260802.mbx

260802.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, August 2, 2026, Vol. 30, No. 214 Headlines ACCELERATED 2024-1: Fitch Affirms 'BB-sf' Rating on Class D Notes ACHM TRUST 2026-HE1: S&P Assigns B- (sf) Rating on Class F Notes ADAMS OUTDOOR 2026-1: Fitch Assigns 'BB-sf' Rating on Class C Notes AGL CLO 2: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes AMUR EQUIPMENT 2026-1: Fitch Assigns 'BBsf' Rating on Class E Notes AMUR EQUIPMENT 2026-1: Moody's Assigns Ba3 Rating to Class E Notes APEX CREDIT 2019: Fitch Affirms 'B-sf' Rating on Class F-RR Notes APIDOS CLO LVII: Moody's Assigns B3 Rating to $550,000 Cl. F Notes ARINI US VIII: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ATLAS SENIOR XXIII: S&P Affirms BB- (sf) Rating on Class E Notes AUDAX SENIOR 9: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes AUXILIOR TERM 2026-1: Moody's Assigns Ba2 Rating to Class E Notes BARINGS CLO 2018-II: S&P Affirms B- (sf) Rating on Class F-R Notes BARINGS INFRASTRUCTURE 2026-I: Moody's Gives Ba3 Rating to E Notes BATTALION CLO X: S&P Lowers Class D-R2 Notes Rating to 'B- (sf)' BBCMS MORTGAGE 2022-C14: Fitch Lowers Rating on J-RR Certs to 'Csf' BDS 2026-FL18: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes BENCHMARK 2021-B29: Fitch Lowers Rating on Two Tranches to 'CCCsf' BLACK DIAMOND 2026-1: S&P Assigns Prelim BB-(sf) Rating on E Notes BLACKROCK MT. HOOD X: S&P Lowers Cl. E-R Notes Rating to 'B+ (sf)' BLUE OWL 2026-1: Fitch Assigns 'BBsf' Rating on Class E Notes BLUE OWL 2026-1: Moody's Assigns B3 Rating to $250,000 Cl. F Notes BRAVO RESIDENTIAL 2026-NQM6: DBRS Gives '(P)B(high)' to B-2 Notes BRAVO RESIDENTIAL 2026-NQM7: Fitch Rates Class B2 Debt 'B-(EXP)sf' BRIDGECREST LENDING 2026-3: S&P Assigns BB (sf) Rating on E Notes BRSP 2024-FL2: Fitch Affirms 'B-sf' Rating on Class G Debt CAPITAL FOUR V: Fitch Assigns 'BB-sf' Rating on Class E Notes CASTLELAKE AIRCRAFT 2025-2: Fitch Affirms 'BB+sf' Rating on C Notes CHASE HOME 2025-10: Moody's Upgrades Rating on Cl. B-5 Certs to B1 CHASE HOME 2026-8: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs CHASE HOME 2026-CINV2: Moody's Assigns (P)B3 Rating to B-5 Certs CIFC FUNDING 2017-III: Fitch Affirms BB-sf Rating on Cl. E-R Notes CITIGROUP 2019-GC43: Fitch Lowers Rating on 2 Tranches to B-sf CITIGROUP 2022-GC48: Moody's Cuts Rating on Cl. YL-D Certs to B3 CITIGROUP MORTGAGE 2025-4: Moody's Ups Rating on B-5 Certs to B1 CITIGROUP MORTGAGE 2026-RP2: Fitch Rates Class B-2 Notes 'B(EXP)sf' COLUMBIA CENT 31: S&P Lowers Class E Notes Rating to 'B- (sf)' CQS US 2025-4: Fitch Assigns 'BB-sf' Rating on Class E-R Notes DBGS 2018-C1: Fitch Affirms 'CCCsf' Rating on Three Tranches DRYDEN 108: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes EFMT 2026-INV8: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs EQT TRUST 2026-IND1: Fitch Assigns 'B+sf' Rating on Class JRR Certs EZEE FIBER 2026-1: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. C Notes GOLDENTREE LOAN 12: Fitch Affirms 'B-sf' Rating on Class F-R Notes HPS LOAN 2024-20: S&P Assigns BB- (sf) Rating on Class E-R Notes ICG US 2026-1: S&P Assigns Prelim BB- (sf) Rating on Class E Notes JP MORGAN 2016-JP3: Fitch Lowers Rating on Three Tranches to 'Csf' JPMBB COMMERCIAL 2015-C27: Moody's Cuts Rating on 2 Tranches to B1 KINETIC SECURED 2026-1: Fitch Assigns BB-sf Rating on Cl. C Notes MADISON PARK LXVII: Moody's Assigns B3 Rating to $250,000 F-R Notes MIDOCEAN CREDIT XV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes MORGAN STANLEY 2018-L1: Fitch Affirms 'CCCsf' Rating on H-RR Certs MORGAN STANLEY 2018-MP: Moody's Cuts Rating on Cl. E Certs to B3 MORGAN STANLEY 2026-NQM8: S&P Assigns B (sf) Rating on B-2 Certs NEW RESIDENTIAL 2026-NQM8: Fitch Rates Class B2 Notes 'B-sf' NGC 2024-I: S&P Affirms B- (sf) Rating on Class F Notes NLT 2026-NQM2: S&P Assigns B (sf) Rating on Class B-2 Notes NYMT LOAN 2026-INV4: Moody's Assigns (P)B3 Rating to Cl. B-2 Certs OCP CLO 2020-18: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes ONITY LOAN 2026-HB3: DBRS Finalizes Bsf Rating on Class M5 Notes PALMER SQUARE 2024-2: Fitch Assigns 'BB-sf' Rating on Cl. E-R Debt PARK BLUE 2022-II: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes PMT LOAN 2026-INV7: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs POINT BROADBAND: Fitch Assigns 'BB-(EXP)sf' Rating on Class C Notes PPM CLO 7: Fitch Affirms 'BBsf' Final Rating on Class E Notes PRMI SECURITIZATION 2026-CMG1: Fitch Rates Cl. B2 Notes 'B+(EXP)sf' RCKT MORTGAGE 2026-CES7: Fitch Assigns Bsf Rating on Three Tranches SANTANDER MORTGAGE 2026-NQM6: S&P Assigns (P)B Rating on B-2 Notes SG RESIDENTIAL 2026-5: S&P Assigns B- (sf) Rating on Cl. B-2 Certs SIERRA TIMESHARE 2026-2: Fitch Assigns BB-sf Rating on Cl. D Notes SILVER POINT 18: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes SIXTH STREET XXV: S&P Assigns BB- (sf) Rating on Class E-R Notes SOUTH CAROLINA 2013-1: Fitch Lowers Rating on Cl. A Notes to 'Bsf' TOWD POINT 2026-2: Fitch Assigns ' B-(EXP)sf' Rating on B2 Notes TRALEE CLO II: S&P Lowers Class F-R Notes Rating to 'D (sf)' TRALEE CLO V: S&P Assigns B- (sf) Rating on Class F-R Notes TRINITAS CLO XXXVI: Moody's Gives (P)B3 Rating to $250,000 F Notes VEROS AUTO 2026-2: S&P Assigns B- (sf) Rating on Class F Notes VERUS SECURITIZATION 2026-R6: Fitch Rates Cl. B-2 Notes 'B-(EXP)sf' VIBRANT CLO XR: Fitch Affirms 'B-sf' Rating on Class E Notes VISIO 2026-1: S&P Assigns B- (sf) Rating on Class B-2 Notes VOYA CLO 2024-2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes VOYA CLO 2024-2: Moody's Assigns B3 Rating to $250,000 F-R Notes WELLS FARGO 2019-C52: Fitch Lowers Rating on Cl. G-RR Debt to 'Csf' ZAIS CLO 13: Moody's Downgrades Rating on $17MM E Notes to Caa1 [] DBRS Reviews 50 Classes Across Five US RMBS Deals [] Moody's Downgrades Ratings on 6 Bonds from 4 US RMBS Deals [] Moody's Upgrades Ratings on 21 Bonds from 3 US RMBS Deals [] Moody's Upgrades Ratings on 30 Bonds from 4 US RMBS Deals [] Moody's Upgrades Ratings on 6 Bonds from 3 US RMBS Deals [] Moody's Upgrades Ratings on 8 Bonds from 4 US RMBS Deals [] S&P Takes Various Actions on 384 Classes From 131 US RMBS Deals ********* ACCELERATED 2024-1: Fitch Affirms 'BB-sf' Rating on Class D Notes ----------------------------------------------------------------- Fitch Ratings has affirmed the outstanding notes of Accelerated 2021-1H LLC (AALLC 2021-1H) and Accelerated 2024-1 LLC (AALLC 2024-1). The Rating Outlook is Stable for all classes of notes. Entity/Debt Rating Prior ----------- ------ ----- Accelerated 2021-1H LLC A 00439KAA4 LT AAAsf Affirmed AAAsf B 00439KAB2 LT Asf Affirmed Asf C 00439KAC0 LT BBBsf Affirmed BBBsf D 00439KAD8 LT BBsf Affirmed BBsf Accelerated 2024-1 LLC A 00440MAA7 LT AAAsf Affirmed AAAsf B 00440MAB5 LT Asf Affirmed Asf C 00440MAC3 LT BBBsf Affirmed BBBsf D 00440MAD1 LT BB-sf Affirmed BB-sf Transaction Summary AALLC 2021-1H is backed by a pool of fixed-rate timeshare loans originated by Holiday Inn Club Vacations Incorporated (HICV) and Wilson Resort Finance, LLC (WRF), an indirect, wholly owned subsidiary of HICV. AALLC 2024-1 is backed by a pool of fixed-rate timeshare loans originated by Wyndham Vacation Resorts, Inc. (WVRI) and DBLV-ACM, LLC (DBLV). WVRI is a wholly owned operating subsidiary of Travel + Leisure Co. (T+L). KEY RATING DRIVERS The affirmations of the class A, B, C, and D notes for each transaction reflects default coverage levels that are consistent with their current ratings. The Stable Outlooks for all classes of notes reflect Fitch's expectation that default coverage levels will remain supportive of these ratings. To date, the transactions are tracking above Fitch's initial expectations. As of the May 2026 collection period, the 60+ day delinquency rates for AALLC 2021-1H and AALLC 2024-1 are 2.63% and 4.10%, respectively. Cumulative gross defaults (CGDs) for AALLC 2021-1H and AALLC 2024-1 are 28.98% and 26.98%, respectively, and cumulative net losses are at 25.09% and 10.25%, respectively, as only a portion of defaults have been repurchased. The option to repurchase defaulted loans for both transactions is capped at 35%. CGDs in AALLC 2021-1H and AALLC 2024-1 have been elevated and are above their initial rating case CGD proxies of 24.00% and 25.50%, respectively. To account for recent performance, Fitch revised the lifetime CGD proxy for AALLC 2021-1H up to 33.00% from 30.50% and revised the lifetime CGD proxy for AALLC 2024-1 up to 40.00% from 28.00%. The updated rating case default proxies were conservatively derived using extrapolations based on performance to date. The sponsor has the right, but not the obligation, to repurchase defaulted loans, which would result in lower losses on the transaction. Fitch's analysis does not give any explicit credit to previously repurchased defaults when deriving the CGD proxies. For AALLC 2021-1H, under Fitch's stressed cash flow assumptions, default coverages for the class A, class B, class C and class D notes are able to support multiples in excess of 3.00x, 2.25x, 1.50x and1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf', respectively. For AALLC 2024-1, under Fitch's stressed cash flow assumptions, default coverages for the class A and class B notes are able to support multiples in excess of 3.00x and 2.25x for 'AAAsf' and 'Asf', respectively. The current multiples for the class C and class D notes are short of the multiples of 1.50x for 'BBBsf', and 1.17x for 'BB-sf', respectively, but within the one category tolerance permitted by the criteria. Further increases in the levels of delinquencies and defaults, particularly for AALLC 2024-1, could negatively affect credit enhancement (CE) levels. Lower default coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxy, and impact available default coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect credit enhancement levels. Lower default coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review of the transactions, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's rating case default expectation. For this review, Fitch updated the analysis of the impact of a 2.0x increase of the rating case default expectation and the results suggest consistent ratings for the outstanding notes and in the event of such a stress, these notes could be downgraded by up to three rating categories. 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. Fitch applied an up sensitivity, by reducing the rating case proxy by 20%. The impact of reducing the proxies by 20% from the current proxies could result in up to one category of upgrades or affirmations of ratings with stronger multiples. 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. ACHM TRUST 2026-HE1: S&P Assigns B- (sf) Rating on Class F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to ACHM Trust 2026-HE1's mortgage-backed notes. The transaction is an RMBS securitization backed by first‑ and subordinate‑lien, simple‑interest, fixed‑rate, and fully amortizing open‑ended home equity lines of credit (HELOC) residential mortgage loans. The loans are secured by single‑family residences, planned‑unit developments, condominiums, townhouses, and two‑ to four‑family residential properties. The pool is composed of 3,129 HELOC mortgage loans, which are all ability-to-repay-exempt (ATR-exempt) loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage originator, Achieve Home Loans; -- Sample due diligence results consistent with represented loan characteristics; and -- S&P said, "Our macroeconomic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned ACHM Trust 2026-HE1(i) Class A, $172,052,000: AAA (sf) Class B, $20,526,000: AA- (sf) Class C, $42,621,000: A- (sf) Class D, $10,590,000: BBB- (sf) Class E, $6,929,000: BB- (sf) Class F, $5,491,000: B- (sf) Class G, $3,268,783: NR Class XS, notional(ii): NR Class AIOS, notional(ii): NR Class FR(iii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal; they do not address the payment of WAC shortfall amounts. (ii)The class XS and AIOS notes will have a notional amount equal to the aggregate principal balance of the mortgage loans as of the first day of the related collection period. (iii)The initial class FR certificate balance is zero. In certain circumstances, class FR is obligated to remit funds to the reserve account to reimburse the servicer for funding subsequent draws in the event there are insufficient available funds or amounts on deposit into the reserve account. Any amounts remitted by the class FR certificates will be added to and increase the balance of the class FR certificates. WAC--Weighted average coupon. N/A--Not applicable. NR--Not rated. ADAMS OUTDOOR 2026-1: Fitch Assigns 'BB-sf' Rating on Class C Notes ------------------------------------------------------------------- Fitch Ratings has assigned the following final ratings and Rating Outlooks to Adams Outdoor Advertising Limited Partnership (LP), Secured Billboard Revenue Notes, series 2026-1: - $561,100,000 class A-2 'A-sf'; Outlook Stable; - $102,000,000 class B 'BBB-sf'; Outlook Stable; - $102,000,000 class C 'BB-sf'; Outlook Stable. The ratings are based on information provided by the issuer as of July 17, 2026. All classes are being privately placed pursuant to Rule 144A. Transaction Summary The transaction represents a securitization in the form of notes backed by approximately 10,922 outdoor advertising displays. None of the outdoor sites are secured by mortgages; rather, the notes will primarily be secured by a perfected security interest in all the issuer's right to, title to and interest in outdoor advertising sites and associated contracts, as well as the related permits and licenses, and ground leases and parcels of real estate on which the outdoor advertising structures are located. Proceeds from the series 2026-1 notes will be used to repay the series 2023-1 class A-2, class B and class C secured billboard revenue notes in full, repay all amounts outstanding under the series 2023-1 class A-1 note, and fund a distribution to equity owners. Proceeds will also be used for general corporate purposes. The series 2026-1 transaction is secured by three fixed-rate, interest-only (IO) offered notes (classes A-2, B and C) and a floating-rate, IO variable funding note (VFN; series 2023-1 class A-1). Series 2023-1 class A-1 is not being refinanced as part of this transaction and will remain outstanding following the closing date. The series 2023-1 class A-1 VFN is benchmarked to term SOFR, which is uncapped. The outstanding principal balance of series 2023-1 class A-1 is expected to be $0.0 million at closing, with proceeds capped at $145.0 million, subject to a pro forma class A leverage ratio of no greater than 5.50x, among other conditions. The transaction is structured with an anticipated repayment date of July 2031 and a legal maturity date of July 2056. As this transaction isolates the assets from the parent company, the ratings reflect a structured finance analysis of the cash flows from advertising structures, not an assessment of the corporate default risk of the ultimate parent. KEY RATING DRIVERS Non-Traditional Asset Type; Rating Cap: Due to the specialized nature of the collateral consisting primarily of outdoor advertising displays and lack of mortgages, the senior classes of this transaction do not achieve ratings above 'Asf'. Continued Cash Flow Growth/Fitch Leverage: Fitch's net cash flow (NCF) on the pool is $86.6 million, implying a Fitch stressed debt service coverage ratio of 1.19x. Fitch's NCF increased from $70.9 million at the issuance of series 2023-1 rated notes to $86.6 million for the series 2026-1 notes, which results in a 22.3% increase during a three-year time frame. The debt multiple relative to Fitch's NCF is 8.8x, which equates to a debt yield of 11.3%. Dominant Market Share/Barriers to Entry: Adams Outdoor Advertising L.P. (AOA) primarily operates in midsize markets where it is the dominant provider of outdoor advertising, with an average 81% core market share. This dominant market share adds to the predictability of the cash flow by minimizing pricing pressure from competition. AOA faces limited competition in its market as a result of the billboard permitting process, and significant federal, state and local regulations that limit supply and prohibit new billboards. Diverse Number of Assets: AOA currently operates approximately 10,922 billboard faces including 5,906 posters, 4,530 bulletins and 486 digital displays, in 13 primary markets in seven states. In addition, no customer accounts for greater than 1.4% of revenue, and no industry accounts for greater than 12.5% of net revenue. Experienced Sponsorship and Management Team: AOA has been operating since 1983 and is currently one of the largest domestic billboard operators. AOA has shown consistent performance and has effectively managed its operations through economic cycles, reducing expenses in 2008 and 2009 during the financial crisis and, more recently, in 2020 and 2021 during the coronavirus pandemic to offset the decline in revenue. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades are limited due to the high barriers of entry and limited competition, and the sponsor's ability to manage expenses to offset declines in revenue during periods of economic downturns. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades are limited due to the provision allowing the issuance of additional notes, and the non-traditional asset type and rating cap. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by FTI Consulting, Inc. The third-party due diligence described in Form 15E focused on comparisons and re-computations of certain billboard asset attributes. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. AGL CLO 2: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the AGL CLO 2 Ltd. reset transaction. Entity/Debt Rating ----------- ------ AGL CLO 2 Ltd. A-1R2 LT AAAsf New Rating A-2R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-1R2 LT Asf New Rating C-2R2 LT Asf New Rating D-1R2 LT BBB-sf New Rating D-2R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary AGL CLO 2 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. The transaction originally closed in December 2019 and was reset in May 2024. On July 20, 2026, all existing secured notes will be redeemed in full using net proceeds from the issuance of the new secured notes and subordinated notes. The transaction will finance 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 22.11, 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 99.79% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.56% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% 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 'AAAsf' for class A-1R2, between 'Asf' and 'AA+sf' for class A-2R2, between 'BBBsf' and 'A+sf' for class B-R2, between 'BB-sf' and 'A-sf' for class C-1R2, between 'B+sf' and 'BBB+sf' for class C-2R2, between less than 'B-sf' and 'BBB+sf' for class D-1R2, and between less than 'B-sf' and 'BBB-sf' for class D-2R2 and between less than 'B-sf' and 'BB-sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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-1R2, 'A+sf' for class C-2R2, 'A+sf' for class D-1R2, and '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. ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 2 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. AMUR EQUIPMENT 2026-1: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned 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 Prior ----------- ------ ----- Amur Equipment Finance Receivables XVI (Series 2026-1) A-1 ST F1+sf New Rating F1+(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 LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral Performance: Consistent with prior AXIS transactions, AXIS 2026-1 is focused on construction, transportation, 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 mix 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 CE: 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 1.31% 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. AMUR EQUIPMENT 2026-1: Moody's Assigns Ba3 Rating to Class E Notes ------------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to the Series 2026-1 notes issued by Amur Equipment Finance Receivables XVI LLC (Amur 2026-1). Amur Equipment Finance, Inc. (Amur) is the sponsor of this securitization, which is backed by fixed-rate loans and leases secured by construction, industrial, vocational, transportation, manufacturing and franchise equipment. Amur is also the servicer of the securitized pool. Amur 2026-1 is 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, Definitive Rating Assigned P-1 (sf) Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa2 (sf) Class C Notes, Definitive Rating Assigned A2 (sf) Class D Notes, Definitive Rating Assigned Baa3 (sf) Class E Notes, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The ratings are based on the quality and expected performance of the underlying collateral, the strength of the capital structure, and the experience and expertise of Amur. The median cumulative net loss expectation for the pool is 4.25% and the loss under an Aaa stress scenario is 28.00%. These assumptions reflect an analysis of the credit quality of the underlying collateral, as well as the potential movement in the pool following the addition of assets during the prefunding period; the historical performance of comparable assets, including securitization and managed portfolio performance; the servicing capabilities of Amur; and current macroeconomic expectations over the life 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 9.00% 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. APEX CREDIT 2019: Fitch Affirms 'B-sf' Rating on Class F-RR Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apex Credit CLO 2019 Ltd. refinancing notes. Fitch has also affirmed the class B-RR, C-RR, D-1RR, D-JRR, E-RR and F-RR notes with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Apex Credit CLO 2019 Ltd. X-R3 LT NRsf New Rating A-1R3 LT NRsf New Rating A-R3 LT NRsf New Rating A-JR3 LT AAAsf New Rating A-JRR 03754AAS8 LT PIFsf Paid In Full AAAsf B-RR 03754AAU3 LT AAsf Affirmed AAsf C-RR 03754AAW9 LT Asf Affirmed Asf D-1RR 03754AAY5 LT BBBsf Affirmed BBBsf D-JRR 03754ABA6 LT BBB-sf Affirmed BBB-sf E-RR 03754BAE7 LT BB-sf Affirmed BB-sf F-RR 03754BAG2 LT B-sf Affirmed B-sf Transaction Summary Apex Credit CLO 2019 Ltd. is an arbitrage cash flow collateralized loan obligation (CLO) managed by Apex Credit Partners LLC. Net proceeds from the issuance of the secured and subordinated notes will finance on a portfolio of approximately $379 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 22.99, 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 95.6% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.2% 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 12.50% 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. 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 April 20, 2027; - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes; - The Fitch recovery rate definition, Fitch industry definition and matrices have been amended to conform with Fitch's new criteria. FITCH ANALYSIS The portfolio includes 293 assets from 268 primarily high-yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $379 million. As of the latest trustee report prior to the refinance date, the transaction was not passing its Minimum Floating Spread and Weighted Average Rating Factor tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B+'/'B'. Fitch has an explicit rating, credit opinion or private rating for 46.2% of the current portfolio par balance; ratings for 53.6% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.2% were unrated. As per Fitch's criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and on the indicative portfolio for the non-refinanced notes, if any. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 17.5%, 12.0%, and 10.5%, respectively; - Assumed risk horizon: 6.01 years; - Minimum weighted average spread of 3.20%; - Minimum weighted average recovery rate of 70.50%; - Maximum weighted average rating factor of 24.00; - Fixed-rate assets: 5.00%; - Minimum weighted average coupon of 6.00%; The transaction will exit its reinvestment period on July 18, 2029. The affirmations are in line with their model-implied ratings (MIRs). While the current portfolio cushions remain positive, they are lower than average for the class E-RR and F-RR notes, increasing the notes' sensitivity to further portfolio deterioration and portfolio losses. 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-JR3: 'AAAsf' / Default 40.80% / Recovery 38.97% / Cushion 12.20% - Class B-RR: 'AAsf' / Default 37.90% / Recovery 48.55% / Cushion 11.10% - Class C-RR: 'Asf' / Default 33.50% / Recovery 58.21% / Cushion 11.60% - Class D-1RR: 'BBBsf' / Default 28.40% / Recovery 68.31% / Cushion 13.00% - Class D-JRR: 'BBB-sf' / Default 25.60% / Recovery 68.36% / Cushion 8.20% - Class E-RR: 'BB-sf' / Default 21.30% / Recovery 73.71% / Cushion 4.30% - Class F-RR: 'B-sf' / Default 16.80% / Recovery 78.57% / Cushion 2.90% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-JR3: 'AAAsf' / Default 48.10% / Recovery 37.75% / Cushion 5.60% - Class B-RR: 'AAsf' / Default 44.70% / Recovery 45.50% / Cushion 3.60% - Class C-RR: 'Asf' / Default 39.80% / Recovery 55.50% / Cushion 6.60% - Class D-1RR: 'BBBsf' / Default 34.20% / Recovery 65.50% / Cushion 8.20% - Class D-JRR: 'BBB-sf' / Default 31.10% / Recovery 65.50% / Cushion 4.10% - Class E-RR: 'BB-sf' / Default 26.00% / Recovery 70.50% / Cushion 0.80% - Class F-RR: 'B-sf' / Default 21.00% / Recovery 75.50% / 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 'Asf' and 'AAAsf' for class A-JR3, between 'BBB-sf' and 'AA-sf' for class B-RR, between 'B+sf' 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 'BBB-sf' for class D-JRR, and between less than 'B-sf' and 'B+sf' for class E-RR and less than 'B-sf' for class F-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-JR3 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AA+sf' for class C-RR, 'A+sf' for class D-1RR, 'A+sf' for class D-JRR, and 'BBB+sf' for class E-RR and 'BB+sf' for class F-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Apex Credit CLO 2019 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. APIDOS CLO LVII: Moody's Assigns B3 Rating to $550,000 Cl. F Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued by Apidos CLO LVII (the Issuer): US$352,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$550,000 Class F Mezzanine Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned B3 (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. Apidos CLO LVII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets, collectively. The portfolio is approximately 95% ramped as of the closing date. CVC Credit Partners, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $550,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3051 Weighted Average Spread (WAS): 2.85% (adjusted from covenant 2.87%) Weighted Average Recovery Rate (WARR): 45.25% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated 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. ARINI US VIII: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Arini US CLO VIII Ltd./Arini US CLO VIII LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Arini Loan Management US LLC. The preliminary ratings are based on information as of July 29, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Preliminary Ratings Assigned Arini US CLO VIII Ltd./Arini US CLO VIII LLC Class A, $193.0 million: AAA (sf) Class A-L(i), $127.0 million: AAA (sf) Class B, $60.0 million: AA (sf) Class C (deferrable), $30.0 million: A (sf) Class D (deferrable), $30.0 million: BBB- (sf) Class E (deferrable), $20.0 million: BB- (sf) Subordinated notes, $42.6 million: NR (i)Issued in loan form. NR--Not rated. ATLAS SENIOR XXIII: S&P Affirms BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1R, A-JR, B-R, C-R, and D-1R debt from Atlas Senior Loan Fund XXIII Ltd./Atlas Senior Loan Fund XXIII LLC, a CLO managed by Crescent Capital Group L.P. that was originally issued in June 2024. At the same time, S&P withdrew its ratings on the previous class A1, AJ, B, C, D-1F, and D-1N debt following payment in full on the July 30, 2026, refinancing date. S&P also affirmed its ratings on the existing class D-J and E debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 20, 2027. -- No additional assets were purchased on the July 30, 2026, refinancing date, and the target initial par amount remains at $400.00 million. There is no additional effective date or ramp-up period and the first payment date following the refinancing is Oct. 20, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-1R, $240,00 million: Three-month CME term SOFR + 1.28% -- Class A-JR, $20.00 million: Three-month CME term SOFR + 1.45% -- Class B-R, $44.00 million: Three-month CME term SOFR + 1.60% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 1.90% -- Class D-1R (deferrable), $24.00 million: Three-month CME term SOFR + 3.35% Previous debt -- Class A1, $240.00 million: Three-month CME term SOFR + 1.53% -- Class AJ, $20.00 million: Three-month CME term SOFR + 1.74% -- Class B, $44.00 million: Three-month CME term SOFR + 2.00% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 2.40% -- Class D-1F (deferrable), $3.00 million: 7.739% -- Class D-1N (deferrable), $21.00 million: Three-month CME term SOFR + 3.60% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. 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 Atlas Senior Loan Fund XXIII Ltd./ Atlas Senior Loan Fund XXIII LLC Class A-1R, $240.00 million: AAA (sf) Class A-JR, $20.00 million: AAA (sf) Class B-R, $44.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1R (deferrable), $24.00 million: BBB (sf) Ratings Withdrawn Atlas Senior Loan Fund XXIII Ltd./ Atlas Senior Loan Fund XXIII LLC Class A1 to NR from 'AAA (sf)' Class AJ to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D-1F (deferrable) to NR from 'BBB (sf)' Class D-1N (deferrable) to NR from 'BBB (sf)' Ratings Affirmed Atlas Senior Loan Fund XXIII Ltd./ Atlas Senior Loan Fund XXIII LLC Class D-J (deferrable): BBB- (sf) Class E (deferrable): BB- (sf) Other Debt Atlas Senior Loan Fund XXIII Ltd./ Atlas Senior Loan Fund XXIII LLC Subordinated notes, $38.75 million: NR NR--Not rated. AUDAX SENIOR 9: S&P Assigns Prelim BB-(sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-1-R-L, A-2-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X-R debt from Audax Senior Debt CLO 9 LLC, a CLO managed by Audax Management Company (NY) LLC that was originally issued in March 2024. The preliminary ratings are based on information as of July 29, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 6, 2026, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1, A-2, B, C, D, and E debt and assign ratings to the replacement class A-1-R, A-1-R-L, A-2-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-1-R-L, A-2-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The existing class A debt will be replaced by the replacement class A-1-R and A-1-R-L debt; the existing class B debt will be replaced by the replacement class B-1-R and B-2-R debt, pro rata; and the existing class D debt will be split into replacement class D-1-R and D-2-R debt. -- The non-call period will be extended to Oct. 20, 2028. -- The reinvestment period will be extended to Oct. 20, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to Oct. 20, 2038. -- The target initial par amount will reduce to $513.793 million from the existing $600.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2026. -- New class X-R debt will be issued on the refinancing date. -- This debt is expected to be paid down using interest proceeds during the first 12 payment dates in equal installments of $0.875 million, beginning on the second payment date. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Audax Senior Debt CLO 9 LLC Class X-R, $10.500 million: AAA (sf) Class A-1-R, $273.000 million: AAA (sf) Class A-1-R-L(i), $25.000 million: AAA (sf) Class A-2-R, $20.550 million: AAA (sf) Class B-1-R, $28.535 million: AA (sf) Class B-2-R, $10.000 million: AA (sf) Class C-R (deferrable), $35.965 million: A (sf) Class D-1-R (deferrable), $28.260 million: BBB (sf) Class D-2-R (deferrable), $7.705 million: BBB- (sf) Class E-R (deferrable), $23.125 million: BB- (sf) Other Debt Audax Senior Debt CLO 9 LLC Subordinated notes, $78.356 million: NR (i)Issued in loan form. Pursuant to the Credit Agreement, the Converting Lender has the option to convert the Class A-1-R-L Loans into an equivalent principal amount of Class A-1-R Notes. NR--Not rated. AUXILIOR TERM 2026-1: Moody's Assigns Ba2 Rating to Class E Notes ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by Auxilior Term Funding 2026-1, LLC (the issuer). The transaction is the third securitization sponsored by Auxilior Capital Partners, Inc. (Auxilior), a small and medium-ticket independent equipment finance company. Auxilior serves as servicer of the collateral. The notes are backed by a pool of loans and leases by new and used equipment in five segments: Construction and Infrastruture Group (CIG), Transportation and Logistics Group (TLG), Franchise Finance Group (FFG), Financial Institution Group (FIG), and Healthcare (HFG). The complete rating actions are as follows: Issuer: Auxilior Term Funding 2026-1, LLC Class A-1 Notes, Definitive Rating Assigned P-1 (sf) Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class A-3 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa2 (sf) Class C Notes, Definitive Rating Assigned A2 (sf) Class D Notes, Definitive Rating Assigned Baa3 (sf) Class E Notes, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The median cumulative net loss expectation for the pool is 2.50% and the loss under an Aaa stress is 20.00% (inclusive of 19.00% credit loss and 1.00% residual value loss). 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 Auxilior as the originator and servicer of the asset portfolio, the capital structural and the legal and operational aspects of the transaction. In assigning the definitive short-term rating to the class A-1 notes, Moody's considered the cash flows that Moody's expects the underlying receivables to generate prior to the class A-1 notes' legal final maturity date. At closing, the Class A notes, Class B notes, Class C notes, Class D notes, and Class E notes will benefit from 19.25%, 14.50%, 8.50%, 6.00%, and 4.60% of hard credit enhancement, respectively. Hard credit enhancement for the notes will consist of (1) over-collateralization (OC) of 3.60% of the initial pool balance, with the ability to step down once the OC reaches its target of 7.50% of the outstanding pool balance subject to a floor of 1.00% of the initial pool balance, (2) a fully funded, non-declining reserve account of 1.00% of the initial pool balance, and (3) subordination, except for the Class E Notes. The notes may also benefit from excess spread. 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 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 its original expectations because of lower frequency of default by the underlying obligors or slower depreciation than expected 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 ratings on the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or higher than expected deterioration in the value of the equipment that secure the obligor's 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 could include poor servicing, error on the part of transaction parties, inadequate transaction governance or fraud. BARINGS CLO 2018-II: S&P Affirms B- (sf) Rating on Class F-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1L, A-1a-R2, A-1b-R2, B-R2, and C-R2 debt from Barings CLO Ltd. 2018-II/Barings CLO 2018-II LLC, a CLO managed by Barings LLC that was originally issued in May 2018 and was reset in August 2024. At the same time, S&P withdrew its ratings on the previous class A-1-R, B-1a-R, B-1b-R, B-2-R, and C-R debt following payment in full on the July 30, 2026, refinancing date. S&P also affirmed its ratings on the existing class D-1-R, D-2-R, E-R, and F-R debt, which were not refinanced. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the conformed indenture: -- The non-call period was extended to Jan. 15, 2027. -- The replacement class A-1L debt (issued in loan form) was issued via credit agreement and is pro-rata with the replacement class A-1a-R2 and A-1b-R2 debt. -- The reinvestment period and legal final maturity date remain unchanged. Replacement And Previous Debt Issuances Replacement debt -- Class X-R2 (not rated by S&P Global Ratings), $0.75 million: 0.80% -- Class A-1L, $75.00 million: Three-month CME term SOFR + 1.22% -- Class A-1a-R2, $125.00 million: Three-month CME term SOFR + 1.22% -- Class A-1b-R2, $45.40 million: Three-month CME term SOFR + 1.22% -- Class A-2-R2 (not rated by S&P Global Ratings), $14.60 million: Three-month CME term SOFR + 1.45% -- Class B-2-R2, $44.00 million: Three-month CME term SOFR + 1.55% -- Class C-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 1.95% Previous debt -- Class X-R (not rated by S&P Global Ratings), $1.00 million: 1.150% -- Class A-1-R, $245.40 million: Three-month CME term SOFR + 1.36% -- Class A-2-R (not rated by S&P Global Ratings), $14.60 million: Three-month CME term SOFR + 1.60% -- Class B-1a-R, $12.40 million: Three-month CME term SOFR + 1.65% -- Class B-1b-R, $8.60 million: Three-month CME term SOFR + 1.85% -- Class B-2-R, $23.00 million: Three-month CME term SOFR + 1.75% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 2.10% 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 (in this case, the replacement class B-R2 and C-R2 debt). However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. On a standalone basis, our cash flow analysis indicated a lower rating on the existing class D-1-R, D-2-R, and E-R debt (which were not refinanced). However, we affirmed our ratings on the existing class D-1-R, D-2-R, and E-R debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Barings CLO Ltd. 2018-II/Barings CLO 2018-II LLC Class A-1L(i), $75.00 million: AAA (sf) Class A-1a-R2, $125.00 million: AAA (sf) Class A-1b-R2, $45.40 million: AAA (sf) Class B-R2, $44.00 million: AA (sf) Class C-R2 (deferrable), $24.00 million: A (sf) Ratings Withdrawn Barings CLO Ltd. 2018-II/Barings CLO 2018-II LLC Class A-1-R to NR from 'AAA (sf)' Class B-1a-R to NR from 'AA (sf)' Class B-1b-R to NR from 'AA (sf)' Class B-2-R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Ratings Affirmed Barings CLO Ltd. 2018-II/Barings CLO 2018-II LLC Class D-1-R (deferrable): BBB (sf) Class D-2-R (deferrable): BBB- (sf) Class E-R (deferrable): BB- (sf) Class F-R (deferrable): B- (sf) Other Debt Barings CLO Ltd. 2018-II/Barings CLO 2018-II LLC Class X-R2, $0.75 million: NR Class A-2-R2, $14.60 million: NR Subordinated notes, $49.00 million: NR (i)Issued in loan form. NR--Not rated. BARINGS INFRASTRUCTURE 2026-I: Moody's Gives Ba3 Rating to E Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to seven classes of notes issued and one class of loans incurred by Barings Infrastructure CLO Ltd. 2026-I (the Issuer or Barings Infrastructure 2026-I): US$5,500,000 Class X Floating Rate Senior Notes due 2039, Assigned Aaa (sf) US$172,480,000 Class A-1 Floating Rate Senior Notes due 2039, Assigned Aaa (sf) US$179,520,000 Class A-1L Loans maturing 2039, Assigned Aaa (sf) US$11,000,000 Class A-2 Floating Rate Senior Notes due 2039, Assigned Aaa (sf) US$55,000,000 Class B Floating Rate Senior Notes due 2039, Assigned Aa1 (sf) US$33,000,000 Class C Deferrable Floating Rate Mezzanine Notes due 2039, Assigned A2 (sf) US$33,000,000 Class D Deferrable Floating Rate Mezzanine Notes due 2039, Assigned Baa3 (sf) US$11,000,000 Class E Deferrable Floating Rate Mezzanine Notes due 2039, Assigned Ba3 (sf) The notes and loans listed are referred to herein, collectively, as the Rated Debt. The Class A-1L Loans may not be exchanged or converted into notes at any time. