $877,965.35. These strong collateral attributes are reflected in Fitch's loss analysis. Chase 2026-7 has a final probability of default (PD) of 9.52% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 35.62%. The expected loss in the 'AAAsf' rating stress is 3.39%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in Chase 2026-7 are based on a senior-subordinate, shifting-interest structure. Under this structure, the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period if losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The CE or senior subordination floor of 0.75% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and the concentration of a small loan count. In addition, a junior subordination floor of 0.50% has been considered to reduce potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and the concentration of a small loan count. Losses on the nonretained portion of the loans will be allocated, first, to the subordinate bonds, starting with class B-6. Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent principal and interest (P&I) until is the amounts are deemed nonrecoverable. As a result, the LS was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyses the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios that incorporate loss projections derived from Fitch's asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses under rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 58.97% of the loans by loan count based on Fitch's review of the due diligence. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm that have a final grade of either "A" or "B". Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform to the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material effect on the performance of the transaction. Additionally, all legal requirements must be satisfied to fully de-link the transaction from any other entities. Fitch expects Chase 2026-7 to be a fully de-linked and bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include but are not limited to new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Chase 2026-7, and therefore Fitch can assign the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value decline s(MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30% in addition to the model-projected 10.2 at 'Bsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a further 10% decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates 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 classes, excluding those assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses changes in these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. This analysis is not an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E), as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property value reviews. Fitch considered this information in its analysis and, as a result, made the following adjustment(s) to its analysis: Fitch gives a 5bps z-score reduction to the origination PD for each loan that has a due diligence grade of "A" or "B." In this transaction 58.97% of the loans had a due diligence review and all the loans reviewed received a final grade of "A" or "B." As a result, losses were lowered based on the due diligence results. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 58.97% of the pool by loan count. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more details. Fitch also used data files that made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the Resi PLS data layout format, and the data is comprehensive. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHEVY CHASE 2006-3: Moody's Cuts Rating on Cl. A-NA Certs to Caa3 ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings of Class A-NA issued by Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2006-3. The collateral backing this deal consists of option-ARM mortgages. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Chevy Chase Funding LLC, Mortgage-Backed Certificates, Series 2006-3 Cl. A-NA, Downgraded to Caa3 (sf); previously on Sep 19, 2025 Upgraded to Caa1 (sf) Underlying Rating: Downgraded to Caa3 (sf); previously on Sep 19, 2025 Upgraded to Caa1 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) RATINGS RATIONALE The rating action reflects the current level of credit enhancement available to the bond, the recent performance, analysis of the transaction structure, Moody's updated loss expectations on the underlying pool and Moody's revised loss-given-default expectation for each bond. The bond experiencing a rating change is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. No actions were taken on the other rated classes in this deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CIFC FUNDING 2022-I: Fitch Rates Class E-R Notes 'BB-(EXP)sf' ------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to CIFC Funding 2022-I, Ltd. reset transaction. Entity/Debt Rating ----------- ------ CIFC Funding 2022-I, Ltd. A-1-R LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary CIFC Funding 2022-I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CIFC Asset Management LLC that originally closed in March 2022. This is the first refinancing which will refinance the existing secured notes in whole on July 8th, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.7, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.12% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.61% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43% of the portfolio balance in aggregate while the top five obligors can represent up to 6.25% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R notes, between 'BBB-sf' and 'A+sf' for class B-R notes, between 'B+sf' and 'A-sf' for class C-R notes, between less than 'B-sf' and 'BBBsf' for class D-1-R notes, between less than 'B-sf' and 'BBB-sf' for class D-2-R notes and between less than 'B-sf' and 'BB-sf' for class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R notes and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R notes, 'AA+sf' for class C-R notes, 'A+sf' for class D-1-R notes, 'Asf' for class D-2-R notes and 'BBB+sf' for class E-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2022-I, 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. CIFC FUNDING 2026-II: Fitch Rates Class E Notes 'BB-(EXP)sf' ------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to CIFC Funding 2026-II, Ltd. Entity/Debt Rating ----------- ------ CIFC Funding 2026-II, 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-1 LT A(EXP)sf Expected Rating C-2 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 LT NR(EXP)sf Expected Rating Transaction Summary CIFC Funding 2026-II, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.81 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.8% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.8% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43% of the portfolio balance in aggregate while the top five obligors can represent up to 6.25% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AAAsf' for class A-2, between 'BBBsf' and 'A+sf' for class B, between 'BB-sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBBsf' for class D-1, 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, 'AA-sf' for class C, 'Asf' for class D-1, 'BBB+sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2026-II, 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. CITIGROUP 2026-HE1: DBRS Finalizes Bsf Rating on Class B-2 Notes ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2026-HE1 (the Notes) issued by Citigroup Mortgage Loan Trust 2026-HE1 (the Trust): -- $223.9 million Class A-1 at AAA (sf) -- $10.2 million Class M-1 at AA (sf) -- $12.7 million Class M-2 at A (sf) -- $14.5 million Class M-3 at BBB (sf) -- $11.5 million Class B-1 at BB (sf) -- $7.3 million Class B-2 at B (sf) The AAA (sf) credit rating reflects 21.25% of credit enhancement provided by subordinate notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) credit ratings reflect 17.65%, 13.20%, 8.10%, 4.05%, and 1.50% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other class in this transaction. The securitization is backed by recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of the Notes. The Notes are backed by 1,555 loans with a total unpaid principal balance (UPB) of $284,346,021 and a total current credit limit of $305,822,297 as of April 30, 2026 (the Cut-Off Date). The portfolio, on average, is 11 months seasoned, though seasoning ranges from one to 54 months. All the loans are current and 95.6% have not been 30+ days delinquent in the last 24 months (or since origination). All loans in the pool are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. HELOC FEATURES In this transaction, all but 10 loans are open-HELOCs that have a draw period two, three, five, or 10 years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. After the draw term and interest-only (IO) period, HELOC borrowers have a repayment period and are no longer allowed to draw. All the HELOCs in this transaction are floating-rate loans with two, three, five, and 10-year IO payment periods. No loan requires a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes and 26.0% of the borrowers are self-employed. While these HELOCs do not need to be fully drawn at origination, the weighted-average utilization rate is approximately 94.3% after 11 months of seasoning on average. TRANSACTION AND OTHER COUNTERPARTIES The HELOCs were originated by United Wholesale Mortgage, LLC (43.8%), HomeTrust Bank (34.3%), and various other originators consisting of less than 10% of the pool by UPB. Fay Servicing, LLC will service all loans within the pool for a monthly servicing fee consisting of (1) a fixed dollar base servicing fee per loan that varies based on delinquency status and (2) a variable servicing fee equal to 25% of collections on charged-off loans. The servicer is not entitled to base servicing fees on loans after they become charged-off but instead earns the variable fee on recoveries. Computershare Trust Company, N.A. and U.S. Bank National Association will serve as the custodians. DRAW FUNDING MECHANISM This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The servicer will fund draws from principal and interest collections received. If collections are insufficient, the servicer will be required to fund any additional net draws with its own funds and will be entitled to reimbursement. The funding certificateholder will fund the net draws (as described in the transaction documents). Citi GSM Portfolio LLC will act as the initial funding certificateholder, and will be guaranteed by Citigroup Inc. (rated A (high) with a Stable trend by Morningstar DBRS). The initial funding certificateholder may transfer some or all of the funding interest to one or more parties that satisfy the related eligibility criteria. Any transferee must be a qualified funding certificateholder with a long-term senior debt credit rating of at least "A" by Morningstar DBRS. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of the servicer. Rather, the analysis relies on the creditworthiness of the funding certificateholder and the assets' ability to generate sufficient cash flows to fund draws and make interest and principal payments. ADDITIONAL CASH FLOW ANALYTICS FOR HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any junior lien HELOCs that are 180 days delinquent under the MBA delinquency method (or earlier, as applicable, and excluding those subject to forbearance and bankruptcy) will be charged off in accordance with the accepted servicing practices if the Controlling Holder does not object within 10 days of notice by the Servicer. TRANSACTION STRUCTURE This transaction incorporates a pro rata cash flow structure; however, principal payment will be distributed sequentially so long as none of the Class M-1, M-2, or M-3 notes is a locked-out class, as described in the Cash Flow Structure and Features section of the related report. On the first payment date, each of the Class M-1, M-2, and M-3 notes will be locked out from receiving principal payments. Additionally, the pro rata cash flow structure is subject to sequential trigger (a Waterfall Trigger Event), which is based on certain performance trigger events related to cumulative losses and delinquencies. If a trigger event is in effect, principal distributions are made sequentially. Cumulative loss and delinquency trigger events are applicable immediately after the closing date. Relative to a sequential pay structure, a pro rata structure subject to a Waterfall Trigger Event is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. OTHER TRANSACTION FEATURES The sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Notes to satisfy the credit risk-retention requirements. The required credit risk must be held until the later of (1) the fifth anniversary of the closing date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. For this transaction, other than the servicer's obligation to fund any monthly net draws, neither the servicer nor any other transaction party will fund any monthly advances of P&I on any HELOC. However, the servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable. On any payment date on or after the earlier of the payment date in May 2029 or the first payment date when the UPB falls to or below 30% of the Cut-Off Date UPB, the controlling holder may exercise a call and purchase all of the outstanding Notes at the redemption price described in the transaction documents. The credit ratings reflect transactional strengths that include the following: -- Strong representation and warranties framework; -- Robust equity and prime and near-prime credit quality; -- Certain HELOC attributes; -- Current loan status; -- Satisfactory framework to fund borrower draw requests; and -- Satisfactory third-party due diligence sample size and review. The transaction also includes the following challenges: -- No servicer advances of delinquent P&I; and -- Certain limitations of third-party due diligence credit and valuation reviews. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the rated notes are the Current Interest, Interest Carryforward Amount, and the Note Amount. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. CITIGROUP MORTGAGE 2026-LTV1: Fitch Rates Cl. B-2 Notes 'B-(EXP)sf' ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2026-LTV1 (CMLTI 2026-LTV1). Entity/Debt Rating ----------- ------ CMLTI 2026-LTV1 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA-(EXP)sf Expected Rating A-3 LT A+(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The transaction is expected to close on July 10, 2026. The certificates are supported by 429 loans with a total balance of about $378.3 million as of the cutoff date of June 1, 2026. The borrowers have a weighted-average (WA) Fitch FICO of 763, as determined by Fitch, and a current mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 83.4%. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential-payment structure. The transaction has full advancing for first lien loans, whereby the P&I advancing party will advance delinquent P&I until deemed nonrecoverable. 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. CMLTI 2026-LTV1 has a final probability of default (PD) of 19.0% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 43.5%. The expected loss in the 'AAAsf' rating stress is 8.3%. Structural Analysis: The mortgage cash flow and loss allocation in CMLTI 2026-LTV1 are based on a modified sequential-payment structure with full advancing, whereby principal is distributed pro rata among the senior certificates 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, including the A-1A and A-1B classes. 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 rated classes is sufficient for their respective rating cases. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects CMLTI 2026-LTV1 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV) at closing. 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 CMLTI 2026-LTV1, and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.8% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. 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: applied 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. CLNY TRUST 2019-IKPR: DBRS Confirms CCC Rating on Two Tranches -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-IKPR issued by CLNY Trust 2019-IKPR as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BB (sf) -- Class E at B (low) (sf) -- Class F at CCC (sf) -- Class G at CCC (sf) Morningstar DBRS changed the trends on Classes A, B, C, D, and E to Stable from Negative. Classes F and G have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. CREDIT RATING ACTION RATIONALE -- The credit rating confirmations and Stable trends on Classes A through E reflect Morningstar DBRS' stable outlook for the transaction, supported by year-over-year improvements in cash flow across the underlying portfolio, which currently comprises 36 full-service hotel properties. -- Additionally, credit enhancement for the rated certificates has improved, primarily driven by five property releases since the prior credit rating action, which has resulted in $95.0 million of principal repayments. LOAN/COLLATERAL OVERVIEW -- At issuance, the interest-only, floating-rate loan was secured by a portfolio of 46 extended-stay, limited-service, and full-service hotels in 16 states across the U.S. with approximately 6,000 guest rooms. -- The hotels operate under the Marriott, Hyatt, and Hilton brands, in addition to eight different sub-brands, with all the properties cross-collateralized and cross-defaulted. -- To date, 10 properties have been released from the trust, reflecting a collateral reduction of 17.5% since issuance. -- The loan had an initial two-year term with five 12-month extension options, resulting in a fully extended maturity date in November 2026. -- A loan modification agreement was executed in August 2025 after the borrower failed to exercise the fourth extension option. -- Terms of the modification included an extension of the loan's maturity date to November 2026 with two additional one-year extension options, contingent on minimum principal prepayment thresholds. The first extension option requires at least $100.0 million in cumulative principal repayments, while the second requires a minimum of $200.0 million. -- Excess sales proceeds, net of the adjusted release amount, are divided between a principal curtailment (25%) and a deposit to the supplemental reserve account. -- As of the May 2026 remittance, reserve balances totaled $16.9 million. PERFORMANCE HIGHLIGHTS -- Per the YE2025 financial reporting, the remaining properties in the portfolio generated a consolidated net cash flow (NCF) of $36.3 million (a debt service coverage ratio of 0.70 times), a nominal 2% increase over the prior year. -- The portfolio reported a consolidated occupancy rate and revenue per available room of 70.5% and $102.6, respectively per the YE2025 reporting, a marginal improvement from the prior year. -- The loan's floating-rate structure has led to an increase in debt service obligations, though an active interest rate cap agreement partially mitigates this risk. -- Although in-place cash flow for the remaining properties remains materially below issuance levels, several mitigating factors support the transaction's current credit profile. These include an extended maturity to November 2028, providing additional time for operational stabilization; enhanced structural protections as outlined in the modification agreement, such as reserve funding requirements and minimum prepayment thresholds that would increase collateral reduction and strengthen credit support; and the requirement to maintain an interest rate cap agreement. -- In addition, the higher-rated certificates benefit from substantial subordination, with approximately $406 million of below-investment-grade debt providing additional credit support to those classes. ANALYSIS SUMMARY -- Morningstar DBRS derived a value of $422.80 million based on a standard 2% haircut to the in-place YE2025 NCF for the remaining properties, as noted above. -- A capitalization rate of 9.0% was applied to that figure, resulting in a loan-to-value ratio (LTV) of 147.4% based on the current trust loan balance. -- Including the senior and junior mezzanine debt, the whole-loan LTV rises to 182.8%. -- The Morningstar DBRS value represents a -56.5% variance from the cumulative issuance appraised value of $909.5 billion for the remaining properties in the portfolio. -- Positive qualitative adjustments totaling 2% were maintained to reflect the quality of the properties and market fundamentals as the properties are geographically diverse. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2014-CCRE16: Fitch Affirms Csf Rating on Class F Debt ---------------------------------------------------------- Fitch Ratings has upgraded two and affirmed six classes of Deutsche Bank Securities, Inc.'s COMM 2014-CCRE16 Mortgage Trust commercial mortgage pass-through certificates. Following the upgrades, Fitch assigned Stable Rating Outlooks to classes B and X-B. The Outlooks on classes C, and PEZ remain Negative. Fitch has also affirmed one class of Deutsche Bank Securities, Inc.'s commercial mortgage pass-through certificates, series 2014-CCRE18 (COMM 2014-CCRE18), and one class of COMM 2014-CCRE19 Mortgage Trust. Following the affirmation, Fitch revised the Outlook for class E in COMM 2014-CCRE18 to Stable from Negative. The Outlook on class E in COMM 2014-CCRE19 remains Negative. Entity/Debt Rating Prior ----------- ------ ----- COMM 2014-CCRE19 E 12592GAJ2 LT BBsf Affirmed BBsf COMM 2014-CCRE16 Mortgage Trust B 12591VAH4 LT AAsf Upgrade AA-sf C 12591VAK7 LT BBB-sf Affirmed BBB-sf D 12591VAQ4 LT CCCsf Affirmed CCCsf E 12591VAS0 LT CCsf Affirmed CCsf F 12591VAU5 LT Csf Affirmed Csf PEZ 12591VAJ0 LT BBB-sf Affirmed BBB-sf X-B 12591VAL5 LT AAsf Upgrade AA-sf X-C 12591VAN1 LT CCsf Affirmed CCsf COMM 2014-CCRE18 E 12632QAG8 LT B-sf Affirmed B-sf KEY RATING DRIVERS Pool Concentration; Improved Recovery and 'Bsf' Loss Expectations: All three transactions have experienced significant paydown from loan payoffs since issuance. The COMM 2014-CCRE16 transaction has four loans remaining in the pool and has been paid down by 85.9% since issuance, and 17.1% since the prior review, while the COMM 2014-CCRE18 transaction has one loan remaining in the pool and has been paid down by 95.4% since issuance and 9.9% since the prior review. The COMM 2014-CCRE19 transaction also has one loan remaining in the pool and has been paid down by 96.6% since issuance and 49.2% since the prior review. All the remaining loans in each transaction are specially serviced and Fitch Loans of Concern (FLOCs): four in COMM 2014-CCRE 16, one loan in COMM 2014-CCRE18 and one in COMM 2014-CCRE19. The upgrades to classes B and X-B in COMM 2014-CCRE16 reflect increased credit enhancement (CE) from scheduled amortization and better-than-expected recoveries from loans paying off including 252 West 37th Street (15.5% of the prior pool; 31.4% E-loss), previously the third largest contributor to loss expectations in the prior rating action. The upgrades also reflect favorable recovery expectations for REO asset CVS Las Vegas Strip, which is expected to result in the payoff these classes. The affirmations in COMM 2014-CCRE18 and COMM 2014-CCRE19 reflect elevated risk resulting from the concentrated nature of the pool and adverse selection, driven by the special servicing status or underperformance of the remaining collateral. The Stable Outlooks in COMM 2014-CCRE16 and COMM 2014-CCRE18 reflect lower pool loss expectations on the remaining loans from the prior review due to improved performance of the remaining collateral and increased valuations, as well as the expectation that the classes will be repaid from these loans. The current ratings incorporate a 'Bsf' rating case loss of 14.6%, compared with 30.6% at the prior rating action for COMM 2014-CCRE16 and a current 'Bsf' rating case loss of 3.6%, compared with 5.6% at the prior rating action for COMM 2014-CCRE18. The Negative Outlooks COMM 2014-CCRE16 and COMM 2014-CCRE19 reflect the potential for downgrades should recovery expectations on the specially serviced loans worsen due to performance deterioration, if property values decline further, or workout periods are extended, resulting in higher-than-expected losses and reduced recoveries upon disposition. Due to the heightened concentration risk and concerns surrounding refinancing on all three transactions, Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status and collateral quality and then ranked them by their perceived likelihood of repayment and/or loss expectation. The upgrades and Stable Outlooks reflect this analysis and reliance on proceeds from performing loans to repay these classes. Since the prior review, 140 Second Street (25.2% balance at prior review) in COMM 2014-CCRE19, liquidated with realized losses of 36.8% compared with expected losses of 73.8% and Century Plaza (24.1% balance at prior review) liquidated with realized losses of 46.6% compared with expected losses of 28.2%. Largest Contributor to Loss Expectations: The largest contributor to loss expectations in COMM 2014-CCRE16 is the real estate owned (REO) 555 West 59th Street (11.6% of the pool). It is a mixed-use property located in midtown Manhattan and includes 12,520 sf of multilevel retail and commercial space and 28,000 sf of parking garage space. Per the YE 2025 rent roll, occupancy was 79.9%, below historical performance. The loan transferred to special servicing in July 2020 due to payment default. The trust took title to the property in April 2024. Fitch's expected loss of approximately 90% (prior to a concentration adjustment) reflects no stress to the most recent reported appraisal value and equates to approximately $170 psf, which compares with the appraisal value at issuance of $674 psf. Fitch's 'Bsf' rating case loss at the prior rating action was 93.3%. The second largest contributor to loss expectations in the COMM 2014-CCRE16 transaction is the 25 Broadway loan, which transferred to special servicing in March 2024 due to maturity default. The loan is secured by a 23-story, 952,985 sf office building in the Financial District in Manhattan, NY. Overall property occupancy has remained relatively stable and cash flow is beginning to stabilize as well. The loan has continued to perform under the forbearance agreement executed in July 2024. The forbearance included an extension to July 8, 2026, and the borrower is anticipated to exercise the last available six-month extension to January 2027. The borrower has also contributed $11 million in principal reduction, $5.72 million of which has been used to pay down the balance of this note. The servicer-reported occupancy was 89% as of September 2025 with a YE 2025 net operating income (NOI) debt service coverage ratio (DSCR) of 1.77x, compared to 0.90x at YE2024 and 1.76x at YE2023. The largest tenant is a private school, Leman Manhattan Preparatory School (20.1% of the NRA). The school is now current on their past due rent obligations as part of an amendment that includes multiple rent reduction periods and an extension through June 2037. Fitch's loss expectations of 1.0% (prior to concentration add-ons) reflects a stress to the most recent appraisal value, which is approximately 26% below issuance, equating to a stressed value of $257 psf. The Negative Outlooks on classes C and PEZ reflect the uncertainty of the ultimate resolution and potential for downgrades. The last remaining loan in COMM 2014-CCRE18 is Southfield Town Center. The loan is secured by a five-building office complex totaling 2.15 million sf in Southfield, MI. The property occupancy is reported at 71.4% as of March 2026, with a servicer reported March 2026 TTM NOI DSCR of 1.78x. The borrower has signed a forbearance through January 2026 with an extension option through December 2026. The loan is performing under the forbearance. The top two tenants are Plante & Moran (8.7% of the NRA) and AlixPartners (6%), on leases expiring in 2036 and 2030, respectively. Fitch's expected loss of approximately 3.6% reflects a haircut to the most recent reported appraisal value, equating to a Fitch-stressed value of $52 psf. The last remaining loan in COMM 2014-CCRE19 is the 866 Third Avenue Retail loan, which is secured by a mixed-use (office, retail and hotel) building located in Manhattan, NY. The retail tenants include Duane Reade (54% of the NRA) and Wells Fargo (24.2%). The loan transferred to special servicing in May 2024 due to imminent maturity default and returned to the master servicer in April 2025. The loan was modified and extended to August 2026. The reported YE 2025 occupancy was 100%. Per the latest servicer update, the loan is heading back to special servicing because of an imminent monetary default. Fitch's 'Bsf' case loss of 33.8% (prior to a concentration adjustment) reflects no stress to the Year-to-date September 2025 NOI, and factors an increased probability of default due to the loan's transfer to special servicing prior to maturity. Increased CE; Realized Losses: As of the June 2026 remittance report, the pool's aggregate balances have been reduced by 85.9% in COMM 2014-CCRE16, 95.4% in COMM 2014-CCRE18, and 96.6% in the COMM 2014-CCRE19 transaction. All loans have passed their initial scheduled maturity dates. Each of the transactions have incurred realized losses to date which include $41.6 million in COMM 2014-CCRE16, $26.2 million in COMM 2014-CCRE18, and $29.7 million in COMM 2014-CCRE19. Cumulative interest shortfalls of $4.0 million are currently affecting classes E, F, and G in the COMM 2014-CCRE16 transaction, $1.8 million are affecting classes F and G in COMM 2014-CCRE18, and $682K is affecting class H in COMM 2014-CCRE19. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect the possibility for future downgrades due to potential further declines in performance that could result in higher expected losses on FLOCs and loans in special servicing. These FLOCs include 25 Broadway, and REO assets 555 West 59th Street and The Piers in COMM 2014-CCRE16, Southfield Town Center in COMM 2014-CCRE18, and 866 Third Avenue Retail in COMM 2014-CCRE19. Downgrades to senior 'AAAsf' rated classes are not likely due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'BBB-sf', 'BBsf' and 'B-sf' categories could occur if performance and/or valuation of the FLOCs/specially serviced loans, most notably 25 Broadway in COMM 2014-CCRE16, Southfield Town Center in COMM 2014-CCRE18, and 866 Third Avenue Retail in COMM 2014-CCRE19, deteriorate further or fail to stabilize or, the loans experience prolonged workouts. If expected losses do increase, downgrades to these classes are anticipated. Downgrades to distressed classes would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'BBBsf' category rated classes may be possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and stronger performance and/or valuation on the aforementioned FLOCs/specially serviced loans. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until later years in a transaction and only if the performance of the remaining pool is stable but are limited based on sensitivity to adverse selection and concentrations to the aforementioned FLOCs and loans in special servicing. Upgrades to distressed ratings of 'CCCsf' through 'Csf' are not expected but are 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. CROSSROADS ASSET 2025-A: DBRS Confirms BBsf Rating on Cl. E Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) upgraded two credit ratings and confirmed seven credit ratings across three Crossroads Asset Trust Transactions. RATINGS Crossroads Asset Trust 2022-A Class C Notes AAA(sf) Upgraded Class D Notes A(sf) Upgraded Crossroads Asset Trust 2024-A Class A-2 Notes AAA(sf) Confirmed Class B Notes AA(sf) Confirmed Crossroads Asset Trust 2025-A Class A-2 Notes AAA(sf) Confirmed Class B Notes AA(sf) Confirmed Class C Notes A(sf) Confirmed Class D Notes BBB(sf) Confirmed Class E Notes BB(sf) Confirmed The credit rating actions are based on the following analytical considerations: -- Crossroads Asset Trust 2022-A has amortized to a pool factor of 10.45% and has a current cumulative net loss (CNL) to date of 8.22%. The higher than initially expected losses were due to headwinds in the transportation industry. Despite that, losses have stabilized over the past several months, and available hard credit enhancement (CE) has grown substantially across all tranches, sufficient to support the previously revised projected remaining CNL assumption. Morningstar DBRS has upgraded the credit ratings on the two outstanding rated notes for this transaction. -- Crossroads Asset Trust 2024-A has amortized to a pool factor of 45.19% and has a current cumulative net loss (CNL) to date of 5.11%. Despite losses are tracking front loaded, CE has built up across the two rated notes, sufficient to support a revised projected remaining CNL assumption at a multiple commensurate with the credit ratings. Therefore, Morningstar has confirmed the credit ratings on the two rated notes for this transaction. -- Crossroads Asset Trust 2025-A has amortized to a pool factor of 72.46% and has a current cumulative net loss (CNL) to date of 2.27%. Despite losses are tracking front loaded, CE has built up across the five rated notes, sufficient to support the projected remaining CNL assumption at a multiple commensurate with the credit ratings. As recoveries begin to materialize losses will begin flattening out. Therefore, Morningstar has confirmed the credit ratings on the five rated notes for this transaction. -- The transaction parties' capabilities with respect to origination, underwriting, and servicing. -- The Transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, " Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update," published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. CROWN POINT 9: Moody's Assigns B3 Rating to $250,000 Class F Notes ------------------------------------------------------------------ Ratings has assigned ratings to two classes of refinancing notes (the Refinancing Notes) issued by Crown Point CLO 9 Ltd. (the Issuer): US$186,000,000 Class A-1-RR Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Secured Deferrable Junior Floating Rate Notes due 2039, Definitive Rating Assigned B3 (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 CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans or permitted non-loan assets. Pretium Credit CLO Management, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the five other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score 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: Portfolio par: $300,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2798 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 45.