260719.mbx

260719.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 19, 2026, Vol. 30, No. 200 Headlines 720 EAST V: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes A&D MORTGAGE 2026-NQM5: Fitch Rates Class B1 Certs 'BB(EXP)sf' AFFIRM MASTER 2026-3: Fitch Assigns 'BB(EXP)' Rating on E Notes AIMCO CLO 16: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes AMUR EQUIPMENT 2026-1: Moody's Assigns (P)Ba3 Rating to Cl. E Notes AMUR EQUIPMENT XVI: Fitch Assigns 'BB(EXP)sf' Rating on Cl. E Notes ANCHORAGE CAPITAL 32: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ANNISA CLO: Moody's Cuts Rating on $20MM Class E-RR Notes to B1 ANTARES CLO 2019-2:S&P Assigns Prelim BB-(sf) Rating on E-R2 Notes ARES LOAN VI: Fitch Assigns 'BB-sf' Rating on Class E-R Notes BANK 2019-BNK18: Fitch Affirms 'CCCsf' Rating on Two Tranches BANK5 2026-5YR23: Fitch Assigns 'B-sf' Rating on Two Tranches BAYVIEW OPPORTUNITY 2026-1: Fitch Rates Five Tranches 'Bsf' BRIDGE STREET I: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes BRIDGECREST LENDING 2026-3: S&P Assigns (P) BB- Rating on E Notes BVNQM TRUST 2026-A: Moody's Assigns B2 Rating to Cl. B5 Certs BX TRUST 2026-ORBT: Fitch Assigns 'B-sf' Rating on Class HRR Certs CANYON CLO 2022-1: S&P Lowers Class E Notes Rating to 'B+ (sf)' CARLYLE US 2017-2: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes CARLYLE US 2024-3: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Notes CHASE HOME 2026-HYB1: Fitch Assigns B(EXP)sf Rating on Cl. B5 Certs CIFC FUNDING 2022-I: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes CIFC FUNDING 2026-II: Fitch Assigns 'BB-sf' Rating on Class E Notes CITIGROUP 2020-420K: DBRS Confirms BB(high) Rating on HRR Certs CITIGROUP COMMERCIAL 2026-MFAM1: Fitch Rates G-RR Certs 'B-(EXP)sf' CITIGROUP MORTGAGE 2007-SHL1: Moody's Ups M-1 Certs Rating to Caa2 CITIGROUP MORTGAGE 2026-LTV1: Fitch Rates Class B-2 Certs 'B-sf' COREVEST AMERICAN 2026-1: DBRS Gives (P)B(low) Rating on G Certs DIAMETER CAPITAL 14: S&P Assigns BB- (sf) Rating on Class E Notes DRYDEN 41 SENIOR: Moody's Affirms B1 Rating on $25.3MM E-R Notes DRYDEN 80: S&P Lowers Class E-R Notes Rating to 'B+ (sf)' DWIGHT 2026-FL2: Fitch Assigns 'B-sf' Rating on Three Tranches FIRSTLIGHT 2026-1: Fitch Assigns BB-sf Rating on Cl. C Notes FORTRESS CREDIT XXV: S&P Assigns BB- (sf) Rating on Cl. E-R Notes HARVEST US 2026-2: Fitch Assigns 'BB-sf' Rating on Class E Notes HILDENE TRUPS P19C: Moody's Ups Rating on $15MM B Notes From Ba1 HPS PRIVATE 2024-2: S&P Assigns Prelim BB-(sf) Rating on E-R Notes LCM 29: S&P Lowers Class E-R Notes Rating to 'B- (sf)' LCM 32: S&P Lowers Class E Notes Rating to 'B (sf)' MADISON PARK LVIII: Fitch Affirms 'BBsf' Rating on Class E Notes MARKET STREET III: Fitch Assigns 'BB-sf' Rating on Class E Notes MCF CLO VIII: S&P Assigns BB- (sf) Rating on Class E-RR Notes MERRILL LYNCH 2007-4: Moody's Cuts Rating on Class 1-A Debt to B1 MORGAN STANLEY 2019-PLND: DBRS Confirms Csf Rating on 8 Tranches MORGAN STANLEY 2026-NQM8: S&P Assigns (P) 'B' Rating on B-2 Certs NAVESINK CLO 1: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes NEW RESIDENTIAL 2026-RPL1: Fitch Rates Class B2 Notes 'B(EXP)sf' OBX 2026-AHC3: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs OCP CLO 2022-25: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes OHA CREDIT 18-R: Fitch Assigns 'BB-sf' Rating on Class E Notes PMT LOAN 2025-INV9: Moody's Upgrades Rating on Cl. B-5 Certs to B2 PMT LOAN 2026-J4: Moody's Assigns B3 Rating to Cl. B-5 Certs PREFERRED TERM XIX: Moody's Ups Rating on $82.8MM C Notes From Ba1 PRET 2026-RPL3: Moody's Assigns B2 Rating to Cl. B-2 Certs PROVIDENT FUNDING 2025-4: Moody's Ups Rating on B-4 Certs to Ba1 PROVIDENT FUNDING 2026-3: Moody's Assigns (P)B2 Rating to B-5 Certs PRPM 2026-R1: Fitch Assigns 'B-(EXP)sf' Rating on Class B2 Notes RCKT MORTGAGE 2026-CES7: Fitch Gives 'B(EXP)' Rating on 5 Tranches RIN XV LLC: Moody's Assigns Ba3 Rating to $8MM Class E Notes ROCKFORD TOWER 2024-1: Fitch Assigns BB-sf Rating on Cl. E-R Notes SANTANDER MORTGAGE 2026-NQMS1: Fitch Rates Class B2 Notes 'Bsf' SEQUOIA MORTGAGE 2026-9: Fitch Rates Class B5 Certs 'B(EXP)sf' SG RESIDENTIAL 2026-5: S&P Assigns (P) B- (sf) Rating on B-2 Certs SIERRA TIMESHARE 2026-2: Fitch Rates Class D Notes 'BB-(EXP)sf' SOUND POINT II: S&P Lowers Class B2-R Notes Rating to 'CCC+ (sf)' SOUND POINT VIII-R: Moody's Cuts Rating on $29MM E Notes to Caa3 SYMPHONY CLO 44: Fitch Assigns 'BB-sf' Rating on Class E Notes SYMPHONY CLO 54: S&P Assigns BB- (sf) Rating on Class E Notes TRUPS FINANCIALS 2026-3: Moody's Assigns Ba1 Rating to Cl. D Notes VENTURE 42: S&P Affirms B (sf) Rating on Class E Notes VEROS AUTO 2026-2: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes WSTN TRUST 2023-MAUI: DBRS Confirms BBsf Rating on Class HRR Certs ZAIS CLO 3: Moody's Lowers Rating on $20MM Class D-R Notes to C [] Fitch Affirms BB Rating on 2 GreenSky Home Improvement Issuers [] Moody's Upgrades Ratings on 22 Bonds From 14 US RMBS Deals [] Moody's Upgrades Ratings on 86 Bonds from 12 US RMBS Deals ********* 720 EAST V: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-1L-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X debt from 720 East CLO V Ltd./720 East CLO V LLC, a CLO managed by Northwestern Mutual Investment Management Co. LLC. that was originally issued in June 2024. The preliminary ratings are based on information as of July 15, 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-1, A-1L, A-1N, A-2, B, C, D, and E debt and assign ratings to the replacement class A-1-R, A-1L-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new 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 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, except for the class A-1-R and A-1L-R debt, the maturity of which will be extended to July 20, 2038. -- New class X debt will be issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during ten payment dates in equal installments of $200,000, beginning with the first payment date. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned 720 East CLO V Ltd./720 East CLO V LLC Class X, $2.00 million: AAA (sf) Class A-1-R, $143.00 million: AAA (sf) Class A-1L-R, $145.00 million: AAA (sf) Class A-2-R, $15.75 million: AAA (sf) Class B-R, $38.25 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-1-R (deferrable), $24.75 million: BBB (sf) Class D-2-R (deferrable), $6.75 million: BBB- (sf) Class E-R (deferrable), $13.50 million: BB- (sf) Subordinated notes, $39.70 million: NR A&D MORTGAGE 2026-NQM5: Fitch Rates Class B1 Certs 'BB(EXP)sf' -------------------------------------------------------------- Fitch Ratings has assigned expected ratings to A&D Mortgage Trust 2026-NQM5 (ADMT 2026-NQM5). Entity/Debt Rating ----------- ------ ADMT 2026-NQM5 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT NR(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 1,008 loans with a balance of $432,396,211 as of the cutoff date. This represents the 20th Fitch-rated ADMT transaction and the third Fitch-rated ADMT transaction of 2026. The transaction is expected to close on July 15, 2026. The certificates are secured by mortgage loans, originated mainly by A&D Mortgage LLC (A&D) (80.04%), with the remainder originated by various third-party entities, each contributing less than 10%. Fitch considers ADMT to be an 'Acceptable' originator. The servicer of the loans is A&D (RPS3/Stable). The master servicer is Rocket Mortgage LLC (RMS1-/Stable). Of the loans, 44.9% are exempted mortgage loans that were not subject to the ability-to-repay rule, 28.5% are safe harbor QM loans, 24.3% are designated as nonqualified mortgage (non-QM) loans and 2.3% are qualified mortgage rebuttable presumption loans. The class A-1A, A-1B, A-1FCF, A-1LCF, A-2, A-3 and M-1 certificates are fixed rate and capped at the net weighted average coupon (WAC) and have a step-up feature. The class B-1 certificate rate will be determined at pricing based on the lower of a fixed rate or the net WAC rate for the related distribution date. The class B-2 and B-3 coupons will be based on the net WAC. Fitch was not asked to rate the B-2 or B-3 classes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess credit risk and expected losses. The pool consists of 1,008 performing, fixed-rate and adjustable rate loans fully amortizing loans, some of which have interest-only periods. It is secured by loans on primarily one- to four-family residential properties, including attached and detached single family homes, planned unit developments, condos/condotels, townhouses, manufactured housing, mixed-use properties, five- to 10-unit multi-family properties, and two- to four-unit multi-family properties, totaling $432,396,211.82 The majority of the loans are first liens (96.8%), while the remaining 3.2% are second liens. The loans are exempt from QM, Safe Harbor QM, Rebuttable presumption QM or non-QM loans, with the majority of the loans underwritten using 12-24 months of bank statements or DSCR underwriting guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned at an average of two months. The pool has a weighted average (WA) original FICO score of 748 and a debt-to-income ratio (DTI) of 35.6%, which are indicative of high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 69.10%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 77.4%. These strong collateral attributes are referenced in its analysis. This transaction has a final probability of default of 40.73% in the 'AAA' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 44.27%. The expected loss in the 'AAAsf' rating stress is 18.03%. Structural Analysis (Mixed): ADMT 2026-NQM5 has a modified sequential structure with limited advancing of delinquent principal and interest (P&I). The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to classes first to the A-1A, A-1B, A-1FCF, A-1LCF, and then A-2 and A-3 until they are reduced to zero. The class A certificates have a step-up coupon feature whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000%, and (ii) the net WAC rate. This step-up feature will occur on or after the distribution date in July 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 classes on and after July 2030. Specifically, on any distribution date occurring on or after the distribution date in July 2030 on which the aggregate unpaid cap carryover amount for class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1A, A-1B, A-1FCF and A-1LCF certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 and M-1 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after July 2030, since classes A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent P&I. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. Losses are allocated reverse sequentially starting with B-3. Once the A-2 class is written off, losses will be allocated pro rata to the A-1LCF and A-1FCF on the one hand and to the A-1A and A-1B on the other. The A-1LCF and A-1FCF will take their share of losses pro rata and the A-1A and A-1B share of losses will be allocated to A-1B first and then to A-1A once A-1B is written off. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review firm and have a final grade of either A or B. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects the transaction to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to this transaction and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity 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 10.52 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 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 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 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 engaged Maxwell, Mission, and Opus. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis and, as a result, did not make any negative adjustments to its analysis due to no material due diligence findings. Based on the results of the 100% due diligence performed on the pool with no material findings, the pool received a credit. Fitch applies a 5-bp reduction to loans fully reviewed by a third-party review firm that have a final grade of either A or B and have no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Mission, Maxwell, and Opus to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors, such as having liquid reserves or a FICO score above guideline requirements or LTV or DTI ratios lower than the guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data to support the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. AFFIRM MASTER 2026-3: Fitch Assigns 'BB(EXP)' Rating on E Notes --------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the Affirm Master Trust Series 2026-3 notes issued by Affirm Master Trust (AFRMT). Entity/Debt Rating ----------- ------ Affirm Master Trust Series 2026-3 A LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating RR LT NR(EXP)sf Expected Rating Transaction Summary Series 2026-3 is the sixth point-of-sale consumer loan ABS issuance from AFRMT. The series is backed by a revolving pool of fixed-rate or zero-coupon fully amortizing point-of-sale unsecured consumer loans originated by certain third-party or affiliated originators and sold to Affirm, Inc. (Affirm). Affirm is the sponsor of the transaction. AFRMT 2026-3 is Affirm's 26th capital markets securitization trust and the eleventh to be rated by Fitch. KEY RATING DRIVERS Consistent Collateral Quality: The weighted average (WA) FICO for AFRMT 2026-3 is 671, the lowest among the master trust transactions as well as all prior AFFRM revolving ABS trusts except for AFFRM 2022-A, which had a WA FICO score of 668. The pool consists of 36.3% Affirm Grade A loans, which historically have produced the lowest defaults. Affirm Grade E loans, which have historically produced the highest defaults, make up the smallest proportion of the pool at only 0.6% of AFRMT 2026-3. Of the pool, 83.3% of loans are interest-bearing. The WA contract rate excluding noninterest-bearing loans is 29.6%, consistent with 2026-2. In addition, Affirm's core installment loan product represents the vast majority of the AFRMT 2026-3 pool at 96.9%, while split pay receivables comprise the remaining 3.1%. Limited by Stable Performance Trends: Affirm tightened its underwriting through 2022 and 2023 in response to the 2022 vintage experiencing elevated defaults amid broader credit exposure and macroeconomic pressures. This tightening contributed to improved performance in the 2023 vintage. Early 2024 data showed a modest uptick in defaults, primarily driven by higher first payment defaults, followed by stabilization in 2H24, with early 2025 data indicating signs of continued improvement. Fitch's default assumption for the pool as of the statistical calculation date is 4.04%. However, a base case default assumption of 4.64% was assigned to the worst-case portfolio to account for the two-year revolving nature of the pool and is used in the analysis until the revolving period is finished. The 4.64% base case assumption is consistent with the 4.6% assigned to 2026-2. The base case assumption is an expected case reflecting near-term economic conditions and expectations for additional cooling of the U.S. labor market. The base case default assumption was established utilizing Affirm's internal loan grades. Origination volumes were much lower during a relatively benign economic environment prior to 2021. Although all performance history was considered in the analysis, Fitch used the 2023 and 2024 vintages as relevant comparative years to derive a gross default assumption. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 24.14%, 17.99%, 12.14%, 8.44% and 3.74% of the adjusted pool balance for class A, B, C, D and E notes, respectively. Fitch tested the initial CE under stressed cash flow assumptions for all classes and found that the classes pass all stresses at the rating level assigned to the respective class of notes. Fitch applied a 'AAAsf' rating stress of 5.50x to the base case default rate for the AFRMT 2026-3 transaction, similar to 2026-2 but down from a 5.75x multiple for the prior series in the master trust. The default multiple reflects a combination of factors including the absolute value of the default assumption, the length of default performance history, recent performance data that show stabilization and continue to track closely to expectations, and the length of the revolving period, which exposes the trust to the potential for performance degradation due to negative pool migration. The stress multiples decrease for lower rating levels according to the median/higher prescribed multiples described in Fitch's "Consumer ABS Rating Criteria." Assurance for True Lender Status for Partner Bank-Loan Origination: Affirm's securitization transactions involve consumer loans originated by Affirm Loan Services LLC and three key partner banks: Cross River Bank, a New Jersey state-chartered commercial bank; Celtic Bank, a Utah state-chartered industrial bank; and Lead Bank, a Missouri state-chartered bank. The banks' true lender status in the context of Affirm's loan acquisition is subject to legal and regulatory uncertainty, especially if the loans' interest rates exceeded those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that Affirm, rather than Cross River Bank, Celtic Bank, Lead Bank or another originating bank partner, is the true lender, loans could be declared unenforceable, void or subject to interest rate reductions and other penalties. This would increase negative rating pressure. For a receivable to be considered eligible for the pool, it may not exceed the civil usury limit of its applicable state. Fitch's analysis and expected ratings reflect a review of the transaction's eligibility criteria for selecting the receivables for AFRMT 2026-3, which reduces exposure to loans with interest rates above usury caps. Fitch also performed an operational risk review and deemed Affirm's compliance, legal and operational capabilities as acceptable to meet consumer protection regulations, along with unique aspects of its loan products, such as overall small balance and short tenor, which Fitch views as helpful. Adequate Servicing Capabilities: Affirm has displayed an acceptable record of servicing consumer loans. Affirm partners with several subservicers to manage customer care and first- and third-party collections. All subservicers are trained with Affirm materials and on Affirm systems and are subject to Affirm policies and procedures. In addition, Nelnet Servicing, LLC is the named backup servicer, which historically has shown an acceptable record of servicing consumer loans to reduce servicing disruption. Fitch considers all servicers to be adequate for this pool of consumer loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption by an additional 10%, 25% and 50% and examining the rating implications. These increases of the base case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. An additional sensitivity run lowering recoveries by 10%, 25% and 50% is also conducted. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of investments under higher than the initial base case default assumptions. Fitch models cash flows with the revised default estimates while holding constant all other modeling assumptions. Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'. Increased default base case by 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BBBsf'/'BB-sf'; Increased default base case by 25%: 'AAsf'/'Asf'/'BBB+sf'/'BB+sf'/'B+sf'; Increased default base case by 50%: 'A+sf'/'A-sf'/'BBB-sf'/'BBsf'/'B-sf'. Increased default base case by 10%/decreased recovery base case by 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BBBsf'/'BB-sf'; Increased default base case by 25%/decreased recovery base case by 25%: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'B+sf'; Increased default base case by 50%/decreased recovery base case by 50%: 'A+sf'/'BBB+sf'/'BBB-sf'/'BBsf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies would lead to increasing CE levels and the potential for upgrades. If defaults are 20% less than the projected base case default rate, the expected ratings for the class C, D and E notes could be upgraded by one category. Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'. Decreased default base case by 20%: 'AAAsf'/'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. AIMCO CLO 16: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AIMCO CLO 16, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- AIMCO CLO 16, Ltd. A-1R2 LT AAAsf New Rating AAA(EXP)sf A-2R2 LT AAAsf New Rating AAA(EXP)sf B-R2 LT AAsf New Rating AA(EXP)sf C-R2 LT Asf New Rating A(EXP)sf D-1R2 LT BBB-sf New Rating BBB-(EXP)sf D-2R2 LT BBB-sf New Rating BBB-(EXP)sf E-R2 LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf 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. Date of Relevant Committee June 30, 2026 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. AMUR EQUIPMENT 2026-1: Moody's Assigns (P)Ba3 Rating to Cl. E Notes ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to the Series 2026-1 notes to be issued by Amur Equipment Finance Receivables XVI LLC (Amur 2026-1). Amur Equipment Finance, Inc. (Amur) will sponsor the securitization, which will be backed by fixed-rate loans and leases secured by construction, industrial, vocational, transportation, manufacturing and franchise equipment. Amur will also be the servicer of the pool to be securitized. Amur 2026-1 will be Amur's sixteenth transaction backed by similar collateral. The complete rating actions are as follows: Issuer: Amur Equipment Finance Receivables XVI LLC, Series 2026-1 Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa2 (sf) Class C Notes, Assigned (P)A2 (sf) Class D Notes, Assigned (P)Baa3 (sf) Class E Notes, Assigned (P)Ba3 (sf) RATINGS RATIONALE The median cumulative net loss expectation for the pool is 4.25% and the loss under an Aaa stress scenario is 28.00%. The ratings are based on the credit quality of the underlying collateral and its expected performance, the historical performance of the managed portfolio and prior securitizations of similar collateral, the experience and expertise of Amur as the originator and servicer of the asset portfolio, the capital structural and the legal and operational aspects of the transaction. In assigning the short-term rating to the Class A-1 Notes, Moody's considered the cash flows the underlying receivables are expected to generate prior to the Class A-1 notes' legal final maturity date. The classes of notes will be paid sequentially. At transaction closing, the Class A, Class B, Class C, Class D, and Class E notes will benefit from 25.40%, 22.30%, 15.50%, 11.70%, and 8.80% of hard credit enhancement, respectively. Initial hard credit enhancement for the notes will consist of (1) subordination (except in the case of the Class E notes), (2) initial over-collateralization of 7.80% that can build to a target of 9.0% of the outstanding adjusted discounted pool balance, and has a floor of 2.00%, and (3) a fully funded, non-declining reserve account of 1.00% of the initial adjusted discounted pool balance. The transaction can also benefit from excess spread. However, similar to the most recent Amur sponsored deal, there is very little excess spread available as the discount rate applied to the underlying contracts is similar to the expected weighted average coupon rate on the notes and the expected servicing fee. The sequential-pay structure and non-declining reserve account will result in a build-up of credit enhancement supporting the rated notes. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the subordinate notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's then current expectations of loss may be better than Moody's original expectations because of lower frequency of default by the underlying obligors or slower depreciation in the value of the equipment securing obligors' promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. This transaction has a sequential pay structure and therefore credit enhancement will grow as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build-up of enhancement. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against current expectations of portfolio losses. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. 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 equipment securing obligors' promise of payment. As the primary drivers of performance, negative changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties and inadequate transaction governance. Additionally, Moody's could downgrade the Class A-1 short term rating following a significant slowdown in principal collections that could result from, among other reasons, high delinquencies or a servicer disruption that impacts obligors' payments. AMUR EQUIPMENT XVI: Fitch Assigns 'BB(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the Amur Equipment Finance Receivables XVI LLC, series 2026-1 (AXIS 2026-1) notes. The transaction is a securitization of mid-ticket commercial equipment leases and loans originated or acquired by Amur Equipment Finance, Inc. (Amur). Entity/Debt Rating ----------- ------ Amur Equipment Finance Receivables XVI (Series 2026-1) A-1 ST F1+(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 LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Collateral Performance: Consistent with prior AXIS transactions, AXIS 2026-1 is focused on transportation, construction, and vocational equipment with a low obligor concentration. A high 94.57% of the pool is collateralized by contracts backed by personal guarantees, with a weighted average FICO score of 739. These have been trending higher and are at the highest level for the platform versus 730 and 725 for 2025-1 and 2024-2, respectively. The largest equipment type exposure decreased to 11.96% in 2026-1 from 19.31% in 2025-1 and shifted to construction heavy equipment from conventional trucks with sleeper cabs. Under Amur's prior equipment type classifications, the largest equipment type in earlier securitizations was long-haul transportation equipment at 27.46% for 2024-1 and 30.78% for 2023-1 (NR). The transaction is exposed to adverse pool selection risk from prefunding and substitution, which can be as high as 20% and 15% of the initial collateral pool, respectively. Improving Performance; Forward-Looking Approach to Derive Rating Case Loss Proxy: Amur's managed static pool continues to demonstrate strong and stable cumulative net loss (CNL) performance, with CNLs tracking well below those of peak recessionary vintages. Fitch utilized the 2006-2008 and 2017-2019 managed portfolio vintages, prior ABS performance, deteriorated performance of 2022-2023 vintages and, given the ability to prefund and substitute collateral, the stressed portfolio mixes to derive the rating case CNL proxy of 4.8%, a decrease from 5.0% for 2025-1. Concentration Risk — Decreasing Transportation Exposure: The pool has a lower exposure to the transportation sector at 22.3% in 2026-1 versus 41.4% for 2025-1. The transportation sector has continued to experience stress in recent years. The top 20 obligors represent 8.44% of the 2026-1 pool versus 5.35% in 2025-1; no obligors represent more than 1.34% of the pool. Initial credit enhancement (CE) to the class A through E notes is adequate to support the default of the top 20, 17, 14, 11 and eight obligors on a net coverage basis at close under Fitch's modeling scenario. Structural Analysis — Sufficient Credit Enhancement: CE for 2026-1 is lower than in 2025-1 and recent transactions, but higher than historical transactions between 2015 and 2020. Total initial hard CE for AXIS 2026-1 class A, B, C, D and E notes is 25.40%, 22.30%, 15.50%, 11.70% and 8.80%, respectively, comprising subordination, a non-declining reserve account funded at 1.00% of the initial adjusted discounted pool balance and initial overcollateralization equal to 7.80% of the initial discounted pool balance. In addition, all classes benefit from 1.05% per annum of excess spread. At a 4.80% rating case CNL proxy, the transaction structure is able to support 5.0x, 4.0x, 3.0x, 2.0x and 1.5x loss multiples for class A, B, C, D and E notes, respectively. Operational and Servicing Risks — Stable Origination, Underwriting and Servicing: Fitch believes Amur has demonstrated adequate abilities as originator, underwriter and servicer, as evidenced by historical delinquency and loss performance of securitized term ABS transactions and the managed portfolio. Fitch's base case CNL expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 2.50%. This is based on Fitch's economic outlook and projections and does not include the impact of the stressed portfolio mix from potential adverse pool selection under prefunding and substitution, resulting in a significant gap between the rating case net loss proxy and the base case expectation. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels higher than the rating case and would likely result in declines in CE and the remaining net loss coverage levels available to the notes. In addition, unanticipated declines in recoveries could result in a decline in net loss coverage. Decreased net loss coverage may make certain note ratings susceptible to negative rating action, depending on the extent of the decline in coverage. Fitch conducted sensitivity analyses by stressing the transaction's initial rating case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category to non-investment grade (BBsf) and to 'CCCsf', based on the breakeven loss coverage provided by the CE supporting the notes. In addition, Fitch increased the CNL proxy by 1.5x and 2.0x, representing moderate and severe stresses, respectively. Fitch also evaluated the impact of stressed recovery rates on an equipment ABS structure and rating impact with a 50% haircut. These analyses are intended to indicate the rating sensitivity of notes to unexpected deterioration of a transaction's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies and defaults, would increase CE levels and possibly lead to an upgrade. If CNL is 20% less than the projected proxy, the expected ratings could be maintained for class A and D notes and upgraded by one rating category for each of the class B, C and E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche. The third-party due diligence described in Form 15E compared or re-computed certain information with respect to 150 equipment contracts from the statistical asset pool for the transaction. 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. ANCHORAGE CAPITAL 32: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Anchorage Capital CLO 32, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Anchorage Capital CLO 32, Ltd. X-R LT NRsf New Rating A-1R LT NRsf New Rating A-1 Loans LT NRsf New Rating A-2R LT AAAsf New Rating B 03333MAC7 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 03333MAE3 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 03333MAG8 LT PIFsf Paid In Full BBB-sf D-1R LT BBBsf New Rating D-2R LT BBB-sf New Rating E 03329HAA8 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Anchorage Capital CLO 32, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Anchorage Collateral Management, L.L.C. The transaction originally closed in June 2025. On July 9, 2026, all existing secured notes will be redeemed in full, using net proceeds from the issuance of the new secured notes. Together with the existing subordinated notes, the transaction 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.34, 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 95.94% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.9% 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 9% 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-2R, 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-1R, between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'A+sf' for class D-2R 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 Anchorage Capital CLO 32, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ANNISA CLO: Moody's Cuts Rating on $20MM Class E-RR Notes to B1 --------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Annisa CLO, Ltd.: US$24M Class D-RR Deferrable Mezzanine Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Feb 18, 2026 Upgraded to Aa2 (sf) US$20M Class E-RR Deferrable Junior Secured Floating Rate Notes, Downgraded to B1 (sf); previously on Feb 18, 2026 Affirmed Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$50M (Current outstanding amount US$15,212,407) Class B-RR Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 18, 2026 Affirmed Aaa (sf) US$18M Class C-RR Deferrable Mezzanine Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 18, 2026 Affirmed Aaa (sf) Annisa CLO, Ltd., originally issued in August 2016, and refinanced in July 2018 and July 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Invesco RR Fund L.P. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating upgrade on the Class D-RR notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in February 2026. The rating downgrade on the Class E-RR is primarily a result of the deterioration in over-collateralisation rations since February 2026. The affirmations on the ratings on the Class B-RR and Class C-RR 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 over-collateralisation ratios of the Class E-RR notes have deteriorated since the rating action in February 2026. According to the trustee report dated June 2026[1] the Class E-RR OC ratios are reported at 104.40% compared to January 2026[2] level of 106.92%. At the same time, the Class B-RR notes have paid down by approximately USD15.8 million (31.6%) since the last rating action in February 2026 and USD34.8 million (69.6%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for Class D-RR. According to the trustee report dated June 2026[1] the Class D-RR OC ratios are reported at 140.90% compared to January 2026[2] levels of 128.36%. 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: USD81.8m Defaulted Securities: 0 Diversity Score: 28 Weighted Average Rating Factor (WARF): 3214 Weighted Average Life (WAL): 2.7 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.2% Weighted Average Recovery Rate (WARR): 46.5% 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. 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. 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. ANTARES CLO 2019-2:S&P Assigns Prelim BB-(sf) Rating on E-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-R2, and E-R2 debt from Antares CLO 2019-2 Ltd./Antares CLO 2019-2 LLC, a CLO that was originally issued in January 2020 and underwent a refinancing in 2024. The preliminary ratings are based on information as of July 15, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 16, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing debt and assign ratings to the replacement 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-R2, A-2-R2, B-R2, C-R2, D-R2, and E-R2 debt is expected to be issued at a lower spread over three-month CME term SOFR than the existing debt. -- The stated maturity, reinvestment period, non-call period, and weighted average life test dates will be extended by 2.5 years. -- The non-call period will be extended to July 16, 2028. -- The reinvestment period will be extended to July 23, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 23, 2038. -- No additional assets will be purchased on the July 16, 2026, refinancing date, and the target initial par amount will remain at $450,000,000.00. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 23, 2026. -- The required minimum interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Antares CLO 2019-2 Ltd./Antares CLO 2019-2 LLC Class A-1-R2, $261.00 million: AAA (sf) Class A-2-R2, $18.00 million: AAA (sf) Class B-R2, $33.75 million: AA (sf) Class C-R2 (deferrable), $31.50 million: A (sf) Class D-R2 (deferrable), $24.75 million: BBB- (sf) Class E-R2 (deferrable), $27.00 million: BB- (sf) Other Debt Antares CLO 2019-2 Ltd./Antares CLO 2019-2 LLC Subordinated notes, $48.80 million: NR NR--Not rated. ARES LOAN VI: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares Loan Funding VI, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Ares Loan Funding VI, Ltd. Class A-1 04020TAA2 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating Class A-2 04020TAC8 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating Class B 04020TAE4 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating Class C 04020TAG9 LT PIFsf Paid In Full Asf C-R LT Asf New Rating Class D 04020TAJ3 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating Class E 04020VAA7 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Ares Loan Funding VI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC, and that originally closed on July 2, 2024. This is the first reset where the existing secured notes will be refinanced in whole, 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 22.59 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 96.26% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.73% 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 between 'A-sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BBB-sf' and 'A+sf' for class B-R, between 'BB-sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBBsf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'BBB+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. 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 Ares Loan Funding VI, 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. BANK 2019-BNK18: Fitch Affirms 'CCCsf' Rating on Two Tranches ------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of BANK 2019-BNK18 commercial mortgage pass-through certificates, series 2019-BNK18 (BANK 2019-BNK18). The Rating Outlook was revised to Stable from Negative for two of the affirmed classes. The Rating Outlooks are Negative for seven of the affirmed classes and Stable for five of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- BANK 2019-BNK18 A-2 065402AZ2 LT AAAsf Affirmed AAAsf A-3 065402BB4 LT AAAsf Affirmed AAAsf A-4 065402BC2 LT AAAsf Affirmed AAAsf A-S 065402BF5 LT AAAsf Affirmed AAAsf A-SB 065402BA6 LT AAAsf Affirmed AAAsf B 065402BG3 LT AA-sf Affirmed AA-sf C 065402BH1 LT A-sf Affirmed A-sf D 065402AJ8 LT BBBsf Affirmed BBBsf E 065402AL3 LT BBsf Affirmed BBsf F 065402AN9 LT Bsf Affirmed Bsf G 065402AQ2 LT CCCsf Affirmed CCCsf X-A 065402BD0 LT AAAsf Affirmed AAAsf X-B 065402BE8 LT A-sf Affirmed A-sf X-D 065402AA7 LT BBsf Affirmed BBsf X-F 065402AC3 LT Bsf Affirmed Bsf X-G 065402AE9 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The affirmations reflect generally stable pool performance and loss expectations since the prior rating action. The deal-level 'Bsf' rating case of 5.5% is in line with the rating case loss of 5.4% at Fitch's prior rating action. The transaction has 55 remaining loans, five of which are Fitch Loans of Concern (FLOCs; 12.3% of the pool), with two loans in special servicing (7.0%). The revision of the Outlooks to Stable from Negative on classes A-S and B reflects sufficient credit enhancement and improved loss expectations for the 801 Barton Springs loan (FLOC; 3.5%), which was modified with a maturity extension to May 2028. The Negative Outlooks for classes C, X-B, D, E, X-D, F, and X-F reflect increased loss expectations for the Central Tower loan (FLOC; 6.4%) following the departure of the property's largest tenant in August 2025, which had accounted for 51.8% of the NRA, and the loan's transfer to special servicing in September 2025. The Negative Outlooks also reflect the potential for downgrades due to a lower-than-expected value for Central Tower as well as the pool's concentration of office loans, comprising 57.5% of the pool. Largest Loss Contributors: The largest contributor to overall loss expectations is the specially serviced Central Tower Office loan, which is secured by a 164,848-sf office property located in the Yerba Buena district of San Francisco, CA. The loan transferred to special servicing in September 2025 due to imminent monetary default. The property's former largest tenant, Unity Technologies (previously 51.8% of NRA), vacated upon lease expiry in August 2025. Following the departure of Unity Technologies, occupancy declined to 30.5% from 82.3% as of June 2025. As of YE 2025, occupancy was 34.0%. The loan reported $2.9 million or $17.82 psf in total reserves as of the June 2026 financial reporting. As of 2Q26, submarket asking rents averaged $70.60 psf and submarket vacancy rate was 39.4% according to Costar. Fitch's 'Bsf' ratings case loss of 43.6% (prior to concentration add-ons) is based on a 9.25% cap rate and 30.0% stress to the YE 2024 NOI, and factors in an increased probability of default due to the loan's transfer to special servicing and weak submarket fundamentals. The second largest contributor to overall loss expectations is the 801 Barton Springs loan, which is secured by an 89,577-sf office property located in Austin, TX. The loan transferred to special servicing in May 2024 due to maturity default and was returned to the master servicer in November 2025 after the loan was modified and extended to May 2028. The property is 100% leased to 801 Barton Springs Tenant LLC, a subsidiary of WeWork Companies, Inc., which also controls the sponsorship entity. The loan remains current and reported $3.1 million ($35.12 psf) in total reserves as of the June 2026 loan level reserve report. Per CoStar, the property lies within the South office submarket of the Austin, TX market. As of 2Q26, submarket asking rents averaged $67.46 psf and the submarket vacancy rate was 21.8%. Fitch's 'Bsf' rating case loss of 16.0% (prior to concentration add-ons) is based on a 40% stress to the YE 2024 NOI and reflects a stressed implied value of approximately $224 psf. Change in CE: As of the June 2026 distribution date, the pool's aggregate balance has been reduced by 4.1% to $994.0 million from $1.0 billion at issuance. One loan (0.9% of the pool) has been defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to 'AAAsf' rated classes are not likely due to their high CE, senior position in the capital structure and expected pay off from defeased loans and loans expected to repay at maturity, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. - Downgrades to 'AAsf' and 'Asf' category rated classes could occur should performance of the FLOCs, most notably Central Tower and 801 Barton Springs, deteriorate further or if more loans than expected default at or prior to maturity. - Downgrades to the 'BBBsf', 'BBsf', and 'Bsf' rated classes could occur with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on other FLOCs. - Downgrades to distressed classes would occur if additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, including Central Tower and 801 Barton Springs. - Upgrades to the 'BBBsf' rated class would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to 'BBsf' and 'Bsf' rated classes are not likely and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to distressed classes are not likely but may be possible with better-than-expected recoveries on loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BANK5 2026-5YR23: Fitch Assigns 'B-sf' Rating on Two Tranches ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BANK5 2026-5YR23 commercial mortgage pass -through certificates, series 2026-5YR23 as follows: - $3,800,000 class A-1 'AAAsf'; Outlook Stable; - $215,000,000ab class A-2 'AAAsf'; Outlook Stable; - $0b class A-2-1 'AAAsf'; Outlook Stable; - $0b class A-2-2 'AAAsf'; Outlook Stable; - $0bc class A-2-X1 'AAAsf'; Outlook Stable; - $0bc class A-2-X2 'AAAsf'; Outlook Stable; - $562,102,000ab class A-3 'AAAsf'; Outlook Stable; - $0b class A-3-1 'AAAsf'; Outlook Stable; - $0b class A-3-2 'AAAsf'; Outlook Stable; - $0bc class A-3-X1 'AAAsf'; Outlook Stable; - $0bc class A-3-X2 'AAAsf'; Outlook Stable; - $108,768,000b class A-S 'AAAsf'; Outlook Stable; - $0b class A-S-1 'AAAsf'; Outlook Stable; - $0b class A-S-2 'AAAsf'; Outlook Stable; - $0bc class A-S-X1 'AAAsf'; Outlook Stable; - $0bc class A-S-X2 'AAAsf'; Outlook Stable; - $780,902,000c class X-A 'AAAsf'; Outlook Stable; - $58,568,000b class B 'AA-sf'; Outlook Stable; - $0b class B-1 'AA-sf'; Outlook Stable; - $0b class B-2 'AA-sf'; Outlook Stable; - $0bc class B-X1 'AA-sf'; Outlook Stable; - $0bc class B-X2 'AA-sf'; Outlook Stable; - $43,228,000b class C 'A-sf'; Outlook Stable; - $0b class C-1 'A-sf'; Outlook Stable; - $0b class C-2 'A-sf'; Outlook Stable; - $0bc class C-X1 'A-sf'; Outlook Stable; - $0bc class C-X2 'A-sf'; Outlook Stable; - $210,564,000c class X-B 'A-sf'; Outlook Stable; - $36,257,000d class D 'BBB-sf'; Outlook Stable; - $36,257,000cd class X-D 'BBB-sf'; Outlook Stable; - $20,917,000d class E 'BB-sf'; Outlook Stable; - $20,917,000cd class X-E 'BB-sf'; Outlook Stable; - $15,339,000d class F 'B-sf'; Outlook Stable; - $15,339,000cd class X-F 'B-sf'; Outlook Stable. Fitch does not rate the following classes: - $22,311,000de class G 'NRsf'; - $22,311,000cd class X-G 'NRsf'; - $29,284,541de class H 'NRsf'; - $29,284,541cd class X-H 'NRsf'; - $58,714,449.56de class RR 'NRsf'. (a) Since Fitch published its expected ratings on June 22, 2026, the balances for classes A-2 and A-3 were finalized. The initial certificate balances were expected to be $777,102,000 in aggregate, subject to a 5% variance. The final class balances of classes A-2 and A-3 are $215,000,000 and $562,102,000, respectively. (b) Exchangeable certificates; classes A-2, A-3, A-S, B, and C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding class of exchangeable certificates and vice versa. The dollar denomination of each of the certificates received must equal the dollar denomination of each of the surrendered certificates. (c) Notional amount and interest only. (d) Privately placed pursuant to Rule 144A. (e) Vertical risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 33 loans secured by 167 properties with an aggregate principal balance of $1,174,288,991 as of the cute off date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of America, National Association, Wells Fargo Bank, National Association, Bank of America, National Association, Morgan Stanley Mortgage Capital Holdings LLC and JPMorgan Chase Bank, National Association, which will act as mortgage loan sellers. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association, and the special servicer is Torchlight Loan Services. Trimont LLC is primary servicer, performing duties delegated by the master servicer for certain mortgage loans sold to the depositor by Wells Fargo Bank, National Association, pursuant to a primary servicing agreement with the master servicer. The trustee and certificate administrator are Computershare Trust Company, National Association. BellOak, LLC will be 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 19 loans totaling 85.5% of the pool by balance. Fitch's aggregated pool net cash flow (NCF) of $105,596,416 represents a 12.0% decline from the issuer's underwritten aggregate pool NCF of $119,938,811. Higher Fitch Leverage: The pool's Fitch leverage is higher than that of recent five-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 104.0% is worse than the 2026 YTD five-year multiborrower transaction average of 98.1% and the 2025 five-year multiborrower transaction average of 101.0%. The pool's Fitch NCF debt yield (DY) of 9.0% is worse than the 2026 YTD average of 10.55% and the 2025 average of 9.7%. Investment Grade Credit Opinion Loans: One loan representing 7.7% of the pool received an investment-grade credit opinion on a standalone basis. Mountain Industrial Portfolio received a standalone credit opinion of 'A-sf*'. The pool's total credit opinion percentage is lower than the 2026 YTD and 2025 averages of 11.3% and 10.6%, respectively. Excluding the credit opinions loans, the pool's Fitch LTV and DY are 106.2% and 9.0%, respectively, compared with the equivalent five-year multiborrower 2026 YTD averages of 103.6% and 9.9%, respectively. Property-Type Concentration: The effective property type count is 54.60. The largest three property concentrations are office (32.5%), multifamily (16.3%) and industrial (11.0%). The pool's office concentration is higher than the 2026 YTD five-year multiborrower average of 22.7% and the 2025 five-year multiborrower average of 20.9%. There are two office loans in the top 10 largest loans in the pool which account for 10.5% of the pool. As such, Fitch applied a concentration add-on to account for the higher pool's office property-type concentration. Shorter-Duration Loan: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else being equal. This is mainly attributable to the shorter window of exposure to potential adverse economic conditions. Fitch took into account its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A reduction in cash flow decreases property value and capacity to meet its debt service obligations, which could result in negative ration action. The lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BB-sf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations, which could result in positive rating action. The lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BB+sf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BAYVIEW OPPORTUNITY 2026-1: Fitch Rates Five Tranches 'Bsf' ----------------------------------------------------------- Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by Bayview Opportunity Master Fund VII Trust 2026-CES1 (BVCES 2026-1). Entity/Debt Rating Prior ----------- ------ ----- BVCES 2026-1 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1L LT WDsf Withdrawn AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf A4 LT AAsf New Rating AA(EXP)sf A5 LT Asf New Rating A(EXP)sf A6 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B1A LT BBsf New Rating BB(EXP)sf B1B LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B2A LT Bsf New Rating B(EXP)sf B2B LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf BX1A LT BBsf New Rating BB(EXP)sf BX1B LT BBsf New Rating BB(EXP)sf BX2A LT Bsf New Rating B(EXP)sf BX2B LT Bsf New Rating B(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf R LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 4,383 closed-end second lien (CES) loans with a total balance of approximately $411 million as of the cutoff date. The pool consists of CES mortgages from Rocket Mortgage, LLC. Distributions of principal and interest and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or cover net weighted average coupon (WAC) shortfalls. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the class A-1L loans as they were not funded at closing and are not being offered. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. BVCES 2026-1 has a final probability of default (PD) of 18.4% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 98.2%. The expected loss in the 'AAAsf' rating stress is 18.1%. Structural Analysis: The mortgage cash flow and loss allocation in BVCES 2026-1 are based on a sequential-payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. The approximate 300 bps of excess spread acts as additional credit enhancement to the subordination. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal, first, to repay any current or previously allocated cumulative applied realized losses, and then to repay potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (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 39.3% of the loans in the transaction by loan count. Fitch applies a 5% probability of default reduction for loans fully reviewed by a third-party review (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 BVCES 2026-1 to be fully de-linked and a bankruptcy-remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to BVCES 2026-1, and therefore Fitch is comfortable rating to the highest possible rating of 'AAAsf' without rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch received Form ABS Due Diligence-15E (Form 15E), prepared by SitusAMC and Consolidated Analytics. The third-party due diligence described in Form 15E covered credit, compliance, and property valuation reviews. Fitch considered the results of this review in its analysis and, accordingly, applied an approximately 5% origination PD credit to loans that were fully reviewed by the third-party review firm and assigned a final grade of A or B. Third-party due diligence was performed on 39.3% of the transaction's loans by loan count and all reviewed loans received a grade of A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRIDGE STREET I: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Bridge Street CLO I Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Bridge Street CLO I Ltd. X-RR LT AAAsf New Rating AAA(EXP)sf A-1RR LT AAAsf New Rating AAA(EXP)sf A-2RR LT AAAsf New Rating AAA(EXP)sf B-1RR LT AA+sf New Rating AA+(EXP)sf B-2RR LT AAsf New Rating AA(EXP)sf C-RR LT Asf New Rating A(EXP)sf D-1RR LT BBBsf New Rating BBB(EXP)sf D-2RR LT BBB-sf New Rating BBB-(EXP)sf E-RR LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Bridge Street CLO I Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by FS Structured Products Advisor, LLC. The transaction originally closed in January 2021 and underwent its first refinancing in June 2024. It is scheduled to reset on July 9, 2026. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $350 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.94 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 96.54% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.85% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% 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-RR, between 'BBB+sf' and 'AA+sf' for class A-1RR, between 'BBB+sf' and 'AA+sf' for class A-2RR, between 'BBBsf' and 'AAsf' for class B-1RR, between 'BB+sf' and 'A+sf' for class B-2RR, between 'Bsf' and 'A-sf' for class C-RR, between less than 'B-sf' and 'BBB+sf' for class D-1RR, between less than 'B-sf' and 'BB+sf' for class D-2RR and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to class X-RR, class A-1RR and class A-2RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-1RR, 'AAAsf' for class B-2RR, 'AA+sf' for class C-RR, 'A+sf' for class D-1RR, 'A+sf' for class D-2RR and 'BBB+sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. Date of Relevant Committee 07 July 2026 ESG Considerations Fitch does not provide ESG relevance scores for Bridge Street CLO 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. BRIDGECREST LENDING 2026-3: S&P Assigns (P) BB- Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Bridgecrest Lending Auto Securitization Trust 2026-3's (BLAST 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 15, 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 63.31%, 57.70%, 48.22%, 39.36%, and 35.14% credit support (hard credit enhancement and a haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios. These credit support levels provide at least 2.20x, 2.00x, 1.65x, 1.35x, and 1.20x coverage of S&P's expected cumulative net loss of 28.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.35x S&P's expected loss level), all else being equal, its preliminary 'A-1+ (sf)'/'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be 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 that it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the subprime auto loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the U.S. 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 Bridgecrest Acceptance Corp. as servicer, along with its view of the originator's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- The transaction's payment and legal structures. Preliminary Ratings Assigned(i) Bridgecrest Lending Auto Securitization Trust 2026-2 Class A-1, $79.86 mil. ($96.51 mil. if upsized): A-1+ (sf) Class A-2, $111.49 mil. ($134.72 mil. if upsized): AAA (sf) Class A-3, $111.49 mil. ($134.72 mil. if upsized): AAA (sf) Class B, $68.88 mil. ($83.23 mil. if upsized): AA (sf) Class C, $88.05 mil. ($106.40 mil. if upsized): A (sf) Class D, $88.76 mil. ($107.25 mil. if upsized): BBB (sf) Class E, $51.47 mil. ($62.17 mil. if upsized): BB- (sf) (i)The interest rate and base or upsize amount for each class will be determined on the pricing date. BVNQM TRUST 2026-A: Moody's Assigns B2 Rating to Cl. B5 Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 11 classes of residential mortgage-backed securities (RMBS) issued by BVNQM Trust 2026-A, and sponsored by Bayview Fund Management LLC (Bayview). Bayview will purchase a forward pool of agency-eligible investor loans, high-LTV medical professional loans, prime jumbo loans, non-QM debt service coverage ratio (DSCR) loans and non-QM bank statement loans over a 11.7-months prefunding period using noteholder commitments. The loans will be originated by various lending institutions and Bayview will select them for purchase by the Issuer during the prefunding period. Rocket Mortgage, LLC d/b/a Rushmore Servicing will service the loans, US Bank Trust Company, National Association will act as indenture trustee and paying agent, and Computershare Trust Company, N.A. will act as custodian for the loan documents. The complete rating actions are as follows: Issuer: BVNQM Trust 2026-A Cl. A1, Assigned Aaa (sf) Cl. A2, Assigned Aa1 (sf) Cl. A3, Assigned Aaa (sf) Cl. AE1, Assigned Aaa (sf) Cl. AE2, Assigned Aa1 (sf) Cl. AE3, Assigned Aaa (sf) Cl. B1, Assigned Aa1 (sf) Cl. B2, Assigned Aa2 (sf) Cl. B3, Assigned A1 (sf) Cl. B4, Assigned Baa3 (sf) Cl. B5, Assigned B2 (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 2.27%, in a baseline scenario-median is 3.09 % and reaches 26.85% 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. BX TRUST 2026-ORBT: Fitch Assigns 'B-sf' Rating on Class HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Rating Outlooks to BX Trust 2026-ORBT, commercial mortgage pass-through certificates, series 2026-ORBT: - $670,200,000 class A 'AAAsf'; Outlook Stable; - $90,900,000 class B 'AAsf'; Outlook Stable; - $108,800,000 class C 'Asf'; Outlook Stable; - $179,000,000 class D 'BBB-sf'; Outlook Stable; - $195,400,000 class E 'BB-sf'; Outlook Stable; - $114,200,000 class F 'Bsf'; Outlook Stable; - $71,500,000 class HRR 'B-sf'; Outlook Stable. Transaction Summary The certificates represent the beneficial ownership interest in a trust that holds a $1.43 billion, two-year, floating-rate, interest-only mortgage loan, subject to three one-year extension options. The loan is secured by a first mortgage lien against the borrower's fee simple and leasehold interests in a portfolio of 84 properties, including 79 industrial facilities (98.0% of NRA), three office properties (2.0%) and two excess land parcels, comprising approximately 13.1 million sf located across 12 states and 12 markets. Mortgage loan proceeds are being used to refinance approximately $805.0 million of existing debt, pay $38.3 million in closing costs and return approximately $515.3 million in equity to the borrower. The loan is co-originated by German American Capital Corporation, Natixis Real Estate Capital LLC, Royal Bank of Canada and Bank of America, N.A. KeyBank National Association is the servicer and the special servicer. Computershare Trust Company, National Association is the trustee and certificate administrator. The certificates will follow a pro-rata paydown with respect to prepayments of up to 30% of the initial loan balance and a standard senior-sequential paydown thereafter. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is estimated at $89.5 million. This is 9.2% lower than the issuer's NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of $1.23 billion. Leasehold Exposure: The loan is secured by 84 properties, including the leasehold interests in seven properties. Of the total leasehold interests, four feature ground lease maturity dates within 15 years of loan maturity. To account for ground lease expiration risk, Fitch fully excluded all revenue and expenses attributable to these four properties in its cash flow analysis. The remaining three leasehold properties feature ground lease maturity dates 25 years beyond the fully extended loan maturity date. To account for ground lease expiration risk, Fitch calculated the shortfall between the net present value of these three properties against its standard Fitch value and adjusted the Fitch NCF downward by $170,681. High Fitch Leverage: The $1.43 billion trust loan equates to debt of $109 psf with a Fitch stressed debt service coverage ratio of 0.76x, a loan-to-value ratio of 115.9% and a debt yield of 6.3%. The loan represents about 74.1% of the appraiser-concluded portfolio value of $1.93 billion and 76.2% of the aggregate as-is appraised value of the individual properties of $1.88 billion. Geographic Diversity: The portfolio is well diversified, with 84 properties (13.1 million sf) located across 12 states and 12 markets. The three largest state concentrations by size are Florida (2.7 million sf; 20 properties), Pennsylvania (2.3 million sf; seven properties) and Virginia (1.3 million sf; 13 properties). The three largest markets by allocated loan amount are Central Florida (20.5% of NRA; 24.2% of allocated loan amount [ALA]), PA I-78/I-81 Corridor (17.5% of NRA; 13.4% of ALA) and Baltimore-DC (9.2% of NRA; 12.2% of ALA). The portfolio has an effective MSA count of 11.9 and 168 unique tenants. Institutional Sponsorship: The loan is sponsored by BREIT Orbit Depositor LLC, an affiliate of Blackstone Inc. Blackstone is recognized as one of the world's leading investment firms, managing assets across private equity, real estate, public debt and equity, infrastructure, life sciences, growth equity, opportunistic and non-investment-grade credit, real assets and secondary funds. The portfolio in this transaction will be managed by Link Logistics, an affiliate of the sponsor. Link Logistics has a nationwide footprint totaling approximately 470 million sf of logistics real estate across over 3,000 properties. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BB-sf'/'Bsf'/'B-sf'; - 10% NCF Decline: 'AA+sf'/'A+sf'/'BBBsf'/'BBsf'/'Bsf'/'CCC+sf'/'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BB-sf'/'Bsf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'BBB+sf'/'BBsf'/'BB-sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to 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. CANYON CLO 2022-1: S&P Lowers Class E Notes Rating to 'B+ (sf)' --------------------------------------------------------------- S&P Global Ratings lowered its rating on the class E debt from Canyon CLO 2022-1 Ltd., a U.S. CLO managed by Canyon CLO Advisors LLC. At the same time, S&P removed the rating from CreditWatch, where it was placed with negative implications on May 6, 2026. Concurrently, S&P affirmed its ratings on class A, B, C, and D debt. The transaction is a 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 2022 and will exit its reinvestment period in April 2027. The rating actions follow S&P's review of the transaction's performance using data from the May 2026 trustee report. On May 6, 2026, S&P placed its rating on the class E debt on CreditWatch negative primarily due to the declining credit support available to the class, the portfolio's par loss since issuance in March 2022, and the indicative cash flow results. The changes in reported overcollateralization (O/C) ratios since the April 2022 trustee report (immediately after closing) include the following: -- The class A/B O/C ratio declined to 128.59% from 131.74%. -- The class C O/C ratio declined to 119.18% from 122.10%. -- The class D O/C ratio declined to 111.06% from 113.78%. -- The class E O/C ratio declined to 106.23% from 108.83%. The decline in the O/C ratios reflects the aggregate par loss the portfolio has sustained since the transaction closed in March 2022. All coverage tests are currently passing with adequate cushion. Between the April 2022 and May 2026 trustee reports, assets in the 'CCC' rating category ('CCC' assets) increased to $23.40 million (4.8% of the transaction) from zero; and the portfolio's weighted average spread and weighted average recovery rates also declined, leading to decreased break-even default rates. These factors combined have contributed to weakened cash flow results, particularly at the junior levels of the capital structure. The downgrade on the class E debt primarily reflects the decrease in credit support available due to par loss. The cash flow results have weakened due to the aggregate par loss, coupled with the reduction in both the weighted average spread and the weighted average recovery rates. S&P said, "Although our cash flow results indicate a lower rating on the class E debt on a standalone basis, we restricted the downgrade to one notch, considering the stable credit quality of the portfolio, the existing credit enhancement, and the low exposure to 'CCC/CCC-' rated obligors." However, any further decline in credit support available to this tranche or further increases in par losses and defaults could lead to negative rating actions in the future. S&P said, "Our cash flow results also indicate a lower rating on the class D debt on a standalone basis. However, we affirmed our rating on this class, considering the margin of failure, the stable credit quality of the portfolio, the existing credit enhancement, and the low exposure to 'CCC/CCC-' rated obligors. However, any further decline in credit support available to this tranche or further increases in par losses and defaults could lead to negative rating actions in the future. "The affirmations reflect the adequate credit support at the current rating levels. Although the cash flow results indicated a higher rating for the class B and C debt, our rating actions considered that the transaction is still in its reinvestment period (which is scheduled to expire in April 2027) and that future reinvestment activity could materially alter portfolio characteristics. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. "We will continue to review whether the assigned ratings remain consistent with the credit enhancement available to support the debt, in our view, and take rating actions as we deem necessary." Rating Lowered And Removed From CreditWatch Canyon CLO 2022-1 Ltd. Class E to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Canyon CLO 2022-1 Ltd. Class A: AAA (sf) Class B: AA (sf) Class C: A (sf) Class D: BBB- (sf) CARLYLE US 2017-2: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2017-2, Ltd. (the issuer) refinancing classes B-R3, C-R3, D-1-R3 and D-2-R3, each with a Stable Rating Outlook. Fitch has affirmed the rating for class E-R2 with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2017-2, Ltd._ New Reset 2024 X-R3 LT NRsf New Rating A-R3 LT NRsf New Rating B-R2 14315JBC2 LT PIFsf Paid In Full AAsf B-R3 LT AAsf New Rating C-R2 14315JBE8 LT PIFsf Paid In Full Asf C-R3 LT Asf New Rating D-1-R2 14315JBG3 LT PIFsf Paid In Full BBBsf D-1-R3 LT BBBsf New Rating D-2-R2 14315JBJ7 LT PIFsf Paid In Full BBB-sf D-2-R3 LT BBB-sf New Rating E-R2 14315KAG1 LT BB-sf Affirmed BB-sf Transaction Summary Carlyle US CLO 2017-2, Ltd. is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Carlyle CLO Management L.L.C.. Net proceeds from the issuance of the secured and subordinated notes provides financing on a portfolio of approximately $397 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.49, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.01% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.3% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate 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 three-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. Fitch believes 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 8, 2027. The 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 452 assets from 404 primarily high yield obligors. In Fitch's view, 0.3% of the portfolio consists of assets that are rated 'CC' or below. The portfolio balance (excluding defaults and including principal cash) is approximately $397 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Floating Spread, Weighted Average Coupon and Weighted Average Recovery Rate tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 44.0% of the current portfolio par balance; ratings for 55.6% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.4% 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: 15.0%, 14.0%, and 13.0%, respectively; - Assumed risk horizon: 6.0 years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 64.60%; - Maximum weighted average rating factor of 24.00; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 5.00%; The transaction will exit its reinvestment period on 07-20-2029. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class B-R3: 'AAsf' / Default 39.00% / Recovery 48.46% / Cushion 13.30% - Class C-R3: 'Asf' / Default 34.50% / Recovery 58.55% / Cushion 16.70% - Class D-1-R3: 'BBBsf' / Default 29.30% / Recovery 68.26% / Cushion 18.10% - Class D-2-R3: 'BBB-sf' / Default 26.50% / Recovery 68.30% / Cushion 15.90% - Class E-R2: 'BB-sf' / Default 22.20% / Recovery 73.42% / Cushion 9.10% Fitch Stress Portfolio (FSP) Model Outputs: - Class B-R3: 'AAsf' / Default 45.00% / Recovery 39.60% / Cushion 0.70% - Class C-R3: 'Asf' / Default 40.10% / Recovery 49.60% / Cushion 4.40% - Class D-1-R3: 'BBBsf' / Default 34.60% / Recovery 59.60% / Cushion 5.70% - Class D-2-R3: 'BBB-sf' / Default 31.40% / Recovery 59.60% / Cushion 5.20% - Class E-R2: 'BB-sf' / Default 26.30% / Recovery 64.60% / Cushion 0.00% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB-sf' and 'A+sf' for class B-R3, between 'BB-sf' and 'Asf' for class C-R3, between less than 'B-sf' and 'BBB+sf' for class D-1-R3, and between less than 'B-sf' and 'BBB-sf' for class D-2-R3 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 Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AAsf' for class C-R3, 'A+sf' for class D-1-R3, and 'Asf' for class D-2-R3 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 Carlyle US CLO 2017-2, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CARLYLE US 2024-3: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Carlyle US CLO 2024-3, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Carlyle US CLO 2024-3, 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 Transaction Summary Carlyle US CLO 2024-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Carlyle CLO Management L.L.C., that originally closed in June 2024. This is the first refinancing which will refinance the existing notes in whole on Aug. 13, 2026. Net proceeds from the issuance of the secured and 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 22.79, 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 95.73% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.43% 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. Fitch has assigned an expected rating to the class D-1-R that is one notch below the MIR. The available credit enhancement for the class is in line with the average credit enhancement observed across comparable deals, which supports rating below the MIR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AAAsf' for class A-1-R, between 'A-sf' and 'AA+sf' for class A-2-R, between 'BBB-sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBB-sf' 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 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' 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 Carlyle US CLO 2024-3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CHASE HOME 2026-HYB1: Fitch Assigns B(EXP)sf Rating on Cl. B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and rating outlooks to Chase Home Lending Mortgage Trust 2026-HYB1 (CHASE 2026-HYB1). Entity/Debt Rating ----------- ------ Chase 2026-HYB1 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1X LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A2A LT AAA(EXP)sf Expected Rating A2X LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A3A LT AAA(EXP)sf Expected Rating A3X LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4X LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A5A LT AAA(EXP)sf Expected Rating A5X LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B2 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 RR LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 248 loans with a scheduled balance of $304.59 million as of the cutoff date. The closing date is July 31, 2026. The pool consists of prime-quality, first-lien, 7/6 adjustable-rate mortgages (ARM) originated solely by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. JPMCB will service all mortgage loans in the pool. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage average prime offer rate loans. The collateral comprises 100% 7/6 ARM loans. The certificates are fixed-rate and capped at the net weighted average coupon (WAC) or are based on 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 248 first-lien 7/6 adjustable-rate loans with a total unpaid balance of $304.59 million, and an average size of $1.23 million. Based on Fitch's analysis, the pool is seasoned for five months. The pool comprises high-quality prime loans with a weighted average (WA) FICO score of 778, a WA combined loan-to-value ratio (cLTV) of 72.29% (79.35% sustained LTV) and a WA debt-to-income ratio (DTI) of 34.83%. The WA liquid reserves amount to $862,751,61. These strong collateral attributes are reflected in Fitch's loss analysis. Chase 2026-HYB1 has a final probability of default (PD) of 10.82% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 33.23%. The expected loss in the 'AAAsf' rating stress is 3.70%. See Highlights and Asset Analysis sections for more details. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in Chase 2026-HYB1 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 1.15% addresses potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 0.80% addresses potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the non-retained portion of the loans will be allocated, first, to the subordinate bonds, starting with class B-6. Once class B-1 is written off, losses will be allocated to class A-5A first, and then to the super-senior classes pro rata once class A-5A is written off. This transaction has full advancing of delinquent principal and interest (P&I) until the amount is deemed nonrecoverable. As a result, the LS increased in Fitch's cash flow analysis to account for the servicer recouping the advances. Fitch analyzes the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios 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 of that rating stress to address the structure's recoupment of advances and the leakage of principal to more subordinate classes. See Cash Flow Analysis section for more details. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. Due diligence is the only consideration that has a direct effect on Fitch's loss expectations. Third-party due diligence was performed on 69.8% 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 impact 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-HYB1 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-HYB1. Therefore, Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than those assumed at the MSA level. The sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 9.9% 0base case. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than those assumed at the MSA level. The 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 potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated 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 the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome because the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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 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, 69.8% of the loans had a due diligence review and all the loans reviewed received a final grade of "A" or "B". Consequently, losses were lowered based on the due diligence results. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 69.8% of the pool by balance. The third-party due diligence was generally consistent with Fitch's U.S. RMBS Rating Criteria. SitusAMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and were assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also used data files 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 considers the data 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. CIFC FUNDING 2022-I: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the CIFC Funding 2022-I, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2022-I, Ltd. 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 Subordinated LT NRsf New Rating NR(EXP)sf 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 8, 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. Date of Relevant Committee July 1, 2026 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, 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. CIFC FUNDING 2026-II: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2026-II, Ltd. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2026-II, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C-1 LT Asf New Rating A(EXP)sf C-2 LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf 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. Date of Relevant Committee 06-Jul-2026 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CITIGROUP 2020-420K: DBRS Confirms BB(high) Rating on HRR Certs --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) upgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2020-420K issued by Citigroup Commercial Mortgage Trust 2020-420K as follows: -- Class B to AAA (sf) from AA (high) (sf) -- Class C to AA (sf) from AA (low) (sf) -- Class D to A (sf) from A (low) (sf) -- Class E to BBB (sf) from BBB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A at AAA (sf) -- Class HRR at BB (high) (sf) -- Class X at AAA (sf) Morningstar DBRS changed the trends on Classes B, C, D, and E to Stable from Positive. All other trends are Stable. CREDIT RATING RATIONALE -- The credit rating upgrades reflect Morningstar DBRS' favorable outlook for the transaction, supported by the strong performance of the underlying collateral, which has exceeded issuance expectations. -- As part of this review, Morningstar DBRS considered a stressed scenario to test durability of the credit ratings, which indicated that the capital stack remains well insulated against potential performance deterioration, with the low going-in loan-to-value ratio (LTV) of 44.0% of the first mortgage loan providing a strong equity cushion. LOAN/COLLATERAL OVERVIEW -- The loan is secured by two 22-story luxury residential towers (416 Kent and 420 Kent) along the waterfront in the Williamsburg neighborhood of Brooklyn, New York. The properties consist of 857 residential units and just under 20,000 square feet of commercial space with extensive amenities, including two parking garages consisting of 429 parking spaces. -- The residential portion of the development benefits from significant 421-a tax exemptions during the loan term and, in return, nearly a quarter of the units are affordable housing (65 units at 416 Kent and 121 units at 420 Kent). -- The market-rate units at 416 Kent are generally not subject to any rental rate restrictions, however the New York City Rent Guidelines Board restricts market-rate units at 420 Kent during the 25-year exemption period. The tax abatements exempt the properties from increases on taxes and will extend beyond loan maturity. -- The $238.0 million trust amount consists mostly of senior debt and $81.1 million of junior debt. The 10-year, fixed-rate, interest-only (IO) loan matures in November 2030 with no extension options. -- The sponsor and guarantor for the loan is Eliot Spitzer, the former governor of New York and the head of Spitzer Enterprises. PERFORMANCE HIGHLIGHTS -- The collateral has exhibited steady growth in net cash flow (NCF) since issuance, which has risen more than 30.0% from the Morningstar DBRS NCF, based on the YE2025 financials. -- Occupancy has consistently been above 95.0% over the last few years. -- According to Reis, the Kings County submarket reported average asking rents of $3,360 per unit and an average vacancy rate of 3.9% as of Q1 2026. The collateral continues to outperform the submarket, with average rents reported at $5,267 per unit and $4,667 per unit for the market-rate components at 416 Kent and 420 Kent, while the affordable units in each property averaged $1,209 per unit and $1,024 per unit, respectively. Average rents for the market-rate components have increased by more than 13.0% since issuance. ANALYSIS SUMMARY -- Morningstar DBRS evaluated the collateral under a stressed scenario to evaluate the potential for credit rating upgrades given the sustained increase in cash flow exhibited over the last few years. -- Morningstar DBRS applied a stressed haircut of 20.0% to the YE2024 NCF and maintained a capitalization rate of 6.25%, resulting in a Morningstar DBRS Value of $380.5 million. The Morningstar DBRS Value represents a 41.2% haircut from the appraiser's value at issuance of $647.0 million and an LTV of 78.3% (based on the entire senior and junior debt amount). -- Morningstar DBRS maintained positive qualitative adjustments totaling 10.0% to the final LTV sizing benchmarks to account for low cash flow volatility, good property quality, and strong market fundamentals. -- The analysis indicated that the collateral is well positioned to withstand performance deterioration. In addition, the subject benefits from a high land value because of its desirable location along the East River waterfront, with the appraiser concluding a land value of $186.0 million at issuance. 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 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. CITIGROUP COMMERCIAL 2026-MFAM1: Fitch Rates G-RR Certs 'B-(EXP)sf' ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Citigroup Commercial Mortgage Trust 2026-MFAM1 commercial mortgage pass-through certificates, series 2026-MFAM1 as follows: - $122,500,000a Class A-2 'AAA(EXP)sf'; Outlook Stable; - $449,295,000a Class A-3 'AAA(EXP)sf'; Outlook Stable; - $619,784,000b Class X-A 'AAA(EXP)sf'; Outlook Stable; - $47,989,000 Class A-S 'AAA(EXP)sf'; Outlook Stable; - $49,011,000 Class B 'AA-(EXP)sf'; Outlook Stable; - $37,780,000 Class C 'A-(EXP)sf'; Outlook Stable; - $22,463,000c Class D 'BBB(EXP)sf'; Outlook Stable; - $10,211,000c Class E 'BBB-(EXP)sf'; Outlook Stable; - $19,400,000c Class F 'BB-(EXP)sf'; Outlook Stable; - $12,253,000cd Class G-RR 'B-(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following class: - $45,948,000cd Class J-RR 'NR(EXP)sf'. (a) The exact initial certificate balances of the class A-2 and class A-3 certificates are unknown but will be $571,795,000 in aggregate, subject to a variance of plus or minus 5%. The certificate balances will be determined based on the final pricing of these classes of certificates. The expected class A-2 balance range is $0-$245,000,000, and the expected class A-3 balance range is $326,795,000-$571,795,000. Fitch's certificate balances for classes A-2 and A-3 reflect the midpoints of each respective range. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 27 loans secured by 27 commercial properties with an aggregate principal balance of $816,850,000 as of the cut-off date. The loans were contributed to the trust by Citi Real Estate Funding Inc. The master servicer is expected to be Midland Loan Services, a division of PNC Bank, National Association and the special servicer is expected to be CWCapital Asset Management LLC. The trustee is expected to be Wilmington Savings Fund Society, FSB. Citibank, N.A. is expected to act as certificate administrator. The operating advisor and asset representations reviewer is expected to be Pentalpha Surveillance LLC. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed net cash flow (NCF) analysis on 20 loans totaling 89.2% of the pool by cut-off balance. Fitch's aggregate pool NCF of $47.6 million represents a 9.5% decline from the issuer's aggregate underwritten pool NCF of $52.6 million. Fitch Leverage: The pool has higher leverage than recent U.S. private-label five-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 123.4% is higher than the 2026 YTD and 2025 five-year multiborrower averages of 102.2% and 101.0%, respectively. The pool's Fitch NCF debt yield (DY) of 6.9% is lower than the 2026 YTD and 2025 five-year multiborrower averages of 9.8% and 9.7%, respectively. The pool's leverage also exceeds that of Freddie Mac seven-year K7 series transactions rated by Fitch between 2023 and 2026 YTD, which had an average Fitch LTV of 115.7% and an average Fitch NCF DY of 7.7%. Multifamily Collateral: Loans secured by traditional multifamily properties (designated by Fitch) represent 97.7% of the pool, which is higher than the 2026 YTD Freddie Mac 10-year transaction average of 91.2% and the 2023-2025 YTD Freddie Mac seven-year transaction average of 95.3%. Multifamily properties have a lower average likelihood of default than retail, office or industrial, all else equal. Fitch did not raise the overall losses for this concentration, as multifamily properties have a diversity of tenants and, correspondingly, a diversity of employment. Pool Concentration/Reduced Add-On: The pool is less concentrated by loan size than recent Fitch-rated transactions. The top 10 loans make up 57.8% of the pool, which is lower than the 2026 five-year multiborrower average of 63.4% and the Freddie Mac seven-year K7 series transactions rated by Fitch between 2023 and 2026 YTD average of 61.3%. The pool's effective loan count of 21.5 is slightly lower than the 2026 YTD average of 21.6 but above the Freddie Mac seven-year K7 Series transactions rated by Fitch between 2023 and 2026 YTD average of 19.7. Fitch views diversity as a key mitigant to idiosyncratic risk and raises overall losses for pools with effective loan counts below 40. However, given the pool's multifamily-only composition, granular tenant base, stabilized collateral and favorable diversification characteristics, including sponsor and geographic dispersion, Fitch reduced the pool's total loan concentration add-on since the pool does not present the same binary, tenant-specific or sector-specific risks associated with concentrated exposures in other property types. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'. - 10% NCF Decline: 'AAAsf'/AAsf'/'A-sf'/'BBBsf'/'BBsf'/'BB-sf'/'CCC+sf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'. - 10% NCF Increase: 'AAAsf'/AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CITIGROUP MORTGAGE 2007-SHL1: Moody's Ups M-1 Certs Rating to Caa2 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating of Class M-1 issued by Citigroup Mortgage Loan Trust 2007-SHL1. The collateral backing this deal consists of scratch and dent 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: Citigroup Mortgage Loan Trust 2007-SHL1 Cl. M-1, Upgraded to Caa2 (sf); previously on Sep 18, 2025 Upgraded to Ca (sf) 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 on the bond. The bond experiencing a rating change is expected to become undercollateralized, which would, as per the transaction structure, 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 action was taken on the other rated class in this deal because the expected loss remain commensurate with its current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodology The principal methodology used in this rating was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CITIGROUP MORTGAGE 2026-LTV1: Fitch Rates Class B-2 Certs 'B-sf' ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage pass-through certificates issued by Citigroup Mortgage Loan Trust 2026-LTV1 (CMLTI 2026-LTV1). Entity/Debt Rating Prior ----------- ------ ----- CMLTI 2026-LTV1 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AA-sf New Rating AA-(EXP)sf A-3 LT A+sf New Rating A+(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf 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. The P&I advancing party will advance delinquent P&I until deemed nonrecoverable. There were no changes to the collateral since the presale. The structure was updated post-presale, and the coupons for the A-1A, A-1B, A-1, A-2, A-3, and M-1 classes decreased approximately between 8 bps and 22 bps. This increased the WA excess spread to 53bps, a 17bps increase from the previous WA excess spread of 37bps. Fitch reran its cash flow analysis and confirmed no changes to its 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. 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. Principal is distributed pro rata among the senior certificates while subordinate bonds do not receive principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios that incorporate Fitch's loss projections from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios (see Highlights and Cash Flow Analysis sections for more details). 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. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. 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 confirms all relevant transaction parties conform with the requirements described in its "Global Structured Finance Rating Criteria". Relevant parties are those whose failure to perform could have a material effect on the performance of the transaction. Additionally, all legal requirements have been satisfied to fully de-link the transaction from any other entities. Fitch confirms CMLTI 2026-LTV1 is 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. 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 those 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 and of lower MVDs, illustrated by home prices gains. 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 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 those assumed at the MSA level. The sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool and lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to 10% positive home price growth 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 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, applied the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COREVEST AMERICAN 2026-1: DBRS Gives (P)B(low) Rating on G Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Mortgage Pass-Through Certificates (the Certificates) to be issued by CoreVest American Finance 2026-1 Trust (CAFL 2026-1): -- Class A at (P) AAA (sf) -- Class X-A at (P) AAA (sf) -- Class X-B at (P) BBB (sf) -- Class AS at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class C at (P) A (sf) -- Class D at (P) BBB (sf) -- Class E at (P) BBB (low) (sf) -- Class F at (P) BB (low) (sf) -- Class G at (P) B (low) (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The CAFL 2026-1 transaction consists of 56 fixed-rate loans secured by 35 multifamily properties, one mixed-use property, and various portfolios totaling 1,090 single-family rentals (SFRs), 127 townhomes, and 246 two- to four-unit properties. The loans have an aggregate cut-off date balance of $268.9 million and an average loan size of $4.8 million. The loans were originated between May 2024 and May 2026. Among the 56 loans, 36 have five-year terms, one has a seven-year term, and 19 have 10-year terms. Morningstar DBRS analyzed the pool to determine the provisional credit ratings, reflecting the long-term POD within the term and its liquidity at maturity. When the cut-off balances are measured against the Morningstar DBRS NCF and their respective constants, the resulting WA Morningstar DBRS DSCR is 1.10x. Forty-seven loans, representing 79.9% of the pool balance, exhibit a Morningstar DBRS DSCR less than or equal to 1.25x, which is typically the threshold that indicates a higher likelihood of midterm default. The deal exhibits a moderately high Morningstar DBRS WA Issuance LTV of 67.2% and Morningstar DBRS WA Balloon LTV of 65.6%. Twenty-six loans, comprising 44.1% of the total pool, exhibit a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold which typically correlates to an above-average default frequency. The transaction has a step-up coupon feature beginning with the applicable post-Year 5 period. The Class A, A-S, B, C, D, and E certificates are entitled to an additional interest calculated on the outstanding principal balance of each such class at a rate of 0.50% per annum. The additional 0.50% interest is not paid from general available funds ahead of the normal interest. The additional interest is payable solely from the interest payable otherwise distributable to the Class X-A, X-B, and H certificates. All 56 loans in the pool are secured by multifamily rental properties including SFRs, townhomes, condominiums, and two- to four-unit properties. Multifamily properties have historically demonstrated lower rates of default compared with the majority of other commercial property types and, as a result, typically have lower expected losses. Morningstar DBRS views the asset class favorably because of the high cost of home ownership today and strong rental tailwinds. The pool consists of 56 performing loans secured by 1,502 properties spread across 22 states and 70 metropolitan statistical areas. The higher loan count and diversification is credit positive and results 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 has a WA Morningstar DBRS DSCR of 1.10x, considerably lower than recent commercial mortgage-backed securities conduit transactions. Eight loans, representing 23.8% of the pool balance, have a Morningstar DBRS DSCR less than or equal to 1.00x, indicating that these loans may have difficulty servicing their debt if CFs decrease from historical levels. Loans with lower DSCRs receive a POD penalty in Morningstar DBRS' model. The pool has a WA Morningstar DBRS Issuance LTV of 67.2%, indicating moderately high leverage. Two loans, representing 2.4% of the total pool, exhibit a Morningstar DBRS Issuance LTV higher than 75.3%, a threshold which typically correlates to the highest frequency of default. Thirty-four loans in the pool are full-term interest only (IO) and do not benefit from any amortization, but 22 loans in the pool are amortizing, resulting in a slightly lower WA Morningstar DBRS Balloon LTV of 65.6%. Loans with higher Morningstar DBRS Issuance LTVs and Morningstar DBRS Balloon LTVs receive a POD penalty in Morningstar DBRS' model. Of the 24 loans sampled by Morningstar DBRS, eight loans, representing 26.3% of the Morningstar DBRS sample, received a Property Quality score of Poor. One loan, representing 7.1% of the Morningstar DBRS sample, received a Property Quality score of Below Average, and one loan, representing 5.8% of the Morningstar DBRS sample, received a Property Quality score of Average -. Only five loans, representing 38.3% of the Morningstar DBRS sample, received a Property Quality score of Average +. Based on a desktop review of property photos, property condition assessments, and other information, Morningstar DBRS concluded to Property Quality scores of Average or Poor for all nonsampled loans. Morningstar DBRS considered vintage and recent significant renovations in its assessment. As a result, 46.8% of the pool received a Property Quality score of Average -, Below Average, or Poor. Lower-quality properties may be less likely to retain existing tenants and do not attract new tenants as easily, resulting in less stable performance. Fifty-two loans, representing 97.9% of the pool, are refinance or recapitalization loans. 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 lender's, whereas refinance transactions may be cash-neutral or cash-out transactions, the latter of which may reduce the borrower's commitment to a property. Morningstar DBRS classified 48 loans, representing 72.8% of the pool, as having Weak sponsorship and five loans, representing 8.8% of the pool, as having Bad (Litigious) sponsorship, which increases the POD in the Morningstar DBRS model. These designations were generally applied to sponsors who had lower net worth and liquidity, a history of prior defaults or delinquencies, and/or a lack of experience in CRE. Furthermore, only three loans, representing 18.4% of the pool, were determined to have Average sponsorship. Per the terms of the offering circular, property condition reports (PCRs) are not required for loans. Morningstar DBRS applied an average sampled NCF variance of -16.3% to the nonsampled loans to account for the lack of PCRs for the smaller loans and therefore the possibility that annual replacement reserves could exceed the typical Morningstar DBRS standard. 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, 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 and X-B 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. DIAMETER CAPITAL 14: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Ratings Assigned 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. DRYDEN 41 SENIOR: Moody's Affirms B1 Rating on $25.3MM E-R Notes ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Dryden 41 Senior Loan Fund: US$35.75M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Feb 19, 2026 Upgraded to Aa3 (sf) Moody's have also affirmed the ratings on the following notes: US$61.9M (Current outstanding amount US$40,783,262) Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 19, 2026 Affirmed Aaa (sf) US$28.35M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 19, 2026 Affirmed Aaa (sf) US$25.3M Class E-R Junior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Feb 19, 2026 Affirmed B1 (sf) US$8.25M (Current outstanding amount US$8,988,612) Class F-R Junior Secured Deferrable Floating Rate Notes, Affirmed Caa3 (sf); previously on Feb 19, 2026 Affirmed Caa3 (sf) Dryden 41 Senior Loan Fund, originally issued in October 2015 and later refinanced in March 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by PGIM, Inc. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The rating upgrade on the Class D-R notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in February 2026. The affirmations on the ratings on the Class B-R, C-R, E-R and F-R 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. Since the last rating action, the Class B-R notes were paid down by USD13.1 million (21%). As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated May 2026[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 330.79%, 195.14%, 128.63% and 103.63% compared to December 2025[2] levels of 205.22%, 156.42%, 120.34% and 103.45%, respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD136.5m Defaulted Securities: USD2.8m Diversity Score: 52 Weighted Average Rating Factor (WARF): 3089 Weighted Average Life (WAL): 2.78 years Weighted Average Spread (WAS): 3.14% Weighted Average Recovery Rate (WARR): 47.51% Par haircut in OC tests and interest diversion test: 1.96% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. DRYDEN 80: S&P Lowers Class E-R Notes Rating to 'B+ (sf)' --------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-RR and C-RR debt from Dryden 80 CLO Ltd., an amortizing U.S. broadly syndicated loan CLO managed by PGIM Inc. that S&P had previously reviewed for a partial refinancing in September 2025. At the same time, S&P lowered its rating on the class E-R debt and affirmed our ratings on the class A-RR and D-R debt. S&P also removed its ratings on the class D-R and E-R debt from CreditWatch negative, where they were placed on May 6, 2026. The rating actions follow S&P's review of the transaction's performance using data from the April 30, 2026, trustee report. Compared to the September 2025 post-refinancing trustee report, following are the changes to the reported overcollateralization (O/C) ratios as of April 30, 2026: -- The class A/B O/C ratio improved to 132.96% from 127.52%. -- The class C O/C ratio improved to 120.31% from 117.65%. -- The class D O/C ratio improved to 108.29% from 107.91%. -- The class E O/C ratio declined to 105.28% from 105.41%. Since the September 2025 refinancing, the class A-RR tranche has seen total paydowns of about $57.9 million, reducing its outstanding balance to about 76.00% of its balance at the recent September refinancing and lifting the O/C ratios of the senior and mezzanine classes. Meanwhile, an uptick in defaults and par losses drove the decrease in the class E O/C ratio, despite the amortization of the senior class. The collateral pool's broad characteristics and credit metrics remained generally stable from September 2025 to April 2026, apart from the increase in defaults. Exposure to 'CCC' category assets fell to about $12.2 million from $14.8 million, the S&P Global Ratings 'AAA' weighted average recovery rate for the portfolio rose to 40.20% from 40.00%, and the pool's weighted average spread declined to 2.86% from 2.95%. It is worth noting that although the decline in the class E O/C ratio since September 2025 is fairly modest, par losses have accumulated over time, and the decrease in class E-R's O/C is steeper when examined over a longer timeframe. The credit quality of the CLO portfolio is solid, with relatively low 'CCC' exposure, few assets priced at distressed levels, and a comparatively high allocation to credits rated above the 'B' category. Despite the strength of the underlying portfolio, par losses have taken a toll on the E-R tranche's cash flow results. The downgrade on class E-R reflects a break-even default rate (BDR)-driven cash flow failure at its prior rating of 'BB- (sf)/Watch Neg', as well as higher uncertainty about the extent to which paydowns to the senior notes will benefit class E-R's O/C, given its junior position in the CLO capital structure, longer paydown horizon, and heightened exposure to potential portfolio volatility. On the other hand, the amortization of class A-RR improved the O/C ratios of the class B-RR and C-RR tranches considerably since the September 2025 refinancing. The increase in credit support and strong cash flow results for both classes underpinned the upgrades. S&P said, "Our cash flow analysis indicated the potential for a higher rating for the class C-RR debt. However, we held the class C-RR tranche back from its model-implied rating due to the results of additional sensitivity cash flow analyses that contemplated the defaults of 'CCC' category assets and assets with low market values. On a standalone basis, the results of our cash flow analysis suggested a lower rating on the class D-R debt than today's rating action reflects. However, we affirmed the rating on the class D-R debt after considering its modest margin of cash flow failure and largely stable O/C ratio since our September 2025 review, the relative strength of the CLO pool's credit profile, and that the CLO is in its amortization phase. Based on the latter, we expect the credit support available to the class D-R tranche to increase as principal is collected and paydowns to the senior notes occur. Our affirmation of the rating on the class A-RR debt reflects increasingly strong O/C due to paydowns and comfortably passing cash flow results." S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Upgraded Dryden 80 CLO Ltd./Dryden 80 CLO LLC Class B-RR to 'AA+ (sf)' from 'AA (sf)' Class C-RR (deferrable) to 'A+ (sf)' from 'A (sf)' Rating Lowered And Removed From CreditWatch Dryden 80 CLO Ltd./Dryden 80 CLO LLC Class E-R (deferrable) to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Rating Affirmed And Removed From CreditWatch Dryden 80 CLO Ltd./Dryden 80 CLO LLC Class D-R (deferrable) to 'BBB- (sf)' from 'BBB- (sf)/Watch Neg' Rating Affirmed Dryden 80 CLO Ltd./Dryden 80 CLO LLC Class A-RR: 'AAA (sf)' DWIGHT 2026-FL2: Fitch Assigns 'B-sf' Rating on Three Tranches -------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Dwight 2026-FL2 Issuer LLC as follows: - $523,250,000a class A 'AAAsf'; Outlook Stable; - $122,850,000a class A-S 'AAAsf'; Outlook Stable; - $61,425,000a class B 'AA-sf'; Outlook Stable; - $43,225,000a class C 'A-sf'; Outlook Stable; - $37,537,000ab class D 'BBBsf'; Outlook Stable; - $0c class D-E 'BBBsf'; Outlook Stable; - $0d class D-X 'BBBsf'; Outlook Stable; - $12,513,000ab class E 'BBB-sf'; Outlook Stable; - $0c class E-E 'BBB-sf'; Outlook Stable; - $0d class E-X 'BBB-sf'; Outlook Stable; - $35,262,000be class F 'BB-sf'; Outlook Stable; - $0c class F-E 'BB-sf'; Outlook Stable; - $0d class F-X 'BB-sf'; Outlook Stable; - $21,613,000be class G 'B-sf'; Outlook Stable; - $0c class G-E 'B-sf'; Outlook Stable; - $0d class G-X 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $52,325,000ef income notes. (a) Privately placed and pursuant to Rule 144A. (b) Exchangeable notes: The classes D, E, F, and G notes are exchangeable for proportionate interest in the MASCOT notes, subject to satisfaction of certain conditions and restrictions, provided that at the time of exchange such notes are owned by a wholly owned subsidiary of Dwight RET. The principal balance of each of the exchangeable notes received in an exchange will be equal to the principal balance of the corresponding MASCOT principal and interest (P&I) notes surrendered in such exchange. (c) MASCOT P&I notes. (d) MASCOT interest-only notes. (e) Retained notes. (f) Horizontal risk retention interest, estimated to be 5.75% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $858,563,291 and does not include future funding. The ratings are based on information provided by the issuer as of July 6, 2026. Transaction Summary The notes are collateralized by 24 loans, or interests therin, secured by 24 commercial properties having an aggregate principal balance of $858,563,291 as of the cut-off date. There are two delayed closed loans totaling $130.0 million, equating to 13.2% of trust cutoff balance; both of the related loans are projected to close within 60 days of the closing date. There is $51.4 million in ramp cash that the issuer has 120 days to purchase additional collateral interests. The pool does not include the $55.9 million of future funding, equating to 6.5% of trust cutoff balance. The collateral interests and other interests securing the notes will be owned by Dwight 2026-FL2 Issuer LLC as the issuer of the notes. The servicer and special servicer are Situs Asset Management LLC and Situs Holdings, LLC. The trustee is Wilmington Trust, National Association and the note administrator is Computershare Trust Company, National Association. The notes are to follow a sequential paydown structure KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed net cash flow (NCF) analysis totaling 95.5% of the pool. Fitch's resulting NCF of $36.7 million represents a 12.2% increase from the issuer's underwritten NCF of $32.8 million, excluding loans for which Fitch conducted an alternative value analysis. Aggregate cash flows include only the prorated trust portion of any pari passu loan. Higher Fitch Leverage: The pool has higher leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan-to-value (LTV) of 140.5% is higher than the 2026 YTD CRE CLO average of 139.0% and 2025 CRE CLO average of 139.6%. The pool's Fitch NCF debt yield (DY) of 6.2% is lower than the 2026 YTD CRE CLO average of 6.5% and the 2025 CRE CLO average of 6.5%. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch CRE CLO transactions. The top 10 collateral interests account for 69.8% of the pool which is higher than 2026 YTD CRE CLO average of 60.15 and 2025 CRE CLO average of 61.7%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 17.2. This is lower than the 2026 YTD CRE CLO average of 21.1 and 2025 CRE CLO average of 20.4. Fitch views diversity as a key mitigator to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Multifamily Concentration: Loans or interests therein secured by multifamily properties (designated by Fitch) represent 100.0% of the pool, which is higher than the 2026 YTD CRE CLO average of 73.9% and 2025 CRE CLO average of 76.1%. Multifamily properties have a lower average likelihood of default than retail, office or industrial, all else being equal. Fitch did not raise the overall losses for this concentration, as multifamily properties have diversity of tenants and, correspondingly, diversity of employment. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/ 'BBBsf'/'BBB-sf'/'BB-sf'/ 'B-sf'. - 10% NCF Decline: 'AAAsf'/'AA+sf'/'A+sf'/'A-sf'/'BBB-sf'/'BB+sf'/ 'Bsf'/ 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: AAAsf/ AAAsf/ AA-sf/ A-sf/ BBBsf/BB-sf/ B-sf. - 10% NCF Increase: AAAsf/AAAsf/AA+sf/AA-sf/A-sf/ BBB+sf/ BB+sf/ B+. SUMMARY OF FINANCIAL ADJUSTMENTS This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the BBB- level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash ﬂow modeling referenced in its "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Recovery Rating Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash ﬂow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLC. 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. FIRSTLIGHT 2026-1: Fitch Assigns BB-sf Rating on Cl. C Notes ------------------------------------------------------------ Fitch Ratings has assigned final ratings to FirstLight Issuer, LLC's Secured Communications System Revenue Notes, Series 2026-1 as follows: - $40,000,000 series 2026-1, class A-1-L, 'A-sf'/Outlook Stable; - $150,000,000 series 2026-1, class A-1-V, 'A-sf'/Outlook Stable; - $672,000,000 series 2026-1, class A-2, 'A-sf'/Outlook Stable; - $78,000,000 series 2026-1, class B 'BBB sf'/Outlook Stable; - $200,000,000 series 2026-1, class C 'BB-sf'/Outlook Stable. The class A-1-V variable funding note (VFN) has a maximum commitment of $150 million contingent on leverage consistent with the class A-2 notes at close as well as debt service coverage ratio (DSCR) conditions. Entity/Debt Rating Prior ----------- ------ ----- FirstLight Fiber 2026-1 A-1 V LT A-sf New Rating A-(EXP)sf A-1-L LT A-sf New Rating A-(EXP)sf A-2 LT A-sf New Rating A-(EXP)sf B LT BBBsf New Rating BBB(EXP)sf C LT BB-sf New Rating BB-(EXP)sf Transaction Summary FirstLight Secured Communications System Revenue, Series 2026-1, is a $1,140,000,000 securitization of contract payments derived from metro and regional long-haul fiber networks, operated by FirstLight Fiber, Inc.. The transaction is backed by a first-priority security interest in the underlying fiber network infrastructure, current or future customer contracts, transaction accounts, other non-fiber assets and a pledge of equity interests in the asset entities. Certain Broadband Technology Opportunities Program (BTOP) funded assets remain subject and subordinate to a federal interest for the remainder of their estimated useful lives, which are scheduled to lapse in 2032- 2033. The cash flows are supported by a regional fiber network that primarily provides data services to a diversified mix of enterprise and wholesale customers. FirstLight operates an enterprise fiber business offering lit services, dark fiber and infrastructure solutions, consisting of long-haul, middle-mile and last-mile fiber services primarily for wholesale, enterprise, wireless carrier, and other large and medium size customers. The company currently operates in six states (Maine, New York, Massachusetts, Pennsylvania, Vermont and New Hampshire) with approximately 20,000 fiber route miles. Of that 20,000, approximately 16,500 miles are wholly owned by FirstLight. The remaining 3,500 miles are contracted under indefeasible right of use leases. The total mileage makes FirstLight the largest independent fiber provider in the Northeast. The transaction reflects an anticipated repayment date (ARD) structure, whereby the notes are interest-only until their five-year, soft bullet maturities, after which, all excess cash flow will be swept to pay down outstanding principal balances through the 30-year legal final maturity date. Losses will be borne reverse sequentially and the notes reflect an IIPPIP structure, with deferable interest on class C. The transaction is structured with a liquidity reserve account and triggers. The structure includes a class A-1 liquidity funding notes (LFN) that can be drawn to fund liquidity funding advances, subject to the satisfaction of certain conditions. The notes may be drawn to a maximum amount of $40 million. The structure also includes class A-1 variable funding notes (VFNs), subject to draw conditions with a maximum commitment of $150 million. At close, both the A-1-L and the A-1-V notes will be undrawn. The ratings reflect a structured finance cash flow analysis of the ownership interest in the underlying fiber optic network, rather than an assessment of the corporate default risk of the ultimate parent, FirstLight Fiber, Inc. KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $89.6 million, implying a 21.8% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 10.6x, versus the debt/issuer NCF leverage of 8.3x. Inclusive of a full draw on the VFN, Fitch NCF on the pool is $108.1 million, implying a 22.8% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 10.2x, compared with the debt/issuer NCF leverage of 7.9x. Based on the Fitch NCF and following the transaction's ARD, the notes would be repaid approximately 11 years from closing. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and maximum potential leverage include the high quality of the underlying collateral networks, which are 100% fiber, low historical churn rates compared to peers, low market and industry concentration, strong competitive positioning, seasoned markets with adequate operating history, capability of the operator and transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology, rendering obsolete the current transmission of data through fiber optic cables, will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information, and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Declining cash flow because of higher expenses, customer churn, contract amendments, declining contract rates or the development of an alternative technology for the transmission of data could lead to downgrades. - Fitch's base case NCF is 21.8% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'BBB-sf' from 'A-sf', class B to 'BB+sf' from 'BBBsf', and class C to 'B-sf' from 'BB-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow from rate increases, additional customers, lower expenses or contract amendments could lead to upgrades. - A 10% increase in Fitch's base case NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'Asf' from 'A-sf', class B to 'A-sf' from 'BBBsf', and class C to 'BBsf' from 'BB-sf'; - Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. FORTRESS CREDIT XXV: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R debt from Fortress Credit BSL XXV Ltd./Fortress Credit BSL XXV LLC, a CLO managed by FC BSL Management LLC Series V that was originally issued in June 2024. At the same time, S&P withdrew its ratings on the previous class B, C, D-1A, D-1B, D-2, and E debt following payment in full on the July 10, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 10, 2027. -- The reinvestment period was not extended. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were not extended. -- No additional assets were purchased on the July 10, 2026, refinancing date, and the target initial par amount remains at $450.