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the infrastructure CLO's portfolio and structure. Barings Infrastructure 2026-I is a managed cash flow infrastructure CLO. The issued debt will be collateralized primarily by senior secured project finance (PF) infrastructure, corporate infrastructure, and corporate non-infrastructure loans. At least 35% of the portfolio must consist of project finance infrastructure loans. The infrastructure CLO permits up to 27.5% of the portfolio in project finance loans in the power generation sector including the electricity (gas) contracted, merchant or power renewables sectors. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of bonds and second lien loans. The portfolio is approximately 80% ramped as of the closing date. Barings LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt in order of seniority. Moody's ratings of the Rated Debt also took into account the concentrated nature of the portfolio. The infrastructure CLO's indenture allows for a portfolio that is highly concentrated by sector and individual asset size. Up to 27.5% of the portfolio's assets may be in the power generation sector, with the largest power generation sub-sector potentially being up to 17.5% of the portfolio. The five largest sub-sectors could constitute up to 60% of the portfolio. The four largest sub-sectors could constitute up to 55% of the portfolio. A minimum of 50% of the portfolio is required to consist of PF infrastructure assets and corporate infrastructure assets relating to sectors or industries in energy-electricity, energy-oil and gas, utilities-electric, utilities-oil and gas, and utilities-water. Credit deterioration in a single sector could have an outsized negative impact on the infrastructure CLO portfolio's overall credit quality. Moody's analysis considered the potential for a concentrated portfolio. Moody's modeled the transaction applying the Monte Carlo simulation framework in Moody's CDOROM™, as described in the "Project Finance and Infrastructure Asset CLOs" rating methodology published in July 2024 and using a cash flow model which estimates expected loss on a CLO's tranche, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $550,000,000 Weighted Average Rating Factor (WARF): 2201 Weighted Average Spread (WAS): 2.64% Weighted Average Recovery Rate (WARR): 61.95% Weighted Average Life (WAL): 9.0 years Bonds and second lien loans: 10.00% Total obligors: 80 Largest five obligors: 17.50% B2 or B3 and below default probability rating obligors: 40.00% B3 and below default probability rating obligors: 15.00% PF infrastructure obligors: 40.0% PF power generation sector: 24.50% PF power generation subsector: 17.50% Largest five subsectors: 60.00% Methodology 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 Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. BATTALION CLO X: S&P Lowers Class D-R2 Notes Rating to 'B- (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on Battalion CLO X Ltd.'s class C-R2 and D-R2 debt and removed them from CreditWatch, where S&P placed them with negative implications on May 6, 2026. The transaction is a U.S. collateralized loan obligation (CLO) managed by Brigade Capital Management L.P. S&P also affirmed its ratings on the class A-1-R3, A-2-R3, and B-R3 notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the June 11, 2026, trustee report. The transaction was originally issued in December 2016. It underwent its second reset in March 2021 and third refinancing in December 2025 and exited its reinvestment period in January 2026. S&P said, "On May 6, 2026, we had placed our rating on the class C-R2 and D-R2 debt on CreditWatch negative primarily due to declining credit support in these classes, the portfolio's par loss since the December 2025 refinancing, and indicative cash flow results." Compared to the January 2026 post-refinancing trustee report, the following are the changes to the overcollateralization (O/C) ratios reported in June 2026: -- The class A O/C ratio increased to 126.55% from 125.93%. -- The class B O/C ratio declined to 116.57% from 116.72%. -- The class C O/C ratio declined to 108.05% from 108.76%. -- The class D O/C ratio declined to 103.63% from 104.60%. The reduction in the O/C ratios, together with the failure of the class C-R2 and D-R2 O/C tests, is principally attributable to the portfolio par loss. In addition, several portfolio credit metrics weakened between December 2025 and June 2026: -- S&P Global Ratings' weighted average spread decreased to 3.50% from 3.55%. -- Collateral obligations in the 'CCC' rating category increased to $33.75 million from $31.34 million. -- Assets rated 'CCC' and 'CCC-' are exposed to distressed market prices. On the other hand, during the same period, the defaults decreased to $2.95 million from $3.55 million, and S&P Global Ratings' weighted average recovery rate on the 'AAA' rated debt increased to 37.90% from 37.70%. S&P said, "As classes C-R2 and D-R2 were no longer passing cash flows and their credit subordination was not commensurate with their respective previous rating levels, we lowered our ratings on the class C-R2 debt to 'BB+ (sf)' and the class D-R2 debt to 'B- (sf)' as the cash flow results indicated. We also considered the current level of subordination, the failing C-R2 and D-R2 O/C tests, the increased exposure to assets rated in the 'CCC' category, and the distressed prices of assets rated 'CCC' and 'CCC-'. "The affirmed ratings on the class A-1-R3, A-2-R3, and B-R3 debt reflect adequate credit support at the current rating levels and positive cash flow performance. Although our cash flow analysis suggested that the class A-2-R3 and B-R3 debt could potentially warrant higher ratings, which did not pass the sensitivity test. In addition, we considered the continued decline in trustee O/C values and increased exposure to assets rated 'CCC' and 'CCC-'. Any further deterioration, increase in defaults, or par losses could result in negative rating actions. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Lowered And Removed From CreditWatch Battalion CLO X Ltd. Class C-R2 to 'BB+ (sf)' from 'BBB (sf)' Class D-R2 to 'B- (sf)' from 'B+ (sf)' Ratings Affirmed Battalion CLO X Ltd. Class A-1-R3: AAA (sf) Class A-2-R3: AA (sf) Class B-R3: A (sf) BBCMS MORTGAGE 2022-C14: Fitch Lowers Rating on J-RR Certs to 'Csf' ------------------------------------------------------------------- Fitch Ratings has downgraded nine and affirmed nine classes of BBCMS Mortgage Trust 2022-C14 commercial mortgage pass-through certificates, series 2022-C14. Fitch has assigned Negative Rating Outlooks to classes C, D, E-RR, F-RR, X-B and X-D following their downgrades. Fitch has also revised the Outlooks for classes A-S and B to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2022-C14 A-1 07336AAA5 LT AAAsf Affirmed AAAsf A-2 07336AAB3 LT AAAsf Affirmed AAAsf A-3 07336AAC1 LT AAAsf Affirmed AAAsf A-4 07336AAD9 LT AAAsf Affirmed AAAsf A-5 07336AAE7 LT AAAsf Affirmed AAAsf A-S 07336AAJ6 LT AAAsf Affirmed AAAsf A-SB 07336AAF4 LT AAAsf Affirmed AAAsf B 07336AAK3 LT AA-sf Affirmed AA-sf C 07336AAL1 LT BBB-sf Downgrade A-sf D 07336AAP2 LT BB+sf Downgrade BBB+sf E-RR 07336AAR8 LT BBsf Downgrade BBBsf F-RR 07336AAT4 LT B-sf Downgrade BBsf G-RR 07336AAV9 LT CCCsf Downgrade B+sf H-RR 07336AAX5 LT CCsf Downgrade B-sf J-RR 07336AAZ0 LT Csf Downgrade CCCsf X-A 07336AAG2 LT AAAsf Affirmed AAAsf X-B 07336AAH0 LT BBB-sf Downgrade A-sf X-D 07336AAM9 LT BB+sf Downgrade BBB+sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectation; High Concentration of Specially Serviced Loans: Fitch's deal-level 'Bsf' rating case losses increased to 7.5% from 4.9% at the prior rating action. The downgrades reflect higher overall pool expected losses since the prior rating action, driven primarily by updated values for larger specially serviced loans 1100 & 820 First Street NE (6.7% of the pool), Chicago Business Center and Chicago Marketplace (crossed loans; combined 5.5%), as well as the recent transfer to special servicing and decline in Fitch's value of the Singer Bronx Multifamily Portfolio (4.4%). In total, there are six specially serviced loans (18%) and Fitch Loans of Concern (FLOCs) comprise 15 loans (31.6%), including the loans in special servicing. The Negative Outlooks reflect the potential for downgrades, particularly for classes A-S and B, if an updated appraisal or Fitch's valuation for the Singer Multifamily Portfolio is significantly lower than Fitch's current expectations, if the other specially serviced loans' valuations continue to deteriorate, or if additional loan defaults occur. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest contributor to loss expectations is the 1100 & 820 First Street NE loan. The loan is secured by a portfolio of two office buildings totaling 655,071 sf in the Washington, D.C market. The loan transferred to special servicing in June of 2025 for monetary default, and a receiver was appointed in December 2025. The credit profile of the sponsor weakened materially following a 2023 bankruptcy filing in Japan. Market reporting indicates that the firm has been attempting to divest U.S. assets amid lender enforcement actions. Performance at the properties has weakened, driven primarily by lower occupancy and near-term lease rollover. Overall occupancy for both buildings declined to 64% in the June 2025 rent roll, down from 85% at YE 2024. Approximately 62% of space expired in 2025 or is scheduled to expire in 2026. Fitch's 'Bsf' rating case loss of 44.3% (prior to concentration add-ons) reflects a stress to the most recent appraisal value to account for occupancy decline and heightened rollover risk. This results in a recovery of $181 psf which is in line with comparable sales and recent appraisal values in the submarket. The second largest contributor to overall loss expectations are the crossed loans of Chicago Business Center and Chicago Marketplace loans. The portfolio totals 781,377-sf and consists of two industrial properties located less than two miles from one another in the South Chicago submarket. The Chicago Business Center property consists of a four-story industrial/flex building and a one-story warehouse building totaling 683,533-sf (72.4% warehouse and 27.6% office). The Chicago Marketplace property consists of a single-story industrial distribution center totaling 109,681-sf. The property's NRA is 11.5% office, 53.8% dry storage and 34.7% cold storage. The Chicago Marketplace is immediately adjacent to the Chicago International Produce Market, the anchor for the area, which is considered a food corridor. The loans transferred to special servicing in February 2025 for payment default. The servicer is aware of alleged defaults involving other assets in the sponsor's portfolio, including allegations of misappropriation of rents and insurance proceeds and open city violations at the Chicago Business Center property. Occupancy for the Chicago Business Center and Chicago Marketplace has declined to 92% and 76%, respectively, down from 100% for both properties at issuance. The servicer has initiated foreclosure and is pursuing a receiver appointment while also attempting to negotiate with the borrower. The combined Fitch 'Bsf' rating case loss of 13.3% (prior to concentration add-ons) for the loans reflects a recovery value $66.6 psf of and represents a 30% decline from appraisals at issuance. The decline in value is primarily due to decline in deteriorating property condition, lower occupancy and upcoming rollover. The third largest contributor and the largest increase in expected losses since the last rating action is the Singer Bronx Multifamily Portfolio. The loan is secured by a portfolio of six multifamily, mid-rise properties totaling 291-units with all properties within the Fordham / University Heights submarket. All units are rent-stabilized and subject to the rent freeze implemented by the NYC Rent Guidelines Board for one- and two-year lease renewals from Oct. 1, 2026 to Sept. 30, 2027. The loan transferred to special servicing prior to the rental freeze in February 2026 for payment default. A fire occurred at one of the properties (3030 Heath) in January 2025 damaging six units that remain offline. Limited reporting has been obtained from the borrower, so updated operating performance remains unknown. A receiver has been appointed, and the servicer is pursuing foreclosure while continuing to negotiate with the borrower. Fitch's 'Bsf' rating case loss of 31.2% (prior to concentration add-ons is based on a 8.75% cap rate (up from 8.25% at issuance) and a 7.5% stress to the YE 2024 NOI resulting in a Fitch stressed value of approximately $99,300 per unit. In addition, Fitch's loss expectation reflects an elevated probability of default due to the loan's specially serviced status. The Negative Outlooks, particularly on classes A-S and B, reflect the potential for downgrades if the valuation continues to decline given property condition and concerns with future operations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the senior 'AAAsf' rated classes are not expected due to the high CE, their senior position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to junior 'AAAsf' and 'AAsf' rated categories are possible with prolonged workouts of the specially serviced assets and lower valuations, most notably on the larger specially serviced assets including Singer Bronx Multifamily Portfolio, significantly increased pool expected losses and limited to no improvement in these classes' CE or if interest shortfalls occur; - Downgrades to classes rated in the 'Asf' category could occur if deal-level losses increase significantly from outsized losses on larger FLOCs, and/or more loans than expected experience performance deterioration, and/or default at or prior to maturity. Of particular concern in the transaction are 1100 & 820 First Street NW, Chicago Business Center, Chicago Marketplace, and Singer Bronx Multifamilty Portfolio; - Downgrades to classes rated in the 'BBsf' and 'Bsf' categories are possible with higher-than-expected losses from continued underperformance of the FLOCs and/or lack of resolution and increased exposures on the specially serviced loans; - Downgrades to 'CCCsf' rated classes would occur if additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Classes would not be upgraded above 'AA+sf' if there is a likelihood of interest shortfalls; - Upgrades to classes rated in the 'BBsf' and 'Bsf' categories are not likely until the later years of the transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to distressed ratings are not expected, but would be possible with better-than-expected recoveries on specially serviced loans or significantly higher values for 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. BDS 2026-FL18: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to the BDS 2026-FL18 LLC notes as follows: - $751,562,000a class A 'AAA(EXP)sf'; Outlook Stable; - $125,000,000a class A-S 'AAA(EXP)sf'; Outlook Stable; - $85,938,000ab class B 'AA-(EXP)sf'; Outlook Stable; - $0c class B-E 'AA-(EXP)sf'; Outlook Stable; - $0d class B-X 'AA-(EXP)sf'; Outlook Stable; - $70,312,000ab class C 'A-(EXP)sf'; Outlook Stable; - $0c class C-E 'A-(EXP)sf'; Outlook Stable; - $0d class C-X 'A-(EXP)sf'; Outlook Stable; - $40,625,000ab class D 'BBB(EXP)sf'; Outlook Stable; - $0c class D-E 'BBB(EXP)sf'; Outlook Stable; - $0d class D-X 'BBB(EXP)sf'; Outlook Stable; - $18,750,000ab class E 'BBB-(EXP)sf'; Outlook Stable; - $0c class E-E 'BBB-(EXP)sf'; Outlook Stable; - $0d class E-X 'BBB-(EXP)sf'; Outlook Stable; - $37,500,000e class F 'BB-(EXP)sf'; Outlook Stable; - $25,000,000e class G 'B-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $95,313,000ef income notes. (a) Privately placed and pursuant to Rule 144A. (b) Exchangeable Notes: Classes B, C, D and E are exchangeable for proportionate interests in other notes, subject to the satisfaction of certain conditions and restrictions, provided that at the time of the exchange, such notes are owned by a wholly owned subsidiary of Bridge REIT. The principal balance of each of the notes received in an exchange will be equal to the principal balance of the corresponding MASCOT 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 7.625% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,063,595,909 and does not include future funding. Transaction Summary The primary assets are 26 loans secured by 30 commercial properties with an aggregate principal balance of $1,063,595,909 as of the cutoff date. The pool also includes a ramp cash amount of $186,404,091 for the purchase of ramp-up collateral interests during the 180 days following the closing date. The loans will be contributed to the trust by BDS V Loan Seller LLC. The aggregate principal balance does not reflect the expected future funding of approximately $25.9 million. Trimont LLC is expected to be the servicer and special servicer. The trustee is expected to be Wilmington Trust, National Association, and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential-paydown structure. The transaction is expected to close on Aug. 7, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed net cash flow (NCF) analysis on 21 loans totaling 91.3% of the pool by balance. Fitch's aggregate pool NCF of $31.5 million represents a 5.8% decline from the issuer's aggregate underwritten pool NCF of $33.4 million. Fitch Leverage: The pool has higher leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value ratio (LTV) of 149.9% is higher than the 2026 YTD and 2025 CRE CLO averages of 139.0% and 139.6%, respectively. The pool's Fitch NCF debt yield (DY) of 5.8% is lower than the 2026 YTD and 2025 CRE CLO averages of 6.5%. 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 115.8% and an average Fitch NCF DY of 7.7%. Favorable Multifamily Collateral: The pool is 94.9% backed by quality multifamily properties. Loans were originated by a single platform with consistent underwriting standards, predominantly to repeat, above-average sponsors with demonstrated refinancing capability, as the majority of the sponsors in the pool are prior agency borrowers. The originator intends to retain any piece rated below 'BBB-', maintaining material economic exposure to long-term collateral performance. Pool Concentration/Reduced Add-On: The pool is less concentrated by loan size than recent Fitch-rated CRE CLO transactions. The top 10 loans make up 58.6% of the pool, which is lower than the 2026 YTD and 2025 averages of 59.6% and 61.7%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 21.3, which is lower than the 2026 YTD and 2025 averages of 21.5 and 20.4, respectively. However, Fitch reduced the pool's total loan concentration add-on given the $186.4 million of ramp cash contributed to the pool, which can be used to purchase additional collateral interest. Fitch views diversity as a key mitigant to idiosyncratic risk and raises overall losses for pools with effective loan counts below 40. Criteria Variation: Fitch's analysis included one variation from the published "U.S. and Canadian Multiborrower CMBS Rating Criteria." Fitch applied a reduced multifamily property type coefficient in the Term PD calculation, resulting in expected losses (before concentration add-on) approximately halfway between the standard conduit multifamily treatment and the Freddie multifamily treatment. The combination of collateral quality, sponsor strength, platform-level origination consistency and structural alignment of interests distinguishes this pool from other CRE CLO transactions and compares favorably to other multiborrower pools rated by Fitch. 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 model-implied rating sensitivity to changes in one variable, Fitch NCF, are as follows: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA+sf'/'A+sf' /'BBB+sf'/'BBB-sf'/'BBsf'/'Bsf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF, are as follows: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA-sf' /'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'. SUMMARY OF FINANCIAL ADJUSTMENTS CRITERIA VARIATION Fitch's analysis included one variation from the published "U.S. and Canadian Multiborrower CMBS Rating Criteria." Fitch applied a blended multifamily property type coefficient in the Term PD calculation, between the standard conduit multifamily treatment and the Freddie multifamily treatment. Under the criteria, CRE CLO transactions are analyzed using Fitch's multiborrower CMBS loss framework, which assigns term PD, maturity PD and LGD to each loan based on loan, property and pool characteristics. The criteria also provide separate treatment for Freddie Mac multifamily transactions through adjusted model coefficients and concentration add-ons reflecting historically lower losses than CRE CLO transactions. Fitch did not apply full Freddie Mac multifamily treatment because the loans are not agency-originated and do not benefit from Freddie Mac's origination, underwriting or structural framework. However, Fitch determined that application of other CRE CLO multifamily property type coefficient would not fully reflect the risk profile of the pool. CASH FLOW MODEL This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement, then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Fitch ran different scenarios that stressed asset default timing distributions and recovery timing assumptions. Key inputs, including the Rating Default Rate and Rating Recovery Rate, were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2021-B29: Fitch Lowers Rating on Two Tranches to 'CCCsf' ------------------------------------------------------------------ Fitch Ratings has downgraded four and affirmed 13 classes of Benchmark 2021-B29 Mortgage Trust commercial mortgage pass-through certificates, series 2021-B29 (BMARK 2021-B29). Fitch has revised the Rating Outlooks on classes E and X-D to Negative from Stable and maintained the Negative Outlooks on classes F and X-F. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2021-B29 A-2 08163JAB0 LT AAAsf Affirmed AAAsf A-3 08163JAC8 LT AAAsf Affirmed AAAsf A-4 08163JAD6 LT AAAsf Affirmed AAAsf A-5 08163JAE4 LT AAAsf Affirmed AAAsf A-S 08163JAJ3 LT AAAsf Affirmed AAAsf A-SB 08163JAF1 LT AAAsf Affirmed AAAsf B 08163JAK0 LT AA-sf Affirmed AA-sf C 08163JAL8 LT A-sf Affirmed A-sf D 08163JAV6 LT BBBsf Affirmed BBBsf E 08163JAX2 LT BBB-sf Affirmed BBB-sf F 08163JAZ7 LT Bsf Downgrade BB-sf G 08163JBB9 LT CCCsf Downgrade B-sf X-A 08163JAG9 LT AAAsf Affirmed AAAsf X-B 08163JAH7 LT A-sf Affirmed A-sf X-D 08163JAM6 LT BBB-sf Affirmed BBB-sf X-F 08163JAP9 LT Bsf Downgrade BB-sf X-G 08163JAR5 LT CCCsf Downgrade B-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The downgrades reflect increased pool loss expectations since Fitch's prior rating action, driven by the deteriorating performance of specially serviced multifamily loans, most notably 2 Washington (7.4%), Independence Lofts (2.4%) and Falls of Deer Park Apartments (2.3%). As a result, the deal-level 'Bsf' rating case loss increased to 5.03% from 3.37% at the prior review. The transaction has five FLOCS, which comprise 12.7% of the pool, with four loans in special servicing representing 12.4%. The Negative Outlooks reflect the increased concentration of loans in special servicing and the potential for downgrades if the multifamily loans in special servicing deteriorate beyond current expectations and/or with prolonged workouts leading to lower recovery prospects. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest increase in loss since the prior rating action, and the largest contributor to overall loss expectations is the 2 Washington loan. The loan is secured by a 345-unit high-rise multifamily property in New York, NY. The property was originally built in 1972 and converted from office to mixed-use in 2019. The collateral includes 345 multifamily units and 22,989 sf of commercial space in the Battery Park neighborhood of Manhattan. The loan transferred to special servicing in May 2026 due to imminent default following cash flow disruption caused by the bankruptcy filing of short-term rental operator, Sonder, in November 2025. The property's residential component, which had been master leased to Sonder through February 2031, subsequently became vacant, and no replacement tenant has been secured. As of the February 2026 rent roll, occupancy had declined to 10.9%. As a result, the property is not generating sufficient income to cover operating expenses and debt service. Fitch's 'Bsf' rating case loss of 20.9%, before concentration adjustments, reflects a 7.75% cap rate, 15% stress to the 2025 NOI and a higher probability of default to account for the significant disruption and decline in performance. The second-largest increase in loss expectations and third-largest contributor to overall loss expectations is the Independence Lofts loan, secured by a 95-unit multifamily property in Philadelphia, PA. The property was originally built in 1920, and converted from industrial use to multifamily in 2019. The loan transferred to special servicing in August 2024, due to ongoing borrower defaults, including the guarantor's voluntary Chapter 11 bankruptcy filing. The servicer is discussing reinstatement terms with the borrower. According to the special servicer, the property reported occupancy of 93.1% at YE 2025 and 93.5% on a trailing 12-month basis through June 2025, compared with 82% at September 2023 and 82% at YE 2022 and YE 2021. NOI DSCR was 0.92x at YE 2025 and 1.03x on a 12-month trailing basis through June 2025. Fitch's 'Bsf' rating case loss of 17.5%, before concentration adjustment, reflects a 10% stress to the most recently reported appraisal value, resulting in a stressed value of $236,600 per unit. The second-largest contributor to overall loss expectations is the Falls of Deer Park Apartments, which is a 441-unit garden-style multifamily community in Pasadena, TX, approximately 20 miles from downtown Houston. The property is subject to a Land Use Restrictive Agreement through May 2033 that requires 266 units to be reserved for low- and very low-income families. The loan transferred to special servicing in July 2025 due to delinquent payments and became REO in February 2026. Performance has deteriorated, with the April 2026 rent roll reporting 46% occupancy, down from 79% at YE 2024 and 85% at YE 2023, 2022 and 2021. Fitch's 'Bsf' rating case loss of 24.2%, before concentration adjustment, reflects a 25% stress to the appraised value, resulting in in a stressed value of $46,769 per unit. Minimal Changes to Credit Enhancement (CE): As of the July 2026 distribution date, the pool's aggregate balance has been paid down by 3.7% to $1.08 billion from $1.12 billion at issuance. Interest shortfalls of $265,414 affect the non-rated class VRR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls affect these classes; - Downgrades to classes rated in the 'AAsf' and 'Asf' categories, particularly classes with Negative Outlooks, may occur if FLOCs and/or specially serviced loan performance, including 2 Washington (7.4%), Independence Lofts (2.4%) and Falls of Deer Park Apartments (2.3%), deteriorate beyond expectations, or if more loans than expected default during the term and/or at or prior to maturity; - Downgrades to classes rated in the 'BBBsf' category could occur with higher-than-expected losses from continued underperformance of the FLOCs; - Downgrades to the 'Bsf' category is likely with higher-than-expected losses from continued underperformance of the FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs; - Downgrades to the 'CCCsf' rated class would occur as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and stabilized performance on loans in special servicing; - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to the 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to distressed ratings are not expected, but would be possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BLACK DIAMOND 2026-1: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Black Diamond CLO 2026-1 Ltd./Black Diamond CLO 2026-1 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 Black Diamond CLO 2026-1 Adviser LLC, a subsidiary of Black Diamond Capital Management. The preliminary ratings are based on information as of July 30, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Preliminary Ratings Assigned Black Diamond CLO 2026-1 Ltd./Black Diamond CLO 2026-1 LLC Class A-L(i), $75.0 million: AAA (sf) Class A-1, $173.0 million: AAA (sf) Class A-2, $8.0 million: AAA (sf) Class B, $48.0 million: AA (sf) Class C-1 (deferrable), $17.0 million: A (sf) Class C-2 (deferrable), $7.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Subordinated notes, $35.0 million: NR (i)Issued in loan form. NR--Not rated. BLACKROCK MT. HOOD X: S&P Lowers Cl. E-R Notes Rating to 'B+ (sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class D-1-R, D-2-R, and E-R debt from Blackrock Mt. Hood CLO X LLC and removed them from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class X-R, A-L-R, A-R, B-R, and C-R debt from the same transaction. The rating on the class C-R debt was also removed from CreditWatch with negative implications. Blackrock Mt. Hood CLO X LLC is a middle market U.S. CLO managed by BlackRock Capital Investment Advisors LLC. The transaction was originally issued in May 2023 and underwent a refinancing in October 2025. It will exit its reinvestment period in October 2029. On May 6, 2026, S&P had placed its ratings on the class C-R, D-1-R, D-2-R, and E-R debt on CreditWatch negative, primarily due to the relevant classes' declining credit support and indicative cash flow results. The rating actions follow S&P's review of the transaction's performance using data from the June 2026 trustee report. All reported overcollateralization (O/C) ratios have declined as of the June 2026 report compared to those in the December 2025 post-refinancing trustee report: -- The class A/B O/C ratio declined to 143.42% from 146.55%. -- The class C O/C ratio declined to 128.32% from 131.12%. -- The class D O/C ratio declined to 117.85% from 120.43%. -- The class E O/C ratio declined to 110.82% from 113.24%. The decline in the O/C ratios is driven mainly by the portfolio's par loss and increase to default haircuts since the refinancing. All coverage tests are currently passing with adequate cushion. During the same period, the trustee-reported weighted average spread decreased to 4.67% from 4.88%, while S&P Global Ratings' weighted average recovery rate for the 'AAA' level decreased to 46.60% from 47.70%. Taken together, these factors have contributed to weakened cash flow results, particularly at the mezzanine and junior levels of the capital structure. As a result, the class C-R, D-1-R, D-2-R, and E-R debt were no longer passing cash flows at their respective initial rating levels. S&P said, "Following the decline in credit support and indicative cash flow results, we lowered our ratings on the class D-1-R, D-2-R, and E-R debt. While the results of our cash flow analysis indicated a one-notch lower rating on the class C-R debt than the rating actions reflect, we affirmed the rating and removed it from CreditWatch after considering the margin of failure, passing trustee O/C tests, and the current credit enhancement levels." However, any deterioration and/or increase in defaults or par losses could lead to negative rating actions. Also, the other affirmed ratings on the class X-R, A-L-R, A-R, and B-R debt reflect adequate credit support at the current rating levels and passing cash flows. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class B-R debt than the rating action reflects. However, S&P affirmed the rating after considering the declining O/C ratio, that the transaction is still in the reinvestment phase, and that future reinvestment activity could change some of the portfolio characteristics. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Ratings Lowered and Removed from CreditWatch Blackrock Mt. Hood CLO X LLC Class D-1-R to 'BBB- (sf)' from 'BBB (sf)/Watch Neg' Class D-2-R to 'BB+ (sf)' from 'BBB- (sf)/Watch Neg' Class E-R to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Rating Affirmed and Removed from CreditWatch Blackrock Mt. Hood CLO X LLC Class C-R to 'A (sf)' from 'A (sf)/Watch Neg' Ratings Affirmed Blackrock Mt. Hood CLO X LLC Class X-R: AAA (sf) Class A-L-R: AAA (sf) Class A-R: AAA (sf) Class B-R: AA (sf) BLUE OWL 2026-1: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Blue Owl BSL CLO 2026-1, Ltd. Entity/Debt Rating ----------- ------ Blue Owl BSL CLO 2026-1, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Blue Owl BSL CLO 2026-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Blue Owl Liquid Credit Advisors 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 21.6. 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 98.75% first-lien senior secured loans and has a weighted average recovery assumption of 73.84%. 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 five-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. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'A-sf' for class C, 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 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, '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 Blue Owl BSL CLO 2026-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BLUE OWL 2026-1: Moody's Assigns B3 Rating to $250,000 Cl. F Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued by Blue Owl BSL CLO 2026-1, Ltd. (the Issuer or Blue Owl 2026-1): US$256,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$250,000 Class F Junior Secured Deferrable Floating Rate Notes due 2039, Assigned B3 (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. Blue Owl 2026-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of senior secured bonds, senior secured notes, unsecured bonds, second lien loans, senior unsecured loans and first-lien last out loans. The portfolio is approximately 95% ramped as of the closing date. Blue Owl CLO Management I LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments, proceeds from sales of credit risk assets, and proceeds from sales of credit improved assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2984 Weighted Average Spread (WAS): 2.70% Weighted Average Recovery Rate (WARR): 46% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated 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. BRAVO RESIDENTIAL 2026-NQM6: DBRS Gives '(P)B(high)' to B-2 Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-NQM6 (the Notes) to be issued by BRAVO Residential Funding Trust 2026-NQM6 (the Trust) as follows: -- $142.8 million Class A-1FCF at (P) AAA (sf) -- $47.6 million Class A-1LCF at (P) AAA (sf) -- $190.4 million Class A-1PT at (P) AAA (sf) -- $42.3 million Class A-1F at (P) AAA (sf) -- $42.3 million Class A-1IO at (P) AAA (sf) -- $165.4 million Class A-1A at (P) AAA (sf) -- $25.0 million Class A-1B at (P) AAA (sf) -- $190.4 million Class A-1 at (P) AAA (sf) -- $31.2 million Class A-2 at (P) AA (high) (sf) -- $47.6 million Class A-3 at (P) A (high) (sf) -- $22.5 million Class M-1 at (P) BBB (high) (sf) -- $12.0 million Class B-1 at (P) BB (high) (sf) -- $7.0 million Class B-2 at (P) B (high) (sf) Class A-1 and A-1PT are exchangeable notes while Classes A-1A, A-1B, A-1FCF, and A-1LCF are initial exchangeable notes. These classes can be exchanged in combinations as specified in the offering documents. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The (P) AAA (sf) credit rating on the Classes A-1, A-1A, A-1B, A-1FCF, A-1LCF, A-1PT, and A-1F certificates reflect 23.95% of credit enhancement provided by subordinate certificates. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (high) (sf), and (P) B (high) (sf) credit ratings reflect 18.35%, 9.80%, 5.75%. 3.60%, and 2.35% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2026-NQM6. The Notes are backed by 934 loans with a total principal balance of approximately $556,322,064 as of the Cut-Off Date (May 31, 2026). The pool is, on average, two months seasoned with loan ages ranging from zero to 17 months. Approximately 37.5% and 17.6% of the Mortgage Loans were originated by Arc Home LLC and Citadel respectively. The mortgage loans were originated by various originators, each comprising less than 10% of the mortgage loans. Approximately 78.2% of the loans will be serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing, and 21.8% of the loans will be serviced by Citadel. Nationstar Mortgage LLC (Nationstar) will act as Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS), will act as Indenture Trustee, Paying Agent, and Owner Trustee. Computershare Trust Company, N.A. (rated BBB with a Stable trend by Morningstar DBRS) will act as Custodian. As of the Cut-Off Date, 99.96% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 45.8% of the loans by balance are designated as non-QM. Approximately 39.4% of the loans in the pool made to investors for business purposes are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Remaining loans subject to the ATR rules are designated as QM Safe Harbor (13.1%), and QM Rebuttable Presumption (1.7%) by UPB. There will be no advancing of delinquent principal or interest on any mortgage loan by the servicers or any other party to the transaction; however, each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties. The Sponsor or one or more Majority-Owned Affiliates of the Sponsor will retain an eligible horizontal interest in the transaction in the required amount of no less than 5% of the credit risk of the securitized assets to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The holder of the Trust Certificates may, at its option, on or after the earlier of (1) the payment date in June 2029 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Notes at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition if the counterparty from which the Seller acquired the Mortgage Loan repurchases such Mortgage Loan. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Class A-1A and Class A-1B, and separately Class A-1FCF, Class A-1LCF, Class A-1F, and Class A-1IO have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the senior most notes before being applied sequentially to amortize the balances of the more subordinated notes. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Notes, and Class M-1. Of note, the Class A Notes coupon rates step up by 100 basis points on and after the payment date in July 2030. Interest and principal otherwise payable to the Class B-3 Notes as accrued and unpaid interest may be used to pay the Class A Notes. The provisional credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition; -- Compliance with the ATR rules; -- Improved underwriting standards; -- Current loan status; and -- Satisfactory third-party due diligence review. The transaction also includes the following challenges: -- Debt service coverage ratio loans; -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers; -- Limited servicer advances of delinquent P&I; and -- The representations and warranties standard. Morningstar DBRS' credit ratings on certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Current Interest, Interest Carryforward Amount, and the related Note Amount. Morningstar DBRS' credit ratings on Class A-1FCF, A-1LCF, A-1IO, A-1A, A-1B, A-2 and A-3 certificates also address the credit risk associated with the increased rate of interest applicable to the certificates if they remain outstanding on the step-up date (July 2030) in accordance with the applicable transaction documents. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. BRAVO RESIDENTIAL 2026-NQM7: Fitch Rates Class B2 Debt 'B-(EXP)sf' ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to BRAVO Residential Funding Trust 2026-NQM7 (BRAVO 2026-NQM7). Entity/Debt Rating ----------- ------ BRAVO 2026-NQM7 A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A1PT LT AAA(EXP)sf Expected Rating A1F LT AAA(EXP)sf Expected Rating A1IO 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 SA LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 700 loans with a total balance of approximately $396 million as of the cutoff date. Vista Point Mortgage originated approximately 59.5% of the pool, and Fitch assessed it as an 'Acceptable' originator. No other originator contributed more than 10% of the pool. Following servicing transfers after the closing date, Carrington Mortgage, LLC, and Rocket Mortgage, LLC, will service 84.8% and 15.2% of the loans, respectively. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. BRAVO 2026-NQM7 has a final probability of default (PD) of 44.9% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 41.8%. The expected loss in the 'AAAsf' rating stress is 18.8%. The pool consists of 700 newly originated non-qualified mortgage (non-QM or NQM) loans with a Fitch FICO score of 742 and a weighted average (WA) original combined loan-to-value ratio (CLTV) of 71.6%. Fitch considers approximately 91.6% of the pool to be non-prime. About 11.1% of the loans in the pool are full documentation. The remaining loans are non-full documentation, including debt service coverage ratio (DSCR; 36.9%), bank statement (32.94%) and other program (19.1%) loans. DSCR loans receive a slight reduction in the non-full documentation PD penalty; however, the DSCR all-in treatment remains more punitive than for fully documented, borrower-underwritten loans. Roughly 86.8% of borrowers are self-employed or have unknown employment status. In addition, approximately 0.03% of the loans were originated to foreign nationals, including individual taxpayer identification number (ITIN) borrowers, and are therefore subject to a PD penalty due to the perceived weaker connection to the property. Structural Analysis (Positive): The mortgage cash flow and loss allocation in BRAVO 2026-NQM7 are based on a modified sequential structure, whereby the principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency (DQ) trigger event occurs in a given period, principal will be distributed sequentially to the senior notes until they are reduced to zero. Principal on the collective class A-1 designated notes (specifically, the A-1FCF, A-1LCF, A-1F, A-1IO, A-1A and A-1B notes) will be allocated either pro rata or sequentially among themselves as set out in the priority of payments. The structure includes a step-up coupon feature where the fixed interest rate for class A-1, A-2 and A-3 will increase by 100 basis points (bps), subject to the net WA coupon (WAC), starting on the August 2030 payment date. This reduces the modest excess spread available to repay losses. Starting on the August 2030 payment date, interest distribution amounts otherwise allocable to the unrated class B-3, to the extent available, may be used to reimburse any unpaid cap carryover amount for class A-1FCF, A-1LCF, A-1F, A-1IO, A-1A, A-1B, A-2 and A-3 notes. Furthermore, the provision for principal amounts to pay any unpaid interest prior to principal distribution is highly supportive of timely interest payments to the notes in the absence of principal and interest (P&I) advancing. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers aggregator, originator and servicer capability and the transaction-specific representation, warranty and enforcement (RW&E) framework as qualitative inputs to its RMBS ratings framework. These counterparty assessments are conducted and updated on a regular cadence independent of any specific RMBS rating. Fitch uses a risk-based framework, considering contribution share and collateral profile, to determine which parties warrant review. Only the third-party due diligence results directly affect Fitch's loss expectations. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5 bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm deemed 'Acceptable' by Fitch and have a final grade of either 'A' or 'B'. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BRAVO 2026-NQM7 to be a fully de-linked, bankruptcy-remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information and, as a result, made the following adjustments to its analysis: a 5% probability of default credit was applied at the loan level for all loans graded either 'A' or 'B'. DATA ADEQUACY Fitch relied on an independent third-party due diligence review covering 100% of the pool. The scope was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Loans reviewed under this engagement received compliance, credit, and valuation grades, with initial and final grades assigned for each subcategory. Exceptions and waivers were documented in the due diligence reports and incorporated into Fitch's analysis. Fitch also used data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information in ASF data layout format, which was considered comprehensive. The due diligence firms reviewed the ASF data tape, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRIDGECREST LENDING 2026-3: S&P Assigns BB (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect: -- The availability of approximately 63.46%, 58.01%, 48.92%, 39.92%, and 35.69% 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 final post-pricing stressed break-even cash flow scenarios. These credit support levels provide at least 2.20x, 2.00x, 1.65x, 1.35x, and 1.25x 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 '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 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 ratings. -- S&P's operational risk assessment of Bridgecrest Acceptance Corp. as servicer, along with our view of the originator's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- The transaction's payment and legal structures. Ratings Assigned Bridgecrest Lending Auto Securitization Trust 2026-3 Class A-1, $96.51 million: A-1+ (sf) Class A-2, $134.72 million: AAA (sf) Class A-3, $134.72 million: AAA (sf) Class B, $83.23 million: AA (sf) Class C, $106.40 million: A (sf) Class D, $107.25 million: BBB (sf) Class E, $62.17 million: BB (sf) BRSP 2024-FL2: Fitch Affirms 'B-sf' Rating on Class G Debt ---------------------------------------------------------- Fitch Ratings has affirmed eight classes of BRSP 2024-FL2, Ltd. All Rating Outlooks are Stable. Entity/Debt Rating Prior ----------- ------ ----- BRSP 2024-FL2 A 05613BAA1 LT AAAsf Affirmed AAAsf A-S 05613BAC7 LT AAAsf Affirmed AAAsf B 05613BAE3 LT AA-sf Affirmed AA-sf C 05613BAG8 LT A-sf Affirmed A-sf D 05613BAJ2 LT BBBsf Affirmed BBBsf E 05613BAL7 LT BBB-sf Affirmed BBB-sf F 05613DAA7 LT BB-sf Affirmed BB-sf G 05613DAG4 LT B-sf Affirmed B-sf KEY RATING DRIVERS Pool Loss Expectations: The affirmations reflect sufficient credit enhancement (CE) relative to pool loss expectations. Fitch's current ratings incorporate a 'Bsf' rating case loss of 7.8%, up from 6.8% at issuance. Since issuance, nine new loans ($174 million) were added through reinvestment and four original loans ($99 million) were repaid in full. As of the July 2026 remittance reporting, no reinvestment proceeds are available; the reinvestment period ends in August 2026. There are currently no specially serviced loans. Eight loans (31.6% of the pool) have been modified since issuance, all of which were maturity extensions. Approximately 59.7% of the pool has upcoming maturities, including three loans (10.3%) with fully extended maturities in 2026 and 11 loans (49.4%) in 2027; these loans comprise of multifamily (11 loans; 44.9%), office (two; 9.4%), and mixed use (one; 5.4%) properties. Business Plan Performance Updates: Fitch performed updated cash flow analyses on 19 loans totaling 71.8% of the pool by balance, incorporating TTM March 2026 net cash flows and increased cap rates to reset sustainable property performance expectations and/or business plan progress. Fitch Loans of Concern (FLOCs): Six loans (23.6%) are identified as FLOCs due to slow business plan progression and property performance stabilization. Contributing factors include weak market fundamentals, particularly elevated supply in multifamily markets, which have pressured occupancy and rent growth, as well as upcoming loan maturities. Three of these FLOCs are in the Phoenix market. The largest FLOC, Brookside Apartments (4.9%), is secured by a 204-unit class B, garden style multifamily property in Phoenix, AZ. The sponsor's capex-driven renovation program has completed only 126 of 204 units as of 1Q26, with rent premiums of $333 (studio), $394 (one-bedroom), and $426 (two-bedrooms). TTM March 2026 NOI remains 30% below the collateral manager's projected stabilized NOI. Only 69% of future funding has been drawn to date. Elevated new supply in Phoenix has pressured occupancy and rent growth. The loan matures in August 2026; the collateral manager expects a short-term extension to allow the sponsor to refinance. Fitch's 'Bsf' rating case loss is 5.0% (prior to concentration adjustment), based on an 8.75% cap rate and a stress to TTM March 2026 NCF. The second-largest FLOC, Southfield West and East (4.6%), is secured by an originally 145-unit, 1973-vintage multifamily property in Long Beach, CA. The sponsor's business plan included constructing 11 additional dwelling units (ADUs), increasing total units to 154, and upgrading 81 unrenovated units. As of 1Q26, 85 units have been renovated and only two of the 11 planned ADUs have been constructed, with rent premiums of $589 (1BR), $672 (2BR), and $989 (3BR). TTM March 2026 NOI remains 40% below the collateral manager's projected stabilized NOI. The loan matures in March 2027. Fitch's 'Bsf' rating case loss is 12.3% (prior to concentration adjustment), based on an 8.75% cap rate and a stress to TTM March 2026 NCF. The third-largest FLOC, Fountain View (4.3%), is secured by a 153-unit, seven-building multifamily property built in 1986 in the Bixby Knolls submarket of Long Beach, CA. The sponsor's capex program included washer/dryer installations in all 153 units, interior renovations for 107 units, and exterior renovations. As of 1Q26, 110 of 153 units have been renovated, with rent premiums of $358 (studio), $409 (1BR), and $460 (2BR). TTM March 2026 NOI remains 24% below the collateral manager's projected stabilized NOI. The loan matures in April 2027. Fitch's 'Bsf' rating case loss is 5.6% (prior to concentration adjustment), based on an 8.75% cap rate and a stress to TTM March 2026 NCF. The fourth-largest FLOC, GC Square (3.6%), is secured by a 165-unit, 1975-vintage multifamily property in Phoenix, AZ. The sponsor's renovation program has completed only 26 of 165 units as of 1Q26, with rent premiums of $176 (studio), $301 (1BR), and $50 (3BR). TTM March 2026 NOI is 57% below the collateral manager's projected stabilized NOI. Only 40% of future funding has been drawn to date. Elevated new supply in Phoenix continues to impede occupancy and rent growth. The loan matures in April 2027. Fitch's 'Bsf' rating case loss is 13.0% (prior to concentration adjustment), based on an 8.75% cap rate and a stress to TTM March 2026 NCF. The fifth-largest FLOC, Cascada Del Sol (3.3%), is secured by a 166-unit, class B, 1974-vintage garden style multifamily property in Phoenix, AZ. The sponsor's renovation program has completed 105 of 166 units as of 1Q26, with rent premiums of $387 (studio), $457 (1BR), and $401 (2BR). TTM March 2026 NOI is 57% below the collateral manager's projected stabilized NOI. Only 68% of future funding has been drawn to date. Elevated new supply in Phoenix continues to weigh on occupancy and constrain rent growth. The loan matures in January 2027. Fitch's 'Bsf' rating case loss is 14.8% (prior to concentration adjustment), based on an 8.75% cap rate and a stress to TTM March 2026 NCF. The sixth-largest FLOC, Easton Court (2.9%), is secured by a 91-unit, class B, low-rise multifamily property in the Bellevue submarket of Seattle, WA. The sponsor's renovation program has completed 72 of 91 units as of 1Q26, with rent premiums of $457 (studio), $520 (1BR), and $641 (2BR). TTM March 2026 NOI is 24% below the collateral manager's projected stabilized NOI. The loan matures in September 2026; per the collateral manager, the sponsor is in the market to refinance. Fitch's 'Bsf' rating case loss is 8.1% (prior to concentration adjustment), based on an 8.75% cap rate and TTM March 2026 NCF. Notable Business Plan Completions: The largest loan, 155 Spring Street (6.8%), is secured by a 52,000-sf office and retail property in New York, NY. The sponsor's business plan included leasing vacant retail space, re-leasing office space, and extending existing leases. Per the collateral manager's latest updates, the sponsor has recently extended two leases (totaling 22% of NRA) for an additional six-year and 10-year term. The property is 100% occupied. Fitch increased the cap rate to 9.0% from 8.5% at issuance and stressed the in-place TTM March 2026 NCF to reflect business plan achievement. Fitch's 'Bsf' rating case loss is 3.7% (prior to concentration adjustment). The second-largest loan, Louisville Multifamily Portfolio (6.1%), is secured by four multifamily properties totaling 379 units, built between 1967 and 1987, in Louisville, KY. The sponsor's business plan included interior and exterior renovations of 348 unrenovated and partially renovated units. As of 1Q26, all 348 units have been renovated, with rent premiums of $285 (1BR), $293 (2BR), and $398 (3BR). Fitch's 'Bsf' rating case loss is 2.7% (prior to concentration adjustment), based on an 8.75% cap rate and TTM March 2026 NCF to reflect business plan completion. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated in the 'AAAsf', 'AAsf' and 'Asf' categories are not expected due to sufficient CE, expected paydown from upcoming loan maturities, and progression of sponsors' business plans on most loans in the pool, but may occur if deal-level losses increase significantly and/or if interest shortfalls affect or are expected to affect 'AAAsf' rated classes. Downgrades to classes rated in the 'BBBsf' categories could occur with an increase in pool-level losses from further performance deterioration of FLOCs, including declining cash flow which decreases property value and capacity to meet its debt service obligations, and further value degradation of the FLOCs. These FLOCs include Southfield West and East, Cascada Del Sol, GC Square, Brookside Apartments, Fountain View, and Easton Court. Downgrades to classes rated in the 'BBsf' and 'Bsf' categories may occur with an increase in pool-level losses from stalled business plans and an outsized number of loans defaulting or transferring to special servicing at or prior to maturity. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' categories may be possible after the reinvestment period ends with improvement in CE from loan repayments and with the stabilization of loan performance from successful execution of the sponsors' business plans. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. 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. CAPITAL FOUR V: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Capital Four US CLO V Ltd. Entity/Debt Rating ----------- ------ Capital Four US CLO V Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Capital Four US CLO V Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Capital Four US CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will finance a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', in line with recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.73 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 99.31% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.9% 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 12.5% of the portfolio balance in aggregate at the initial example matrix point. The diversity implied by 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 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. 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 these metrics. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'BB-sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D-1, and between less than 'B-sf' and '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 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 these metrics. The minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, and 'BBB+sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to or reviewed by Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Capital Four US CLO V Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CASTLELAKE AIRCRAFT 2025-2: Fitch Affirms 'BB+sf' Rating on C Notes ------------------------------------------------------------------- Fitch Ratings has affirmed the ratings on all classes of notes issued by Castlelake Aircraft Structured Trust 2025-2. The Rating Outlooks remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Castlelake Aircraft Structured Trust 2025-2 Series A 14855XAA2 LT Asf Affirmed Asf Series B 14855XAB0 LT A-sf Affirmed A-sf Series C 14855XAC8 LT BB+sf Affirmed BB+sf Transaction Summary The ratings reflect current transaction performance, Fitch's cash flow projections and its expectation that the structures can withstand rating-specific stresses under Fitch's criteria and cash flow modeling. Lease terms, lessee credit quality and performance, and Fitch's assumptions and stresses inform the modeled cash flows and coverage levels. The pool has experienced no material changes since issuance, except for the sale of one airframe. Fitch modeled the assets subject to purchase sale agreements as being sold. These sales are expected to further delever the pool in 2026 and 2027. Delinquencies have been minimal across the portfolio. Rent receipts are in line with Fitch's forecast at issuance. The senior maintenance reserve is fully funded. All three notes are on schedule. Sector Outlook: Fitch's 2026 asset performance outlook for aviation finance is 'neutral'. Fitch expects global passenger traffic to grow in line with or modestly below long-term trend rates, supported by rising travel demand in emerging markets and possible recovery in North America after a soft 2025. Demand for premium products, especially in North America and Europe, is expected to continue supporting the market. Return to office trends may support improved business travel. Macroeconomic volatility, political uncertainty and consumer health remain key risks. See Fitch's "North American Structured Finance Outlook 2026" for more information. Aircraft supply remains tight, although The Boeing Company's (BBB-/Positive) improving delivery reliability and ramping narrowbody production rates will improve airlines' planning visibility. Pratt & Whitney-related groundings will continue to constrain aircraft availability. Nearly 20% of delivered A320neo family aircraft are parked or in storage, but that share is likely to improve in 2026. Macro Risks: Fitch revised its 2026 outlook for the global airline sector to 'deteriorating' from 'stable' in early June, reflecting profitability pressure from higher jet fuel prices, rising demand risk as ticket process increase and broader macroeconomic downside risks. The Middle East conflict affects the sector unevenly and is more severe for carriers with direct regional exposure and weak financial profiles before the rise in jet fuel costs. Some carriers, particularly in the U.S., remain unhedged and, therefore, more vulnerable to sustained increases or spikes in fuel prices. For more information, see Fitch's report, "Fitch Ratings Revises Global Airline Outlook to Deteriorating on Higher Fuel Costs." Fitch is monitoring the conflict's potential effects on aviation ABS. Fitch expects aviation ABS ratings to remain stable under its baseline scenario. However, sustained hostilities, operational and shipping disruptions, and high oil prices could increase credit pressure over time. For more information, see Fitch's report, "Aviation ABS Credit Vulnerable to Sustained Iran Conflict." KEY RATING DRIVERS Asset Values: The Fitch Value for the Castlelake 2025-2pool is $635 million, down $42 million (6%) from issuance in July 2025, reflecting a combination of asset sales and depreciation. Fitch used the most recent appraisals as of January 2026 and applied depreciation and market value decline assumptions pursuant to its criteria. Fitch Values are generally derived from base values unless the remaining leasable life is less than three years, in which case a market value is used. Fitch then uses the lesser of the mean and median of the given value. Using Fitch Value, the changes in LTVs since issuance are as follows: - A note 73.9 to 73.6%; B note 84.6% to 84.1%; C note 91.0% to 90.1%. The mean MABV (depreciated from the appraisal effective date to May 2026) is $676 million. Tiered Collateral Quality: The pool includes 22 narrowbody (NB) aircraft, three cargo aircraft and two engines (mid-life aircraft) with weighted-average [WA] age of 12.7 years and WA age-adjusted tier of 1.8. The distribution is quite broad. Asset ages range from 1.5 years to 22.5 years. A320-200s account for the largest share of Fitch Value at 31%, with an average age of 14.6 years and an average remaining lease term of 3.8 years. Fitch assesses aircraft collateral on three-tier scale, with tier one the most liquid and tier 3 the least liquid. Additional methodology details are available here. Pool Concentration: The pool is well-diversified with 27 assets, 25 aircraft and two engines, leased to 21 lessees. The pool is diversified across regions with 23.2% exposure to Developed Europe, 20.1% to Developed Asia Pacific, 18.5% to Emerging South & Central America, 14.1% to Emerging Asia Pacific, 10.4% to Emerging Europe & CIS, 7.1% to Emerging Middle East & Africa, and 5.1% to Developed North America and the remaining 1.8% AOG. Lessee Credit Risk: Fitch assesses the credit risk posed by the pool of lessees as moderate. The portfolio composition by lessee credit rating has not materially changed since issuance despite the sale of one airframe that was AOG. Delinquencies have been minimal across lessees. Operation and Servicing Risk: Fitch has found Castlelake to be an effective servicer with a demonstrated track record in remarketing, underwriting, aircraft maintenance procurement and management and portfolio management. The team's experience and servicing of its managed fleet support this assessment. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - An increase in delinquencies that result in material cashflow declines, lower lease rates, increased loan to values (LTVs) or sales of aircraft below Fitch's projections could lead to a downgrade; - Fitch ran a sensitivity related to the Fitch Value in the pool, due to the pool being a largely mid-life portfolio which may experience sharper declines in aircraft value as they age. Fitch decreased the starting Fitch Value by 10% in this scenario, which resulted in no rating impact to the A, B, or C notes. - Fitch ran a sensitivity in which it lowered the depreciation rates for Tier 1 aircraft aged 0-10 by two percentage points. For older Tier 1 aircraft and all Tier 2 and Tier 3 aircraft, depreciation rates were either increased one or two percentage points or maintained relative to criteria. This scenario resulted in no rating impact to the A, B, or C notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - The aircraft ABS sector has a rating cap of 'Asf'; - If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade. Similarly, if assets in the pool display higher values and stronger rent generation than Fitch's stressed scenarios, this may also lead to an upgrade; - Fitch also considers jurisdictional concentrations per its "Structured Finance and Covered Bonds Country Risk Rating Criteria," which could result in rating caps lower than 'Asf'. SUMMARY OF FINANCIAL ADJUSTMENTS Criteria Variation: Fitch applied a variation from its "Aircraft Operating Lease ABS Rating Criteria" to deviate downward from the model implied rating for the series C notes. The ultimate ratings were informed by the sensitivity of the ratings to model assumptions and conventions, repayment timing and tranche thickness. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHASE HOME 2025-10: Moody's Upgrades Rating on Cl. B-5 Certs to B1 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of nine bonds issued by Chase Home Lending Mortgage Trust 2025-10. The collateral backing this deal consists of prime 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. The complete rating actions are as follows: Issuer: Chase Home Lending Mortgage Trust 2025-10 Cl. B-1, Upgraded to Aa2 (sf); previously on Sep 29, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Sep 29, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Sep 29, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Sep 29, 2025 Definitive Rating Assigned A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Sep 29, 2025 Definitive Rating Assigned A2 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Sep 29, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Sep 29, 2025 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Sep 29, 2025 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Sep 29, 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 losses and a small number of loans in delinquencies. In addition, enhancement levels for the tranches in this transaction have grown significantly, as the pool amortizes relatively quickly. The credit enhancement since closing has grown, on average, 1.23x for the non-exchangeable tranches upgraded. No actions were taken on the other rated classes in this deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, 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. CHASE HOME 2026-8: 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 2026-8 (Chase 2026-8). Entity/Debt Rating ----------- ------ Chase 2026-8 A1 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A10A LT AAA(EXP)sf Expected Rating A10B LT AAA(EXP)sf Expected Rating A10X1 LT AAA(EXP)sf Expected Rating A10X2 LT AAA(EXP)sf Expected Rating A10X3 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A11X LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A13X LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A14X LT AAA(EXP)sf Expected Rating A14X2 LT AAA(EXP)sf Expected Rating A14X3 LT AAA(EXP)sf Expected Rating A14X4 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A15A LT AAA(EXP)sf Expected Rating A15B LT AAA(EXP)sf Expected Rating A15X1 LT AAA(EXP)sf Expected Rating A15X2 LT AAA(EXP)sf Expected Rating A15X3 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A16B LT AAA(EXP)sf Expected Rating A16X1 LT AAA(EXP)sf Expected Rating A16X2 LT AAA(EXP)sf Expected Rating A16X3 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A17A LT AAA(EXP)sf Expected Rating A17B LT AAA(EXP)sf Expected Rating A17X1 LT AAA(EXP)sf Expected Rating A17X2 LT AAA(EXP)sf Expected Rating A17X3 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A18A LT AAA(EXP)sf Expected Rating A18B LT AAA(EXP)sf Expected Rating A18X1 LT AAA(EXP)sf Expected Rating A18X2 LT AAA(EXP)sf Expected Rating A18X3 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A3A LT AAA(EXP)sf Expected Rating A3B LT AAA(EXP)sf Expected Rating A3X1 LT AAA(EXP)sf Expected Rating A3X2 LT AAA(EXP)sf Expected Rating A3X3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4B LT AAA(EXP)sf Expected Rating A4X1 LT AAA(EXP)sf Expected Rating A4X2 LT AAA(EXP)sf Expected Rating A4X3 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A5A LT AAA(EXP)sf Expected Rating A5B LT AAA(EXP)sf Expected Rating A5X1 LT AAA(EXP)sf Expected Rating A5X2 LT AAA(EXP)sf Expected Rating A5X3 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A6A LT AAA(EXP)sf Expected Rating A6B LT AAA(EXP)sf Expected Rating A6X1 LT AAA(EXP)sf Expected Rating A6X2 LT AAA(EXP)sf Expected Rating A6X3 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A7B LT AAA(EXP)sf Expected Rating A7X1 LT AAA(EXP)sf Expected Rating A7X2 LT AAA(EXP)sf Expected Rating A7X3 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A8A LT AAA(EXP)sf Expected Rating A8B LT AAA(EXP)sf Expected Rating A8X1 LT AAA(EXP)sf Expected Rating A8X2 LT AAA(EXP)sf Expected Rating A8X3 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A9A LT AAA(EXP)sf Expected Rating A9B LT AAA(EXP)sf Expected Rating A9X1 LT AAA(EXP)sf Expected Rating A9X2 LT AAA(EXP)sf Expected Rating A9X3 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating B1X LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating B2X LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating RR LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 342 loans with a scheduled balance of $434.43 million as of the cutoff date. The closing date is July 31, 2026. The pool consists of prime-quality, fixed-rate mortgages solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 99.91% qualify as safe-harbor qualified mortgage average prime offer rate loans and 0.09% are qualified mortgage rebuttable presumption average prime offer rate loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate, based off the SOFR index and capped at the net WAC. KEY RATING DRIVERS Credit Risk of High-Quality Prime Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess credit risk and expected losses. The collateral consists of 342 loans with a total unpaid balance of $434.43 million and an average size of $1.3 million. The pool is seasoned for three months, based on Fitch's analysis (two months per the transaction documents). The pool comprises high-quality prime loans with a weighted average (WA) FICO score of 772, a WA combined loan-to-value ratio (cLTV) of 75.85% (84.12% sustained LTV) and a WA debt-to-income ratio (DTI) of 33.84%. The WA liquid reserves amount to $677,912.52. These strong collateral attributes are reflected in Fitch's loss analysis. Chase 2026-8 has a final probability of default (PD) of 9.58% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 36.86%. The expected loss in the 'AAAsf' rating stress is 3.53%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in Chase 2026-8 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The CE or senior subordination floor of 0.80% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 0.60% has been considered to mitigate 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-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent principal and interest (P&I) until it is deemed nonrecoverable. As a result, the LS was increased in its 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 incorporating 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 leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 64.03% 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 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 Chase 2026-8 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 2026-8, 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 Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 8.96%, at 'base case'. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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, Fitch made the following adjustment to its analysis: Fitch gives a 5bps z-score reduction to the origination PD for each loan that has a due diligence grade of "A" or "B." In this transaction, 64.03% of the loans in the pool based on loan count had a due diligence review and all the loans reviewed received a final grade of "A" or "B". As a result, losses were lowered based on the due diligence results. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 64.03% 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 assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also used data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the Resi PLS data layout format and 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. CHASE HOME 2026-CINV2: Moody's Assigns (P)B3 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 94 classes of residential mortgage-backed securities (RMBS) to be issued by Chase Home Lending Mortgage Trust 2026-CINV2, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of prime jumbo (100.0% by balance) residential mortgages originated and serviced by JPMorgan Chase Bank, N.A. The complete rating actions are as follows: Issuer: Chase Home Lending Mortgage Trust 2026-CINV2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3-A, Assigned (P)Aaa (sf) Cl. A-3-B, Assigned (P)Aaa (sf) Cl. A-3-X1*, Assigned (P)Aaa (sf) Cl. A-3-X2*, Assigned (P)Aaa (sf) Cl. A-3-X3*, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-4-A, Assigned (P)Aaa (sf) Cl. A-4-B, Assigned (P)Aaa (sf) Cl. A-4-X1*, Assigned (P)Aaa (sf) Cl. A-4-X2*, Assigned (P)Aaa (sf) Cl. A-4-X3*, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-5-A, Assigned (P)Aaa (sf) Cl. A-5-B, Assigned (P)Aaa (sf) Cl. A-5-X1*, Assigned (P)Aaa (sf) Cl. A-5-X2*, Assigned (P)Aaa (sf) Cl. A-5-X3*, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-6-A, Assigned (P)Aaa (sf) Cl. A-6-B, Assigned (P)Aaa (sf) Cl. A-6-X1*, Assigned (P)Aaa (sf) Cl. A-6-X2*, Assigned (P)Aaa (sf) Cl. A-6-X3*, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-7-A, Assigned (P)Aaa (sf) Cl. A-7-B, Assigned (P)Aaa (sf) Cl. A-7-X1*, Assigned (P)Aaa (sf) Cl. A-7-X2*, Assigned (P)Aaa (sf) Cl. A-7-X3*, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-8-A, Assigned (P)Aaa (sf) Cl. A-8-B, Assigned (P)Aaa (sf) Cl. A-8-X1*, Assigned (P)Aaa (sf) Cl. A-8-X2*, Assigned (P)Aaa (sf) Cl. A-8-X3*, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aa1 (sf) Cl. A-9-A, Assigned (P)Aa1 (sf) Cl. A-9-B, Assigned (P)Aa1 (sf) Cl. A-9-X1*, Assigned (P)Aa1 (sf) Cl. A-9-X2*, Assigned (P)Aa1 (sf) Cl. A-9-X3*, Assigned (P)Aa1 (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-10-A, Assigned (P)Aaa (sf) Cl. A-10-B, Assigned (P)Aaa (sf) Cl. A-10-X1*, Assigned (P)Aaa (sf) Cl. A-10-X2*, Assigned (P)Aaa (sf) Cl. A-10-X3*, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-11-X*, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-13-X*, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-14-X*, Assigned (P)Aaa (sf) Cl. A-14-X2*, Assigned (P)Aaa (sf) Cl. A-14-X3*, Assigned (P)Aaa (sf) Cl. A-14-X4*, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-15-A, Assigned (P)Aaa (sf) Cl. A-15-B, Assigned (P)Aaa (sf) Cl. A-15-X1*, Assigned (P)Aaa (sf) Cl. A-15-X2*, Assigned (P)Aaa (sf) Cl. A-15-X3*, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-16-A, Assigned (P)Aaa (sf) Cl. A-16-B, Assigned (P)Aaa (sf) Cl. A-16-X1*, Assigned (P)Aaa (sf) Cl. A-16-X2*, Assigned (P)Aaa (sf) Cl. A-16-X3*, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-17-A, Assigned (P)Aaa (sf) Cl. A-17-B, Assigned (P)Aaa (sf) Cl. A-17-X1*, Assigned (P)Aaa (sf) Cl. A-17-X2*, Assigned (P)Aaa (sf) Cl. A-17-X3*, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-18-A, Assigned (P)Aaa (sf) Cl. A-18-B, Assigned (P)Aaa (sf) Cl. A-18-X1*, Assigned (P)Aaa (sf) Cl. A-18-X2*, Assigned (P)Aaa (sf) Cl. A-18-X3*, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-1-X*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-2-A, Assigned (P)A3 (sf) Cl. B-2-X*, 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) *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 0.57%, in a baseline scenario-median is 0.34% and reaches 5.15% 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. CIFC FUNDING 2017-III: Fitch Affirms BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the CIFC Funding 2017-III, Ltd. class A-R2, B-R2, C-R2, D-1-R2, and D-2-R2 refinancing notes. Fitch has also affirmed the rating for class E-R and revised the Outlook to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2017-III, Ltd. A-R 12548JAN2 LT PIFsf Paid In Full AAAsf A-R2 LT AAAsf New Rating B-R 12548JAQ5 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-R 12548JAS1 LT PIFsf Paid In Full Asf C-R2 LT Asf New Rating D-1-R 12548JAU6 LT PIFsf Paid In Full BBBsf D-1-R2 LT BBBsf New Rating D-2-R 12548JAW2 LT PIFsf Paid In Full BBB-sf D-2-R2 LT BBB-sf New Rating E-R 12548KAE9 LT BB-sf Affirmed BB-sf Transaction Summary CIFC Funding 2017-III, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC CLO Management LLC. The transaction originally closed in July 2017, and the first refinancing occurred in April 2024. This is the second refinancing of the transaction, and it is a partial refinancing. The net proceeds from the issuance of the refinancing notes will be used to repay the refinanced notes in full and to pay the related fees. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.05, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 94.88% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.25% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 46.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 2.8-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - Spreads have been reduced for all classes of refinanced notes. - The non-call period for the refinanced notes is extended to July 20, 2027. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. - The Fitch recovery rate definition, Fitch industry definition and matrices have been amended to conform with Fitch's new criteria. FITCH ANALYSIS The portfolio includes 603 assets from 519 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $392 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Weighted Average Fitch Recovery Rate 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 45.4% of the current portfolio par balance; ratings for 54.5% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.1% 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: 18.5%, 14.0%, and 14.0%, respectively; - Assumed risk horizon: Six years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 70.10%; - 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 04-20-2029. 