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the 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 Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. CSAIL 2016-C6: DBRS Cuts Rating on Two Tranches to Csf ------------------------------------------------------ DBRS Limited (Morningstar DBRS) downgraded its credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C6 issued by CSAIL 2016-C6 Commercial Mortgage Trust as follows: -- Class B to BBB (sf) from AA (low) (sf) -- Class C to BB (sf) from A (low) (sf) -- Class D to CCC (sf) from BB (low) (sf) -- Class E to C (sf) from CCC (sf) -- Class X-B to BBB (high) (sf) from AA (sf) -- Class X-D to CCC (sf) from BB (sf) -- Class X-E to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-S at AAA (sf) -- Class F at C (sf) -- Class X-A at AAA (sf) -- Class X-F at C (sf) Morningstar DBRS changed the trend on Class C to Negative from Stable. Classes D, E, F, X-D, X-E, and X-F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities credit ratings. The trends on all remaining classes are Stable. CREDIT RATING ACTION RATIONALE -- The credit ratings downgrades reflect increased loss projections for the remaining five loans in the pool, all of which are in special servicing. Retail and office represent the largest concentration and generally reported declines in performance for those loans, suggesting the possibility of further value deterioration over the workout periods and the propensity of increasing interest shortfalls. -- Morningstar DBRS' analysis was based on a recoverability analysis, with the specially serviced loans liquidated based on conservative haircuts to their most recent appraised values. Projected realized losses of $51.8 million would fully erode the remaining balances on Class F and the non-rated Class NR, and approximately 50.0% of the remaining balance on Class E. -- Morningstar DBRS concluded that the senior class continues to be well insulated from losses, further supporting the credit rating confirmation for Class A-S. -- As of the May 2026 remittance, interest was being shorted through Class D and totaled $3.0 million, an increase from the last credit rating action of approximately $830,000. Laurel Corporate Center (Prospectus ID#4; 23.8% of the pool) was deemed nonrecoverable by the special servicer. Given the adverse selection of the pool, the propensity of increased shortfalls is high, therefore supporting the credit rating downgrades and Negative trends. POOL/COLLATERAL OVERVIEW -- As of the May 2026 remittance, five loans remain in the pool with a trust balance of $179.9 million, reflecting a collateral reduction of 76.6% since issuance. -- All loans are in special servicing and have maturities that have either passed or are upcoming in the near term. ANALYTICAL CONSIDERATIONS -- Considering the pool is winding-down, this review was based on a recoverability analysis, and loans were liquidated based on conservative haircuts ranging from 30% to 40% to the most recent appraised values. The loss severities ranged between 15% and 50%, resulting in total liquidated losses of $51.8 million. KEY LOANS Quaker Bridge Mall (Prospectus ID #3; 37.1% of the pool): -- This loan is secured by the in-line and outparcel space of a 1.1 million-square foot (sf), two-story regional mall in Lawrenceville, New Jersey. -- The loan transferred to special servicing in May 2026 because of maturity default. The borrower and special servicer are in discussion about a potential loan modification. -- The property has faced occupancy declines, with the year-end (YE) 2025 occupancy figure reported at 72.0%, negatively affecting cash flows. -- The mall was most recently appraised in February 2021 at a value of $168.0 million, down from $333.0 million at issuance. Morningstar DBRS liquidated the loan based on a 35% haircut to the February 2021 value, resulting in a loss of $23.7 million and a loss severity of 36.0%. Laurel Corporate Center (Prospectus ID #4; 23.8% of the pool): -- This loan is secured by a portfolio of six Class B office buildings totaling 560,210 sf in Mount Laurel, New Jersey. -- The loan was transferred to the special servicer in April 2024 for monetary default, and the servicer is currently pursuing foreclosure. -- The June 2025 appraisal valued the portfolio at $46.3 million, a decline from the issuance appraised value of $64.8 million. -- Morningstar DBRS liquidated the loan based on a 30% haircut to the June 2025 value, resulting in a loss of $18.6 million and loss severity of 43.0%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, X-D, X-E, and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. CSAIL 2016-C7: DBRS Cuts Rating on Four Tranches to Csf ------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) downgraded credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C7 issued by CSAIL 2016-C7 Commercial Mortgage Trust as follows: -- Class D to BB (low) (sf) from BBB (sf) -- Class E to C (sf) from BB (low) (sf) -- Class F to C (sf) from B (low) (sf) -- Class X-E to C (sf) from BB (sf) -- Class X-F to C (sf) from B (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AAA (sf) -- Class C at A (high) (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) Morningstar DBRS discontinued the credit rating on Class A-4 due to repayment. Morningstar DBRS changed the trends on Classes C and D to Negative from Stable. Classes E, F, X-E and X-F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. CREDIT RATING ACTION RATIONALE -- The credit rating downgrades and Negative trends reflect Morningstar DBRS' concerns surrounding several loans demonstrating increased maturity default risk. -- Morningstar DBRS' analysis considered either the implied recoverability based on a stressed value or the implied refinance gap based on an estimated as-is value for four loans (27.4% of the pool) exhibiting increased risks. The cumulative results of those scenarios suggested Classes D, E and F were the most susceptible to realized losses. -- Morningstar DBRS' projected liquidated losses are concentrated in two non-specially serviced loans: -- Gurnee Mills (Prospectus ID#2; 15.9% of the pool). Morningstar DBRS is projecting losses of $22.6 million. -- CVS Office Centre Building (Prospectus ID#20; 5.1% of the pool). Morningstar DBRS is projecting losses of $14.1 million. -- Morningstar DBRS also considered liquidation scenarios for two additional loans in the sole specially serviced loan, Peachtree Mall (Prospectus ID#7; 4.1% of the pool), and the non-specially serviced Sweet Candy Building (Prospectus ID#20; 2.4% of the pool). Morningstar DBRS is projecting combined liquidated losses of $52.1 million for the four liquidated loans. -- The realized loss projections would push losses into Class E, reducing cushion against loss for Classes C and D, a primary driver for the Negative trends on both classes. -- While the remaining pool is significantly composed of loans collateralized by retail properties as noted below, there are several loans in the top 15 that Morningstar DBRS expects to repay at the 2026 maturity dates, supporting the credit rating confirmations at the top and middle of the capital stack. POOL/COLLATERAL OVERVIEW -- As of the May 2026 remittance, 29 of the original 53 loans remained in the pool with a trust balance of $443.0 million, representing a collateral reduction of 42.3% since issuance. -- To date, five loans, representing 10.7% of the current pool balance, have been fully defeased. Twenty-three loans, representing 85.2% of the pool balance, are on the servicer's watchlist, 17 of which are being monitored for upcoming loan maturities. One loan, representing 4.1% of the pool, is currently in special servicing. -- The pool is concentrated by property type, with loans backed by retail representing just over half of the pool balance and lodging representing the second-largest concentration, at around 17.0% of the pool. Almost all of the remaining loans have 2026 maturity dates. -- The largest loan in the pool, Coconut Point (Prospectus ID#1) represents a very high 19.2% of the pool; as further described below, the loan is expected to repay at the upcoming maturity. -- While the pool's office concentration is moderate, at under 20%, the collateral properties are generally in tertiary markets, and some of the properties have exposure to significant upcoming tenant rollover and/or declined occupancy rates, materially increasing the refinance risks. KEY LOANS Coconut Point (Prospectus ID#1; 19.2% of the pool): -- The loan is secured by a portion of a 1.2 million-square-foot (sf) regional mall and power center property in Estero, Florida, just south of Fort Meyers. The largest collateral tenants include national retailers like T.J. Maxx, Ross Dress for Less, and Best Buy, the largest of which represents just 3.9% of the collateral net rentable area (NRA). Non-collateral anchors include Dillard's and Super Target. -- Simon Property Group, L.P. (Simon) recently announced plans to replace a former Regal Cinemas theater, which has been closed since 2022, with a 365-unit apartment complex. The servicer's watchlist comment notes the sponsor is expected to repay the loan at or before the maturity date. -- The Morningstar DBRS Market Rank of 2 and issuance loan-to-value ratio (LTV) of 67.1% are noteworthy, but the offsetting factors in the balloon LTV of 56.4% and Strong sponsorship from Simon were also considered. As a result, the modeled expected loss is around 50% of the pool average. Gurnee Mills (Prospectus ID#2; 15.9% of the pool): -- The loan is secured by a 1.68 million-sf portion of a larger 1.9 million-sf regional mall in the far northwestern Chicago suburb of Gurnee, Illinois. Simon owns and manages the property. -- The loan matures in October 2026, and earlier this year, Simon announced several new additions coming for the property, including a 66,000-sf "new format" IKEA store that will open in a long-vacant former Sears building, and entertainment tenants in Sky Zone and AJ's Putt 'N' Play. -- It is noteworthy that the Gurnee Village Board approved a $2.0 million contribution to the cost of repurposing the former Sears space for IKEA, with Simon and IKEA each contributing $6.0 million, as reported by the Chicago Tribune in December 2025. -- Cash flows have consistently lagged expectations. The annualized trailing nine months ended September 30, 2025, net cash flow (NCF) was $19.4 million, 22.7% below the issuance figure. -- According to the December 2025 rent roll, the property was 87.4% occupied, below the issuance figure of 91.8%. Bass Pro Shops, Macy's, and Kohl's are the largest collateral tenants. -- Although the recent lease signings are encouraging, given the sustained performance declines and the property's far suburban location, Morningstar DBRS expects the as-is value to have significantly declined. Given these factors, the analysis for this review conservatively considered a liquidation scenario based on a 55.0% haircut to the issuance appraised value of $417.0 million, resulting in a liquidated value of $187.7 million and a projected loss severity of 32.0%. -- Because the in-place debt service coverage is healthy and the sponsor has committed capital for incoming tenants, Morningstar DBRS expects a maturity extension to be negotiated. It is likely the sponsor will be required to contribute new equity, and excess cash will likely be trapped and held in reserve or used to pay down the principal balance. CVS Office Centre Building (Prospectus ID#6; 5.1% of the pool): -- The loan is secured by a 226,501-sf office complex, which currently serves as a call center, in Monroeville, Pennsylvania. The building was constructed in 1980 and previously operated as an exposition center. The property is adjacent to the Monroeville Mall, which was acquired by Walmart and is slated to be demolished in April 2027, according to published news reports. -- The property is fully leased to CVS until August 2028, following a short-term, two-year renewal. The loan matures in November 2026. -- Morningstar DBRS reviewed the property inspection report from August 2025, which indicated minimal activity at the property, including largely empty office spaces and sparsely populated parking areas. -- According to a March 2026 article in the Pittsburgh Business Times, Oxford Development Co. is marketing the property for lease or sale, with no list price, and is considering its future as part of a larger redevelopment plan for the greater Monroeville Mall complex. -- Considering the loan's near-term maturity, uncertainty surrounding CVS' presence at the property and the expected low appetite for the improvements with the borrower's marketing efforts, Morningstar DBRS believes the refinance risks are significantly elevated. As such, Morningstar DBRS analyzed the loan with a liquidation scenario, applying a 75.0% haircut to the issuance appraised value of $41.8 million, resulting in a liquidated value of $10.5 million and a projected loss severity of 63.0%. Peachtree Mall (Prospectus ID#7; 4.1% of the pool): -- The loan is secured by a 536,202-sf portion of a larger 821,687-sf regional mall in Columbus, Georgia, sponsored by Brookfield Property Group LLC. The area is considered tertiary to rural, with a Morningstar DBRS Market Rank of 2. -- The loan transferred to special servicing in November 2025, and the special servicer is dual tracking the workout approach, seeking the appointment of a receiver and considering the possibility of initiating foreclosure proceedings. -- The most recent appraisal from December 2025 valued the property at $46.2 million, 67.0% below the issuance appraised value of $140.0 million. The value reflects declined cash flows since issuance, driven by a combination of lower occupancy rates and lower sales and rents, as well as the low investor demand for regional mall property types in rural and tertiary markets. -- As of September 2025, the property had an occupancy rate of 83.0%, continuing a trend of precipitous declines that began in 2024. -- The two largest tenants are Macy's (26.0% of the NRA, lease expiring in September 2027) and JCPenney (15.0% of the NRA, lease expiring in November 2029). Dillard's is also an anchor tenant but does not serve as collateral. -- Rollover risk is somewhat concentrated, with leases representing about 10.0% of NRA scheduled to roll in the next 12 months. -- Morningstar DBRS liquidated the loan with a 20.0% haircut to the November 2025 appraised value, resulting in a liquidation value of $37.0 million and a projected loss severity of 48.0%. Sweet Candy Building (Prospectus ID#20; 2.4% of the pool): -- The loan is secured by a 96,569-sf office building in Salt Lake City. -- The loan is currently on the servicer's watchlist for an upcoming maturity in November 2026. -- Cash flows at the property have deteriorated significantly since issuance as the financial reporting for YE2025 indicated a debt service coverage ratio (DSCR) of -0.75x and an occupancy rate of 25.2%. -- Given that the DSCR has remained below breakeven since YE2023, with no signs of improving leasing momentum at the property, Morningstar DBRS considered a liquidation scenario based on a 75.0% haircut to the issuance appraised value of $19.3 million, resulting in a liquidated value of $4.8 million and a projected loss severity of 62.0%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, X-E, and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO credit rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. DIAMETER CAPITAL 14: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Diameter Capital CLO 14 Ltd./Diameter Capital CLO 14 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 Diameter CLO Advisors LLC. The preliminary ratings are based on information as of July 2, 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 Diameter Capital CLO 14 Ltd./Diameter Capital CLO 14 LLC Class A, $121.00 million: AAA (sf) Class A-L(i), $135.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $34.55 million: NR (i)Issued in loan form. NR--Not rated. DIAMETER CAPITAL 7: S&P Assigns (P) BB-(sf) Rating on D-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1L-R, A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R debt from Diameter Capital CLO 7 Ltd./Diameter Capital CLO 7 LLC, a CLO managed by Diameter CLO Advisors LLC that was originally issued in June 2024. The preliminary ratings are based on information as of July 8, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 20, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1A, A-1B, A-2, B, C, and D debt and assign ratings to the replacement class A-1L-R, A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1L-R, A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The non-call period will be extended to July 20, 2028. -- The reinvestment period will be extended to July 20, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 20, 2039. -- No additional assets will be purchased on the July 20, 2026, refinancing date, and the target initial par amount will remain at $550,000,000. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2026. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Diameter Capital CLO 7 Ltd./Diameter Capital CLO 7 LLC Class A-1L-R loans, $98.745 million: AAA (sf) Class A-1-R, $253.255 million: AAA (sf) Class A-2-R, $66.000 million: AA (sf) Class B-R, $33.000 million: A (sf) Class C-1-R (deferrable), $33.000 million: BBB-(sf) Class C-2-R (deferrable), $5.500 million: BBB-(sf) Class D-R (deferrable), $16.500 million: BB-(sf) Other Debt Diameter Capital CLO 7 Ltd./Diameter Capital CLO 7 LLC Subordinated notes, $47.500 million: NR NR--Not rated. EFMT 2026-NQM6: DBRS Gives (P)Bsf Rating to Three Tranches ---------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-NQM6 (the Certificates) to be issued by EFMT 2026-NQM6 (the Issuer) as follows: -- $71.9 million Class A-1FCF at (P) AAA (sf) -- $71.9 million Class A-1FCX at (P) AAA (sf) -- $20.9 million Class A-1LCF at (P) AAA (sf) -- $209.4 million Class A-1A at (P) AAA (sf) -- $31.9 million Class A-1B at (P) AAA (sf) -- $241.3 million Class A-1 at (P) AAA (sf) -- $37.1 million Class A-1F at (P) AAA (sf) -- $37.1 million Class A-1IO at (P) AAA (sf) -- $31.1 million Class A-2 at (P) AA (high) (sf) -- $38.7 million Class A-3 at (P) A (high) (sf) -- $9.3 million Class M-1 at (P) BBB (high) (sf) -- $25.7 million Class B-1A at (P) BB (sf) -- $25.7 million Class B-X-1A at (P) BB (sf) -- $25.7 million Class B-1 at (P) BB (sf) -- $7.8 million Class B-2A at (P) B (sf) -- $7.8 million Class B-X-2A at (P) B (sf) -- $7.8 million Class B-2 at (P) B (sf) Classes A-1, B-1, and B-2 are exchangeable certificates while Classes A-1A, A-1B, B-1A, B-X-1A, B-2A, and B-X-2A are initial exchangeable certificates. These classes can be exchanged in combinations as specified in the offering documents. Classes A-1FCX, B-X-1A, and B-X-2A are interest-only (IO) certificates. The class balances represent notional amounts. The (P) AAA (sf) credit ratings on the Certificates reflect 24.25% of credit enhancement provided by the subordinated Certificates. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 17.90%, 10.00%, 8.10%, 2.85%, and 1.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. CREDIT RATING RATIONALE/DESCRIPTION This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,396 loans with a total principal balance of approximately $490,049,398 as of the Cut-Off Date (June 1, 2026). The pool is, on average, three months seasoned with loan ages ranging from one to 43 months. Approximately 16.6%, 13.2%, and 10.1% of the Mortgage Loans were originated by Lendsure Mortgage Corp., The Loan Store, and American Heritage Lending, LLC, respectively. The remainder of the Mortgage Loans were originated by various mortgage lending institutions, individually comprising less than 10% of the overall mortgage loans. Cornerstone Servicing will service 100.0% of the loans, and Computershare Trust Company, N.A. will act as Custodian. Rocket Mortgage LLC will act as Master Servicer. Citibank, N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 40.0% of the loans by balance are designated as non-QM. Approximately 55.0% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 4.3% of the pool are designated as QM Safe Harbor, and 0.8% are QM Rebuttable Presumption (by unpaid principal balance). Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the MBA method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, EFMT Sponsor LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% of the Initial Class Notional Amount of each class of Offered Certificates, the Class A-IO-S and the Class X Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class X Certificates may, at its option, on or after the earlier of (1) the payment date in June 2029 or (2) the date on which the balance of mortgage loans and real estate owned properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Certificates at the optional redemption price described in the transaction documents. The Sponsor will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the repurchase price, provided that such repurchases in aggregate do not exceed 7.50% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Class A-1A and Class A-1B, and separately Class A-1FCF and Class A-1LCF, have group-specific allocations of principal, interest, and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the Class A and Class M-1 Certificates. Of note, the Class A Certificates coupon rates step up by 100 basis points on and after the payment date in July 2030. P&I otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition. -- Compliance with the ATR rules. -- Improved underwriting standards. -- Current loan status. -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- Debt service coverage ratio loans. -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers. -- Limited servicer advances of delinquent P&I. -- The representations and warranties standard. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Distribution Amount, Interest Carryforward Amount, and the related Class Balance (for non-IO Certificates). Morningstar DBRS' credit ratings on the Class A-1FCF, Class A-1LCF, Class A-1A, and Class A-1B Certificates also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (July 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ELMWOOD CLO VI: S&P Affirms B- (sf) Rating on Class F-RR Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R3, B-R3, and C-R3 debt from Elmwood CLO VI Ltd./Elmwood CLO VI LLC, a broadly syndicated CLO managed by Elmwood Asset Management LLC that was originally issued in October 2020 and underwent a second refinancing in July 2024. At the same time, S&P withdrew its ratings on the previous class A-RR, B-RR, and C-RR debt following payment in full on the July 2, 2026, refinancing date. S&P also affirmed its ratings on the existing class D-1-RR, D-2-RR, E-RR, and F-RR 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 July 2, 2027. -- No additional assets were purchased on the July 2, 2026, refinancing date, and the target initial par amount remains at $600.0 million. There was no additional effective date or ramp-up period and the first payment date following the refinancing is Oct. 18, 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 existing class D-1-RR, D-2-RR, E-RR, and F-RR debt (which was not refinanced). However, we affirmed our 'BBB- (sf)', 'BBB- (sf)', 'B+ (sf)', and 'B- (sf)' rating on the existing class D-1-RR, D-2-RR, E-RR, and F-RR debt, respectively, after considering the improved margin of failure after refinancing and the relatively stable overcollateralization ratio and credit metrics since our last rating actions on the transaction. In addition, we believe the payment of principal or interest on the existing class F-RR 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," criteria published Oct. 1, 2012. However, any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future." Replacement And Previous Debt Issuances Replacement debt -- Class A-R3, $384.0 million: Three-month CME term SOFR + 1.20% -- Class B-R3, $72.0 million: Three-month CME term SOFR + 1.55% -- Class C-R3 (deferrable), $36.0 million: Three-month CME term SOFR + 1.80% Previous debt -- Class A-RR, $384.0 million: Three-month CME term SOFR + 1.38% -- Class B-RR, $72.0 million: Three-month CME term SOFR + 1.70% -- Class C-RR (deferrable), $36.0 million: Three-month CME term SOFR + 2.05% 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 VI Ltd./Elmwood CLO VI LLC Class A-R3, $384.0 million: AAA (sf) Class B-R3, $72.0 million: AA (sf) Class C-R3 (deferrable), $36.0 million: A (sf) Ratings Withdrawn Elmwood CLO VI Ltd./Elmwood CLO VI LLC Class A-RR to NR from 'AAA (sf)' Class B-RR to NR from 'AA (sf)' Class C-RR (deferrable) to NR from 'A (sf)' Ratings Affirmed Elmwood CLO VI Ltd./Elmwood CLO VI LLC Class D-1-RR (deferrable): BBB- (sf) Class D-2-RR (deferrable): BBB- (sf) Class E-RR (deferrable): B+ (sf) Class F-RR (deferrable): B- (sf) Other Debt Elmwood CLO VI Ltd./Elmwood CLO VI LLC Subordinated notes, $47.0 million: NR NR--Not rated. EQT TRUST 2026-IND1: Fitch Rates Class JRR Certs 'B+(EXP)sf' ------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to EQT Trust 2026-IND1 commercial mortgage pass-through securities, series 2026-IND1: - $551,400,000 class A 'AAA(EXP)sf'; Outlook Stable; - $73,400,000 class B 'AA(EXP)sf'; Outlook Stable; - $103,900,000 class C 'A-(EXP)sf'; Outlook Stable; - $97,600,000 class D 'BBB-(EXP)sf'; Outlook Stable; - $133,200,000 class E 'BB-(EXP)sf'; Outlook Stable; - $40,400,000a class JRR 'B+(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $7,575,000a class KRR; - $2,525,000a class LRR. (a) Classes JRR, KRR and LRR together comprise the transaction's horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $1.01 billion, two-year, floating-rate, IO mortgage loan with three one-year extension options. The loan will be secured by a first mortgage lien against the borrower's fee simple interests in a portfolio of 50 industrial properties, comprising approximately 16.0 million sf, located across 13 states and 17 distinct markets. Mortgage loan proceeds will be used to refinance approximately $948.8 million of existing debt, fund $13.4 million in working capital and a $31.0 million reserve for Siemens leasing, and pay $16.8 million in closing costs. The loan is expected to be co-originated by JPMorgan Chase Bank, National Association; Citi Real Estate Funding Inc.; and Goldman Sachs Bank USA. Midland Loan Services, a Division of PNC Bank, National Association, is expected to serve as servicer while K-Star Asset Management LLC will be the special servicer. Computershare Trust Company, National Association will act as trustee and certificate administrator. The certificates will follow a pro rata paydown with respect to prepayments up to 30% of the initial loan balance and a standard senior-sequential paydown thereafter. The transaction is scheduled to close on July 20, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is $70.8 million. This is 11.0% lower than the issuer's NCF and 5.3% above YE25 NCF. Fitch applied a 7.50% cap rate, resulting in a Fitch value of $944.3 million. High Fitch Leverage: The $1.01 billion trust mortgage loan equates to debt of $63 psf with a Fitch debt service coverage ratio (DSCR) of 0.83x, a loan-to-value ratio (LTV) of 107.0% and a debt yield of 7.0%. The loan represents about 65.0% of the aggregate "as-is" appraised value of the individual properties of $1.55 billion. Geographic Diversity: The portfolio is well diversified, with 50 properties (16.0 million sf) located across 13 states and 17 MSAs. The three largest state concentrations by NRA are Georgia (4,367,051 sf; 14 properties), Indiana (2,801,836 sf; seven properties) and Missouri (1,489,295 sf; seven properties). The three largest markets are Atlanta (27.2% of NRA; 28.1% of the allocated loan amount [ALA]), Indianapolis (13.7% of NRA; 9.2% of ALA) and Chicago (9.9% of NRA; 9.6% of ALA). The portfolio has an effective MSA count of 11.7 and 64 unique tenants. Institutional Sponsorship: The loan is sponsored by a joint venture between GIC and EQT Real Estate. Established in 1981, GIC is an investment firm headquartered in Singapore that invests across a wide range of asset classes globally. Established in 2021 by the merger of EQT and Exeter Property Group, EQT Real Estate is a global real estate investment platform with over $58 billion in assets. The firm manages over 2,000 properties across the industrial, residential and life sciences sectors. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBB-sf'/'BBsf'/'Bsf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'A+sf'/'BBB+sf'/'BB+sf'/'BBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. FIG SIX 2026-PF1: DBRS Gives (P)B(low) Rating to Class F Notes -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-PF1 (the Notes) to be issued by Fig Six Trust 2026-PF1 (FIGX 2026-PF1 or the Issuer) as follows: -- $204.3 million Class A at (P) AAA (sf) -- $26.7 million Class B at (P) AA (low) (sf) -- $26.3 million Class C at (P) A (low) (sf) -- $11.7 million Class D at (P) BBB (low) (sf) -- $14.1 million Class E at (P) BB (low) (sf) -- $10.2 million Class F at (P) B (low) (sf) The (P) AAA (sf) credit rating on the Class A Notes reflects 31.90% of credit enhancement provided by subordinate notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 23.00%, 14.25%, 10.35%, 5.65%, and 2.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other class in this transaction. The securitization is backed by recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of the Notes. The Notes will be backed by loans with a total unpaid principal balance of approximately $300,000,000. The portfolio will be a maximum three months seasoned. All of the HELOCs must be current and have been performing since origination. All loans in the pool will be exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of June 2025, Figure originated, funded, and serviced more than 201,700 HELOCs totaling approximately $15.7 billion. Figure is the Originator of most and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. The sponsor is Fig Six Realty Investment, LLC, which is owned by a joint venture between Figure and funds, accounts, and investment vehicles managed by affiliates of Sixth Street Partners, LLC. FIGX 2026-PF1 is the third prefunded securitization and 26th rated securitization of HELOCs where Figure has either been the Sponsor or affiliated with the Sponsor. Also, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. HELOC FEATURES In this transaction, all HELOCs have a draw period of three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. (The temporary "freeze" of the credit line may happen for a few reasons, including, but not limited to, a decrease in value of the related mortgaged property, a material change in a borrower's financial circumstances, a default by the related borrower under the related line of credit agreement, or a change in delinquency status.) At the end of the draw term, the HELOC mortgagors have a repayment period ranging from seven to 25 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The HELOCs are fully drawn at origination and are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including five- to 10-year maturities. HELOC ORIGINATION PROCESS Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal, Figure uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the related report for details. TRANSACTION COUNTERPARTIES Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Cornerstone Servicing (Cornerstone) will act as a Subservicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Cornerstone will retain servicing responsibilities on all loans that were being special serviced by Cornerstone at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. The Bank of New York Mellon will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, REMIC Administrator, and Verification Agent. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. As of closing date, the Sponsor has elected to retain an eligible horizontal residual interest consisting of 100% of the Class XS Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Final Mortgage Acquisition Date, but in any event no longer than the seventh anniversary of the Closing Date. None of the Sponsor, the Depositor, the Servicer, or any of their respective affiliates nor any other party to the transaction described herein will undertake, or intends, to retain or commit to retain a material net economic interest with respect to the transaction in accordance with the EU Securitization Regulation or the UK Securitization Framework, or to take any other action, or refrain from taking any action, in connection with such transaction, to facilitate or enable compliance by Institutional Investors with their applicable Due Diligence Requirements under the EU Securitisation Regulation and the UK Securitization Framework. Similar to other transactions backed by junior lien mortgage loans or HELOCs, but different from certain Morningstar DBRS-rated FIGRE transactions, the HELOCs that are 180 days delinquent under the MBA delinquency method may not be charged off by the Servicer in its discretion. In its analysis, Morningstar DBRS assumes all junior lien HELOCs that are 180 days delinquent under the MBA delinquency method will be charged off. DRAW FUNDING MECHANISM This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $900,000 (0.30% of the aggregate Credit Limit as of the Cut-Off Date). Prior to the payment date in August 2031, the Reserve Account Required Amount will be 0.30% of the aggregate Credit Limit as of the Cut-Off Date. Beginning on the payment date in August 2031 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificateholder or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest (P&I) collections, the Class FR Certificateholder will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. Figure, as a holder of the Trust Certificate/Class FR Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificateholder. The Reserve Account's required amount will become $0 beginning on the payment date in August 2031 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or the Class FR Certificateholder. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. ADDITIONAL CASH FLOW ANALYTICS FOR HELOCS Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. TRANSACTION STRUCTURE The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of the related report for more details. OTHER TRANSACTION FEATURES For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of P&I on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. The Depositor may, at its option, purchase all of the loans and REO properties at the optional termination price described in the transaction documents on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Final Mortgage Acquisition Date (Optional Termination Date). The Depositor at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Final Mortgage Acquisition Date balance. The Servicer, at a direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible Nonperforming Loans (NPLs)) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. Initial Interest Reserve Account On or prior to the Closing Date, the Paying Agent will establish and maintain in the name of the Indenture Trustee, for the benefit of the Noteholders and the holder of the Class FR Certificate, a non-interest-bearing Initial Interest Reserve Account. The Noteholders will have the benefit of the Initial Interest Reserve Account to pay amounts owing to the Offered Notes during the Initial Fixed Rate Period (approximately one month). On the Closing Date, the Sponsor will cause approximately $1,500,741 to be remitted to the Initial Interest Reserve Account out of proceeds from the sale of the Offered Notes On the Payment Date occurring in August 2026, if there is a shortfall in the amount of interest to be paid on any Offered Note, the amount necessary to eliminate any such shortfall shall be released from the Initial Interest Reserve Account and paid to the holders of the respective Offered Notes to the extent necessary to eliminate any such shortfall. On the Payment Date occurring in August 2026, after payment of amounts due to the Offered Notes, if any, the balance of the Initial Interest Reserve Account will be distributed to the Class XS Notes. Prefunding Account On or prior to the Closing Date, the Paying Agent will establish and maintain in the name of the Indenture Trustee, for the benefit of the Noteholders, a non-interest bearing Prefunding Account to be used for the acquisition of mortgage loans during the Prefunding Period. On the Closing Date, the Sponsor will cause an amount equal to $300,000,000 to be remitted to the Prefunding Account out of proceeds from the sale of the Offered Notes. The Prefunding Account may be invested in Eligible Investments as disclosed in the transaction documents. In its analysis, Morningstar DBRS assumed the Prefunding Account will not be invested and no interest from any investments will be received. Any cash remaining in the Prefunding Account on the Final Mortgage Acquisition Date will be distributed on the Final Mortgage Acquisition Date to each Class of Notes, pro rata, based on the respective Note Amount of each such class of Notes (prior to giving effect to payments of principal on such Payment Date), until their respective Note Amount is reduced to zero. The credit ratings reflect transactional strengths that include the following: -- Certain HELOC attributes; -- Robust equity and prime and near-prime credit quality; -- Current loan status; and -- Satisfactory third-party due diligence sample size and compliance review. The transaction also includes the following challenges: -- Holder of the Class FR Certificates may fail to reimburse the Servicer for draws; -- Representations and warranties standard; -- No Servicer advances of delinquent P&I; and -- Certain limitations of third-party due diligence credit and valuation reviews. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the rated notes are the Current Interest, Interest Carryforward Amount, and the Note Amount. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. FIGRE TRUST 2026-FL2: DBRS Gives (P)Bsf Rating on Class B-2 Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-FL2 (the Notes) to be issued by FIGRE Trust 2026-FL2 (FIGRE 2026-FL2 or the Issuer) as follows: -- $278.6 million Class A-1 at (P) AAA (sf) -- $183.9 million Class A-1FCF at (P) AAA (sf) -- $94.7 million Class A-1LCF at (P) AAA (sf) -- $29.4 million Class A-2 at (P) AA (sf) -- $16.8 million Class A-3 at (P) A (high) (sf) -- $10.9 million Class M-1 at (P) BBB (low) (sf) -- $3.3 million Class B-1 at (P) BB (sf) -- $2.9 million Class B-2 at (P) B (sf) The (P) AAA (sf) credit rating on the Class A-1 Notes reflects 19.50% of credit enhancement provided by subordinate notes. The (P) AA (sf), (P) A (high) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 10.00%, 6.15%, 3.00%, 2.05%, and 1.20% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other class in this transaction. The securitization of recently originated first-lien home equity lines of credit (HELOCs) is funded by the issuance of the Notes. The Notes are backed by 2,660 loans (individual HELOC draws), which correspond to HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance of $346,117,864 and a total current credit limit of $373,259,719 as of the Cut-Off Date (May 31, 2026). The portfolio, on average, is three months seasoned, though seasoning ranges from one month to 16 months. All of the HELOCs are current and have been performing since origination. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure Lending LLC (Figure) is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinancings, unsecured consumer loans, and conforming first-lien mortgages. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of December 2025, Figure originated, funded, and serviced more than 175,000 HELOCs totaling approximately $13.0 billion. Figure is one of the Originators and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the Sponsor of this transaction. FIGRE 2026-FL2 is the 30th rated securitization of HELOCs by Figure. However, FIGRE 2026-FL2 is the fourth rated securitization of HELOCs by Figure to contain primarily first-lien HELOCs. Additionally, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. HELOC FEATURES In this transaction, all loans are open HELOCs that have a draw period of three, four, or five years, during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from seven to 25 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average (WA) utilization rate by current line amount of approximately 97.1% after three months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then-current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period, and may have terms significantly shorter than 30 years, including 10-year maturities. CERTAIN UNIQUE FACTORS IN HELOC ORIGINATION PROCESS Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal, Figure generally uses a property valuation provided by an automated valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods Figure used were generally treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations and generally stepped up expected losses from the model to account for this and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the presale report for details. TRANSACTION COUNTERPARTIES Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Cornerstone Servicing, a Division of Cornerstone Capital Bank, SSB (Cornerstone) will act as a Subservicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Cornerstone will retain servicing responsibilities on all loans that were being specially serviced by Cornerstone at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. Wilmington Trust, National Association will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and Real Estate Mortgage Investment Conduit Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intend to retain an eligible vertical interest consisting of the required percentage of the Class A-1FCF, A-1LCF, A-1, A-2, A-3, M-1, B-1, B-2, B-3, and XS note amounts and Class FR Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Retaining Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Sponsor will agree that on an ongoing basis for so long as the Notes are outstanding: -- It will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of Notes, in the form specified in related transaction documents; -- Neither it nor any affiliate will sell, hedge, or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitisation Rules and the UK Securitisation Rules respectively; -- It will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitisation Rules or the UK Securitisation Rules; -- It will confirm its EU and UK Retained Interest in the SR Investor Report; and -- It will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason (1) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above or (2) it or any of its affiliates fails to comply with the covenants set out above. Unlike other Morningstar DBRS-rated FIGRE transactions, there is no provision for HELOCs that are 180 days delinquent under the MBA delinquency method to be charged off by the Servicer. As such, in its analysis, Morningstar DBRS assumes all first-lien HELOCs that are 180 days delinquent under the MBA delinquency method will not be charged off and will instead continue to be serviced. DRAW FUNDING MECHANISM This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. Additionally, if needed, the Servicer is entitled to reimburse itself for draws funded from amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date. Unlike prior FIGRE securitizations, the Reserve Account will not be funded at closing. Instead, the Class FR Certificateholders will be required to remit funds to be used to reimburse the Servicer for any unreimbursed Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. The Class FR Certificates will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount funded by the Class FR Certificateholders. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows to fund draws and make interest and principal payments. ADDITIONAL CASH FLOW ANALYTICS FOR HELOCS Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. TRANSACTION STRUCTURE The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. This transaction differs from certain previous Morningstar DBRS-rated FIGRE transactions where there is no performance trigger related to the Net WA Coupon (WAC) Rate. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of the presale report for more details. NOTABLE STRUCTURAL FEATURES Similar to previous Morningstar DBRS-rated FIGRE transactions, this deal employs a Delinquency Trigger and a Cumulative Loss Trigger. The effective dates for the triggers may differ from prior rated transactions. The Delinquency Trigger is applicable on or after the 12th payment date (June 2027) rather than being applicable immediately after the Closing Date. Unlike some of the prior FIGRE securitizations that employed a pro rata pay structure among all rated notes, this transaction includes rated classes--Class M-1, Class B-1, and Class B-2--that receive their principal payments after the pro rata classes (Class A-1FCF, Class A-1LCF, Class A-1, Class A-2, and Class A-3) are paid in full. The inclusion of sequential pay classes retains credit support that would otherwise be reduced in the absence of a credit event. OTHER TRANSACTION FEATURES For this transaction, other than the Servicer's obligation to fund any monthly Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). The Depositor may, at its option, on or after the earlier of (1) the payment date in June 2029 and (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at a direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (NPLs) (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible NPLs) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. The credit ratings reflect transactional strengths that include the following: -- Certain HELOC attributes; -- Robust equity and prime and near-prime credit quality; -- Current loan status; and -- Satisfactory third-party due diligence sample size and compliance review. The transaction also includes the following challenges: -- Holder of the Class FR Certificates may fail to reimburse the Servicer for draws; -- Representations and warranties standard; -- No Servicer advances of delinquent P&I; and -- Certain limitations of third-party due diligence credit and valuation reviews. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the rated notes are the current interest, interest carryforward amount, and the note amount. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. FIGRE TRUST 2026-HE5: DBRS Finalizes B(low) Rating on Cl. F Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2026-HE5 (the Notes) to be issued by FIGRE Trust 2026-HE5 (FIGRE 2026-HE5 or the Issuer) as follows: -- $232.6 million Class A at AAA (sf) -- $31.1 million Class B at AA (high) (sf) -- $26.9 million Class C at A (high) (sf) -- $30.6 million Class D at BBB (high) (sf) -- $25.6 million Class E at BB (low) (sf) -- $11.3 million Class F at B (low) (sf) The AAA (sf) credit rating on the Class A Notes reflects 36.45% of credit enhancement provided by subordinate notes. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 27.95%, 20.60%, 12.25%, 5.25%, and 2.15% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other class in this transaction. The securitization is backed by recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 4,460 loans (individual HELOC draws) which correspond to 4,249 HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $365,976,352 and a total current credit limit of $382,772,947 as of the Cut-Off Date (April 30, 2026). The portfolio, on average, is four months seasoned, though seasoning ranges from one to 28 months. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the home equity line of credit (HELOC) product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of June 2025, Figure originated, funded, and serviced more than 201,700 HELOCs totaling approximately $15.7 billion. Figure is one of the Originators and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the Sponsor of this transaction. FIGRE 2026-HE5 is the 26th rated securitization of HELOCs by Figure. Additionally, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. HELOC Features In this transaction, all HELOCs are open-HELOCs that have a draw period of two, three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from five to 30 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average (WA) utilization rate by current line amount of approximately 95.6% after four months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including five- to 10-year maturities. Certain Unique Factors in HELOC Origination Process Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal Figure uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the related report for details. Transaction Counterparties Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Cornerstone Servicing (Cornerstone) will act as Subservicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Cornerstone will retain servicing responsibilities on all loans that were being special serviced by Cornerstone at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. Wilmington Trust, National Association will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible interest consisting of the required percentage of the Class A, B, C, D, E, F, G, and XS Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Sponsor will agree that on an ongoing basis for so long as the Notes are outstanding: -- It will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of Notes, in the form specified in related transaction documents; -- Neither it nor any affiliate will sell, hedge or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitisation Rules and the UK Securitisation Rules respectively; -- It will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitisation Rules or the UK Securitisation Rules; -- It will confirm its EU and UK Retained Interest in the SR Investor Report; and -- It will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason: (A) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above, or (B) it or any of its affiliates fails to comply with the covenants set out above. Similar to other transactions backed by junior lien mortgage loans or HELOCs, but different from certain Morningstar DBRS-rated FIGRE transactions, the HELOCs that are 180 days delinquent under the MBA delinquency method may not be charged off by the Servicer in its discretion. In its analysis, Morningstar DBRS assumes all junior lien HELOCs that are 180 days delinquent under the MBA delinquency method will be charged-off. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a rounded balance of $1,280,917 (0.35% of the aggregate UPB as of the Cut-Off Date). Prior to the payment date in June 2031, the Reserve Account Required Amount will be 0.35% of the aggregate UPB as of the Cut-Off Date. On and after the payment date in June 2031 (after the draw period ends for all HELOCs), the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificateholders or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest (P&I) collections, the Class FR Certificateholders will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. Figure, as a holder of the Class FR Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificateholders. The Reserve Account's required amount will become $0 on the payment date in June 2031 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Transaction Structure The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of the related report for more details. Other Transaction Features For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of P&I on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. The Depositor may, at its option, on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at the direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible Nonperforming Loans (NPLs)) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. The credit ratings reflect transactional strengths that include the following: -- Certain HELOC attributes; -- Robust equity and prime and near-prime credit quality; -- Current loan status; and -- Satisfactory third-party due diligence sample size and compliance review. The transaction also includes the following challenges: -- Holder of the Class FR Certificates may fail to reimburse the Servicer for draws; -- Representations and warranties standard; -- No Servicer advances of delinquent P&I; and -- Certain limitations of third-party due diligence credit and valuation reviews. Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the rated notes are the Current Interest, Interest Carryforward Amount, and the Note Amount. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (May 16, 2025) https://dbrs.morningstar.com/research/454196. Notes: All figures are in U.S. dollars unless otherwise noted. GGAM MASTER 2026-1: Fitch Assigns 'BB-sf' Rating on Class Y Debt ---------------------------------------------------------------- Fitch Ratings has assigned the following final ratings to the series 2026-1 class A and Y notes co-issued by GGAM Master Trust International, Ltd. (GGAMMT Cayman) and GGAM Master Trust US LLC (GGAMMT US; together with GGAMMT Cayman, GGAMMT or the co-issuers) as follows: - $495,000,000 series 2026-1 class A notes 'A-sf'/Outlook Stable; - $73,000,000 series 2026-1 class Y notes 'BB-sf'/Outlook Stable. In addition, Fitch has affirmed the ratings of the series 2025-1 class A and Y notes, co-issued by the same co-issuers as series 2026-1. Entity/Debt Rating Prior ----------- ------ ----- GGAMMT Series 2026-1 Class A 36173XAE2 LT A-sf New Rating A-(EXP)sf Class Y 36173XAF9 LT BB-sf New Rating BB-(EXP)sf GGAMMT Series 2025-1 Class A 36173XAA0 LT A-sf Affirmed A-sf Class Y 36173XAB8 LT BB-sf Affirmed BB-sf Transaction Summary Series 2026-1 is the second series of notes issued under the base indenture. Proceeds from the notes will be used to acquire the subject aircraft from the sellers; fund aircraft acquisition sub-accounts, the maintenance reserve account, the security deposit account, the expense account and the class Y interest reserve account; and pay transaction fees and expenses related to the offering. The series 2025-1 class A and Y notes, which were co-issued on Oct. 31, 2025, remain outstanding at closing. Together, the series 2025-1 and series 2026-1 notes will be secured by a pool of 41 passenger aircraft operated by 28 lessees across 20 countries, with an aggregate appraised value of approximately $1.86 billion as of May 31, 2026. Griffin Global Asset Management (servicer) LLC and Griffin Global Asset Management DAC (together, GGAM or the servicer) will be responsible for managing the aircraft including leasing, maintenance and disposition. The issuers may issue additional series of class A or class Y notes after the closing date. Notes of the same class generally rank pari passu regardless of series, though subsequent notes may carry materially different terms, which could increase risk to existing noteholders. Conditions for new issuance include: i) rating agency confirmation for each continuing series; ii) a pro forma class A LTV not exceeding 80%; iii) any additional class A notes must receive an investment-grade rating; and iv) an amortization schedule no faster than a 10-year straight-line (or equivalent mortgage-style) profile, among others. See the offering memorandum for a full list of conditions for issuance. KEY RATING DRIVERS Asset Quality and Tiering (Positive): Series 2026-1 adds 18 narrowbody (NB) aircraft to the master trust, comprising 2x 737 MAX 9, 3x A320neo, 1x A321neo, 4x 737-800, 6x A320ceo and 2x A321ceo. Based on maintenance-adjusted base value (MABV), the additions are 54.7% new-technology and 45.3% prior-generation, with a weighted average (WA) age of 7.2 years and tiering of 73.0% Tier 1 and 27.0% Tier 2 with no Tier 3 exposure. These additions improve the portfolio's overall liquidity profile and increase Tier 1 concentration from 66.4% to 68.5%. While new-technology concentration declines from 85.9% to 76.2% and WA age increases from 5.3 to 5.9 years, both metrics remain among the strongest observed across recent aviation ABS issuances. The all-NB additions of the new issuance lower the overall portfolio's widebody (WB) concentration to 33.4% of MABV. However, this remains somewhat elevated relative to recent transactions. While WBs are typically less liquid than NBs, a key mitigating factor is that all five assets are high-demand, new-technology aircraft types benefiting from significant OEM production constraints, enhancing re-leasing and remarketing prospects for the WB types in this master trust. The elevated WB concentration and illiquidity risk is further mitigated by the 49.6% of WB exposure leased to investment-grade (IG) lessees. Pool Concentration (Neutral): The new issuance adds 18 aircraft leased to 12 airlines, introducing 10 new lessees to the portfolio and bringing the total lessee count to 28. With the additions, United Airlines (12.4%) and JetSmart (10.7%) are the only two lessees exceeding 10% of MABV, with British Airways rounding out the top three at 9.0%, collectively representing 32.1% of the combined portfolio. Geographic diversity is further enhanced with the addition of five new jurisdictions, with the three largest country exposures across the combined portfolio being the UK (15.1%), U.S. (14.2%) and Chile (10.7%), together accounting for 40.1% of MABV. These concentration levels are in line with those observed across aviation ABS transactions rated by Fitch, reflecting reasonable diversification by both obligor and geography. Lessee Credit Risk (Neutral): The new issuance's 12 lessees have a WA credit rating of approximately 'CCC+' to 'B-', bringing the combined portfolio WA credit rating marginally lower to between 'B-' and 'B', compared with a solid 'B' for the prior issuance. However, this remains consistent with the typical range observed across aviation ABS transactions. The portfolio benefits from three IG anchor lessees representing 18.0% of the combined portfolio's MABV, providing a degree of credit quality support for the pool. All assets are on-lease. As of June 12, 2026, two lessees had lease payments past due for 30 days or more. Operational and Servicing Risk (Neutral): Fitch has found GGAM to be an effective servicer based on the management team's depth, experience and track record managing aviation assets, combined with the benefits of Bain Capital Credit, LP ownership. Fitch rates Griffin Global Asset Management Holdings, Ltd. 'BB' with a Positive Outlook. Transaction Structure (Neutral): Leverage of 79.1% on the class A notes seems elevated on a headline basis. However, GGAMMT's capital structure does not include a traditional subordinated B note and instead has a deeply subordinated class Y note. The class A notes therefore encompass both the senior and subordinated layers of a conventional two-tranche structure, bringing leverage broadly in line with peers on a like-for-like basis. The class A notes follow a 14-year mortgage-style amortization profile, which is at the slower end relative to recent transactions. This is partially mitigated by the portfolio's relatively young WA age of 5.9 years, as the assets' long remaining useful lives support the amortization profile. The class Y notes, with an LTV of 88.8%, are not subject to a prescribed amortization schedule and are instead repaid through excess cash flows after satisfaction of all senior ranking obligations. Structural Protections (Positive): The transaction incorporates standard protective features, including debt service coverage ratio (DSCR) cash trap and DSCR-triggered rapid amortization event (RAE), as well as minimum utilization and asset count triggers. GGAMMT's revolving master trust framework does not contemplate a fixed anticipated refinancing date (ARD), and accordingly the structure does not include a post-ARD RAE. Although this represents a structural distinction relative to term ABS peers, its significance for class A noteholders is limited due to the deeply subordinated class Y notes, which provide a meaningful structural buffer that reduces reliance on the post-ARD deleveraging mechanisms typical of conventional two-tranche structures. The class Y notes benefit from an $11 million interest reserve account funded at closing and replenished through the priority of payments to 12 months of interest. While interest reserves on deeply subordinated notes are not unprecedented, the replenishment feature is less common at this level of the capital structure and provides incremental support to class Y noteholders by helping mitigate the risk of interest deferral and associated interest-on-interest compounding. In addition, there is a class Y LTV trigger that requires net sales proceeds from any aircraft disposition to be applied to class Y principal to the extent necessary to bring the class Y LTV below 90%. Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings to a maximum of 'Asf'. For further details, refer to Fitch's "Global Structured Finance Rating Criteria" and "Aircraft Operating Lease ABS Rating Criteria. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Given the number of variables when evaluating operating lease securitizations, Fitch conducts a number of model runs with varying assumptions. Fitch determines on a transaction-by-transaction basis which scenarios are most insightful. Future Lessee Credit Stress Sensitivity: The central scenario assumes future lessees are either 'B' or 'CCC' credits, based on the tier and age of the aircraft at lease expiration. Given the historical volatility and cyclicality of the commercial aviation industry, Fitch typically runs one- and two-category downgrade sensitivities on assumed future lessee ratings. Weaker assumed future lessee credit quality results in more frequent repossessions, which increase aircraft downtime and the number of transitions, leading to a reduction in rental revenue and an increase in expenses, thereby lowering net cash flows to the transaction. There is a probable one-notch downgrade under the one-category downgrade scenario, and a probable two-notch downgrade under the two-category downgrade scenario. Value Stress Sensitivity: Fitch ran sensitivities applying a 10% or 20% haircut to the starting FV of prior-generation aircraft, considering the historical volatility and cyclicality of commercial aircraft values, especially for models that have been replaced by newer technology. This value sensitivity decreased gross cash flows as the lower starting FV drove lower future lease rates and disposition proceeds. There is a probable one- to three-notch downgrade under the 10% FV decline scenario and a probable three- to five-notch downgrade under the 20% FV decline scenario. Middle East Exposure Default and Extended Downtime Sensitivity: Due to uncertainty around the duration of the conflict affecting the Middle East, Fitch ran a scenario in which non-IG exposure in the Middle East defaults. Fitch also assumed extended downtime for the related aircraft due to difficulties repossessing an aircraft grounded in a conflict-affected region, followed by remarketing at a lower stressed lease rate. There is a probable zero- to one-notch downgrade under the Middle East downtime sensitivity. Current Lessee Credit Stress Sensitivity: Given the current high fuel price environment and potential fuel shortages, Fitch ran a sensitivity assuming current lessees in the pool are one and two notches lower than their current ratings. This sensitivity affects the lessee default probability and cash flow forecast. There is a probable one-notch downgrade under the one-notch current lessee rating downgrade scenario and a probable one- to two-notch downgrade under the two-notch current lessee rating downgrade scenarios. EOL Sensitivity: Fitch relies on maintenance cash flow forecasts provided by Alton to evaluate maintenance- related collections and expenditures, including EOL payments that Alton haircuts using Fitch's cumulative probability of default assumptions associated with each lessees' credit assumption. Given the inherent volatility in the magnitude and timing of EOLs over long time horizons (through, for example, renegotiation of redelivery requirements, lease extensions that defer EOL payments and the general difficulty of forecasting the precise aircraft maintenance condition at end of lease), Fitch typically runs an EOL sensitivity. Under this sensitivity, an additional 20% haircut was applied to the central scenario EOLs, resulting in a probable zero- to one-notch downgrade. The haircut applied for this sensitivity varies by transaction, based on the ratio of reserve and EOL payers, credit rating of lessees and other factors. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios, this may also lead to an upgrade. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2026-PJ8: DBRS Gives (P)B(high) Rating on B-5 Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2026-PJ8 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2026-PJ8: -- $250.1 million Class A-1 at (P) AAA (sf) -- $250.1 million Class A-2 at (P) AAA (sf) -- $250.1 million Class A-3 at (P) AAA (sf) -- $187.6 million Class A-4 at (P) AAA (sf) -- $187.6 million Class A-5 at (P) AAA (sf) -- $187.6 million Class A-6 at (P) AAA (sf) -- $150.1 million Class A-7 at (P) AAA (sf) -- $150.1 million Class A-8 at (P) AAA (sf) -- $150.1 million Class A-9 at (P) AAA (sf) -- $37.5 million Class A-10 at (P) AAA (sf) -- $37.5 million Class A-11 at (P) AAA (sf) -- $37.5 million Class A-12 at (P) AAA (sf) -- $100.0 million Class A-13 at (P) AAA (sf) -- $100.0 million Class A-14 at (P) AAA (sf) -- $100.0 million Class A-15 at (P) AAA (sf) -- $62.5 million Class A-16 at (P) AAA (sf) -- $62.5 million Class A-17 at (P) AAA (sf) -- $62.5 million Class A-18 at (P) AAA (sf) -- $32.9 million Class A-19 at (P) AAA (sf) -- $32.9 million Class A-20 at (P) AAA (sf) -- $32.9 million Class A-21 at (P) AAA (sf) -- $283.0million Class A-22 at (P) AAA (sf) -- $283.0 million Class A-23 at (P) AAA (sf) -- $283.0 million Class A-24 at (P) AAA (sf) -- $62.5 million Class A-27 at (P) AAA (sf) -- $62.5 million Class A-29 at (P) AAA (sf) -- $62.5 million Class A-30 at (P) AAA (sf) -- $62.5 million Class A-31 at (P) AAA (sf) -- $345.6 million Class A-X-1 at (P) AAA (sf) -- $250.1 million Class A-X-2 at (P) AAA (sf) -- $250.1 million Class A-X-3 at (P) AAA (sf) -- $250.1 million Class A-X-4 at (P) AAA (sf) -- $187.6 million Class A-X-5 at (P) AAA (sf) -- $187.6 million Class A-X-6 at (P) AAA (sf) -- $187.6 million Class A-X-7 at (P) AAA (sf) -- $150.1 million Class A-X-8 at (P) AAA (sf) -- $150.1 million Class A-X-9 at (P) AAA (sf) -- $150.1 million Class A-X-10 at (P) AAA (sf) -- $37.5 million Class A-X-11 at (P) AAA (sf) -- $37.5 million Class A-X-12 at (P) AAA (sf) -- $37.5 million Class A-X-13 at (P) AAA (sf) -- $100.0 million Class A-X-14 at (P) AAA (sf) -- $100.0 million Class A-X-15 at (P) AAA (sf) -- $100.0 million Class A-X-16 at (P) AAA (sf) -- $62.5 million Class A-X-17 at (P) AAA (sf) -- $62.5 million Class A-X-18 at (P) AAA (sf) -- $62.5 million Class A-X-19 at (P) AAA (sf) -- $32.9 million Class A-X-20 at (P) AAA (sf) -- $32.9 million Class A-X-21 at (P) AAA (sf) -- $32.9 million Class A-X-22 at (P) AAA (sf) -- $283.0 million Class A-X-23 at (P) AAA (sf) -- $283.0 million Class A-X-24 at (P) AAA (sf) -- $283.0 million Class A-X-25 at (P) AAA (sf) -- $62.5 million Class A-X-27 at (P) AAA (sf) -- $32.9 million Class A-X-28 at (P) AAA (sf) -- $62.5 million Class A-X-29 at (P) AAA (sf) -- $62.5 million Class A-X-30 at (P) AAA (sf) -- $9.6 million Class B-1 at (P) AA (low) (sf) -- $9.6 million Class B-1A at (P) AA (low) (sf) -- $9.6 million Class B-X-1 at (P) AA (low) (sf) -- $5.7 million Class B-2 at (P) A (low) (sf) -- $5.7 million Class B-2A at (P) A (low) (sf) -- $5.7 million Class B-X-2 at (P) A (low) (sf) -- $3.3 million Class B-3 at (P) BBB (low) (sf) -- $1.8 million Class B-4 at (P) BB (sf) -- $736.0 thousand Class B-5 at (P) B (high) (sf) -- $250.1 million Class A-1L Loans at (P) AAA (sf) -- $250.1 million Class A-2L Loans at (P) AAA (sf) -- $250.1 million Class A-3L Loans at (P) AAA (sf) Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-29, A-30, A-31, A-1L, A-2L, and A-3L Loans are super-senior classes. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-27, A-X-28, A-X-29, A-X-30, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-29, A-30, A-31, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-29, A-X-30, B-1, B-2, A-1L, A-2L, and A-3L Loans are exchangeable classes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-27 and A-X-27 are floating-rate notes. Classes A-1L, A-2L, and A-3L are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 6.05% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (high) (sf) credit ratings reflect 3.45%, 1.90%, 1.00%, 0.50%, and 0.30% credit enhancement, respectively. The securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 319 loans with a total principal balance of $367,824,624 as of the Cut-Off Date. The collateral description and disclosure on the mortgage loans in the related presale report reflect the approximate aggregate characteristics as of the Cut-Off Date unless otherwise specified. The pool consists of first-lien, fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 15 to 30 years. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 72.8%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (32.7%), PennyMac Loan Services, LLC (27.2%) and other originators each comprising less than 10.0% of the pool. The mortgage loans will be serviced by PennyMac Loan Services, LLC (42.9%), United Wholesale Mortgage, LLC (32.7%), Newrez LLC d/b/a Shellpoint Mortgage Servicing (16.8%), and loanDepot.com LLC (7.6%). Computershare Trust Company, N.A. will act as Master Servicer, Paying Agent, Note Registrar, Rule 17g-5 Information Provider and Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of Classes A-1L, A-2L and A-3L loans which are the equivalent of ownership of Classes A-1, A-2 and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these Classes are elected. The credit ratings reflect transactional strengths that include the following: -- High-quality credit attributes. -- Well-qualified borrowers. -- Satisfactory third-party due-diligence review. -- Structural enhancements. -- 100% current loans. The transaction also includes the following challenges: -- Representations and warranties framework. -- Servicers' financial capabilities. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amounts, the related Interest Shortfalls, and the related Debt Amounts (for non-interest-only certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. GSF 2025-AXMF1: Fitch Affirms 'BB-(EXP)sf' Rating on Cl. E-RR Certs ------------------------------------------------------------------- Fitch Ratings has affirmed the expected ratings for classes A-1, A-2, A-S, B, C, D, E and X of GSF 2025-AXMF1 Issuer LLC. This is related to the final ramp of GSF 2025-AXMF1 Issuer LLC. Fitch expects to assign ratings and Rating Outlooks as follows: - $95,138,000a Class A-1 'AAA(EXP)sf': Outlook Stable; - $190,321,000a Class A-2 'AAA(EXP)sf'; Outlook Stable; - $35,682,000a Class A-S 'AAA(EXP)sf'; Outlook Stable; - $22,428,000a Class B 'AA-(EXP)sf'; Outlook Stable; - $17,331,000a Class C 'A-(EXP)sf'; Outlook Stable; - $0ab Class X Class X 'A-(EXP)sf'; Outlook Stable; - $13,763,000a Class D 'BBB-(EXP)sf'; Outlook Stable; - $8,665,000ac Class E-RR 'BB-(EXP)sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144a (b) The notional balance of class X is tied to the class A-1 though class C certificates. The rating of the IO class reflects that of the lowest tranche whose payable interest has an impact on the IO payments (class C). (c) Horizontal risk retention interest representing at least 8.1% of the fair value of all classes Fitch does not expect to rate the following classes: - $24,471,000ac Class F-RR. Transaction Summary Fitch assigned expected ratings to the transaction in January 2025 and July 2025. The first ramp occurred in July 2025 and included an initial pool of 10 identified loans totaling $72.2 million. Fitch lifted the rating cap of 'Asf' that was placed in January 2025 because only two loans closed. Fitch affirmed the ratings in February 2026 which included a ramped pool of 40 identified loans totaling $354.8 million. The purpose of this rating action is to rate the final ramp. The new CRE CLO pool contains 47 mortgage loans secured by 47 properties throughout the U.S. As of the cutoff date, the trust will have a collateral balance of $407,799,000. The pool does not feature any future funding. All loans are fixed rate. The mortgages are sourced solely by Axonic Capital, which is sponsoring the deal. The transaction has been arranged by Grant Street Funding. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch rating performed net cash flow (NCF) analysis totaling 57.5% of the pool. Fitch's resulting NCF of $33.1 million represents a 9.2% decrease from the issuer's underwritten NCF of $36.5 million. Higher Leverage compared to Recent Transactions: The pool's Fitch LTV of 108.7% is higher than the 2026 YTD multiborrower five-year Fitch LTV of 102.2% and higher than the 2025 multiborrower five-year Fitch LTV average of 101.0%. Additionally, the pool's Fitch DY is 9.0%, lower than the 2026 multiborrower Fitch DY average of 11.3%, and lower than the 2025 multiborrower five-year Fitch DY average of 11.4%. Higher Interest Rates Than Other Recent Transactions: The pool's weighed average note rate is 6.4%, higher than 2026 YTD multiborrower five-year average note rate of 6.3%, and lower than the 2025 multiborrower five-year average of 6.5%. Additionally, the pool's Fitch Term DSCR is 1.07x is lower than the 2026 YTD multiborrower five-year Fitch Term DSCR average of 1.25x, and lower than the 2025 multiborrower five-year Fitch Term DSCR average of 1.20x. Granular Pool: The pool carries 47 loans with an effective loan count of 35.1 and translates to a lower pool concentration compared to recent multiborrower transactions. The pool's effective loan count of 35.1 is higher than the 2026 YTD multiborrower five-year average of 21.6 and the 2025 multiborrower five-year average of 21.8. Amortization Compared With Recent Transactions: The pool is comprised of 100% of interest-only amortization loans; thus, the pool features 0.0% paydown from securitization to maturity. This is lower than the 2026 YTD and 2025 multiborrower five-year average of 0.4%, respectively. Multifamily Concentration: Loans secured by multifamily properties (designated by Fitch) represent 100.0% of the pool, which is higher than the 2026 YTD multiborrower five-year average of 25.1% and the 2025 multiborrower five-year average of 27.8%. Multifamily properties have a lower average likelihood of default than retail, office, or industrial properties, all else equal. Fitch did not raise the overall losses for this concentration, as multifamily properties have diversity of tenants and correspondingly, diversity of employment. Diverse Geographic Footprint: GSF 2025-AXMF1 has an effective geographic count of 9.6 which is lower than the 2026 YTD multiborrower five-year average of 12.4 and higher than the 2025 multiborrower five-year average of 8.7. Loans located in the Dallas MSA account for 28.4% of the pool. When viewing other comparable transactions, WFCM 2026-5C9 is the most geographically concentrated, with 21.8% of the pool located in the Los Angeles MSA. 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 net cash flow (NCF): - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf' - 10% Decline to Fitch NCF: 'AAAsf'/'AAsf'/'Asf'/'BBBsf/'BBsf/'B-sf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch net cash flow (NCF): - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf' - 10% Increase to Fitch NCF: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf/'BBB+sf/'BB+sf' SUMMARY OF FINANCIAL ADJUSTMENTS Cash flow (CF) modeling was not used on this transaction. The deal does not employ CRE CLO features that would cause Fitch to apply a CF model. For example, the transaction's structure does not contain any note protection tests (interest coverage or overcollateralization), nor is there an interest payment diversion feature within the retained classes (or anywhere in the structure). 