260809.mbx

260809.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 9, 2026, Vol. 30, No. 221 Headlines AFFIRM MASTER 2026-3: Fitch Assigns 'BBsf' Rating on Class E Notes ALLEGRO CLO V-S: Fitch Alters Outlook on 'Bsf' Rating to Stable APIDOS CLO LVII: Fitch Assigns 'BB-sf' Rating on Class E Notes ARES LXXI: Fitch Affirms 'B-sf' Rating on Class F Notes ASPIRE MORTGAGE 2026-4: S&P Assigns B (sf) Rating on Cl. B-2 Certs AUDAX SENIOR 9: S&P Assigns BB- (sf) Rating on Class E-R Notes BANK 2019-BNK20: Fitch Affirms 'Csf' Rating on Class G Certs BARCLAYS MORTGAGE 2026-NQM6: S&P Assigns B sf) Rating on B-2 Notes BAYVIEW OPPORTUNITY 2026-CES2: Fitch Rates Five Tranches 'B(EXP)sf' BBCMS MORTGAGE 2022-C15: Fitch Lowers Rating on G-RR Certs to CCsf BENEFIT STREET XXII: S&P Assigns BB- (sf) Rating on Cl. E-R3 Notes BIRCH GROVE 4: Fitch Affirms 'BBsf' Rating on Class E-R Notes BLACKROCK MAROON XI: S&P Lowers Class E-R Notes Rating to 'B- (sf) BRYANT PARK 2021-17R: S&P Lowers Cl. E-R Notes Rating to 'B+ (sf)' BRYANT PARK 2026-30: S&P Assigns Prelim BB- (sf) Rating on E Notes CANYON CLO 2019-1: S&P Assigns B+ (sf) Rating on Class E-RR Notes CARLYLE US 20211-11: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes CHASE AUTO 2026-1: Moody's Assigns B3 Rating to Class F Notes CHASE HOME 2026-CINV2: Moody's Assigns B3 Rating to Cl. B-5 Certs CITIGROUP MORTGAGE 2026-RP2: Fitch Rates Class B-2 Notes 'Bsf' COLT 2026-6: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs CONNECTICUT AVENUE 2026-R04: Moody's Rates 17 Tranches '(P)Ba1' CSFB ADJUSTABLE 2005-10: Moody's Ups Rating on 5-A-1 Certs to B1 DEUTSCHE ALT-A 2007-OA5: S&P Lowers Class A1B Notes Rating to 'D' EXTENET ISSUER 2024-1: Moody's Cuts Rating on Class B Notes to Ba2 FORTRESS CREDIT XIV: S&P Affirms B+ (sf) Rating on Class E Notes FORTRESS CREDIT XXVII: Fitch Assigns 'BB-sf' Rating on Cl. E Notes GLS AUTO 2026-3: S&P Assigns Prelim BB (sf) Rating on Class E Notes GOAL STRUCTURED 2015-1: Fitch Affirms 'BBsf' Rating on Cl. B Notes GS MORTGAGE-BACKED 2026-NQM5: S&P Assigns B(sf) Rating on B-2 Certs HALSEYPOINT CLO 4: Fitch Assigns 'BB-sf' Rating on Class E-3R Notes JP MORGAN 2018-AON: S&P Lowers X-B Certs Rating to 'CCC- (sf)' JP MORGAN 2026-HYB2: Fitch Assigns B(EXP)sf Rating on Cl. B5 Notes KRR CLO 30: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes LAD SELECT 2026-A: Moody's Assigns Ba3 Rating to Class E Notes MADISON PARK LXVII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes MORGAN STANLEY 2026-NEW2: S&P Assigns (P) 'B' Rating on B-2 Certs NEUBERGER BERMAN 56: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes NEW RESIDENTIAL 2026-NQM9: Fitch Rates Class B2 Notes 'B-(EXP)sf' NORTHWOODS CAPITAL 25: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes NYMT LOAN 2026-INV4: Moody's Assigns B3 Rating to Cl. B-2 Certs OBX 2026-AHC3: Moody's Assigns B3 Rating to Cl. B-5 Certs OBX 2026-INV5: Moody's Assigns B3 Rating to Cl. B-5 Certs OBX 2026-J2: Moody's Assigns B3 Rating to Cl. B-5 Certs OCTANE RECEIVABLES 2026-RVM1: S&P Assigns 'BB+' Rating on E Notes ONE WIND 2022-1: S&P Affirms 'B (sf)' Rating on Class E Notes PARK AVENUE 2022-2: S&P Assigns BB-(sf) Rating on Class D-R2 Notes PRKCM 2026-AFC5: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes PRMI SECURITIZATION 2026-CMG1: Fitch Rates Class B2 Notes 'B+sf' RR 46: Fitch Assigns 'BB-sf' Rating on Cl. D Notes, Outlook Stable SEQUOIA MORTGAGE 2026-10: Fitch Rates Class B5 Certs 'B(EXP)sf' SEQUOIA MORTGAGE 2026-9: Fitch Assigns 'Bsf' Rating on Cl. B5 Certs SEQUOIA MORTGAGE 2026-MED2: Fitch Assigns 'Bsf' Rating on B2 Certs SLM STUDENT 2010-2: S&P Lowers Sr Class A Notes Rating to 'B-(sf)' TRESTLES 2017-1: Fitch Assigns 'B(EXP)sf' Rating on Cl. F-R3 Notes TRINITAS CLO XXXVI: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes UPG HI 2026-2: Fitch Assigns 'BBsf' Final Rating on Class C Notes VERUS SECURITIZATION 2026-INV1: S&P Rates B-2 Notes (P) B- (sf) VERUS SECURITIZATION 2026-R6: Fitch Rates Class B-2 Notes 'B-sf' VOYA CLO 2024-3: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E-R Notes WELLINGTON MANAGEMENT 3: Moody's Assigns B3 Rating to Cl. F-R Notes WESTLAKE AUTOMOBILE 2026-3: S&P Assigns (P) BB Rating on E Notes WHETSTONE PARK: S&P Raises Class E Notes Rating to B+ (sf) WIND RIVER 2020-1: Fitch Affirms 'BB-sf' Rating on Class E-R Notes [] Fitch Affirms 'BB' Ratings on Three Elara HGV Transactions [] Fitch Affirms 'Bsf' Ratings on Three HINNT Transactions [] Fitch Takes Actions on 5 US CMBS 2014 Vintage Conduit Deals [] Fitch Takes Rating Actions on 2 Series of RCKTL Notes [] S&P Takes Various Actions on 185 Classes From Six US RMBS Deals ********* AFFIRM MASTER 2026-3: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Affirm Master Trust Series 2026-3 notes issued by Affirm Master Trust (AFRMT). Entity/Debt Rating Prior ----------- ------ ----- Affirm Master Trust Series 2026-3 A 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 RR LT NRsf New Rating NR(EXP)sf Transaction Summary Series 2026-3 is the sixth point-of-sale consumer loan ABS issuance from AFRMT. The series is backed by a revolving pool of fixed-rate or zero-coupon fully amortizing point-of-sale unsecured consumer loans originated by certain third-party or affiliated originators and sold to Affirm, Inc. Affirm is the sponsor of the transaction. AFRMT 2026-3 is Affirm's 26th capital markets securitization trust and the 11th to be rated by Fitch. At pricing, the transaction upsized to a total offered notes balance of $750,000,000 from $500,000,000 expected on the announcement date. KEY RATING DRIVERS Consistent Collateral Quality: The weighted average (WA) FICO for AFRMT 2026-3 is 671, the lowest among the master trust transactions as well as all prior AFFRM revolving ABS trusts, except for AFFRM 2022-A, which had a WA FICO score of 668. The pool consists of 36.3% Affirm Grade A loans, which historically have produced the lowest defaults. Affirm Grade E loans, which have historically produced the highest defaults, make up the smallest proportion of the pool at only 0.5% of AFRMT 2026-3. Of the pool, 83.4% of loans are interest-bearing. The WA contract rate excluding noninterest-bearing loans is 29.6%, consistent with 2026-2. Affirm's core installment loan product represents the vast majority of the AFRMT 2026-3 pool at 97.0%, while split pay receivables comprise the remaining 3.0%. Limited by Stable Performance Trends: Affirm tightened its underwriting from 2022 to 2023 after the 2022 vintage experienced elevated defaults amid broader credit exposure and macroeconomic pressures. This tightening contributed to improved performance in the 2023 vintage. Early 2024 data showed a modest uptick in defaults, primarily driven by higher first payment defaults, followed by stabilization in 2H24, with early 2025 data indicating signs of continued improvement. Fitch's default assumption for the pool as of the statistical calculation date is 4.04%. However, a base case default assumption of 4.64% was assigned to the worst-case portfolio to account for the two-year revolving nature of the pool and is used in the analysis until the revolving period is finished. The 4.64% base case assumption is consistent with the 4.6% assigned to 2026-2. The base case assumption is an expected case reflecting near-term economic conditions and expectations for additional cooling of the U.S. labor market. The base case default assumption was established utilizing Affirm's internal loan grades. Origination volumes were much lower during a relatively benign economic environment prior to 2021. Although all performance history was considered in the analysis, Fitch used the 2023 and 2024 vintages as relevant comparative years to derive a gross default assumption. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 24.14%, 17.99%, 12.14%, 8.44% and 3.74% of the adjusted pool balance for class A, B, C, D and E notes, respectively. Fitch tested the initial CE under stressed cash flow assumptions for all classes and found that the classes pass all stresses at the rating level assigned to the respective class of notes. Fitch applied a 'AAAsf' rating stress of 5.50x to the base case default rate for the AFRMT 2026-3 transaction, similar to 2026-2 but down from a 5.75x multiple for the prior series in the master trust. The default multiple reflects several factors, including the absolute value of the default assumption, the length of default performance history, recent performance data that show stabilization and remain close to expectations, and the length of the revolving period. The revolving period exposes the trust to potential performance degradation from negative pool migration. The stress multiples decrease for lower rating levels according to the median/higher prescribed multiples described in Fitch's "Consumer ABS Rating Criteria." Assurance for True Lender Status for Partner Bank-Loan Origination: Affirm's securitization transactions involve consumer loans originated by Affirm Loan Services LLC and three key partner banks: Cross River Bank, a New Jersey state-chartered commercial bank; Celtic Bank, a Utah state-chartered industrial bank; and Lead Bank, a Missouri state-chartered bank. The banks' true lender status in the context of Affirm's loan acquisition is subject to legal and regulatory uncertainty, especially if the loans' interest rates exceeded those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that Affirm, rather than Cross River Bank, Celtic Bank, Lead Bank or another originating bank partner, is the true lender, loans could be declared unenforceable, void or subject to interest rate reductions and other penalties. This would increase negative rating pressure. For a receivable to be considered eligible for the pool, it may not exceed the civil usury limit of its applicable state. Fitch's analysis and expected ratings reflect a review of the transaction's eligibility criteria for selecting the receivables for AFRMT 2026-3, which reduces exposure to loans with interest rates above usury caps. Fitch also performed an operational risk review and deemed Affirm's compliance, legal and operational capabilities acceptable for complying with consumer protection regulations. Fitch also considered unique aspects of its loan products, such as their overall small balance and short tenor, which it considers supportive. Adequate Servicing Capabilities: Affirm has shown an acceptable consumer loan servicing record. Affirm partners with several subservicers to manage customer care and first- and third-party collections. All subservicers are trained on Affirm materials and systems and are subject to Affirm policies and procedures. In addition, Nelnet Servicing, LLC is the named backup servicer and has shown an acceptable consumer loan servicing record, which helps limit servicing disruption. Fitch considers all servicers adequate for the consumer loan pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption by an additional 10%, 25% and 50% and examining the rating implications. These increases of the base case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. An additional sensitivity run lowering recoveries by 10%, 25% and 50% is also conducted. During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of investments under higher than the initial base case default assumptions. Fitch models cash flows with the revised default estimates while holding constant all other modeling assumptions. Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'. Increased default base case by 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BBBsf'/'BBsf'; Increased default base case by 25%: 'AAsf'/'Asf'/'BBB+sf'/'BBB-sf'/'B+sf'; Increased default base case by 50%: 'A+sf'/'A-sf'/'BBB-sf'/'BBsf'/'Bsf'. Increased default base case by 10%/decreased recovery base case by 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BBBsf'/'BB-sf'; Increased default base case by 25%/decreased recovery base case by 25%: 'AAsf'/'Asf'/'BBB+sf'/'BB+sf'/'B+sf'; Increased default base case by 50%/decreased recovery base case by 50%: 'A+sf'/'BBB+sf'/'BBB-sf'/'BBsf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies would lead to increasing CE levels and the potential for upgrades. If defaults are 20% less than the projected base case default rate, the expected ratings for the class C, D and E notes could be upgraded by one category. Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'. Decreased default base case by 20%: 'AAAsf'/'AAAsf'/'AA-sf'/'Asf'/'BBB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ALLEGRO CLO V-S: Fitch Alters Outlook on 'Bsf' Rating to Stable --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Allegro CLO V-S, Ltd. refinancing notes. In addition, Fitch has affirmed the class D-1 and D-2 notes with Stable Outlooks. Fitch has also affirmed the class E and F notes and revised the Outlooks to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- Allegro CLO V-S, Ltd. A-1 01750RAC4 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2 01750RAE0 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B-1 01750RAG5 LT PIFsf Paid In Full AA+sf B-2 01750RAJ9 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C-F 01750RAL4 LT PIFsf Paid In Full Asf C-R LT Asf New Rating C-T 01750RAN0 LT PIFsf Paid In Full Asf D-1 01750RAQ3 LT BBBsf Affirmed BBBsf D-2 01750RAS9 LT BBB-sf Affirmed BBB-sf E 01751CAA0 LT BB-sf Affirmed BB-sf F 01751CAC6 LT Bsf Affirmed Bsf X 01750RAA8 LT PIFsf Paid In Full AAAsf X-R LT AAAsf New Rating Transaction Summary Allegro CLO V-S, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by AXA Investment Managers US Inc. that originally closed in July 2024. On July 24, 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 $390 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+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.54 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 10.19% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.96% 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 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 July 24, 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 372 assets from 337 primarily high yield obligors. In Fitch's view, 0.3% of the portfolio consists of assets that are rated 'CC' or below. The portfolio balance (excluding defaults and including principal cash) is approximately $389 million. As of the latest trustee report prior to the refinance date, all 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 45.0% of the current portfolio par balance; ratings for 54.0% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 1.0% were unrated. As per Fitch's criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and on the indicative portfolio for the non-refinanced notes, if any. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 15.0%, 14.0%, and 10.0%, respectively; - Assumed risk horizon: 6 years; - Minimum weighted average spread of 3.00%; - 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 7.00%. The transaction will exit its reinvestment period on July 24, 2029. Fitch assigned the class C-R notes at 'Asf' with a Stable Outlook, one notch below the model-implied rating (MIR) of 'A+sf', and affirmed the class D-1 notes at 'BBBsf' with a Stable Outlook, one notch below the MIR of 'BBB+sf'. In Fitch's view, the MIR does not adequately reflect the transaction's recent adverse performance trend, including realized losses in the current portfolio, or the below-average credit enhancement available to these tranches. These factors indicate a higher likelihood of further credit deterioration and weaker recovery prospects, increasing the tranches' sensitivity to additional portfolio stress. Fitch therefore believes that an upgrade in line with the MIR could be reversed in the near term and has assigned the ratings on the class C-R and affirmed the class D-1 notes instead. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class X-R: 'AAAsf' / Default 39.60% / Recovery 39.39% / Cushion 60.40%; - Class A-1-R: 'AAAsf' / Default 39.60% / Recovery 39.39% / Cushion 16.80%; - Class A-2-R: 'AAAsf' / Default 39.60% / Recovery 39.39% / Cushion 15.10%; - Class B-R: 'AAsf' / Default 36.70% / Recovery 48.77% / Cushion 11.90%; - Class C-R: 'Asf' / Default 32.30% / Recovery 58.51% / Cushion 13.70%; - Class D-1: 'BBBsf' / Default 27.30% / Recovery 68.50% / Cushion 13.30%; - Class D-2: 'BBB-sf' / Default 24.60% / Recovery 68.29% / Cushion 8.40%; - Class E: 'BB-sf' / Default 20.50% / Recovery 73.17% / Cushion 3.60%; - Class F: 'Bsf' / Default 18.20% / Recovery 78.02% / Cushion 4.10%. FSP Model Outputs: - Class X-R: 'AAAsf' / Default 47.80% / Recovery 37.75% / Cushion 52.20%; - Class A-1-R: 'AAAsf' / Default 47.80% / Recovery 37.75% / Cushion 7.60%; - Class A-2-R: 'AAAsf' / Default 47.80% / Recovery 37.75% / Cushion 6.00%; - Class B-R: 'AAsf' / Default 44.60% / Recovery 45.50% / Cushion 2.50%; - Class C-R: 'Asf' / Default 39.70% / Recovery 55.50% / Cushion 6.30%; - Class D-1: 'BBBsf' / Default 34.20% / Recovery 65.50% / Cushion 6.30%; - Class D-2: 'BBB-sf' / Default 31.00% / Recovery 65.50% / Cushion 3.40%; - Class E: 'BB-sf' / Default 26.00% / Recovery 70.50% / Cushion 0.00%; - Class F: 'Bsf' / Default 23.40% / Recovery 75.50% / Cushion 0.90%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'A+sf' and 'AAAsf' for class A-1-R, between 'A+sf' and 'AAAsf' for class A-2-R, between 'BBB-sf' and 'A+sf' for class B-R, between 'B+sf' and 'A+sf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'B+sf' for class E, and less than 'B-sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1, 'Asf' for class D-2, 'BBB+sf' for class E, and 'BBB-sf' for class F. 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 Allegro CLO V-S, 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. APIDOS CLO LVII: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO LVII. Entity/Debt Rating ----------- ------ Apidos LVII 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 F LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Apidos CLO LVII (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.84. 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 97.38% first-lien senior secured loans and has a weighted average recovery assumption of 72.32%. 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 'BBBsf' for class D-1, and between less than 'B-sf' and 'BBB-sf' for class D-2 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, and 'A+sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO LVII. 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. ARES LXXI: Fitch Affirms 'B-sf' Rating on Class F Notes ------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXXI CLO Ltd. refinancing notes. Fitch has also affirmed the class D, E, and F notes with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Ares LXXI CLO Ltd. A-1 04020MAA7 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-2 04020MAC3 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 04020MAE9 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 04020MAG4 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 04020MAJ8 LT BBB-sf Affirmed BBB-sf E 04020NAA5 LT BB-sf Affirmed BB-sf F 04020NAC1 LT B-sf Affirmed B-sf Transaction Summary Ares LXXI CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. This is the first refinancing of deal, which originally closed in May 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $497 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 22.89 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 96.46% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.79% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate 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 2.7-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 24, 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 422 assets from 359 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $497 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 45.5% of the current portfolio par balance; ratings for 54.3% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.2% were unrated. As per Fitch's criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and on the indicative portfolio for the non-refinanced notes, if any. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 1.5% each, for an aggregate of 7.5%; - Largest three industries: 15.0%, 14.0%, and 10.0%, respectively; - Assumed risk horizon: six years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 68.70%; - Maximum weighted average rating factor of 24.00; - Fixed rate assets: 5.00%; - Minimum weighted average coupon of 7.00%. The transaction will exit its reinvestment period on April 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-1-R: 'AAAsf' / Default 41.00% / Recovery 39.27% / Cushion 19.00%; - Class A-2-R: 'AAAsf' / Default 41.00% / Recovery 39.27% / Cushion 13.80%; - Class B-R: 'AAsf' / Default 38.10% / Recovery 48.82% / Cushion 13.30%; - Class C-R: 'Asf' / Default 33.80% / Recovery 58.88% / Cushion 17.20%; - Class D: 'BBB-sf' / Default 25.90% / Recovery 68.73% / Cushion 18.20%; - Class E: 'BB-sf' / Default 21.60% / Recovery 73.61% / Cushion 11.00%; - Class F: 'B-sf' / Default 17.20% / Recovery 79.07% / Cushion 11.00%. FSP Model Outputs: - Class A-1-R: 'AAAsf' / Default 47.00% / Recovery 36.85% / Cushion 9.60%; - Class A-2-R: 'AAAsf' / Default 47.00% / Recovery 36.85% / Cushion 5.10%; - Class B-R: 'AAsf' / Default 43.80% / Recovery 43.70% / Cushion 3.80%; - Class C-R: 'Asf' / Default 39.10% / Recovery 53.70% / Cushion 7.20%; - Class D: 'BBB-sf' / Default 30.70% / Recovery 63.70% / Cushion 10.50%; - Class E: 'BB-sf' / Default 25.80% / Recovery 68.70% / Cushion 3.90%; - Class F: 'B-sf' / Default 21.00% / Recovery 73.70% / 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 'AAAsf' for class A-1-R, between 'Asf' and 'AAAsf' for class A-2-R, between 'BBB+sf' 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, between less than 'B-sf' and 'B+sf' for class E, and less than 'B-sf' for class F. 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, 'BBB+sf' for class E, and 'BB+sf' for class F. 