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 A-R2: 'AAAsf' / Default 41.50% / Recovery 38.80% / Cushion 12.00% - Class B-R2: 'AAsf' / Default 38.90% / Recovery 48.59% / Cushion 11.50% - Class C-R2: 'Asf' / Default 34.40% / Recovery 58.43% / Cushion 13.20% - Class D-1-R2: 'BBBsf' / Default 29.10% / Recovery 68.04% / Cushion 12.00% - Class D-2-R2: 'BBB-sf' / Default 26.30% / Recovery 68.44% / Cushion 12.50% - Class E-R: 'BB-sf' / Default 21.90% / Recovery 73.52% / Cushion 8.00% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-R2: 'AAAsf' / Default 49.50% / Recovery 37.55% / Cushion 3.40% - Class B-R2: 'AAsf' / Default 45.90% / Recovery 45.10% / Cushion 0.90% - Class C-R2: 'Asf' / Default 40.70% / Recovery 55.10% / Cushion 4.10% - Class D-1-R2: 'BBBsf' / Default 34.90% / Recovery 65.10% / Cushion 3.10% - Class D-2-R2: 'BBB-sf' / Default 31.60% / Recovery 65.10% / Cushion 4.10% - Class E-R: 'BB-sf' / Default 26.40% / Recovery 70.10% / 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 'A-sf' and 'AA+sf' for class A-R2, between 'BBB-sf' and 'A+sf' for class B-R2, between 'B+sf' and 'Asf' for class C-R2, between less than 'B-sf' and 'BBB-sf' for class D-1-R2, and between less than 'B-sf' and 'BBB-sf' for class D-2-R2 and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf' for class D-1-R2, and 'A+sf' for class D-2-R2 and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2017-III, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CITIGROUP 2019-GC43: Fitch Lowers Rating on 2 Tranches to B-sf -------------------------------------------------------------- Fitch Ratings has downgraded eight classes and affirmed eight classes of Citigroup Commercial Mortgage Trust 2019-GC43 commercial mortgage pass-through certificates (CGCMT 2019-GC43). Fitch has assigned Negative Rating Outlooks to five classes following their downgrades. Fitch has also revised the Outlook to Negative from Stable for one of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- Citigroup Commercial Mortgage Trust 2019-GC43 A-3 17328HBC4 LT AAAsf Affirmed AAAsf A-4 17328HBD2 LT AAAsf Affirmed AAAsf A-AB 17328HBE0 LT AAAsf Affirmed AAAsf A-S 17328HBG5 LT AAAsf Affirmed AAAsf B 17328HBH3 LT AA-sf Affirmed AA-sf C 17328HBJ9 LT A-sf Affirmed A-sf D 17328HAJ0 LT BBB-sf Downgrade BBBsf E 17328HAL5 LT BB-sf Downgrade BBsf F 17328HAN1 LT B-sf Downgrade Bsf G 17328HAQ4 LT CCsf Downgrade CCCsf J-RR 17328HAS0 LT Csf Downgrade CCsf X-A 17328HBF7 LT AAAsf Affirmed AAAsf X-B 17328HAA9 LT AA-sf Affirmed AA-sf X-D 17328HAC5 LT BB-sf Downgrade BBsf X-F 17328HAE1 LT B-sf Downgrade Bsf X-G 17328HAG6 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Based on the original balance and including losses to date, the deal-level 'Bsf' rating case loss has increased to 7.2% from 5.9% since Fitch's prior rating action. Based on the current transaction balance, 'Bsf' rating case losses are 5.5%. Since the last rating action, one asset was disposed for losses that were higher than anticipated. The transaction has eight Fitch Loans of Concern (FLOCs; 25.4% of the pool), including two loans (6.5%) in special servicing. The downgrades reflect the higher-than-expected losses on the disposed asset which has reduced credit enhancement (CE), as well as sustained or increasing expected losses on FLOCs. Since the prior rating action, the pool has incurred $20.2 million in realized losses from a former specially serviced San Francisco office loan, 222 Kearny Street. At the prior review, Fitch expected a 70.7% loss ($16.8 million). However, the loan was ultimately resolved with an 85.0% loss ($20.2 million). As of the July 2026 reporting period, class K-RR has absorbed $19.4 million in losses, while class VRR has absorbed $759,616. The Negative Outlooks reflect possible further downgrades if performance continues to deteriorate beyond expectations, recovery prospects worsen or workouts are prolonged for the specially serviced Midland Office Portfolio loan (5.0% of the pool), along with sustained high expected losses for Millennium Park Plaza (7.0%), and Connection Park (6.0%). The Negative Outlooks also reflect the delinquency status of the 869 DeKalb Avenue (1.5%), 1433 DeKalb Avenue (specially serviced, 1.5%), 105-107 Vanderveer Street & 96 De Sales Place (1.4%), and 431 Grand Street (0.8%). All four loans have the same sponsor and the increase in loss expectations from the prior review has collectively increased the overall loss expectations for the pool. The Negative Outlook also reflects the high office concentration, with 50.3% of the pool secured by office properties. FLOCs; Largest Loss Contributors: The largest increase in loss since the prior rating action and the largest contributor to overall loss expectations is the Midland Office Portfolio loan, secured by a portfolio of five office properties totaling 699,584-sf located in Midland, TX. The loan transferred to special servicing in September 2023 for imminent monetary default. In early 2024, a receiver was appointed, and the asset was listed for sale, but attempts to sell the portfolio out of receivership were unsuccessful. Foreclosure was completed in February 2025, and the property has since become REO. According to the July 2026 special servicer commentary, the special servicer is planning on selling the properties individually, with the first sale to occur by YE 2026 and the last by June 2027. Individual property occupancy ranges between 16.8% and 64.7%. Based on the May 2026 rent roll, the portfolio occupancy fell to 51.0%, compared to 57.4% in June 2025, 59% at 1Q24, 68% at YE 2023, 74% at YE 2022, 73% at YE 2021 and 90% at YE 2020. Upcoming rollover includes 7.8% in 2026 and 8.0% in 2027. The largest in-place tenants include Enlink Midstream Operating (8.0% of the NRA) and First Capital Bank (4.9%; November 2027). Enlink Midstream Operating's initial lease ran through June 2026, although the most recent May 2026 rent roll does not include an expiration date for the tenant. Based on online searches and the company website, it appears that the tenant remains at the subject property. Fitch has sent a question to the special servicer about the updated lease terms. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 39.6% considers a 30% stress to the most recent appraisal, reflecting limited market sales activity and currently depressed fundamentals and resulting in stressed value of approximately $55 psf. The second largest contributor to overall loss expectations is Millennium Park Plaza, secured by a 38-story, 560,083 sf mixed use property with multifamily, office and retail, located in Chicago, Illinois. The largest component is the multifamily segment, which consists of 563 units and represents approximately 85% of total NRA. The loan was flagged as a FLOC due to the lower occupancy for the commercial portion of the property. As of the January 2026 rent roll, the multifamily portion of the property was 99.8% occupied and the commercial space was 72.7% occupied. The servicer-reported NOI DSCR was 1.76x at YE 2025, compared with 1.84x at YE 2024, 1.80x at YE 2023, 1.71x at YE 2022, 0.95x at YE 2021, and 1.56x at YE 2020. According to 2Q26 CoStar market data, the Downtown Chicago submarket had a vacancy rate of 5.1% and average asking rents of $3,167, while the subject was at 0.2%, and $2,534, respectively. Fitch's 'Bsf' rating case loss of 7.7% (prior to concentration adjustments) reflects a 9.0% cap rate, and a 7.5% stress to the YE 2025 NOI. The third largest contributor to overall loss expectations is the Connection Park loan, secured by a 282,438-sf suburban office property located in Irving, TX. The loan was flagged as a FLOC due to the decline in income after First American Title Insurance reduced more than half of its space (39,957-sf) in December 2023. In March 2026, the largest tenant, Atos IT Solutions and Services, reduced its footprint to 22.8% from 35.6%, further impacting occupancy. Major tenants at the property include Atos IT Solutions and Services (22.8% of the NRA through May 2029), 7-Eleven (21.8%; August 2030), Centre for Neuro Skills (14.4%; February 2030), and First American Title Insurance (13.0%; December 2030). According to the servicer commentary, occupancy dropped to 73.1%, compared to 86% at YE 2025, unchanged from YE 2024, and down from 100% occupied during 2019-2023. The servicer-reported NOI DSCR was 2.52x at YE 2025, compared to 1.77x at YE 2024, 2.75x at YE 2024, 2.95x at YE 2022, and 2.82x at YE 2021. As of the July 2026 reporting, the loan has approximately $8.2 million in reserves. Fitch's 'Bsf' rating case loss of 7.8% (prior to concentration adjustments) reflects a 9.5% cap rate, and a higher 25% stress to the YE 2025 NOI to account for the drop in cash flows from the largest tenant downsizing. Credit Enhancement (CE): As of the July 2026 distribution date, the pool's aggregate balance has been paid down by 8.6% to $856.0 million from $936.8 million at issuance. One loan (9.1%) is fully defeased. There are 22 loans (85.6%) that are full-term, and the remaining nine loans (14.4%) are amortizing. Interest shortfalls of $442, $1,351,271 and $52,847 are affecting the J-RR, K-RR, and VRR classes, respectively. The transaction has incurred $20.2 million in losses to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' classes are not likely due to their high CE, senior position in the capital structure and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly and/or interest shortfalls affect these classes; - Downgrades to the 'AAsf', 'Asf' and 'BBBsf' rated categories, especially those with Negative Outlooks, may occur if outsized loss expectations on the specially serviced loans, including Midland Office Portfolio, Millennium Park Plaza, and Connection Park increase beyond expectations, and with limited to no improvement in these classes' CE; - Downgrades to the 'BBsf' and 'Bsf' rated categories are likely with higher-than-expected losses from continued underperformance of the FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs; - Downgrades to the 'CCCsf' and 'CCsf' rated classes would occur if additional loans transfer to special servicing and/or default or as losses are realized and/or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'AAsf' and 'Asf' rated categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and stabilized performance on Midland Office Portfolio, Millennium Park Plaza, and Connection Park; - Upgrades to the 'BBBsf' rated category would be limited by sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is a likelihood of interest shortfalls; - Upgrades to the 'BBsf' and 'Bsf' rated categories are not likely until the later years of the transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE for the classes; - Upgrades to the 'CCCsf' and 'CCsf' rated classes are not expected, but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CITIGROUP 2022-GC48: Moody's Cuts Rating on Cl. YL-D Certs to B3 ---------------------------------------------------------------- Moody's Ratings has affirmed the ratings on six pooled CMBS classes and downgraded the ratings on four loan-specific CMBS classes in Citigroup Commercial Mortgage Trust 2022-GC48 as follows: Cl. A-2, Affirmed Aaa (sf); previously on Jun 21, 2022 Definitive Rating Assigned Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jun 21, 2022 Definitive Rating Assigned Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jun 21, 2022 Definitive Rating Assigned Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Jun 21, 2022 Definitive Rating Assigned Aaa (sf) Cl. A-S, Affirmed Aa2 (sf); previously on Jun 21, 2022 Definitive Rating Assigned Aa2 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Jun 21, 2022 Definitive Rating Assigned Aaa (sf) Cl. YL-A**, Downgraded to Baa2 (sf); previously on Jun 21, 2022 Definitive Rating Assigned A3 (sf) Cl. YL-B**, Downgraded to Ba2 (sf); previously on Jun 21, 2022 Definitive Rating Assigned Baa3 (sf) Cl. YL-C**, Downgraded to B1 (sf); previously on Jun 21, 2022 Definitive Rating Assigned Ba3 (sf) Cl. YL-D**, Downgraded to B3 (sf); previously on Jun 21, 2022 Definitive Rating Assigned B2 (sf) * Reflects Interest-Only Classes ** Reflects Rake Bonds Classes RATINGS RATIONALE The ratings on the pooled P&I classes were affirmed because of their credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the IO class was affirmed based on the credit quality of the referenced classes. The ratings on the non-pooled loan-specific ("rake") classes, Cl. YL-A, Cl. YL-B, Cl. YL-C, Cl. YL-D, were downgraded due to a decline in property performance and an increase in Moody's LTV ratio because of the uncertainty around the extent of the property's occupancy decline and continued increases in property expenses. The loan-specific rake certificates are collateralized by a $221.5 million B-note, which is a junior component of a $539.5 million, fixed-rate mortgage loan secured by the borrower's fee simple interest in the Yorkshire and Lexington Towers, two multifamily buildings located on the Upper East Side of Manhattan. Moody's rating action reflects a base expected loss of 7.1% of the current pooled balance. Moody's base expected loss plus realized losses is now 6.9% of the original pooled balance. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except rake bonds classes and interest-only classes was "US and Canadian Conduit/Fusion Commercial Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the July 2026 distribution date, the transaction's aggregate certificate balance has decreased by 2.5% to $617.2 million from $633.3 million at securitization. The certificates are collateralized by 31 mortgage loans ranging in size from less than 1% to 9.7% of the pool, with the top ten loans (excluding defeasance) constituting 64% of the pool. Four loans, constituting 17.2% of the pool, have investment-grade structured credit assessments. One loan, constituting 1.7% of the pool, has defeased and is secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 19, compared to 19.8 at securitization. Ten loans, constituting 35.7% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool, and no loans are currently in special servicing. Moody's have assumed a high default probability for one poorly performing loan, the 79 Fifth Avenue loan ($50 million -- 8.1% of the pool), which represents a pari passu interest in a $240.0 million mortgage loan. The loan is secured by the borrower's fee simple interest in an 18-story office building located on Fifth Avenue between 15th and 16th Streets in New York, NY. The building features a 345,751 square feet (SF) of leasable area, with 317,406 SF of office space on the upper 16 floors and 28,345 SF of retail space at grade, basement and mezzanine levels. At securitization, the property was 100% leased to six tenants with the majority leased to The New School. However, the largest retail tenant, Coach (2.0% of net rentable area (NRA) and 8.4% of rental revenue at securitization), and the third largest office tenant, Hulu (11.6% of NRA; 12.9% of base rent at securitization), vacated their spaces at their lease expirations in 2024 and 2025, respectively. Furthermore, the second largest tenant, Capgemini (18.7% of NRA), reportedly signed a 43,000 SF lease to relocate to Penn 2 and has lease expirations in January 2027 and September 2027. While the landlord was able to sign leases to backfill Hulu's vacated space, cash flow now remains well below levels at securitization. As of December 2025, the property was 88% leased and the 2025 NOI was 39% below the 2022 NOI and the loan's NOI DSCR was 0.98X. While the loan remains current based on its interest only debt service payments, due to elevated credit risk driven by occupancy loss and further near-term lease rollover Moody's recognized this loan as a troubled loan. As of the July 2026 remittance statement cumulative interest shortfalls were $30,583 and impact up to Cl. H. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), nonrecoverable determinations, loan modifications and extraordinary trust expenses. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2025 operating results for 98% of the pool, and full or partial year 2026 operating results for 7% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit MLTV is 114%, compared to 123% at securitization. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 16% to the most recently available net operating income (NOI). Moody's Value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.70X and 0.94X, respectively. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The largest loan with a structured credit assessment is the Yorkshire & Lexington loan ($60 million – 9.7% of the pool), which represents a pari passu interest in a $318.0 million mortgage. The property is also encumbered by a $221.5 million B-note and a $174.5 million mezzanine note. The loan is secured by the borrower's fee simple interest in two multifamily buildings located in the Upper East Side of Manhattan. The Yorkshire Towers building was built in 1964 and is comprised of 681 residential units, 168 parking spaces and six commercial and retail units totaling 29,451 SF. The Lexington Towers building was built in 1963 and is comprised of 127 residential units, 36 parking spaces and six commercial and retail units totaling 9,998 SF. The properties feature a range of studio, one-, two-, three- and four-bedroom units, including 305 rent stabilized units. The loan transferred to special servicing in November 2024 for payment default and in November 2025, a loan modification agreement closed, curing the defaults on both the senior mortgage loan and the four subordinate mezzanines. As of December 2025, the buildings were 85% leased, compared to 92% in 2024 and 96% at securitization. An updated appraisal from September 2025 valued the property at $678 million, 29% lower than the value at securitization. Moody's structured credit assessment and stressed DSCR are baa1 (sca.pd) and 1.01X, respectively. The second largest loan with a structured credit assessment is the DoubleTree Ontario loan ($30 million – 4.9% of the pool), which is secured by the borrower's fee simple interest in a 482-guestroom, full-service hotel located in Ontario, California. The resort's 482 guestrooms are configured as 387 standard rooms, 73 executive rooms, and 22 suites. As of March 2026, the property reported an occupancy rate of 86%, up from 80% in December 2025. Moody's structured credit assessment and stressed DSCR are aa2 (sca.pd) and 2.11X, respectively. The third largest loan with a structured credit assessment is the 360 Rosemary loan ($8 million – 1.3% of the pool), which represents a pari passu interest in a $85 million mortgage. The property is also encumbered by a $125 million B-note. The property is secured by the borrower's fee simple interest in a newly developed, 20-story office property located in West Palm Beach, Florida. The property contains approximately 313,002 SF of rentable area comprised of 291,298 SF of Class A office space and 21,704 of retail space. As of June 2025, the property was 100% leased. Moody's structured credit assessment and stressed DSCR are a2 (sca.pd) and 1.55X, respectively. The smallest loan with a structured credit assessment is the 111 River Street loan ($8 million – 1.3% of the pool), which represents a pari passu interest in a $77.5 million mortgage. The property is also encumbered by a $76.25 million B-note. The property is secured by the borrower's fee interest in a Class A office complex located on the Hudson River waterfront in Hoboken, NJ, directly facing downtown Manhattan. The property is 13 stories tall and contains 557,719 SF of rentable area split between 525,987 SF of office space and 31,732 SF of grade-level retail space. As of December 2024, the property was 83% leased. Moody's structured credit assessment and stressed DSCR are baa1 (sca.pd) and 1.52X, respectively. The top three conduit loans represent 21.1% of the pool balance. The largest loan is the Cliffs Hotel and Spa loan ($50 million – 8.1% of the pool), which is secured by the borrower's fee simple interest in a 162-room, full-service, luxury boutique hotel located in Pismo Beach, California. The hotel was built in 1986, is two and four stories tall, and sits atop a 40-foot bluff overlooking the Pacific Ocean. Amenities include a full-service restaurant and bar, a heated outdoor pool and jacuzzi, a spa, a retail outlet, a business center, and fitness center. As of December 2025, the property was reporting an occupancy rate of 70%, compared to 72% in December 2024. Moody's LTV and stressed DSCR are 134% and 0.83X, respectively, unchanged from securitization. The second largest loan is the Sunbelt Office Portfolio loan ($40.3 million – 6.5% of the pool), the borrower's fee simple and leasehold interest in three Class B office buildings located across the three markets of Memphis, TN, Smyrna, GA, and Dallas, TX. As of the December 2025 rent roll, the total portfolio was 78% leased, compared to 76% in December 2024. Moody's LTV and stressed DSCR are 127% and 0.87X, respectively, compared to 127% and 0.85X at securitization. The third largest loan is the Brighton Towne Square loan ($40 million – 6.5% of the pool), which is secured by the borrower's fee simple interest in a 247,031 SF mixed-use office and retail property located in Brighton, MI, approximately 20 miles north of Ann Arbor. The improvements primarily consist of six buildings built in 1997 and most recently renovated in 2018. At securitization, Party City was the fourth largest tenant at the property but vacated prior to lease expiration in 2026 due to bankruptcy. As of March 2026, the property was 100% leased. However, cash flow has declined since securitization as a result of lower revenue and higher expenses. Moody's LTV and stressed DSCR are 136% and 0.80X, respectively, compared to 119% and 0.92X at the last review. CITIGROUP MORTGAGE 2025-4: Moody's Ups Rating on B-5 Certs to B1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 10 bonds from a US residential mortgage-backed transaction (RMBS) issued by Citigroup Mortgage Loan Trust 2025-4. The collateral backing this deal consists of prime 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. The complete rating actions are as follows: Issuer: Citigroup Mortgage Loan Trust 2025-4 Cl. B-1, Upgraded to Aa2 (sf); previously on Sep 30, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-1-2IO*, Upgraded to Aa3 (sf); previously on Sep 30, 2025 Definitive Rating Assigned A2 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Sep 30, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-1-IO*, Upgraded to Aa2 (sf); previously on Sep 30, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Sep 30, 2025 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Sep 30, 2025 Definitive Rating Assigned A3 (sf) Cl. B-2-IO*, Upgraded to A1 (sf); previously on Sep 30, 2025 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Sep 30, 2025 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Sep 30, 2025 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Sep 30, 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 pools. The transaction Moody's reviewed continues to display strong collateral performance, with no cumulative loss and a small number of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.50x for the non-exchangeable tranches upgraded. No actions were taken on the other rated classes in this 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. CITIGROUP MORTGAGE 2026-RP2: Fitch Rates Class B-2 Notes 'B(EXP)sf' ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2026-RP2 (CMLTI 2026-RP2). Entity/Debt Rating ----------- ------ CMLTI 2026-RP2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT AA(EXP)sf Expected Rating A-4 LT A(EXP)sf Expected Rating A-5 LT BBB(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating M-2 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating B-4 LT NR(EXP)sf Expected Rating B-5 LT NR(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating PT-1 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The transaction is expected to close on July 24, 2026. The notes are supported by 2,220 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of about $542 million, including $36.2 million, or 6.7%, of the aggregate pool balance in non-interest-bearing deferred principal amounts as of the cutoff date. The borrowers have a weighted-average (WA) Fitch FICO of 706, and a current mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 60.1%. All loans in the transaction were originated in 2023 or earlier, all loans are seasoned at least 24 months, and a broker price opinion (BPO) was provided. Of the pool, 87.8% of the loans have had a clean payment history over the past 12 months and 4.0% are currently delinquent. Distributions of principal and interest (P&I) and loss allocations are based on a traditional, senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not advance delinquent monthly payments of P&I. 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-RP2 has a final probability of default (PD) of 35.6% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 30.2%. The expected loss in the 'AAAsf' rating stress is 10.7%. Structural Analysis: The mortgage cash flow and loss allocation in CMLTI 2026-RP2 are based on a sequential-pay structure, whereby the subordinated classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments in the absence of servicer advancing. Interest and interest shortfalls are paid sequentially. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction by loan count. Fitch expects SPL/RPL pools to have full diligence completed. Fitch's review of the operational risk for this transaction did not have an impact on the analysis. Counterparty and Legal Analysis: Fitch confirms all relevant transaction parties conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements have been satisfied to fully de-link the transaction from any other entities. CMLTI 2026-RP2 is 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 CMLTI 2026-RP2 and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.6% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence review was completed on 100% of the loans in this transaction. The scope of the due diligence review was consistent with Fitch criteria for seasoned collateral. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments: increased the LS due to HUD-1 issues, missing modification agreements, as well as delinquent taxes and outstanding liens. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COLUMBIA CENT 31: S&P Lowers Class E Notes Rating to 'B- (sf)' -------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class D and E notes from Columbia Cent CLO 31 Ltd., a U.S. CLO transaction managed by Columbia Cent CLO Advisers LLC. S&P also removed these ratings from CreditWatch, where it placed them with negative implications on May 6, 2026. At the same time, S&P affirmed its ratings on the class A-1-R, A-F, B-R, and C-R notes from the same transaction. The rating actions follow its review of the transaction's performance using data from the July 8, 2026, trustee report. The transaction was originally issued in February 2021. It underwent a partial refinancing in January 2025 and exited its reinvestment period in April 2026. Following are the changes in the reported overcollateralization (O/C) ratios since the Dec. 11, 2024 trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio declined to 125.37%(i) from 129.06%. -- The class C O/C ratio declined to 116.20%(i) from 119.62%. -- The class D O/C ratio declined to 107.67%(i) from 110.83%. -- The class E O/C ratio declined to 103.57%(i) from 106.62%. (i)The O/C calculations above are as of July 8, 2026 and do not account for the July 20, 2026 payment that had a cumulative paydown of $19.30 million to the class A-1-R and A-F notes. S&P said, "Although our cash flow analysis indicated higher ratings for the class B-R notes, our rating actions reflect that the transaction only recently exited its reinvestment period and began paying down. The limited paydowns have not been able to counter the transaction's par loss that has occurred, which resulted in a decrease in O/C ratios. In addition to the par loss, defaulted assets have increased to $4.55 million from $0.66 million at the time of our last rating action. We prefer to have some cushion to offset the potential for further negative credit migration in the underlying collateral. "On a standalone basis, the cash flow analysis results indicate a lower rating for the class E notes. However, we expect that the continued paydowns of the class A-1-R and A-F notes are likely to improve the credit support and improve the marginal cash flow failure of the class E notes. It is our view that the class E notes are not currently dependent upon favorable business, financial, or economic conditions to meet its contractual obligations of timely interest and ultimate repayment of principal by the legal final maturity, and thus, does not meet our definition of 'CCC' risk." However, further increases in defaults or par losses could lead to negative rating actions on the notes. The lowered rating reflects deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class D and E notes. In addition, the cash flows runs were failing at their respective prior ratings. Although scenario default rates decreased as the portfolio matured and the weighted average life of the portfolio decreased, break-even default rates declined by a larger amount due to par losses and an increase in defaulted assets. Two other factors contributed to the failing cash flow runs: a decline in the weighted average spread, and a decrease in the weighted average recovery rates for the portfolio. As market conditions evolve, the spread between the interest income generated from the underlying collateral and the cost of financing has narrowed, reducing the excess cash flow available to support these junior tranches. Additionally, the weighted average recovery rates for the portfolio have decreased, 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. The affirmed ratings reflect adequate credit support at the current rating levels. 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 Columbia Cent CLO 31 Ltd. Class D to 'BB+ (sf)'from 'BBB- (sf)/Watch Neg' Class E to 'B- (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Columbia Cent CLO 31 Ltd. Class A-1-R: AAA (sf) Class A-F: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) CQS US 2025-4: Fitch Assigns 'BB-sf' Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CQS US CLO 2025-4, Ltd Reset Transaction. Entity/Debt Rating Prior ----------- ------ ----- CQS US CLO 2025-4, Ltd. A-1 Loan LT PIFsf Paid In Full AAAsf A-1 Notes 12674KAC9 LT PIFsf Paid In Full AAAsf A-1-R Notes LT AAAsf New Rating A-1L-R LT AAAsf New Rating A-J 12674KAE5 LT PIFsf Paid In Full AAAsf A-J-R Notes LT AAAsf New Rating B 12674KAG0 LT PIFsf Paid In Full AAsf B-R Notes LT AAsf New Rating C 12674KAJ4 LT PIFsf Paid In Full Asf C-R Notes LT Asf New Rating D-1 12674KAA3 LT PIFsf Paid In Full BBBsf D-1A-R Notes LT BBBsf New Rating D-1F-R Notes LT BBBsf New Rating D-2F 12674KAQ8 LT PIFsf Paid In Full BBB-sf D-2J 12674KAN5 LT PIFsf Paid In Full BBB-sf D-J-R Notes LT BBBsf New Rating E 12674NAA7 LT PIFsf Paid In Full BB-sf E-R Notes LT BB-sf New Rating Transaction Summary CQS US CLO 2025-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CQS (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 22.44 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 99.69% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.3% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate 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 its reinvestment criteria is similar to that of 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-J-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBBsf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-J-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-J-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1, and 'A-sf' for class D-J-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 CQS US CLO 2025-4, 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. DBGS 2018-C1: Fitch Affirms 'CCCsf' Rating on Three Tranches ------------------------------------------------------------ Fitch Ratings has affirmed 14 classes of DBGS 2018-C1 Mortgage Trust Commercial Mortgage Pass-Through Certificates. The Rating Outlooks for classes A-M, B, and X-A have been revised to Stable from Negative. The Outlooks for classes C, D, E, and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- DBGS 2018-C1 A-2 23307DAX1 LT AAAsf Affirmed AAAsf A-3 23307DAZ6 LT AAAsf Affirmed AAAsf A-4 23307DBA0 LT AAAsf Affirmed AAAsf A-M 23307DBC6 LT AAAsf Affirmed AAAsf A-SB 23307DAY9 LT AAAsf Affirmed AAAsf B 23307DBD4 LT AA-sf Affirmed AA-sf C 23307DBE2 LT A-sf Affirmed A-sf D 23307DAG8 LT BB+sf Affirmed BB+sf E 23307DAJ2 LT B+sf Affirmed B+sf F 23307DAL7 LT CCCsf Affirmed CCCsf G-RR 23307DAN3 LT CCCsf Affirmed CCCsf X-A 23307DBB8 LT AAAsf Affirmed AAAsf X-D 23307DAC7 LT B+sf Affirmed B+sf X-F 23307DAE3 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The affirmations reflect stable pool performance and loss expectations since the prior rating action. The deal-level 'Bsf' rating case loss is 4.0%, in line with the prior rating action. The transaction has six Fitch Loans of Concern (FLOCs; 14.2% of the pool), including one loan (5.5%) in special servicing. The Outlook revisions to Stable for class A-M, B, and X-A reflect increased credit enhancement (CE) from paydown, better-than-expected recoveries on loan dispositions and stable pool performance and loss expectations. Since the prior review, two specially serviced loans (MSR Holdings Portfolio and GSK North American HQ) with a combined balance of $25.7 million have paid in full after the loans matured. The Negative Outlooks reflect continued underperformance at Time Square Office Renton (5.5%) and Summit Office Park (2.7%), as well as the pool's high exposure to office loans and mixed-use properties with an office component (47.2% combined). Future downgrades are possible if performance deteriorates further or if additional loans transfer to special serving. Largest Contributors to Loss: The largest contributor to overall loss expectations is Time Square Office Renton, a specially serviced loan secured by a suburban office complex consisting of five, two-story buildings totaling 319,767 sf in Renton, WA. The property is approximately 11 miles southeast of downtown Seattle. The loan transferred to the special servicer in July 2024 for an imminent monetary default. A receiver was assigned in December 2024, and foreclosure occurred in March 2026. The property has attracted strong interest from industrial developers, but existing tenancy across the buildings has made the redevelopment timeline less certain. The special servicer plans to negotiate mutual termination agreements with current tenants before marketing the asset in 2Q27. As of Dec. 2025, occupancy declined to 46% from 95% at YE 2020. The former second largest tenant, Microscan Systems (12.7% of NRA) vacated the property when its lease expired in May 2024. The NOI DSCR for YE 2025 was reported at 0.39x, compared to 1.11x at YE 2023, 1.17x at YE 2022 and 1.73x at YE 2021. Fitch's 'Bsf' rating case loss of 45%, before concentration adjustments, is based upon a discount to the most recent appraisal value, reflecting a stressed value of $109 psf. The second-largest contributor to overall loss expectations is Trip Advisor HQ (8%), a loan secured by a 280,892 sf suburban office property in Needham, MA. TripAdvisor leases 100% of the building through 2030; however, the tenant is subleasing 57% of its space. In 2025, physical occupancy stabilized as Advisor 360 and Hyannis Port Research established their headquarters in the building, subleasing approximately 83,500 sf and 53,000 sf respectively. As of YE 2024, the NOI DSCR was reported at 2.29x. Fitch's 'Bsf' rating case loss of 6%, before concentration adjustments, is based on a 10% cap rate and 10% stress to YE 2024 NOI. The third-largest contributor to overall loss expectations and largest increase since the prior review is Summit Office Park, a loan secured by a 493,461 sf suburban office building located in Independence, OH. Occupancy was 65% in March 2026, down from 73% in Dec. 2024. NOI DSCR was 0.38x as of March 2026 compared to 1.48x at YE 2025, 1.41x at YE 2024, and 1.52x at YE 2023. According to servicer commentary, the property manager reported that leasing activity remains slow with no prospective tenants and noted excess supply in the market. Fitch's 'Bsf' rating case loss of 21%, before concentration adjustments, is based on a 10.5% cap rate and 25% stress to YE 2024 NOI for potential tenant rollover. The analysis also includes in an increased probability of default due to the loan's heightened default risk following the decline in occupancy. Increased Credit Enhancement (CE): As of the June 2026 distribution date, the aggregate balance has declined by 11.6% since issuance. Three loans (4.9% of the pool) have been defeased. Cumulative interest shortfalls of $3.7 million are affecting classes G-RR, HRR, and VRR and realized losses of approximately $940,000 have affected classes HRR and VRR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the senior 'AAAsf' rated classes are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to junior 'AAAsf' and 'AAsf' categories are possible with prolonged workouts of the specially serviced assets, significantly increased pool expected losses and limited to no improvement in these classes' CE or if interest shortfalls occur; - Downgrades to classes rated in the 'Asf' category could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration, and/or default at or prior to maturity. Of particular concern in the transaction are the Times Square Office Renton, Summit Office Park, Chase Bank Tower, and Cherry Tower; - Downgrades to classes rated in the 'BBsf' and 'Bsf' categories are possible with higher-than-expected losses from continued underperformance of the FLOCs and/or lack of resolution and increased exposures on the specially serviced loans; - Downgrades to 'CCCsf' rated classes would occur should 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 classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs including Times Square Office Renton, Summit Office Park, Chase Bank Tower, and Cherry Tower. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to classes rated in the 'BBsf' and 'Bsf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to distressed ratings are not expected but would be possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DRYDEN 108: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Dryden 108 CLO, Ltd. refinancing transaction. Entity/Debt Rating Prior ----------- ------ ----- Dryden 108 CLO, Ltd. X 26253MAL4 LT PIFsf Paid In Full AAAsf X-R2 26253MBA7 LT AAAsf New Rating A-1-R 26253MAN0 LT PIFsf Paid In Full AAAsf A-1-R2 26253MBC3 LT AAAsf New Rating A-2-R 26253MAQ3 LT PIFsf Paid In Full AAAsf A-2-R2 26253MBE9 LT AAAsf New Rating B-R 26253MAS9 LT PIFsf Paid In Full AAsf B-R2 26253MBG4 LT AAsf New Rating C-R 26253MAU4 LT PIFsf Paid In Full Asf C-R2 26253MBJ8 LT Asf New Rating D-1-R 26253MAW0 LT PIFsf Paid In Full BBB-sf D-1-R2 26253MBL3 LT BBB-sf New Rating D-2-R 26253MAY6 LT PIFsf Paid In Full BBB-sf D-2-R2 26253MBN9 LT BBB-sf New Rating E-R 26253NAG3 LT PIFsf Paid In Full BB-sf E-R2 26253NAJ7 LT BB-sf New Rating Transaction Summary Dryden 108 CLO, Ltd. is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by PGIM, Inc. The transaction originally closed in July 2022, and was reset in July 2024. On July 20, 2026, the transaction will be refinanced. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $495 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.35 and Fitch will manage it under a WARF covenant from the 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 94.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.85% and Fitch will managed it under a WARR covenant from the Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 50% 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 portfolio's 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 like 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 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 through 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 18, 2027. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as those of 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 488 assets from 420 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, including defaults at par and including principal cash, is approximately $495 million. As of the latest trustee report prior to the refinance date the transaction did not pass its Minimum Weighted Average Recovery Rate, Weighted Average Rating Factor and Weighted Average Coupon tests. All other collateral quality tests, coverage tests, and concentration limitations passed. The weighted average rating of the current portfolio is 'B+/B'. Under 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 in the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 20.0%, 15.0%, and 15.0%, respectively; - Assumed risk horizon: 6.03 years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 66.20%; - Maximum weighted average rating factor of 22.00; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 5.00%; The transaction will exit its reinvestment period on 07-18-2029. Fitch assigned the class D-1-R2 note a 'BBB-sf' with a Stable Outlook, one notch below the model-implied rating (MIR) of 'BBBsf','. 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. The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class X-R2: 'AAAsf' / Default 38.40% / Recovery 38.80% / Cushion 61.60% - Class A-1-R2: 'AAAsf' / Default 38.40% / Recovery 38.80% / Cushion 15.10% - Class A-2-R2: 'AAAsf' / Default 38.40% / Recovery 38.80% / Cushion 14.00% - Class B-R2: 'AAsf' / Default 35.50% / Recovery 48.17% / Cushion 13.80% - Class C-R2: 'Asf' / Default 31.10% / Recovery 58.20% / Cushion 16.00% - Class D-1-R2: 'BBB-sf' / Default 23.60% / Recovery 68.22% / Cushion 18.90% - Class D-2-R2: 'BBB-sf' / Default 23.60% / Recovery 68.22% / Cushion 14.30% - Class E-R2: 'BB-sf' / Default 19.60% / Recovery 73.00% / Cushion 7.70% Fitch Stress Portfolio (FSP) Model Outputs: - Class X-R2: 'AAAsf' / Default 47.00% / Recovery 35.60% / Cushion 53.00% - Class A-1-R2: 'AAAsf' / Default 47.00% / Recovery 35.60% / Cushion 4.40% - Class A-2-R2: 'AAAsf' / Default 47.00% / Recovery 35.60% / Cushion 3.20% - Class B-R2: 'AAsf' / Default 43.50% / Recovery 41.20% / Cushion 1.40% - Class C-R2: 'Asf' / Default 38.40% / Recovery 51.20% / Cushion 4.80% - Class D-1-R2: 'BBB-sf' / Default 29.40% / Recovery 61.20% / Cushion 8.20% - Class D-2-R2: 'BBB-sf' / Default 29.40% / Recovery 61.20% / Cushion 4.70% - Class E-R2: 'BB-sf' / Default 24.30% / Recovery 66.20% / Cushion 0.0% 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 these metrics. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2, between 'Asf' and 'AAAsf' for class A-1-R2, between 'Asf' and 'AA+sf' for class A-2-R2, between 'BBB+sf' and 'A+sf' for class B-R2, between 'BB-sf' and 'Asf' for class C-R2, between less than 'B-sf' and 'BBB+sf' for class D-1-R2, and between less than 'B-sf' and 'BBB-sf' for class D-2-R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2, class A-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in these metrics. The minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf' for class D-1-R2, and 'Asf' for class D-2-R2 and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Dryden 108 CLO, 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. EFMT 2026-INV8: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to EFMT 2026-INV8's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate fully amortizing investor-purpose residential mortgage loans (some with an interest-only period), secured primarily by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family units, five- to 10-unit multifamily residential properties, and condotels to prime and nonprime borrowers. The pool consists of 1,342 residential mortgage loans backed by 1,378 properties, including seven cross-collateralized loans backed by 43 properties. The loans are primarily ability‑to‑repay exempt (98.35%), with the remaining loans as non‑qualified mortgage and one qualified mortgage safe harbor. The preliminary ratings are based on the information in the term sheet as of July 30, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Ellington Financial Inc., and the originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our macroeconomic and sector outlook, which consider our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially." Preliminary Ratings(i) Assigned EFMT 2026-INV8 Class A-1FCF, $94,896,000: AAA (sf) Class A-1LCF, $31,632,000: AAA (sf) Class A-1A, $107,436,000: AAA (sf) Class A-1B, $19,083,000: AAA (sf) Class A-1, $126,528,000: AAA (sf) Class A-1F, $28,107,000: AAA (sf) Class A-1IO, $28,107,000(ii): AAA (sf) Class A-2, $29,896,000: AA (sf) Class A-3, $48,343,000: A (sf) Class M-1, $23,112,000: BBB (sf) Class B-1A, $17,598,000: BB (sf) Class B-X-1A, $17,598,000(iii): BB (sf) Class B-1, $17,598,000: BB (sf) Class B-2A, $14,631,000: B (sf) Class B-X-2A, $14,631,000(iv): B (sf) Class B-2, $14,631,000: B (sf) Class B-3, $9,329,589: not rated Class A-IO-S, notional(v): not rated Class X, notional(v): not rated Class R, not applicable: not rated (i)The preliminary ratings address the ultimate payment of interest and principal. (ii)The class A-1IO certificates will have a class notional amount equal to balance of the class A-1F certificates and will not be entitled to distributions of principal. (iii)The class B-X-1A certificates will have a class notional amount equal to balance of the class B-1A certificates and will not be entitled to distributions of principal. (iv)The class B-X-2A certificates will have a class notional amount equal to balance of the class B-2A certificates and will not be entitled to distributions of principal. (v)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. EQT TRUST 2026-IND1: Fitch Assigns 'B+sf' Rating on Class JRR Certs ------------------------------------------------------------------- Fitch Ratings has assigned the following final ratings and Rating Outlooks to EQT Trust 2026-IND1 commercial mortgage pass-through certificates, series 2026-IND1: - $551,400,000 class A 'AAAsf'; Outlook Stable; - $73,400,000 class B 'AAsf'; Outlook Stable; - $103,900,000 class C 'A-sf'; Outlook Stable; - $97,600,000 class D 'BBB-sf'; Outlook Stable; - $133,200,000 class E 'BB-sf'; Outlook Stable; - $40,400,000a class JRR 'B+sf'; Outlook Stable. Fitch does not rate the following classes: - $7,575,000a class KRR; - $2,525,000a class LRR. (a) Classes JRR, KRR and LRR together comprise the transaction's horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $1.01 billion, two-year, floating-rate, IO mortgage loan with three one-year extension options. The loan will be secured by a first mortgage lien against the borrower's fee simple interests in a portfolio of 50 industrial properties, comprising approximately 16.0 million sf, located across 13 states and 17 distinct markets. Mortgage loan proceeds will be used to refinance approximately $948.8 million of existing debt, fund $13.4 million in working capital and a $31.0 million reserve for Siemens leasing, and pay $16.8 million in closing costs. The loan is co-originated by JPMorgan Chase Bank, National Association; Citi Real Estate Funding Inc.; and Goldman Sachs Bank USA. Midland Loan Services, a Division of PNC Bank, National Association, will serve as servicer while K-Star Asset Management LLC will be the special servicer. Computershare Trust Company, National Association will act as trustee and certificate administrator. The certificates will follow a pro rata paydown with respect to prepayments up to 30% of the initial loan balance and a standard senior-sequential paydown thereafter. The transaction is scheduled to close on July 20, 2026. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch's stressed NCF for the portfolio is $70.8 million. This is 11.0% lower than the issuer's NCF and 5.3% above YE25 NCF. Fitch applied a 7.50% cap rate, resulting in a Fitch value of $944.3 million. High Fitch Leverage: The $1.01 billion trust mortgage loan equates to debt of $63 psf with a Fitch debt service coverage ratio of 0.83x, a loan-to-value ratio of 107.0% and a debt yield of 7.0%. The loan represents about 65.0% of the aggregate "as-is" appraised value of the individual properties of $1.55 billion. Geographic Diversity: The portfolio is well diversified, with 50 properties (16.0 million sf) located across 13 states and 17 MSAs. The three largest state concentrations by NRA are Georgia (4,367,051 sf; 14 properties), Indiana (2,801,836 sf; seven properties) and Missouri (1,489,295 sf; seven properties). The three largest markets are Atlanta (27.2% of NRA; 28.1% of the allocated loan amount [ALA]), Indianapolis (13.7% of NRA; 9.2% of ALA) and Chicago (9.9% of NRA; 9.6% of ALA). The portfolio has an effective MSA count of 11.7 and 64 unique tenants. Institutional Sponsorship: The loan is sponsored by a joint venture between affiliates of GIC and EQT Real Estate. Established in 1981, GIC is an investment firm headquartered in Singapore that invests across a wide range of asset classes globally. Established in 2021 by the merger of EQT and Exeter Property Group, EQT Real Estate is a global real estate investment platform with over $58 billion in assets. The firm manages over 2,000 properties across the industrial, residential and life sciences sectors. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBB-sf'/'BBsf'/'Bsf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'A+sf'/'BBB+sf'/'BB+sf'/'BBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. EZEE FIBER 2026-1: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. C Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Ezee Fiber Funding, LLC, Secured Fiber Network Revenue Notes, Series 2026-1 as follows; - $13,500,000 series 2026-1 class A-1-L 'A(EXP)sf'/Outlook Stable; - $117,000,000 series 2026-1 class A-1-V 'A(EXP)sf'/Outlook Stable; - $468,800,000 series 2026-1 class A-2 'A(EXP)sf'/Outlook Stable; - $85,500,000 series 2026-1 class B 'BBB(EXP)sf'/Outlook Stable; - $195,900,000 series 2026-1 class C 'BB-(EXP)sf'/Outlook Stable. The class A-1-L note is a Liquidity Funding Note (LFN) that can be drawn for the purpose of funding liquidity funding advances, subject to the satisfaction of certain conditions. The balance of this note will be $0 at issuance with a maximum commitment of $13.5 million. The class A-1-V note is a Variable Funding Note (VFN) that will have a balance of $0 at closing and a maximum commitment of $117 million. Draws are contingent on leverage consistent with class A leverage at closing, among other conditions. The class B and C notes include prefunding of $17 million and $39 million, respectively. Prefunding will be released upon the contribution of additional markets after the 2026-1 closing date. Entity/Debt Rating ----------- ------ Ezee Fiber Funding, LLC, Secured Fiber Network Revenue Notes, Series 2026-1 Class A-1-L LT A(EXP)sf Expected Rating Class A-1-V LT A(EXP)sf Expected Rating Class A-2 LT A(EXP)sf Expected Rating Class B LT BBB(EXP)sf Expected Rating Class C LT BB-(EXP)sf Expected Rating Transaction Summary The transaction is a securitization of the contract payments derived from an existing Fiber to the Premise (FTTP) network. The debt is secured by cash flow from operations and benefits from a perfected security interest in the securitized assets. These include conduits, cables, network-level equipment, access rights, customer contracts, transaction accounts, an equity pledge from the asset entities, and a shared infrastructure service agreement for common assets. The collateral network consists of approximately 130,000 subscribers primarily located across submarkets in the Houston, TX metro statistical area (MSA), with additional markets located in Washington and New Mexico. Residential fiber subscribers represent the majority of revenues at 89.3%, followed by Enterprise customers (5.4%), government and education (2.7%), small and medium businesses (SMB, 1.7%), and wholesale and carrier customers (1.0%). The network primarily supports broadband data services, with phone services representing less than 0.5% of total revenues. The transaction reflects an anticipated repayment date (ARD) structure whereby all tranches will be 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 transaction will reflect a structure where classes A-2 and B receive interest first, then principal. The transaction is also expected to be structured with a liquidity reserve account and triggers. The transaction includes a class A-1 liquidity funding note that can be drawn for liquidity funding advances, subject to certain conditions. The note may be drawn up to $13.5 million, enough for about 50% of the required liquidity reserve amount. The other 50% will be held in cash or a letter of credit in the liquidity reserve account. The transaction also includes a class A-1 variable funding note subject to draw conditions and has a maximum commitment of $117 million. At close, the A-1-L and A-1-V notes will be undrawn. The ratings reflect a structured finance analysis of cash flows generated by the ownership interest in the underlying fiber optic network, rather than an assessment of the corporate default risk of the parent company, Ezee Fiber Texas, LLC. KEY RATING DRIVERS Net Cash Flow and Trust Leverage: Fitch's net cash flow (FNCF) for the pool is $69.7 million in the base case, representing a 15.6% haircut to the issuer's base case NCF as of the series 2026-1 closing date. The debt multiple relative to Fitch's NCF on the rated classes is 10.0x in this scenario, compared to a debt-to-issuer NCF leverage of 8.4x. Including prefunding and the cash flow required to draw on the maximum variable funding note (VFN) commitment of $117 million, Fitch's NCF on the pool is $86.9 million. This represents a 15.7% haircut to the issuer's NCF. The debt multiple relative to Fitch's NCF for the rated classes is 10.0x, compared to the debt-to-issuer NCF leverage of 8.4x. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral networks, the scale of the network, market diversity, the market position of the sponsor, the capability of the operator, higher barriers to entry and the strength of the 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 will be developed that renders obsolete the current transmission of data through fiber optic cables. 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 was 15.6% 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 'BBBsf' from 'A-sf', class B to 'BB+sf' from 'BBB+sf', and class C to 'Bsf' from 'BB-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow without an increase in corresponding debt, from rate increases, additional contracts, or contract amendments could lead to upgrades. - A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'Asf' from 'Asf', class B to 'Asf' from 'BBB+sf', and class C to 'BBsf' from 'BB-sf'. Upgrades are unlikely given the issuer's ability to issue additional notes pari passu notes. The senior classes are capped in the 'Asf' category. 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. GOLDENTREE LOAN 12: Fitch Affirms 'B-sf' Rating on Class F-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the GoldenTree Loan Management US CLO 12, Ltd. refinancing notes. Fitch has also affirmed the class F-R note with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- GoldenTree Loan Management US CLO 12, Ltd. A-J-R 38138FAS0 LT PIFsf Paid In Full AAAsf A-J-R2 38138FBE0 LT AAAsf New Rating A-R 38138FAQ4 LT PIFsf Paid In Full AAAsf A-R2 38138FBC4 LT AAAsf New Rating B-1-R 38138FAU5 LT PIFsf Paid In Full AAsf B-1-R2 38138FBG5 LT AAsf New Rating B-2-R 38138FAW1 LT PIFsf Paid In Full AAsf B-2-R2 38138FBJ9 LT AAsf New Rating C-R 38138FAY7 LT PIFsf Paid In Full Asf C-R2 38138FBL4 LT Asf New Rating D-R 38138FBA8 LT PIFsf Paid In Full BBB-sf D-R2 38138FBN0 LT BBB-sf New Rating E-R 38138YAG5 LT PIFsf Paid In Full BB-sf E-R2 38138YAL4 LT BB-sf New Rating F-R 38138YAJ9 LT B-sf Affirmed B-sf Transaction Summary GoldenTree Loan Management US CLO 12, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM II, LP. The transaction originally closed in May 2022 and reset in August 2024. On July 20, 2026, the transaction will be refinanced. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $597.0 million of primarily first lien senior secured leveraged loans (including principal cash). 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 23.33 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 6.59% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.88% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% 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 2.8-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to the following: - Spreads have been reduced for all classes of refinanced notes; - The non-call period for the refinanced notes is extended to April 20, 2027; - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes; - The Fitch recovery rate and Fitch industry definitions have been amended to conform with Fitch's new criteria; - Addition of Dynamic WAL Covenant: The transaction includes a dynamic WAL covenant that permits the portfolio to be managed to a 4.5-, 5.5-, or 7.0-year WAL, with the applicable limit stepping down over time upon the breach of certain key tests or if the collateral balance falls below a specified threshold. FITCH ANALYSIS The portfolio includes 298 assets from 255 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $597 million. As of the latest trustee report prior to the refinance date, the transaction was not passing its Minimum Floating Spread and Weighted Average Rating Factor tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 46.6% of the current portfolio par balance, ratings for 53.1% 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 using a base case: - Largest three obligors at 2.0% each and the next two at 1.50% each, for an aggregate of 9.0%; - Largest three industries: 17.5%, 15.0%, and 12.0%, respectively; - Assumed risk horizon: 5.5 years; - Minimum weighted average spread of 3.00%; - Minimum weighted average recovery rate of 64.40%; - Maximum weighted average rating factor of 26.00; - Fixed-rate assets: 5.00%; - Minimum weighted average coupon of 7.00%. The transaction will exit its reinvestment period on July 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 A-R2: 'AAAsf' / Default 42.30% / Recovery 39.01% / Cushion 20.10%; - Class A-J-R2: 'AAAsf' / Default 42.30% / Recovery 39.01% / Cushion 16.80%; - Class B-R2: 'AAsf' / Default 39.50% / Recovery 48.10% / Cushion 14.10%; - Class C-R2: 'Asf' / Default 35.10% / Recovery 58.12% / Cushion 18.10%; - Class D-R2: 'BBB-sf' / Default 27.10% / Recovery 67.90% / Cushion 21.80%; - Class E-R2: 'BB-sf' / Default 22.60% / Recovery 73.01% / Cushion 17.50%; - Class F-R: 'B-sf' / Default 18.00% / Recovery 77.78% / Cushion 17.70%. Fitch Stress Portfolio (FSP) Model Outputs: - Class A-R2: 'AAAsf' / Default 49.30% / Recovery 34.40% / Cushion 7.90%; - Class A-J-R2: 'AAAsf' / Default 49.30% / Recovery 34.40% / Cushion 4.80%; - Class B-R2: 'AAsf' / Default 46.00% / Recovery 39.40% / Cushion 0.00%; - Class C-R2: 'Asf' / Default 41.10% / Recovery 49.40% / Cushion 3.10%; - Class D-R2: 'BBB-sf' / Default 32.40% / Recovery 59.40% / Cushion 6.40%; - Class E-R2: 'BB-sf' / Default 27.30% / Recovery 64.40% / Cushion 2.80%. - Class F-R: 'B-sf' / Default 22.20% / Recovery 69.40% / Cushion 3.20%. 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-R2, between 'A-sf' and 'AAAsf' for class A-J-R2, between 'BBB-sf' and 'A+sf' for class B-R2, between 'B+sf' and 'A-sf' for class C-R2, between less than 'B-sf' and 'BBB-sf' for class D-R2, between less than 'B-sf' and 'B+sf' for class E-R2, and less than 'B-sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R2 and class A-J-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf' for class D-R2, 'BBB+sf' for class E-R2, and 'BB+sf' for class F-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 GoldenTree Loan Management US CLO 12, 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. HPS LOAN 2024-20: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt from HPS Loan Management 2024-20 Ltd./HPS Loan Management 2024-20 LLC, a CLO managed by HPS Investment Partners CLO (UK) LLP that was originally issued in June 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B-1, B-2, C, D-1, D-2, and E debt following payment in full on the July 27, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt was issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class B-R debt replaced the existing class B-1 and B-2 debt. -- The stated maturity and reinvestment period were extended by two years. -- The non-call period was set to July 25, 2028. -- The required minimum overcollateralization and interest coverage ratios were amended. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each 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 HPS Loan Management 2024-20 Ltd./ HPS Loan Management 2024-20 LLC Class A-1R, $252.00 million: AAA (sf) Class A-2R, $8.00 million: AAA (sf) Class B-R, $44.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1R (deferrable), $24.00 million: BBB- (sf) Class D-2R (deferrable), $3.00 million: BBB- (sf) Class E-R (deferrable), $13.00 million: BB- (sf) Ratings Withdrawn HPS Loan Management 2024-20 Ltd./ HPS Loan Management 2024-20 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D-1 to NR from 'BBB (sf)' Class D-2 to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt HPS Loan Management 2024-20 Ltd./ HPS Loan Management 2024-20 LLC Subordinated notes, $53.01 million: NR NR--Not rated ICG US 2026-1: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to ICG US CLO 2026-1 Ltd./ICG US CLO 2026-1 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 ICG Debt Advisors LLC, an affiliate of Intermediate Capital Group PLC. The preliminary ratings are based on information as of July 29, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Preliminary Ratings Assigned ICG US CLO 2026-1 Ltd./ICG US CLO 2026-1 LLC Class A-1, $248.000 million: AAA (sf) Class A-2, $11.000 million: AAA (sf) Class B, $45.000 million: AA (sf) Class C (deferrable), $24.000 million: A (sf) Class D-1 (deferrable), $24.000 million: BBB- (sf) Class D-2 (deferrable), $3.000 million: BBB- (sf) Class E (deferrable), $13.000 million: BB- (sf) Subordinated notes, $34.905 million: NR NR--Not rated. JP MORGAN 2016-JP3: Fitch Lowers Rating on Three Tranches to 'Csf' ------------------------------------------------------------------ Fitch Ratings has downgraded six classes and affirmed four classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP3 (JPMCC 2016-JP3) commercial mortgage pass-through certificates. Following the affirmations, Fitch assigned a Stable Outlook to Class A-5 and a Negative Outlook to Class A-S and Class X-A. Following the downgrades, Fitch assigned a Negative Outlook to Class B and Class X-B. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2016-JP3 A-5 46590RAE9 LT AAAsf Affirmed AAAsf A-S 46590RAJ8 LT AAAsf Affirmed AAAsf B 46590RAK5 LT BB-sf Downgrade BBB-sf C 46590RAL3 LT CCCsf Downgrade B-sf D 46590RAP4 LT Csf Downgrade CCCsf E 46590RAR0 LT Csf Downgrade CCsf F 46590RAT6 LT Csf Affirmed Csf X-A 46590RAG4 LT AAAsf Affirmed AAAsf X-B 46590RAH2 LT BB-sf Downgrade BBB-sf X-C 46590RAM1 LT Csf Downgrade CCCsf KEY RATING DRIVERS Increasing 'Bsf' Loss Expectations: The downgrades reflect higher pool loss expectations, as well as increased certainty of loss since Fitch's prior rating action. Higher loss expectations are primarily driven by an increase in expected loss on the specially serviced loans Westfield San Francisco Centre (11.7%) and Doubletree Fayetteville (1.7%), as well as elevated losses on the National Business Park (5.6%), 1 Kaiser Plaza (11.7%) loans. Deal-level 'Bsf' rating case losses have increased to 25.9% from 14.4% since the prior rating action. Losses based on the original pool balance, including realized losses, have risen to 13.2% from 11.3% since the prior rating action. Fitch Loans of Concern (FLOCs) comprise 11 loans (57.9% of the pool), including seven loans in special servicing (37.2%). The Negative Outlooks reflect the potential for downgrades if specially serviced loans performance deteriorates, workouts are prolonged or if realized losses on loans expected to be disposed in the near term are higher than expected. Downgrades are also possible if additional loans default at or before their upcoming maturity dates and valuations deteriorate further. Due to the near-term loan maturities through Sept. 2026, increasing pool concentration and adverse selection, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans anticipated to default at maturity due to performance declines and/or rollover concerns. Largest Increases in Loss Expectations/Largest Contributors to Loss: The largest increase in loss since the prior rating action and the largest overall contributor to loss, was the Westfield San Francisco Centre loan. The property is a 553,366-sf retail and 241,155-sf office portion of a 1,445,449-sf super regional mall in San Francisco's Union Square neighborhood. The loan transferred to special servicing in June 2023 due to imminent monetary default after the sponsors, Westfield and Brookfield, disclosed their intention to return the property to the lender. Foreclosure was completed in December 2025, and the asset is currently REO. According to the servicer and media reports, the asset's sale due diligence period is underway with a disposition is expected to be finalized by the end of 3Q26. Most tenants exercised co-tenancy termination rights after non-collateral anchor tenants Nordstrom and Bloomingdale's vacated. The shopping mall closed in January 2026, and an on-site property manager is the only remaining occupant. Fitch's 'Bsf' rating case loss of 90.0%, prior to concentration add-ons, reflects a recovery value of $35 psf and is consistent with Fitch's sensitivity scenario at the prior rating action. The elevated loss expectations reflect the asset's completely vacant status and the likelihood of a near-term distressed sale. The second largest increase and third largest contributor to expected losses since the prior review was the 1 Kaiser Plaza loan. It is secured by an office tower in downtown Oakland, CA, totaling approximately 528,000 sf. The loan transferred to special servicing in Oct. 2024, due to imminent monetary default and remains specially serviced. According to the May 2026 servicing update, the special servicer and borrower are in discussions regarding a potential loan modification. Property performance has weakened materially from prior years following the downsizing by the property's largest tenant, Kaiser Foundation's. Kaiser previously occupied 69% of the NRA before exercising an option to reduce its footprint in July 2024. Occupancy was reported at 55% as of the Jan. 2026 rent roll. NOI DSCR was 1.41x as of Sept. 2025, down from 2.09x at YE 2024 and 2.74x at YE 2023. Fitch's 'Bsf' rating case loss, prior to concentration adjustments, of 32% reflects an increased probability of default and a 10% stress to the March 2026 annualized NOI. Fitch's stressed value of approximately $115/sf, which represents a roughly 70% decline from issuance. The National Business Park loan is the second largest overall contributor to loss. The loan is secured by a leasehold interest in a 450,543-sf portfolio comprising five office buildings in Princeton, NJ. The loan transferred to special servicing in Aug. 2023 due to imminent monetary default with a receiver appointed to manage the assets. Restructuring negotiations between the servicer and borrower have since ceased because the borrower is no longer willing to contribute additional capital to stabilize the assets. As of December 2024, occupancy was reported at 53%, and cash flow has remained insufficient to cover operating expenses. The collateral is encumbered by ground leases with Princeton University that currently expire in 2037, with two 10-year extension options. Although ground rent is fully prepaid through 2037, rent becomes payable during the extension periods and is subject to negotiation based on the future value of the properties, creating substantial uncertainty. The short remaining ground lease term has materially limited the portfolio's marketability and value. Fitch's 'Bsf' rating case loss, prior to concentration adjustments, reflects a full loss to the loan given the substantial risk caused by the encumbrance of the short-term ground leases. The Centrica loan is the fourth largest contributor to expected losses and has a potential nearer-term disposition. It is secured by a 116,982 sf single-tenant office property in Mesa, AZ. The property was formerly leased to Santander Consumer USA, which exercised its option to terminate the lease and vacate in September 2024. The loan transferred to special servicing in May 2024 at the borrower's request due to an expected monetary default. Resolution efforts continue and focus on a potential sale of the asset. The special servicer has identified a winning bidder and approved a sale, which is pending finalization. Fitch's 'Bsf' rating case loss, prior to concentration adjustments, of 55% reflects a stress to estimated sale proceeds. Changes in Credit Enhancement: As of the June 2026 distribution date, the pool's aggregate principal balance had fallen by 58.0% to $510.9 million from $1.22 billion at issuance. Cumulative interest shortfalls totaling $10.7 million affect classes C, D, E, F and the non-rated NR class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrade to the senior 'AAAsf' rated class A-5 is not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to junior 'AAAsf' rated classes with Negative Outlooks could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or before maturity; - Downgrades to the 'BBsf' categories are possible with higher-than-expected losses from prolonged workouts and/or valuation declines for the specially serviced loans and further performance deterioration of the FLOCs, including but not limited to Westfield San Francisco Centre,1 Kaiser Plaza, National Business Park and Doubletree Fayetteville; - Downgrades to classes with distressed ratings would occur if additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there was a likelihood of interest shortfalls; - Upgrades to distressed ratings are not expected but would be possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JPMBB COMMERCIAL 2015-C27: Moody's Cuts Rating on 2 Tranches to B1 ------------------------------------------------------------------ Moody's Ratings has affirmed the rating on one class and downgraded the ratings on two classes in JPMBB Commercial Mortgage Securities Trust 2015-C27, Commercial Mortgage Pass-Through Certificates, Series 2015-C27 as follows: Cl. A-4, Affirmed Aa2 (sf); previously on Oct 14, 2025 Affirmed Aa2 (sf) Cl. A-S, Downgraded to B1 (sf); previously on Oct 14, 2025 Downgraded to Ba1 (sf) Cl. X-A*, Downgraded to B1 (sf); previously on Oct 14, 2025 Downgraded to Ba1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on the P&I class, Cl. A-4, was affirmed because of its significant credit support and the expected principal paydowns from the remaining loans in the pool. Cl. A-4 has already paid down 99% since securitization and benefits from priority of principal payments from liquidations or payoffs from the remaining loans in the pool. The rating on the P&I class, Cl. A-S, was downgraded due to the increase in interest shortfalls and potential for higher expected losses as a result of the exposure to specially serviced loans. Four loans, representing 96.7% of the pool, are in special servicing, of which two loans (a combined 44.8% of the pool) have been deemed non-recoverable by the master servicer. Furthermore, the largest specially serviced loan, The Club Row Building (45.3% of the pool), has been in special servicing since January 2025 and had significant declines in occupancy and cash flow. As a result of the non-recoverability determinations and appraisal reductions, Cl. A-S has not received any interest distributions since the February 2025 remittance. Moody's expects interest shortfalls to continue on Cl. A-S due to the non-recoverability and appraisal reductions as well as a portion of monthly interest collections from the remaining loans being used to paydown both principal on Cl. A-4 and outstanding servicer advances. Outstanding interest shortfalls on Cl. A-S have accumulated to $2.7 million as of the July 2026 remittance statement and while the interest shortfalls may be ultimately recouped, the timing of such repayment remains uncertain. Due to exposure to poorly performing loans in special servicing, the risk of higher potential losses and interest shortfalls may increase if the outstanding loans remain or become further delinquent. The rating on the IO class, Cl. X-A, was downgraded based on the decline in credit quality of the referenced classes as well as paydowns of higher quality referenced classes. At securitization, Cl. X-A referenced all classes senior to and including Cl. A-4 and Cl. A-S, however, all classes senior to Cl. A-4 have paid off in full and Cl. A-4 has paid down 99% from its original balance. Moody's rating action reflects a base expected loss of 69.1% of the current pooled balance, compared to 65.3% at Moody's last review. Moody's base expected loss plus realized losses is now 21.2% of the original pooled balance, compared to 20.3% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in May 2026. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 96.5% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the July 2026 distribution date, the transaction's aggregate certificate balance has decreased by 71% to $243 million from $1.1 billion at securitization. The certificates are collateralized by five mortgage loans and there are cumulative outstanding advances (P&I, T&I, other expenses and unpaid advance interest) of $7.9 million. No loans liquidated from the pool resulting in a material loss. Four loans consisting 96.5% of the pool, are currently in special servicing, of which two loans (45.4% of the pool) have been deemed non-recoverable by the master servicer. The largest specially serviced loan is The Club Row Building Loan ($110 million – 45.3% of the pool), which represents a pari-passu portion of a $155 million senior mortgage loan. There is also a $25 million subordinate B-note that is secured by the property. The loan is secured by a Class B, 22-story, 365,819 square foot (SF) office tower located in Midtown Manhattan. The property was constructed in 1920 and was renovated between 2011 and 2014, when approximately $6.3 million was spent upgrading the lobby, entrances, elevators, public corridors, bathrooms, mechanical systems, and windows. There is 338,957 SF of office space, 14,295 SF of ground floor retail, 12,389 SF of storage space, and a bicycle room. As of December 2025, the property was 66% leased compared to 61% in 2024, 70% in 2023, and 96% at securitization. Occupancy was impacted after WeWork declared Chapter 11 bankruptcy in November 2023 with plans to renegotiate its lease and debt obligations. This property was included on the list of "rejected leases" as part of the filing. Due to the lower occupancy, the property's NOI has declined since 2020. The December 2025 NOI DSCR declined to 0.61X from 1.92X at year-end 2020. The property was reappraised at $82.6 million as of February 2025, an approximately 67% decline from the $250.0 million valuation at securitization. The loan transferred to special servicing in January 2025 due to maturity default and foreclosure was filed in July 2025. After multiple failed modification and workout negotiations, the lender is now dual-tracking the foreclosure process while awaiting a court ruling on its summary judgment motion. The second largest specially serviced loan is The Branson at Fifth loan ($73.0 million – 30.1% of the pool), which is secured by a 10-story, mixed-use property containing 31 multifamily units and 14,881 SF of grade-level retail space. The subject property is located on 55th Street between Fifth and Sixth Avenue in New York, New York. After acquiring the property in 2013, the sponsor spent $8.3 million in 2014 to renovate all but seven rent-stabilized units. The city of New York subsequently fined the sponsor for operating several apartments as short-term online rentals. The loan transferred to special servicing in July 2019 after the borrower failed to comply with the special servicer's demand letter seeking a $2 million letter of credit for a deposit to the rollover reserve account due to the retail tenant vacating (50% of the base rent) ahead of their lease expiration. Without the retail tenant, loan DSCR dropped significantly below 1.00X, and the borrower ceased making debt-service payments in March 2020. As of December 2025, the property was only 33% occupied with the retail space remaining largely vacant. A loan modification was executed in January 2021, which lowered the loan interest rate and brought the loan current on debt service payments. Post modification, the loan returned to the master servicer. However, in September 2021, the loan returned to the special servicing for delinquent payments. The property was reappraised at $33.2 million as of August 2025, an approximately 72% decline from the $119.0 million valuation at securitization. The loan transferred to special servicing due to payment delinquency, and the lender has since obtained a foreclosure judgment in federal court and is in the process of scheduling a foreclosure sale. Lender is also engaging a broker to market the note while continuing to evaluate the path that maximizes recovery. The loan is last paid through its March 2022 payment date and has been deemed non-recoverable by the master servicer with an 81% appraisal reduction recorded as of the July 2026 remittance date. The third largest specially serviced loan is the 717 14th Street Loan ($37.1 million -- 15.1% of the pool), which is secured by an approximately 120,000 SF, class B office building located in Washington, D.C. The building was constructed in 1928 and renovated in 2012. The improvements primarily consist of approximately 120,215 SF of rentable office space and 25 below-grade parking spaces. The loan transferred to special servicing in February 2023 for imminent default due to cash flow disruption as a result of a decline in occupancy. The property's performance declined after the Office of the Auditor (9.0% of the net rentable area (NRA)) vacated the space in November 2022, and the Office of the Inspector General (9.3% of the NRA) vacated its space at lease expiration in March 2023. As of December 2025, the property was 54% leased, compared to 80% in 2021 and 100% in 2020 and at securitization. The most recent appraisal from December 2024 valued the property 83% lower than at securitization and significantly below the total outstanding loan balance. A receiver has been appointed and is operating the property while foreclosure is pursued, though restructuring efforts have stalled as the fee owner has opted to sell its position rather than renegotiate the ground lease. The loan has been deemed non-recoverable by the master servicer as of the July 2026 remittance statement. The loan was last paid through June 2023 and has amortized by 10.6% since securitization. The fourth largest specially serviced loan is the Blue Lake Center Loan ($14.6 million -- 6.0% of the pool), which is secured by a 166,779 SF class B office building located in Birmingham, Alabama. The loan transferred to special servicing in December 2024 for maturity default as the borrower was unable to pay off the loan at maturity. Property occupancy was 59% as of year-end 2025 compared to 62% in year-end 2024, 76% in December 2021, 84% in December 2018, and 86% at securitization. The property was reappraised at $16.5 million as of February 2026, an approximately 28% decline from the $23.0 million valuation at securitization. The lender has conditionally approved a forbearance with the borrower, and the foreclosure sale has been pushed to June 2026 while the transaction is finalized. The loan remains current on debt service payments as a potential workout is negotiated with a dual track of foreclosure. The loan remains in cash management and has amortized by 15.3% since securitization. Moody's have estimated an aggregate loss of $168 million (a 72% expected loss on average) from these specially serviced loans. The sole non-specially serviced loan is the Plymouth Road Tech Center Loan ($8.6 million – 3.5% of the pool), which is secured by the borrower's fee simple interest in a 1.1 million SF industrial and distribution center located in Livonia, Michigan. The collateral was constructed in 1955 and extensively renovated in 2000. The largest tenant at securitization, Roush Holdings, increased their space at the property from 418,451 SF (38.7% of NRA) to 673,850 SF (62.3% of NRA) through January 2027. Occupancy was 98% as of year-end 2025, the same as in December 2017 and compared to 98% at securitization. The loan matures in February 2030. As of the July 2026 remittance, this loan was current on P&I payments and has amortized by 69% since securitization. Moody's LTV and stressed DSCR are 25% and 1.32X, respectively. KINETIC SECURED 2026-1: Fitch Assigns BB-sf Rating on Cl. C Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Kinetic Secured Fiber Network Revenue Term Notes, series 2026-2 issued by Kinetic ABS Issuer LLC. Fitch has also affirmed the ratings of Kinetic Secured Fiber Network Revenue Term Notes, series 2026-1. Entity/Debt Rating Prior ----------- ------ ----- Kinetic Secured Fiber Network Revenue Term Notes, Series 2026-1 A-1-L LT A-sf Affirmed A-sf A-1-V LT A-sf Affirmed A-sf A-2 49459AAA8 LT A-sf Affirmed A-sf B 49459AAC4 LT BBB-sf Affirmed BBB-sf C 49459AAE0 LT BB-sf Affirmed BB-sf Kinetic Secured Fiber Network Revenue Term Notes, Series 2026-2 A-2 494600AA7 LT A-sf New Rating A-(EXP)sf B 494600AB5 LT BBB-sf New Rating BBB-(EXP)sf C 494600AC3 LT BB-sf New Rating BB-(EXP)sf Transaction Summary The transaction, issued by Kinetic ABS Issuer LLC (Kinetic), is a securitization of subscription and contract payments derived from an existing fiber-to-the-premises network infrastructure and second transaction under the master trust. Collateral assets include conduits, cables, network-level equipment, access rights, customer agreements, transaction accounts and a pledge of equity from the asset entities. The notes are serviced by net revenue from the operation of the collateral assets. The collateral network consists of the sponsor's enterprise fiber network, which includes approximately 1,187k passings and 352k subscribers across multiple counties in 10 states (Georgia, Kentucky, Ohio, Texas, Arkansas, Florida, Idaho, Oklahoma, Alabama and North Carolina). Fitch estimates that the securitized collateral represents approximately 62% of Kinetic's revenues from retail customers generated through fiber networks based on management-provided 2026 data. The transaction features an anticipated repayment date (ARD) structure whereby all tranches pay interest only until their seven-year soft-bullet maturities. After the ARD, excess cash flow will amortize principal through the 32-year legal final maturity, with losses borne reverse-sequentially. The transaction incorporates an interest-only payment period framework and a liquidity reserve account. The ratings reflect Fitch's analysis of cash flow from the collateral assets, rather than an assessment of the corporate default risk of the ultimate parent, Uniti Group Inc. KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $215.0 million, implying a 13.0% haircut to issuer estimated NCF. The overall debt multiple relative to Fitch's NCF is on the class A, B and C are 6.9x, 8.0x and 9.8x, respectively, vs versus the debt/issuer NCF leverage of 6.0x, 7.0x and 8.5x, respectively. Credit Risk Factors: The major factors impacting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral networks, high subscriber retention rates, low geographical concentration, high historical barriers to entry, size and capability of the sponsor. 