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 24, 2026. -- The required minimum overcollateralization and interest coverage ratios were not amended. -- The previous class B debt was split into the replacement class B-1-R and B-2-R debt. -- The previous class D-1A and D-1B debt was combined into the replacement class D-1-R debt. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class B-1-R, $31.000 million: Three-month CME term SOFR + 1.65% -- Class B-2-R, $21.650 million: Three-month CME term SOFR + 1.85% -- Class C-R (deferrable), $27.000 million: Three-month CME term SOFR + 2.00% -- Class D-1-R (deferrable), $27.000 million: Three-month CME term SOFR + 3.50% -- Class D-2-R (deferrable), $5.625 million: Three-month CME term SOFR + 4.80% -- Class E-R (deferrable), $10.130 million: Three-month CME term SOFR + 6.50% Previous debt -- Class B, $58.50 million: Three-month CME term SOFR + 2.100% -- Class C (deferrable), $27.00 million: Three-month CME term SOFR + 2.700% -- Class D-1A (deferrable), $16.88 million: Three-month CME term SOFR + 4.300% -- Class D-1B (deferrable), $10.13 million: 8.217% -- Class D-2 (deferrable), $5.63 million: Three-month CME term SOFR + 5.500% -- Class E (deferrable), $10.13 million: Three-month CME term SOFR + 7.160% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Fortress Credit BSL XXV Ltd./Fortress Credit BSL XXV LLC Class B-1-R, $31.00 million: AA (sf) Class B-2-R, $21.65 million: AA (sf) Class C-R, $27.00 million: A (sf) Class D-1-R, $27.00 million: BBB (sf) Class D-2-R, $5.63 million: BBB- (sf) Class E-R, $10.13 million: BB- (sf) Ratings Withdrawn Fortress Credit BSL XXV Ltd./Fortress Credit BSL XXV LLC Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D-1A to NR from 'BBB (sf)' Class D-1B to NR from 'BBB (sf)' Class D-2 to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Fortress Credit BSL XXV Ltd./Fortress Credit BSL XXV LLC Class A-1-R, $272.25 million: NR Class A-2-R, $10.35 million: NR Subordinated notes, $48.65 million: NR NR--Not rated. HARVEST US 2026-2: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Harvest US CLO 2026-2, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Harvest US CLO 2026-2, Ltd. X LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-1-L LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf 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, 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, '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. Date of Relevant Committee 30 June 2026 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. HILDENE TRUPS P19C: Moody's Ups Rating on $15MM B Notes From Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Hildene TruPS Resecuritization P19C, LLC: US$38,000,000 Class A Notes due 2036 (current outstanding balance $37,221,037), Upgraded to A3 (sf); previously on July 24, 2024 Assigned Baa2 (sf) US$15,000,000 Class B Notes due 2036, Upgraded to Baa3 (sf); previously on July 24, 2024 Assigned Ba1 (sf) Hildene TruPS Resecuritization P19C, LLC, issued in July 2024, is a collateralized debt obligation (CDO) backed by a portion of Class C notes issued by Preferred Term Securities XIX, Ltd. (the "Underlying TruPS CDO"). A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes and the resulting increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the Underlying TruPS CDO's portfolio since July 2025. The underlyng TruPS CDO's Class A-1 notes have paid down by approximately 18.9% or $12.6 million since July 2025, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2 notes, Class B, and Class C notes in the underlying TruPS CDO have improved to 613.50%. 242.06%, 157.12%, and 116.56%, respectively, from July 2025 levels of 498.74%. 225.62%, 151.53%, and 114.31%, respectively. The Class A-1 notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the Underlying TruPS CDO's collateral pool. The deal has also benefited from improvement in the credit quality of the Underlying TruPS CDO's portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 918 from 1016 in July 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, 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 from the Underlying TruPS CDO's portfolio: Performing par: $332 million Defaulted/deferring par: $51 million Weighted average default probability: 7.19% (implying a WARF of 918) Weighted average recovery rate upon default of 20% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. Methodology Used for the Rating Action: The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assess through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. HPS PRIVATE 2024-2: S&P Assigns Prelim BB-(sf) Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from HPS Private Credit CLO 2024-2 LLC, a CLO managed by HPS Investment Partners LLC that was originally issued in March 2024. The preliminary ratings are based on information as of July 15, 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, B, C, D, and E debt and assign ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2R and E-R debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class D-1-R and D-2-R debt will replace the existing class D debt. -- The non-call period will be extended to July 20, 2028. -- The reinvestment period will be extended to Aug. 15, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to Aug. 15, 2039. -- No additional assets will be purchased on July 20, 2026, refinancing date, and the target initial par amount will remain at $400,000,000. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Nov. 15, 2026. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned HPS Private Credit CLO 2024-2 LLC Class A-R, $232.00 million: AAA (sf) Class B-R, $40.00 million: AA (sf) Class C-R (deferrable), $32.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB (sf) Class D-2-R (deferrable), $6.00 million: BBB- (sf) Class E-R (deferrable), $18.00 million: BB- (sf) Other Debt HPS Private Credit CLO 2024-2 LLC Subordinated notes, $42.29 million: NR NR--Not rated. LCM 29: S&P Lowers Class E-R Notes Rating to 'B- (sf)' ------------------------------------------------------ S&P Global Ratings raised its ratings on the class B-R and C-R notes from LCM 29 Ltd./LCM 29 LLC, a U.S. broadly-syndicated CLO managed by Clearlake Capital Group L.P. At the same time, S&P lowered its rating on the class E-R notes and removed it from CreditWatch, where it was placed with negative implications on May 6, 2026. Concurrently, S&P affirmed its ratings on the class A-R and D-R notes. The rating actions follow S&P's review of the transaction's performance using data from the May 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). S&P said, "On May 6, 2026, we placed our rating on the class E-R notes on CreditWatch negative primarily due to the declining credit support available to the class, the portfolio's par loss since issuance in March 2022, and the indicative cash flow results. "Since our July 2025 rating action, the class A-R notes had total paydowns of $128.37 million, which reduced its outstanding balance to 5.87% of the original balance." The changes in the reported overcollateralization (O/C) ratios since the May 2025 trustee report, which S&P used for its previous rating actions, include the following: -- The class A/B O/C ratio improved to 207.57% from 138.06%. -- The class C O/C ratio improved to 147.74% from 122.40%. -- The class D O/C ratio improved to 114.69% from 109.93%. -- The class E O/C ratio declined to 101.78% from 103.93%. The improved class A/B, C, and D O/C ratios primarily reflect the continued payments and de-leveraging of the senior class. The decline in the class E-R O/C ratio reflects the increase in haircuts from 'CCC' and defaulted collateral obligations, along with par losses since our July 2025 rating actions. The senior payments have helped increase credit support to the class B-R and C-R notes. However, the collateral portfolio's credit quality has deteriorated since S&P's last rating actions. Although the dollar value of 'CCC' collateral obligations has declined to $16.75 million from $21.2 million as of the May 2025 trustee report, the exposure as a proportion of the total pool has increased to 12.93% from 8.19%. Over the same period, the par amount of defaulted collateral decreased to $2.06 million from $5.55 million, but it increased as a proportion of the portfolio to 1.7% from 1.5%. The decrease in portfolio credit quality is partially offset by the continued seasoning of the underlying with the weighted average life declining to 2.9 years from 3.5 years at the time of S&P's July 2025 rating actions. The upgrades reflect the improved credit support available to the notes at the prior rating levels. The downgrade reflects the deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class E-R notes. In addition, the cash flows were failing at the prior rating level due to a decrease in the break-even default rate (BDR). Since S&P's last rating actions, the scenarios default rates (SDRs) have declined marginally due to: -- The offsetting impact of the increased exposure to assets in the 'CCC' rating category ('CCC' assets) and the decline in weighted average life. -- The decreased BDRs due to the increase in defaulted exposure and par losses. -- The further decline of the weighted average recovery rates (WARRs): the 'AAA' WARR decreased to 36.5% from 38% as of the May 2025 trustee report. -- The lower recovery expectations imply that the value recovered from the assets will be less than previously estimated if a default were to occur. Although the credit support for the class E-R notes continued to decline since S&P's July 2025 rating actions, it does not believe this class is dependent on favorable conditions to ultimately repay or is vulnerable to nonpayment at this time. Certain dependencies and vulnerabilities are developing such as the continued decline of the portfolio's credit quality, O/C and market value. Any continued deterioration of these vulnerabilities could lead to further negative rating changes on this class. 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 further rating actions. 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. "We will continue to review whether the ratings assigned to the debt remain consistent with the credit enhancement available to support them, in our view, and take rating actions as we deem necessary." Ratings Raised LCM 29 Ltd./LCM 29 LLC Class B-R to 'AAA (sf)' from 'AA+ (sf)' Class C-R to 'AA (sf)' from 'A (sf)' Rating Lowered And Removed From CreditWatch LCM 29 Ltd./LCM 29 LLC Class E-R to 'B- (sf)' from 'B (sf)/Watch Neg' Ratings Affirmed LCM 29 Ltd./LCM 29 LLC Class A-R: AAA (sf) Class D-R: BBB- (sf) LCM 32: S&P Lowers Class E Notes Rating to 'B (sf)' --------------------------------------------------- S&P Global Ratings lowered its ratings on the class D and E debt from LCM 32 Ltd. and removed them from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class A-1, B, and C debt from the same transaction. The broadly syndicated U.S. CLO is managed by LCM Euro LLC. The transaction was originally issued in May 2021 and will exit its reinvestment period in July 2026. On May 6, 2026, S&P had placed its ratings on the class D and class E debt on CreditWatch negative, primarily due to the declining credit support available to those classes and indicative cash flow results. The rating actions follow S&P's review of the transaction's performance using data from the May 2026 trustee report. Compared to the May 2025 report referenced in our July 2025 rating actions, following are the changes to the reported May 2026 overcollateralization (O/C) ratios: -- The class A/B O/C ratio declined to 126.56% from 126.81%. -- The class C O/C ratio declined to 117.29% from 117.51%. -- The class D O/C ratio declined to 109.30% from 109.51%. -- The class E O/C ratio declined to 105.11% from 105.31%. During the same period, the trustee-reported weighted average spread (WAS) decreased to 3.27% from 3.39%, S&P Global Ratings' weighted average recovery rate (WARR) on the 'AAA' rated debt decreased to 39.20% from 39.40%, and the collateral obligations in the 'CCC' rating category decreased to 5.86% from 6.04%. The par losses sustained by the portfolio, coupled with the decline in the portfolio's WAS, have weakened both the credit support and cash flow results for the class D and E debt, resulting in their downgrades. While the results of S&P's cash flow analysis also indicated a one-notch lower rating on the class C debt than the rating action reflects, S&P affirmed its rating after considering the margin of failure and the potential improvement if paydowns commence following the end of the reinvestment period in July 2026. However, any further deterioration and/or increase in defaults or par losses could lead to negative rating actions. The affirmed ratings on the class A-1 and B 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 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 LCM 32 Ltd. Class D to 'BB+ (sf)' from 'BBB- (sf)/Watch Neg' Class E to 'B (sf)' from 'B+ (sf)/Watch Neg' Ratings Affirmed LCM 32 Ltd. Class A-1: AAA (sf) Class B: AA (sf) Class C: A (sf) MADISON PARK LVIII: Fitch Affirms 'BBsf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding LVIII, Ltd.'s refinancing notes classes A-R, B-R, C-R, and D-R, and has affirmed the rating for class E. Entity/Debt Rating Prior ----------- ------ ----- Madison Park Funding LVIII, Ltd. A 55817BAA0 LT PIFsf Paid In Full AAAsf A-R LT AAAsf New Rating B 55817BAB8 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 55817BAC6 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 55817BAD4 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 55822LAA1 LT BBsf Affirmed BBsf Transaction Summary Madison Park Funding LVIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by UBS Asset Management (Americas) LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $479 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 24.68. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.51% first-lien senior secured loans and has a weighted average recovery assumption of 72.05%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 2.8-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 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 Jan. 25, 2028. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. FITCH ANALYSIS The portfolio includes 401 assets from 339 primarily high yield obligors. In Fitch's view, 0.3% of the portfolio consists of assets that are rated 'CC' or below. The portfolio balance (excluding defaults and including principal cash) is approximately $501 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Fixed Coupon test. 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 38.9% of the current portfolio par balance; ratings for 60.6% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.5% 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: 15.2%, 12.0%, and 12.0%, respectively; - Assumed risk horizon: Six years; - Minimum weighted average spread of 3.15%; - Fixed rate assets: 5.00%; - 'CCC' obligors as defined by Fitch's ratings: 7.5%; - Minimum weighted average coupon of 7.00%; - Non-first priority senior secured assets: 10.0%; The transaction will exit its reinvestment period on April 25, 2029. Fitch assigned a 'AAsf' with a Stable Outlook, one notch below the model-implied rating (MIR) to the class B-R note, 'Asf' with a Stable Outlook, one notch below the model-implied rating to class C-R note, 'BBB-sf' with a Stable Outlook, two notches below the model-implied rating, to the class D-R note, and affirmed the class E note at 'BBsf' with a Stable Outlook, one notch below the model-implied rating of 'BB+sf'. In Fitch's view, the MIR does not adequately reflect the transaction's adverse performance trend, including realized losses and an increase in market concern loans in the portfolio since the last reset closing in 2024. There will also be a $4 million principal cash injection by equity. These factors indicate a higher likelihood of further credit deterioration and weaker recovery prospects, increasing the tranches' sensitivity to additional portfolio stress. 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-R: 'AAAsf' / Default 43.80% / Recovery 38.36% / Cushion 14.30% - Class B-R: 'AAsf' / Default 41.00% / Recovery 47.56% / Cushion 11.40% - Class C-R: 'Asf' / Default 36.30% / Recovery 57.30% / Cushion 17.20% - Class D-R: 'BBB-sf' / Default 28.10% / Recovery 67.26% / Cushion 20.70% - Class E: 'BBsf' / Default 25.20% / Recovery 72.22% / Cushion 13.20% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-R: 'AAAsf' / Default 50.90% / Recovery 35.61% / Cushion 5.10% - Class B-R: 'AAsf' / Default 47.50% / Recovery 44.49% / Cushion 3.90% - Class C-R: 'Asf' / Default 42.60% / Recovery 53.86% / Cushion 8.40% - Class D-R: 'BBB-sf' / Default 33.80% / Recovery 63.50% / Cushion 14.00% - Class E: 'BBsf' / Default 30.40% / Recovery 68.49% / Cushion 7.90% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AAAsf' for class A-R, between 'BBB+sf' and 'AA-sf' for class B-R, between 'BBsf' and 'A+sf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-R 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-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-R and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Madison Park Funding LVIII, 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. MARKET STREET III: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Market Street CLO Ltd. III. Entity/Debt Rating ----------- ------ MARKET STREET CLO LTD. III A1 LT AAAsf New Rating A1 Loans LT AAAsf New Rating AJ LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D1 LT BBB-sf New Rating DJ LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Market Street CLO Ltd. III (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Macquarie Asset Management Credit Advisers 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 22.75, 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 100% 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 42.5% 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 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 A1, between 'A-sf' and 'AA+sf' for class AJ, 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 D1, and between less than 'B-sf' and 'BBB-sf' for class DJ 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 A1 and class AJ notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D1, and 'Asf' for class DJ 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 Market Street CLO Ltd. III. 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. MCF CLO VIII: S&P Assigns BB- (sf) Rating on Class E-RR Notes ------------------------------------------------------------- S&P Global Ratings assigned its 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 new class X debt from MCF CLO VIII Ltd./MCF CLO VIII LLC, a CLO managed by Apogem Capital LLC that was originally issued in June 2018 and underwent a second refinancing in May 2024. 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 10, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, and E-RR debt was issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class D-2-RR debt was issued at a floating spread. -- The stated maturity of the debt was extended by 2.25 years. -- The reinvestment period and the non-call period were extended by 2.18 years. Additional assets were purchased, and the target initial par amount increased 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 was 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 were amended. 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. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned MCF CLO VIII Ltd./MCF CLO VIII LLC 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) Ratings Withdrawn MCF CLO VIII Ltd./MCF CLO VIII LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' Other Debt MCF CLO VIII Ltd./MCF CLO VIII LLC Subordinated notes, $85.76 million: NR NR--Not rated. MERRILL LYNCH 2007-4: Moody's Cuts Rating on Class 1-A Debt to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds and downgraded ratings of one bond from four US residential mortgage-backed transactions (RMBS), backed by jumbo and subprime mortgages issued by multiple issuers. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=CYTgaW 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: CHL Mortgage Pass-Through Trust 2004-22 Cl. A-1, Upgraded to Baa2 (sf); previously on Sep 30, 2016 Upgraded to Ba2 (sf) Cl. A-2, Upgraded to Baa2 (sf); previously on Sep 30, 2016 Upgraded to Ba2 (sf) Cl. A-3, Upgraded to Baa2 (sf); previously on Sep 30, 2016 Upgraded to Ba2 (sf) Cl. M, Upgraded to Ca (sf); previously on Apr 19, 2011 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-8 Cl. 1-A-1, Upgraded to Baa1 (sf); previously on Sep 16, 2025 Upgraded to Ba1 (sf) Cl. 1-A-2, Upgraded to Ba2 (sf); previously on Sep 16, 2025 Upgraded to B1 (sf) Cl. 2-A-4, Upgraded to Ba1 (sf); previously on Sep 16, 2025 Upgraded to Ba2 (sf) Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4 Cl. 1-A, Downgraded to B1 (sf); previously on Nov 5, 2024 Upgraded to Ba3 (sf) Issuer: RAMP Series 2004-RS8 Trust Cl. M-II-2, Upgraded to Baa3 (sf); previously on Sep 26, 2025 Upgraded to Ba1 (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. The rating downgrade of Class 1-A from Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4 is due to outstanding interest shortfalls and the uncertainty of whether those shortfalls will be reimbursed. 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, 1.11x for these 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. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. MORGAN STANLEY 2019-PLND: DBRS Confirms Csf Rating on 8 Tranches ---------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-PLND issued by Morgan Stanley Capital I Trust 2019-PLND as follows: -- Class A at C (sf) -- Class B at C (sf) -- Class C at C (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) -- Class X-EXT at C (sf) All classes have credit ratings that do not typically carry a trend in commercial mortgage-backed securities credit ratings. CREDIT RATING RATIONALE/DESCRIPTION -- The credit rating confirmations on all classes are supported by the updated recoverability analysis and recent sale comparable, which indicates that recoverability of principal at the senior portion of the capital stack remains unlikely. -- The credit rating actions are further supported by the continued full shorting of interest payments across the entire capital stack. -- As of the May 2026 remittance, accumulated interest shortfalls totaled $40.1 million, which has increased from $29.1 million as of Morningstar DBRS' previous credit rating action in September 2025. -- In May 2024, the servicer provided a Notice of Non-Recoverability, citing the proceeds implied by the December 2023 appraisals. As a result, there has been no interest distributed to bondholders since May 2024. Loan/Collateral Overview -- At issuance, the floating-rate transaction was secured by a $240.0 million first-lien mortgage loan on two Hilton-branded, full-service hotels on adjacent city blocks in Portland, Oregon. -- The Hilton Downtown and the Duniway are near the corner of Southwest Taylor Street and Southwest 6th Avenue in Portland's downtown core. The two hotels combine for 782 rooms, approximately 63,000 square feet of meeting space, and three food and beverage outlets. -- The loan initially transferred to the special servicer for monetary default in June 2020. A foreclosure action was finalized in January 2023, and the assets are now real estate owned. -- Since the last credit rating action in September 2025, there have been minimal developments towards disposition as the greater Portland lodging market remains challenged. According to a Q1 2026 market report from Marcus & Millichap, Inc., there has been an 8.6% decline in international travelers year over year in the Portland market with the downtown submarket expected to see a decline in demand throughout 2026. -- According to several online news articles, the Portland Marriott Downtown Waterfront (506 keys) property sold in February 2026 for $30.1 million or approximately $60,000 per key. The sale price was reported to be less than half of its prior sale price of $82.8 million in November 2013. -- The subject properties were most recently valued at $111.8 million ($143,000 per key) on an as-is basis as of September 2025, following a continued decline in valuations since the issuance appraisal of $340.6 million. -- Morningstar DBRS anticipates further declines in the property's value, supported by the recent sale of the Portland Marriot Downtown Waterfront property. -- Morningstar DBRS also expects the timeline for an eventual disposition of the subject properties to be prolonged as the Portland market continues to struggle with a lack of investor appetite. PERFORMANCE HIGHLIGHTS -- For the trailing 12-month (T-12) period ended March 31, 2026, STR, Inc. (STR) reported that occupancy, average daily rate, and revenue per available room (RevPAR) were 48.7%, $157.35, and $76.68, respectively, for the Hilton Downtown and 62.5%, $156.04, and $97.46, respectively, for the Duniway. -- The Hilton Downtown saw decreases across the board while the Duniway saw a slight increase in occupancy and RevPAR compared with the June 2025 STR figures. -- For the same T-12 period ended March 31, 2026, the two properties achieved RevPAR penetrations of 96.9% and 103.5%, respectively, both down from 113.4% and 107.1%, respectively, in June 2025. -- Financial performance remains muted with a YE2025 NCF figure of $2.6 million, well below covering debt service payments. ANALYSIS SUMMARY -- Although Morningstar DBRS' credit ratings are constrained by sustained shorted interest throughout the capital stack, Morningstar DBRS conducted a recoverability analysis to determine eligibility of any proceeds at the eventual liquidation of the two properties. -- The liquidation scenario was based on a significant 60% haircut to the September 2025 appraised value of $111.8 million. The haircut was supported by the February 2026 sale of the Portland Marriott Downtown Waterfront property, which serves as a reasonable sale comparable in a challenged market. -- The liquidation scenario also accounted for a 1.0% liquidation fee, outstanding advances, and additional expected servicer expenses ahead of an ultimate disposition that totaled approximately $63.0 million. -- The resulting projected loss severity was more than 100%, indicating that a full principal recovery in the senior positions of the capital stack is unlikely, supporting the credit rating confirmations. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Class X-EXT is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-NQM8: S&P Assigns (P) 'B' Rating on B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-NQM8's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of four months. The mortgage loans primarily have a 30-year maturity. There are 14 loans with 40-year maturities and one loan with a 15-year maturity. The loans are secured by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family residential properties, and five- to 10-unit multifamily properties. The pool consists of 890 loans backed by 1,007 properties, which are qualified mortgage (QM)/non-higher-priced mortgage loan (HPML) (average prime offer rate), QM/HPML (rebuttable presumption), non-QM/ability to repay (ATR) compliant, and ATR-exempt. The preliminary ratings are based on information as of July 14, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A., and originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-NQM8 Class A-1FCF, $115,560,000: AAA (sf) Class A-1LCF, $38,520,000: AAA (sf) Class A-1, $154,080,000: AAA (sf) Class A-1-A, $133,460,000: AAA (sf) Class A-1-B, $20,620,000: AAA (sf) Class A-2, $29,926,000: AA- (sf) Class A-3, $35,871,000: A- (sf) Class M-1, $15,049,000: BBB- (sf) Class B-1, $8,040,000: BB (sf) Class B-2, $9,070,000: B (sf) Class B-3, $6,185,159: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $20,618,159: NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $412,301,159. NR--Not rated. N/A--Not applicable. NAVESINK CLO 1: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary 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 proposed new class X-R2 debt from Navesink CLO 1 Ltd./Navesink CLO 1 LLC, a CLO managed by ZAIS Leveraged Loan Master Manager LLC that was originally issued in June 2023 and underwent a first refinancing in May 2025. The preliminary ratings are based on information as of July 15, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On July 22, 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-1R, A-JR, B-R, C-R, D-1R, D-JR, and E-R debt and assign 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 proposed new class X-R2 debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed 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 is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt is expected to be issued at a floating spread, replacing the current floating spread. -- The stated maturity will be extended by three years; the reinvestment period will be extended by two years; and the non-call period and weighted average life test dates will be extended by 1.2 years. -- The non-call period will be extended to July 25, 2027. -- The reinvestment period will be extended to July 25, 2028. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 25, 2036. -- Additional assets will be purchased on July 22, 2026, refinancing date, and the target initial par amount will remain at $ 350 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 25, 2026. -- New class X-R2 debt will be issued on the refinancing date and is expected to be paid down using interest proceeds during the first sixteen payment dates in equal installments of $328,125, beginning on the first payment date and ending July 25, 2030. -- 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 Navesink CLO 1 Ltd./Navesink CLO 1 LLC Class X-R2, $5.250 million: AAA (sf) Class A-1-R2, $210.000 million: AAA (sf) Class A-2-R2, $21.000 million: AAA (sf) Class B-R2, $35.000 million: AA (sf) Class C-R2 (deferrable), $21.000 million: A (sf) Class D-1-R2 (deferrable), $19.250 million: BBB (sf) Class D-2-R2 (deferrable), $5.250 million: BBB- (sf) Class E-R2 (deferrable), $10.500 million: BB- (sf) Other Debt Navesink CLO 1 Ltd./Navesink CLO 1 LLC Subordinated notes, $28.875 million: NR NR--Not rated. NEW RESIDENTIAL 2026-RPL1: 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-RPL1 (NRMLT 2026-RPL1). Entity/Debt Rating ----------- ------ NRMLT 2026-RPL1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating M1 LT A(EXP)sf Expected Rating M2 LT BBB(EXP)sf Expected Rating M 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 B LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates issued New Residential Mortgage Loan Trust 2026-RPL1 (NRMLT 2026-RPL1), as indicated above. The notes are supported by 2,910 seasoned performing and reperforming loans, that have a total balance of approximately $411.7 million as of the cutoff date. The notes are secured mainly by seasoned performing and reperforming loans. Approximately 92.2% of the pool was originated prior to the implementation of ability to repay (ATR), while the remaining were originated post-ATR. 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. NRMLT 2026-RPL1 has a final probability of default (PD) of 46.8% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 22.0%. The expected loss in the 'AAAsf' rating stress is 10.3%. Structural Analysis: The transaction utilizes a sequential pay structure. The credit enhancement consists of subordinated notes, distributions of which will be subordinated to P&I payments due to senior noteholders. In addition, excess cash flow resulting from the difference between the interest earned on the mortgage collateral and that paid on the notes may be available to pay down additional principal on the notes. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios (see Highlights and Cash Flow Analysis sections for more details). The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction and focused primarily on a compliance review. Fitch applied various adjustments to take into account compliance related risks as outlined further in this report. 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 NRMLT 2026-RPL1 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2026-RPL1, therefore, Fitch assigns the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 38.2% 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 a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, made the following adjustments to its analysis: - Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% LS over-ride; - Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point LS increase; - Unpaid taxes and lien amounts were added to the LS. In total, these adjustments increased the 'AAAsf' loss by approximately 24bps. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. OBX 2026-AHC3: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 64 classes of residential mortgage-backed securities (RMBS) to be issued by OBX 2026-AHC3 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of GSE-eligible (100% by balance) residential mortgages aggregated by Onslow Bay Financial LLC, and originated and serviced by AmeriHome Mortgage Company, LLC. The complete rating actions are as follows: Issuer: OBX 2026-AHC3 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-F1, Assigned (P)Aaa (sf) Cl. A-F1-X*, Assigned (P)Aaa (sf) CI. A-F2, Assigned (P)Aaa (sf) CI. A-F2-X*, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-15*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aaa (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aaa (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aa1 (sf) Cl. A-X-25*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-2A, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3(sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.38%, in a baseline scenario-median is 0.17% and reaches 5.50% 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. OCP CLO 2022-25: S&P Assigns Prelim BB- (sf) Rating on E-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R2, B-R2, C-R2, D1-R2, D2-R2, and E-R debt from OCP CLO 2022-25 Ltd./OCP CLO 2022-25 LLC, a CLO managed by Onex Credit Partners LLC, a subsidiary of Onex Corp., that was originally issued in September 2022 and underwent a refinancing in July 2024. The preliminary ratings are based on information as of July 14, 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-1R, A-2R, B-1R, B-2R, C-R, D-1R, D-2R, and E-R debt and assign ratings to the replacement class A-R2, B-R2, C-R2, D1-R2, D2-R2, and E-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R2, B-R2, C-R2, D1-R2, D2-R2, and E-R debt is expected to be issued at a lower spread over three-month term SOFR than the existing debt. -- The replacement class A-R2 debt is expected to be issued at a floating spread, replacing the existing class A-1R and A-2R debt. -- The stated maturity, reinvestment period, and non-call period will be extended by 2 years. -- An additional $9.50 in million preference shares will be issued. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OCP CLO 2022-25 Ltd./OCP CLO 2022-25 LLC Class A-R2, $236.25 million: AAA (sf) Class B-R2, $48.75 million: AA (sf) Class C-R2 (deferrable), $22.50 million: A (sf) Class D1-R2 (deferrable), $22.50 million: BBB- (sf) Class D2-R2 (deferrable), $3.75 million: BBB- (sf) Class E-R2 (deferrable), $11.25 million: BB- (sf) Other Debt OCP CLO 2022-25 Ltd./OCP CLO 2022-25 LLC Preference shares, $45.00 million: NR NR--Not rated. OHA CREDIT 18-R: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to OHA Credit Funding 18-R, Ltd. reset. Entity/Debt Rating ----------- ------ OHA Credit Funding 18-R, Ltd. X LT AAAsf New Rating A-1 LT AAAsf 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 OHA Credit Funding 18-R, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Oak Hill Advisors, L.P.. This transaction constitutes a reset, whereby the net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.40, 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% 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 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 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 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'Asf' for class C, between less than 'B-sf' and 'BBB+sf' for class D-1, and between less than 'B-sf' and 'BBB-sf' for class D-2 and between less than 'B-sf' and 'BBsf' 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 '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 OHA Credit Funding 18-R, 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. PMT LOAN 2025-INV9: Moody's Upgrades Rating on Cl. B-5 Certs to B2 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of ten bonds issued by PMT Loan Trust 2025-INV9. The collateral backing this deal consists of jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. Issuer: PMT Loan Trust 2025-INV9 Cl. A-31, Upgraded to Aaa (sf); previously on Sep 16, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-32, Upgraded to Aaa (sf); previously on Sep 16, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-33, Upgraded to Aaa (sf); previously on Sep 16, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X1*, Upgraded to Aaa (sf); previously on Sep 16, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Upgraded to Aaa (sf); previously on Sep 16, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Upgraded to Aaa (sf); previously on Sep 16, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Sep 16, 2025 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Sep 16, 2025 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Sep 16, 2025 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Sep 16, 2025 Definitive Rating Assigned B3 (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 no cumulative losses and a small percentage of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pool amortizes relatively quickly. The credit enhancement since closing has grown, on average, 1.2x for the non-exchangeable tranches upgraded. No actions were taken on the other rated classes in this deal because their expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. 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-J4: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to 54 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2026-J4, and sponsored by PennyMac Corp. The securities are backed by a pool of prime jumbo (70.6% by balance) and GSE-eligible (29.4% 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-J4 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-34, Definitive Rating Assigned Aaa (sf) Cl. A-34X*, Definitive Rating Assigned Aaa (sf) Cl. A-35, Definitive Rating Assigned Aaa (sf) Cl. A-35X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned on June 24, 2026, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.39%, in a baseline scenario-median is 0.18% and reaches 5.39% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PREFERRED TERM XIX: Moody's Ups Rating on $82.8MM C Notes From Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Preferred Term Securities XIX, Ltd.: US$87,600,000 Floating Rate Class B Mezzanine Notes due 2035 (current balance of $74,229,093.58), Upgraded to Aa1 (sf); previously on July 23, 2024 Upgraded to Aa3 (sf) US$82,800,000 Floating Rate Class C Mezzanine Notes due 2035 (current balance of $73,599,159.17), Upgraded to Baa2 (sf); previously on August 26, 2022 Upgraded to Ba1 (sf) Moody's have also upgraded the following notes issued by PreTSL Combination Certificates: US$9,000,000 PreTSL Combination Series P XIX-4 Certificates due 2035, Upgraded to Baa2 (sf) (current balance of $4,430,771.24), previously on August 26, 2022 Affirmed B1 (sf) Preferred Term Securities XIX, Ltd., issued in September 2005, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance trust preferred securities (TruPS). PreTSL Combination Certificates, issued in July 2006, are combination certificates comprising $4 million of Class B notes and $5 million of subordinate income notes issued by Preferred Term Securities XIX, Ltd. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes and the resulting increase in the transaction's over-collateralization (OC) ratios since July 2025. The Class A-1 notes have paid down by approximately 18.9% or $12.6 million since July 2025, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-1, Class A-2 notes, Class B, and Class C notes have improved to 613.50%. 242.06%, 157.12%, and 116.56%, respectively, from July 2025 levels of 498.74%. 225.62%, 151.53%, and 114.31%, respectively. The Class A-1 notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. Furthermore, the credit quality of the underlying portfolio has improved since July 2025. Based on Moody's calculations, the weighted average rating factor (WARF) is currently 918 compared to 1016 in July 2025. The PreTSL Combination Series P XIX-4 Certificates have, in addition, benefitted from ongoing reduction in rated balance, decreasing by approximately 7% or $0.34 million since July 2025. The rating action on PreTSL Combination Series P XIX-4 Certificates also reflects the correction of a prior error. In previous rating actions, credit was not given to certain proceeds to be paid to the combination certificates. This error has been corrected, and the rating action reflects the correct modeling. Moody's rating of the Combination Securities addresses only the ultimate receipt of the Combination Securities Rated Balance by the holders of the Combination Securities. Moody's rating of the Combination Securities does not address any other payments or additional amounts that a holder of the Combination Securities may receive pursuant to the underlying documents. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, 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: $332 million Defaulted/deferring par: $51 million Weighted average default probability: 7.19% (implying a WARF of 918) Weighted average recovery rate upon default of 10% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. No actions were taken on the Class A-1 and Class A-2 notes because their expected losses remain commensurate with their current ratings, after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for the Rating Action: The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assess through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. PRET 2026-RPL3: Moody's Assigns B2 Rating to Cl. B-2 Certs ---------------------------------------------------------- Moody's Ratings has assigned definitive ratings to nine classes of residential mortgage-backed securities (RMBS) 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, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned Aa1 (sf) Cl. A-4, Definitive Rating Assigned A1 (sf) Cl. A-5, Definitive Rating Assigned A3 (sf) Cl. M-1, Definitive Rating Assigned A2 (sf) Cl. M-2, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Cl. B-2, Definitive Rating Assigned B2 (sf) 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 METHODOLOGY 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. PROVIDENT FUNDING 2025-4: Moody's Ups Rating on B-4 Certs to Ba1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds issued by Provident Funding Mortgage Trust 2025-4. The collateral backing this deal consists of agency eligible 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: Provident Funding Mortgage Trust 2025-4 Cl. A-15, Upgraded to Aaa (sf); previously on Sep 12, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-16, Upgraded to Aaa (sf); previously on Sep 12, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Sep 12, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Upgraded to Aaa (sf); previously on Sep 12, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Sep 12, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Sep 12, 2025 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Sep 12, 2025 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Sep 12, 2025 Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance and Moody's updated loss expectations on the underlying pool. The transaction Moody's reviewed continues to display strong collateral performance, with no cumulative loss and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in the transaction have grown significantly, as the pool amortizes relatively quickly. The credit enhancement since closing has grown, on average, 1.2x 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 the deal because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PROVIDENT FUNDING 2026-3: Moody's Assigns (P)B2 Rating to B-5 Certs ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 38 classes of residential mortgage-backed securities (RMBS) to be issued by Provident Funding Mortgage Trust 2026-3, and sponsored by Provident Funding Associates, L.P. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages originated and serviced by Provident Funding Associates, L.P. The complete rating actions are as follows: Issuer: Provident Funding Mortgage Trust 2026-3 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa1 (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.29%, in a baseline scenario-median is 0.12% and reaches 4.29% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PRPM 2026-R1: Fitch Assigns 'B-(EXP)sf' Rating on Class B2 Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes to be issued by PRPM 2026-R1 Trust (PRPM 2026-R1). Entity/Debt Rating ----------- ------ PRPM 2026-R1 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 AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating P LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the PRPM 2026-R1 Trust mortgage pass-through notes, series 2026-R1, as indicated above. The residential mortgage-backed notes are supported by 1,548 nonqualified mortgage (NQM)/nonprime loans with a $602.15 million balance as of the cutoff date. All loans in the pool are seasoned for more than 24 months and were included in prior PRPM securitizations. PRPM 2026-R1 has a mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 70.2%. In addition, 96.6% of the loans are current while the remaining 3.4% of the pool is currently delinquent. Of the pool, 91.6% were underwritten to less-than-full documentation. In addition, 7.6% were underwritten to a 12- or 24-month bank statement program, and 83.2% were debt service coverage ratio (DSCR) or DSCR no-ratio products. 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. PRPM 2026-R1 has a final probability of default (PD) of 48.26% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 39.36%. The expected loss in the 'AAAsf' rating stress is 19.00%. Structural Analysis: The mortgage cash flow and loss allocation in PRPM 2026-R1 are based on a modified sequential-payment structure whereby principal is distributed pro rata among the senior notes (A-1FCF/A-1LCF, A-1A, A-1B, A-2 and A-3 classes) while excluding subordinate bonds from principal until all senior classes are reduced to zero. To the extent either a cumulative loss trigger event or a delinquency trigger event occurs in a given period, principal will be distributed sequentially to the A-1 classes, and then sequentially to the A-2 and A-3 notes until they are reduced to zero. 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. 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 5bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm that have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements as described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on transaction performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects PRPM 2026-R1 to be fully de-linked and to serve as a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to PRPM 2026-R1; as such, 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 This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.8%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. CRITERIA VARIATION PRPM 2026-R1 included a criteria variation due to the cross-collateralization concentration of 15.3% being above Fitch's criteria threshold of 10%. Fitch was comfortable with the increased concentration due to mitigating factors such as the seasoning of the loans, performance history and low MTM LTV. Fitch also applied additional PD adjustment to account for increased concentration above threshold. 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, Canopy, Clayton, Consolidated Analytics, Covius, Evolve, Infinity, Maxwell, Mission, Wipro and Selene. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RCKT MORTGAGE 2026-CES7: Fitch Gives 'B(EXP)' Rating on 5 Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by RCKT Mortgage Trust 2026-CES7 (RCKT 2026-CES7). Entity/Debt Rating ----------- ------ RCKT 2026-CES7 A1A LT AAA(EXP)sf Expected Rating A1B 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 A1 LT AAA(EXP)sf Expected Rating A4 LT AA(EXP)sf Expected Rating A5 LT A(EXP)sf Expected Rating A6 LT BBB(EXP)sf Expected Rating B1A LT BB(EXP)sf Expected Rating BX1A LT BB(EXP)sf Expected Rating B1B LT BB(EXP)sf Expected Rating BX1B LT BB(EXP)sf Expected Rating B2A LT B(EXP)sf Expected Rating BX2A LT B(EXP)sf Expected Rating B2B LT B(EXP)sf Expected Rating BX2B LT B(EXP)sf Expected Rating A1L LT AAA(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 5,920 closed-end second lien (CES) loans with a total balance of approximately $550 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or cover net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RCKT 2026-CES7 has a final probability of default (PD) of 19.1% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 98.1%. The expected loss in the 'AAAsf' rating stress is 18.8%. Structural Analysis: The mortgage cash flow and loss allocation in RCKT 2026-CES7 are based on a sequential-payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal, first, to repay any current or previously allocated cumulative applied realized losses, and then to repay potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (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 12.6% of the loans in the transaction by loan count. Fitch applies a 5% probability of default reduction for loans fully reviewed by a third-party review (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 RCKT 2026-CES7 to be fully de-linked and a bankruptcy-remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to RCKT 2026-CES7 and therefore Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 38.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch received Form ABS Due Diligence-15E (Form 15E), prepared by SitusAMC and Consolidated Analytics. The third-party due diligence described in Form 15E covered credit, compliance, and property valuation reviews. Fitch considered the results of this review in its analysis and, accordingly, applied an approximately 5% origination PD credit to loans that were fully reviewed by the third-party review firm and assigned a final grade of A or B. Third-party due diligence was performed on 12.6% of the transaction's loans by loan count and all reviewed loans received a grade of A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RIN XV LLC: Moody's Assigns Ba3 Rating to $8MM Class E Notes ------------------------------------------------------------ Moody's Ratings has assigned ratings to six classes of notes issued by RIN XV LLC (the Issuer or RIN XV): US$256,000,000 Class A-1 Floating Rate Senior Notes due 2039, Definitive Rating Assigned Aaa (sf) US$8,000,000 Class A-2 Floating Rate Senior Notes due 2039, Definitive Rating Assigned Aaa (sf) US$40,000,000 Class B Floating Rate Senior Notes due 2039, Definitive Rating Assigned Aa1 (sf) US$24,000,000 Class C Deferrable Floating Rate Mezzanine Notes due 2039, Definitive Rating Assigned A2 (sf) US$24,000,000 Class D Deferrable Floating Rate Mezzanine Notes due 2039, Definitive Rating Assigned Baa3 (sf) US$8,000,000 Class E Deferrable Floating Rate Mezzanine Notes due 2039, Definitive Rating Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. 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 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 issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's 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 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 70 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. 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 Coupon (WAC): 6% 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% Minimum Obligors: 70 Largest Obligor: 3.5% Largest 5 Obligors: 61% B2 Default Probability Rating Obligations: 17% B3 Default Probability Rating Obligations: 10% Project Finance Infrastructure Obligors: 50% Corporate Power Infrastructure Obligors: 15% Power Infrastructure Obligors: 44.75% Methodologies Underlying the Rating Action: The methodologies used in these ratings were "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. Portfolio Advisor's investment decisions and management of the transaction will also affect the performance of the Rated Notes. ROCKFORD TOWER 2024-1: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Rockford Tower CLO 2024-1, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Rockford Tower CLO 2024-1, Ltd. X-R LT NRsf New Rating A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1R LT BBBsf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Rockford Tower CLO 2024-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Rockford Tower Capital Management, L.L.C. The transaction originally closed in 2024, and this is the first refinancing of the deal where all the existing notes would be refinanced in whole. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.13 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 96.76% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.85% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 46% 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 between 'Asf' and 'AA+sf' for class A-2R, between 'BBBsf' and 'A+sf' for class B-R, between 'BB-sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA-sf' for class C-R, 'A+sf' for class D-1R, 'BBB+sf' for class D-2R, 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 Rockford Tower 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. SANTANDER MORTGAGE 2026-NQMS1: Fitch Rates Class B2 Notes 'Bsf' --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Outlooks to Santander Mortgage Asset Receivables 2026-NQMS1 (SAN 2026-NQMS1) Entity/Debt Rating Prior ----------- ------ ----- SAN 2026-NQMS1 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1FCF LT WDsf Withdrawn AAA(EXP)sf A1LCF LT WDsf Withdrawn AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 783 seasoned Non-QM loans with a balance of $375,016,398.05 as of the cutoff date. The transaction is expected to close on July 9, 2026. The notes are secured by non-QM mortgage loans seasoned 33 months on average. 58.5% of the loans in the pool were in prior securitizations that were called. As of the cutoff date, 97.1% of the loans are current, 0.1% are current but in bankruptcy, and roughly 2.8%-59% 30 days delinquent. Of the loans, 55% are designated as non-QM, 44.6% are exempted mortgage loans that were not subject to the ability-to-repay (ATR) rule, 0.1% are safe harbor QM loans, and 0.33% are qualified mortgage rebuttable presumption loans. The loans were originated by various non-QM originators. The loans will be serviced by Select Portfolio Servicing, Inc. and Citadel Servicing Corporation (ServiceMac subservicer for Citadel). The master servicer will be Rocket Mortgage, LLC. The class A-1A, A-1B, A-2, and A-3 notes are fixed rate and capped at the net weighted average coupon (WAC) and have a step-up feature. The class M-1 and B-1 notes' rate will be determined at pricing based on the lower of a fixed rate capped at the net WAC rate or the net WAC rate for the related distribution date. The class B-2 and B-3 coupons will be based on the net WAC. Fitch was not asked to rate the B-3, XS, or A-IO-S classes. After the presale was published, the issuer decided not to offer the A-1FCF and A-1LCF classes. As a result, Fitch has withdrawn the 'AAA(EXP)sf'/Outlook Stable expected rating previously assigned to these classes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess credit risk and expected losses. The pool consists of 783 non-QM mortgage loans totaling $375,016,398.05. The mortgage loans consist of fixed-rate and adjustable-rate mortgage loans secured by first liens on single-family detached residential properties, single-family attached residential properties, planned unit developments, two-to-four family residential properties, 5-to-10 unit multi-family properties, condominiums, townhouses and manufactured housing. The loans are mainly underwritten to less than full documentation programs consisting primarily of 12-24 bank statements (52%) and DSCR loans (33.7%). Fitch considered 5.2% of the pool to be limited/no documentation loans and 9.1% of the loans fully documented. The loans are seasoned at an average of 33 months, according to Fitch. The pool has a weighted average (WA) original FICO score of 745, indicative of very high credit-quality borrowers. The Fitch-determined original WA combined loan-to-value ratio (CLTV) of 70.5% results in a sustainable loan-to-value ratio (sLTV) of 72.4%. These strong collateral attributes are reflected in Fitch's loss analysis. SAN 2026-NQMS1 has a Final PD of 44.83% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 36.79%. The expected loss in the 'AAAsf' rating stress is 16.50%. Structural Analysis (Mixed): The transaction has a modified sequential structure with limited advancing of delinquent P&I. The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1A, A-1B, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the classes, first to the A-1A and A-1B and then A-2 and A-3 until they are reduced to zero. The class A notes have a step-up coupon feature whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. This step-up feature will occur on or after the distribution date in July 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1A, A-1B, A-2 and A-3 classes on and after July 2030. Specifically, on any distribution date occurring on or after the distribution date in July 2030 on which the aggregate unpaid cap carryover amount for class A notes is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 notes in both the interest and principal waterfalls. This feature supports the class A-1A and A-1B notes being paid timely interest at the step-up coupon rate under Fitch's stresses and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the notes for losses or interest shortfalls. The excess spread may be reduced on and after July 2030, since classes A-1A, A-1B, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. Losses are allocated reverse sequentially starting with B-3. Once the A-2 class is written off, losses will be allocated to A-1B first and then to A-1A once A-1B is written off. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm and have a final grade of either "A" or "B". In total 97.6% of the loans in the pool received this credit. 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 transaction's performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects the transaction 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 this transaction and therefore Fitch rates to the highest possible rating at 'AAAsf' without rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool and lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 9.06%, at 'B'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up 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 several third-party review firms. The third-party due diligence described in Form 15E focused on credit, compliance, and valuations. Due diligence review was conducted on 100% of the loans in the pool and a 5bps z-score reduction was applied to the loans that received a grade of A or B that did not have a CDFI penalty applied. In total this credit was given to 97.6% of the loans in the pool. As a result of the due diligence, losses were reduced. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged several TPR firms to perform the review. Loans reviewed under these engagements were given compliance, credit, and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA MORTGAGE 2026-9: Fitch Rates Class B5 Certs 'B(EXP)sf' -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-9 (SEMT 2026-9). Entity/Debt Rating ----------- ------ SEMT 2026-9 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating A26F LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A28 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating ACH4 LT AAA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating ACH67 LT AAA(EXP)sf Expected Rating A32 LT AAA(EXP)sf Expected Rating A33 LT AAA(EXP)sf Expected Rating A34 LT AAA(EXP)sf Expected Rating A35 LT AAA(EXP)sf Expected Rating A36 LT AAA(EXP)sf Expected Rating A37 LT AAA(EXP)sf Expected Rating A38 LT AAA(EXP)sf Expected Rating A39 LT AAA(EXP)sf Expected Rating A40 LT AAA(EXP)sf Expected Rating A41 LT AAA(EXP)sf Expected Rating A42 LT AAA(EXP)sf Expected Rating A43 LT AAA(EXP)sf Expected Rating A44 LT AAA(EXP)sf Expected Rating A45 LT AAA(EXP)sf Expected Rating A46 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating AIO27 LT AAA(EXP)sf Expected Rating AIO27F LT AAA(EXP)sf Expected Rating AIO28 LT AAA(EXP)sf Expected Rating AIO29 LT AAA(EXP)sf Expected Rating AIO30 LT AAA(EXP)sf Expected Rating AIO36 LT AAA(EXP)sf Expected Rating AIO37 LT AAA(EXP)sf Expected Rating AIO38 LT AAA(EXP)sf Expected Rating AIO39 LT AAA(EXP)sf Expected Rating AIO40 LT AAA(EXP)sf Expected Rating AIO41 LT AAA(EXP)sf Expected Rating AIO42 LT AAA(EXP)sf Expected Rating AIO43 LT AAA(EXP)sf Expected Rating AIO44 LT AAA(EXP)sf Expected Rating AIO45 LT AAA(EXP)sf Expected Rating AIO46 LT AAA(EXP)sf Expected Rating AIO47 LT AAA(EXP)sf Expected Rating AIO67 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 AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating LTR LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 607 loans with a total balance of approximately $749.95 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 36.8% debt-to-income ratio. The borrowers also have moderate leverage, with a 72.5% mark-to-market combined loan to value (LTV). Overall, 94.5% 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. 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 2026-9 has a final probability of default (PD) of 10.02% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 35.47%. The expected loss in the 'AAAsf' rating stress is 3.55%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in SEMT 2026-9 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 analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The credit enhancement for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: 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 97.4% of the loans in the transaction by loan count. Fitch applies a 5 bps Z-score reduction for loans fully reviewed by a third-party review (TPR) firm that 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 SEMT 2026-9 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 SEMT 2026-9 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 38.0% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, 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 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. SG RESIDENTIAL 2026-5: S&P Assigns (P) B- (sf) Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to SG Residential Mortgage Trust 2026-5's residential mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans secured primarily by single-family residential properties, planned-unit developments, condominiums, co-operative properties, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 666 loans. The preliminary ratings are based on information as of July 14, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator, SG Capital Partners LLC, and the mortgage originator, ClearEdge Lending LLC; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) SG Residential Mortgage Trust 2026-5 Class A-1A, $186,750,000(ii): AAA (sf) Class A-1B, $28,105,000(ii): AAA (sf) Class A-1, $214,855,000(ii): AAA (sf) Class A-1FCF, $75,000,000(ii): AAA (sf) Class A-1FCX, $75,000,000(ii)(iii): AAA (sf) Class A-1LCF, $25,000,000(ii): AAA (sf) Class A-2, $21,622,000: AA (sf) Class A-3, $36,037,000: A (sf) Class M-1, $17,915,000: BBB- (sf) Class B-1, $9,678,000: BB- (sf) Class B-2, $7,002,000: B- (sf) Class B-3, $4,736,505: NR Class A-IO-S, notional(iv): NR Class XS, notional(iv): NR Class R, not applicable: NR (i)The collateral and structural information reflects the term sheet. The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The initial certificate principal balances of the class A-1FCF, A-1LCF, A-1A, and A-1B certificates (and, therefore, the initial certificate principal balance of the class A-1 certificates and the initial class notional amount of the class A-1FCX certificates) are subject to change and will be determined at the time of pricing, but the aggregate initial certificate principal balance of the class A-1FCF, A-1LCF, A-1A, and A-1B certificates (assuming no exchangeable certificates are outstanding) will equal $314,855,000, subject to a plus or minus 5% variance. (iii)Class A-1FCX will have a notional amount equal to the certificate amount of the class A-1FCF certificates and will not be entitled to payments of principal. (iv)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. SIERRA TIMESHARE 2026-2: Fitch Rates Class D Notes 'BB-(EXP)sf' --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to notes issued by Sierra Timeshare 2026-2 Receivables Funding LLC (Sierra 2026-2). The notes are backed by a pool of fixed-rate timeshare loans originated by Wyndham Vacation Resorts, Inc. (WVRI) and the Wyndham Resort Development Corporation (WRDC). Both entities are indirect, wholly owned operating subsidiaries of Travel + Leisure Co. (T+L; formerly Wyndham Destinations, Inc.). This is T+L's 55th public Sierra transaction. Entity/Debt Rating ----------- ------ Sierra Timeshare 2026-2 Receivables Funding LLC A LT AAA(EXP)sf Expected Rating B LT A(EXP)sf Expected Rating C LT BBB(EXP)sf Expected Rating D LT BB-(EXP)sf Expected Rating KEY RATING DRIVERS Borrower Risk — Shifting Collateral Composition: Approximately 73.06% of Sierra 2026-2 consists of WVRI-originated loans, up from 71.49% in Sierra 2026-1. The remainder of the pool comprises WRDC loans. Fitch has determined that, on a like-for-like FICO basis, WRDC's receivables perform better than WVRI's. The weighted average (WA) original FICO score of the pool is 744, which is higher than 741 in the prior transaction. The collateral pool has eight months of seasoning, consistent with 2026-1. Additionally, the pool is comprised of 63.87% upgraded loans, up from 60.52% in Sierra 2026-1. Forward-Looking Approach on Rating Case CGD Proxy — Shifting CGDs: Similar to other timeshare originators, T+L's delinquency and default performance exhibited notable increases in the 2007-2008 vintages before stabilizing in 2009 and thereafter. However, the 2017 through 2024 vintages show increasing gross defaults, tracking outside of peak levels experienced in 2008. This is partially driven by an increase in usage of paid product exits (PPEs). The 2022-2024 transactions are generally demonstrating weakening default trends, relative to improved performance in 2020-2021 transactions, and trending around the worst-performing 2019 transactions. Fitch's rating case cumulative gross default (CGD) proxy for the pool is 22.00%, consistent with 22.00% for 2026-1. Given the current economic environment, default vintages reflecting more recent vintage performance were used, specifically the 2015-2021 vintages. Structural Analysis — Shifting CE: The initial hard credit enhancement (CE) for class A, B, C and D notes is 58.25%, 41.25%, 20.90% and 4.50%, respectively. CE is higher for classes A, B and C, and in line for class D, relative to 2026-1, mainly due to differences in subordination. Hard CE comprises overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 8.08% per annum. Default coverage for all notes is able to support CGD multiples of 3.00x, 2.25x, 1.50x and 1.17x for 'AAAsf', 'Asf', 'BBBsf' and 'BB-sf', respectively. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: Fitch considers T+L to have demonstrated sufficient capabilities as an originator and servicer of timeshare loans. This is shown by the historical delinquency and loss performance of securitized trusts and the managed portfolio. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels that are higher than the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the rating case CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf', based on the break-even default coverage provided by the CE structure. The CGD and prepayment sensitivities include 1.5x and 2.0x increases to the prepayment assumptions, representing moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If the CGD is 20% less than the projected rating case CGD proxy, the expected ratings would be maintained for class A notes at a stronger rating multiple. For class B, C and D notes, the multiples would increase, resulting in potential upgrades of up to two rating categories for the subordinate classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to 155 sample 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. SOUND POINT II: S&P Lowers Class B2-R Notes Rating to 'CCC+ (sf)' ----------------------------------------------------------------- S&P Global Ratings raised its rating on the class A3-R debt from Sound Point CLO II Ltd. and removed the rating from CreditWatch, where S&P had placed it with positive implications on May 6, 2026. At the same time, S&P lowered its ratings on the class B2-R and B3-R debt and removed them from CreditWatch negative. S&P also affirmed its ratings on the class A2-R and B1-R debt from the same transaction and removed the rating on the class B1-R debt from CreditWatch positive. S&P reviewed Sound Point CLO II Ltd., a broadly syndicated U.S. CLO managed by Sound Point Capital Management L.P. The rating actions follow S&P's review of the transaction's performance using data from the May 4, 2026, trustee report. Although the same portfolio backs all the tranches, there can be circumstances such as this, where the ratings on the tranches may move in opposite directions due to credit support changes in the portfolio. This transaction is experiencing opposing rating movements because it experienced both principal paydowns (which increased the senior credit support) and faced principal losses and a decline in credit quality (which decreased the junior credit support). The transaction has collectively paid down $142.46 million to the class A1-R and A2-R debt since S&P's March 2025 rating actions. Following are the changes in the reported overcollateralization (O/C) ratios since the February 2025 trustee report, which S&P used for its previous rating actions: -- The class A1-R/A2-R O/C ratio improved to 258.18% from 151.20%. -- The class A3-R O/C ratio improved to 164.97% from 130.99%. -- The class B1-R O/C ratio improved to 118.36% from 114.31%. -- The class B2-R O/C ratio declined to 97.66% from 104.35%. While the senior O/C ratios experienced a positive movement due to the lower balances of the senior debt, the junior O/C ratio declined due to a combination of par losses and increased haircuts following an increase in the portfolio's exposure to 'CCC' or lower quality assets. Though all the OC ratios, except the most junior one, improved, the collateral portfolio credit quality has decreased since S&P's last rating actions and is now more concentrated. As a result, even though the trustee report indicates that the dollar value of the collateral obligations with the ratings in the 'CCC' category has remained about the same, their exposure as a percentage of the portfolio now stands at 23.29% vs. 12.14% at the time of the last rating actions. As a result, the trustee, as per the terms of the CLO documents, increased the haircuts to the O/C numerator for this excess. The raised rating reflects the improved credit support available to the debt at the prior rating level. The lowered ratings reflect the deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class B2-R and B3-R debt. In addition, the cash flows were failing at their respective prior rating levels due to an increase in the scenarios default rates (SDRs) and decrease in the break-even default rates (BDRs). While the SDRs went up due to an increase in concentration of the 'CCC' category assets, the BDRs declined due to an increase in defaults and par losses. An additional factor that contributed to the failing cash flow runs was a decrease in the weighted average recovery rates for the portfolio, further contributing to the downward pressure on the ratings. Lower recovery expectations imply that in the event of defaults, the value recovered from the assets will be less than previously estimated. Although the cash flow results indicated lower ratings for the class B2-R and B3-R debt S&P limited the downgrades on these two classes. The class B2-R debt currently has adequate ratios to support the 'CCC+ (sf)' rating and the class B3-R debt does not yet qualify as defaulted, although, if any further deterioration occurs, it may qualify for such classification in the near future. The affirmations reflect adequate credit support at the current rating levels. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class B1-R debt. However, because the transaction currently has a relatively high exposure to 'CCC' rated collateral obligations and defaulted assets, S&P affirmed the class to offset future potential credit migration in the underlying collateral. 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 these rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Rating Raised And Removed From CreditWatch Sound Point CLO II Ltd. Class A3-R to 'AAA (sf)' from 'AA- (sf)/Watch Pos' Ratings Lowered And Removed From CreditWatch Sound Point CLO II Ltd. from 'B+ (sf)/Watch Neg' Class B3-R to 'CCC- (sf)' from 'CCC (sf)/Watch Neg' Rating Affirmed And Removed From CreditWatch Sound Point CLO II Ltd. Class B1-R to 'BBB- (sf)' from 'BBB- (sf)/Watch Pos' Rating Affirmed Sound Point CLO II Ltd. Class A2-R: AAA (sf) SOUND POINT VIII-R: Moody's Cuts Rating on $29MM E Notes to Caa3 ---------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Sound Point CLO VIII-R, Ltd.: US$20M Class D-1 Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Jan 26, 2026 Upgraded to Aa2 (sf) US$14M Class R2-D2 Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Jan 26, 2026 Upgraded to Aa2 (sf) US$29M (Current outstanding amount US$29.4M incl. deferred interest amounts) Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa3 (sf); previously on Jan 26, 2026 Affirmed Caa2 (sf) Moody's have also affirmed the ratings on the following notes: US$25M (Current outstanding amount US$10.8M) Class C-1-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Jan 26, 2026 Affirmed Aaa (sf) US$6M (Current outstanding amount US$2.6M) Class C-2-R Mezzanine Secured Deferrable Fixed Rate Notes, Affirmed Aaa (sf); previously on Jan 26, 2026 Affirmed Aaa (sf) US$13M (Current outstanding amount US$20.5M incl. deferred interest amounts) Class F Junior Secured Deferrable Floating Rate Notes, Affirmed C (sf); previously on Jan 26, 2026 Affirmed C (sf) Sound Point CLO VIII-R, Ltd., issued in April 2019 and partially refinanced in February 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in April 2022. RATINGS RATIONALE The upgrades on the ratings on the Class D-1 and R2-D2 notes are primarily a result of the deleveraging of the senior-most notes following amortisation of the underlying portfolio since the last rating action in January 2026. The downgrade to the rating on the Class E notes is due to the deterioration in the credit quality of the underlying collateral pool since the last rating action in January 2026. The affirmations on the ratings on the Class C-1-R, C-2-R, and F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The credit quality has weakened as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated June 2026[1], the WARF was 4813, compared with 4057 in the January 2026[2] report as of the last rating action. Securities with ratings of Caa1 or lower currently make up approximately 30.8% of the underlying portfolio, versus 24.5% in January 2026[2]. The Class C-1-R and C-2-R notes have paid down by approximately USD12.4 million (39.9%) since the last rating action in January 2026 and USD17.6 million (57.0%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for the senior-most notes. According to the trustee report dated June 2026[1] the Class C and Class D OC ratios are reported at 486.8%, and 137.2% compared to January 2026[2] levels of 221.5%, and 127.6%, respectively. On the junior part of the capital structure, the Class E OC ratio decreased to 84.6% according to the trustee report dated June 2026[1] from 95.6% in January 2026[2]. 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: USD72.35 million Defaulted Securities: USD2.24 million Diversity Score: 19 Weighted Average Rating Factor (WARF): 4581 Weighted Average Life (WAL): 2.29years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.57% Weighted Average Recovery Rate (WARR): 43.98% Par haircut in OC tests and interest diversion test: 16.1% 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. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by /the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. 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. SYMPHONY CLO 44: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Symphony CLO 44, Ltd. (REFI). Entity/Debt Rating Prior ----------- ------ ----- Symphony CLO 44, Ltd. A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B 871972AE5 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C-1 871972AG0 LT PIFsf Paid In Full A+sf C-1R LT A+sf New Rating C-2 871972AM7 LT PIFsf Paid In Full Asf C-2R LT Asf New Rating D 871972AJ4 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 871973AA1 LT BB-sf Affirmed BB-sf SUB LT NRsf New Rating Transaction Summary Symphony CLO 44, Ltd. is an arbitrage cash flow collateralized loan obligation (CLO) managed by Symphony Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will finance on a portfolio of approximately $395 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 recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.11, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote 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 99.88% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.46%, and the portfolio and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The three largest 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 portfolio's diversity resulting from its industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a three-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 in 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 falls 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 was implemented through the first supplemental indenture, which amended certain provisions of the transaction. The changes include, but are not limited to: - Spreads were reduced for all classes of refinanced notes. - 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 were amended to conform with Fitch's new criteria. Fitch Analysis The portfolio includes 430 assets from 335 primarily high yield obligors. Fitch estimates that 0.8% of the portfolio consists of assets that are rated 'CC' or below. The portfolio balance, excluding defaults and including principal cash, is approximately $396 million. As of the latest trustee report prior to the refinance date, the transaction did not pass its Minimum Floating Spread and Weighted Average Rating Factor tests. All other collateral quality tests, coverage tests, and concentration limitations passed. The weighted average rating of the current portfolio is 'B+/B'. Fitch has an explicit rating, credit opinion or private rating for 44.3% of the current portfolio par balance. Ratings for 55.5% of the portfolio were derived using Fitch's IDR 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, which reflects 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: 6.01 years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 67.10%; - 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 07-14-2029. Fitch affirmed the class E notes at 'BB-sf' with a Stable Outlook, and assigned the class C-2R notes at 'Asf' with a Stable Outlook, one notch below the MIR of 'A+sf'. In Fitch's view, the MIR does not adequately reflect the transaction's recent adverse performance trend, including realized losses in the current portfolio, or the below-average credit enhancement available to these tranches. These factors indicate a higher likelihood of further credit deterioration and weaker recovery prospects, which increase the tranches' sensitivity to additional portfolio stress. 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-R: 'AAAsf' / Default 42.00% / Recovery 39.29% / Cushion 13.60% - Class B-R: 'AAsf' / Default 39.30% / Recovery 48.86% / Cushion 11.90% - Class C-1R: 'Asf' / Default 34.70% / Recovery 58.79% / Cushion 20.20% - Class C-2R: 'Asf' / Default 34.70% / Recovery 58.79% / Cushion 16.10% - Class D-R: 'BBB-sf' / Default 26.60% / Recovery 68.80% / Cushion 18.70% - Class E: 'BB-sf' / Default 22.20% / Recovery 73.87% / Cushion 12.80% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-2-R: 'AAAsf' / Default 49.80% / Recovery 36.05% / Cushion 3.00% - Class B-R: 'AAsf' / Default 46.50% / Recovery 42.10% / Cushion 0.00% - Class C-1R: 'Asf' / Default 41.40% / Recovery 52.10% / Cushion 7.50% - Class C-2R: 'Asf' / Default 41.40% / Recovery 52.10% / Cushion 3.30% - Class D-R: 'BBB-sf' / Default 32.20% / Recovery 62.10% / Cushion 8.10% - Class E: 'BB-sf' / Default 26.80% / Recovery 67.10% / Cushion 2.10% 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 between 'Asf' and 'AA+sf' for class A-2-R, between 'BBBsf' and 'A+sf' for class B-R, between 'BB+sf' and 'A+sf' for class C-1R, between 'BB-sf' and 'A-sf' for class C-2R, and between less than 'B-sf' and 'BBBsf' for class D-R and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes because they are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in these metrics. The minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-1R, 'AAsf' for class C-2R, and 'Asf' for class D-R and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Symphony CLO 44, 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. SYMPHONY CLO 54: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Symphony CLO 54 Ltd./Symphony CLO 54 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. The transaction is managed by Symphony Alternative Asset Management LLC, a subsidiary of Nuveen Asset 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. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Ratings Assigned Symphony CLO 54 Ltd./Symphony CLO 54 LLC Class A, $248.00 million: AAA (sf) Class B, $56.00 million: AA (sf) Class C-1, $18.00 million: A (sf) Class C-2, $6.00 million: A (sf) Class D, $24.00 million: BBB- (sf) Class E, $15.00 million: BB- (sf) Subordinated notes, $40.17 million: NR NR--Not rated. TRUPS FINANCIALS 2026-3: Moody's Assigns Ba1 Rating to Cl. D Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to six classes of notes issued by TruPS Financials Note Securitization 2026-3 (the Issuer or TFNS 2026-3): US$186,750,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$38,500,000 Class A-2a Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aa2 (sf) US$27,000,000 Class A-2b Senior Secured Fixed/Floating Rate Notes due 2039, Definitive Rating Assigned Aa2 (sf) US$23,000,000 Class B Mezzanine Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned A3 (sf) US$11,500,000 Class C Mezzanine Deferrable Fixed/Floating Rate Notes due 2039, Definitive Rating Assigned Baa3 (sf) US$11,500,000 Class D Mezzanine Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned Ba1 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CDO's portfolio and structure. TFNS 2026-3 is a static cash flow CDO. The issued notes will be collateralized primarily by trust preferred securities ("TruPS"), subordinated notes, surplus notes and senior notes issued by US community banks and their holding companies and insurance companies. The portfolio is expected to be 100% ramped as of the closing date. EJF CDO Manager LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, credit risk securities, certain securities whose issuer has been acquired, or merged with another institution ("APAI securities"). Subject to certain reinvestment criteria, the Manager may reinvest proceeds from sales of APAI securities or from the repayments of substitutable securities. Substitutable security is any bank senior note or bank subordinated note issued after January 1, 2012 that either (a) has a stated maturity that is prior to the second anniversary of the closing date of the transaction or (b) initially bears interest at a fixed rate and is scheduled to convert to a floating rate instrument prior to the second anniversary of the closing date of the transaction. In addition to the Rated Notes, the Issuer issued one class of preferred shares. The portfolio of this CDO consists of TruPS and subordinated debt issued by 61 US community banks and 8 insurance companies, the majority of which Moody's do not rate. Moody's assess the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM), an econometric model developed by Moody's Analytics. Moody's evaluations of the credit risk of the bank obligors in the pool relies on FDIC Q4-2025 financial data. Moody's assess the default probability of insurance company obligors that do not have public ratings through credit assessments provided by Moody's insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $327,872,000 Weighted Average Rating Factor (WARF): 650 Weighted Average Spread (WAS) Float only: 3.37% Weighted Average Coupon (WAC) Fixed only: 7.88% Weighted Average Spread (WAS) Fixed to float: 3.95% Weighted Average Coupon (WAC) Fixed to float: 7.38% Weighted Average Recovery Rate (WARR): 10.00% Weighted Average Life (WAL): 7.1 years In addition to the quantitative factors that Moody's explicitly model, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assess through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. VENTURE 42: S&P Affirms B (sf) Rating on Class E Notes ------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1AR, A-2R, and B-R debt from Venture 42 CLO Ltd./Venture 42 CLO LLC, a CLO managed by MJX Asset Management LLC that was originally issued in April 2021. At the same time, S&P withdrew its ratings on the previous class A-1A, A-2, and B debt following payment in full on the July 15, 2026, refinancing date. S&P also affirmed its ratings on the class A-1B, C, D, E and X 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 15, 2027. -- No additional assets were purchased on the July 15, 2026, refinancing date. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2026. -- S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E debt (which was not refinanced). However, we affirmed our 'B (sf)' rating on the class E debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction has entered its amortization phase. Based on the latter, we expect the credit support available to all the rated classes to increase as principal is collected and the senior debt is paid down." Replacement And Previous Debt Issuances Replacement debt -- Class A-1AR, $291.04 million: Three-month CME term SOFR + 1.05% -- Class A-2R, $10.00 million: Three-month CME term SOFR + 1.45% -- Class B-R, $65.00 million: Three-month CME term SOFR + 1.70% Previous debt -- Class A-1A, $291.04 million: Three-month CME term SOFR + 1.39% -- Class A-2, $10.00 million: Three-month CME term SOFR + 1.56% -- Class B, $65.00 million: Three-month CME term SOFR + 1.81% 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 (class B and C debt). However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Venture 42 CLO Ltd./Venture 42 CLO LLC Class A-1AR, $291.04 million: AAA (sf) Class A-2R, $10.00 million: AAA (sf) Class B-R, $65.00 million: AA (sf) Ratings Withdrawn Venture 42 CLO Ltd./Venture 42 CLO LLC Class A-1A to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Ratings Affirmed Venture 42 CLO Ltd./Venture 42 CLO LLC Class A-1B: AAA (sf) Class C: A (sf) Class D: BBB- (sf) Class E: B (sf) Class X: AAA (sf) Other Debt Venture 42 CLO Ltd./Venture 42 CLO LLC Subordinated notes, $51.50 million: NR NR--Not rated. VEROS AUTO 2026-2: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Veros Auto Receivables Trust 2026-2's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of July 15, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 61.89%, 55.49%, 46.31%, 34.36%, 29.26%, and 23.13% of credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, E, and F notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of approximately 2.70x, 2.40x, 2.00x, 1.50x, 1.25x, and 1.00x of S&P's expected cumulative net loss of 22.00% for classes A, B, C, D, E, and F notes, respectively. -- S&P said, "The expectations that under a moderate ('BBB') stress scenario (1.50x our expected loss level), all else being equal, our preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', 'BB (sf)', and 'B- (sf)' ratings on the class A, B, C, D, E, and F notes, respectively, will be within our credit stability limits." -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loan pool, S&P's view of the collateral's credit risk, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Deutsche Bank National Trust Co., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Veros Credit LLC as servicer and originator, and its view of the company's underwriting and backup servicing arrangement with Vervent Inc. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Veros Auto Receivables Trust 2026-2 Class A, $100.820: AAA (sf) Class B, $27.685: AA (sf) Class C, $31.850: A (sf) Class D, $38.098: BBB (sf) Class E, $22.417: BB (sf) Class F, $14.333: B- (sf) WSTN TRUST 2023-MAUI: DBRS Confirms BBsf Rating on Class HRR Certs ------------------------------------------------------------------ DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2023-MAUI issued by WSTN Trust 2023-MAUI as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class X-CP at BB (high) (sf) -- Class X-NCP at BB (high) (sf) -- Class HRR at BB (sf) All trends are Stable. Credit Rating Action Rationale -- The credit rating confirmations reflect the overall stable to improving performance of the collateral since the previous credit rating action in July 2025. -- Although the property continues to underperform Morningstar DBRS' original issuance expectations, largely because of the post-pandemic softening in Hawaiian travel demand, Morningstar DBRS expects that the asset is well positioned to obtain refinancing upon maturity. The property benefits from strong sponsorship, a highly desirable and irreplaceable location, and meaningful outperformance relative to its competitive set as evidenced by a revenue per available room (RevPAR) penetration rate of 161.9%. Loan/Collateral Overview -- The transaction is secured by the borrower's leasehold interest in the Westin Maui Resort & Spa, Ka'anapali, a 771-key full-service resort and spa built in 1971 and located on the island of Maui. -- The property benefits from a highly distinctive location, offers 700 feet of direct ocean frontage on the Ka'anapali Beach with an outer island location and features two distinct guest room towers with varied offerings and price points, complemented by extensive amenities including multiple pools, dining venues, event space, a full-service spa, retail, and exclusive guest privileges. -- The loan features a four-year term and pays interest only (IO) through its maturity in July 2027 with no extension options available. -- The property benefits from having two strong sponsors, Oaktree Capital Management, LP and Trinity Investments LLC, both of which remain actively committed to the property since they acquired it in 2017. The most recent $160.0 million renovation, finalized in March 2024, modernized guest rooms across both towers, introduced a 10,000-square-foot social and entertainment venue, upgraded pool and luxury amenities, and added new dining concepts. Performance Highlights -- The loan is currently being monitored on the servicer's watchlist for a low debt service coverage ratio, which has remained below break-even since loan closing. The property has experienced significant cash flow disruptions following the pandemic, the August 2023 wildfires, and a broader shift in tourism demand to other markets, exacerbated by the recent softening in the Hawaiian travel market. -- While Hawaii visitation has softened slightly with lower volumes and easing occupancy, higher daily spend and a favorable shift toward East Coast and international travelers support overall revenue resilience. According to several market reports, luxury and upper upscale assets continue to outperform, demonstrating strong pricing power and sustained demand for high-end experiences despite broader market pressure. -- The subject property has demonstrated improving performance year over year and meaningful outperformance relative to its competitive set. According to the December 2025 STR, Inc. report, the property's trailing 12-month (T-12) period ended December 31, 2025, the property reported an occupancy rate of 66.5%, an average daily rate (ADR) of $567 and a RevPAR of $377, compared to the competitive sets figures of 65.7%, $355 and $233, respectively. -- Morningstar DBRS notes that net cash flow (NCF) generated by the property lags Morningstar DBRS' expectations from issuance; however, NCF has been trending upwards over recent reporting periods, with the most recent financial reporting demonstrating that the YE2025 departmental revenue increased by 13.0% from YE2024. -- Despite disruptions to cash flows and market softening, Morningstar DBRS recognizes improvements in the property's operating performance and maintains an overall favorable outlook on the transaction, given the asset's prime location in the market, its strong sponsorship, and overall high asset quality. Morningstar DBRS will continue to closely monitor the performance trends as the transaction approaches maturity. Analysis Summary -- As part of this review, Morningstar DBRS maintained its valuation approach from issuance, which was based on a capitalization rate of 8.60% applied to the Morningstar DBRS NCF of $57.9 million derived at issuance. -- The resulting Morningstar DBRS Value of $677.2 million represents a -26.3% variance from the appraised value of $918.9 million at issuance and corresponds with a loan-to-value (LTV) ratio of 76.1%. -- Morningstar DBRS also maintained positive qualitative adjustments to the LTV Sizing Benchmarks totaling 8.25% to reflect the high- quality profile of the asset, its strong market fundamentals, and historically stable cash flows. 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-CP and Class X-NCP 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. ZAIS CLO 3: Moody's Lowers Rating on $20MM Class D-R Notes to C --------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by ZAIS CLO 3, Limited: US$20,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2031 (current outstanding balance $19,093,256.30), Downgraded to C (sf); previously on September 19, 2025 Downgraded to Caa2 (sf) ZAIS CLO 3, Limited, issued in May 2015, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating action reflects the transaction's recent deal performance, analysis of the transaction structure, Moody's updated loss expectations on the underlying pool and Moody's revised loss-given-default expectations on the Class D-R notes. The downgrade rating action on the Class D-R notes considers all principal payments made to the notes since issuance and is based on Moody's expectations of the ultimate loss-given-default on the notes as a percent of their original principal balance. Methodology Used for the Rating Action: The principal methodology used in this rating was "Collateralized Loan Obligations" published in April 2026. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. [] Fitch Affirms BB Rating on 2 GreenSky Home Improvement Issuers ----------------------------------------------------------------- Fitch Ratings has affirmed 14 outstanding classes of notes on GreenSky Home Improvement Issuer Trust (GSKY) 2025-2 and 2025-3. The affirmations reflect hard credit enhancement (CE) and performance that supports loss coverage levels commensurate with the currently assigned ratings. Entity/Debt Rating Prior ----------- ------ ----- GreenSky Home Improvement Issuer Trust 2025-3 A1 39571WAA4 LT AAAsf Affirmed AAAsf A2 39571WAB2 LT AAAsf Affirmed AAAsf A3 39571WAC0 LT AAAsf Affirmed AAAsf B 39571WAD8 LT AAsf Affirmed AAsf C 39571WAE6 LT Asf Affirmed Asf D 39571WAF3 LT BBBsf Affirmed BBBsf E 39571WAG1 LT BBsf Affirmed BBsf GreenSky Home Improvement Issuer Trust 2025-2 A2 39571VAB4 LT AAAsf Affirmed AAAsf A3 39571VAC2 LT AAAsf Affirmed AAAsf A4 39571VAD0 LT AAAsf Affirmed AAAsf B 39571VAE8 LT AAsf Affirmed AAsf C 39571VAF5 LT Asf Affirmed Asf D 39571VAG3 LT BBBsf Affirmed BBBsf E 39571VAH1 LT BBsf Affirmed BBsf Transaction Summary These transactions are securitizations backed by economic participations in unsecured, fixed-rate home improvement (HI) loans originated by partner banks through a lending program administered by GreenSky, LLC (GreenSky) through a network of merchants (the GreenSky Program). GreenSky is the program sponsor for the GreenSky Program, administrator for these transactions and, together with its subsidiary GreenSky Servicing, LLC and other affiliates, servicer of the loans underlying the economic participations. The economic participations represent a 100% interest in the economic rights and proceeds of the underlying HI loans. KEY RATING DRIVERS Updated Weighted Average Lifetime Default Rates Reflect Shifts in Product Composition: Fitch's segment-level default assumptions for both transactions remain unchanged; however, the weighted average (WA) base-case lifetime default rates have changed due to shifts in product composition since closing. For GSKY 2025-2, the WA base-case lifetime default rate (BCDR) increased to 6.90% from 5.97%. For GSKY 2025-3, the WA BCDR was originally set at 6.01% to reflect a worst-case pool composition anticipated following the end of the open purchase window loan (OPWL) purchase period. With all OPWLs now closed, the WA BCDR has been updated to 6.27%. Although this figure is higher, performance remains within Fitch's expectations. The pool composition has shifted since closing, as deferred products experienced high prepayments, resulting in a higher proportion of reduced-rate loans in the current period. Performance continues to vary meaningfully by product type and borrower credit profile; reduced-rate loans remain the weakest-performing segment, particularly in lower-FICO bands, while deferred-interest products generally continue to show lower defaults, especially among higher credit quality borrowers. Prepayment Behavior Remains a Key Consideration, Especially for Deferred Products: Prepayment patterns continue to differ materially across GreenSky's product types and remain an important driver of surveillance analysis. Deferred products generally exhibit higher prepayment rates than reduced-rate amortizing loans, particularly during the promotional periods of deferred products, while zero-interest loans typically show the lowest incentive to prepay. These dynamics are particularly relevant for deferred products, where higher realized prepayments before the onset of defaults can reduce the balance exposed to back-loaded losses later in the transaction life. Fitch continues to apply differentiated prepayment assumptions by product type in its analysis. Excess Spread Should Improve as Promotional Periods Close: Both transactions were structured with significant nominal excess spread at closing; however, that figure was calculated using the high contractual interest rates carried by the deferred-payment products, which make up a material share of each pool. Deferred products do not generate interest contributions to the trusts while they remain within their promotional periods and generate none where the borrower fully prepays before the promotional period ends, so the initial nominal excess spread was stated higher than the interest actually contributed to collections. At closing, GSKY 2025-2 had a WA asset rate of 13.13% versus a WA note coupon of 5.66%, implying initial nominal excess spread of 6.37% per annum after the 1.1% servicing fee. GSKY 2025-3 had a WA asset rate of 13.08% versus a WA note coupon of 5.17%, implying initial nominal excess spread of 6.81% per annum after the same servicing fee. Fitch expects actual excess spread generation to improve over time as deferred loan products that are not fully prepaid continue to exit their promotional periods and begin paying interest at their contractual rates, contributing to collections. Open Purchase Window Loan Purchase Period Has Ended: At closing, approximately 10.0% of the initial GSKY 2025-3 asset pool consisted of participations in open purchase window loans (OPWLs), which allowed borrowers to draw additional funds up to a contractual maximum for up to six months from the final cutoff date. The issuer committed to purchasing remaining draws up to approximately $97.6 million, funded through periodic collections and the funding interest from a variable funding note, which has been repaid in full, eliminating the associated future advance and interest rate risk exposure. As of the June 2026 payment date, the purchase window of all OPWL transferred at closing had expired. Total draws under OPWL have totaled approximately $76 million since closing. Fitch did not identify material differences in performance between loans still having an open purchase window at closing compared with loans for which the purchase window was expired or that didn't feature a purchase window. Hard Credit Enhancement Has Increased Since Closing: Hard CE has increased for all outstanding notes in both GSKY 2025-2 and 2025-3 since closing, supported by overcollateralization build and note amortization. In GSKY 2025-2, hard CE has increased to 41.85% for class A from 27.3% at closing, to 28.60% for class B from 19.0%, to 20.21% for class C from 13.7%, to 11.49% for class D from 8.3%, and to 6.12% for class E from 4.9%. In GSKY 2025-3, hard CE has increased to 37.69% for class A from 30.79%, to 25.85% for class B from 21.34%, to 19.49% for class C from 16.26%, to 12.54% for class D from 10.71%, and to 6.62% for class E from 5.99%. Fitch views the growth in CE as an important mitigant to the updated collateral assumptions applied in this review. Adequate Servicing Capabilities: Under the transaction structure, Synovus Bank will hold the legal title and servicing rights to the underlying home improvement loans. GreenSky, together with its subsidiary, GreenSky Servicing, LLC, and other affiliates, will act as servicer for the transaction. Systems & Services Technologies, Inc. (SST) will act as backup servicer for the transaction upon closing and on behalf of and as agent for the origination partner (Synovus Bank). The servicer causes collections from the asset pool to be transferred to an origination partner designated account within two business days of receipt, and then to the payment account held with Wilmington Trust, National Association (classified as a transaction account bank under Fitch's counterparty criteria) on the following business day. Fitch reviewed the potential commingling exposure of three days of collections, sized at about 20 bps of the initial asset pool, and considered the exposure immaterial in light of the credit protection available to the notes. Minimum counterparty ratings as well as replacement and other counterparty-related provisions in the transaction documents are in line with Fitch's counterparty criteria. Fitch views backup servicing arrangements and mitigants to servicer disruption risk as in line with ratings up to 'AAAsf'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade For its sensitivity analysis, Fitch examined the magnitude of the multiplier compression by projecting expected cash flows and loss coverage levels over the life of investments under default assumptions that are higher than, and recovery assumptions that are lower than, the initial base case. An increase in base case defaults by 50% may lead to downgrades up to -5 notches. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by reduced delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. A decrease in base case defaults by 50% may lead to upgrades up to three categories. 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 Upgrades Ratings on 22 Bonds From 14 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 22 bonds from 14 US residential mortgage-backed transactions (RMBS), backed by option ARM and 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: ACE Securities Corp. Home Equity Loan Trust, Series 2006-CW1 Cl. A-1, Upgraded to A1 (sf); previously on Nov 14, 2024 Upgraded to Baa1 (sf) Issuer: Aegis Asset Backed Securities Trust 2003-3 Cl. M1, Upgraded to A1 (sf); previously on Sep 16, 2025 Upgraded to Baa1 (sf) Issuer: Amortizing Residential Collateral Trust Mortgage Pass-Through Certificates, Series 2001-BC6 Cl. M1, Upgraded to Baa1 (sf); previously on Nov 12, 2024 Upgraded to B1 (sf) Issuer: Bear Stearns Mortgage Funding Trust 2007-AR3 Cl. II-1A-1, Upgraded to A1 (sf); previously on Sep 23, 2025 Upgraded to Baa1 (sf) Issuer: Greenpoint Mortgage Funding Trust 2007-AR3 Cl. A1, Upgraded to Baa3 (sf); previously on Sep 11, 2025 Upgraded to Ba1 (sf) Issuer: RAMP Series 2005-RS7 Trust Cl. M-4, Upgraded to A1 (sf); previously on Jan 22, 2025 Upgraded to Baa2 (sf) Cl. M-5, Upgraded to Caa2 (sf); previously on Jan 22, 2025 Upgraded to Ca (sf) Issuer: RAMP Series 2005-RS8 Trust Cl. M-3, Upgraded to Aa1 (sf); previously on Jan 22, 2025 Upgraded to A1 (sf) Issuer: RASC Series 2005-AHL2 Trust Cl. M-2, Upgraded to Aaa (sf); previously on Apr 28, 2025 Upgraded to Aa3 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Apr 28, 2025 Upgraded to Caa3 (sf) Issuer: RASC Series 2005-KS3 Trust Cl. M-8, Upgraded to Aa1 (sf); previously on Oct 1, 2025 Upgraded to Baa2 (sf) Issuer: RASC Series 2005-KS8 Trust Cl. M-6, Upgraded to Aa1 (sf); previously on Feb 20, 2025 Upgraded to A1 (sf) Cl. M-7, Upgraded to Caa3 (sf); previously on Feb 20, 2025 Upgraded to Ca (sf) Issuer: RASC Series 2005-KS9 Trust Cl. M-7, Upgraded to A2 (sf); previously on Feb 5, 2025 Upgraded to Ba1 (sf) Cl. M-8, Upgraded to Ca (sf); previously on Mar 5, 2013 Affirmed C (sf) Issuer: RASC Series 2006-KS6 Trust Cl. M-2, Upgraded to B1 (sf); previously on Feb 20, 2025 Upgraded to Caa1 (sf) Issuer: RASC Series 2007-KS3 Trust Cl. A-I-4, Upgraded to Aa1 (sf); previously on Feb 20, 2025 Upgraded to A1 (sf) Cl. A-II, Upgraded to Aaa (sf); previously on Feb 20, 2025 Upgraded to Aa2 (sf) Cl. M-1S, Upgraded to Caa3 (sf); previously on Feb 20, 2025 Upgraded to Ca (sf) Issuer: Structured Asset Securities Corp Trust 2007-WF1 Cl. A1, Upgraded to Aaa (sf); previously on Nov 5, 2024 Upgraded to Aa1 (sf) Cl. A5, Upgraded to Baa1 (sf); previously on Sep 17, 2025 Upgraded to Ba2 (sf) Cl. A6, Upgraded to Aaa (sf); previously on Nov 5, 2024 Upgraded to Aa1 (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 have either incurred a missed or delayed disbursement of an interest payment or are 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, 1.1x for these bonds. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. While some shortfalls have since been recouped, the size and length of the past shortfalls, as well as the potential for recurrence, were analyzed as part of the upgrades. In addition, Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 86 Bonds from 12 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded he ratings of 86 bonds from 12 US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2024-11 Cl. B-1, Upgraded to Aa2 (sf); previously on Nov 29, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Nov 29, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Nov 29, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Nov 29, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Nov 29, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Nov 29, 2024 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Nov 29, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Nov 29, 2024 Definitive Rating Assigned Ba3 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-12 Cl. B-1, Upgraded to Aa2 (sf); previously on Dec 20, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Dec 20, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Dec 20, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Dec 20, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Dec 20, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Dec 20, 2024 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Dec 20, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Dec 20, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Dec 20, 2024 Definitive Rating Assigned B3 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-3 Cl. B-2, Upgraded to A1 (sf); previously on Dec 11, 2024 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Dec 11, 2024 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Dec 11, 2024 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Dec 11, 2024 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-INV1 Cl. B-1, Upgraded to Aa2 (sf); previously on Oct 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Oct 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Oct 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A2 (sf); previously on Oct 31, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A2 (sf); previously on Oct 31, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A2 (sf); previously on Oct 31, 2024 Definitive Rating Assigned A3 (sf) Issuer: J.P. Morgan Mortgage Trust 2025-8 Cl. B-2, Upgraded to A1 (sf); previously on Oct 1, 2025 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Oct 1, 2025 Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Oct 1, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Oct 1, 2025 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Oct 1, 2025 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Oct 1, 2025 Definitive Rating Assigned B3 (sf) Issuer: New Residential Mortgage Loan Trust 2021-INV1 Cl. B, Upgraded to Aa1 (sf); previously on Nov 25, 2024 Upgraded to Aa2 (sf) Cl. B1, Upgraded to Aaa (sf); previously on Nov 25, 2024 Upgraded to Aa1 (sf) Cl. B1A, Upgraded to Aaa (sf); previously on Nov 25, 2024 Upgraded to Aa1 (sf) Cl. B2, Upgraded to Aa1 (sf); previously on Sep 18, 2025 Upgraded to Aa2 (sf) Cl. B2A, Upgraded to Aa1 (sf); previously on Sep 18, 2025 Upgraded to Aa2 (sf) Cl. B3, Upgraded to Aa3 (sf); previously on Sep 18, 2025 Upgraded to A1 (sf) Cl. B4, Upgraded to A3 (sf); previously on Sep 18, 2025 Upgraded to Baa1 (sf) Cl. B5, Upgraded to Baa3 (sf); previously on Nov 25, 2024 Upgraded to Ba1 (sf) Cl. BX*, Upgraded to Aa1 (sf); previously on Sep 18, 2025 Upgraded to Aa2 (sf) Cl. BX1*, Upgraded to Aaa (sf); previously on Nov 25, 2024 Upgraded to Aa1 (sf) Cl. BX2*, Upgraded to Aa1 (sf); previously on Sep 18, 2025 Upgraded to Aa2 (sf) Issuer: New Residential Mortgage Loan Trust 2021-INV2 Cl. B1, Upgraded to Aaa (sf); previously on Jan 30, 2024 Upgraded to Aa1 (sf) Cl. B1A, Upgraded to Aaa (sf); previously on Jan 30, 2024 Upgraded to Aa1 (sf) Cl. B4, Upgraded to A2 (sf); previously on Sep 18, 2025 Upgraded to A3 (sf) Cl. B5, Upgraded to Baa2 (sf); previously on Sep 18, 2025 Upgraded to Baa3 (sf) Cl. BX1*, Upgraded to Aaa (sf); previously on Jan 30, 2024 Upgraded to Aa1 (sf) Issuer: Radian Mortgage Capital Trust 2024-J2 Cl. B, Upgraded to Aa2 (sf); previously on Sep 17, 2025 Upgraded to Aa3 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Sep 17, 2025 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa2 (sf); previously on Sep 17, 2025 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa2 (sf); previously on Sep 17, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Sep 17, 2025 Upgraded to Baa1 (sf) Cl. B-3-A, Upgraded to A1 (sf); previously on Sep 17, 2025 Upgraded to Baa1 (sf) Cl. B-3-X*, Upgraded to A1 (sf); previously on Sep 17, 2025 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Sep 17, 2025 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Oct 25, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-X*, Upgraded to Aa2 (sf); previously on Sep 17, 2025 Upgraded to A1 (sf) Issuer: RATE Mortgage Trust 2021-J3 Cl. B-1, Upgraded to Aaa (sf); previously on Sep 29, 2025 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Sep 29, 2025 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 26, 2024 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Nov 26, 2024 Upgraded to A1 (sf) Cl. B-X-1*, Upgraded to Aaa (sf); previously on Sep 29, 2025 Upgraded to Aa1 (sf) Cl. B-X-2*, Upgraded to Aa3 (sf); previously on Nov 26, 2024 Upgraded to A1 (sf) Issuer: RATE Mortgage Trust 2024-J4 Cl. A-19, Upgraded to Aaa (sf); previously on Nov 21, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Nov 21, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Nov 21, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-20*, Upgraded to Aaa (sf); previously on Nov 21, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-21*, Upgraded to Aaa (sf); previously on Nov 21, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-22*, Upgraded to Aaa (sf); previously on Nov 21, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Nov 21, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Nov 21, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Nov 21, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Nov 21, 2024 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Nov 21, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Nov 21, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Nov 21, 2024 Definitive Rating Assigned B3 (sf) Cl. B-X-1*, Upgraded to Aa2 (sf); previously on Nov 21, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Nov 21, 2024 Definitive Rating Assigned A3 (sf) Issuer: UWM Mortgage Trust 2021-INV2 Cl. B-2, Upgraded to Aa2 (sf); previously on Sep 25, 2025 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Sep 25, 2025 Upgraded to A3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Sep 25, 2025 Upgraded to Ba3 (sf) Issuer: UWM Mortgage Trust 2021-INV3 Cl. B-3, Upgraded to A2 (sf); previously on Sep 25, 2025 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Sep 25, 2025 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Sep 25, 2025 Upgraded to Ba2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under 0.003% and a small percentage of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.43x for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. 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