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 Ares LXXI 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ASPIRE MORTGAGE 2026-4: S&P Assigns B (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Aspire Mortgage Trust 2026-4's mortgage-backed certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of three months. The mortgage loans have primarily 30-year maturities, though some of them have 40-year maturities and four have 20-year maturities. The loans are secured by single-family residential properties, planned-unit developments, condominiums, two- to four-family residential properties, and condotels. The pool consists of 1,070 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate), QM/higher priced mortgage loan, non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt loans. S&P said, "After we assigned preliminary ratings on July 20, 2026, the issuer resized the transaction and decided not to issue the class A-1A and A-1B certificates on the closing date. In turn, the certificate amounts of class A-1FCF, class A-1LCF, and exchangeable class A-1 were increased to $288.42 million from $144.30 million, to $96.14 million from $48.10 million, and to $384.56 million from $192.40 million, respectively. Additionally, the credit enhancement levels slightly increased for the class A-1FCF, A-1LCF, A-1, A-3, M-1, B-1, and B-2 certificates. The class B-1 certificates were priced at a net weighted average coupon rate. After analyzing the final coupons and the updated structure, we assigned ratings to the classes, which remain unchanged from the preliminary ratings. Further, we withdrew the preliminary ratings assigned to the class A-1A and A-1B certificates." 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 aggregator, Aspire Residential Conduit--Redwood Trust Inc.; -- The mortgage originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Aspire Mortgage Trust 2026-4 Class A-1FCF, $288,420,000: AAA (sf) Class A-1LCF, $96,140,000: AAA (sf) Class A-1, $384,560,000: AAA (sf) Class A-2, $23,625,000: AA (sf) Class A-3, $38,758,000: A (sf) Class M-1, $19,133,000: BBB (sf) Class B-1, $10,303,000: BB (sf) Class B-2, $8,340,000: B (sf) Class B-3, $5,888,151: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR Class LT-R, N/A: NR (i)The ratings address the ultimate payment of interest and principal; they do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $490,607,151. N/A--Not applicable. NR--Not rated. AUDAX SENIOR 9: S&P Assigns BB- (sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-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 new class X debt from Audax Senior Debt CLO 9 LLC, a CLO managed by Audax Management Company (NY) LLC that was originally issued in March 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B, C, D, and E debt following payment in full on the Aug. 6, 2026, refinancing date. The replacement and new debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-1-R-L, A-2-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R debt was issued at a lower spread over three-month SOFR than the previous debt. -- The previous class A debt was replaced by the replacement class A-1-R and A-1-R-L debt; the previous class B debt was replaced by the replacement class B-1-R and B-2-R debt, pro rata; and the previous class D debt was split into replacement class D-1-R and D-2-R debt. -- The non-call period was extended to Oct. 20, 2028. -- The reinvestment period was extended to Oct. 20, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Oct. 20, 2038. -- The target initial par amount reduced to $513.793 million from the previous $600.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2026. -- New class X debt was issued on the refinancing date. This debt was 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 were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Audax Senior Debt CLO 9 LLC Class X, $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) Ratings Withdrawn Audax Senior Debt CLO 9 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from '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. BANK 2019-BNK20: Fitch Affirms 'Csf' Rating on Class G Certs ------------------------------------------------------------ Fitch Ratings has affirmed 13 classes of BANK 2019-BNK20 Commercial Mortgage Pass-Through Certificates series 2019-BNK20. The Outlook for class A-S has been revised from Negative to Stable. Entity/Debt Rating Prior ----------- ------ ----- BANK 2019-BNK20 A-2 06540AAC5 LT AAAsf Affirmed AAAsf A-3 06540AAD3 LT AAAsf Affirmed AAAsf A-S 06540AAG6 LT AAAsf Affirmed AAAsf A-SB 06540AAB7 LT AAAsf Affirmed AAAsf B 06540AAH4 LT AA-sf Affirmed AA-sf C 06540AAJ0 LT BBB-sf Affirmed BBB-sf D 06540AAM3 LT BB-sf Affirmed BB-sf E 06540AAP6 LT CCCsf Affirmed CCCsf F 06540AAR2 LT CCsf Affirmed CCsf G 06540AAT8 LT Csf Affirmed Csf X-A 06540AAE1 LT AAAsf Affirmed AAAsf X-B 06540AAF8 LT BBB-sf Affirmed BBB-sf X-D 06540AAK7 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 6.0%, down from 6.9% at Fitch's prior rating action. Five loans (17.5% of the pool) are considered Fitch Loans of Concern (FLOCs), including two specially serviced loans (6.9%). The affirmations and revision of the Outlook to Stable from Negative on class A-S reflect sufficient credit enhancement (CE) and improved pool loss expectations, driven primarily by an increase in valuation for the specially serviced, 214-224 West 29th Street (6.6%) loan. Despite the improved valuation for the 214-224 West 29th Street loan, the Negative Outlooks reflect ongoing uncertainty surrounding its resolution, as well as the potential for future downgrades should performance of the office FLOCs — including The Tower at Burbank (8.9%), and Eleven Seventeen Perimeter (1.5%) — deteriorate beyond expectations. Loss expectations associated with these three office loans account for 71% of the overall deal-level expected loss. Additionally, the office concentration in the pool comprises 43.8%. Largest Changes in Loss Expectations/Largest Contributors to Loss: The largest contributor to expected loss is the 214-224 West 29th Street loan, which is secured by a 200,454-sf office property located in Manhattan's Chelsea neighborhood. The loan transferred to special servicing in September 2024 due to delinquent payments and cash flow shortfalls. A foreclosure complaint has been filed, and a receiver was appointed in May 2025. The most recent servicer-reported net operating income (NOI) debt service coverage ratio (DSCR) at YE 2025 was negative 0.30x when the property was reported to be 5% occupied. The property remains 5% occupied as of March 31, 2026. At issuance, WeWork occupied 51.2% of the NRA; however, the tenant vacated after its lease was rejected in connection with its Chapter 11 bankruptcy case. The remaining tenants each occupy less than 1.5% of NRA, including PPT Management LLC (1.37%; expiring June 2028), Harden (1.00%; expiring April 2027), Bob's Your Uncle Lighting Inc. (0.97%; expiring April 2027), and New Pathway KC (0.64%; expiring October 2026). According to CoStar, the New York market reported average asking rents of $64.88 psf and a vacancy rate of 12.9% as 2Q26. Fitch's 'Bsf' case loss of 42.7% (prior to a concentration adjustment) reflects a Fitch value equating to a recovery of approximately $206 psf. The Fitch value accounts for recent market and appraisal valuations of the property. Fitch's 'Bsf' rating case loss for this loan at the prior rating action was 58.2%. The largest increase to expected losses since the prior rating action is the Legacy Tower (1.0%) loan, which is secured by a 332,650-sf office property located in Rochester, NY. Performance continues to deteriorate, with the most recently reported net operating income (NOI) debt service coverage ratio (DSCR) at 0.63x for the March 2026 trailing 12-month period. Occupancy has remained relatively stable at 82%; however, cash flow has been insufficient to cover debt service since 2023. The largest tenants include Woods Oviatt Gilman (24.9% of NRA; expiring June 