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 32 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 as a result of higher expenses, contract churn, or lower market penetration and the development of an alternative technology for the transmission of wireless signal could lead to downgrades; - Fitch's base case NCF was 13.0% 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 'BBBsf' from 'A-sf', class B to 'BBsf' from 'BBB-sf', and class C to 'Bsf' from 'BB-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'Asf' from 'A-sf', class B to 'Asf' from 'BBB-sf', and class C to 'BBB-sf' from 'BB-sf'; - Upgrades are unlikely given the provision for the issuer to issue additional notes, which would rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped at 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. MADISON PARK LXVII: Moody's Assigns B3 Rating to $250,000 F-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of refinancing notes issued and two classes of loans incurred by Madison Park Funding LXVII, Ltd. (the Issuer): US$57,000,000 Class A-1-R Floating Rate Senior Notes due 2039, Definitive Rating Assigned Aaa (sf) US$100,000,000 Class A-1-L1 Loans maturing 2039, Definitive Rating Assigned Aaa (sf) US$163,000,000 Class A-1-L2 Loans maturing 2039, Definitive Rating Assigned Aaa (sf) US$250,000 Class F-R Deferrable Floating Rate Junior Notes due 2039, Definitive Rating Assigned B3 (sf) The notes and loans listed are referred to herein, collectively, as the Refinancing Debt. The Class A-1-L1 Loans and Class A-1-L2 Loans may not be converted into notes at any time. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of not senior secured loans. UBS Asset Management (Americas) LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Debt, six other classes of secured notes, and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par (including any principal proceeds): $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3005 Weighted Average Spread (WAS): 3.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Debt is subject to uncertainty. The performance of the Refinancing Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Debt. MIDOCEAN CREDIT XV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean Credit CLO XV reset transaction. Entity/Debt Rating Prior ----------- ------ ----- MIDOCEAN CREDIT CLO XV X-R LT NRsf New Rating A-1-R LT NRsf New Rating A-2 59801FAC7 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 59801FAE3 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 59801FAG8 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 59801FAJ2 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 59801GAA9 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary MidOcean Credit CLO XV (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by MidOcean Credit RR Manager LLC and originally closed in June 2024. The transaction will be reset in full on July 21, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.55 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 94.88% 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 40% of the portfolio balance in aggregate while the top five obligors can represent up to 5.5% 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 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'Asf' 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 MidOcean Credit CLO XV. 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. MORGAN STANLEY 2018-L1: Fitch Affirms 'CCCsf' Rating on H-RR Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 14 classes of Morgan Stanley Capital I Trust commercial mortgage pass-through certificates, series 2018-L1. The Ratings Outlooks on classes C, and D have been revised to Stable from Negative. The Outlooks remain Negative for classes E, F-RR, G-RR and X-D. Entity/Debt Rating Prior ----------- ------ ----- MSC 2018-L1 A-3 61691QAD0 LT AAAsf Affirmed AAAsf A-4 61691QAE8 LT AAAsf Affirmed AAAsf A-S 61691QAH1 LT AAAsf Affirmed AAAsf A-SB 61691QAC2 LT AAAsf Affirmed AAAsf B 61691QAJ7 LT AA-sf Affirmed AA-sf C 61691QAK4 LT A-sf Affirmed A-sf D 61691QAN8 LT BBBsf Affirmed BBBsf E 61691QAQ1 LT BBB-sf Affirmed BBB-sf F-RR 61691QAS7 LT B+sf Affirmed B+sf G-RR 61691QAU2 LT B-sf Affirmed B-sf H-RR 61691QAW8 LT CCCsf Affirmed CCCsf X-A 61691QAF5 LT AAAsf Affirmed AAAsf X-B 61691QAG3 LT AA-sf Affirmed AA-sf X-D 61691QAL2 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 4.8%, in line with Fitch's prior rating action. Fitch Loans of Concerns (FLOCs) comprise seven loans (15%), including three specially serviced loans (7.1%). The affirmations and Outlook revisions to Stable reflect stable pool performance and loss expectations from the prior review, as well as increased credit enhancement, driven by a 9.3% reduction in the pool balance. The Shelbourne Global Portfolio I and Griffin Portfolio loans have repaid in full. The Negative Outlooks reflect the potential for future downgrades should performance of the FLOCs continue to deteriorate, primarily Regions Tower (3.8%), Highland MF Portfolio (2.6%), Alex Park South (3.3%) and Embassy Suites Atlanta Airport (3.8%). Largest Contributors to Loss: The largest contributor to overall pool loss expectations is the Regions Tower loan, which is secured by a 687,237-sf office building in the CBD of Indianapolis, IN. The loan transferred to special servicing in August 2023 due to imminent monetary default ahead of the loan's October 2023 scheduled maturity. According to the special servicer, a receiver is actively marketing and leasing the property and is evaluating two lease prospects. The receiver then plans to liquidate the asset. Property occupancy was 70.3% as of the September 2025 rent roll, compared with 71.9% at June 2024 and 76.9% at June 2023. Near-term lease rollover in 2026 includes 4.3% of NRA across five leases and 7.7% in 2027 across six leases. Per CoStar, the property lies within the CBD office submarket of Indianapolis, IN. As of 1Q26 submarket asking rents averaged $24.69 psf and the submarket vacancy rate was 12.4%. Fitch's 'Bsf' rating case loss of 43% (prior to a concentration adjustment) is based on a stress to the most recent (January 2026) appraisal value, reflecting a recovery of approximately $60 psf. The second largest contributor to overall loss expectations is the Alex Park South loan (3.3%), which consists of 9 mixed use buildings totaling 353,685 sf, in Rochester, NY. The loan remains a FLOC due to continued low occupancy and declining cash flow. As of YE 2025 occupancy was 72% which is in line with YE 2024. The servicer reported YE 2025 NOI DSCR was 0.76x compared with 0.84x at YE 2024. The largest tenant, GRHSF (50% of NRA), renewed its lease for 10 years, extending the term through February 2034. Fitch's 'Bsf' rating case loss of 16.6% (prior to a concentration adjustment) is based on a 10% cap rate to the YE 2024 NOI with an elevated probability of default due to the heightened term default risk. The third largest contributor to overall pool loss expectations is the Embassy Suites Atlanta Airport loan (3.8%), which is secured by a 236-unit full-service hotel in Atlanta, GA. The loan has been designated a FLOC due to deteriorated cash flow and low DSCR. The servicer reported YE 2025 NOI DSCR was 1.16x, which compares with 0.93x as of YE 2024. The loan was assumed in early 2024, and new management plans to improve performance through the completion of a property improvement plan (PIP) and operational enhancements. Fitch's 'Bsf' rating case loss of 10.5% (prior to a concentration adjustment) is based on a 11.25% cap rate and a 15% stress to the YE 2025 NOI. Increasing Credit Enhancement (CE): As of the July 2026 distribution date, the pool's aggregate balance has been paid down by 13.4% to $780.1 million from $900.6 million at issuance. Five loans (5.8%) are fully defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not expected due to high CE, senior the position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories may occur should performance of the FLOCs deteriorate further or if more loans than expected default during the term and/or at or prior to maturity. Regions Tower, Highland MF Portfolio, Alex Park South and Embassy Suites Atlanta Airport. Downgrades to classes rated in the 'BBBsf category', could occur with higher-than-expected losses from underperformance of the aforementioned FLOCs. Downgrades to the classes rated in the 'Bsf' category could occur with continued underperformance of the FLOCs and/or lack of resolution and increased exposures on the specially serviced loans; primarily Regions Tower and Highland MF Portfolio. primarily Regions Tower and Highland MF Portfolio. Downgrades to the distressed classes could occur as losses become more certain and/or realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes in the 'AAsf' and 'Asf' rated categories are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations from performance stabilization of the FLOCs. Upgrades to classes in the 'BBBsf' rated category would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur with sustained improved performance of the FLOCs. Upgrades to classes in the 'Bsf' rated category are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but would be possible with better-than-expected recoveries on specially serviced loans or significantly improved performance from 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. MORGAN STANLEY 2018-MP: Moody's Cuts Rating on Cl. E Certs to B3 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on five classes of Morgan Stanley Capital I Trust 2018-MP, Commercial Mortgage Pass-Through Certificates, Series 2018-MP as follows: Cl. A, Downgraded to Aa2 (sf); previously on Jul 17, 2025 Affirmed Aaa (sf) Cl. B, Downgraded to A3 (sf); previously on Jul 17, 2025 Downgraded to A1 (sf) Cl. C, Downgraded to Baa2 (sf); previously on Jul 17, 2025 Downgraded to A3 (sf) Cl. D, Downgraded to Ba2 (sf); previously on Jul 17, 2025 Downgraded to Baa3 (sf) Cl. E, Downgraded to B3 (sf); previously on Jul 17, 2025 Downgraded to B1 (sf) RATINGS RATIONALE The ratings on five P&I classes were downgraded due to an increase in Moody's LTV ratio as a result of the decline in the financial performance of the portfolio from Moody's last review driven by a combination of lower revenue and higher operating expenses. The portfolio's full year 2025 net cash flow (NCF) was approximately 22% lower than that of 2024 and represented the lowest NCF since securitization. The decline in the portfolio's performance was primarily driven by three of the eight properties, The Millenium Tower Boston (26% of ALA), Lincoln West (11% of ALA) and Lincoln Triangle (8% of ALA). The portfolio is comprised of condominium interests in eight Class A properties all centrally located within top tier gateway markets and benefits from geographic diversification across New York City, Boston, Washington DC, San Franciso and Miami. Despite the decline in cash flow, the trust mortgage loan has maintained a 2025 NCF DSCR of 1.54X supported by its low fixed interest rate of 4.285%. While Moody's anticipates that the loan will remain current on its monthly debt service obligations, Moody's rating action reflects sustained lower occupancy and cash flow deterioration of the portfolio combined with the refinance risk at its July 2028 maturity date. Furthermore, the portfolio is encumbered with mezzanine debt of approximately $280 million held outside the trust. In this credit rating action Moody's considered qualitative and quantitative factors in relation to the senior-sequential structure and the portfolio nature of the collateral, and Moody's analyzed multiple scenarios to reflect various levels of stress in property values could impact loan proceeds at each rating level. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than what Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or a significant improvement in the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or increased interest shortfalls. DEAL PERFORMANCE As of the July 2026 distribution date, the transaction's aggregate certificate balance remains unchanged at approximately $464 million. The 10-year, fixed rate, interest only, whole loan of $710 million has a split loan structure represented by the trust loan component of $464 million and companion loan components across multiple conduit transactions with an aggregate balance of approximately $246 million. The trust loan amount includes the A-1, B-1, and C notes. The A-1 and B-1 notes are pari passu with the companion loan components and the C note is junior to these loan components. In addition, the property is also encumbered with approximately $280 million of subordinated mezzanine debt. The portfolio is comprised of condominium interests in eight Class A properties all centrally located within top tier gateway markets. In aggregate, the collateral improvements contain 1.55 million SF of retail, office and/or parking area. The three New York City properties represent retail components of luxury apartment condominiums in Manhattan's Upper West Side. The Boston property represents the retail and office component of a luxury residential tower in Boston's Downtown Crossing neighborhood. The remaining four properties represent commercial condominium components of two Ritz-Carlton hotels and two Four Seasons hotels. The portfolio's top line revenue declined while the expenses ticked up since Moody's last review. This resulted in the lowest NCF since securitization at $46.9 million in 2025, compared to $60.2 million in 2024, due to performance deterioration from The Millenium Tower Boston (26% of ALA), Lincoln West (11% of ALA) and Lincoln Triangle (8% of ALA). The Millennium Tower property consists of a condominium interest in 76,324 SF of retail space in the Millennium Tower Boston and 141,659 SF of retail and 133,402 SF of office space located in the adjacent Burnham Building. Both retail components remain well leased but the office portion is now fully vacant as all three office tenants vacated causing the cash flow to significantly decline since both securitization and last review. Lincoln West and Lincoln Triangle are retail properties located in the upper west side of Manhattan. The Lincoln Triangle's performance is expected to improve as newly signed leases commence rent payments and the Lincoln West property has near-term lease rolls but should benefit from strengthening retail environment in New York City. The remaining 5 assets' total NCF remains higher than Moody's expectations from securitization. The weighted average portfolio occupancy was 88% as of December 2025 unchanged since the last review and lower than 94% at securitization. Given the lower portfolio occupancy and declining cash flow, Moody's lowered Moody's NCF to $51.5 million from $54.8 million at last review. Moody's LTV ratio for the first mortgage balance is 112% based on Moody's Value and Adjusted Moody's Value. Moody's LTV ratio including the mezzanine debt as well as the first mortgage balance is 156% based on Moody's Value and Adjusted Moody's Value. Moody's stressed DSCR for the first mortgage loan is 0.78X. The loan remains current on its debt service payments and the trust has not experienced any losses since securitization. There is interest shortfalls totaling $25,465 affecting Cl. E and Cl. RRI. MORGAN STANLEY 2026-NQM8: S&P Assigns B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-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 (average prime offer rate), QM/higher-priced mortgage loan (rebuttable presumption), non-QM/ability to repay-compliant (ATR-compliant), and ATR-exempt. Certain key changes have been made to the transaction structure since the preliminary ratings were assigned on July 14, 2026: Classes A-1A and A-1B were not issued, classes A-1, A-1FCF, and A-1LCF were resized, and class B-1 was priced at a net weighted average coupon rate. The credit enhancement on each class remains unchanged. After analyzing the final coupons and updated structure, S&P assigned final ratings to the classes that are unchanged from the preliminary ratings. The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC and Morgan Stanley Bank N.A., and originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-NQM8 Class A-1FCF, $231,120,000: AAA (sf) Class A-1LCF, $77,040,000: AAA (sf) Class A-1, $308,160,000: 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: not rated Class A-IO-S, notional(ii): not rated Class XS, notional(ii): not rated Class R-PT, $20,618,159: not rated Class R, not applicable: not rated (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $412,301,159. NEW RESIDENTIAL 2026-NQM8: Fitch Rates Class B2 Notes 'B-sf' ------------------------------------------------------------ Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust, series 2026-NQM8 (NRMLT 2026-NQM8). Entity/Debt Rating Prior ----------- ------ ----- NRMLT 2026-NQM8 A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1FCF LT AAAsf New Rating AAA(EXP)sf A1LCF LT AAAsf New Rating AAA(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 883 nonprime loans that were primarily originated by NewRez LLC (NewRez), with a total balance of approximately $480.1 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. NRMLT 2026-NQM8 has a final probability of default (PD) of 41.0% in the 'AAA' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 40.7%. The expected loss in the 'AAAsf' rating stress is 16.6%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM8 are based on a modified-sequential structure, whereby the principal is distributed pro rata among the senior certificates while subordinate bonds are shut out from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the collective class A-1 notes (A-1FCF, A-1LCF, A-1A and A-1B notes), A-2 notes and A-3 notes, until they are reduced to zero. Among the collective class A-1 notes, interest and principal payments will be made either pro rata or sequentially, depending on which combination of A-1 notes is outstanding. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5-bp reduction for loans fully reviewed by a third-party review (TPR) firm, which 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 NRMLT 2026-NQM8 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2026-NQM8; 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 38.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by several firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NGC 2024-I: S&P Affirms B- (sf) Rating on Class F Notes ------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-R, A-1R, A-JR, B-R, C-R, D-1R, D-JR, and E-R debt from NGC 2024-I Ltd./NGC 2024-I LLC, a CLO managed by NGC CLO Manager LLC that was originally issued in June 2024. At the same time, S&P withdrew its ratings on the previous class X, A-1, A-FJ, A-NJ, B, C, D-1, D-F, D-J, and E debt following payment in full on the July 30, 2026, refinancing date. S&P also affirmed its rating on the class F debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 20, 2027. -- No additional assets were purchased on the July 30, 2026 refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2026. -- No additional subordinated notes were issued on the refinancing date. -- The original fixed class A-FJ debt and floating class A-NJ debt were combined into the replacement floating class A-JR debt. -- The original floating class D-1 debt and fixed class D-F debt were combined into the replacement floating class D-1R debt. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class F debt (which was not refinanced). We were aware that the class F debt was not passing its cash flows at the current rating level even before the proposed refinancing. This was due largely due to the par losses, as reflected in the decline in the overcollateralization (O/C) levels. In addition, there has been an overall deterioration, as reflected in the drop in the portfolio's weighted average recovery and spread. However, we affirmed our 'B- (sf)' rating on the class F debt after considering the margin of failure, the relatively stable O/C ratio since our last rating action on the transaction and the decreasing margin of failure. In addition, we believe the payment of principal or interest on the class F debt, when due, does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our criteria." Replacement And Previous Debt Issuances Replacement debt -- Class X-R, $2.53 million: Three-month CME term SOFR + 0.95% -- Class A-1R, $240.00 million: Three-month CME term SOFR + 1.27% -- Class A-JR, $16.00 million: Three-month CME term SOFR + 1.45% -- Class B-R, $48.00 million: Three-month CME term SOFR + 1.60% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 1.90% -- Class D-1R (deferrable), $22.00 million: Three-month CME term SOFR + 3.15% -- Class D-JR (deferrable), $6.00 million: Three-month CME term SOFR + 4.50% --Class E-R (deferrable), $10.00 million: Three-month CME term SOFR + 7.00% Previous debt -- Class X, $2.74 million: Three-month CME term SOFR + 1.150% -- Class A-1, $240.00 million: Three-month CME term SOFR + 1.60% -- Class A-FJ, $4.00 million: 5.858% -- Class A-NJ, $12.00 million: Three-month CME Term SOFR + 1.80% -- Class B, $48.00 million: Three-month CME term SOFR + 2.10% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 2.65% -- Class D-1 (deferrable), $12.00 million: Three-month CME term SOFR + 4.20% -- Class D-F (deferrable), $10.00 million: 8.235% -- Class D-J (deferrable), $6.00 million: 9.034% -- Class E (deferrable), $10.00 million: Three-month CME term SOFR + 8.73% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned NGC 2024-I Ltd./NGC 2024-I LLC Class X-R, $2.53 million: AAA (sf) Class A-1R, $240.00 million: AAA (sf) Class A-JR, $16.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R, $24.00 million: A (sf) Class D-1R, $22.00 million: BBB (sf) Class D-JR, $6.00 million: BBB- (sf) Class E-R, $10.00 million: BB- (sf) Ratings Withdrawn NGC 2024-I Ltd./NGC 2024-I LLC Class X to NR from 'AAA (sf)' Class A-1 to NR from 'AAA (sf)' Class A-FJ to NR from 'AAA (sf)' Class A-NJ to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D-1 to NR from 'BBB (sf)' Class D-F to NR from 'BBB (sf)' Class D-J to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Rating Affirmed NGC 2024-I Ltd./NGC 2024-I LLC Class F: B- (sf) Other Debt NGC 2024-I Ltd./NGC 2024-I LLC Subordinated notes, $29.70 million: NR NR--Not rated. NLT 2026-NQM2: S&P Assigns B (sf) Rating on Class B-2 Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to NLT 2026-NQM2's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, two- to four-family units, condominiums, a co-operative, manufactured housing, and a condotel. The pool has 850 residential mortgage loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-repay (ATR) compliant, or ATR-exempt. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The credit enhancement provided in the transaction; -- The representation and warranty framework; -- The pool's geographic concentration; -- The transaction's associated structural mechanics; -- The transaction's mortgage loan originators/aggregator; and -- S&P said, "Our U.S. economic outlook, which that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned NLT 2026-NQM2 Trust(i) Class A-1, $300,060,000: AAA (sf) Class A-2, $19,140,000: AA (sf) Class A-3, $46,210,000: A (sf) Class M-1, $15,870,000: BBB (sf) Class B-1, $11,000,000: BB (sf) Class B-2, $9,160,000: B (sf) Class B-3, $5,703,578: NR Class XS, notional(ii): NR Class PT, $407,143,578: NR Class A-IO-S, notional(ii): NR Class R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal and do not address payment of 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 $407,143,578. NR--Not rated. NYMT LOAN 2026-INV4: Moody's Assigns (P)B3 Rating to Cl. B-2 Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 10 classes of residential mortgage-backed securities (RMBS) to be issued by NYMT Loan Trust 2026-INV4, and sponsored by Adamas Trust, Inc. The securities are backed by a pool of prime and non-prime quality, investor residential mortgages aggregated by Adamas Trust, Inc., originated by multiple entities and serviced by Fay Servicing, LLC and Newrez, LLC d/b/a Shellpoint Mortgage Servicing. The complete rating actions are as follows: Issuer: NYMT Loan Trust 2026-INV4 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1A, Assigned (P)Aaa (sf) Cl. A-1B, Assigned (P)Aaa (sf) Cl. A-1FCF, Assigned (P)Aaa (sf) Cl. A-1LCF, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2 (sf) Cl. A-3, Assigned (P)A2 (sf) Cl. M-1, Assigned (P)Baa2 (sf) Cl. B-1, Assigned (P)Ba3 (sf) Cl. B-2, Assigned (P)B3 (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 4.04%, in a baseline scenario-median is 3.24% and reaches 24.86% 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. OCP CLO 2020-18: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the OCP CLO 2020-18, Ltd. reset transaction. Entity/Debt Rating ----------- ------ OCP CLO 2020-18, Ltd. X-R3 LT AAAsf New Rating A-1-R3 LT AAAsf New Rating A-2-R3 LT AAAsf New Rating B-R3 LT AAsf New Rating C-R3 LT Asf New Rating D-1-R3 LT BBB-sf New Rating D-2-R3 LT BBB-sf New Rating E-R3 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary OCP CLO 2020-18, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Onex Credit Partners, LLC. This is the third refinancing of OCP CLO 2020-18, Ltd. Fitch did not rate any of the prior refinancings or the original transaction in May 2020. 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 22.52 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.14% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.75% 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. Fitch believes these conditions could 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-R3, between 'BBB+sf' and 'AA+sf' for class A-1R3, between 'BBB+sf' and 'AA+sf' for class A-2R3, between 'BB+sf' and 'A+sf' for class B-R3, between 'Bsf' and 'A-sf' for class C-R3, between less than 'B-sf' and 'BBB-sf' for class D-1R3, and between less than 'B-sf' and 'BB+sf' for class D-2R3 and between less than 'B-sf' and 'B+sf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R3, class A-1R3 and class A-2R3 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AA+sf' for class C-R3, 'A+sf' for class D-1R3, and 'A+sf' for class D-2R3 and 'BBB+sf' for class E-R3. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for OCP CLO 2020-18, 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. ONITY LOAN 2026-HB3: DBRS Finalizes Bsf Rating on Class M5 Notes ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Asset-Backed Notes, Series 2026-HB3 (the Notes) issued by Onity Loan Investment Trust 2026-HB3 as follows: -- $375.9 million Class A at AAA (sf) -- $35.6 million Class M1 at AA (low) (sf) -- $26.3 million Class M2 at A (low) (sf) -- $25.0 million Class M3 at BBB (low) (sf) -- $25.3 million Class M4 at BB (low) (sf) -- $16.4 million Class M5 at B (sf) Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. The AAA (sf) credit rating reflects 25.7% of credit enhancement (CE). The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) credit ratings reflect 18.6%, 13.4%, 8.5%, 3.5%, and 0.2% of CE, respectively. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues, if applicable. Reverse mortgages are typically nonrecourse; borrowers do not have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of April 30, 2026 (the Cut-Off Date), the collateral had approximately $505.60 million in unpaid principal balance from 1,554 performing and nonperforming home equity conversion mortgage reverse mortgage loans and real estate owned assets secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, planned unit developments, and townhomes. The mortgage assets were originated between 1998 and 2022. Of the total assets, 107 have a fixed interest rate (6.51% of the balance), with a 4.909% weighted-average (WA) interest rate. The remaining 1,447 assets have floating-rate interest (93.49% of the balance) with a 5.607% WA interest rate, bringing the entire collateral pool to a 5.562% WA interest rate. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A Notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of Notes will receive regular distributions of interest and/or principal. Classes M1, M2, M3, M4, M5, and M6 (together, the Class M Notes) have principal lockout insofar as they are not entitled to principal payments prior to a Redemption Date, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the Notes will start to receive payments. Note that the Morningstar DBRS cash flow, as it pertains to each note, models the first payment being received after these dates for each of the respective notes; therefore, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (June 2029) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the Notes, another auction will follow every three months, for up to a year after the Mandatory Call Date. If these have failed to pay off the Notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. If the Class M4, Class M5, and Class M6 Notes have not been redeemed or paid in full by the Mandatory Call Date, these notes will accrue Additional Accrued Amounts. Morningstar DBRS does not rate these Additional Accrued Amounts. Morningstar DBRS' credit rating on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Amount, Cap Carryover, and Note Amount. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings on the Notes do not address Additional Accrued Amounts. 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. PALMER SQUARE 2024-2: Fitch Assigns 'BB-sf' Rating on Cl. E-R Debt ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Palmer Square CLO 2024-2, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Palmer Square CLO 2024-2, Ltd. X-R LT AAAsf New Rating A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Palmer Square CLO 2024-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Palmer Square Capital Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $597 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 22.17, 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 96.39% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.77% 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 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. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'Asf' and 'AA+sf' 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 'BB-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 X-R, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, '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 Palmer Square CLO 2024-2, 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. PARK BLUE 2022-II: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Park Blue CLO 2022-II, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Park Blue CLO 2022-II, Ltd. X-R2 LT AAAsf New Rating A-1R 70018CAQ9 LT PIFsf Paid In Full AAAsf A-1R2 LT AAAsf New Rating A-2R 70018CAY2 LT PIFsf Paid In Full AAAsf A-2R2 LT AAAsf New Rating B-R 70018CAS5 LT PIFsf Paid In Full AA+sf B-R2 LT AAsf New Rating C-R 70018CAU0 LT PIFsf Paid In Full A+sf C-1R2 LT A+sf New Rating C-2R2 LT Asf New Rating D-R 70018CAW6 LT PIFsf Paid In Full BBB+sf D-1R2 LT BBB+sf New Rating D-2R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Transaction Summary Park Blue CLO 2022-II, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Centerbridge Credit Funding Advisors, LLC, which originally closed in January 2023 and was subsequently refinanced in July 2024. It is expected to be fully refinanced for the second time on July 20, 2026. Net proceeds from the issuance of the secured and additional subordinated notes will provide financing for a portfolio of approximately $399 million of primarily first-lien senior secured leveraged loans, excluding defaulted obligations, if any. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with recent CLO transactions. The weighted average rating factor (WARF) of the indicative portfolio is 23.11, and will be managed to a WARF covenant under 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% of first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.58% 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 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 CLO transactions. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to those of 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 transaction structural features. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices is reduced by up to 12 months for the WAL covenants 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 these metrics. Under these sensitivity scenarios, the results are as severe as 'AAAsf' for class X-R2 notes, between 'A-sf' and 'AA+sf' for class A-1R2 notes, between 'BBB+sf' and 'AA+sf' for class A-2R2 notes, between 'BBB-sf' and 'A+sf' for class B-R2 notes, between 'B+sf' and 'A-sf' for class C-1R2 notes, between 'B-sf' and 'BBB+sf' for class C-2R2 notes, between less than 'B-sf' and 'BBB+sf' for class D-1R2 notes, between less than 'B-sf' and 'BBB-sf' for class D-2R2 notes, and between less than 'B-sf' and 'B+sf' for class E-R2 notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2, A-1R2 and 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 these metrics. Under these sensitivity scenarios the minimum rating results are 'AAAsf' for class B-R2 notes, 'AAsf' for class C-1R2 notes, 'A+sf' for class C-2R2 notes, 'A+sf' for class D-1R2 notes, 'A+sf' for class D-2R2 notes, and 'BBB+sf' for class E-R2 notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Park Blue CLO 2022-II, Ltd. reset transaction. 