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 re-computation and certain characteristics with respect to the 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. HARVEST US 2026-2: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Harvest US CLO 2026-2, Ltd. Entity/Debt Rating ----------- ------ Harvest US CLO 2026-2, Ltd. X LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-1-L LT AAA(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 LT NR(EXP)sf Expected Rating Transaction Summary Harvest US CLO 2026-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Investcorp Credit Management US LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.66, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.2% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 9.25% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'A+sf' and 'AAAsf' for class A-1, between 'Asf' and 'AAAsf' for class A-2, between 'BBBsf' and 'A+sf' for class B, between 'BB-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1 and 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, 'A-sf' for class D-1, and 'BBB+sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Harvest US CLO 2026-2, 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. HONO 2021-LULU: DBRS Cuts Rating on Class X-EXT Certs to BB(high) ----------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2021-LULU issued by HONO 2021-LULU Mortgage Trust as follows: -- Class D to BB (sf) from BBB (low) (sf) -- Class E to B (sf) from BB (low) (sf) -- Class F to CCC (sf) from B (low) (sf) -- Class X-EXT to BB (high) (sf) from BBB (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) Morningstar DBRS changed the trends on Classes C, X-EXT, D, and E to Negative from Stable. Class F has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. CREDIT RATING ACTION RATIONALE -- The credit rating confirmations and Stable trends reflect the ultimate recoverability of the top two classes as well as the insulation from losses implied in the hypothetical liquidation scenario analyzed with this review. -- The credit rating downgrades reflect the results of Morningstar DBRS' Loan-to-Value (LTV) Sizing analysis, which was based on a Morningstar DBRS Value of $245.2 million and resulted in downward credit ratings pressure across the stack. The Morningstar DBRS Value approach is further described below. -- In addition, the credit rating actions reflect Morningstar DBRS' conservative hypothetical liquidation scenario, with projected losses reaching the Class E certificate, reducing credit support to the more senior classes, further supporting the downgrades and Negative trends. -- The Negative trends also generally reflect the sustained decline in cash flows over the past two years from the historical figures, as well as rollover concerns for certain tenants in the property's retail portion. LOAN/COLLATERAL OVERVIEW -- The transaction is collateralized by the borrower's leasehold interest in Hyatt Regency Waikiki Beach Resort and Spa (Hyatt Regency Waikiki), a 1,230-key, full-service luxury resort with about 95,000 square feet (sf) of open-air retail space, 20,510 sf of meeting and event space, and various other amenities, including a 10,000-sf spa along Honolulu's world-renowned Waikiki Beach. -- The primary hotel and retail structure is subject to two separate ground leases, while the convention space and parking garage are each subject to a separate ground lease. All four ground leases are scheduled to expire on December 21, 2087, and contain rent provisions that escalate at five- and 10-year intervals. -- In August 2025, the Steiner family sold six parcels beneath the Hyatt Regency Waikiki for $215.0 million to Montgomery Street Partners. -- The property is managed by Hyatt Hotels Corporation under a management agreement that runs through December 2062. The sponsor is an affiliate of Mirae Asset Global Investments Co., Ltd., a global real estate investment firm that owns a portfolio of various property types, including office, industrial, multifamily, and hospitality. -- The floating-rate loan is interest only (IO) and had a two-year initial term and three one-year extension options that were all granted, fully extending the maturity date to October 2026. The servicer reported the borrower plans to secure takeout financing prior to the loan's upcoming maturity. -- The loan is on the servicer's watchlist because of a low debt service coverage ratio and the occurrence of a cash trap event when the debt yield failed to meet the 7% threshold. PERFORMANCE HIGHLIGHTS -- The servicer reported a YE2025 net cash flow (NCF) of $16.7 million; however, the servicer also noted the revenues for the property's retail portion were not included in that figure. When including the servicer's estimate of $8.5 million in retail revenues for YE2025 (notably around $4.0 million below the YE2024 figure), the NCF improves to $25.2 million. -- Room revenues have improved and outperformed pre-pandemic levels as well as Morningstar DBRS' issuance figures, with the property reporting a revenue per available room (RevPAR) of $254 for the trailing 12 months ended December 31, 2025 (RevPAR penetration rate of 100%). -- The reported cash flows have been consistently below expectations since issuance; this is primarily a factor of expense growth outpacing revenue gains, with property insurance at YE2025 33.0% higher than the lender's assumption at issuance. -- According to the December 2025 rent roll, the property's retail portion was 88.2% occupied, an improvement from the prior year. However, the directory on the website for the retail portion, known as the Pualeilani Atrium Shops, currently lists only 41 tenants, below the 50 tenants listed on the December 2025 rent roll. Morningstar DBRS reached out for clarification, and the borrower confirmed that the website only lists spaces that generate retail sales and excludes spaces used for storage and offices. Additionally, tenants with month-to-month leases may appear on the rent roll but are not listed on the website. -- Tenant rollover risk is notable, with approximately 37.0% of the net rentable area having leases scheduled to expire within the next 12 months along with multiple tenants on month-to-month leases. -- The loan benefits from healthy reserves of $18.9 million, $17.7 million of which is held in a debt service reserve, mitigating the impact of rising interest rates since securitization for the floating-rate loan. The borrower is also required to maintain a rate cap agreement. ANALYSIS SUMMARY -- Given the sustained cash flow declines and likelihood that the property's as-is value has declined as a result, as well as the near-term maturity date, Morningstar DBRS' analysis considered a hypothetical liquidation scenario based on the updated Morningstar DBRS Value derived as part of this review. That analysis served to evaluate the extent to which realized losses would affect the bond stack if the loan were to default and the servicer ultimately liquidated the property. -- The analysis showed the senior classes would remain well insulated, with hypothetical losses contained to the nonrated Class HRR and the Class F certificates, while eroding approximately 33.0% of the Class E certificate. -- The Morningstar DBRS Value was based on an NCF of $24.7 million, derived based on a 2.0% haircut to the servicer's reported YE2025 NCF (including the $8.5 million retail revenue figure as described above), and a leasehold capitalization rate of 10.09%. -- The resulting Morningstar DBRS Value of $245.2 million compares with the issuance appraised value of $771.0 million and the previous Morningstar DBRS Value of $290.6 million and implies an LTV of 123.3%. -- Morningstar DBRS also maintained positive qualitative adjustments totaling 3.0% to account for the subject's strong property quality and its irreplaceable location along Waikiki Beach. MATERIAL VARIANCE -- The Morningstar DBRS credit ratings assigned to Classes A, B, C, D, and E are higher than the results implied by the LTV Sizing Benchmarks. The variances are warranted given the desirability of the collateral and stable demand, as exhibited by the RevPAR trends and RevPAR penetration reported at YE2025. The Negative trends on all classes below Class C reflect Morningstar DBRS' continued concerns regarding the cash flow declines, tenant rollover for the retail shops, and the potential for further value decline as performance remains below expectations. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Class X-EXT is an IO certificate that references a single rated tranche or multiple rated tranches. The IO credit rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. JPMDB COMMERCIAL 2017-C7: DBRS Cuts Rating on 2 Tranches to CCCsf ----------------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded the credit ratings on five classes of Commercial Mortgage Pass-Through Certificates, Series 2017-C7 issued by JPMDB Commercial Mortgage Securities Trust 2017-C7 as follows: -- Class C to BBB (low) (sf) from A (low) (sf) -- Class D to CCC (sf) from BB (sf) -- Class E-RR to C (sf) from CCC (sf) -- Class X-B to BBB (sf) from A (sf) -- Class X-D to CCC (sf) from BB (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class F-RR at C (sf) -- Class X-A at AAA (sf) Morningstar DBRS changed the trends on Classes X-B and C to Negative from Stable. Classes D, X-B, E-RR, F-RR, and X-D have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) transactions. All remaining trends are Stable. CREDIT RATING ACTION RATIONALE -- The credit rating downgrades and Negative trends reflect Morningstar DBRS' concerns about the increased maturity default risk for several loans in the pool, which is in wind down with 29 of the remaining 31 loans, representing more than 90.0% of the pool balance, having scheduled maturity dates prior to YE2027. -- In the analysis for this review, Morningstar DBRS considered a hypothetical liquidation scenario wherein four loans, including two loans in special servicing (10.2% of the pool) as well as two underperforming, non-specially serviced loans -- Sheraton DFW (Prospectus ID#14; 3.3% of the pool) and 18301 Von Karman (Prospectus ID#20; 2.8% of the pool) -- were liquidated from the pool. -- Projected liquidated losses from those four loans total $43.8 million, which would fully erode Class F-RR and the non-rated Class G-RR, partially erode Class E-RR, and significantly reduce the credit support for Classes C and D, supporting the credit rating downgrades. -- Outside of the liquidated loans, Morningstar DBRS identified an additional five loans, representing 16.9% of the pool balance, that exhibit elevated refinance risk as a result of ongoing performance challenges. When considering the likelihood of repayment and value deficiency for the loans with elevated refinance risk, Classes D and ERR were most exposed to loss, further supporting the credit rating downgrades for those Classes. -- The Negative trend reflects Morningstar DBRS' concerns about the potential for further value deterioration amid a prolonged workout period for the specially serviced loans and loans with elevated refinance risk. In addition, Morningstar DBRS has concerns about the likelihood of interest shortfalls accruing, eventually infringing upon Morningstar DBRS' tolerance for the unpaid interest on Class C driven by the specially serviced loans, further supporting the Negative trend. -- The majority of the top 15 loans are expected to repay at their respective maturity dates in 2027, which will continue to contribute to the deleveraging of the pool over the near to moderate term, supporting the credit rating confirmations at the top of the capital stack. Pool/Collateral Overview -- As of the May 2026 remittance, 31 of the original 41 loans remain in the pool with a trust balance of $877.3 million, reflecting a collateral reduction of 20.6% since issuance. -- Four loans, representing 14.6% of the pool, are fully defeased. -- Ten loans, representing 40.0% of the pool, including three of the seven office loans, are being monitored on the servicer's watchlist. These loans are being monitored mainly for occupancy declines, low debt service coverage ratios, and/or cash management initiations. Analytical Considerations -- In the analysis for this review, Morningstar DBRS considered conservative liquidation scenarios based on haircuts of 20.0% and 35.0% to the most recent appraised values for the loans in special servicing and haircuts of 50.0% and 75.0% to the issuance appraised values for the non-specially serviced loans. The analysis resulted in cumulative implied losses of approximately $43.8 million. -- Morningstar DBRS also analyzed the five loans that exhibit elevated refinance risk with elevated probability of default and/or loan-to-value adjustments, which resulted in a weighted-average expected loss of more than double the pool average. Key Loans First Stamford Place (Prospectus ID #6; 6.2% of the pool): -- This loan is secured by a Class A office complex in Stamford, Connecticut. The trust debt of $54.8 million is a pari passu portion of a $164.0 million whole loan securitized across three other CMBS transactions, including BANK 2017-BNK7 and JPMCC 2017-JP7, which Morningstar DBRS also rates. -- The loan transferred to special servicing in December 2023 because of payment default and the trust took title of the property in February 2025. -- Stabilization efforts remain underway with the special servicer projecting a disposition in early 2027. -- The property has faced occupancy declines, with the February 2026 occupancy rate reported at 77.0%. -- The property was most recently appraised in December 2025 at a value of $129.0 million, a decline from the issuance appraised value of $285.0 million. Morningstar DBRS liquidated the loan based on a 20% haircut to the December 2025 value, resulting in implied losses of $23.3 million, or a loss severity of 43.0%. Starwood Capital Group Hotel Portfolio (Prospectus ID #9; 4.0% of the pool): -- This loan transferred to the special servicer in February 2025 for imminent monetary default. -- Pari passu pieces of the whole loan are held across 11 CMBS transactions, four of which (including the subject deal) are rated by Morningstar DBRS. -- A loan modification was entered into in September 2025, the terms of which allow for the expedited sale of underperforming assets. According to the servicer, as of April 2026, 25 of the original 65 limited-service hotels had been released, representing a paydown of approximately 26.0% from the whole loan balance. -- At issuance, the entire portfolio was valued at $956 million; the special servicer most recently reported an appraised value of $547.2 million as of April 2025, but it is unclear whether that updated value reflects property releases. -- It is also unclear which of the collateral hotels have been sold as the Investor Reporting Package shows all properties as active in the subject transaction, with none marked released. Morningstar DBRS further notes that reporting across the rated transactions has been inconsistent and does not correspond directly with the servicer commentary. -- Although the noted workout strategy is a full payoff, Morningstar DBRS remains cautious given the increased propensity for adverse selection as properties are released from the portfolio. -- Morningstar DBRS liquidated the loan based on a 35% haircut to the April 2025 value, resulting in implied losses of approximately $8.0 million, or a relatively moderate loss severity of 23.0%. Shadow Rated Loans: -- Moffett Place Building 4 (Prospectus ID#1; 7.4% of the pool) and General Motors Building (Prospectus ID#10; 5.2 of the pool). The investment-grade shadow ratings reflect the loans' strong credit metrics, strong sponsorship strength, and historically stable performance. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, and X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. JPMF1 MULTIFAMILY 2026-FX1: DBRS Finalizes BB Rating on H-RR Certs ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-FX1 (the Certificates) issued by JPMF1 Multifamily Mortgage Trust 2026-FX1 (the Trust): -- Class A-2 at AAA (sf) -- Class A-2-1 at AAA (sf) -- Class A-2-2 at AAA (sf) -- Class A-2-X1 at AAA (sf) -- Class A-2-X2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-3-X1 at AAA (sf) -- Class A-3-X2 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class B at AA (high) (sf) -- Class B-1 at AA (high) (sf) -- Class B-2 at AA (high) (sf) -- Class B-X1 at AA (high) (sf) -- Class B-X2 at AA (high) (sf) -- Class C at A (high) (sf) -- Class C-1 at A (high) (sf) -- Class C-2 at A (high) (sf) -- Class C-X1 at A (high) (sf) -- Class C-X2 at A (high) (sf) -- Class X-D at A (low) (sf) -- Class X-F at BBB (high) (sf) -- Class D at A (sf) -- Class E at BBB (high) (sf) -- Class F at BBB (sf) -- Class G-RR at BBB (low) (sf) -- Class H-RR at BB (sf) All trends are Stable. The Class X-D, X-F, X-S, D, E, F, G-RR, H-RR, J-RR, and R Certificates will be privately placed. Morningstar DBRS discontinued and withdrew its rating on the Class X-B certificates initially contemplated in the offering documents, as they were removed from the transaction. The Class A-2-1, Class A-2-2, Class A-2-X1, Class A-2-X2, Class A-3-1, Class A-3-2, Class A-3-X1, Class A-3-X2, Class A-S-1, Class A-S-2, Class A-S-X1, Class A-S-X2, Class B-1, Class B-2, Class B-X1, Class B-X2, Class C-1, Class C-2, Class C-X1 and Class C-X2 certificates are also offered certificates. Such classes of certificates, together with the Class A-2, Class A-3, Class A-S, Class B and Class C certificates, constitute the "Exchangeable Certificates." The Class D, Class E, Class F, Class G-RR, Class H-RR, and Class J-RR certificates, together with the Exchangeable Certificates with a certificate balance, are referred to as the principal balance certificates. CREDIT RATING RATIONALE/DESCRIPTION The collateral for the JPMF1 Multifamily Mortgage Trust 2026-FX1 (JPMF1 2026-FX1) transaction consists of 17 fixed-rate loans secured by 24 commercial and multifamily properties with an aggregate cut-off date balance of $734.2 million. Morningstar DBRS analyzed the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of default within the term and its liquidity at maturity. The pool's Morningstar DBRS weighted-average (WA) Issuance loan-to-value ratio (LTV) was 69.6% and all the loans in the pool have interest-only (IO) payment structures for the full term of the loan. Ten loans, making up 65.3% of the total pool, have a Morningstar DBRS Issuance LTV of at least 67.6%. This threshold typically correlates to an above-average default frequency. There are 10 loans, representing 61.5% of the pool, with an Issuer underwritten (UW) debt service coverage ratio (DSCR) less than or equal to 1.36 times (x) at issuance. Historically loans secured with Issuer UW DSCR greater than 1.36x have demonstrated less probability of default relative to loans secured with Issuer UW DSCR less than 1.36x DSCR. Comparatively, the Morningstar DBRS sample of 89.4% resulted in an average Morningstar DBRS haircut of -9.5% and a corresponding WA Morningstar DBRS DSCR of 1.24x. The Morningstar DBRS sample indicated a diverse range of property quality throughout the pool as Morningstar DBRS assessed the collateral of 21.7% of the initial mortgage pool balance as being of Average - or Below Average quality and 21.2% of the pool as being of Average + or Above Average quality. The transaction has sequential-pay pass-through structure. MF1 Capital LLC (MF1) is a leading multifamily lending platform that has originated 572 loans totaling $28.8 billion since 2018 and securitized $25.4 billion across 23 commercial real estate collateralized loan obligation (CRE CLO) transactions as of December 31, 2025. Its extensive CRE CLO experience demonstrates strong underwriting and asset management, which supports its transition into the fixed-rate conduit market. The Issuer will retain the subordinate 6.875% of the capital structure, Morningstar DBRS views this favorably as it is more than the typical 5.0% risk retention piece required by U.S. credit risk retention rules. Morningstar DBRS views the Issuer retention as credit positive because the Issuer itself holds the most subordinate part of the capital structure and aligns interests between the Issuer and other investors. All 17 loans in the pool are secured by multifamily or manufactured housing properties. Such property types have historically demonstrated lower rates of default compared with most other commercial property types and, as a result, typically have lower expected losses. Morningstar DBRS views the asset classes favorably because of the current high cost of home ownership and strong rental tailwinds. Morningstar DBRS sampled 89.4% of the pool and considers the average net cash flow (NCF) variance of -9.5% to be low. Low NCF variances generally imply strong Issuer origination practices. Additionally, Morningstar DBRS notes that some of the loans benefited from seasoning as additional accretive multifamily collectives and commercial leasing have occurred since the loans were originated. Four loans, representing 25.0% of the total pool, are in Morningstar DBRS metropolitan statistical area (MSA) Group 3, the best-performing group in terms of historical commercial mortgage-backed securities (CMBS) default rates among the top 25 MSAs. All MSA Group 3 properties in the pool are in the New York-Northern New Jersey-Long Island MSA. The 17-loan pool has an average Herfindahl score of 15.3 with the top 10 loans representing 71.0% of the transaction by cut-off date trust balance. There are 16 loans, representing 96.3% of the pool, that are being used to refinance existing debt. Morningstar DBRS views loans that refinance existing debt as more credit negative than loans that finance an acquisition. Acquisition financing typically includes a meaningful cash investment from the sponsor, which aligns its interests more closely with the lenders, whereas refinance transactions may be cash-neutral or cash-out transactions, the latter of which may reduce the borrower's commitment to a property. The pool has a Morningstar DBRS WA Issuance LTV of 69.6%, indicating moderately high leverage. One loan, comprising 7.8% of the total pool, has a Morningstar DBRS Issuance LTV higher than 75.7%, a threshold that typically correlates to the highest frequency of default. All 17 loans in the pool have IO payment structures throughout the loan term. Loans with IO payment structures potentially face refinance risk at maturity if the appraised values do not remain stable. There are 16 loans in the pool, representing 95.6% of the pool balance, that represent cash-out financing, in which the borrower used a portion of loan proceeds to repatriate equity to itself. Morningstar DBRS generally views cash-out transactions as less favorable because the sponsors typically have less incentive to support properties during economic stress if they have less equity at stake. The refinanced portion of the pool is partially composed of prior MF1 CRE CLO loans, in which borrowers successfully completed business plans to renovate or lease-up and are now realizing the value of their business plan via a fixed-rate cash-out refinance. Five loans, representing 32.3% of the pool, have sponsors that Morningstar DBRS regards as Weak. This designation was generally applied to sponsors with low net worth and liquidity, a recent history of defaults/bankruptcies, or outstanding/prior litigations. Ten loans, representing 56.7% of the total pool, are in a Morningstar DBRS Market Rank 3 or 4, which is indicative of less densely populated suburban markets that have historically seen higher-than-average default rates with a negative impact on expected losses (ELs). Only one loan, representing 9.7% of the pool balance, is in a Morningstar DBRS Market Rank of 7, a rank indicative of a dense urban location in a top 25 MSA and associated with low ELs. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and/or Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, yield maintenance charges and prepayment premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-D, and X-F are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. KSL COMMERCIAL 2026-HT3: DBRS Finalizes B(low) Rating on F Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-HT3 (the Certificates) issued by KSL Commercial Mortgage Trust 2026-HT3 (KSL 2026-HT3): -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The KSL 2026-HT3 transaction is secured by the fee-simple and/or leasehold interests in 12 hospitality properties across seven states and Washington, D.C. The portfolio consists of 2,290 keys, including five properties (1,204 keys; representing 48.6% of allocated loan amount (ALA)) operating under the Marriott brand family; two properties (365 keys; representing 18.7% of ALA) operating under the Hyatt brand family; three properties (318 keys; representing 16.5% of ALA) as independent brands; and two properties (403 keys, representing 16.2% of ALA) operating under the Hilton brand family. The properties were constructed between 1990 and 2015 and have a weighted-average (WA) year built of 2003. The subject financing of $890.0 million refinanced approximately $779.2 million of existing debt, returned approximately $52.2 million of equity to the sponsor, repaid a corporate facility of $40.0 million, funded a $9.7 million upfront property improvement plan (PIP) letter of credit (LOC), and covered closing costs of $8.9 million. The loan has a two-year initial term with three one-year extension options with interest-only payments throughout. The borrower is expected to purchase an interest rate cap agreement through the initial maturity date of June 9, 2028, with a one-month term Secured Overnight Financing Rate strike price of 4.86085%. The transaction sponsor is an affiliate of KSL Capital Partners, LLC (KSL). KSL is a private equity firm specializing in equity and debt investments in U.S. and international travel and leisure enterprises, spread across five primary sectors: hospitality, recreation, clubs, real estate, and travel services. KSL has been an industry leader for its nearly 30 years of operation by strategically acquiring lodging and leisure-oriented assets and implementing management to help drive cash flow. Since 2005, KSL has raised more than $28 billion worth of capital commitments that focus solely on its travel and leisure endeavors, investing in more than 200 businesses worldwide. Since 2016, approximately $177.6 million ($77,535 per key) in capital expenditure (capex) has been invested in the properties. An additional $9.7 million of planned capex is budgeted for two of the properties from 2026 through 2027: The Envoy Hotel ($25,735 per key) and Hyatt Union Square ($34,831 per key). The planned capex is part of brand-mandated PIPs over the fully extended five-year loan term. In lieu of an upfront reserve to cover the cost of the brand-mandated PIPs, the sponsor is required to deliver an LOC in an amount equal to $9.7 million. Once performed, these improvements would allow the portfolio to maintain its competitive position and improve its overall financial performance. The largest properties by net cash flow (NCF) are The Westin Savannah Harbor Golf Resort & Spa, The Envoy Hotel, and the Hyatt Union Square, which represent approximately 18.8%, 11.9%, and 11.7%, respectively, of the trailing 12 months (T-12) ended March 2026 NCF. No other property represents more than 11.2% of the T-12 ended March 2026 portfolio NCF. The 12 properties average approximately 191 keys, and the largest hotel, The Westin Savannah Harbor Golf Resort & Spa, contains 403 keys (17.6% of total portfolio keys), over 100 keys more than the next-largest hotel in the portfolio. The portfolio is across seven states and Washington, D.C., with the largest concentration by ALA in New York and Georgia, which account for approximately 38.7% and 14.4%, respectively, of the loan balance by ALA. No other state accounts for more than 11.8% of the loan balance by ALA. Five of the assets have a Morningstar DBRS Market Rank of 7 (51.9% of ALA), and the WA Market Rank for the portfolio is 5.4. The locations are primarily high-barrier-to-entry urban markets that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. In 2023, the portfolio achieved an occupancy rate of 75.0% and an average daily rate (ADR) of $285.32, resulting in a revenue per available room (RevPAR) of $213.93. Over the past two years, the portfolio continued to experience consistent top-line growth. During the T-12 period ended March 31, 2026, the portfolio reported an occupancy rate of 78.2%, reflecting increases of 0.3% and 1.2% compared with YE2025 and YE2024, respectively, and an ADR of $290.63, reflecting increases of 0.4% and 0.6% over the same periods. These figures resulted in a RevPAR of $227.38, representing increases of 0.8% and 1.8% over YE2025 and YE2024, respectively. Of the 12 properties in the portfolio, eight saw RevPAR increases from YE2023 to the T-12 ended March 31, 2026, with seven of the 12 properties experiencing consistent year-over-year RevPAR increases from 2023 through 2025. The portfolio achieved a WA RevPAR penetration of 104.0% during the T-12 ended January 31, 2026, as well as 105.7% in YE2025 and 105.0% in YE2024, indicating that the majority of properties in the portfolio have historically outperformed their respective competitive sets. Morningstar DBRS concluded a RevPAR of $221.62 based on an occupancy rate of 76.3% and an ADR of $290.45. This RevPAR figure is 2.5% lower than the T-12 ended March 31, 2026, RevPAR of $227.38 and 1.8% lower than the YE2025 RevPAR of $225.57. The overall portfolio appraised value is $1.2 billion, which equates to an elevated appraised loan-to-value ratio (LTV) of 75.2%. The Morningstar DBRS-concluded value of $909.4 million ($397,116 per key) represents a 23.1% discount to the appraised value and results in a Morningstar DBRS LTV of 97.9%, which is indicative of high-leverage financing; however, the Morningstar DBRS Value is based on a capitalization rate (cap rate) of 8.17%, which represents significant stress over current prevailing market cap rates. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, the credit rating does not address Spread Maintenance Payments. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. MAN GLG 2021-1: Moody's Affirms Ba3 Rating on $18.375MM D Notes --------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Man GLG US CLO 2021-1 Ltd.: US$38.5M Class A-2 Senior Secured Floating Rate Notes, Upgraded to Aa1 (sf); previously on Aug 24, 2021 Assigned Aa2 (sf) Moody's have also affirmed the ratings on the following notes: US$224M Class A-1 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 24, 2021 Assigned Aaa (sf) US$12M Class B-1 Secured Deferrable Floating Rate Notes, Affirmed A2 (sf); previously on Aug 24, 2021 Assigned A2 (sf) US$5.5M Class B-2 Secured Deferrable Fixed Rate Notes, Affirmed A2 (sf); previously on Aug 24, 2021 Assigned A2 (sf) US$20.125M Class C Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Aug 24, 2021 Assigned Baa3 (sf) US$18.375M Class D Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Aug 24, 2021 Assigned Ba3 (sf) Man GLG US CLO 2021-1 Ltd., issued in August 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by GLG LLC. The transaction's reinvestment period will end in July 2026. RATINGS RATIONALE The rating upgrade on the Class A-2 notes is primarily due to the benefit of the shorter period of time remaining before the end of the reinvestment period in July 2026. In light of reinvestment restrictions during the amortisation period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's analysed the deal assuming a higher likelihood that the collateral pool characteristics would maintain an adequate buffer relative to certain covenant requirements. The affirmations on the ratings on the Class A-1, Class B-1, Class B-2, Class C and Class D notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The 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: USD343,085,889 Defaulted Securities: USD1,548,110 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2740 Weighted Average Life (WAL): 4.55 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.07% Weighted Average Coupon (WAC): 3.43% Weighted Average Recovery Rate (WARR): 45.69% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which could lengthen as a result of the manager's decision to reinvest in new issue loans or other loans with longer maturities, or participate in amend-to-extend offerings. The effect on the ratings of extending the portfolio's weighted average life can be positive or negative depending on the notes' seniority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. MARATHON CLO 2021-16: S&P Lowers Class D-R Notes Rating to 'B(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on the C-R and D-R debt from Marathon CLO 2021-16 Ltd. At the same time, S&P removed the ratings from CreditWatch, where they were placed with negative implications on May 6, 2026. Concurrently, S&P affirmed its ratings on class A-1A-R, A-1C, A-1J-R, A-2-R, and B-R debt. This transaction is a U.S. CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. It was originally issued in March 2021 and is managed by Marathon Asset Management L.P. On May 6, 2026, S&P placed its rating on the class C-R and D-R debt on CreditWatch negative primarily due to the classes' 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 June 2026 trustee report. The reported overcollateralization (O/C) ratios have declined since the June 2021 trustee report due to the aggregate par loss the portfolio has sustained since close in March 2021. The changes include: -- The class A O/C ratio declined to 126.59% from 131.83%. -- The class B O/C ratio declined to 117.33% from 122.19%. -- The class C O/C ratio declined to 109.33% from 113.86%. -- The class D O/C ratio declined to 105.15% from 109.50%. In addition to par erosion, the portfolio credit metrics weakened between June 2021 and June 2026. During this time, S&P Global Ratings' weighted average spread (WAS) decreased to 2.99% from 3.96%, the S&P Global Ratings' weighted average recovery rate (WARR) on the 'AAA' rated debt decreased to 38.90% from 42.30%, and the collateral obligations in the 'CCC' rating category increased to $13.18 million from $3.64 million. There were no reported defaults during this period. The par losses sustained by the portfolio since the close, coupled with declines in the portfolio's WAS and WARR, have weakened cash flow results at the junior levels of the capital structure. As a result, the class C-R and D-R debt were no longer passing cash flows at the initial rating levels. While the refinancing in August 2025 helped to reduce the weighted average cost of debt, it did not fully outweigh the other deteriorating factors. With the decline in credit support and the indicative cash flow results, S&P lowered its ratings on the class C-R and D-R debt to 'BB+ (sf)' and 'B (sf)', respectively. Although the results of S&P's cash flow analysis also indicated a lower rating on the class D-R debt, the downgrade considers the passing trustee O/C, existing credit subordination, the low exposure to 'CCC/CCC-' and defaulted assets, and the limited number of distressed assets. A deterioration or increase in defaults or par losses could lead to further negative rating actions. The affirmations on the class A-1A-R, A-1C, A-1J-R, and B-R debt reflect the adequate credit support at the current rating levels and the passing cash flows. Although the cash flow results indicated a higher rating for the class A-2-R debt, S&P considered that the transaction has just exited its reinvestment period and has not yet paid down any principal to the rated notes. Future reinvestment activity could change some of the portfolio characteristics. 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." Ratings Lowered And Removed From CreditWatch Marathon CLO 2021-16 Ltd. Class C-R to 'BB+ (sf)' from 'BBB- (sf)/Watch Neg' Class D-R to 'B (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Marathon CLO 2021-16 Ltd. Class A-1A-R to 'AAA (sf)' Class A-1C to 'AAA (sf)' Class A-1J-R to 'AAA (sf)' Class A-2-R to 'AA (sf)' Class B-R to 'A (sf)' MCF CLO VIII: S&P Assigns Prelim BB- (sf) Rating on Cl. E-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt and proposed new class X debt from MCF CLO VIII Ltd., a CLO managed by Apogem Capital LLC, which is a proposed second refinancing of its May 2024 transaction, which was a refinancing of the transaction originally issued in June 2018. The preliminary ratings are based on information as of July 2, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 10, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-R, B-R, C-R, D-R, and E-R debt and assign ratings to the replacement class A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt and proposed class X debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, and E-RR debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class D-2-RR debt is expected to be issued at a floating spread. -- The stated maturity will be extended by 2.25 years. -- The reinvestment period and the non-call period will be extended by 2.18 years. -- Additional assets will be purchased, and the target initial par amount will increase to $375 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 18, 2026. -- New class X debt will be issued on the refinancing date. This debt is expected to be paid down using interest proceeds over 14 payment dates in equal installments of $285,714.29, beginning on the second payment date. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- Additional subordinated notes will be issued on the refinancing date. -- Of the identified underlying collateral obligations, 97.21% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 0% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned MCF CLO VIII Ltd. Class X, $4.00 million: AAA (sf) Class A-1-RR, $213.75 million: AAA (sf) Class A-2-RR, $22.50 million: AAA (sf) Class B-RR, $18.75 million: AA (sf) Class C-RR (deferrable), $30.00 million: A (sf) Class D-1-RR (deferrable), $22.50 million: BBB (sf) Class D-2-RR (deferrable), $7.50 million: BBB- (sf) Class E-RR (deferrable), $15.00 million: BB- (sf) Subordinated notes, $85.76 million: NR NR--Not rated. MORGAN STANLEY 2014-150E: DBRS Confirms BBsf Rating on X-B Certs ---------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-150E issued by Morgan Stanley Capital I Trust 2014-150E as follows: -- Class A at A (sf) -- Class A-S at BBB (sf) -- Class B at BB (sf) -- Class C at B (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) -- Class F at CCC (sf) -- Class G at CCC (sf) -- Class X-A at BBB (sf) -- Class X-B at BB (sf) Classes D, E, F, and G have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. All remaining classes have Stable trends. CREDIT RATING ACTION RATIONALE -- The credit rating confirmations and Stable trends reflect the overall consistent performance of the transaction since Morningstar DBRS' previous credit rating action in July 2025. -- The Morningstar DBRS Value for the collateral office tower was not updated with this credit rating action, as the conservative approach considered at Morningstar DBRS' last review remains reflective of the transaction's credit risks, as further described below. LOAN/COLLATERAL OVERVIEW -- The $525.0 million transaction is secured by the leasehold and subleasehold interests in 150 East 42nd Street, a 42-story Class A office tower totaling 1.7 million square feet (sf) located directly across from Grand Central Terminal in New York. The total debt stack of $700 million includes a $175 million mezzanine loan that is co-terminus with the trust's interest-only (IO) 10-year loan. The loan sponsors are The 601W Companies and Berkeley Properties, LLC. -- A loan modification was executed in February 2025, extending the maturity date to September 2027; the loan will be cash managed until paid in full. As of the May 2026 remittance, the excess cash subaccount balance totals $25.1 million, an increase from the $10.6 million balance in June 2025, and based on the in-place cash flows, is expected to total more than $50.0 million by the September 2027 maturity. -- The ground lease expires in 2113, with the borrower paying an annual ground rent of $24.0 million as of YE2025. -- A May 2025 appraisal estimated an as-is value of $835.0 million, representing a 7.2% decline from the issuance appraised value of $900.0 million. PERFORMANCE HIGHLIGHTS -- As of the December 2025 rent roll, the property was just over 90% occupied with an average base rental rate of $56.60 per square foot (psf), both generally in line with the March 2025 figures, respectively. No tenants have leases scheduled to expire within the next 12 months. -- The two largest tenants are Wells Fargo and Mount Sinai Hospital, which combine for just over half of the net rentable area (NRA) and have leases expiring in December 2028 and March 2046, respectively. -- Morningstar DBRS noted in its previous review that Wells Fargo and the third-largest tenant, Dentsu International, were both consolidating space; both have leases that expire in December 2028 and neither has termination options. Wells Fargo is expected to fully vacate the space at expiry given the 2023 announcement it would be moving tenants to the company's new headquarters in Hudson Yards. -- Despite the flat occupancy rate year-over-year, the 2025 cash flows were up by around 30% from the prior year; the servicer noted the lower 2024 net cash flow (NCF) was largely due to disruptions in the timing of reimbursements. The debt service coverage ratio is healthy, reported at 1.87 times for YE2025. -- In April 2025, The Real Deal reported RXR would be joining the 601W Companies in the leasing and management of the property; it was stated that it was unclear what financial connection RXR had to the property. Notably, multiple outlets have reported that RXR filed plans to construct a 95-story "supertall" office tower across the street from the subject in April 2026. ANALYSIS SUMMARY -- The LTV Sizing analysis considered a Morningstar DBRS Value of $396.7 million, which was derived based on a Morningstar DBRS NCF of $40.3 million and a leasehold interest capitalization (cap) rate of 10.17%, which was inflated from the Morningstar DBRS fee-simple cap rate of 7.25%. -- The Morningstar DBRS Value implies a trust debt loan-to-value ratio (LTV) of 132.3% and an all-in LTV of 176.5% when including the mezzanine debt. -- The Morningstar DBRS Value is below the most recent appraised value of $835.0 million, reflecting the more aggressive cap rate assumed by the appraiser of around 5.4% and the appraisal's consideration of higher-quality and smaller comparable assets in the analysis. -- Additionally, the appraisal places weight on pre-2023 comparable sales and assumes meaningful mark-to-market rent upside; given the building's age and concentration of scheduled rollover shortly following the extended loan term, Morningstar DBRS believed a more conservative approach was merited. -- The significant reserve balance expected of over $50.0 million with the cash sweep in place is a noteworthy mitigant; however, the concentration of rollover and the expectation that the property's as-is value is well below the issuance appraised value diminish the impact of that factor, particularly toward the bottom of the capital stack where the LTVs implied by Morningstar DBRS' value are highest and/or there is the most significant exposure to projected realized losses in a hypothetical liquidation scenario. -- Morningstar DBRS maintained positive qualitative adjustments totaling 4.75% to the LTV Sizing Benchmarks to account for investment-grade tenants, property quality, and the location within one of the most desirable submarkets in New York. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A and X-B are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-NQM6: DBRS Gives (P)Bsf Rating to B-2 Certs --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-NQM6 (the Certificates) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-NQM6 (the Issuer) as follows: -- $106.9 million Class A-1FCF at (P) AAA (sf) -- $35.6 million Class A-1LCF at (P) AAA (sf) -- $142.5 million Class A-1 at (P) AAA (sf) -- $123.8 million Class A-1-A at (P) AAA (sf) -- $18.7 million Class A-1-B at (P) AAA (sf) -- $24.7 million Class A-2 at (P) AA (sf) -- $32.2 million Class A-3 at (P) A (sf) -- $11.6 million Class M-1 at (P) BBB (low) (sf) -- $7.3 million Class B-1 at (P) BB (low) (sf) -- $7.3 million Class B-2 at (P) B (sf) Class A-1 is an exchangeable certificate while Classes A-1-A and A-1-B are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 23.86% of credit enhancement provided by the subordinated Certificates. The (P) AA (sf), (P) A (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (sf) credit ratings reflect 17.25%, 8.65%, 5.55%, 3.60%, and 1.65% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 794 loans with a total principal balance of approximately $374,242,190 as of the Cut-Off Date (June 1, 2026). The pool is, on average, four months seasoned with loan ages ranging from one to 11 months. Approximately 18.3%, 13.7% and 10.0% of the Mortgage Loans were originated by NQM Funding LLC, OCMBC, Inc, and Hometown Equity Mortgage, LLC respectively. The remainder of the Mortgage Loans were originated by various mortgage lending institutions, individually comprised less than 10% of the overall mortgage loans. NewRez LLC (NewRez), formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint will service 67.6% of the loans, Selene Finance LP will service 13.5% of the loans, and Select Portfolio Servicing, Inc. will service 15.7% of the loans respectively. Computershare Trust Company, N.A will act as Custodian. Rocket Mortgage LLC will act as Master Servicer. Citibank N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 37.4% of the loans by balance are designated as non-QM. Approximately 51.0% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 11.2% of the pool are designated as QM Safe Harbor, and there are 0.4% QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will fund advances of delinquent P&I until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the Mortgage Bankers Association (MBA) method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (i) 5% of each of the Class A-IO-S, Class A-1FCF, Class A-1LCF, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3 and Class XS Certificates directly or (ii) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS may, at its option, on or after the earlier of (1) the payment date in June 2029 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Class A-1-A and Class A-1-B, and separately the Class A-1FCF and Class A-1LCF, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, and M-1 (and B-1 if issued at a fixed rate). Of note, the Class A Certificates coupon rates step-up by 100 basis points on and after the payment date in July 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition; -- Compliance with the ATR rules; -- Improved underwriting standards; -- Current loan status; and -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- Debt service coverage ratio loans; -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers; -- Limited servicer advances of delinquent P&I; and -- The representations and warranties standard. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amount, Interest Carryforward Amount, and the related Class Balance. Morningstar DBRS' credit ratings on the Class A-1FCF, A-1LCF, A-1-A, A-1-B, A-2, and A-3 Certificates also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (July 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. MORGAN STANLEY 2026-NQM7: Moody's Assigns Ba3 Rating to B-1 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 9 classes of residential mortgage-backed securities (RMBS) issued by Morgan Stanley Residential Mortgage Loan Trust 2026-NQM7, and sponsored by Morgan Stanley Mortgage Capital Holdings LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by Morgan Stanley, including loans aggregated by United Wholesale Mortgage, LLC, HomeXpress Mortgage Corp. and other entities, and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Morgan Stanley Residential Mortgage Loan Trust 2026-NQM7 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1-A, Definitive Rating Assigned Aaa (sf) Cl. A-1-B, Definitive Rating Assigned Aaa (sf) Cl. A-1FCF, Definitive Rating Assigned Aaa (sf) Cl. A-1LCF, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2(sf) Cl. A-3, Definitive Rating Assigned A2 (sf) Cl. M-1, Definitive Rating Assigned Baa3 (sf) Cl. B-1, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 2.71%, in a baseline scenario-median is 1.99% and reaches 21.61% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. MSDB TRUST 2017-712F: S&P Lowers Class C Certs Rating to 'BB-(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from MSDB Trust 2017-712F, a U.S. CMBS transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction backed by a $300.0 million (as of the June 11, 2026, trustee remittance report), 3.39% per annum fixed-rate interest-only (IO) mortgage loan. The loan is secured by the borrower's fee-simple interest in a 52-story, 543,386-sq-ft, mixed-use (office and retail) building at 712 Fifth Avenue (on Fifth Avenue and between 55th and 56th Streets) in Midtown Manhattan's Plaza District office submarket. The base of the building, which was constructed in the early 20th century, contains approximately 86,000 sq ft of retail space on first to fourth floors, the concourse, and first and second lower levels. Currently, 22.6% of the retail net rentable area (NRA) is leased to Harry Winston Inc. until December 2037. The office portion of the property, completed in 1990, includes boutique-sized floor plates (9,000 sq ft to 13,000 sq ft). Rating Actions The downgrades on the class A, B, and C certificates primarily reflect that: -- After adjusting for known tenant movements, occupancy has declined since S&P's last review in September 2025, falling to 68.8% as of the March 31, 2026, rent roll, from its assumed 71.5%. In addition, the servicer-reported net cash flow (NCF) for 2025 is approximately 17.5% below the levels assumed in its last review. -- Despite the sponsor signing new or renewal leases with rent commencing between 2024 and 2027, representing nearly 50.0% of the NRA, tenants vacating or downsizing have outpaced leasing activity at the property. S&P believes the property's performance is unlikely to improve to historical levels in the near term without significant capital investments. -- S&P's net recovery value, which includes increasing its capitalization rate assumption to reflect potential additional volatility in NCFs and occupancy at the property, is 16.1% lower than the valuation S&P derived in its last review in September 2025. S&P said, "We will continue to monitor the performance of the collateral property and loan, as well as the sponsor's ability to refinance the loan by its July 2027 maturity date. If we receive information that differs materially from our expectations, we may revisit our analysis and take additional rating actions as we deem necessary." Property-Level Analysis Update As of the March 31, 2026, rent roll, the property was 68.8% leased (after adjusting for known tenant movements), down from the 71.5% assumed in S&P's last review. In addition, the servicer-reported NCF declined in 2024 and 2025. According to CoStar, vacancy, availability, and rental rates have stabilized for four- and five-star properties in the Plaza District office submarket, where the subject property is situated. As of July 2026, the submarket average vacancy rate was 12.0%, the availability rate was 11.8%, and the rental rate was $107.71 per sq ft with net positive absorption. According to the March 2026 rent roll, the property had a vacancy rate of 31.2% (23.0% on the office space and 77.4% on the retail space) and a gross rent of $122.32 per sq ft on the office space and $482.96 per sq ft on the retail space, as calculated by S&P Global Ratings. S&P said, "In our current analysis, given the reported declines in both occupancy and NCFs, we revised our NCF, capitalization rate, and valuation assumptions. This yielded an S&P Global Ratings value of $625.35 per sq ft, which is 63.9% below the issuance-appraised value, and an S&P Global Ratings loan-to-value ratio of 88.3%. Based on our analysis, the S&P Global Ratings asset quality score is 3.5, and the S&P Global Ratings income stability score is 3.0." Table 1 Servicer-reported performance 2025(i) 2024(i) 2023(i) Occupancy rate (%) 62.3 72.5 66.9 Net cash flow (mil. $) 20.9 21.5 23.6 Debt service coverage (x) 2.03 2.08 2.29 Appraisal value (mil. $)(ii) 940.0 940.0 940.0 (i)Reporting period. (ii)Received at issuance as of May 2017. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (July 2026)(i) (Sep 2025)(i) (July 2017)(i) Occupancy rate (%) 68.8 71.5 91.9 Net cash flow (mil. $) 23.8 25.3 31.2 Capitalization rate (%) 7.00 6.25 6.25 Value (mil. $) 339.8 405.2 500.1 Value per sq. ft. ($) 625 746 920 Loan-to-value ratio (%) 88.3 74.0 60.0 (i)Review period. Ratings Lowered MSDB Trust 2017-712F Class A to 'A (sf)' from 'AA- (sf)' Class B to 'BBB- (sf)' from 'BBB (sf)' Class C to 'BB- (sf)' from 'BB (sf)' NEW RESIDENTIAL 2026-NQM8: Fitch Rates Class B2 Notes 'B-(EXP)sf' ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust, Series 2026-NQM8 (NRMLT 2026-NQM8). Entity/Debt Rating ----------- ------ NRMLT 2026-NQM8 A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by NRMLT 2026-NQM8 as indicated above. The transaction is expected to close on July 21, 2026. The notes are supported by 883 nonprime loans that were primarily originated by NewRez LLC, with a total balance of approximately $480.2 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. NRMLT 2026-NQM8 has a final probability of default (PD) of 40.7% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 40.7%. The expected loss in the 'AAAsf' rating stress is 16.6%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM8 are based on a modified sequential structure whereby the principal is distributed pro rata among the senior certificates while subordinate bonds are shut out from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the collective class A-1 notes (namely, the A-1FCF, A-1LCF, A-1A, A-1B notes), class A-2, and class A-3 notes until they are reduced to zero. Among the collective class A-1 notes, interest and principal payments will be made either pro-rata or sequentially depending on which class A-1 notes are outstanding at the time of distribution. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes (see Cash Flow Analysis section for more details). Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5bp z-score reduction for loans fully reviewed by the TPR firm and 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 outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects NRMLT 2026-NQM8 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch 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 NRMLT 2026-NQM8 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 38.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by several firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: it applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B." ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NEWSTAR ARLINGTON: S&P Lowers Class F-R Notes Rating to 'CCC-(sf)' ------------------------------------------------------------------ S&P Global Ratings raised its ratings on the class C-1-R, C-2-R, and D-R notes from NewStar Arlington Senior Loan Program LLC. At the same time, S&P removed the ratings from CreditWatch, where there were placed with positive implications on May 6, 2026. Concurrently, S&P lowered the rating on class E-R and F-R notes. This transaction is a U.S. CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The rating actions follow S&P's review of the transaction's performance using data from the April 2026 trustee report. Although the tranches are all backed by the same portfolio, there can be circumstances such as this one, 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 has experienced principal paydowns (which increased the senior credit support) while facing increased defaults and an overall decline in credit quality (which decreased the junior credit support). The transaction has paid down $43.35 million collectively to the class B-R, C-1-R, and C-2-R notes since S&P's July 2025 rating actions. These paydowns improved the credit support for the senior classes, based on their improved overcollateralization (O/C) ratios. However, par loss and increased defaults have led to a decline in the junior tranche's OC ratio. The changes in the reported O/C ratios since the June 2025 trustee report, which S&P used for its previous rating actions, include the following: -- The class C O/C ratio improved to 277.38% from 189.63%. -- The class D O/C ratio improved to 151.70% from 138.48%. -- The class E O/C ratio declined to 103.14% from 108.16%. Since the transaction exited its reinvestment period in April 2022, the CLO has consistently paid down its capital structure. The senior notes were paid down in full, and the C-1-R and class C-2-R notes are now the senior-most tranches and have received about 30% of their original balance. The lower note balances have resulted in increased subordination levels and improved cash flow results for both the class C and D notes. S&P said, "As a result, we raised our ratings on the class C-1-R, C-2-R, and D-R notes and removed them from CreditWatch positive. Although the cash flows for the class D-R notes suggested a higher rating, our decision reflects our extra sensitivity analysis, given the high percentage of assets in the 'CCC' rating category ('CCC' assets) in the transaction and the ratings on the obligors supporting this tranche." The decline in class E O/C ratio, which is 4.76% below its 107.90% trigger, reflects the aggregate par loss the portfolio has sustained since S&P's July 2025 rating action. The downgrade of the class E-R notes to 'B (sf)' reflect the results of the largest obligor test, which is no longer passing at its previous rating level, given the increased concentration in the portfolio as it is winding down. S&P said, "However, despite this tranche not passing our largest obligor test at the 'B (sf)' rating category, we do not believe that it meets our 'CCC' ratings definition, based on its current subordination and the CLOs exposure to 'CCC'/'CCC-' rated obligors." S&P said, "We believe class F-R continues to require favorable conditions to meet its payment obligations, based on its current subordination level, and thus meets our definition of a 'CCC' rating category tranche. Since its last downgrade in July 2025, class F-R has shown no signs of improvement in terms of subordination and has started to defer interest. Furthermore, this class is supported primarily by nonperforming assets in the portfolio. As such, we lowered or rating by an additional two notches to 'CCC- (sf)'. We do not believe that this tranche has a virtual certainty of default, even though the cash flows do not pass at the 'CCC' rating category." 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. Ratings Raised And Removed From CreditWatch NewStar Arlington Senior Loan Program LLC Class C-1-R to 'AAA (sf)' from 'AA+ (sf)/Watch Pos' Class C-2-R to 'AAA (sf)' from 'AA+ (sf)/Watch Pos' Class D-R to 'AA- (sf)' from 'BBB (sf)/Watch Pos' Ratings Lowered NewStar Arlington Senior Loan Program LLC Class E-R to 'B (sf)' from 'BB- (sf)' Class F-R to 'CCC- (sf)' from 'CCC+ (sf)' OCEANVIEW COMMERCIAL 2026-1: DBRS Rates Class G Certs 'B(low)' -------------------------------------------------------------- DBRS Limited (Morningstar DBRS) assigned credit ratings to 15 classes of Commercial Mortgage Pass-Through Certificates, Series 2026-1 issued by Oceanview Commercial Mortgage Trust 2026-1 (the Issuer) as follows: -- Class A1 at AAA (sf) -- Class A2 at AAA (sf) -- Class A3 at AAA (sf) -- Class A-S at AAA (sf) -- Class A4 at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) -- Class A2A at AAA (sf) -- Class X-A2 at AAA (sf) -- Class A3A at AAA (sf) -- Class X-A3 at AAA (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The collateral of the transaction consists of 184 loans secured by 211 properties with an aggregate cut-off balance of $568.6 million. Signature Bank (an unaffiliated third party) originated the loans between 2009 and 2023 with a weighted-average (WA) seasoning of 86 months. Loan terms range from 10 months to 106 months with a WA remaining loan term of 41 months. The transaction has a sequential-pay pass-through structure. According to the New York State Department of Financial Services, Signature Bank had $110.36 billion in assets and $88.59 billion in deposits as of December 2023. Following Silicon Valley Bank's (an unaffiliated third party) failure in March 2023, Signature Bank also failed. Both banks suffered from a run on deposits heightened by an outsize exposure to deposits from the cryptocurrency sector. Oceanview Life and Annuity Company (OVLAC), the mortgage loan seller, acquired a portfolio of performing loans. Subsequently, OVLAC selected a portion of the loans from the initial transaction to serve as collateral in the subject transaction. CREDIT RATING CONSIDERATIONS The pool consists of 184 loans secured by 211 properties resulting in a Herfindahl Index of 86.1, well above that of traditional commercial mortgage-backed securities (CMBS) transactions. The high loan count and diversification are credit positives and result in an overall decrease in credit enhancement levels. The individual exposure to any potentially problematic loan in the pool decreases as the pool size increases. The pool is expected to amortize 6.7% by final maturity, which results in a Morningstar DBRS WA Balloon Loan-to-Value Ratio (LTV) of 58.9%. All loans in the pool amortize either for a portion of the loan term or for the full loan term. Original loan amortization schedules range from 216 months to 360 months. Amortization is considered credit positive and results in a lower loan-level expected loss as the borrower is required to pay down the principal balance of the loan during the term, resulting in a smaller balloon balance. The pool has a WA Morningstar DBRS Issuance LTV of 63.1% and a WA Morningstar Balloon LTV of 58.9%, both of which are indicative of moderately low leverage. Eighty-six loans, representing 36% of the pool, have a Morningstar DBRS Issuance LTV lower than 60.0%, a threshold historically indicative of relatively low-leverage financing and generally associated with below-average default frequency. Signature Bank initially originated all 184 loans in the pool. The Issuer subsequently acquired the loans and prepared them for securitization. Given that the loans were not originated with the intent of securitization, there are some structural components commonly seen in conduit transactions within the individual loan agreements that are not present in this transaction. All of the loans within the pool feature an adjustment date, where the coupon resets after five years for an additional five-year term until the maturity date. One hundred and sixty of these loans have already hit their adjustment date, and these rates have been reset; the remaining 24 loans have upcoming adjustment dates. The reset rate following the adjustment date is generally the greater of the in-place coupon or the U.S. 5-year Treasury plus 2.75% across the pool, which may be considerably higher than the loan's pre-adjustment rate based on the U.S. Treasury rate at that time. The increase in interest rates poses an additional risk to loans through higher debt service burdens and lower debt service coverage ratios. The Issuer provided Morningstar DBRS with less documentation than is typical for a conduit transaction. The Issuer did not provide updated environmental site assessments or property condition reports for all loans within the pool. Although Morningstar DBRS received third-party reporting for some loans, the absence of full third-party due diligence reports limits the depth of property-level analysis and increases uncertainty around potential environmental or physical condition risks. Furthermore, the 4(a)(2) structure of the transaction does not require a traditional offering memo, which typically includes additional disclosures and risks to the transaction. Despite a large loan count, 183 loans (99.3% of the pool) are in the Morningstar DBRS Metropolitan Statistical Area (MSA) Group 3 of New York-Northern New Jersey-Long Island. While the performance history of this MSA is strong, the transaction nonetheless exhibits single-market concentration and thus may be subject to heightened volatility if the New York market experiences a disruption to performance or if market metrics such as vacancy rate were to rise compared with the historical reporting data. Of the nine loans Morningstar DBRS sampled, seven loans, representing 80.7% of the sample, have a Morningstar DBRS Property Quality score of Average -. The remaining two sampled loans have a Morningstar DBRS Property Quality score of Average. Properties with a lower-quality assessment may face greater challenges when it comes to retaining current tenants and attracting new ones; this, in turn, leads to less predictable and less stable long-term performance. Of the nine loans Morningstar DBRS sampled, three loans, representing 36.4% of the sample, have Bad (Litigious) sponsor quality. The remaining six sampled loans have Weak sponsor quality. In general, Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit history for all borrower sponsors involved. Seventeen loans had outstanding recognized environmental conditions (RECs) noted in the Representation Exceptions. Depending on the severity of the condition, these environmental issues can require expensive remediation work, cause property damage, and may result in overall increases to loss severity in a downside scenario. There were no material updates provided in the loan or transaction documents regarding cost estimates or plans to remediate the RECs identified at each property. Morningstar DBRS made model adjustments to 13 loans because of their unsupported cap rate. The majority of these changes adjusted the cap rate to the competitive set average cap rate. Morningstar DBRS adjusted the LTV for three of these loans because of their leasehold fee structure. Morningstar DBRS increased the probability of default for four loans for ground lease issues or title insurance deficiencies. Morningstar DBRS increased the loss severity given default for 27 loans that had RECs or general environmental issues. Morningstar DBRS' credit ratings on the certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Principal and Interest payments. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. PMT LOAN 2026-CNF6: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 44 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2026-CNF6, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE eligible (100.0% by balance) residential mortgages aggregated by PennyMac Corp., originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-CNF6 CI. A-1, Assigned (P)Aaa (sf) CI. A-2, Assigned (P)Aaa (sf) CI. A-3, Assigned (P)Aaa (sf) CI. A-4, Assigned (P)Aaa (sf) CI. A-5, Assigned (P)Aaa (sf) CI. A-6, Assigned (P)Aaa (sf) CI. A-7, Assigned (P)Aaa (sf) CI. A-8, Assigned (P)Aaa (sf) CI. A-9, Assigned (P)Aaa (sf) CI. A-10, Assigned (P)Aaa (sf) CI. A-11, Assigned (P)Aaa (sf) CI. A-12, Assigned (P)Aaa (sf) CI. A-13, Assigned (P)Aaa (sf) CI. A-14, Assigned (P)Aaa (sf) CI. A-15, Assigned (P)Aaa (sf) CI. A-16, Assigned (P)Aaa (sf) CI. A-17, Assigned (P)Aaa (sf) CI. A-18, Assigned (P)Aaa (sf) CI. A-19, Assigned (P)Aa1 (sf) CI. A-20, Assigned (P)Aa1 (sf) CI. A-21, Assigned (P)Aa1 (sf) CI. A-22, Assigned (P)Aa1 (sf) CI. A-23, Assigned (P)Aaa (sf) CI. A-23X*, Assigned (P)Aaa (sf) CI. A-24, Assigned (P)Aaa (sf) CI. A-24X*, Assigned (P)Aaa (sf) CI. A-X1*, Assigned (P)Aa1 (sf) CI. A-X2*, Assigned (P)Aaa (sf) CI. A-X4*, Assigned (P)Aaa (sf) CI. A-X6*, Assigned (P)Aaa (sf) CI. A-X8*, Assigned (P)Aaa (sf) CI. A-X10*, Assigned (P)Aaa (sf) CI. A-X12*, Assigned (P)Aaa (sf) CI. A-X14*, Assigned (P)Aaa (sf) CI. A-X16*, Assigned (P)Aaa (sf) CI. A-X18*, Assigned (P)Aaa (sf) CI. A-X20*, Assigned (P)Aa1 (sf) CI. A-X22*, Assigned (P)Aa1 (sf) CI. B-1, Assigned (P)Aa3 (sf) CI. B-2, Assigned (P)A3 (sf) CI. B-3, Assigned (P)Baa3 (sf) CI. B-4, Assigned (P)Ba3 (sf) CI. B-5, Assigned (P)B3 (sf) CI. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.43%, in a baseline scenario-median is 0.21% and reaches 5.85% 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. PMT LOAN 2026-J3: DBRS Finalizes B(low) Rating on Cl. B-5 Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2026-J3 (the Notes) issued by PMT Loan Trust 2026-J3 (PMTLT 2026-J3 or the Trust) as follows: -- $274.2 million Class A-1 at AAA (sf) -- $274.2 million Class A-2 at AAA (sf) -- $164.5 million Class A-3 at AAA (sf) -- $164.5 million Class A-4 at AAA (sf) -- $205.7 million Class A-5 at AAA (sf) -- $205.7 million Class A-6 at AAA (sf) -- $68.6 million Class A-7 at AAA (sf) -- $68.6 million Class A-8 at AAA (sf) -- $219.4 million Class A-9 at AAA (sf) -- $219.4 million Class A-10 at AAA (sf) -- $41.1 million Class A-11 at AAA (sf) -- $41.1 million Class A-12 at AAA (sf) -- $13.7 million Class A-13 at AAA (sf) -- $13.7 million Class A-14 at AAA (sf) -- $54.8 million Class A-15 at AAA (sf) -- $54.8 million Class A-16 at AAA (sf) -- $109.7 million Class A-17 at AAA (sf) -- $109.7 million Class A-18 at AAA (sf) -- $30.8 million Class A-19 at AAA (sf) -- $30.8 million Class A-20 at AAA (sf) -- $305.0 million Class A-21 at AAA (sf) -- $305.0 million Class A-22 at AAA (sf) -- $109.7 million Class A-23 at AAA (sf) -- $109.7 million Class A-23X at AAA (sf) -- $164.5 million Class A-24 at AAA (sf) -- $164.5 million Class A-24X at AAA (sf) -- $305.0 million Class A-X1 at AAA (sf) -- $274.2 million Class A-X2 at AAA (sf) -- $164.5 million Class A-X4 at AAA (sf) -- $205.7 million Class A-X6 at AAA (sf) -- $68.6 million Class A-X8 at AAA (sf) -- $219.4 million Class A-X10 at AAA (sf) -- $41.1 million Class A-X12 at AAA (sf) -- $13.7 million Class A-X14 at AAA (sf) -- $54.8 million Class A-X16 at AAA (sf) -- $109.7 million Class A-X18 at AAA (sf) -- $30.8 million Class A-X20 at AAA (sf) -- $305.0 million Class A-X22 at AAA (sf) -- $7.4 million Class B-1 at AA (low) (sf) -- $4.0 million Class B-2 at A (sf) -- $2.7 million Class B-3 at BBB (high) (sf) -- $1.8 million Class B-4 at BB (sf) -- $484.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit rating on Class A-1A Loans initially contemplated in the offering documents, as it was not issued at closing. Classes A-X1, A-X2, A-X4, A-X6, A-X8, A-X10, A-X12, A-X14, A-X16, A-X18, A-X20, A-X22, A-23X, and A-24X are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-13, A-15, A-17, A-18, A-19, A-21, A-22, A-23, A-24, A-X2, A-X6, A-X8, A-X10, A-X18, A-X22, A-23X, and A-24X are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-23, and A-24 are super-senior tranches. These classes benefit from additional protection from the senior support notes (Class A-20) with respect to loss allocation. The AAA (sf) credit ratings on the Notes reflect 5.45% of credit enhancement provided by subordinated Notes. The AA (low) (sf), A (sf), BBB (high) (sf), BB (sf), and B (low) (sf) credit ratings reflect 3.15%, 1.90%, 1.05%, 0.50%, and 0.35% of credit enhancement, respectively Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 22 and 30 years and a weighted-average (WA) loan age of one month. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 74.3%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. All of the mortgage loans were originated by and will be serviced by PennyMac Corp. (PennyMac). Citibank, N.A. (Citibank) will act as the Paying Agent, Note Registrar, Certificate Registrar, Securities Intermediary, and Fiscal Agent. Deutsche Bank National Trust Company will act as the Custodian, and Wilmington Savings Fund Society, FSB will serve as Owner Trustee and Collateral Trustee. The Servicer will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or Fiscal Agent (Stop-Advance Loan). The Servicer will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Citibank, N.A. (Citibank, N.A.; rated AA (low) with a Stable trend), as the Fiscal Agent will be obligated to fund any P&I advances that the Servicer is required to make if the Servicer fails in its obligation to do so. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-global financial crisis (GFC) structure. The credit ratings reflect transactional strengths that include the following: -- High-quality credit attributes; -- Well-qualified borrowers; -- Satisfactory third-party due diligence review; -- Structural enhancements; and -- 100% current loans. The transaction also includes the following challenges: -- Limited securitization and performance history; -- A representations and warranties framework; -- Limited advances of delinquent P&I; and -- The servicing administrator's financial capabilities. Morningstar DBRS' credit rating on the notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Interest Payment Amount, Interest Shortfall, and Debt Amount. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. PRET TUST 2026-RPL3: Moody's Assigns (P)B2 Rating to Cl. B-2 Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to nine classes of residential mortgage-backed securities (RMBS) to be issued by PRET 2026-RPL3 Trust and sponsored by Goldman Sachs Mortgage Company. The securities are backed by a pool of seasoned performing and re-performing residential mortgages serviced by Selene Finance LP. The complete rating actions are as follows: Issuer: PRET 2026-RPL3 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2 (sf) Cl. A-3, Assigned (P)Aa1 (sf) Cl. A-4, Assigned (P)A1 (sf) Cl. A-5, Assigned (P)A3 (sf) Cl. M-1, Assigned (P)A2 (sf) Cl. M-2, Assigned (P)Baa2 (sf) Cl. B-1, Assigned (P)Ba2 (sf) Cl. B-2, Assigned (P)B2 (sf) RATINGS RATIONALE The ratings are based on the credit quality and historical performance of the mortgage loans, the structural features of the transaction, the origination quality, the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario is 4.15%, and reaches 20.75% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The methodologies used in these ratings were "Nonperforming and Reperforming Loan 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. PRKCM 2026-AFC4: S&P Assigns B (sf) Rating on Class B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to PRKCM 2026-AFC4 Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by a pool of first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, townhomes, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 835 loans, comprising qualified mortgage (QM) safe harbor (average prime offer rate), QM/higher priced mortgage loans (rebuttable presumption), non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans. S&P said, "After we assigned preliminary ratings on June 24, 2026, the issuer decided not to issue the class A-1A and A-1B notes. In turn, the class A-1FCF and A-1LCF notes increased to $205.743 million from $102.872 million and to $68.581 million from $34.290 million, respectively, and the corresponding class A-1 notes increased to $274.324 million from $119.963 million. Additionally, the issuer decreased the size of the class A-2 notes to $20.983 million from $21.327 million and increased the size of the class B-1 notes to $8.256 million from $7.912 million. The resized bonds increased the credit enhancement for the class A-2, A-3, and M-1 notes. In addition, the class M-1 notes were priced as fixed rate. After reviewing the final structure, we assigned final ratings that are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage originator, AmWest Funding Corp.; -- The 100% due diligence (except for property valuation on two second-lien loans) results consistent with represented loan characteristics; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) PRKCM 2026-AFC4 Trust Class A-1, $274,324,000: AAA (sf) Class A-1FCF, $205,743,000: AAA (sf) Class A-1LCF, $68,581,000: AAA (sf) Class A-2, $20,983,000: AA (sf) Class A-3, $18,919,000: A+ (sf) Class M-1, $14,447,000: BBB (sf) Class B-1, $8,256,000: BB- (sf) Class B-2, $3,440,000: B (sf) Class B-3, $3,612,084: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class R, Not applicable: NR (i)The ratings address the ultimate payment of interest and principal. (ii)The notional amount is initially $343,981,084 and will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR—Not rated. PTCM RE-REMIC 2026-FRR2: DBRS Finalizes B(low) Rating on 2 Tranches ------------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Multifamily Mortgage Certificate-Backed Certificates, Series 2026-FRR2 (the Certificates) issued by PTCM Re-REMIC Trust 2026-FRR2 (the Issuing Trust): -- Class AK152 at AAA (sf) -- Class BK152 at AA (low) (sf) -- Class CK152 at A (low) (sf) -- Class DK152 at BBB (low) (sf) -- Class EK152 at BB (low) (sf) -- Class FK152 at B (low) (sf) -- Class AK114 at A (low) (sf) -- Class BK114 at BBB (low) (sf) -- Class CK114 at BB (high) (sf) -- Class DK114 at BB (low) (sf) -- Class CD114 at BB (low) (sf) -- Class EK114 at B (low) (sf) All trends are Stable. Class CD114 is an exchangeable class that references Class CK114 and DK114. CREDIT RATING RATIONALE/DESCRIPTION This transaction is a resecuritization collateralized by all or a portion of the beneficial interests in 12 commercial mortgage-backed pass-through certificates from four underlying transactions, however, Morningstar DBRS ratings' only apply to the beneficial interests in six commercial mortgage-backed pass through certificates from two underlying transactions: FREMF 2016-K1502 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2016-K1502 (FREMF 2016-K1502) and FREMF 2020-K114 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2020-K114 (FREMF 2020-K114). Morningstar DBRS' credit ratings on the Certificates are dependent on the performance of the respective underlying transactions. The Class AK152, Class BK152, Class CK152, Class DK152, Class EK152, and Class FK152 certificates (Group 1 certificates) are collateralized by a portion of the beneficial interests in the Class B (principal only), Class X2-A (interest-only (IO)), and Class X2-B (IO) multifamily mortgage-backed pass-through certificates issued by FREMF 2016-K1502. The principal balances of the underlying certificates total approximately $68.8 million, all of which is being contributed to the Issuing Trust. The Class B certificate is the most subordinate principal-only class in the underlying transaction. The Class X2-A certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-1 and Class A-2 certificates in the underlying transaction. The Class X2-B certificate has a notional balance equal to the aggregate outstanding principal balance of the Class B certificates in the underlying transaction. The Class X2-A and Class X2-B certificates are subject to fluctuations based on principal repayments in the pool. The FREMF 2016-K1502 underlying transaction collateral comprises 59 loans secured by 59 multifamily properties, including 45 garden-style multifamily properties, five co-op communities, four mid-rise apartment complexes, three age-restricted communities, one student housing property, and one military-concentrated community. Twenty-eight loans, comprising 52.6% of the current pool balance, are defeased as of May 2026. Two additional loans were securitized as part of the underlying transaction but paid off prior to May 2026. All the loans in the pool are fixed-rate loans with a 12-year, 15-year, or 16-year loan term. Seventeen loans (72.8% of the total current pool balance) are partial IO, 15 loans (23.3% of the total current pool balance) amortize on 25-year, 30-year, or 35-year schedules, and four loans (3.9% of the total current pool balance) are full-term IO. Morningstar DBRS analyzed the FREMF 2016-1502 underlying transaction to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and the liquidity at maturity. The Morningstar DBRS Weighted-Average (WA) Issuance Loan-to-Value Ratio (LTV) of the current pool (excluding defeased and paid-off loans) was 61.9%, and the current pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 50.1% based on the A note balances at maturity. About 64.2% of the total initial principal balance of the current pool exhibits a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold generally indicative of above-average default frequency. Five loans, comprising 13.6% of the total current pool balance, were on Freddie Mac's watchlist as of the May 2026 underlying reports. No loans are delinquent as of the January 2026 underlying monthly reports. The Class AK114, Class BK114, Class CK114, Class DK114, Class CD114, and Class EK114 certificates (Group 2 certificates) are collateralized by a portion of the beneficial interests in the Class D (principal only), Class X2-A (IO), and Class X2-B (IO) multifamily mortgage-backed pass-through certificates from the Morningstar DBRS-rated underlying transaction, FREMF 2020-K114 (see https://dbrs.morningstar.com/issuers/25861). The principal balances of the underlying certificates total approximately $98.0 million, all of which is being contributed to the Issuing Trust. The Class D certificate is the most subordinate principal-only class in the underlying transaction. The Class X2-A certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-1 and Class A-2 certificates in the underlying transaction. The Class X2-B certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-M and Class D certificates in the underlying transaction. The Class X2-A and Class X2-B certificates are subject to fluctuations based on principal repayments in the pool. With regards to the transaction's expense reserve account, as defined in the Offering Circular, the maximum amount allocable to the Group 1 and Group 2 Certificates is $12,500 each. Morningstar DBRS' credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the related classes. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Morningstar DBRS' credit ratings do not address nonpayment risk associated with Prepayment Premiums or Yield Maintenance Charges. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. RATE MORTGAGE 2026-J2: DBRS Gives (P)B(low) Rating on B-5 Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-J2 (the Notes) to be issued by RATE Mortgage Trust 2026-J2 (RATE 2026-J2, or the Trust) as follows: -- $153.1 million Class A-1 at (P) AAA (sf) -- $153.1 million Class A-2 at (P) AAA (sf) -- $153.1 million Class A-3 at (P) AAA (sf) -- $114.9 million Class A-4 at (P) AAA (sf) -- $114.9 million Class A-5 at (P) AAA (sf) -- $114.9 million Class A-6 at (P) AAA (sf) -- $91.9 million Class A-7 at (P) AAA (sf) -- $91.9 million Class A-8 at (P) AAA (sf) -- $91.9 million Class A-9 at (P) AAA (sf) -- $23.0 million Class A-10 at (P) AAA (sf) -- $23.0 million Class A-11 at (P) AAA (sf) -- $23.0 million Class A-12 at (P) AAA (sf) -- $61.3 million Class A-13 at (P) AAA (sf) -- $61.3 million Class A-14 at (P) AAA (sf) -- $61.3 million Class A-15 at (P) AAA (sf) -- $38.3 million Class A-16 at (P) AAA (sf) -- $38.3 million Class A-17 at (P) AAA (sf) -- $38.3 million Class A-18 at (P) AAA (sf) -- $40.7 million Class A-19 at (P) AAA (sf) -- $40.7 million Class A-20 at (P) AAA (sf) -- $40.7 million Class A-21 at (P) AAA (sf) -- $193.9 million Class A-22 at (P) AAA (sf) -- $193.9 million Class A-23 at (P) AAA (sf) -- $193.9 million Class A-24 at (P) AAA (sf) -- $193.9 million Class A-25 at (P) AAA (sf) -- $40.7 million Class A-26 at (P) AAA (sf) -- $153.1 million Class A-27 at (P) AAA (sf) -- $153.1 million Class A-29 at (P) AAA (sf) -- $153.1 million Class A-30 at (P) AAA (sf) -- $347.0 million Class A-X-1 at (P) AAA (sf) -- $153.1 million Class A-X-2 at (P) AAA (sf) -- $153.1 million Class A-X-3 at (P) AAA (sf) -- $153.1 million Class A-X-4 at (P) AAA (sf) -- $114.9 million Class A-X-5 at (P) AAA (sf) -- $114.9 million Class A-X-6 at (P) AAA (sf) -- $114.9 million Class A-X-7 at (P) AAA (sf) -- $91.9 million Class A-X-8 at (P) AAA (sf) -- $91.9 million Class A-X-9 at (P) AAA (sf) -- $91.9 million Class A-X-10 at (P) AAA (sf) -- $23.0 million Class A-X-11 at (P) AAA (sf) -- $23.0 million Class A-X-12 at (P) AAA (sf) -- $23.0 million Class A-X-13 at (P) AAA (sf) -- $61.3 million Class A-X-14 at (P) AAA (sf) -- $61.3 million Class A-X-15 at (P) AAA (sf) -- $61.3 million Class A-X-16 at (P) AAA (sf) -- $38.3 million Class A-X-17 at (P) AAA (sf) -- $38.3 million Class A-X-18 at (P) AAA (sf) -- $38.3 million Class A-X-19 at (P) AAA (sf) -- $40.7 million Class A-X-20 at (P) AAA (sf) -- $40.7 million Class A-X-21 at (P) AAA (sf) -- $40.7 million Class A-X-22 at (P) AAA (sf) -- $193.9 million Class A-X-23 at (P) AAA (sf) -- $193.9 million Class A-X-24 at (P) AAA (sf) -- $193.9 million Class A-X-25 at (P) AAA (sf) -- $347.0 million Class A-X-26 at (P) AAA (sf) -- $153.1 million Class A-X-27 at (P) AAA (sf) -- $40.7 million Class A-X-28 at (P) AAA (sf) -- $153.1 million Class A-X-29 at (P) AAA (sf) -- $153.1 million Class A-X-30 at (P) AAA (sf) -- $6.1 million Class B-1 at (P) AA (low) (sf) -- $6.1 million Class B-1A at (P) AA (low) (sf) -- $6.1 million Class B-X-1 at (P) AA (low) (sf) -- $2.5 million Class B-2 at (P) A (sf) -- $2.5 million Class B-2A at (P) A (sf) -- $2.5 million Class B-X-2 at (P) A (sf) -- $1.8 million Class B-3 at (P) BBB (sf) -- $1.4 million Class B-4 at (P) BB (sf) -- $721.0 thousand Class B-5 at (P) B (low) (sf) -- $153.1 million Class A-1L Loans at (P) AAA (sf) -- $153.1 million Class A-2L Loans at (P) AAA (sf) -- $153.1 million Class A-3L Loans at (P) AAA (sf) Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, A-X-27, A-X-28, A-X-29, A-X-30, B-X-1, and B-X-2 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-26, A-29, A-30, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, A-X-29, A-X-30, B-1, B-2, A-1L Loans, A-2L Loans, and A-3L Loans are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-29, A-30, A-1L Loans, A-2L Loans, and A-3L Loans are super senior tranches. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, A-21, and A-26) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 3.70% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (low) (sf) credit ratings reflect 2.00%, 1.30%, 0.80%, 0.40%, and 0.20% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The trust is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages to be funded by the issuance of the Mortgage-Backed Notes (the Notes). The Notes are backed by 290 loans with a total principal balance of $360,346,267 as of the Cut-Off Date (June 1, 2026). Guaranteed Rate, Inc. (Guaranteed Rate or GRI), as the Sponsor, began issuing prime jumbo securitizations from its RATE shelf in early 2021 and this transaction represents the 14th prime jumbo RATE deal. The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. All of the mortgage loans were originated by Guaranteed Rate. Guaranteed Rate is also the Servicing Administrator and Sponsor of the transaction. The loans will be serviced by ServiceMac, LLC (ServiceMac). Computershare Trust Company, N.A. (Computershare Trust Company; rated BBB (high) with a Stable trend) will act as the Master Servicer, Loan Agent, Paying Agent, Note Registrar, and Certificate Registrar. Deutsche Bank National Trust Company will act as the Custodian. Wilmington Savings Fund Society, FSB will serve as the Delaware Trustee and Collateral Trustee. Similar to the prior RATE securitizations, the Servicing Administrator will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or the Master Servicer (Stop-Advance Loan). The Servicing Administrator will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The interest entitlements for each class in this transaction are reduced reverse sequentially by the delinquent interest that would have accrued on the Stop-Advance Loans. In other words, investors are not entitled to any interest on such severely delinquent mortgages, unless such interest amounts are recovered. The delinquent interest recovery amounts, if any, will be distributed sequentially to the P&I notes. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 to 120 days delinquent under the Mortgage Bankers Association (MBA) method at a price equal to par plus interest and unreimbursed servicing advance amounts, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. This transaction allows for the issuance of Classes A-1L, A-2L, and A-3L loans, which are the equivalent of ownership of Classes A-1, A-2, and A-3 Notes, respectively. These classes are issued in the form of a loan made by the investor to the issuer instead of a note purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Notes. There is no change to the structure if these Classes are elected. The provisional credit ratings reflect transactional strength that include the following: -- High-quality credit attributes; -- Well-qualified borrowers; -- Satisfactory third-party due diligence review; -- Structural enhancements; and -- 100% current loans. The transaction also includes the following challenges: -- Representations and warranties framework; -- Limited advances of delinquent P&I; and -- Servicing administrator's financial capabilities. Morningstar DBRS' credit ratings on the Certificates and Loans address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Interest Payment Amount, any Interest Shortfall, and the Debt Amount (for non IO classes). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt credit rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. RCKT MORTGAGE 2022-4: Moody's Hikes Rating on Cl. B-5 Certs to B2 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds issued by RCKT Mortgage Trust 2022-4. The collateral backing this deal consists of prime jumbo 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: RCKT Mortgage Trust 2022-4 Cl. B-1, Upgraded to Aa1 (sf); previously on Sep 8, 2025 Upgraded to Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Sep 8, 2025 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jun 9, 2022 Definitive Rating Assigned A3 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Jun 9, 2022 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Jun 9, 2022 Definitive Rating Assigned Baa3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Jun 9, 2022 Definitive Rating Assigned B3 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Sep 8, 2025 Upgraded to Aa2 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Jun 9, 2022 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 pool. The transaction Moody's reviewed continues to display strong collateral performance, with cumulative losses under 0.12% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in this transaction have grown significantly, as the pool amortizes relatively quickly. The credit enhancement since closing has grown, on average, 1.22x for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal 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. REALT 2021-1: DBRS Confirms 'B(high)' Rating to Class G Certs ------------------------------------------------------------- DBRS Limited (Morningstar DBRS) upgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2021-1 issued by Real Estate Asset Liquidity Trust (REALT), Series 2021-1 as follows: -- Class B to AAA (sf) from AA (high) (sf) -- Class C to AAA (sf) from AA (high) (sf) -- Class D-1 to AA (sf) from A (high) (sf) -- Class D-2 to AA (sf) from A (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class E at A (sf) -- Class F at BB (high) (sf) -- Class G at B (high) (sf) -- Class X at AAA (sf) Morningstar DBRS changed the trends on Classes B, C, D-1, D-2, E, F, and G to Stable from Positive. The trends on Classes A-1 and A-2 remain Stable. CREDIT RATING RATIONALE/DESCRIPTION -- The credit rating upgrades reflect the significant principal paydown since the last credit action, as a result of loan repayments and amortization. The pool continues to report strong performance as illustrated by the weighted-average (WA) debt service coverage ratio (DSCR) of 1.78 times (x). Additionally, most of the remaining loans in the pool have some degree of meaningful recourse to the sponsor. -- For this review, Morningstar DBRS' analysis considered a stressed scenario, applying a 20.0% haircut to the Issuer's underwritten cash flow for the remaining loans in the pool, to evaluate the potential for credit rating upgrades. The results of that analysis suggest that Classes B through D-2 remain well insulated in the event of performance deterioration, supporting the credit rating upgrades. -- In addition, 12 loans, representing 24.3% of the current pool balance, have maturity dates in 2026 and 2027. Morningstar DBRS expects these loans will repay from the trust based on the WA debt yield and DSCR of 12.3% and 1.77x, respectively. POOL/COLLATERAL OVERIVEW -- Since the last credit rating action in July 2025, 33 loans have been repaid in full, resulting in a significant collateral reduction of approximately $204.4 million. -- As of the May 2026 remittance, 41 of the original 79 loans remain in the pool with a trust balance of $251.9 million, representing a total collateral reduction of 53.7% since issuance. -- Five loans are on the servicer's watchlist, four of which are due to upcoming loan maturities. There are no specially serviced, delinquent, or defeased loans. -- The pool is favorably concentrated by property type, with loans backed by loans backed by industrial, retail, and office representing 32.7%, 24.8%, and 15.7% of the pool, respectively. KEY LOANS 80 King Street St. Catherines (Prospectus ID # 4, 8.0% of the pool) -- The largest remaining loan in the pool is secured by the borrower's fee-simple interest an office building in St. Catharines, Ontario. -- The largest tenant is Accenture (29.0% of the net rentable area (NRA)) and has a lease expiring in February 2032, two years beyond the loan's maturity in July 2030. News reports indicate that Accenture reduced its global workforce in 2025, and there is uncertainty around whether further reductions will occur, which may increase refinance risk. -- The most recent year-end net cash flow has declined from issuance expectations, but DSCR continues to be above 1.50x. Red Deer Village Anchored Retail A1 (Prospectus ID#5, 7.1% of the pool) -- The second largest loan in the pool is secured by an anchored shopping center in Red Deer, Alberta. The loan is amortizing and has full recourse to the sponsor, Skyline Retail REIT. -- The tenant roster is heavily concentrated in national retailers, most of which are investment-grade, with Canadian Tire Corporation, Limited as the largest tenant. -- The five largest tenants (collectively representing approximately 65.0% of NRA) have leases expiring prior to the loan maturity in January 2030; however, many leases are structured with renewal options and historically, occupancy has remained stable at the subject. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Class X is interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in Canadian dollars unless otherwise noted. RESIDENTIAL MORTGAGE 2026-MTG1: DBRS Gives (P)B Rating on B2 Notes ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Residential Mortgage Loan Credit-Linked Notes, Series 2026-MTG1 (the Notes) to be issued by 660 SRT I LLC (the Issuer) as follows: -- $19.6 million Class M1 at (P) A (low) (sf) -- $21.7 million Class M2 at (P) BBB (low) (sf) -- $9.4 million Class B1 at (P) BB (sf) -- $7.2 million Class B2 at (P) B (sf) The (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 3.65%, 2.15%, 1.50%, and 1.00% of credit enhancement, respectively. FHCLN 2026-MTG1 is 660 SRT I LLC first credit-linked note (CLN) transaction. The Notes are linked to a credit default swap (CDS) transaction entered into by OceanFirst Bank N.A (OceanFirst, Protection Buyer) and 660 SRT I LLC (the Issuer, Protection Seller) on December 10, 2025. The Issuer deposited an amount equal to the aggregate balance of the Class M1, M2, B1, B2, and B3 Notes into the Collateral Account, which is an eligible account. Under the CDS, OceanFirst will make monthly fixed payments (Fixed Payment Amount) to the Issuer. The Issuer will be required to pay OceanFirst with respect to certain realized losses on the reference pool. The Notes are backed by the amount deposited into the Collateral Account, the Fixed Payment Amount, and related account investment earnings, in each case relating to the underlying reference pool of residential loans. The Notes are exposed to the risk arising from losses on the loans included in the underlying reference pool. As of the Cut-Off Date, the reference pool consists of 4,277 seasoned fully amortizing first-lien fixed- and variable-rate mortgages with a total principal balance of $1,449,492,973. The portfolio is approximately 69 months seasoned with a minimum loan age of eight months and maximum of 336 months. The Notes issued under FHCLN 2026-MTG1 represent approximately 5% of the reference pool as of the Closing Date. 400 Capital Management LLC will act as the manager for the Issuer, a special-purpose limited liability company. OceanFirst was the originator for approximately 91.1 % of the loans in the reference pool. The remaining 8.9% of the loans were originated by institutions acquired by OceanFirst prior to the Cut-Off Date. OceanFirst will act as servicer and Dovenmuehle Mortgage Inc. (DMI) will act as subservicer for all of the loans in the reference pool. Computershare Trust Company, N.A. (Computershare) will act as Securities Administrator and Pentalpha Surveillance LLC (Pentalpha) will act as the Reviewer. On the Closing Date, the Issuer and Securities Administrator will enter into the Note Issuance and Administration Agreement. As per the agreement, the Securities Administrator will open and maintain the Operating Account. The Issuer is expected to use the amounts available in the Collateral Account to purchase certain eligible investments. The eligible investments are restricted to at least Aaa-mf by Moody's, AAA-mf/AAA by S&P or Fitch, or AAA/R-1 (high) by Morningstar DBRS rated money-market funds and securities. Unlike other residential mortgage-backed security (RMBS) transactions, cash flow from the underlying loans will not be used to make any payments; rather, in CLN transactions, a portion of the eligible investments held in the collateral account will be liquidated to make principal payments to the noteholders and to make loss payments to the Protection Buyer when eligible losses are realized on the loans in the underlying reference pool. The Issuer will use the investment earnings on the eligible investments, together with the Fixed Payment Amount, to pay interest to the noteholders. The calculation of principal payments to the Notes will be based on the reduction in aggregate principal balance on the underlying reference pool. The securitization employs a pro-rata structure to the Notes subject to certain performance triggers which lock out more subordinate Notes from principal payments. The coupon rates for the Notes are based on the Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available; please see the offering documents for more details. On the Closing Date, the Issuer will establish a cash and securities account, the reserve account. In case of the CDS Buyer's default in paying the Fixed Payment Amount to the Issuer, the amount available in this account will be used to make interest payments to the noteholders. The reserve account will be funded at closing to cover the Class M1 Notes. The Trust will make deposits into this account up to the applicable target balance when the following event occurs: As of the Closing Date, the reserve account will be funded to the required amount for the M1 Notes. The Notes are scheduled to mature in October 2055 but will be subject to early redemption at the option of the Issuer (1) for a 10% clean-up call or (2) on or following the payment date in May 2030, among others. The Notes are also subject to mandatory redemption before the scheduled maturity date upon the termination of the CDS. On or after the payment date in June 2031, the Class M1 and M2 Notes' interest rates will step up by 1.00%. Interest otherwise payable to the Class B3 Notes may be used to pay the Class M1, M2, B1, and B2 Cap Carryover Amounts. The credit ratings reflect transactional strengths that include the following: -- Collateral Current CLTV and Credit Quality -- Current Delinquency Status -- Seasoning -- Alignment of Interest The transaction also includes the following challenges: -- Counterparty Exposure -- Highly concentrated pool -- Representation and Warranties (R&W) Framework -- Eligible Investment Losses Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Current Interest, Interest Carryforward Amount, and the related Principal Distribution Amount. Morningstar DBRS' credit ratings on the Class M1 and M2 Notes also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (June 2031) in accordance with the applicable transaction document(s). Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. RIN XV LLC: Moody's Assigns (P)Ba3 Rating to $8MM Class E Notes --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to six classes of notes to be issued by RIN XV LLC (the Issuer or RIN XV): US$256,000,000 Class A-1 Floating Rate Senior Notes due 2039, Assigned (P)Aaa (sf) US$8,000,000 Class A-2 Floating Rate Senior Notes due 2039, Assigned (P)Aaa (sf) US$40,000,000 Class B Floating Rate Senior Notes due 2039, Assigned (P)Aa1 (sf) US$24,000,000 Class C Deferrable Floating Rate Mezzanine Notes due 2039, Assigned (P)A2 (sf) US$24,000,000 Class D Deferrable Floating Rate Mezzanine Notes due 2039, Assigned (P)Baa3 (sf) US$8,000,000 Class E Deferrable Floating Rate Mezzanine Notes due 2039, Assigned (P)Ba3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. RIN XV LLC is a managed cash flow Project Finance CLO (PF CLO). The issued notes will be collateralized primarily by broadly syndicated senior secured project finance and corporate infrastructure loans. At least 50% of the portfolio must consist of project finance infrastructure loans and eligible investments. At least 96% of the portfolio must consist of first lien senior secured loans and up to 4% of the portfolio may consist of permitted debt securities and second lien loans. The portfolio is expected to be approximately 86% ramped as of the closing date. RREEF America L.L.C., a subsidiary of DWS Group GmbH & Co. KGaA (Portfolio Advisor) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, the Portfolio Advisor is not permitted to purchase additional assets, and unscheduled principal payments and proceeds from the sale of assets will be used to amortized the Rated Notes in sequential order. In addition to the Rated Notes, the Issuer will issue one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's ratings of the Rated Notes also took into account the concentrated nature of the portfolio. The PF CLO's indenture allows for a portfolio that is highly concentrated by sector and individual asset size. Up to 35% of the portfolio's assets may be in the electricity (gas) contracted, or merchant region sub-sectors. The five largest sub-sectors could constitute up to 61% of the portfolio, with the largest sub-sector potentially being up to 25% of the portfolio. Additionally, the portfolio may have minimum of 50 obligors with the largest obligor potentially comprising up to 3.5% of the portfolio. Credit deterioration in a single sector or in a few obligors could have an outsized negative impact on the PF CLO portfolio's overall credit quality. Moody's analysis considered the potential for a concentrated portfolio. Moody's modeled the transaction applying the Monte Carlo simulation framework in Moody's CDOROM™, as described in the "Project Finance and Infrastructure Asset CLOs" rating methodology published in July 2024 and using a cash flow model which estimates expected loss on a CLO's tranche, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. For modeling purposes, Moody's used the following base-case assumptions: Portfolio Par: $400,000,000 Weighted Average Rating Factor (WARF) of Project Finance Loans: 1799 Weighted Average Rating Factor (WARF) of Corporate Infrastructure Loans: 2997 Weighted Average Spread (WAS): 2.60% Weighted Average Recovery Rate (WARR) of Project Finance Loans: 65% Weighted Average Recovery Rate (WARR) of Corporate Infrastructure Loans: 58.8% Weighted Average Life (WAL): 8.0 Permitted Debt Securities and Second Lien Loans: 4% Total Obligors: 50 Largest Obligor: 3.5% Largest 5 Obligors: 17.5% B2 Default Probability Rating Obligations: 17% B3 Default Probability Rating Obligations: 10% Project Finance Infrastructure Obligors: 50% Corporate Power Infrastructure Obligors: 14.25% Power Infrastructure Obligors: 44.5% Methodologies Underlying the Rating Action: The methodologies 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 Portfolio Advisor's investment decisions and management of the transaction will also affect the performance of the Rated Notes. SALUDA GRADE 2026-LOC6: DBRS Finalizes B(low) Rating on B-2 Debt ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following Asset-Backed Securities, Series 2026-LOC6 (the Notes) issued by Saluda Grade Alternative Mortgage Trust 2026-LOC6 (GRADE 2026-LOC6 or the Trust): -- $209.9 million Class A-1A at AAA (sf) -- $31.0 million Class A-1B at AAA (sf) -- $241.0 million Class A-1X at AAA (sf) -- $209.9 million Class A-1AX at AAA (sf) -- $31.0 million Class A-1BX at AAA (sf) -- $14.3 million Class M-1 at AA (low) (sf) -- $15.8 million Class M-2 at A (low) (sf) -- $14.9 million Class M-3 at BBB (low) (sf) -- $13.5 million Class B-1 at BB (low) (sf) -- $7.3 million Class B-2 at B (low) (sf) The AAA (sf) credit ratings on the Notes reflect 22.35% of credit enhancement provided by subordinate notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 17.75%, 12.65%, 7.85%, 3.50%, and 1.15% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of asset-backed securities (the Notes). The Notes are backed by 2,089 loans (individual HELOC draws) which correspond to HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $310,327,341 and a total current credit limit of $366,972,653 as of the Cut-Off Date (April 30, 2026). The portfolio, on average, is three months seasoned, though seasoning ranges from zero to 38 months. All HELOCs are current, and the vast majority of loans (approximately 99.7%) - including 1.1% that experienced delinquency due to servicing transfer-related issues - have never been 30 or more days delinquent since origination. All the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. GRADE 2026-LOC6 represents the tenth HELOC securitization by the Sponsor, Saluda Grade Opportunities Fund LLC (Saluda Grade). The performance of the previous transactions to date has been satisfactory. HELOC Features In this transaction, all loans are open-HELOCs that have a draw period of three, five or ten years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. After the draw term, HELOC borrowers have a repayment period ranging from 5 to 25 years and are no longer allowed to draw. All HELOCs in this transaction are floating-rate loans. For approximately 95.3% of the loans, interest-only (IO) payment periods aligned with their draw periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. While these HELOCs do not need to be fully drawn at origination, the weighted-average (WA) utilization rate of approximately 94.4% after three months of seasoning on average. 100% of the HELOCs in this transaction are adjustable-rate mortgage loans, all the loans are fully amortizing with a shorter draw period, and may have terms significantly shorter than 30 years, including 10- to 20-year terms. Transaction and Other Counterparties The mortgages were originated by HomeBridge Financial Services, Inc (72.6%) and Angel Oak Mortgage Solutions LLC (21.5%) as well as other originators each comprising less than 10.0% of the pool by balance. NewRez LLC d/b/a Shellpoint Mortgage Servicing will service 100% of the loans within the pool for a servicing fee of 0.20% per year. Wilmington Savings Fund Society, FSB (WSFS Bank) will serve as the Custodian, Indenture Trustee, Delaware Trustee, Paying Agent, Note Registrar, and Certificate Registrar. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws, and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class G Certificates. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the HELOC Funding Account (including amounts deposited into the HELOC Funding Account on behalf of the Class G Certificate holder after the Closing Date). The HELOC Funding Account is funded at closing initially with a rounded balance of $1,699,359 (3.00% of the unutilized credit limit as of the Cut-Off Date). Prior to the payment date in June 2031, the HELOC Funding Account required amount will be $1,699,359. On and after the payment date in June 2031 (after the draw period ends for vast majority of HELOCs), the HELOC Funding Account required amount will become $0. If the HELOC Funding Account is not at target, the Paying Agent will use the interest remittance amount remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, making any principal payments to the Class G Certificateholders, and paying the accrued and unpaid interest on the bonds to build it to the target. To the extent the HELOC Funding Account is not funded up to its required amount from the interest collections, the Class G Certificateholders will be required to use its own funds to reimburse the Servicer for any Net Draws. In the event the Class G Certificateholder has not remitted to the HELOC Funding Account an amount sufficient to fully reimburse the Servicer, principal collections on the loans in subsequent periods may be used to reimburse the Servicer for such unreimbursed Net Draws. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, upon review by the related Servicer, may be charged off. Transaction Structure This transaction incorporates a pro-rata cash flow structure; however, principal payment will be distributed sequentially so long as none of the Class M-1, M-2, or M-3 Notes is a Locked Out Class, as described below in the report under Cashflow Structure and Features. On the first Payment Date, each of the Class M-1, M-2, and M-3 Notes will be a Locked-Out Class. Additionally, the pro rata cash flow structure is subject to a Credit Event, which is based on certain performance trigger events related to cumulative losses and delinquencies. If a Credit Event is in effect, principal distributions are made sequentially. Cumulative Loss and Delinquency Trigger Events are applicable immediately after the Closing Date. Relative to a sequential pay structure, a pro rata structure subject to a sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Other Transaction Features The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Notes to satisfy the credit risk-retention requirements. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable. On any payment date on or after three years after the closing date or the first payment date when the unpaid principal balance falls to or below 20% of the Cut-Off Date UPB, the Sponsor, at the direction of the Controlling Holder, may exercise a call and purchase all of the outstanding Notes at the repurchase price (Optional Redemption) described in the transaction documents. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the real estate owned (REO) properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the Servicer will have the option to purchase the mortgage loans and REO properties at the termination price described in the transaction documents (Clean-Up Call). The Sponsor will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The credit ratings reflect transactional strengths that include the following: -- Robust equity and prime and near-prime credit quality, -- Certain HELOC attributes, -- Current loan status, and -- Satisfactory third-party due-diligence sample size and review. The transaction also includes the following challenges: -- Representations and warranties standard, and -- No servicer advances of delinquent principal and interest. The full description of the strengths, challenges, and mitigating factors is detailed in the related report. Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Interest Payment Amount, Interest Carryforward Amount, and the Class Principal Balance. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. SEQUOIA MORTGAGE 2026-7: Fitch Assigns 'Bsf' Final on Cl. B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-7 (SEMT 2026-7). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2026-7 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7A LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A16A LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf A26F LT AAAsf New Rating AAA(EXP)sf A27 LT AAAsf New Rating AAA(EXP)sf A28 LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf ACH4 LT AAAsf New Rating AAA(EXP)sf A31 LT AAAsf New Rating AAA(EXP)sf A32 LT AAAsf New Rating AAA(EXP)sf ACH67 LT AAAsf New Rating AAA(EXP)sf A33 LT AAAsf New Rating AAA(EXP)sf A34 LT AAAsf New Rating AAA(EXP)sf A35 LT AAAsf New Rating AAA(EXP)sf A36 LT AAAsf New Rating AAA(EXP)sf A37 LT AAAsf New Rating AAA(EXP)sf A38 LT AAAsf New Rating AAA(EXP)sf A39 LT AAAsf New Rating AAA(EXP)sf A40 LT AAAsf New Rating AAA(EXP)sf A41 LT AAAsf New Rating AAA(EXP)sf A42 LT AAAsf New Rating AAA(EXP)sf A43 LT AAAsf New Rating AAA(EXP)sf A44 LT AAAsf New Rating AAA(EXP)sf A45 LT AAAsf New Rating AAA(EXP)sf A46 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf AIO27F LT AAAsf New Rating AAA(EXP)sf AIO29 LT AAAsf New Rating AAA(EXP)sf AIO30 LT AAAsf New Rating AAA(EXP)sf AIO36 LT AAAsf New Rating AAA(EXP)sf AIO37 LT AAAsf New Rating AAA(EXP)sf AIO38 LT AAAsf New Rating AAA(EXP)sf AIO39 LT AAAsf New Rating AAA(EXP)sf AIO40 LT AAAsf New Rating AAA(EXP)sf AIO41 LT AAAsf New Rating AAA(EXP)sf AIO42 LT AAAsf New Rating AAA(EXP)sf AIO43 LT AAAsf New Rating AAA(EXP)sf AIO44 LT AAAsf New Rating AAA(EXP)sf AIO45 LT AAAsf New Rating AAA(EXP)sf AIO46 LT AAAsf New Rating AAA(EXP)sf AIO47 LT AAAsf New Rating AAA(EXP)sf AIO67 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf LTR LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 607 loans with a total balance of approximately $736.43 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from Rocket Mortgage, CrossCountry Mortgage, Inc., CMG Financial, and various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure with full advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted-average Fitch FICO of 778 and 36.8% debt-to-income ratio. The borrowers also have moderate leverage, with a 71.4% mark-to-market combined LTV. Overall, 89.8% of the pool loans are for primary residences, while the remainder are second homes. In addition, 100% of the loans were underwritten to full documentation. Following the publication of the presale and expected ratings, the issuer provided an updated tape which included the removal of two loans. The change in collateral increased the 'AAAsf' expected loss by 1 bp to 3.23%. In addition, a corresponding pricing structure was provided and analyzed by Fitch. There were some minor updates to the bond balances, and the super senior credit enhancement (CE) was increased by 1 bp. Fitch confirmed there were no changes to the expected ratings. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzed loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-7 had a final probability of default of 10.28% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress was 34.89%. The expected loss in the 'AAAsf' rating stress was 3.59%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-7 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzed the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applied its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considered originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to derive a potential operational risk adjustment. The only consideration that had a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 96.9% of the loans in the transaction by loan count. Fitch applied a 5-bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm that had a final grade of either A or B. Counterparty and Legal Analysis: Fitch expected all relevant transaction parties to conform to the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties were those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should have been satisfied to fully de-link the transaction from any other entities. SEMT 2026-7 was fully de-linked and determined to be a bankruptcy-remote SPV. All transaction parties and triggers aligned with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations did not apply to SEMT 2026-7. Therefore, Fitch was comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.7% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA MORTGAGE 2026-8: Fitch Assigns 'Bsf' Rating on Cl. B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-8 (SEMT 2026-8). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2026-8 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7A LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A16A LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf A26F LT AAAsf New Rating AAA(EXP)sf A27 LT AAAsf New Rating AAA(EXP)sf A28 LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf ACH4 LT AAAsf New Rating AAA(EXP)sf A31 LT AAAsf New Rating AAA(EXP)sf A32 LT AAAsf New Rating AAA(EXP)sf ACH67 LT AAAsf New Rating AAA(EXP)sf A33 LT AAAsf New Rating AAA(EXP)sf A34 LT AAAsf New Rating AAA(EXP)sf A35 LT AAAsf New Rating AAA(EXP)sf A36 LT AAAsf New Rating AAA(EXP)sf A37 LT AAAsf New Rating AAA(EXP)sf A38 LT AAAsf New Rating AAA(EXP)sf A39 LT AAAsf New Rating AAA(EXP)sf A40 LT AAAsf New Rating AAA(EXP)sf A41 LT AAAsf New Rating AAA(EXP)sf A42 LT AAAsf New Rating AAA(EXP)sf A43 LT AAAsf New Rating AAA(EXP)sf A44 LT AAAsf New Rating AAA(EXP)sf A45 LT AAAsf New Rating AAA(EXP)sf A46 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf AIO27F LT AAAsf New Rating AAA(EXP)sf AIO29 LT AAAsf New Rating AAA(EXP)sf AIO30 LT AAAsf New Rating AAA(EXP)sf AIO36 LT AAAsf New Rating AAA(EXP)sf AIO37 LT AAAsf New Rating AAA(EXP)sf AIO38 LT AAAsf New Rating AAA(EXP)sf AIO39 LT AAAsf New Rating AAA(EXP)sf AIO40 LT AAAsf New Rating AAA(EXP)sf AIO41 LT AAAsf New Rating AAA(EXP)sf AIO42 LT AAAsf New Rating AAA(EXP)sf AIO43 LT AAAsf New Rating AAA(EXP)sf AIO44 LT AAAsf New Rating AAA(EXP)sf AIO45 LT AAAsf New Rating AAA(EXP)sf AIO46 LT AAAsf New Rating AAA(EXP)sf AIO47 LT AAAsf New Rating AAA(EXP)sf AIO67 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf LTR LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 436 loans with a total balance of approximately $548.73 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from Rocket Mortgage, CrossCountry Mortgage and various mortgage originators. Distributions of principal and interest and loss allocations are based on a senior-subordinate, shifting-interest structure with full advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted-average Fitch FICO of 777 and 37.6% debt-to-income ratio. The borrowers also have moderate leverage, with a 69.2% mark-to-market combined LTV. Overall, 95.8% of the pool loans are for primary residences, while the remainder are second homes. In addition, 100% of the loans were underwritten to full documentation Following the publication of the presale and expected ratings, the issuer provided an updated tape that excluded three loans. The change in collateral did not affect the expected loss. In addition, a corresponding pricing structure was provided and analyzed by Fitch. There were some minor updates to the bond balances, and the super senior credit enhancement (CE) was decreased by 3 bp. Fitch confirmed there were no changes to Fitch's expected ratings. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-8 had a final probability of default of 10.1% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress was 33.2%. The expected loss in the 'AAAsf' rating stress was 3.3%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in SEMT 2026-8 are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzed the capital structure to determine the adequacy of the transaction's credit enhancement to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applied its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The credit enhancement (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 considered 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 had a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 97.9% of the loans in the transaction by loan count. Fitch applied a 5-bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm that had a final grade of either 'A' or 'B'. Counterparty and Legal Analysis: Fitch expected all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties were those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should have been satisfied to fully de-link the transaction from any other entities. SEMT 2026-8 was fully de-linked and determined to be a bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers aligned with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-8 and therefore Fitch was comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.6% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, Consolidated Analytics, and Opus. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either 'A' or 'B'. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SOUTHWICK PARK: S&P Lowers Class E-RR Notes Rating to 'B (sf)' -------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-1RR, B-2R, and C-RR notes issued by Southwick Park CLO Ltd., a U.S. CLO managed by Blackstone/GSO CLO Management LLC. At the same time, S&P lowered its rating on the class E-RR notes and removed it from CreditWatch, where it was placed with negative implications on July 21, 2025. Concurrently, S&P affirmed its ratings on the class A-2RR and D-RR notes. The class A-1RR notes is not rated by S&P Global Ratings. This transaction is a U.S. CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. S&P reviewed Southwick Park CLO Ltd., a U.S. CLO broadly syndicated transaction managed by Blackstone/GSO CLO Management LLC. The rating actions follow S&P's review of the transaction's performance using data from the May 6, 2026, trustee report. Although the same portfolio backs all of the tranches, there can be circumstances such as this one, 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 has experienced principal paydowns (which increased the senior credit support) while facing principal losses, an increase in defaults, and a decline in credit quality (which decreased the junior credit support). Since S&P's July 21, 2025, rating action when the transaction was refinanced, the class A-1RR notes, which are not rated by S&P Global Ratings, had total paydowns of $111.91 million, which reduced the outstanding balance to 62.83% of the original balance. The changes in the reported overcollateralization (O/C) ratios since the June 6, 2025, trustee report, which S&P used for its previous rating action, include: -- The class A/B O/C ratio improved to 138.91% from 130.29%. -- The class C O/C ratio improved to 124.03% from 120.47%. -- The class D O/C ratio declined to 111.93% from 111.95%. -- The class E O/C ratio declined to 104.62% from 106.56%. Although the senior O/C ratios increased due to the paydowns on the class A-1RR notes, the junior O/C ratios have declined due to par losses and some deterioration in the portfolio credit quality. S&P said, "Collateral obligations in the 'CCC' rating category were at $29.15 million as of the May 2026 trustee report, compared with $33.67 million reported as of the June 2025 data, which we used when the CLO was refinanced. Although the dollar value of the 'CCC' exposures has declined, the portfolio has amortized since our last rating action and the percentage of assets in the 'CCC' rating category increased to 8.4% from 7.1%. The 'CCC' exposures are now in excess of the maximum allowed by the transaction documents, resulting in a 'CCC' excess haircut to the O/C numerator. Without considering this haircut, the class D O/C ratio would have increased slightly since our July 2025 rating action." Over the same period, the par amount of defaulted collateral increased to $3.58 million from $0.64 million, resulting in further haircuts to the O/C ratios. With the increase in 'CCC' and nonperforming assets in the portfolio, the transaction has lost par since the last rating action, which is contributing to the downward pressure on the junior tranches' O/C ratios. The upgrades reflect the improved credit support available to the notes at the prior rating levels. Although S&P's cash flow analysis indicated the potential for higher ratings for the class B-1RR, B-2R, C-RR, and D-RR notes, the rating actions take into account additional sensitivity runs that considered the larger exposure to 'CCC' rated assets and the distressed prices in the portfolio. The affirmations reflect the adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could result in ratings changes. The downgrade reflects the deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class E-RR notes. 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 the rated outstanding classes all have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Raised Southwick Park CLO Ltd. Class B-1RR to 'AA+ (sf)' from AA (sf) Class B-2R to 'AA+ (sf)' from AA (sf) Class C-RR to 'A+ (sf)' from A (sf) Rating Lowered And Removed From CreditWatch Southwick Park CLO Ltd. Class E-RR to 'B (sf)' from BB- (sf)/Watch Neg' Ratings Affirmed Southwick Park CLO Ltd. Class A-2RR: AAA (sf) Class D-RR: BBB- (sf) Other Debt Southwick Park CLO Ltd. Class A-1RR: NR Subordinated notes: NR NR--Not rated. SYMPHONY CLO 30: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Symphony CLO 30, Ltd. refinancing notes. Fitch has also affirmed the class E-R notes with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Symphony CLO 30, Ltd. A-1-R2 LT NRsf New Rating A-2-R 87169BAN9 LT PIFsf Paid In Full AAAsf A-2-R2 LT AAAsf New Rating B-1-R 87169BAQ2 LT PIFsf Paid In Full AA+sf B-2-R 87169BAS8 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-R 87169BAU3 LT PIFsf Paid In Full Asf C-R2 LT Asf New Rating D-1-R 87169BAW9 LT PIFsf Paid In Full BBB-sf D-1-R2 LT BBB-sf New Rating D-2-R 87169BAY5 LT PIFsf Paid In Full BBB-sf D-2-R2 LT BBB-sf New Rating E-R 87169FAG5 LT BB-sf Affirmed BB-sf Transaction Summary Symphony CLO 30, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Symphony Alternative Asset Management LLC. On July 7, 2026, classes A-1 through D will be redeemed in full from refinancing proceeds. The secured and subordinated notes will provide financing on a portfolio of approximately $390 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.98, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.23% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.12% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 2.8-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 weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - Spreads have been reduced for all classes of refinanced notes. - The non-call period for the refinanced notes is extended to July 7, 2027. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. - The Fitch recovery rate definition, Fitch industry definition and matrices have been amended to conform with Fitch's new criteria. FITCH ANALYSIS The portfolio includes 383 assets from 342 primarily high yield obligors. In Fitch's view, 1.5% of the portfolio consists of assets that are rated 'CC' or below. The portfolio balance (excluding defaults and including principal cash) is approximately $390 million. As of the May trustee report prior to the refinance date the transaction was not passing its Minimum Floating Spread and Weighted Average Rating Factor tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B+/B'. Fitch has an explicit rating, credit opinion or private rating for 46.3% of the current portfolio par balance; ratings for 53.5% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.2% were unrated. As per Fitch's criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and on the indicative portfolio for the non-refinanced notes, if any. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 17.5%, 15.0%, and 15.0%, respectively; - Assumed risk horizon: 6 years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 69.40%; - Maximum weighted average rating factor of 24.00; - Fixed rate assets: 5.00%; - Minimum weighted average coupon of 6.50%; The transaction will exit its reinvestment period on April 20, 2029. Fitch affirmed the non-refinancing class E-R notes at 'BB-sf'/Stable, given that the indicative default cushions for the class is sufficient at the current rating level. Fitch has assigned a rating of 'Asf'/Stable to the class C-R2 notes, which is one notch below the Model Implied Rating (MIR). Furthermore, Fitch assigned a rating of 'BBB-sf'/Stable to the class D-1-R2 notes, which is two notches below the MIR. In Fitch's view, the MIRs for class C-R2 and D-1-R2 do not adequately reflect the transaction's recent adverse performance trends, including realized losses in the current portfolio or the below-average credit enhancement available to these tranches. These factors indicate a higher likelihood of further credit deterioration and weaker recovery prospects, increasing the tranches' sensitivity to additional portfolio stress. Fitch therefore believes that an upgrade in line with the MIR could be reversed in the near term. Fitch Asset and Cash Flow Analysis The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-2-R2: 'AAAsf' / Default 42.20% / Recovery 39.10% / Cushion 11.10% - Class B-R2: 'AAsf' / Default 39.30% / Recovery 48.86% / Cushion 10.80% - Class C-R2: 'Asf' / Default 34.80% / Recovery 58.62% / Cushion 12.70% - Class D-1-R2: 'BBB-sf' / Default 26.80% / Recovery 68.66% / Cushion 14.50% - Class D-2-R2: 'BBB-sf' / Default 26.80% / Recovery 68.66% / Cushion 9.30% - Class E-R: 'BB-sf' / Default 22.50% / Recovery 73.78% / Cushion 5.60% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-2-R2: 'AAAsf' / Default 50.40% / Recovery 37.20% / Cushion 2.40% - Class B-R2: 'AAsf' / Default 47.00% / Recovery 44.40% / Cushion 0.00% - Class C-R2: 'Asf' / Default 41.70% / Recovery 54.40% / Cushion 4.00% - Class D-1-R2: 'BBB-sf' / Default 32.50% / Recovery 64.40% / Cushion 7.70% - Class D-2-R2: 'BBB-sf' / Default 32.50% / Recovery 64.40% / Cushion 2.80% - Class E-R: 'BB-sf' / Default 27.20% / Recovery 69.40% / Cushion 0.50% 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-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 'BBBsf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2 and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-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, 'A+sf' for class D-1-R2, 'A-sf' for class D-2-R2 and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Symphony CLO 30, 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. SYMPHONY CLO XXV: Moody's Cuts Rating on $18.8MM Cl. E Notes to B3 ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings on the following notes issued by Symphony CLO XXV, Ltd.: Class D-1 Floating Rate MASCOT Notes due 2034, Downgraded to Ba2 (sf); previously on April 15, 2021 Assigned Baa3 (sf) Class D-2 Floating Rate MASCOT Notes due 2034, Downgraded to Ba2 (sf); previously on April 15, 2021 Assigned Baa3 (sf) Class D-3 Floating Rate MASCOT Notes due 2034, Downgraded to Ba2 (sf); previously on April 15, 2021 Assigned Baa3 (sf) Class D-4 Floating Rate MASCOT Notes due 2034, Downgraded to Ba2 (sf); previously on April 15, 2021 Assigned Baa3 (sf) Class D-1X Interest Only Notes due 2034, Downgraded to Ba2 (sf); previously on April 15, 2021 Assigned Baa3 (sf) Class D-2X Interest Only Notes due 2034, Downgraded to Ba2 (sf); previously on April 15, 2021 Assigned Baa3 (sf) Class D-3X Interest Only Notes due 2034, Downgraded to Ba2 (sf); previously on April 15, 2021 Assigned Baa3 (sf) Class D-4X Interest Only Notes due 2034, Downgraded to Ba2 (sf); previously on April 15, 2021 Assigned Baa3 (sf) US$28,750,000 Class D Senior Secured Deferrable Floating Rate Notes due 2034, Downgraded to Ba2 (sf); previously on April 15, 2021 Assigned Baa3 (sf) US$18,800,000 Class E Senior Secured Deferrable Floating Rate Notes due 2034, Downgraded to B3 (sf); previously on October 31, 2025 Downgraded to B1 (sf) Symphony CLO XXV, Ltd., originally issued in April 2021 and partially refinanced in December 2025, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2026. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the notes reflects the par loss and deterioration in credit quality observed in the underlying CLO portfolio. Based on the Moody's calculations, the total collateral par balance, including recoveries from defaulted securities, is $478.9 million, or $20.2 million less than the $500 million initial par amount targeted during the deal's ramp-up. In addition, Moody's calculated Class E overcollateralization ratio is currently 104.37% compared to 105.42% in November 2025. Furthermore, weighted average rating factor (WARF) is currently 2764 failing the current covenanted trigger level of 2510. No actions were taken on the Class A-R, Class B-R and Class C-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in April 2026. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $478,137,512 Defaulted par: $1,944,706 Diversity Score: 87 Weighted Average Rating Factor (WARF): 2764 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.85% Weighted Average Coupon (WAC): 4.03% Weighted Average Recovery Rate (WARR): 46.05% Weighted Average Life (WAL): 4.64 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. TEXAS DEBT 2024-I: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Texas Debt Capital CLO 2024-I, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Texas Debt Capital CLO 2024-I, Ltd. X-R LT NRsf New Rating NR(EXP)sf A-1-R LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary Texas Debt Capital CLO 2024-I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CIFC Asset Management LLC, which originally closed in March 2024. The transaction will be fully refinanced for the first time on June 29, 2026. Net proceeds from the issuance of the secured notes and additional subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.93, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.78% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.37% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 46.5% of the portfolio balance in aggregate while the top five obligors can represent up to 6.25% of the portfolio balance in aggregate on the initial matrix. 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 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 six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AAAsf' for class A-1-R notes, between 'A-sf' and 'AA+sf' for class A-2-R notes, between 'BBB-sf' and 'A+sf' for class B-R notes, between 'BB-sf' and 'A-sf' for class C-R notes, between less than 'B-sf' and 'BBB+sf' for class D-1-R notes, between less than 'B-sf' and 'BBB-sf' for class D-2-R notes and between less than 'B-sf' and 'BB-sf' for class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R notes, 'AAsf' for class C-R notes, 'A+sf' for class D-1-R notes, 'A-sf' for class D-2-R notes and 'BBB+sf' for class E-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 18 June 2026 ESG Considerations Fitch does not provide ESG relevance scores for the Texas Debt Capital CLO 2024-I, Ltd. reset transaction. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TOWD POINT 2026-CES3: DBRS Gives Bsf Rating on Five Tranches ------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following Asset-Backed Securities, Series 2026-CES3 (the Notes) to be issued by Towd Point Mortgage Trust 2026-CES3 (TPMT 2026-CES3 or the Trust): The (P) AAA (sf) credit rating on the Notes reflects 20.85% of credit enhancement provided by subordinated notes. The (P) AA (high) (sf), (P) A (sf), (P) BBB (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 14.75%, 10.20%, 6.60%, 5.15%, 2.40%, and 1.00% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Affected Ratings are available at https://tinyurl.com/3smjeuuc TPMT 2026-CES3 is a securitization a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2026-CES3 (the Notes). The Notes are backed by 4,249 mortgage loans with a total principal balance of $480,821,813 as of the Cut-Off Date. The portfolio, on average, is three months seasoned, though seasoning ranges from one to 46 months. Borrowers in the pool represent prime and near-prime credit quality with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 751 and a Morningstar DBRS-calculated original combined loan-to-value ratio (CLTV) of 73.8%, and all loans were originated with Issuer-defined full documentation. As of cut-off date all the loans are current. Approximately 99.3% of the mortgage pool has been clean for the last 24 months or since origination, after accounting for temporary delinquency related to servicing transfer or borrower confusion. TPMT 2026-CES3 represents the 15th sponsored/co-sponsored CES securitization by FirstKey Mortgage LLC (FirstKey) and second between FirstKey and CRM 3 Sponsor, LLC (CRM). Spring EQ, LLC (Spring EQ; 100.0%) is the originator for the mortgage pool. Newrez, LLC dba Shellpoint Mortgage Servicing (Shellpoint; 56.1%) and Select Portfolio Servicing, Inc. (SPS; 43.9%) are the Servicers of the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee and Administrator. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Custodian. CRM will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans from the Originator. CRM and the transferring trusts are beneficially owned by funds and accounts managed by affiliates of Cerberus Capital Management, L.P. (CCM). Upon acquiring the loans from the transferring trusts, CRM will transfer the loans to CRM 3 Depositor, LLC (the Depositor). The Depositor in turn will transfer the loans to the Issuer. As a Co-Sponsor, CRM, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities (excluding the Class R Certificates) to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label non-agency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 10.2% of the loans are designated as non-QM, 10.8% are designated as QM Rebuttable Presumption, and 76.1% are designated as QM Safe Harbor. Approximately 2.9% of the mortgages are loans made to investors for business purposes and were not subject to the QM/ATR rules. The applicable Servicer will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 60 days delinquent under the Office of Thrift Supervision (OTS) delinquency method (equivalent to 90 days delinquent under the Mortgage Bankers Association (MBA) delinquency method), contingent upon recoverability determination. However, the applicable Servicer will stop advancing delinquent P&I if the aggregate amount of unreimbursed P&I advances owed to a Servicer exceeds 90.0% of the amounts on deposit in the custodial account maintained by such Servicer. In addition, the applicable Servicer is obligated to make advances in respect of homeowner's association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will not be material recoveries. For this transaction, any loan that is 150 days delinquent under the OTS delinquency method (equivalent to 180 days delinquent under the MBA delinquency method), upon review by each related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance (UPB) will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A2 and subordinate bonds will not be paid from principal proceeds until the Class A1 Notes are retired. The FKM Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 30 or more days delinquent within 90 days of the Closing Date at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. On or after (1) the payment date in June 2029 or (2) the first payment date when the aggregate pool balance of the mortgage loans (other than the Charged Off Loans and the real estate owned (REO) properties) is reduced to less than 30.0% of the Cut-Off Date balance, the call option holder may, at its option, cause the Issuer to redeem the Notes and Certificates by selling all of the loans so long as the aggregate proceeds from such purchase exceeds the minimum price (Optional Redemption). Minimum price will at least equal sum of (1) class balances of the Notes plus the accrued interest and unpaid interest, (2) any fees, expenses and indemnification amounts, and (3) accrued and unpaid amounts owed to the Class X, Class XS1, and Class XS2 Certificates. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the call option holder will have the option to redeem all the Notes and Certificates at the minimum price (Optional Clean-Up Call). The credit ratings reflect transactional strengths that include the following: -- Robust equity and prime/near-prime credit quality; -- Certain second-lien attributes; -- Satisfactory third-party due-diligence review; -- Current loan status; and -- Improved underwriting standards. The transaction also includes the following challenges: -- Representations and warranties framework; -- Three-month advances of delinquent P&I; and -- Limited third-party diligence valuation review. Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Current Interest, Interest Shortfall, and the related Class Principal Balance on non-interest-only tranches. Morningstar DBRS' credit ratings on Classes A1, A2, and M1 also address the credit risk associated with the increased rate of interest applicable to these Notes if the Notes are not redeemed on the Optional Redemption Date as defined in and in accordance with the applicable transaction document(s). Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. TRESTLES CLO V: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Trestles CLO V, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Trestles CLO V, 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 F-R2 LT B-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Trestles CLO V, Ltd. is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by APC Asset Development I, LP. Net proceeds from the issuance of the secured and subordinated notes will finance a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B/B-', in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.76, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category have a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.7%, and the portfolio will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43.5% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for WAL covenants 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 this metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2, between 'A-sf' and 'AA+sf' for class A-1-R2, between 'BBB+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 'BBBsf' for class D-1-R2, between less than 'B-sf' and 'BBB-sf' for class D-2-R2, and between less than 'B-sf' and 'BB-sf' for class E-R2 and between less than 'B-sf' and 'B+sf' for class F-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2, class A-1-R2 and class A-2-R2 notes because 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 these metrics. The minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf' for class D-1-R2, 'Asf' for class D-2-R2, and 'BBB+sf' for class E-R2 and 'BBB+sf' for class F-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 Trestles CLO V, 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. US BANK C&I 2026-1: DBRS Finalizes BBsf Rating on Class E Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its following provisional credit ratings on the U.S. Bank C&I Credit-Linked Notes, Series 2026-1, Class B-1 Notes, Class B-2 Notes, Class C Notes, Class D Notes, and Class E Notes (together, the Rated Notes). The Rated Notes are issued pursuant to the Note Issuance and Administration Agreement (the NIAA), dated as of June 11, 2026, entered into between U.S. Bank National Association (U.S. Bank or the Issuer; rated AA with a Stable trend by Morningstar DBRS), as Issuer, and U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS), as Paying Agent and as Calculation Agent: -- Class B-1 Notes at AA (low) (sf) -- Class B-2 Notes at AA (low) (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BB (sf) The credit ratings on the Rated Notes address the timely payment of interest and the ultimate repayment of principal on or before the Legal Final Maturity Date on June 27, 2033. CREDIT RATING RATIONALE/DESCRIPTION Morningstar DBRS considers the transaction a synthetic risk transfer. The Rated Notes are general obligations of U.S. Bank and are credit-linked to a reference portfolio consisting of a portfolio of syndicated term and revolving credit facilities that are originated or acquired and serviced by U.S. Bank or one of its affiliates (the Reference Portfolio) and are issued pursuant to the NIAA. The Reference Portfolio is static and prohibits reinvestment. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) NIAA, dated as of June 11, 2026. (2) The transaction's capital structure and the form and sufficiency of available credit enhancement. (3) The ability of the Rated Notes to withstand projected collateral loss rates under various credit rating scenarios. (4) The credit quality of the Reference Portfolio. (5) The financial strength of U.S. Bank, as the Issuer. (6) Morningstar DBRS' assessment of U.S. Bank, as the Servicer of the transaction. (7) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology (the Legal Criteria). Some strengths of the transaction are (1) the weighted-average (WA) credit quality of the underlying obligors is investment grade; (2) the Reference Portfolio consists of unsubordinated loans; and (3) the Reference Portfolio is well-diversified. Some challenges identified are (1) the Rated Notes are subordinated in the transaction's capital structure to the Class A Certificates and (2) U.S. Bank is directly issuing the Rated Notes and will be responsible for the payments of interest and principal due on the Rated Notes. Morningstar DBRS analyzed the transaction using its CLO Insight Model, based on the actual obligations in the Reference Portfolio, which will be static; and tranche-specific recovery rates, among other credit considerations referenced in the "Global Methodology for Rating CLOs and Corporate CDOs" (November 10, 2025). The reference portfolio consists of syndicated term and revolving credit facilities that are originated or acquired and serviced by U.S. Bank or one of its affiliates across various industries and credit rating levels. The analysis produced satisfactory results, which supported the assigned credit ratings on the Rated Notes. Morningstar DBRS' credit ratings on the Rated Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations include Current Interest and the Class Principal Amount, as defined in the NIAA. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. VERUS SECURITIZATION 2026-5: DBRS Finalizes B Rating on B-2 Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2026-5 (the Notes) to be issued by Verus Securitization Trust 2026-5 (Verus 2026-5 or the Trust) as follows: -- $619.9 million Class A-1 at AAA (sf) -- $464.9 million Class A-1FCF at AAA (sf) -- $155.0 million Class A-1LCF at AAA (sf) -- $53.9 million Class A-1F at AAA (sf) -- $53.9 million Class A-1IO1 at AAA (sf) -- $53.9 million Class A-1IO2 at AAA (sf) -- $53.9 million Class A-1IO at AAA (sf) -- $78.0 million Class A-2 at AA (sf) -- $46.8 million Class A-3 at A (high) (sf) -- $41.9 million Class M-1 at BBB (sf) -- $16.5 million Class B-1 at BB (high) (sf) -- $16.9 million Class B-2 at B (sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-1A and A-1B initially contemplated in the offering documents, as they were not issued at closing. Class A-1 and Class A-1IO are exchangeable notes while Classes A-1FCF, Class A-1LCF, A-1IO1, and A-1IO2 are initial exchangeable notes. These classes can be exchanged in combinations as specified in the offering documents. The AAA (sf) credit ratings on the Notes reflect 24.40% of credit enhancement provided by the subordinated Notes. The AA (sf), A (high) (sf), BBB (sf), BB (high) (sf), and B (sf) credit ratings reflect 15.65%, 10.40%, 5.70%, 3.85%, and 1.95% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, expanded prime and nonprime, predominantly first-lien (97.26%) residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,656 mortgage loans with a total principal balance of $891,284,213 as of the Cut-Off Date (June 1, 2026). Subsequent to the issuance of the related Presale Report, the pool was updated to reflect a Cut-Off Date of June, 2026. Unless specified otherwise, all statistics regarding the mortgage loans in this report are based off the Presale Report balance. Through various entities, Invictus Capital Partners, LP (Invictus) began acquiring loans in 2015, and Verus 2026-5 represents the 90th rated securitization issued from the Verus shelf. Various originators originated less than 10.0% of the mortgage loans. NewRez LLC (NewRez), formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint will service 51.5% of the loans and Cornerstone Servicing will service 48.5% of the loans. Computershare Trust Company, N.A. will act as Custodian. Rocket Mortgage, LLC will act as Master Servicer. Citibank N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 99.4% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 25.5% of the loans by balance are designated as non-QM. Approximately 44.7% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 28.8% of the pool are designated as QM Safe Harbor, and there are 1.0% QM Rebuttable Presumption (by unpaid principal balance (UPB)). The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible vertical interest, which represents at least 5% of the aggregate fair value of the Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Additionally, as of the Closing Date, the Sponsor is expected to initially retain 100% of the Class A-1IO1, Class A-1IO2, Class B-3, Class A-IO-S, and Class XS Notes. On or after the earlier of (1) the Payment Date occurring in June 2029 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Administrator, at the Optional Redemption Right Holder's option, may redeem all of the outstanding Notes at a price equal to the greater of (A) the class balances of the related Notes plus accrued and unpaid interest, including any cap carryover amounts and (B) the class balances of the related Notes less than 90 days delinquent with accrued unpaid interest plus fair market value of the loans 90 days or more delinquent and real estate-owned properties. After such purchase, the Depositor must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Servicers will fund advances of delinquent principal and interest (P&I) on first-lien loans until the loan is either more than 90 days delinquent (limited P&I advancing/stop-advance loan under the Mortgage Bankers Association (MBA) method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The transaction's cash flow structure is generally similar to that of other recent non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Class A-1A and Class A-1B, and separately Class A-1FCF and Class A-1LCF, have group specific allocations of principal, interest, and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost Notes before being applied sequentially to amortize the balances of the more subordinated Notes. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior notes. Class A-1 is an exchangeable note and can be exchanged with Class A-1FCF and Class A-1LCF as specified in the offering documents. The senior fixed-rate coupons step up by 1.00% on and after the accrual period in June 2030. Interest and principal otherwise available to pay the Class B-3 interest and interest shortfalls may be used to pay any Class A Cap Carryover amounts. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Notes. The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition; -- Compliance with the ATR rules; -- Satisfactory third-party due diligence reviews; -- Current loan status; and -- Improved underwriting standards. The transaction also includes the following challenges: -- Debt service coverage ratio loans; -- Certain nonprime, non-QM, and investor loans; -- Limited servicer advances of delinquent P&I; and -- The representations and warranties standard. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Payment Amount, Interest Carryforward Amount, and the related Note Amount. Morningstar DBRS' credit ratings on the Class A-1FCF, A-1LCF, A-1F, A-1IO1, A-1IO2, A-2, and A-3 Notes also address the credit risk associated with the increased rate of interest applicable to the Notes if they remain outstanding on the step-up date (July 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, , Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. VERUS SECURITIZATION 2026-6: Moody's Gives (P)B3 Rating to B-2 Debt ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 14 classes of residential mortgage-backed securities (RMBS) to be issued by Verus Securitization Trust 2026-6 (Verus 2026-6), 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 2026-6 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1A, Assigned (P)Aaa (sf) Cl. A-1B, Assigned (P)Aaa (sf) Cl. A-1F, Assigned (P)Aaa (sf) Cl. A-1FCF, Assigned (P)Aaa (sf) Cl. A-1LCF, Assigned (P)Aaa (sf) Cl. A-1IO*, Assigned (P)Aaa (sf) Cl. A-1IO1*, Assigned (P)Aaa (sf) Cl. A-1IO2*, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2 (sf) Cl. A-3, Assigned (P)A1 (sf) Cl. M-1, Assigned (P)Baa2 (sf) Cl. B-1, Assigned (P)Ba2 (sf) Cl. B-2, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 2.42%, in a baseline scenario-median is 1.70% and reaches 22.52% 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. VOYA CLO 2015-3: Fitch Lowers Rating on Class E-R Notes to 'Dsf' ---------------------------------------------------------------- Fitch Ratings has downgraded Voya CLO 2015-3 Ltd. (Voya 2015-3) class E-R notes to 'Dsf' from 'CCCsf' and withdrawn the rating. The class A-1-R4, A-2-R4 and A-3-R4 notes were paid in full. Entity/Debt Rating Prior ----------- ------ ----- Voya CLO 2015-3, Ltd. A-1-R4 92913UBJ4 LT PIFsf Paid In Full AAAsf A-2-R4 92913UBL9 LT PIFsf Paid In Full AAAsf A-3-R4 92913UBN5 LT PIFsf Paid In Full AAAsf E-R 92913DAL8 LT Dsf Downgrade CCCsf E-R 92913DAL8 LT WDsf Withdrawn Transaction Summary Voya CLO 2015-3 is a broadly syndicated loan collateralized loan obligation (CLO) managed by Voya Alternative Asset Management LLC. The transaction originally closed in September 2015, reset in November 2018, and partially refinanced thrice. In February 2021, May 2024 and finally August 2025. Voya CLO 2015-3 exited its reinvestment period in October 2023. Fitch has withdrawn the class E-R notes rating as the notes have defaulted. All other notes are paid in full. Accordingly, Fitch will no longer provide analytical coverage for Voya CLO 2015-3. Automatic Withdrawal of the Last Default Rating Default ratings ('Dsf') assigned to the last rated class of a transaction will be automatically withdrawn within 11 months from the date of this rating action. A separate RAC will not be issued at that time. KEY RATING DRIVERS Principal Redemption Below Par: The downgrade of the class E-R notes to 'Dsf' reflects a redemption in an amount below their outstanding principal amount. In the notice dated June 11, 2026, class E-R noteholders, as elected by 100% of noteholders, consented to an adjustment of the outstanding principal amount. According to the payment report for the 24 June 2026 redemption date, the class E-R notes received a principal payment of $634,356, lower than their par amount of $18.4 million. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivities do not apply as the rating has been withdrawn. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivities do not apply as the rating has been withdrawn. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has not conducted any checks on the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. ESG Considerations Fitch does not provide ESG relevance scores for Voya CLO 2015-3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. VOYA CLO 2024-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Voya CLO 2024-1, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Voya CLO 2024-1, Ltd. A-1a-R LT NRsf New Rating A-1b-R LT NRsf New Rating A-2 92920DAJ4 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 92920DAC9 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 92920DAE5 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 92920DAG0 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 92920EAA1 LT PIFsf Paid In Full BBsf E-R LT BB-sf New Rating Transaction Summary Voya CLO 2024-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $530 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.52, 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 98.39% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.76% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant for WAL covenants above six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBBsf' for class D-1-R, and between less than 'B-sf' and 'BBB-sf' for class D-2-R and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and 'A+sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Voya CLO 2024-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. WELLS FARGO 2015-LC22: DBRS Cuts Rating on 2 Tranches to Csf ------------------------------------------------------------ DBRS Limited (Morningstar DBRS) downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2015-LC22 issued by Wells Fargo Commercial Mortgage Trust 2015-LC22 as follows: -- Class E to B (low) (sf) from BB (low) (sf) -- Class F to C (sf) from B (sf) -- Class X-E to B (sf) from BB (sf) -- Class X-F to C (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) Morningstar DBRS changed the trends on Classes D, E, and X-E to Negative from Stable. Classes F and X-F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities credit ratings. The remaining Class C has a Stable trend. Morningstar DBRS discontinued its credit rating on the exchangeable Class PEX certificate as the class can no longer be exchanged according to the conditions set forth in the offering document. CREDIT RATING ACTION RATIONALE -- The credit ratings downgrades and Negative trends reflect Morningstar DBRS' recoverability expectations for the remaining seven specially serviced loans in the pool. -- Morningstar DBRS applied liquidation scenarios to all specially serviced loans, which resulted in a projected cumulative loss amount of approximately $39.0 million. This would erode up to the first 10% of the Class F certificate and deteriorate available credit support available to Class E, supporting the credit rating downgrades. -- The Negative trends reflect the potential for further value declines as nearly 78.0% of the pool is backed by office properties located in undesirable markets with high vacancy rates and weak investor demand. -- The Meadows (Prospectus ID#2; 70.4% of the pool) and Hyatt Lisle (Prospectus ID#19; 7.3% of the pool) continue to demonstrate sufficient in-place cash flows to support debt service payments, reducing the risk for future interest shortfalls. POOL/COLLATERAL OVERVIEW -- As of May 2026 remittance, seven of the original 100 loans remain, with a current trust balance of approximately $118.0 million, representing collateral reduction of approximately 87.8% since issuance. -- Since the last credit rating action, 54 loans have successfully repaid from the pool accounting for approximately $392.0 million of paydown since the last credit rating action in July 2025. -- To date, the trust has incurred realized losses of approximately $5.2 million, contained in the Class G certificate. ANALYTICAL CONSIDERATIONS -- In the analysis, Morningstar DBRS analyzed all loans under a recoverability scenario based on conservative haircuts to the most recent appraisals ranging from 20.0% to 50.0%. For the loans with projected losses, the loss severities ranged between 7.0% and 54.0%, resulting in total liquidated losses of approximately $39.0 million. KEY LOANS The Meadows (Prospectus ID#2; 70.4% of the pool): -- The loan is secured by two Class A suburban office buildings in Rutherford, New Jersey. -- The loan transferred to special servicing in October 2025 because of imminent monetary default; the receiver was appointed in November 2025. -- Occupancy at the subject has deteriorated, most recently reported at 75% as of September 2025; however, the loan continues to post above breakeven debt service coverage ratio. -- Over the next 12 months, there is a high near-term rollover risk of approximately 25.0% of the net rentable area (NRA), including the largest tenant, Shiseido Americas Corporation (8.79% of the NRA; lease expiry in December 2026). -- Morningstar DBRS reviewed the inspection report from June 2025 conducted on a weekday, which indicated significant in-person office attendance evidenced by occupied parking lots and employees working on-site. -- With this review, Morningstar DBRS liquidated the loan with a 35.0% haircut to September 2025 appraised value while incorporating expected servicer expenses. The haircut is based on a 10.0% capitalization rate applied to the annualized T-9 2025 net cash flow to account for the high rollover and suburban location. The analysis resulted in a projected loss of approximately $31.0 million or a loss severity of 37.0%. Hyatt Lisle (Prospectus ID#19; 7.3% of the pool): -- This loan is secured by a 317-key full-service lodging property in Lisle, Illinois. The loan transferred to the special servicer because of the borrower's inability to pay off the loan by the July 2025 maturity date. -- The loan is progressing toward foreclosure, and the appointment of the receiver is expected in the near term. -- According to the December 2025 STR, Inc. report, the subject reported a trailing 12-month occupancy figure of 37.4%, average daily rate (ADR) of $105.09, and revenue per available room (RevPAR) of $39.30. The RevPAR penetration rate was reported at 55.4%. -- An updated appraisal dated November 2025 valued the property at $6.3 million, down from $22.5 million at issuance. -- Given the recency of the appraisal and continued depressed performance, Morningstar DBRS liquidated this loan with a 20.0% haircut to the November 2025 appraised value, resulting in a projected loss of approximately $4.6 million or a loss severity of 54.0%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-E and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2026-5C10: DBRS Gives (P)BB(low) Rating on F-RR Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-5C10 (the Certificates) to be issued by Wells Fargo Commercial Mortgage Trust 2026-5C10 (WFCM 2026-5C10): -- Class A-1 at (P) AAA (sf) -- Class A-2 at (P) AAA (sf) -- Class A-3 at (P) AAA (sf) -- Class X-A at (P) AAA (sf) -- Class X-B at (P) A (high) (sf) -- Class A-S at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class C at (P) A (sf) -- Class X-D at (P) BBB (high) (sf) -- Class X-E at (P) BBB (low) (sf) -- Class D at (P) BBB (sf) -- Class E at (P) BB (high) (sf) -- Class F-RR at (P) BB (low) (sf) All trends are Stable. The Class X-D, X-E, D, E, F-RR, G-RR and R Certificates will be privately placed. CREDIT RATING RATIONALE/DESCRIPTION The collateral for the WFCM 2026-5C10 transaction consists of 29 fixed-rate loans secured by 62 commercial and multifamily properties with an aggregate cut-off date balance of $546.3 million. Morningstar DBRS analyzed the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS net cash flow and their respective constants, the Morningstar DBRS weighted-average (WA) Issuance debt service coverage ratio (DSCR) of the pool was 1.46 times (x). Of the 29 loans, 15 loans, representing 41.4% of the pool, exhibited a Morningstar DBRS Issuance DSCR of less than 1.31x, a threshold that typically indicates a higher likelihood of midterm default. Additionally, two loans representing 5.0% of the pool exhibited a Morningstar DBRS Issuance DSCR of less than 1.00x. The pool's Morningstar DBRS WA Issuance loan-to-value ratio (LTV) was 63.6%, and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 63.1% at maturity based on the A note balances. Seven loans, comprising 26.1% of the total pool, exhibit a Morningstar DBRS Issuance LTV above 67.6%, a threshold that typically correlates to an above-average default frequency. The transaction has a sequential-pay pass-through structure. Three loans, representing 11.8% of the pool, are in areas with a Morningstar DBRS Market Rank of 7, which is indicative of dense urban areas that benefit from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Additionally, six loans, comprising 26.5% of the pool, are in areas with Morningstar DBRS Market Ranks of 5 or 6, which are indicative of less dense urban areas and have historically shown lower default frequencies than suburban, tertiary, and rural markets. Ten loans, representing 32.2% of the pool, are in metropolitan statistical area (MSA) Group 3, the best performing group in terms of historical CMBS default rates among the top 25 MSAs. The transaction exhibits generally modest leverage with a Morningstar DBRS WA Issuance LTV of 63.6% and a Morningstar DBRS WA Balloon LTV of 63.1%. Eight loans, representing 27.1% of the pool, have Morningstar DBRS Issuance LTVs below 60.9%; this threshold historically represents relatively low-leverage financing and generally is associated with below-average default frequency. Seven loans, representing 26.1% of the pool, have Morningstar DBRS Issuance LTVs above 67.6%, but only one loan comprising 1.8% of the pool has a Morningstar DBRS Issuance LTV above 75.7%, a threshold that has historically correlated with the highest rate of default. Additionally, The Morningstar DBRS WA DSCR of 1.45x is reasonable for a conduit transaction, particularly when compared with the current interest rate environment where DSCRs have been severely constrained after debt service payments have nearly doubled since mid-2022. The 29 loan pool results in a Herfindahl (Herf) score of 17.6, with the top 10 loans representing 67.9% of the transaction by cut-off date trust balance and the largest loan representing 9.2% of the cut-off date trust balance. The Herf score for the subject transaction is relatively in line with recent conduit transactions rated by Morningstar DBRS this year, such as BANK5 2026-5YR22 (17.4), BANK5 2026-5YR21 (18.0), and Wells Fargo Commercial Mortgage Trust 2026-5C8 (18.0), but these are all substantially lower what conduit transactions have historically reflected. In 2025, Morningstar DBRS rated BANK5 2025-5YR19 and BANK5 2025-5YR17, both of which represented a Herf score of 24.1. Twenty-seven loans, representing 97.3% of the pool balance, are being used to refinance existing debt, a higher concentration than seen in most of the recent multi-borrower conduits rated by Morningstar DBRS. Morningstar DBRS views loans that refinance existing debt as more credit negative compared with loans that finance an acquisition. Acquisition financing typically includes a meaningful cash investment from the sponsor, which aligns its interests more closely with the lenders, whereas refinance transactions may be cash neutral or cash-out transactions, the latter of which may reduce the borrower's commitment to a property. Twenty-five of the 29 loans in the pool, representing 81.3% of the pool balance, have interest-only (IO) payment structures throughout the loan term. Loans with IO payment structures potentially face refinance risk at maturity if the appraised values do not remain stable. The remaining loan amortizes over its full loan term with no periods of IO payments. The pool has a relatively high concentration of loans secured by office and retail properties at twelve loans, comprising 53.4% of the pool. These property types were among the most affected by the coronavirus pandemic and many have yet to return to pre-pandemic performance. Future demand for office space is uncertain because of the post-pandemic growth in remote or hybrid work, resulting in less use and, in some cases, companies downsizing their office footprints. Declining consumer sentiment and spending will continue to affect the retail sector, with many companies closing stores as a result of decreased sales. The transaction includes five loans, representing 29.5% of the pool, that were assigned a Morningstar DBRS Sponsor Strength of Weak or Bad (Litigious). This designation was generally applied to sponsors who had low net worth and liquidity, a recent history of defaults or foreclosures, a complex borrower structure, and/or a lack of commercial real estate experience. There are three loans (16.6% of the pool) with a Weak sponsor and two loans (12.8% of the pool) with a Bad (Litigious) sponsor. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and/or Interest Distribution Amounts of the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Yield Maintenance Charges or Prepayment Premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, X-D, and X-E are IO certificates that reference a single rated tranche or multiple tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. WHITEBOX CLO IV: S&P Assigns BB- (sf) Rating on Class E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt and new class X-R2 debt from Whitebox CLO IV Ltd./Whitebox CLO IV LLC, a CLO managed by Whitebox Capital Management LLC, a subsidiary of Whitebox Advisors LLC, that was originally issued in March 2023 and underwent a refinancing in April 2025. At the same time, S&P withdrew its ratings on the previous class A-1R, B-R, C-R, D-1R, D-2R, and E-R debt following payment in full on the July 2, 2026, refinancing date. The replacement and new debt was issued via a supplemental indenture, which outlines the terms of the replacement and proposed new debt. According to the supplemental indenture: -- The replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt was issued at a lower spread over three-month SOFR than the existing debt. -- The reinvestment period was extended to July 20, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 20, 2039. -- The non-call period was extended to July 2, 2028. -- No additional assets were purchased on the July 2, 2026, refinancing date, and the target initial par amount remains at $400.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2026. -- New class X-R2 debt was issued on the refinancing date. This debt is expected to be paid down using interest proceeds in equal installments of $0.021 million, beginning on the second payment date and ending on the payment date in July 2031. -- 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 Whitebox CLO IV Ltd./Whitebox CLO IV LLC Class X-R2, $4.0 million: AAA (sf) Class A-1-R2, $256.0 million: AAA (sf) Class A-2-R2, $8.0 million: AAA (sf) Class B-R2, $40.0 million: AA (sf) Class C-R2 (deferrable), $24.0 million: A (sf) Class D-1-R2 (deferrable), $24.0 million: BBB- (sf) Class D-2-R2 (deferrable), $2.5 million: BBB- (sf) Class E-R2 (deferrable), $13.5 million: BB- (sf) Ratings Withdrawn Whitebox CLO IV Ltd./Whitebox CLO IV LLC Class A-1R 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 'BB- (sf)' Other Debt Whitebox CLO IV Ltd./Whitebox CLO IV LLC Subordinated notes, $46.0 million: NR NR--Not rated. [] DBRS Review 100 Classes Amid Seven US RMBS Transactions ---------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed 100 classes across seven U.S. residential mortgage-backed securities (RMBS) transactions. Of the seven transactions reviewed, three are classified as reperforming mortgages, one as a securitization of a revolving portfolio of residential transition loans (RTLs), one as a home equity line of credit, one as a small-balance commercial mortgage transactions collateralized by various types of commercial, multifamily rental, and mixed-use properties and one as a agency credit risk transfers. Of the 100 classes reviewed, Morningstar DBRS upgraded its credit ratings on four classes and confirmed its credit ratings on the remaining 96 classes. The Issuers are: FIGRE Trust 2025-HE3 CSMC 2017-FHA1 Trust Ajax Mortgage Loan Trust 2021-E Anchor Mortgage Trust 2025-RTL1 Velocity Commercial Capital Loan Trust 2025-3 Connecticut Avenue Securities Trust 2025-R04 Chase Home Lending Mortgage Trust 2024-RPL3 The Affected Ratings are available at https://tinyurl.com/38m9pkrb CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update" published on March 27, 2026 (https://dbrs.morningstar.com/research/477332). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in US Dollars unless otherwise noted. [] DBRS Reviews 132 Classes From 23 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed 132 classes from 23 U.S. residential mortgage-backed securities (RMBS) transactions. These transactions are classified as non-qualified mortgage (non-QM) and manufactured housing transactions. Of the 129 classes reviewed, Morningstar DBRS upgraded its credit ratings on 66 classes and confirmed its credit ratings on the remaining 66 classes. The Issuers are: CIM Trust 2023-I2 MFA 2022-INV2 Trust MFA 2021-NQM2 Trust MFA 2022-CHM1 Trust PRKCM 2023-AFC2 Trust CHNGE Mortgage Trust 2023-3 Verus Securitization Trust 2021-5 PRPM 2024-NQM2 Trust Arroyo Mortgage Trust 2022-2 CHNGE Mortgage Trust 2022-1 CHNGE Mortgage Trust 2022-2 Imperial Fund Mortgage Trust 2022-NQM1 Imperial Fund Mortgage Trust 2021-NQM4 Imperial Fund Mortgage Trust 2021-NQM3 A&D Mortgage Trust 2024-NQM3 Residential Mortgage Loan Trust 2020-1 Bunker Hill Loan Depositary Trust 2019-2 Deephaven Residential Mortgage Trust 2022-3 Imperial Fund Mortgage Trust 2021-NQM2 Imperial Fund Mortgage Trust 2022-NQM6 Bravo Residential Funding Trust 2021-NQM2 Morgan Stanley Residential Mortgage Loan Trust 2025-NQM4 Towd Point Mortgage Trust 2019-MH1 The Affected Ratings are available at https://tinyurl.com/y4n8nfnv CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The discontinued credit ratings reflect the full repayment of principal to the bondholders The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. [] DBRS Reviews 24 Classes Across 10 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed 24 classes across 10 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 10 transactions reviewed, one is classified as single-family rental, one as a home equity line of credit, and eight as ReREMICs of legacy RMBS. Of the 24 classes reviewed, Morningstar DBRS discontinued its credit ratings on two classes and confirmed its credit ratings on the remaining 22 classes. The Issuers are: - Deutsche ALT-A Securities, Inc. Re-REMIC Trust, Series 2007-RS1 - MASTR Resecuritization Trust 2008-3 - Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS2 - CSMC Series 2013-9R - FIGRE Trust 2023-HE2 - Tricon Residential 2024-SFR2 Trust - Financial Asset Securities Corp. AAA Trust 2005-2 - Citigroup Mortgage Loan Trust 2010-2 - Citigroup Mortgage Loan Trust 2009-11 - CHL Mortgage Pass-Through Trust Resecuritization 2008-3R The Affected Ratings are available at https://tinyurl.com/ykeety2m CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The discontinued credit ratings reflect the full repayment of principal to the bondholders. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in US Dollars unless otherwise noted. [] DBRS Reviews 97 Classes Across 12 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed 97 classes across 12 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed transactions are classified as legacy RMBS. Morningstar DBRS confirmed its credit ratings on all 97 classes. The Issuers are: MASTR Asset Backed Securities Trust 2005-WMC1 C-BASS 2007-SP1 Trust Terwin Mortgage Trust 2004-9HE Terwin Mortgage Trust 2004-7HE Terwin Mortgage Trust 2004-19HE Terwin Mortgage Trust 2004-15ALT Terwin Mortgage Trust 2004-13ALT C-BASS 2007-CB6 Trust C-BASS 2004-CB7 Trust ResMAE Mortgage Loan Trust 2006-1 Securitized Asset-Backed Receivables LLC Trust 2005-EC1 First Franklin Mortgage Loan Trust, Series 2005-FFH2 The Affected Ratings are available at https://tinyurl.com/5n7jxtwc CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. [] DBRS Takes Credit Rating Actions on 30 US RMBS Deals ------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) in early June 2026 reviewed 1154 classes across 30 U.S. residential mortgage-backed securities (RMBS) transactions. The reviewed deals are classified as prime jumbo transactions. Of the 1154 classes reviewed, Morningstar DBRS upgraded its credit ratings on 114 classes and confirmed its credit ratings on the remaining 1040 classes. The Issuers are: OBX 2021-J2 Trust CIM Trust 2019-J1 OBX 2020-EXP3 Trust Flagstar Mortgage Trust 2021-4 Flagstar Mortgage Trust 2018-1 CIM Trust 2019-J2 CIM Trust 2020-J1 Flagstar Mortgage Trust 2021-6INV RATE Mortgage Trust 2025-J2 Flagstar Mortgage Trust 2018-2 Flagstar Mortgage Trust 2018-5 Flagstar Mortgage Trust 2017-1 Flagstar Mortgage Trust 2018-4 Mello Mortgage Capital Acceptance 2021-MTG3 OBX 2018-EXP2 Trust J.P. Morgan Mortgage Trust 2023-4 J.P. Morgan Mortgage Trust 2022-7 J.P. Morgan Mortgage Trust 2023-6 Shellpoint Co-Originator Trust 2015-1 Radian Mortgage Capital Trust 2025-J2 Chase Home Lending Mortgage Trust 2024-7 Chase Home Lending Mortgage Trust 2019-1 Chase Home Lending Mortgage Trust 2024-8 J.P. Morgan Mortgage Trust 2025-CCM3 J.P. Morgan Mortgage Trust 2020-INV2 GS Mortgage-Backed Securities Trust 2020-PJ5 GS Mortgage-Backed Securities Trust 2021-PJ7 GS Mortgage-Backed Securities Trust 2020-PJ4 GS Mortgage-Backed Securities Trust 2025-PJ6 Mello Mortgage Capital Acceptance 2021-INV1 The Affected Ratings are available at https://tinyurl.com/mu5x62sh CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update" published on March 27, 2026 (https://dbrs.morningstar.com/research/477332). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. [] Fitch Affirms Ratings on 3 Mission Lane Trust Series ------------------------------------------------------- Fitch Ratings has affirmed the long-term ratings assigned to the Mission Lane Credit Card Master Trust Notes. The Rating Outlook remains Stable for all rated notes. Available credit enhancement (CE) and performance to date support the affirmation of the rated notes. The Stable Outlook reflects Fitch's expectation that performance and loss multiples will remain supportive of the ratings. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- Mission Lane Credit Card Master Trust, Series 2026-A Class A 60510MCG1 LT AAAsf Affirmed AAAsf Class B 60510MCJ5 LT AAsf Affirmed AAsf Class C 60510MCK2 LT Asf Affirmed Asf Class D 60510MCL0 LT BBBsf Affirmed BBBsf Class E 60510MCM8 LT BBsf Affirmed BBsf Class F 60510MCN6 LT Bsf Affirmed Bsf Mission Lane Credit Card Master Trust, Series 2025-B Class A 60510MBU1 LT AAAsf Affirmed AAAsf Class B 60510MBV9 LT AAsf Affirmed AAsf Class C 60510MBW7 LT Asf Affirmed Asf Class D 60510MBX5 LT BBBsf Affirmed BBBsf Class E 60510MBY3 LT BBsf Affirmed BBsf Class F 60510MBZ0 LT Bsf Affirmed Bsf Mission Lane Credit Card Master Trust, Series 2025-C Class A 60510MCA4 LT AAAsf Affirmed AAAsf Class B 60510MCB2 LT AAsf Affirmed AAsf Class C 60510MCC0 LT Asf Affirmed Asf Class D 60510MCD8 LT BBBsf Affirmed BBBsf Class E 60510MCE6 LT BBsf Affirmed BBsf Class F 60510MCF3 LT Bsf Affirmed Bsf KEY RATING DRIVERS Receivables' Performance and Collateral Characteristics: Underlying collateral characteristics play a vital role in the performance of a credit card ABS transaction. Fitch closely examines such collateral characteristics, including credit quality, seasoning, geographic concentration, delinquencies and utilization rate on credit cards. Trust collateral performance has been normalizing compared to the strength exhibited through the pandemic. As of the June 2026 distribution period, 60+ day delinquencies decreased to 5.47% from 5.87% a year ago, while gross charge-offs ticked up to 16.52% from 15.10% in June 2025. Mission Lane, as a relatively new trust, has experienced some softening in charge-off performance beginning in late 2025. However, the improving 60+ day delinquency trend suggests near-term charge-off pressure may be limited. Gross charge-offs breached Fitch's steady-state assumption in March and April of 2026 before returning below the threshold in the most recent distribution period. Although charge-offs have exhibited a modest upward trend since late 2025, the limited duration of the breach combined with stable-to-improving leading performance indicators does not, at this time, support a revision to the steady-state assumption of 17.00%. Fitch monitors performance on a monthly basis, and negative performance trends caused either by macroeconomic factors or company-led initiatives such as limiting repurchases of accounts seen as high-risk could lead to revaluations of the charge-off steady state. Monthly payment rate (MPR), which includes principal and finance charge collections and measures how quickly credit card holders are paying off their credit card debts, has improved over the past year. The 12-month average MPR as of the June 2026 distribution date was 13.73%, compared to 12.93% one year ago. The improvement in MPR reflects continued payment capacity among the trust's subprime obligors. However, subprime borrowers remain more susceptible to macroeconomic headwinds, including inflationary pressures and potential impacts from ongoing tariff policy on lower-income consumers. Fitch's conservative MPR steady-state assumption of 11.00% accounts for potential compression in payment rates under a stress scenario, consistent with historical subprime performance. The 12-month average gross yield (net of reversals), which is comprised of finance charges, fees, and interchange, as of the June 2026 distribution date was 35.33%, compared to 34.27% one year ago. Gross yield remains elevated relative to prime benchmarks, reflecting the higher finance charge rates and fee income typical of subprime credit card products. As part of its gross yield steady-state analysis, Fitch applies a haircut to interchange to account for potential regulatory or competitive pressures that could compress this component of yield. Fitch has maintained its steady-state gross yield assumption at 29.50%. CE is adequate, with loss multiples in line with the expected ratings and Fitch's applicable criteria. The Stable Rating Outlook on the notes reflects Fitch's expectation that performance will remain supportive of the ratings. Originator and Servicer Quality: Fitch considers the partner banks and Mission Lane to be adequate originators and a servicer, respectively, as evidenced by the historical delinquency and loss performance of the trust receivables. Mission Lane, formerly operated as the credit card division of LendUp Loans LLC prior to its 2018 spinoff as an independent company. It has serviced credit card receivables since 2015, demonstrating extensive experience in credit card origination and operational stability. The availability of a warm backup servicer and the depth of the servicing market further mitigate operational risk. Counterparty Risk: Fitch's ratings of the notes are dependent on the financial strength of certain counterparties. Fitch believes this risk is mitigated by the ratings of the applicable counterparties to the transactions and contractual remedial provisions in the transaction documents that are in line with Fitch's counterparty criteria. Interest Rate Risk: The transaction carries a degree of interest rate mismatch, in line with the market. Interest rate risk is mitigated by the available Credit Enhancement (CE), which comprises of subordination, overcollateralization in the form of the subordinated transferor amount (STA) at 3.00%, and a reserve account. CE supporting class A, B, C, D, E and F notes is 40.60%, 33.85%, 24.35%, 16.45%, 10.30% and 3.50%, respectively. The reserve account will be funded if the three-month average excess spread (XS) percentage falls to or below 4.00% and will not be funded at close. Steady State: - Annualized Chargeoffs: 17.00%; - MPR: 11.00%; - Annualized Gross Yield: 29.50%; - Purchase Rate: 100.00%. Rating Case Assumptions for class A, B and C notes: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Chargeoffs (multiple): 3.50x/3.00x/2.25x/1.75x/1.50x/1.10x; - MPR (haircut): 40.00%/35.00%/30.00%/25.00%/15.00%/7.50%; - Yield (haircut): 35.00%/30.00%/25.00%/20.00%/15.00%/10.00%; - Purchase Rate (haircut): 100.00%/100.00%/100.00%/100.00%/100.00%/100.00%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased chargeoff rate: Ratings for class A, B, C, D, E and F notes (steady state: 17.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Increase steady state by 25%: 'AA+sf'/'AA-sf'/'BBB+sf'/'BB+sf'/'BB-sf'/below 'Bsf'; - Increase steady state by 50%: 'AA-sf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'/below 'Bsf'; - Increase steady state by 75%: 'A+sf'/'A-sf'/'BB+sf'/'B+sf'/below 'Bsf' /below 'Bsf'. Rating sensitivity to reduced MPR: Ratings for class A, B, C, D, E and F notes (steady state: 11.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 15%: 'AA+sf'/'AA-sf'/'BBB+sf'/'BBB-sf'/'BB-sf'/below 'Bsf'; - Reduce steady state by 25%: 'AA-sf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'/below 'Bsf'; - Reduce steady state by 35%: 'A+sf'/'A-sf'/'BB+sf'/'BB-sf'/ 'Bsf'/below 'Bsf'. Rating sensitivity to reduced purchase rate: Ratings for class A, B, C, D, E and F notes (100% base assumption): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 50%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 75%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 100%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'. Rating sensitivity to reduced gross yield: Ratings for class A, B, C, D, E and F notes (steady state: 29.50%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduce steady state by 15%: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB-sf'/below 'Bsf'; - Reduce steady state by 25%: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'B+sf'/below 'Bsf'; - Reduce steady state by 35%:'AA+sf'/'AA-sf'/'BBB+sf'/'BB+sf'/'Bsf'/below 'Bsf'. Rating sensitivity to increased charge-off rate and reduced MPR: - Ratings for class A, B, C, D, E and F notes (chargeoff steady state: 17.00%; MPR steady state: 11.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Increase chargeoff steady state by 25% and reduce MPR steady state by 15%: 'AA-sf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'/below 'Bsf'; - Increase chargeoff steady state by 50% and reduce MPR steady state by 25%: 'A-sf'/'BBBsf'/'BBsf'/'Bsf'/below 'Bsf'/below 'Bsf'; - Increase chargeoff steady state by 75% and reduce MPR steady state by 35%: 'BBB-sf'/'BBsf'/'Bsf'/below 'Bsf'/below 'Bsf'/below 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity to reduced chargeoff rate: Expected ratings for class A, B, C, D, E and F notes (chargeoff steady state: 17.00%): 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' '; - Reduce steady state by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Moody's Takes Action on 6 Bonds from 4 US RMBS Deals ------------------------------------------------------- Moody's Ratings has upgraded the ratings of five bonds and downgraded the rating of one bond from four US residential mortgage-backed transactions (RMBS), backed by option ARM and subprime mortgages issued by multiple issuers. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=jagsGw 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: RASC Series 2005-KS5 Trust Cl. M-7, Upgraded to Aaa (sf); previously on Apr 28, 2025 Upgraded to A1 (sf) Cl. M-8, Upgraded to Caa3 (sf); previously on Apr 28, 2025 Upgraded to Ca (sf) Issuer: Saxon Asset Securities Trust 2006-2 Cl. M-1, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B1 (sf) Issuer: Structured Asset Investment Loan Trust 2006-3 Cl. A2, Upgraded to A1 (sf); previously on Feb 13, 2025 Upgraded to A3 (sf) Issuer: Structured Asset Securities Corp 2006-W1 Cl. A1, Upgraded to Aa1 (sf); previously on Sep 5, 2025 Upgraded to A1 (sf) Cl. A5, Upgraded to Aa2 (sf); previously on Sep 5, 2025 Upgraded to A1 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation on the bonds. Some of the bonds experiencing a rating change have either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating downgrade of Class M-1 issued by Saxon Asset Securities Trust 2006-2 is due to outstanding credit interest shortfalls on the bond that are not expected to be recouped. This bond has weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. The size and length of the outstanding interest shortfalls were considered in Moody's analysis. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The credit enhancement over the past 12 months has grown, on average, 1.12x for these bonds. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 4 Bonds from 2 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of four bonds from two US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: New Century Home Equity Loan Trust 2006-2 Cl. A-2c, Upgraded to Baa1 (sf); previously on Nov 12, 2024 Upgraded to Ba2 (sf) Cl. M-1, Upgraded to Ca (sf); previously on Mar 13, 2009 Downgraded to C (sf) Issuer: SG Mortgage Securities Trust 2006-OPT2 Cl. A-2, Upgraded to Baa1 (sf); previously on Jan 8, 2025 Upgraded to Ba1 (sf) Cl. A-3C, Upgraded to Ba3 (sf); previously on Jan 8, 2025 Upgraded to B2 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rest of the rating upgrades, for bonds that have not or are not expected to take a loss, are a result of the improving performance of the related pools, and/or an increase in credit enhancement available to the bonds. The credit enhancement over the past 12 months has grown, on average, 1.09x for these bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. 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