2030), Harter Secrest & Emery (21.5%; expiring September 2034), Underberg & Kessler (6.1%; expiring December 2028), Key Bank (6.0%; expiring January 2029), and Lacy Katzen LLP (5.2%; expiring March 2030). Near-term lease rollover is limited, with 2% of NRA rolling within one year and 8% rolling in one to two years; however, 17% rolls in three to four years. According to CoStar, the Rochester market reported average asking rents of $19.64 psf and a vacancy rate of 9.5% as of 2Q26. Fitch's 'Bsf' case loss of 32.2% (prior to concentration adjustment) incorporates a 10% stress to the YE 2024 NOI to reflect the deterioration in cash flow and inability to cover debt service coverage. The second-largest increase to expected loss since the prior rating action is the Rite Aid - Newark NY (0.3%), which is a 13,084-sf retail property located in Newark, NY. The loan transferred to special servicing in January 2025 due to payment delinquency. A hard lockbox remains in place, and the lender foreclosed on the property in May 2026. Rite Aid was the sole tenant at the property under a lease scheduled to expire in June 2035. The loan had previously triggered cash management in October 2023 when Rite Aid filed for Chapter 11 bankruptcy. Although Rite Aid emerged from bankruptcy in September 2024, the company filed for bankruptcy again in May 2025, and the lease at the subject property was ultimately rejected with an effective date of July 31, 2025. Fitch's 'Bsf' case loss of 81.8% (prior to a concentration adjustment) reflects a stress to the most recent January 2026 appraisal value reflecting a recovery of $39 psf. Increased CE: As of the June 2026 remittance reporting, the pool's aggregate balance has been reduced by 9.3% to $1.1 billion from $1.2 billion at issuance. Two loans, League City Storage (1.2% of the pool) and Miami Lakes Industrial (.5% of the pool), are fully defeased. Thirty loans (60.6%) are full-term IO, and 13 loans (22.9%) were partial-term IO, which have all commenced amortization. Interest Shortfalls: Cumulative interest shortfalls totaling $1,299,584 are currently impacting the risk retention class RRI and non-rated class H. Undercollateralization: The transaction is undercollateralized by approximately $177,421 due to a workout delayed reimbursement of advances (WODRA) on the DoubleTree - Orlando East loan, which was reflected in the March 2022 remittance report. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch does not expect downgrades to the 'AAAsf' rated classes 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, or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' category currently with Negative Outlooks may occur if deal-level losses increase significantly from outsized losses on larger FLOCs, including 214-224 West 29th Street (6.6%), The Tower at Burbank (8.9%), Eleven Seventeen Perimeter (1.5%) and Rite Aid - Newark NY, or more loans than expected experience performance deterioration or default at or prior to maturity. Downgrades to classes with Negative Outlooks rated 'BBB-sf', and 'BB-sf' are possible if FLOC performance deteriorates beyond expectations, or if more loans than expected default during the term and/or at or prior to maturity. Downgrades to distressed classes 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 improved performance on the FLOCs. 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 'BBsf' category rated class are not likely until the later years in 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 possible with better-than-expected recoveries 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. BARCLAYS MORTGAGE 2026-NQM6: S&P Assigns B sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Barclays Mortgage Loan Trust 2026-NQM6's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans to prime and nonprime borrowers (some with initial interest-only periods). The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, one manufactured home property, and one five- to 10-unit multifamily property. The pool has 630 loans, which are qualified mortgage (QM)/non-higher-priced mortgage loan (non-HMPL; average prime offer rate [APOR]), QM/HPML (APOR), non-QM/ability-to-repay (ATR) compliant, and ATR-exempt. S&P said, "After we assigned our preliminary ratings on July 23, 2026, the issuer decided not to issue the class A-1A and A-1B notes. Therefore, we withdrew our preliminary ratings on these classes. The class A-1A and A-1B note balances were distributed to the remaining senior class A-1FCF, A-1LCF, and A-1F notes. Consequently, the credit enhancement has not changed. After reviewing the final structure, we assigned ratings that are consistent with the preliminary ratings." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Barclays Mortgage Loan Trust 2026-NQM6 Class A-1FCF, $172,587,276: AAA (sf) Class A-1LCF, $57,529,092: AAA (sf) Class A-1, $230,116,368: AAA (sf) Class A-1F, $21,052,632: AAA (sf) Class A-2, $13,302,000: AA (sf) Class A-3, $27,398,000: A (sf) Class M-1, $9,819,000: BBB (sf) Class B-1, $6,176,000: BB (sf) Class B-2, $4,909,000: B (sf) Class B-3, $3,959,909: NR Class SA, $56,506: NR Class XS, notional(ii): NR Class PT, $316,789,415: NR Class R, not applicable: NR Preliminary Ratings Withdrawn Barclays Mortgage Loan Trust 2026-NQM6 Class A-1A to NR from 'AAA (sf)' Class A-1B to NR from 'AAA (sf)') (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the net WAC shortfall amounts. (ii)On any payment date, the class XS notes will have a notional amount equal to the aggregate stated mortgage loans' principal balance as of the first day of the related due period and will not be entitled to principal payments. WAC--Weighted average coupon. NR-- Not rated. BAYVIEW OPPORTUNITY 2026-CES2: Fitch Rates Five Tranches 'B(EXP)sf' ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by Bayview Opportunity Master Fund VII Trust 2026-CES2 (BVCES 2026-2). Entity/Debt Rating ----------- ------ BVCES 2026-2 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1L LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating A4 LT AA(EXP)sf Expected Rating A5 LT A(EXP)sf Expected Rating A6 LT BBB-(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B1A LT BB(EXP)sf Expected Rating B1B LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B2A LT B(EXP)sf Expected Rating B2B LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating BX1A LT BB(EXP)sf Expected Rating BX1B LT BB(EXP)sf Expected Rating BX2A LT B(EXP)sf Expected Rating BX2B LT B(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 4,345 closed-end second lien (CES) loans with a total balance of approximately $405 million as of the cutoff date. The pool consists of CES mortgages from Rocket Mortgage, LLC. Distributions of principal and interest and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or cover net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. BVCES 2026-2 has a final probability of default (PD) of 18.5% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 98.2%. The expected loss in the 'AAAsf' rating stress is 18.1%. Structural Analysis: The mortgage cash flow and loss allocation in BVCES 2026-2 are based on a sequential-payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. The approximate 300 bps of excess spread acts as additional credit enhancement to the subordination. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal, first, to repay any current or previously allocated cumulative applied realized losses, and then to repay potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were 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 40.6% of the loans in the transaction by loan count. Fitch applies a 5% probability of default reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BVCES 2026-2 to be fully de-linked and a bankruptcy-remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to BVCES 2026-2 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch received Form ABS Due Diligence-15E (Form 15E), prepared by SitusAMC and Consolidated Analytics. The third-party due diligence described in Form 15E covered credit, compliance, and property valuation reviews. Fitch considered the results of this review in its analysis and, accordingly, applied an approximately 5% origination PD credit to loans that were fully reviewed by the third-party review firm and assigned a final grade of "A" or "B." Third-party due diligence was performed on 40.6% of the transaction's loans by loan count and all reviewed loans received a grade of "A" or "B." ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BBCMS MORTGAGE 2022-C15: Fitch Lowers Rating on G-RR Certs to CCsf ------------------------------------------------------------------ Fitch Ratings has downgraded one and affirmed 15 classes of BBCMS Mortgage Trust 2022-C15 commercial mortgage pass-through certificates, series 2022-C15. The Rating Outlooks for classes A-S, B, C, D, E, X-B, and X-D remain Negative. Fitch has also affirmed 15 classes of BBCMS Mortgage Trust 2022-C18 commercial mortgage pass-through certificates, series 2022-C18. The Outlooks for classes F-RR, G-RR and H-RR remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2022-C18 A-2 054975AB3 LT AAAsf Affirmed AAAsf A-3 054975AC1 LT AAAsf Affirmed AAAsf A-4 054975AD9 LT AAAsf Affirmed AAAsf A-5 054975AE7 LT AAAsf Affirmed AAAsf A-S 054975AJ6 LT AAAsf Affirmed AAAsf A-SB 054975AF4 LT AAAsf Affirmed AAAsf B 054975AK3 LT AA-sf Affirmed AA-sf C 054975AL1 LT A-sf Affirmed A-sf D 054975AP2 LT BBBsf Affirmed BBBsf E-RR 054975AR8 LT BBB-sf Affirmed BBB-sf F-RR 054975AT4 LT BB+sf Affirmed BB+sf G-RR 054975AV9 LT BB-sf Affirmed BB-sf H-RR 054975AX5 LT B-sf Affirmed B-sf X-A 054975AG2 LT AAAsf Affirmed AAAsf X-D 054975AM9 LT BBBsf Affirmed BBBsf BBCMS 2022-C15 A-2 05552FAX5 LT AAAsf Affirmed AAAsf A-3 05552FAY3 LT AAAsf Affirmed AAAsf A-4 05552FAZ0 LT AAAsf Affirmed AAAsf A-5 05552FBA4 LT AAAsf Affirmed AAAsf A-S 05552FBE6 LT AAAsf Affirmed AAAsf A-SB 05552FBB2 LT AAAsf Affirmed AAAsf B 05552FBF3 LT AA-sf Affirmed AA-sf C 05552FBG1 LT A-sf Affirmed A-sf D 05552FAE7 LT BBsf Affirmed BBsf E 05552FAG2 LT Bsf Affirmed Bsf F 05552FAJ6 LT CCCsf Affirmed CCCsf G-RR 05552FAL1 LT CCsf Downgrade CCCsf X-A 05552FBC0 LT AAAsf Affirmed AAAsf X-B 05552FBD8 LT AA-sf Affirmed AA-sf X-D 05552FAA5 LT Bsf Affirmed Bsf X-F 05552FAC1 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case loss is 7.3%, up from 7.2% at Fitch's prior rating action in BBCMS 2022-C15, and 4.8% compared to 4.9% at the prior rating action in BBCMS 2022-C18. Fitch Loans of Concern (FLOCs) comprise eight loans (21.1% of the pool) in BBCMS 2022-C15, four of which are specially serviced (6.9%), and eight FLOCs (23.9%) in BBCMS 2022-C18, including three specially serviced loans (6.7%). BBCMS 2022-C15: The downgrade of class G-RR reflects the greater certainty of losses on the specially serviced Salina Meadows Office Park (2.4% of the pool) and 1100 & 820 First Street NE (2.1%), which have updated lower appraisal valuations and reflect a substantial decline in value since issuance. The Negative Outlooks for BBCMS 2022-C15 reflect the potential for downgrades if recovery expectations on the specially serviced loans decline beyond current expectations and/or with continued performance deterioration and lack of stabilization on the FLOCs, particularly Twin Spans Business Park and Delaware River Industrial Park (5.9%), Autumn Lakes (2.9%), and NYC MFRT Portfolio (1.5%) Additionally, the pool has a high office concentration of 41.9%. BBCMS 2022-C18: The affirmations in BBCMS 2022-C18 reflect generally stable pool performance and loss expectations since the prior rating action. The Negative Outlooks reflect the potential for downgrades should performance of the FLOCs, including Spartan Retail Portfolio (8.2%) and HERE Campus (3.2%), continue to deteriorate and/or with a prolonged workout of the specially serviced The Showboat Hotel (3.1%), Wyndham National Hotel Portfolio (2.4%), and Saks Fulfillment Center (1.3%). Largest Contributors to Loss: The largest contributor to overall loss expectations in BBCMS 2022-C15 is the specially serviced Salina Meadows Office Park loan, secured by a 240,475-sf suburban office property in Syracuse, NY. The loan transferred to special servicing in June 2023 due to payment default. A receiver was appointed in November 2023 and the special servicer is currently pursuing foreclosure. The property was 41.4% occupied as of the December 2025 rent roll; major tenants include Parsons Engineering (8.3% of NRA, lease through March 2030), CorVel Healthcare Corp. (6.1%, September 2028), and NCR Corporation (5.4%, December 2026). The servicer-reported YE 2025 NOI debt service coverage ratio (DSCR) was negative 0.50x. Fitch's 'Bsf' rating case loss of approximately 90% (prior to concentration add-ons) reflects a stress to a recent appraisal value, reflecting a stressed value of $21 psf. The updated appraisal value is approximately 86.7% below the issuance value. The largest increase since last review and the second largest contributor to overall loss expectations in BBCMS 2022-C15 is the specially serviced 1100 and 820 First Street NE loan, which is secured by a portfolio of two office buildings totaling 655,071 sf, located in downtown Washington, D.C. The loan transferred to special servicing in June 2025 for delinquent payments. The servicer reported that the borrower has been unresponsive, and local counsel has been engaged to enforce remedies. A receiver was appointed in December 2025, and the special servicer is currently pursuing foreclosure while discussing a potential workout. Performance at the properties has weakened, driven primarily by lower occupancy and near-term lease rollover. Overall occupancy for both buildings declined to 60% as of the March 2026 rent roll, down from 64% in June 2025, and 85% in December 2024. Approximately 62% of space expired in 2025 or is scheduled to expire in 2026. Fitch's 'Bsf' rating case loss of 44.5% (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 third largest contributor to overall loss expectations in BBCMS 2022-C15 is the Twin Spans Business Park and Delaware River Industrial Park loan, which is secured by a 14-property industrial portfolio totaling 2,180,017 sf located in New Castle, Delaware. The loan was flagged as a FLOC due to upcoming rollover concerns. Per the servicer, occupancy was 99.9% as of March 2026; however, 38.1% of the NRA is subject to leases that have either expired or are scheduled to expire in the near term, and no leasing updates were available as of June 2026.The servicer reported NOI DSCR was 2.05x as of YE 2025. Fitch's 'Bsf' rating case loss of 8.7% (prior to concentration add-ons) is based on an 8.5% cap rate and a 30% stress to the YE 2025 NOI to reflect near-term rollover. The largest contributor to overall loss expectations in BBCMS 2022-C18 is the Spartan Retail Portfolio loan, which is secured by a 14-property, 844,888-sf anchored retail portfolio located across the U.S. The largest geographic concentrations include 47.2% of NRA