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. PMT LOAN 2026-INV7: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 72 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2026-INV7, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages aggregated, originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-INV7 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aa1 (sf) Cl. A-29, Assigned (P)Aa1 (sf) Cl. A-30, Assigned (P)Aa1 (sf) Cl. A-31, Assigned (P)Aa1 (sf) Cl. A-32, Assigned (P)Aa1 (sf) Cl. A-33, Assigned (P)Aa1 (sf) Cl. A-35, Assigned (P)Aaa (sf) Cl. A-35X*, Assigned (P)Aaa (sf) Cl. A-36, Assigned (P)Aaa (sf) Cl. A-36X*, Assigned (P)Aaa (sf) Cl. A-37, Assigned (P)Aaa (sf) Cl. A-37X*, Assigned (P)Aaa (sf) Cl. A-39, Assigned (P)Aaa (sf) Cl. A-39X*, Assigned (P)Aaa (sf) Cl. A-40, Assigned (P)Aaa (sf) Cl. A-40X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aa1 (sf) Cl. A-X2*, Assigned (P)Aaa (sf) Cl. A-X3*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X7*, Assigned (P)Aaa (sf) Cl. A-X8*, Assigned (P)Aaa (sf) Cl. A-X9*, Assigned (P)Aaa (sf) Cl. A-X11*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X14*, Assigned (P)Aaa (sf) Cl. A-X15*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X19*, Assigned (P)Aaa (sf) Cl. A-X21*, Assigned (P)Aaa (sf) Cl. A-X22*, Assigned (P)Aaa (sf) Cl. A-X24*, Assigned (P)Aaa (sf) Cl. A-X25*, Assigned (P)Aaa (sf) Cl. A-X26*, Assigned (P)Aaa (sf) Cl. A-X27*, Assigned (P)Aaa (sf) Cl. A-X30*, Assigned (P)Aa1 (sf) Cl. A-X31*, Assigned (P)Aa1 (sf) Cl. A-X32*, Assigned (P)Aa1 (sf) Cl. A-X33*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.75%, in a baseline scenario-median is 0.45% and reaches 7.76% 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. POINT BROADBAND: Fitch Assigns 'BB-(EXP)sf' Rating on Class C Notes ------------------------------------------------------------------- Fitch Ratings expects to assign ratings and Outlooks to Point Broadband Funding, LLC, Secured Network Revenue Notes, Series 2026-1, to be issued by Point Broadband Funding, LLC. Entity/Debt Rating ----------- ------ Point Broadband Funding, LLC, Secured Network Revenue Notes, Series 2026-1 A-2 LT A-(EXP)sf Expected Rating B LT BBB-(EXP)sf Expected Rating C LT BB-(EXP)sf Expected Rating Transaction Summary The transaction is a securitization of the contract payments derived from the existing fiber-to-the-premise (FTTP) network and wireless network assets in a master trust, including the existing collateral for Series 2025-1. The debt is secured by cash flow from operations and benefits from a perfected security interest in the securitized assets, including conduits, cables, network-level equipment, access rights, customer contracts, transaction accounts and an equity pledge from the asset entities. The collateral network consists of approximately 435,200 fiber passings and approximately 160,000 total fiber subscribers, located across 13 states in the Southeast, Mid-Atlantic, Midwest, and Northeast regions. The top three markets are Georgia, with 27.5% of annualized revenue (AR), Virginia, with 24.5%, and Alabama, with 13.3%. Point Broadband operates the network and provides fiber internet and voice services to residential (73% of AR) and commercial (27% of AR) customers. In addition, Point Broadband provides fixed wireless services, which account for approximately 7% of AR. About 87.6% of AR consists of fiber data and voice revenue; and 7.2% comprises fixed wireless revenue; and 5% consist of installation and other revenue. The ratings reflect the structured finance analysis of cash flows generated by the ownership interest in the underlying fiber-optic network, rather than the parent company corporate default risk, Point Broadband Intermediate, LLC. KEY RATING DRIVERS Net Cash Flow and Trust Leverage: Fitch's net cash flow (NCF) for the pool is $100.8 million in the base case, representing a 17.2% haircut to the issuer's base case NCF as of the series 2026-1 closing date. The debt multiple relative to Fitch's NCF on the rated classes is 10.0x in this scenario, compared to a debt-to-issuer NCF leverage of 8.24x Including the cash flow required to draw on the maximum variable funding note (VFN) commitment of $250 million, Fitch's NCF for the pool is $135.7 million, representing a 17.0% haircut to the issuer's NCF. The debt multiple relative to Fitch's NCF for the rated classes is 10.0x, compared to the debt-to-issuer NCF leverage of 7.7x. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral networks, the scale of the network, market diversity, the market position of the sponsor, the operator's capability, higher barriers to entry and the strength of the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and the 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 of 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will be developed that renders obsolete the current transmission of data through fiber-optic cables. Fiber-optic cable networks are currently the fastest and most reliable means of transmitting 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, contract churn, contract amendments or the development of an alternative technology for the transmission of data could lead to downgrades; - Fitch's base case NCF is 17.2% 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 from 'A-sf' to 'BBB-sf', class B from 'BBB-sf' to 'BBsf', and class C from 'BB-sf' to 'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow without an increase in corresponding debt from rate increases, additional contracts, contract amendments or expense reductions 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 from 'A-sf' to 'Asf', class B from 'BBB-sf' to 'A-sf', and class C from 'BB-sf' to 'BBB-sf'; - Upgrades are unlikely for these transactions due to the provision that allows the issuer to issue additional notes that rank pari passu or subordinate to existing notes, without the benefit of additional collateral. The transaction is also structured with VFNs, which will likely offset any improvements in cash flow with a corresponding increase in debt. In addition, the transaction is capped in the 'Asf' category, considering 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. PPM CLO 7: Fitch Affirms 'BBsf' Final Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the PPM CLO 7 Ltd. refinancing notes. Fitch has also affirmed the ratings on the class D-1A, D-1B, D-2 and E notes with Stable Outlooks. Entity/Debt Rating Prior ----------- ------ ----- PPM CLO 7 Ltd. A-1 693979AA4 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2 693979AJ5 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 693979AC0 LT PIFsf Paid In Full AA+sf B-R LT AA+sf New Rating C-1 693979AE6 LT PIFsf Paid In Full A+sf C-2 693979AQ9 LT PIFsf Paid In Full A+sf C-R LT A+sf New Rating D-1A 693979AG1 LT BBB+sf Affirmed BBB+sf D-1B 693979AS5 LT BBB+sf Affirmed BBB+sf D-2 693979AU0 LT BBB-sf Affirmed BBB-sf E 693978AA6 LT BBsf Affirmed BBsf Transaction Summary PPM CLO 7 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by PPM Loan Management Company 2, LLC that originally closed in June 2024 and will be refinanced on July 20, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide 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+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.19. 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 95.6% first-lien senior secured loans and has a weighted average recovery assumption of 72.14%. 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 three-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 July 20, 2027. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. FITCH ANALYSIS The portfolio includes 293 assets from 271 primarily high-yield obligors. 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 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 45.3% of the current portfolio par balance; ratings for 54.7% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map. 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%, 12.0%, and 12.0%, respectively - Assumed risk horizon: 6 years - Minimum weighted average spread of 2.99% - Fixed rate Assets: 5.00% - 'CCC' obligors as defined by Fitch's ratings: 7.5% - Minimum weighted average coupon of 3.85% - Non-first priority senior secured assets: 10.0% The transaction will exit its reinvestment period on July 20, 2029. Fitch affirmed the class D-1A, D-1B, D-2 and E notes at 'BBB+sf', 'BBB+sf, 'BBB-sf' and 'BBsf', respectively, all with a Stable Outlook. The class D-2 notes are two notches below the model-implied rating (MIR) of 'BBB+sf'. In Fitch's view, the rating for class D-2 in line with its MIR maybe susceptible to further portfolio deterioration, due to the below-average credit enhancement at the MIR level. 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-1-R: 'AAAsf' / Default 40.20% / Recovery 38.81% / Cushion 14.20% - Class A-2-R: 'AAAsf' / Default 40.20% / Recovery 38.81% / Cushion 10.90% - Class B-R: 'AA+sf' / Default 39.40% / Recovery 48.22% / Cushion 10.60% - Class C-R: 'A+sf' / Default 34.20% / Recovery 57.89% / Cushion 13.10% - Class D-1: 'BBB+sf' / Default 28.50% / Recovery 67.72% / Cushion 11.10% - Class D-2: 'BBB-sf' / Default 25.10% / Recovery 67.73% / Cushion 10.80% - Class E: 'BBsf' / Default 22.40% / Recovery 72.77% / Cushion 5.80% Fitch Stress Portfolio (FSP) Model Outputs - Class A-1-R: 'AAAsf' / Default 47.70% / Recovery 36.13% / Cushion 5.20% - Class A-2-R: 'AAAsf' / Default 47.70% / Recovery 36.13% / Cushion 2.00% - Class B-R: 'AA+sf' / Default 46.50% / Recovery 44.83% / Cushion 1.60% - Class C-R: 'A+sf' / Default 41.00% / Recovery 54.52% / Cushion 6.00% - Class D-1: 'BBB+sf' / Default 34.80% / Recovery 63.98% / Cushion 4.10% - Class D-2: 'BBB-sf' / Default 30.90% / Recovery 63.96% / Cushion 4.60% - Class E: 'BBsf' / Default 27.60% / Recovery 69.09% / Cushion 0.40% 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-1-R, between 'BBBsf' and 'AA+sf' for class A-2-R, between 'BBBsf' and 'AA-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-1, between less than 'B-sf' and 'BBB-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 A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1, 'Asf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for PPM CLO 7 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. PRMI SECURITIZATION 2026-CMG1: Fitch Rates Cl. B2 Notes 'B+(EXP)sf' ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and rating Outlooks to PRMI Securitization Trust 2026-CMG1 (PRMI 2026-CMG1). Entity/Debt Rating ----------- ------ PRMI 2026-CMG1 A1 LT AAA(EXP)sf Expected Rating A1S 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 CERT LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes, which are backed by a pool of non-seasoned and seasoned, first lien, open home equity lines of credit (HELOCs) on residential properties, to be issued by PRMI 2026-CMG1 as indicated above. This is the sixth transaction rated by Fitch that includes HELOCs with open draws on the PRMI shelf. The collateral pool consists of 758 non-seasoned and seasoned, performing, prime-quality loans with a current outstanding balance as of the cutoff date of $356.03 million. As of the cutoff date, 100% of the HELOC lines are open; the aggregate available credit line amount is expected to be $485.35 million, per the transaction documents and the loans have a utilization rate of 81.7%. The loans were originated by CMG Mortgage, Inc. or a CMG qualified correspondent (93.4%) and the remaining 6.6% were acquired by the seller from various originators none of which contributed more than 5%. The loans are serviced by Northpointe Bank. Both the interest and principal waterfalls have a sequential structure, and losses are allocated reverse sequentially. Draws will be funded, first, by the servicer which will be reimbursed from principal collections. If funds from principal collections are insufficient, the servicer will be reimbursed from the VFA. The VFA will be funded up front by the holder of the trust certificate, and the holder of the trust certificate will be obligated, in certain circumstances (only if draws exceed funds in the VFA), to remit funds on behalf of the holder of the class R note to the VFA to reimburse the servicer for certain draws on the mortgage loans. Any amounts so remitted by the holder of the trust certificates will be added to the principal balance of the trust certificates. The servicer, Northpointe Bank, will not advance delinquent monthly payments of principal and interest (P&I). Although the notes have a note rate based on the SOFR index, the collateral is made up of 100% adjustable-rate loans, with 89.2% based on 30-day compound SOFR, 0.10% based on one-month CME Term SOFR and 10.7% based on one-year Treasury CMT, per the transaction documents. As a result, there is no Libor exposure in the transaction. KEY RATING DRIVERS Credit Risk of Prime Credit Quality First Lien HELOC (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 pool is comprised of high-quality prime loans with a weighted average (WA) FICO score of 771, a WA combined loan-to-value ratio of 73.9% and a WA debt-to-income ratio of 34.3% (all as determined by Fitch). The WA liquid reserves are $412,673. These strong collateral attributes are reflected in Fitch's loss analysis. PRMI 2026-CMG1 has a final PD of 10.33% in the 'AAA' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 29.56%. The expected loss in the 'AAAsf' rating stress is 3.05%. Structural Analysis — Sequential Structure with No DQ P&I Advancing (Positive): The proposed structure is a sequential structure that prioritizes the payment of the more senior classes, first, in both the interest and principal waterfall. In the principal waterfall, unpaid interest on the A-1 and A-1S classes are paid first, which is supportive of these classes receiving timely interest. In the principal waterfall, after A-1 and A-1S are paid any unpaid interest amounts first prior to principal being allocated. Once full interest is paid to A-1 and A-1S, principal is allocated pro rata to the trust certificate and the A-1 class (at all times, A-1 is expected to receive principal payments until it is paid in full). Once A-1 and A-1S are paid all interest due and A-1 has been paid in full, the principal is allocated to the remaining classes sequentially, starting with the A-1S class. If a credit event is in effect, the transaction will still have a sequential structure for the principal waterfall, but all funds will go to the A, M and B classes to pay unpaid interest and then principal, with the trust certificate paid after the B-3 class is paid in full. Losses are allocated reverse sequentially, as follows: realized losses in respect of the mortgage loans will be applied, through the application of applied realized loss amounts, (a) on any payment date on which a credit event is not in effect, by reducing the residual principal balance of the trust certificates up to the trust certificates' writedown amount for such payment date, until the residual principal balance of the trust certificates has been reduced to zero, and then to reduce the note amounts of the offered notes (other than the class AIOS notes) in reverse sequential order of principal payments, beginning with the class B-3 notes, in each case, until the note amount of such class is reduced to zero, and (b) on any payment date on which a credit event is in effect, by reducing the note amount of the notes and the residual principal balance of the trust certificates in reverse sequential order of principal payments, beginning with the trust certificates and then to the class B-3 notes, and so on, in each case, until the residual principal balance or note amount thereof is reduced to zero. Excess cash flow in the transaction is not used to pay down the bonds, but is used to repay previously allocated realized losses and cap carryover amounts. The servicer will not be advancing delinquent monthly payments of P&I. As P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the asset-level loss LS are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure interest will be paid to the 'AAAsf' rated notes in a timely manner, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for higher credit enhancement (CE) than it would for a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf'' rated class. Fitch analyzes the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating 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 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 (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. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 55.97% of the loans in the transaction by loan balance. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review firm that have a final grade of either A or B. In total 55.97% of the loans by balance received 5-bp z-score reductions since all the reviewed loans had a grade of 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 impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects this 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 PRMI 2026-CMG1, 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 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 10.0%, 20.0% and 30.0% in addition to the model-projected 37.7% at 'AAAsf'. 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 SitusAMC and Evolve. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. A third-party due diligence review was completed on a sample of loans, 55.97% by balance (54.2% by loan count), which meets Fitch's criteria. Fitch considered this information in its analysis and, as a result, Fitch applied a 5% PD credit at the loan level for each loan that received a grade of A or B, and made no further adjustments based on the due diligence findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on a sample of loans, 54.2% by loan count (55.97% by UPB). The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged SitusAMC and Evolve to perform the due diligence reviews. Loans reviewed under this engagement were assigned credit, compliance, and property valuation grades, along with initial grades for each subcategory. The sponsor engaged Westcor to review the seasoned loans in the pool for tax and title. The review confirmed that all subject mortgages are recorded in the appropriate jurisdiction. For the majority of loans, the title/lien search verified the subject mortgage in the expected lien position. In cases where the title/lien search did not confirm the expected lien position, a clear title policy confirmed that the lien is insured in the expected position. In addition, Fitch received confirmation from the servicer that all loans are in a first lien position, that lien status is monitored per standard servicing practices, and that advances will be made as needed to maintain first lien status. Pay history was provided by the servicer for 100% of the loans, and the servicer confirmed that the payment history provided was accurate. An exception and waiver report were provided to Fitch which indicated 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 debt-to-income lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RCKT MORTGAGE 2026-CES7: Fitch Assigns Bsf Rating on Three Tranches ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by RCKT Mortgage Trust 2026-CES7 (RCKT 2026-CES7). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2026-CES7 A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A4 LT AAsf New Rating AA(EXP)sf A5 LT Asf New Rating A(EXP)sf A6 LT BBBsf New Rating BBB(EXP)sf B1A LT BBsf New Rating BB(EXP)sf BX1A LT BBsf New Rating BB(EXP)sf B1B LT BBsf New Rating BB(EXP)sf BX1B LT BBsf New Rating BB(EXP)sf B2A LT Bsf New Rating B(EXP)sf BX2A LT Bsf New Rating B(EXP)sf B2B LT Bsf New Rating B(EXP)sf BX2B LT Bsf New Rating B(EXP)sf XS LT NRsf New Rating NR(EXP)sf A1L LT WDsf Withdrawn AAA(EXP)sf Transaction Summary The notes are supported by 7,606 closed-end second lien (CES) loans with a total balance of approximately $705 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or cover net weighted average coupon (WAC) shortfalls. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the class A-1L loans as they were not funded at closing and are no longer being offered. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RCKT 2026-CES7 has a final probability of default (PD) of 18.9% 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 18.6%. 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 to first 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 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 12.7% of the loans in the transaction by loan count. Fitch applies a 5% probability of default reduction for loans fully reviewed by a third-party review firm, which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects RCKT 2026-CES7 to be fully de-linked and a bankruptcy-remote special-purpose vehicle. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to RCKT 2026-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 12.7% 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. SANTANDER MORTGAGE 2026-NQM6: S&P Assigns (P)B Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Santander Mortgage Asset Receivable Trust 2026-NQM6's mortgage-backed notes. The note issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties including townhouses, planned-unit developments, two- to four-family units, condominiums, condotels, and manufactured housing properties. The pool consists of 700 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability to repay (ATR)-compliant, or ATR-exempt. The preliminary ratings are based on information as of July 29, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect our view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator, Santander Bank N.A., and originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned Santander Mortgage Asset Receivable Trust 2026-NQM6 Class A-1, $104,071,000(i): AAA (sf) Class A-1A, $89,010,000(i): AAA (sf) Class A-1B, $15,061,000(i): AAA (sf) Class A-1FCF, $83,257,000(i): AAA (sf) Class A-1LCF, $20,814,000(i); AAA (sf) Class A-2, $19,278,000: AA (sf) Class A-3, $32,532,000: A (sf) Class M-1, $15,061,000: BBB (sf) Class B-1, $11,145,000: BB (sf) Class B-2, $9,037,000: B (sf) Class B-3, $6,024,557: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class PT, $301,219,557: NR Class R, N/A: NR (i)The initial note balance of the class A-1A, A-1B, A-1FCF, and A-1LCF notes are subject to change and will be determined at the time of pricing, provided that the aggregate initial note amount of the class A-1A, A-1B, A-1FCF, and A-1LCF notes will be equal to $208,142,000. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. SG RESIDENTIAL 2026-5: S&P Assigns B- (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its 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. S&P said, "After we assigned preliminary ratings on July 14, 2026, the issuer decided not to issue the class A-1FCF, A-1FCX, and A-1LCF certificates, and therefore we did not assign ratings to those classes. The senior classes were also rebalanced from classes A-1FCF, A-1FCX, and A-1LCF to classes A-1A and A-1B. In addition, the class B-1 certificates were priced as net weighted average coupon. This resulted in no change in credit enhancement. After reviewing the final structure, we assigned final ratings that are consistent with the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator, 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 our 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. Ratings Assigned(i) SG Residential Mortgage Trust 2026-5 Class A-1A, $273,670,000: AAA (sf) Class A-1B, $41,185,000: AAA (sf) Class A-1, $314,855,000: 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: not rated Class A-IO-S, notional(ii): not rated Class XS, notional(ii): not rated Class R, not applicable: not rated (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. SIERRA TIMESHARE 2026-2: Fitch Assigns BB-sf Rating on Cl. D Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and 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 Prior ----------- ------ ----- Sierra Timeshare 2026-2 Receivables Funding LLC A LT AAAsf New Rating AAA(EXP)sf B LT Asf New Rating A(EXP)sf C LT BBBsf New Rating BBB(EXP)sf D LT BB-sf New Rating BB-(EXP)sf 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, 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 generally demonstrate weakening default trends, compared with the 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, Fitch used default vintages reflecting more recent vintage performance, 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, compared with 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 8.46% per annum. Default coverage for all notes can 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 above the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. 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. Fitch therefore conducts sensitivity analyses by stressing a transaction's initial rating case CGD and prepayment assumptions and examining the rating implications for 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. SILVER POINT 18: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Silver Point CLO 18, Ltd. Entity/Debt Rating ----------- ------ Silver Point CLO 18, Ltd. X LT NR(EXP)sf Expected Rating A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Silver Point CLO 18, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point Select C CLO Manager, 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 22.3, 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 72.58% 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. For the class D-1 notes, Fitch has assigned a 'BBB-(EXP)sf' rating, which is one notch below the Model Implied Rating (MIR) of 'BBBsf', based on the hypothetical matrix points. The rating reflects that the parameters for each matrix have not yet been finalized and that the credit enhancement for the class D-1 notes is below average for a 'BBBsf' tranche. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class 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 Silver Point CLO 18, 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. SIXTH STREET XXV: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from Sixth Street CLO XXV Ltd./Sixth Street CLO XXV LLC, a CLO managed by Sixth Street CLO XXV Management LLC that was originally issued in June 2026. At the same time, S&P withdrew its ratings on the previous class A, B, C, D-1, D-2, and E debt following payment in full on the July 24, 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 24, 2027. -- No additional assets were purchased on the July 24, 2026, refinancing date, and the target initial par amount remains at $500 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 24, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on the class D-2-R and E-R debt. However, we assigned 'BBB- (sf)' and 'BB- (sf)' ratings to the class D-2-R and E-R debt, respectively, after considering the margin of failure, the relatively stable overcollateralization ratio, low 'CCC' exposure, and that there have been zero defaults since our last rating action on the transaction. Additionally, the deal remains in its reinvestment period, and the refinancing is viewed as credit neutral to credit positive for the transaction. However, any further decline in credit support to these tranches or any increase in par losses could lead to negative rating actions in the future." Replacement And Previous Debt Issuances Replacement debt -- Class A-R, $310.00 million: three-month CME term SOFR + 1.20% -- Class B-R, $65.00 million: three-month CME term SOFR + 1.50% -- Class C-R (deferrable), $35.00 million: three-month CME term SOFR + 1.80% -- Class D-1-R (deferrable), $30.00 million: three-month CME term SOFR + 2.85% -- Class D-2-R (deferrable), $3.75 million: three-month CME term SOFR + 4.25% -- Class E-R (deferrable), $16.25 million: three-month CME term SOFR + 5.90% Previous debt -- Class A, $310.00 million: three-month CME term SOFR + 1.48% -- Class B, $65.00 million: three-month CME term SOFR + 1.80% -- Class C (deferrable), $35.00 million: three-month CME term SOFR + 2.15% -- Class D-1 (deferrable), $30.00 million: three-month CME term SOFR + 3.15% -- Class D-2 (deferrable), $3.75 million: three-month CME term SOFR + 4.50% -- Class E (deferrable), $16.25 million: three-month CME term SOFR + 6.00% -- Subordinated notes, $47.55 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Sixth Street CLO XXV Ltd./Sixth Street CLO XXV LLC Class A-R, $310.00 million: AAA (sf) Class B-R, $65.00 million: AA (sf) Class C-R (deferrable), $35.00 million: A (sf) Class D-1-R (deferrable), $30.00 million: BBB- (sf) Class D-2-R (deferrable), $3.75 million: BBB- (sf) Class E-R (deferrable), $16.25 million: BB- (sf) Ratings Withdrawn Sixth Street CLO XXV Ltd./Sixth Street CLO XXV LLC Class A to not rated from 'AAA (sf)' Class B to not rated from 'AA (sf)' Class C to not rated from 'A (sf)' Class D-1 to not rated from 'BBB- (sf)' Class D-2 to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' Other Debt Sixth Street CLO XXV Ltd./Sixth Street CLO XXV LLC Subordinated notes, $47.55 million: not rated SOUTH CAROLINA 2013-1: Fitch Lowers Rating on Cl. A Notes to 'Bsf' ------------------------------------------------------------------ Fitch Ratings has downgraded South Carolina Student Loan Corporation (SCSLC) Series 2013-1 to 'Bsf' from 'Asf'. The rating action is driven by substantially higher maturity risk for the notes and a continued rise in remaining term to maturities. The Rating Outlook has been revised to Stable following the downgrade. Fitch has also affirmed the outstanding notes of SCSLC 1996 General Resolution Series 2014 and SCSLC Series 2010-1. The Outlooks for both notes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- South Carolina Student Loan Corporation 2010-1 A-3 83715AAJ8 LT AA+sf Affirmed AA+sf South Carolina Student Loan Corp. - 1996 General Resolution (SC) 2014 B 83715RAG7 LT AA+sf Affirmed AA+sf South Carolina Student Loan Corporation 2013-1 A 83715AAM1 LT Bsf Downgrade Asf Transaction Summary Fitch has downgraded the SCSLC 2013-1 class A notes to 'Bsf' reflecting its weaker maturity profile continuing to affect its cash flow modeling results and increasing remaining term to maturity of the notes. The weighted average remaining term of the notes continues to rise, extending to 193 months in the current review. This increasing trend results in the notes failing to pay off by the legal final date for all maturity stresses in Fitch's cash flow modeling. The 'Bsf' rating assigned reflects a limited margin of safety in form of structural support, whereby the sponsor might call the notes if the pool factor reaches 10%. Fitch affirmed the class B notes of SCSLC 1996 and class A-3 notes of SCSLC 2010-1 at 'AA+sf' as they passed credit and maturity stresses in cash flow modeling for their respective ratings. The transactions have sufficient credit enhancement under Fitch's assumptions at their current ratings and performance has been stable since the last review. KEY RATING DRIVERS Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The notes are capped at the U.S. sovereign rating and will likely move in tandem with the U.S. sovereign rating given the reinsurance and SAP provided by ED. The U.S. sovereign rating is currently 'AA+'/Stable Outlook by Fitch. Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a base case default rate and 'AA' default case scenario as follows: SCSLC 1996: 24.50%/73.50%; SCSLC 2010-1: 37.25%/100.00%; SCSLC 2013-1: 43.50%/100.00%. Fitch is maintaining its sustainable constant default rate (sCDR) at 4.5%, 5.5% and 7.0% for SCSLC 1996, SCSLC 2010-1 and SCSLC 2013-1, respectively. Fitch is also maintaining its sustainable constant prepayment rate (sCPR; voluntary and involuntary) at 11.0%, 11.0%, and 13.5% for SCSLC 1996, SCSLC 2010-1, and SCSLC 2013-1, respectively, in cash flow modeling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AA+' case. The TTM levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) for the trusts are as follows: SCSLC 1996: 5.37%/5.06%/27.59% (1.16%/1.12%/25.12% at March 2025); SCSLC 2010-1: 7.08%/6.61%/34.28% (5.76%/6.37%/25.12%); SCSLC 2013-1: 9.11%/7.69%/34.84% (7.85%/6.96%/33.11%). These levels are used as the starting points in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The 31-60 days past due (DPD) and the 91-120 DPD for the trusts have improved from the previous review and are as follows: SCSLC 1996: 4.06% and 1.13% (4.44% and 3.39% at March 2025); SCSLC 2010-1: 4.64% and 1.30% (5.70% and 5.20% at March 2025); SCSLC 2013-1: 4.11% and 1.53% (6.96% and 7.26% at March 2025). The borrower benefit is assumed to be approximately 0.36%, 0.32% and 0.05% for SCSLC 1996, SCSLC 2010-1, and SCSLC 2013-1, respectively, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: CE is provided by overcollateralization, excess spread and where applicable, for the class A notes, subordination by the class B notes. SCSLC 1996: As of the latest distribution date, the reported total parity ratio (including the reserve account) is 284.97%. Liquidity support is provided by a reserve account sized at the floor of $750,000. SCSLC 2010-1: As of the latest distribution date, the reported total parity ratio (including the reserve account) is 238.43%. Liquidity support is provided by a reserve account sized at the floor of $950,824. SCSLC 2013-1: As of the latest distribution date, the reported total parity ratio (including the reserve account) is 110.00%. Liquidity support is provided by a reserve account sized at the floor of $328,867. Operational Capabilities: Day-to-day servicing will be provided by Nelnet Servicing LLC. Fitch believes Nelnet to be an acceptable servicer of FFELP student loans, due to their long track record of servicing FFELP student loans with sizable portfolios. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below 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. SCSLC 1996 Credit Stress Rating Sensitivity - Default increase 25%: class B 'AA+sf'; - Default increase 50%: class B 'AA+sf'; - Basis Spread increase 0.25%: class B 'AA+sf'; - Basis Spread increase 0.5%: class B 'AA+sf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class B 'AA+sf'; - CPR decrease 50%: class B 'AA+sf'; - IBR Usage increases 25%: class B 'AA+sf'; - IBR Usage increases 50%: class B 'AA+sf'; - Remaining Term increase 25%: class B 'AA+sf'; - Remaining Term increase 50%: class B 'AA+sf'. SCSLC 2010-1 Credit Stress Rating Sensitivity - Default increase 25%: class A 'AA+sf'; - Default increase 50%: class A 'AA+sf'; - Basis spread increase 0.25%: class A 'AA+sf'; - Basis spread increase 0.50%: class A 'AA+sf. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; - CPR decrease 50%: class A 'AA+sf'; - IBR usage increase 25%: class A 'AA+sf'; - IBR usage increase 50%: class A 'AA+sf'; - Remaining Term increase 25%: class A 'AA+sf'; - Remaining Term increase 50%: class A 'AA+sf'. SCSLC 2013-1 Credit Stress Rating Sensitivity - Default increase 25%: class A 'CCCsf'; - Default increase 50%: class A 'AA+sf'; - Basis spread increase 0.25%: class A 'CCCsf'; - Basis spread increase 0.50%: class A 'CCCsf. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; - IBR usage increase 25%: class A 'Bsf'; - IBR usage increase 50%: class A 'BBsf'; - Remaining Term increase 25%: class A 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade SCSLC 1996 No upgrade credit or maturity stress sensitivity is provided for the class B notes, as they are already at their highest possible model-implied ratings. SCSLC 2010-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are already at their highest possible model-implied ratings. SCSLC 2013-1 Credit Stress Rating Sensitivity - Default decrease 25%: class A 'CCCsf'; - Default decrease 50%: class A 'CCCsf'; - Basis spread decrease 0.25%: class A 'CCCsf'; - Basis spread decrease 0.50%: class A 'CCCsf. Maturity Stress Rating Sensitivity - CPR Increase 25%: class A 'CCCsf'; - CPR Increase 50%: class A 'CCCsf'; - IBR usage decrease 25%: class A 'CCCsf'; - IBR usage decrease 50%: class A 'Bsf'; - Remaining Term decrease 25%: class A 'Asf'; - Remaining Term decrease 50%: class A 'AA+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. TOWD POINT 2026-2: Fitch Assigns ' B-(EXP)sf' Rating on B2 Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Towd Point Mortgage Trust 2026-2 (TPMT 2026-2). Entity/Debt Rating ----------- ------ Towd Point Mortgage Trust 2026-2 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A2 LT AA-(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 B4 LT NR(EXP)sf Expected Rating B5 LT NR(EXP)sf Expected Rating M1 LT A-(EXP)sf Expected Rating M2 LT BBB-(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating XS1 LT NR(EXP)sf Expected Rating XS2 LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes to be issued by Towd Point Mortgage Trust 2026-2 (TPMT 2026-2) as indicated above. The transaction is expected to close on July 31, 2026. The notes are supported by 1,729 primarily seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of approximately $466 million as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicers will advance delinquent (DQ) monthly payments of P&I for up to 150 days (under the option-to-stop method) or until deemed nonrecoverable. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. TPMT 2026-2 has a Final PD of 24.5% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 17.4%. The expected loss in the 'AAAsf' rating stress is 4.2%. Structural Analysis (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. Additionally, excess cashflow resulting from difference between interest earned on mortgage collateral and amount paid on the notes may be available to cover unpaid reimbursement amounts on notes. 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 57.0% of the loans in the transaction. Fitch applies a 5% PD reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects TPMT 2026-2 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch's expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Clayton and Opus all assessed as 'Acceptable' third-party review (TPR) firms by Fitch. The scope primarily focused on a regulatory compliance review to ensure loans were originated in accordance with predatory lending regulations. A third-party due diligence review was performed on approximately 57.0% of the pool by loan count. The results of the review indicated moderate operational risk with 3.5% (by unpaid principal balance) assigned final compliance grades of 'C' or 'D'. Additionally, 18 loans did not have a final HUD-1 file for compliance testing purposes. Fitch increased the loss severity for these loans to account for the potential assignee liability costs. 