in Spartanburg, SC, 18.1% in Columbia, SC, and 14.7% in Pensacola, FL. The loan was flagged as a FLOC due to declining occupancy and upcoming rollover concerns. Per the servicer, occupancy was 89% as of March 2026, and as of May 2026, 30 leases (13% of NRA) have expired or are set to expire within the next 12 months. The servicer-reported NOI DSCR for YE 2025 was 1.15x, compared with 0.95x for YE 2023. Fitch's 'Bsf' rating case loss of 8.9% (prior to concentration add-ons) is based on a 9.25% cap rate and 10% stress to the YE 2025 NOI to reflect near-term rollover. The second largest contributor to overall loss expectations in BBCMS 2022-C18 is the HERE Campus loan, which is secured by a 162,241-sf suburban office property located in Laguna Hills, California. The major tenants include SpineArt USA Inc. (7.4% of NRA; lease through May 2027), Beyond Limits - Alec (6.6%; March 2027) and HSTechnology Solutions, Inc. (4.6%; June 2027); all have leases expiring in 2027. According to the April 2025 rent roll, 14.2% of the NRA is expected to roll over in 2026, 23.1% in 2027 and 2.7% in 2028. The service-reported NOI DSCR as of TTM March 2026 was 1.09x, compared with 1.18x for YE 2025 and 1.57x for YE 2024. Occupancy was 56% in March 2026 compared to 64% at YE 2024. Fitch's 'Bsf' rating case loss of 18.3% (prior to concentration add-ons) is based on a 10.0% cap rate and 20% stress to the TTM March 2026 NOI due to rollover concerns. The third largest contributor to overall loss expectations in BBCMS 2022-C18 is The Showboat Hotel loan, secured by a 475-key full-service hotel and four-story family entertainment center located in Atlantic City, NJ. The loan transferred to the special servicer in May 2025 due to payment default and for failing to meet other loan document requirements. Per the servicer, the borrower continues to pursue a resolution and recently submitted a proposal, which is currently under review, while the servicer continues to proceed with foreclosure proceedings. Property performance is declining, but NOI DSCR remains strong. Per the servicer, occupancy was 45% as of YE 2025, compared with 52% at YE 2024 and 56% at YE 2023. NOI DSCR was 3.49x, 4.02x, and 4.15x over the respective periods. Fitch's 'Bsf' rating case loss of 18.2% (prior to concentration add-ons) is based on a 12.75% cap rate and 20% stress to the YE 2025 NOI, which equates to a stressed value of approximately $193,180 per key. Minimal Increase in CE: As of the July 2026 distribution date, the aggregate balances of the BBCMS 2022-C15 and BBCMS 2022-C18 transactions have been paid down by 1.5% and 2.7%, respectively, since issuance. Interest shortfalls totaling $2.9MM are impacting the rated risk retention class G-RR and non-rated risk retention classes H-RR, RRC and RRI in the BBCMS 2015-C15 transaction, and interest shortfalls totaling $240,665 are impacting the non-rated risk retention classes J-RR in the BBCMS 2022-C18 transaction. The BBCMS 2022-C18 transaction has one fully defeased loan (1.2% of the pool). 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 position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly or interest shortfalls occur or are expected to occur. Downgrades to the junior 'AAAsf' and 'AA-sf' rated classes in BBCMS 2022-C15 are possible with continued performance deterioration of the specially serviced loans and FLOCs, particularly Salina Meadows Office Park, 1100 and 820 First Street NE, VVF loan, Moonwater Office Portfolio and NYC MFRT Portfolio. In BBCMS 2022-C18, downgrades may occur with continued performance deterioration of the specially serviced loans and FLOCs including Spartan Retail Portfolio, HERE Campus, The Showboat Hotel, Wyndham National Portfolio, and Saks Fulfillment Center. Downgrades to classes rated in the 'Asf' and 'BBBsf' categories in both transactions 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. Downgrades to classes rated in the 'BBsf' and 'Bsf' categories are possible with further loan performance deterioration of FLOCs, additional transfers to special servicing, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. Downgrades to classes with distressed ratings would occur if additional loans transfer to special servicing 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, coupled with stable to improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to classes rated in the 'BBBsf' and 'BBsf' categories would be limited based on sensitivity to concentration or the potential for future concentration. 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 could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE of the classes. Upgrades to distressed classes are not likely but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET XXII: S&P Assigns BB- (sf) Rating on Cl. E-R3 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R3, B-R3, C-R3, D-1-R3, D-2-R3, and E-R3 debt from Benefit Street Partners CLO XXII Ltd./Benefit Street Partners CLO XXII LLC, a CLO managed by BSP CLO Management LLC, a wholly owned subsidiary of Franklin Templeton Investments, that was originally issued in December 2020 and underwent a second refinancing in July 2025. At the same time, S&P withdrew its ratings on the previous class A-RR, B-RR, C-RR, D-RR, and E-RR debt following payment in full on the Aug. 4, 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-R3, D-2-R3, and E-R3 debt was issued at a higher spread over three-month SOFR than the previous debt, and the replacement class B-R3, C-R3, and D-1-R3 debt was issued at a lower spread over three-month SOFR than the previous debt. -- The non-call period was extended to Aug. 4, 2028. -- The reinvestment period was extended to July 20, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 20, 2039. -- No additional assets were purchased on the Aug. 4, 2026, refinancing date, and the target initial par amount remains at $400 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2026. -- The required minimum overcollateralization and interest coverage ratios were amended. -- $14.08 million additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Benefit Street Partners CLO XXII Ltd./ Benefit Street Partners CLO XXII LLC Class A-R3, $256.00 million: AAA (sf) Class B-R3, $48.00 million: AA (sf) Class C-R3 (deferrable), $24.00 million: A (sf) Class D-1-R3 (deferrable), $24.00 million: BBB- (sf) Class D-2-R3 (deferrable), $3.00 million: BBB- (sf) Class E-R3 (deferrable), $13.00 million: BB- (sf) Ratings Withdrawn Benefit Street Partners CLO XXII Ltd./ Benefit Street Partners CLO XXII LLC Class A-RR to NR from 'AAA (sf)' Class B-RR to NR from 'AA (sf)' Class C-RR (deferrable) to NR from 'A (sf)' Class D-RR (deferrable) to NR from 'BBB- (sf)' Class E-RR (deferrable) to NR from 'BB- (sf)' Other Debt Benefit Street Partners CLO XXII Ltd./ Benefit Street Partners CLO XXII LLC Subordinated notes, $53.78 million: NR NR--Not rated. BIRCH GROVE 4: Fitch Affirms 'BBsf' Rating on Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Birch Grove CLO 4 Ltd.'s refinancing note classes A-2-R2, B-R2, C-R2 and D-1-R2. Fitch has also affirmed ratings for classes D-2-R and E-R notes with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Birch Grove CLO 4 Ltd. A-1-R2 LT NRsf New Rating A-2-R 09077CAS1 LT PIFsf Paid In Full AAAsf A-2-R2 LT AAAsf New Rating B-R 09077CAU6 LT PIFsf Paid In Full AA+sf B-R2 LT AA+sf New Rating C-R 09077CAW2 LT PIFsf Paid In Full A+sf C-R2 LT A+sf New Rating D-1-R 09077CAY8 LT PIFsf Paid In Full BBB-sf D-1-R2 LT BBB-sf New Rating D-2-R 09077CBA9 