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. TRALEE CLO II: S&P Lowers Class F-R Notes Rating to 'D (sf)' ------------------------------------------------------------ S&P Global Ratings lowered its ratings on two classes of debt from Tralee CLO II Ltd., which is a U.S. broadly syndicated CLO transaction. The rating actions follow S&P's review of the transaction's redemption, which occurred on July 7, 2026. According to the notices provided by the trustee, the class E-R and F-R debtholders agreed to receive a lower amount than the full interest and currently outstanding principal amount as their redemption price, which permitted the redemption to proceed. Following this, the transaction liquidated all collateral obligations from its portfolio and used the principal proceeds to pay down the rated notes on the July 7, 2026, redemption date. The amount of principal proceeds received from the liquidation, however, was inadequate to pay in full the rated balance of the interest due (including deferred) and the principal of the class E-R and F-R debt. S&P said, "Though the class E-R and F-R debtholders agreed to receive a lower amount, our ratings address the likelihood that securities receive their timely interest, full principal, and in the case of the class F-R debtholders, full deferred interest, by their legal final maturity date. Therefore, we lowered the ratings on the class E-R and F-R debt to 'D (sf)' as a reflection of these rated balances not being fully repaid." Ratings Lowered Tralee CLO II Ltd. Class E-R to 'D (sf)' from 'CCC- (sf)' Class F-R to 'D (sf)' from 'CC (sf)' TRALEE CLO V: S&P Assigns B- (sf) Rating on Class F-R Notes ----------------------------------------------------------- S&P Global Ratings lowered its ratings on the class D-R and E-R debt from Tralee CLO V Ltd. and removed them from CreditWatch negative. S&P also affirmed its ratings on the class A-X-RR, A-1-RR, A-2-RR, B-RR, C-1-RR, C-F-R, and F-R debt from the same transaction. The transaction, a broadly syndicated U.S. CLO managed by Blue Owl Liquid Credit Advisors, was originally issued in October 2018 and last refinanced in March 2025. It will exit its reinvestment period in October 2026. The rating actions follow its review of the transaction's performance using data from the May 8, 2026, and June 8, 2026, trustee reports. On May 6, 2026, S&P placed its ratings on the class D-R and E-R debt on CreditWatch negative primarily due to each class's declining credit support and indicative cash flow results. Since S&P's last rating action in March 2025, which used the April 2025 trustee report, after the CLO refinanced a portion of its debt, the overcollateralization (O/C) ratios have changed, according to the June 2026 trustee report: -- The class A/B O/C ratio declined to 125.65% from 126.21%. -- The class C O/C ratio declined to 116.45% from 116.97%. -- The class D O/C ratio declined to 108.51% from 109.00%. -- The class E O/C ratio declined to 103.80% from 104.26%, -- The decline in the O/C ratios is driven mainly by the portfolio's par loss since the last rating actions in March 2025. In addition to par erosion, the portfolio credit metrics have weakened between April 2025 and June 2026: S&P Global Ratings' weighted average spread (WAS) decreased to 2.92% from 3.13%, and S&P Global Ratings' weighted average recovery rate on the 'AAA' rated debt decreased to 40.70% from 41.10% during this time period. Collateral obligations in the 'CCC' rating category increased to $22.33 million from $12.68 million, and defaults decreased to $1.93 million from $6.06 million during the same period. The par losses sustained by the portfolio since the refinancing coupled with declines in the portfolio's WAS have weakened cash flow results at both mezzanine and junior levels of the capital structure. As a result, the class D-R, E-R, and F-R debt was no longer passing cash flows at the initial rating levels. Therefore, with the decline in credit support and the indicative cash flow results, S&P lowered its ratings on class D-R to 'BB+(sf)' and class E-R to 'B-(sf)'. S&P said, "Although the results of our cash flow analysis also indicated a lower rating on the class E-R debt, the downgrade considers the passing trustee O/C test, existing credit subordination, low exposure to 'CCC'/'CCC-' assets, and limited number of distressed assets. A further deterioration in credit or an increase in defaults or par losses could lead to further negative rating actions. "Additionally, although our cash flow analysis also indicated a lower rating on the class F-R debt than the rating action reflects, we affirmed the rating after considering the reduction in the defaulted bucket since the last rating action, current subordination level, and low exposure to 'CCC/CCC-' rated assets. This reflects our opinion that tranche is not yet dependent on favorable business, financial, or economic conditions to repay its obligations as per our 'CCC'/'CC' criteria. However, any increase in defaults or par losses could lead to potential negative rating actions in the future." The affirmed ratings on the class A-X-RR, A-1-RR, A-2-RR, B-RR, C-1-RR, and C-F-R debt reflect adequate credit support at the current rating levels and passing cash flows. Also, the cash flow results indicated a higher rating for the class B-RR notes. But S&P took into account that the transaction is still in its reinvestment period, which is not scheduled to end until October 2026, and that it has not yet paid down any principal to the rated notes. Future reinvestment activity could change some of the portfolio characteristics. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Lowered And Removed From CreditWatch Negative Tralee CLO V Ltd. Class D-R to 'BB+ (sf)' from 'BBB- (sf)/Watch Neg' Class E-R to 'B- (sf)'from 'BB- (sf)/Watch Neg' Ratings Affirmed Tralee CLO V Ltd. Class A-X-RR: AAA (sf) Class A-1-RR: AAA (sf) Class A-2-RR: AAA (sf) Class B-RR: AA (sf) Class C-1-RR: A (sf) Class C-F-R: A (sf) Class F-R: B- (sf) TRINITAS CLO XXXVI: Moody's Gives (P)B3 Rating to $250,000 F Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to two classes of notes to be issued and one class of loans to be incurred by Trinitas CLO XXXVI, Ltd. (the Issuer or Trinitas CLO XXXVI): Up to US$315,000,000 Class A-1 Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$87,700,000 Class A-1L Loans maturing 2039, Assigned (P)Aaa (sf) US$250,000 Class F Deferrable Floating Rate Notes due 2039, Assigned (P)B3 (sf) The notes and loans listed are referred to herein, collectively, as the Rated Debt. On the closing date, the Class A-1 Notes and the Class A-1L Loans have a principal balance of $227,300,000 and $87,700,000, respectively. At any time, the Class A-1L Loans may be converted, in whole or in part, into Class A-1 Notes, thereby decreasing the principal balance of the Class A-1L Loans and increasing the principal balance of the Class A-1 Notes by the corresponding amount. The aggregate principal balance of the Class A-1 Notes and Class A-1L Loans will not exceed $315,000,000 less the amount of any principal repayments. 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. Trinitas CLO XXXVI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments and up to 10% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. Moody's expects the portfolio to be approximately 95% ramped as of the closing date. Trinitas Capital Management, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer will issue six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2905 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. VEROS AUTO 2026-2: S&P Assigns B- (sf) Rating on Class F Notes -------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The availability of approximately 61.96%, 55.66%, 46.69%, 34.82%, 29.65%, and 23.33% 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 post-pricing 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 our expected cumulative net loss of 22.00% for the class A, B, C, D, E, and F notes, respectively. -- The expectations that under a moderate ('BBB') stress scenario (1.50x S&P's expected loss level), all else being equal, its '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 its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned 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 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. 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) VERUS SECURITIZATION 2026-R6: Fitch Rates Cl. B-2 Notes 'B-(EXP)sf' ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2026-R6 (Verus 2026-R6). Entity/Debt Rating ----------- ------ VERUS 2026-R6 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1FCF LT AAA(EXP)sf Expected Rating A-1LCF LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1A LT BB(EXP)sf Expected Rating B-1B LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating Transaction Summary The Verus 2026-R6 notes are supported by 1,086 loans with a balance of $389.98 million, including $0.14 million, or 0.04% of the aggregate pool balance in non-interest bearing deferred principal amounts as of July 1, 2026 (the cutoff date). The transaction is scheduled to close on July 30, 2026. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential-payment structure. The transaction has a stop-advance feature whereby the P&I advancing party will advance delinquent P&I for up to 90 days. All loans in the pool are seasoned more than 24 months. Currently, 4.1% of the pool is delinquent, 12.2% is current but has experienced delinquency (DQ) within the past 12 months, and 83.7% is clean and current. Primary residence loans comprise 24.6% of the Verus 2026-R6 transaction pool, followed by second home and investor loans at 75.4%. In terms of documentation type, the transaction consists predominantly of debt service coverage ratio (DSCR) loans at 69.2%, and 15.1% were originated to a bank statement program. The remaining 15.7% of the population was underwritten to either a CPA P&L, asset underwriting full or written verification of employment product. 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. VERUS 2026-R6 has a final probability of default (PD) of 52.4% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 42.6%. The expected loss in the 'AAAsf' rating stress is 22.3%. Structural Analysis: Verus 2026-R6 bases its mortgage cash flow and loss allocation on a modified sequential-payment structure with limited advancing, whereby principal is distributed pro-rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency (DQ) trigger event occurs in a given period, principal will be distributed sequentially. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, DQs 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 by loan count. Fitch applies a 5bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects VERUS 2026-R6 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 VERUS 2026-R6, and therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 37.7% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple TPR firms. The due diligence was performed at the respective prior issuance and was not updated with the exception of updated property valuations. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. VIBRANT CLO XR: Fitch Affirms 'B-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Vibrant CLO XR, Ltd. refinancing transaction. Fitch has also affirmed the class D and E notes with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Vibrant CLO XR, Ltd. A-1-R LT NRsf New Rating A-2 92563MAC1 LT PIFsf Paid In Full AAsf A-2-AR LT AAAsf New Rating A-2-BR LT AAsf New Rating A-2F 92563MAE7 LT PIFsf Paid In Full AAsf B 92563MAG2 LT PIFsf Paid In Full Asf B-R LT Asf New Rating C-1 92563MAJ6 LT PIFsf Paid In Full BBB-sf C-1-AR LT Asf New Rating C-1-BF LT BBB-sf New Rating C-1-BR LT BBB-sf New Rating C-2 92563MAL1 LT PIFsf Paid In Full BBB-sf C-2-RF LT BBB-sf New Rating D 92559JAA8 LT BB-sf Affirmed BB-sf E 92559JAC4 LT B-sf Affirmed B-sf Transaction Summary Vibrant CLO XR, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Vibrant Credit Partners, LLC. The transaction originally closed in March 2024. On July 20, 2026, the transaction will be refinanced for the first time. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $396 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 23.41 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 95.27% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.89% 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 1.8-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to the following: - Spreads have been reduced for all classes of refinanced notes; - The non-call period for the refinanced notes is extended to July 20, 2027; - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes; - The Fitch recovery rate definition, Fitch industry definition and matrices have been amended to conform with Fitch's new criteria. FITCH ANALYSIS The portfolio includes 338 assets from 274 primarily high-yield obligors. In Fitch's view, 0.6% of the portfolio consists of assets that are rated at '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 was not passing its weighted average rating recovery test. 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 44.5% of the current portfolio par balance; ratings for 55.5% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map. 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%, 13.7%, and 12.0%, respectively; - Assumed risk horizon: 5.75 years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 66.90%; - Maximum weighted average rating factor of 24.00; - Fixed rate assets: 5.00%; - Minimum weighted average coupon of 6.50%. The transaction will exit its reinvestment period on April 20, 2028. Fitch affirmed the non-refinancing class D and class E notes at 'BB-sf'/Stable and 'B-sf'/Stable, respectively, given that the indicative default cushions for each of these classes are sufficient. Furthermore, Fitch has assigned a rating of 'Asf'/Stable to the class B-R notes, one notch below the Model Implied Rating (MIR) of 'A+sf', and ratings of 'BBB-sf'/Stable to the class C-1-BR and C-1-BF notes, one notch below the MIR of 'BBBsf'. In Fitch's view, the MIRs for the class B-R, C-1-BR and C-1-BF do not adequately reflect the transaction's recent adverse performance trend, including elevated 'CCC' and below exposure, and the below-average credit enhancement available to these tranches. These factors indicate a higher likelihood of further credit deterioration and weaker recovery prospects, increasing the tranches' sensitivity to additional portfolio stress. Fitch 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-AR: 'AAAsf' / Default 42.30% / Recovery 38.77% / Cushion 11.10%; - Class A-2-BR: 'AAsf' / Default 39.50% / Recovery 48.35% / Cushion 12.20%; - Class B-R: 'Asf' / Default 34.70% / Recovery 57.93% / Cushion 16.50%; - Class C-1-AR: 'Asf' / Default 34.70% / Recovery 57.93% / Cushion 11.30%; - Class C-1-B: 'BBB-sf' / Default 26.40% / Recovery 67.80% / Cushion 18.90%; - Class C-2-RF: 'BBB-sf' / Default 26.40% / Recovery 67.80% / Cushion 15.10%; - Class D: 'BB-sf' / Default 21.90% / Recovery 73.06% / Cushion 10.70%; - Class E: 'B-sf' / Default 17.20% / Recovery 77.91% / Cushion 9.90%. FSP Model Outputs: - Class A-2-AR: 'AAAsf' / Default 48.40% / Recovery 35.95% / Cushion 3.30%; - Class A-2-BR: 'AAsf' / Default 45.20% / Recovery 41.90% / Cushion 2.30%; - Class B-R: 'Asf' / Default 40.20% / Recovery 51.90% / Cushion 5.30%; - Class C-1-AR: 'Asf' / Default 40.20% / Recovery 51.90% / Cushion 0.00%; - Class C-1-B: 'BBB-sf' / Default 31.30% / Recovery 61.90% / Cushion 9.00%; - Class C-2-RF: 'BBB-sf' / Default 31.30% / Recovery 61.90% / Cushion 5.80%; - Class D: 'BB-sf' / Default 26.20% / Recovery 66.90% / Cushion 2.60%; - Class E: 'B-sf' / Default 21.00% / Recovery 71.90% / Cushion 0.50%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AA+sf' for class A-2-AR, between 'BBB+sf' and 'A+sf' for class A-2-BR, between 'BB-sf' and 'Asf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-1-AR, between less than 'B-sf' and 'BBB+sf' for class C-1-B, between less than 'B-sf' and 'BBB-sf' for class C-2-RF, between less than 'B-sf' and 'B+sf' for class D, and less than '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-AR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-BR, 'AA+sf' for class B-R, 'A+sf' for class C-1-AR, 'A+sf' for class C-1-B, 'A-sf' for class C-2-RF, 'BBB+sf' for class D, and 'BB+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 Vibrant CLO XR, 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. VISIO 2026-1: S&P Assigns B- (sf) Rating on Class B-2 Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Visio 2026-1 Trust's mortgage-backed notes. Visio 2026-1 Trust's issuance is an RMBS transaction backed by investor-only, business-purpose, first-lien, fixed- and adjustable-rate residential mortgage loans secured by single-family residences, planned unit developments, condominiums, and two- to four-family residential properties to both prime and non-prime borrowers. The note issuance is an RMBS transaction backed by investor-only, business-purpose, first-lien, fixed- and adjustable-rate residential mortgage loans secured by single-family residences, planned unit developments, condominiums, and two- to four-family residential properties to both prime and non-prime borrowers. The pool consists of 1,013 loans that are exempt from ability-to-repay rules. There are no cross-collateralized loans in the pool. S&P said, "After we assigned our preliminary ratings on July 17, 2026, the issuer decided not to issue the class A-1A, A-1B, and A-1PT notes on the closing date. In addition, the class A-1FCF, A-1LCF, and A-1 notes were resized, and the class B-1 notes were priced at a net weighted average coupon rate. The credit enhancement on each class remains unchanged. After analyzing the final coupons and updated structure, we assigned final ratings to the classes that remain unchanged from the preliminary ratings." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The reviewed originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Visio 2026-1 Trust Class A-1FCF, $170,511,000: AAA (sf) Class A-1LCF, $56,837,000: AAA (sf) Class A-1, $227,348,000: AAA (sf) Class A-2, $22,270,000: AA (sf) Class A-3, $7,370,000: A+ (sf) Class M-1, $35,248,000: BBB (sf) Class B-1, $15,221,000: BB- (sf) Class B-2, $7,690,000: B- (sf) Class B-3, $5,287,673: NR Class XS, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The class XS notes will have a notional amount equal to the aggregate unpaid principal balance of the mortgage loans as of the first day of the related collection period. NR--Not rated. N/A--Not applicable. VOYA CLO 2024-2: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Voya CLO 2024-2, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Voya CLO 2024-2, Ltd. A-1-R 92920HAL0 LT NRsf New Rating NR(EXP)sf A-2-R 92920HAN6 LT AAAsf New Rating AAA(EXP)sf B-R 92920HAQ9 LT AAsf New Rating AA(EXP)sf C-R 92920HAS5 LT Asf New Rating A(EXP)sf D-1-R 92920HAU0 LT BBB-sf New Rating BBB-(EXP)sf D-2-R 92920HAW6 LT BBB-sf New Rating BBB-(EXP)sf E-R 92920JAE2 LT BB-sf New Rating BB-(EXP)sf F-R 92920JAG7 LT NRsf New Rating NR(EXP)sf Transaction Summary Voya CLO 2024-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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 22.47. 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 97.83% first-lien senior secured loans and has a weighted average recovery assumption of 73.65%. 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 five-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. Fitch has assigned ratings to the class C-R, D-1-R, D-2-R and E-R notes below their respective MIRs. Class C-R is rated one notch below its MIR, while classes D-1-R, D-2-R and E-R are each rated two notches below their MIRs. The credit enhancement available to these classes is consistent with levels observed in comparable transactions at the respective assigned rating levels and supports the assigned ratings below the higher MIRs. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBBsf' for class D-1-R, and between less than 'B-sf' and 'BBB-sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 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. Date of Relevant Committee 15 July 2026 ESG Considerations Fitch does not provide ESG relevance scores for Voya CLO 2024-2, 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. VOYA CLO 2024-2: Moody's Assigns B3 Rating to $250,000 F-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of refinancing notes (the Refinancing Notes) issued by Voya CLO 2024-2, Ltd. (the Issuer): US$320,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Refinancing Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, senior secured bonds, senior unsecured bonds, senior secured notes and unsecured loans. Voya Alternative Asset Management LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the six other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3002 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. WELLS FARGO 2019-C52: Fitch Lowers Rating on Cl. G-RR Debt to 'Csf' ------------------------------------------------------------------- Fitch Ratings has downgraded three and affirmed nine classes in Wells Fargo Commercial Mortgage Trust 2019-C52 (WFCM 2019-C52). The Outlooks remain Negative for classes B, C, D-RR, and X-B. Fitch has also downgraded MOA 2020-WC52 E (2019 C52 III Trust) and affirmed MOA 2020-WC52 D (2019 C52 IV Trust). Entity/Debt Rating Prior ----------- ------ ----- MOA 2020-WC52 D D-RR 90215QAA2 LT BBsf Affirmed BBsf WFCM 2019-C52 A-4 95002MAW9 LT AAAsf Affirmed AAAsf A-5 95002MAX7 LT AAAsf Affirmed AAAsf A-S 95002MBA6 LT AAAsf Affirmed AAAsf A-SB 95002MAV1 LT AAAsf Affirmed AAAsf B 95002MBB4 LT AA-sf Affirmed AA-sf C 95002MBC2 LT BBBsf Affirmed BBBsf D-RR 95002MAA7 LT BBsf Affirmed BBsf E-RR 95002MAE9 LT CCCsf Downgrade Bsf F-RR 95002MAG4 LT CCsf Downgrade CCCsf G-RR 95002MAJ8 LT Csf Downgrade CCsf X-A 95002MAY5 LT AAAsf Affirmed AAAsf X-B 95002MAZ2 LT BBBsf Affirmed BBBsf MOA 2020-WC52 E E-RR 90216LAA2 LT CCCsf Downgrade Bsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating cases have increased to 6.6% compared with 5.8% at Fitch's prior rating action. Fitch Loans of Concern (FLOCs) comprise 11 loans (18.2% of the pool) including two specially serviced loans (6%). The downgrades reflect higher pool loss expectations since Fitch's prior rating action, driven primarily by higher expected losses on 3300 Renner (3.9%), specially serviced 188 Spear (2.5%) and 40 East Verdugo (1.1%), as well as sustained higher expected losses on the specially serviced Sugar Creek Center (3.5%). The Negative Outlooks reflect the potential for future downgrades if performance of the FLOCs continues to deteriorate, including declines in the value of the specially serviced assets, primarily Sugar Creek Center and 188 Spear. Largest contributor to Loss: The largest contributor to overall pool loss expectations is Sugar Creek Center, a 193,996-sf office property located at One Sugar Creek Center Boulevard, Sugar Land, Texas. The loan transferred to special servicing in January 2024 and a receiver was appointed in April 2024. The receiver's leasing team has completed multiple lease renewals and expansions, as well as two new leases, and is actively negotiating additional renewals and engaging with prospective tenants. Property occupancy has improved to 70% as of YE 2025, an increase from 63% at YE 2024 and 66% at YE 2023. According to servicer updates, a potential sale is being negotiated. Fitch's 'Bsf' rating case loss of 49% (before concentration add-ons) reflects a stress to the most recent servicer reported appraised value reflecting a recovery value of $90 psf. The second-largest overall contributor to pool loss expectations is the 3300 Renner loan (3.9%), which is secured by a 185,078-sf single tenant office property located at 3300 E Renner Road, Richardson, TX. The loan has been designated as a FLOC because the single tenant, Genpact, is expected to vacate after exercising its early termination option, which will end the lease in August 2026. The loan was structured with a $3.5 million early termination payment. As of June 2026, the loan had $3.9 million in reserves. 100% of the space is available for sublease. The loan remains current; however, given the near-term departure of the tenant, a default is possible. Fitch's 'Bsf' rating case loss of 23% (before concentration add-ons) reflects an elevated probability of default due to the likelihood of near-term full vacancy. It also reflects a Fitch stressed value of $138 psf, which is based on a dark value analysis that incorporates a market rental rate, stabilized market vacancy, and assumptions for carrying costs and leasing expenses. The Negative Outlooks reflect the potential for downgrades because of the uncertainty surrounding the property's re-tenanting. The third-largest overall contributor to expected loss is the 40 East Verdugo loan, which is secured by a 24,475-sf office located in Burbank, CA. The property was 100% occupied by Common Grounds LLC, a co-working space provider which vacated prior to its September 2028 lease expiration. According to servicer updates, the property is being marketed for rent. Fitch's 'Bsf' rating case loss of 50% (before concentration add-ons) reflects an elevated probability of default due to the property being vacant. The largest increase in expected loss since the last rating action is 188 Spear Street loan. The loan transferred to special servicing in March 2026 due to imminent monetary default, as the largest tenant, Amazon (59% NRA and 57% rent), confirmed it will be vacating after its January 2027 lease expires. The loan is secured by a 218,669-sf office property in San Francisco, CA. The lease for the second-largest tenant, New Relic INC (34% NRA and 34% rent), expires July 2027, and renewal intentions have not been provided to the servicer. Per CoStar, the space for both tenants is available for leasing. As of YE 2025 servicer reported occupancy and DSCR were 97% and 3.54x. Occupancy would decline to 37% excluding Amazon. Per Costar, the South Financial District Submarket reported a 25.9% vacancy rate and $61.95 psf in average rents. Amazon and New Relic current rent is $95 psf and $101 psf respectively. The loan is structured with a full cash flow sweep that is triggered 12 months prior to each of Amazon's and New Relic's respective lease expiration. The cash flow sweep is capped at $50 per sf for each tenant ($10.1 million: $6.5 million from Amazon and $3.7 million from New Relic). The cash sweep balance was approximately $909,000 as of April 2026. Fitch's 'Bsf' rating case loss of 18.6% (prior to concentration add-ons) reflects a 8.5% cap rate, 30% stress to YE 2025 NOI due to the expected loss of the largest tenant. Although the loan is current, Fitch's analysis also assumed an increased probability of default given transfer to special servicing, above market rents and uncertainty of replacement tenants or ultimate workout. Fitch also considered a sensitivity analysis that assumed property occupancy of 75% to align with current submarket vacancy and market to market rent of $62psf for the Amazon and New Relic space. This results in a 30% loss and reflects a Fitch stressed value of approximately $327psf, in line with recent sales comparables. The Negative Outlooks reflect this analysis and the potential for additional downgrades. Credit Enhancement: As of the July 2026 distribution date, the aggregate balance has been paid down by 19% since issuance. Additionally, eight loans (15.3% of the pool) have been defeased. The transaction has $18.6 million in realized losses to date. Cumulative interest shortfalls were $1.5 million with $1.4 million affecting the non-rated H-RR class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not expected due to high credit enhancement (CE), the senior position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' category with a Negative Outlook, may occur should performance of the FLOCs deteriorate further, expected losses increase or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include Sugar Creek Center, 3300 Renner. 188 Spear Street, El Con Center and 40 East Verdugo. Downgrades to classes rated in the 'BBBsf' and 'BBsf' categories, all of which are on Negative Outlooks, could occur with higher-than-expected losses from continued underperformance of the FLOCs. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable to improved pool-level loss expectations and performance stabilization of FLOCs. Upgrades of these classes to 'AAAsf' will also reflect the concentration of defeased loans in the transaction and would not occur if interest shortfalls are expected. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur after sustained improved performance of the FLOCs. Upgrades to 'BBsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes due to paydown and defeasance. Upgrades to distressed ratings are not likely but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS MOA 2020-WC52D MOA 2020-WC52E 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. ZAIS CLO 13: Moody's Downgrades Rating on $17MM E Notes to Caa1 --------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Zais CLO 13, Limited: US$17,000,000 Class E Deferrable Mezzanine Floating Rate Notes due 2032 (current outstanding balance $2,980,595.06), Downgraded to Caa1 (sf); previously on October 3, 2025 Affirmed B1 (sf) Zais CLO 13, Limited, originally issued in August 2019 refinanced in August 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2024. 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 E notes. The downgrade rating action on the Class E 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. [] DBRS Reviews 50 Classes Across Five US RMBS Deals ---------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed 50 classes across five U.S. residential mortgage-backed securities (RMBS) transactions. Of the five transactions reviewed, one is backed by reperforming mortgages, one by closed-end second-lien mortgages, one by home equity lines of credit, and two by home equity investments. Of the 50 classes reviewed, Morningstar DBRS upgraded its credit ratings on five classes and confirmed its credit ratings on the remaining 45 classes. The Issuers are: - SOLVE 2025-HEC1 - PRMI Securitization Trust 2024-CMG1 - Towd Point Mortgage Trust 2025-CES2 - GS Mortgage-Backed Securities Trust 2025-RPL3 - Unlock HEA Trust 2025-1 The Affected Ratings are available at https://tinyurl.com/4xj89p3k CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns June 2026 Update" published on June 25, 2026 (https://dbrs.morningstar.com/research/483872). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. [] Moody's Downgrades Ratings on 6 Bonds from 4 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has downgraded the ratings of six bonds from four US residential mortgage-backed transactions (RMBS), backed by Jumbo, 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. Issuer: Bear Stearns ARM Trust 2006-1 Cl. A-2, Downgraded to Caa1 (sf); previously on Aug 4, 2025 Downgraded to B3 (sf) Issuer: Chase Mortgage Finance Trust, Series 2005-S2 Cl. A-1, Downgraded to Caa1 (sf); previously on Jul 1, 2016 Confirmed at B3 (sf) Cl. A-17, Downgraded to Caa1 (sf); previously on Jul 1, 2016 Confirmed at B2 (sf) Cl. A-X*, Downgraded to Caa1 (sf); previously on Nov 29, 2017 Confirmed at B2 (sf) Issuer: DSLA Mortgage Loan Trust 2005-AR2 Cl. 2-A1A, Downgraded to Caa1 (sf); previously on Jul 21, 2025 Downgraded to B3 (sf) Issuer: Structured Asset Securities Corporation Mortgage Pass-Through Certificates, Series 2006-BC4 Cl. A4, Downgraded to Caa1 (sf); previously on Dec 29, 2016 Upgraded to B1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools and Moody's revised loss-given-default expectation for each bond. Each of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. 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 Methodologies The principal methodology used in rating all classes except interest-only classes 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 21 Bonds from 3 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 21 bonds from three US residential mortgage-backed transactions (RMBS), backed by 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: GCAT 2025-INV4 Trust Cl. B-1, Upgraded to Aa2 (sf); previously on Sep 24, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Sep 24, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Sep 24, 2025 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Sep 24, 2025 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B2 (sf); previously on Sep 24, 2025 Definitive Rating Assigned B3 (sf) Issuer: OBX 2021-INV1 Trust Cl. B-2, Upgraded to Aa1 (sf); previously on Sep 29, 2025 Upgraded to Aa2 (sf) Cl. B-2A, Upgraded to Aa1 (sf); previously on Sep 29, 2025 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Aa3 (sf); previously on Sep 29, 2025 Upgraded to A1 (sf) Cl. B-3A, Upgraded to Aa3 (sf); previously on Sep 29, 2025 Upgraded to A1 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Sep 29, 2025 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Sep 29, 2025 Upgraded to Ba1 (sf) Cl. B-IO2*, Upgraded to Aa1 (sf); previously on Sep 29, 2025 Upgraded to Aa2 (sf) Cl. B-IO3*, Upgraded to Aa3 (sf); previously on Sep 29, 2025 Upgraded to A1 (sf) Issuer: OBX 2022-INV4 Trust 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 Aa1 (sf); previously on Sep 29, 2025 Upgraded to Aa2 (sf) Cl. B-2A, Upgraded to Aa1 (sf); previously on Sep 29, 2025 Upgraded to Aa2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Sep 29, 2025 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Sep 29, 2025 Upgraded to Ba1 (sf) Cl. B-IO1*, Upgraded to Aaa (sf); previously on Sep 29, 2025 Upgraded to Aa1 (sf) Cl. B-IO2*, Upgraded to Aa1 (sf); previously on Sep 29, 2025 Upgraded to Aa2 (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. The transactions Moody's reviewed continue to display strong collateral performance, with no cumulative losses and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.26x for the non-exchangeable tranches upgraded. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, 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. [] Moody's Upgrades Ratings on 30 Bonds from 4 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 30 bonds from four 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(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2021-HP1 Cl. B, Upgraded to Aa3 (sf); previously on Sep 25, 2025 Upgraded to A1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Sep 25, 2025 Upgraded to Aa1 (sf) Cl. B-1-A, Upgraded to Aaa (sf); previously on Sep 25, 2025 Upgraded to Aa1 (sf) Cl. B-1-X*, Upgraded to Aaa (sf); previously on Sep 25, 2025 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Sep 25, 2025 Upgraded to Aa3 (sf) Cl. B-2-A, Upgraded to Aa2 (sf); previously on Sep 25, 2025 Upgraded to Aa3 (sf) Cl. B-2-X*, 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-3-A, Upgraded to A2 (sf); previously on Sep 25, 2025 Upgraded to A3 (sf) Cl. B-3-X*, 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) Cl. B-X*, Upgraded to Aa3 (sf); previously on Sep 25, 2025 Upgraded to A1 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-INV2 Cl. B-3, Upgraded to A3 (sf); previously on Sep 25, 2025 Upgraded to Baa1 (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) Issuer: GS Mortgage-Backed Securities Trust 2025-PJ8 Cl. B-1, Upgraded to Aa1 (sf); previously on Sep 30, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Sep 30, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Sep 30, 2025 Definitive Rating Assigned A2 (sf) Cl. B-2A, Upgraded to A1 (sf); previously on Sep 30, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Sep 30, 2025 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Sep 30, 2025 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Sep 30, 2025 Definitive Rating Assigned B3 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Sep 30, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to A1 (sf); previously on Sep 30, 2025 Definitive Rating Assigned A2 (sf) Issuer: OBX 2021-J3 Trust Cl. B-2, Upgraded to Aa3 (sf); previously on Jan 8, 2024 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Jan 8, 2024 Upgraded to A1 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Nov 26, 2024 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Nov 26, 2024 Upgraded to Ba1 (sf) Cl. B-X-2*, Upgraded to Aa3 (sf); previously on Jan 8, 2024 Upgraded to A1 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under 0.13% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average 1.3x, for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because their expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement, and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 6 Bonds from 3 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of six bonds from three US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: RASC Series 2003-KS7 Trust Cl. M-I-1, Upgraded to A2 (sf); previously on Sep 25, 2025 Upgraded to Baa3 (sf) Cl. M-I-2, Upgraded to Caa3 (sf); previously on Sep 25, 2025 Upgraded to Ca (sf) Issuer: Renaissance Home Equity Loan Trust 2004-4 Cl. AF-6, Upgraded to Aa3 (sf); previously on Jul 15, 2025 Downgraded to A1 (sf) Issuer: Soundview Home Loan Trust 2007-OPT4 Cl. II-A-2, Upgraded to Ba3 (sf); previously on May 22, 2025 Upgraded to B3 (sf) Cl. II-A-3, Upgraded to Ba3 (sf); previously on May 22, 2025 Upgraded to B3 (sf) Cl. X-2*, Upgraded to Ba3 (sf); previously on May 22, 2025 Upgraded to B3 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, 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 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 considers the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance and the potential impact of any collateral volatility on the model output. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations: 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 8 Bonds from 4 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of eight bonds from four US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Aegis Asset Backed Securities Trust 2004-2 Cl. B1, Upgraded to Caa1 (sf); previously on Jun 10, 2025 Upgraded to Caa2 (sf) Cl. M3, Upgraded to Aa2 (sf); previously on Jun 10, 2025 Upgraded to A2 (sf) Issuer: Aegis Asset Backed Securities Trust 2004-3 Cl. B1, Upgraded to Baa3 (sf); previously on Jun 12, 2025 Upgraded to Ba2 (sf) Cl. M2, Upgraded to Aaa (sf); previously on Jun 12, 2025 Upgraded to Aa1 (sf) Cl. M3, Upgraded to A1 (sf); previously on Jun 12, 2025 Upgraded to Baa1 (sf) Issuer: Chase Funding Trust, Series 2004-1 Cl. IIA-2, Upgraded to Aa2 (sf); previously on Jun 9, 2025 Upgraded to A1 (sf) Cl. IM-1, Upgraded to Ba1 (sf); previously on Jun 9, 2025 Upgraded to B1 (sf) Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2006-B Cl. 2A-4, Upgraded to Aa3 (sf); previously on Jan 29, 2025 Upgraded to Baa1 (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. Class B-1 from Aegis Asset Backed Securities Trust 2004-2 has incurred a missed or delayed disbursement of an interest payment and is 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 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. 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. [] S&P Takes Various Actions on 384 Classes From 131 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 384 ratings from 131 U.S. RMBS transactions issued between 1999 and 2007. The review yielded 67 upgrades, 252 affirmations, 20 downgrades, 34 withdrawals, and 11 discontinuances. A list of Affected Ratings can be viewed at: https://tinyurl.com/y5x7hkv6 Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. These considerations may include: -- Collateral performance and delinquency trends; -- An increase or decrease in available credit support; -- Available subordination or overcollateralization or both; -- Historical and/or outstanding missed interest payments or interest shortfalls; -- Assessment of reduced interest payments due to loan modifications and other credit-related events; -- Principal write-downs; -- Payment priority; -- Interest-only criteria; -- Principal-only criteria; -- Expected duration; and -- A small loan count. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. "The upgrades primarily reflect the classes' increased credit support, expected shorter duration, and resulting ability to withstand a higher level of projected losses than we had previously anticipated. "The affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections." The downgrades primarily reflect an erosion of credit support, an increase in delinquencies, failed base-case loss stresses, and our assessment of reduced interest payments due to loan modifications and other credit-related events. S&P said, "To determine the maximum potential rating for the lowered ratings that reflect our assessment of reduced interest payments due to loan modifications and other credit-related events, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect during the security's remaining term. "In addition, we withdrew our ratings on 34 classes from 10 transactions due to the small remaining loan count on the related structures. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level. As a result, we applied our interest-only and principal-only criteria on five of the withdrawals. "We also discontinued our ratings on 11 classes from 10 transactions because the classes were paid down or were unlikely to be upgraded to a rating higher than 'D (sf)' in the future under the relevant criteria." ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. 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