LT BBB-sf Affirmed BBB-sf E-R 09077EAE8 LT BBsf Affirmed BBsf Transaction Summary Birch Grove CLO 4 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Birch Grove Capital LP. The transaction originally closed in March 2022, underwent its first refinancing in June 2024 and is expected to complete its second refinancing on July 24, 2026. Net proceeds from the issuance of the secured notes will finance a portfolio of approximately $489 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with recent CLO transactions. The weighted average rating factor (WARF) of the indicative portfolio is 22.51. Issuers rated in the 'B' rating category denote highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 95.5% of first-lien senior secured loans and has a weighted average recovery assumption of 73.28%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and by further reducing 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 across 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 fourth supplemental indenture, which amends certain provisions of the transaction. The changes include but are not limited to: - Spreads for all classes of refinanced notes have been reduced. - The non-call period for the refinanced notes has been extended to July 24, 2027. - The stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. FITCH ANALYSIS The portfolio includes 436 assets from 379 primarily high yield obligors. In Fitch's view, 0.6% of the portfolio consists of assets that are rated 'CC' or below. The portfolio balance, excluding defaults and including principal cash, is approximately $489 million. As of the latest trustee report prior to the refinance date the transaction was passing all collateral quality tests, coverage tests, and concentration limitations. The weighted average rating of the current portfolio is 'B+/B'. Fitch has an explicit rating, credit opinion or private rating for 43.0% of the current portfolio par balance. Ratings for 57.0% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map. 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 under 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: 6.00 years; - Minimum weighted average spread of 2.88%; - Fixed rate Assets: 5.00%; - 'CCC' obligors as defined by Fitch's ratings: 7.5%; - Minimum weighted average coupon of 5.00%; - Non-first priority senior secured assets: 10.0%; The transaction will exit its reinvestment period on 07-15-2029. 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-2-R2: 'AAAsf' / Default 41.50% / Recovery 39.28% / Cushion 13.60% - Class B-R2: 'AA+sf' / Default 40.50% / Recovery 48.89% / Cushion 10.90% - Class C-R2: 'A+sf' / Default 35.50% / Recovery 58.87% / Cushion 13.90% - Class D-1-R2: 'BBB-sf' / Default 26.10% / Recovery 68.58% / Cushion 16.10% - Class D-2-R: 'BBB-sf' / Default 26.10% / Recovery 68.58% / Cushion 12.70% - Class E-R: 'BBsf' / Default 23.30% / Recovery 73.82% / Cushion 8.10% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-2-R2: 'AAAsf' / Default 48.80% / Recovery 36.23% / Cushion 4.50% - Class B-R2: 'AA+sf' / Default 47.50% / Recovery 45.11% / Cushion 1.00% - Class C-R2: 'A+sf' / Default 41.90% / Recovery 54.59% / Cushion 5.80% - Class D-1-R2: 'BBB-sf' / Default 31.60% / Recovery 63.99% / Cushion 8.80% - Class D-2-R: 'BBB-sf' / Default 31.60% / Recovery 63.99% / Cushion 5.80% - Class E-R: 'BBsf' / Default 28.30% / Recovery 69.06% / Cushion 1.70% Fitch has assigned a rating of 'BBB-sf'/Stable to the class D-1-R2, two notches below the Model Implied Rating (MIR) of 'BBB+sf'/Stable. Fitch has also affirmed the non-refinancing classes D-2-R and E-R at 'BBB-sf'/Stable and 'BBsf'/Stable, respectively. These ratings are two notches and one notch below MIRs of 'BBB+sf'/Stable and 'BB+sf'/Stable. In Fitch's view, the MIRs do 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, increasing the tranches' sensitivity to additional portfolio stress. Fitch therefore believes that an upgrade in line with the MIR could be reversed in the near term. 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 'AAAsf' for class A-2-R2, between 'BBB-sf' and 'AA-sf' for class B-R2, between 'BB-sf' and 'A+sf' 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-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-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, 'AA+sf' for class C-R2, 'A+sf' for class D-1-R2, 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. DATA ADEQUACY Most of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Birch Grove CLO 4 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. BLACKROCK MAROON XI: S&P Lowers Class E-R Notes Rating to 'B- (sf) ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class C-R, D-R, and E-R debt from BlackRock Maroon Bells CLO XI LLC and removed them from CreditWatch negative. At the same time, S&P affirmed its ratings on class X-R, A-R, B-1R and B-2R debt from the same transaction. Blackrock Maroon Bells CLO XI LLC is a middle market U.S. CLO managed by BlackRock Capital Investment Advisors LLC. The transaction was originally issued in September 2022 and underwent a refinancing in December 2024. It will exit its reinvestment period in January 2030. On May 6, 2026, S&P placed its ratings on the class C-R, D-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 July 2026 trustee report. Compared to the March 2025 initial post-refinancing report, following are the changes to the reported July 2026 overcollateralization (O/C) ratios: -- The class A/B O/C ratio declined to 139.26% from 145.54%. -- The class C O/C ratio declined to 125.42% from 131.08%. -- The class D O/C ratio declined to 116.19% from 121.43%. -- The class E O/C ratio declined to 107.61% from 112.46%. The decline in the O/C ratios, together with failure of class D and E O/C tests, is driven mainly by the portfolio's par losses incurred since the previous rating actions. Defaults currently stand at $8.29 million in July 2026 from $12.19 million as reported in March. 2025. The reported 'CCC' category assets increased to $46.39 million from $42.26 million as of the same period. The par losses sustained by the portfolio since the refinancing, coupled with the increase in 'CCC' category assets and reduction in trustee reported weighted average spread, and reduction in S&P Global Ratings' weighted average recovery rate, have weakened cash flow results particularly at mezzanine and junior levels of the capital structure. As a result, the class A-R, C-R, D-R, and E-R debt were not passing cash flows at their respective initial rating levels. S&P said, "Following the decline in credit support and failing indicative cash flow results, we lowered our ratings on the class C-R, D-R, and E-R debt. While our cash flow analysis indicated one notch lower rating for class A-R, we affirmed the rating after considering the margin of failure and the current credit enhancement level." Also, class A-R has received some paydowns and as the senior-most tranche, it will be the first to benefit from the transaction's structural protections in case of O/C test failures in the future. S&P said, "Additionally, while results of our cash flow analysis also indicated lower ratings on the class C-R debt than the rating action, we limited the downgrade to one notch for the tranche after considering the current credit enhancement level. "On standalone basis, our cash flow results indicated a lower rating for the class E-R debt than the rating action. At this time, the lowered rating on Class E-R is limited to three notches, to 'B-(sf)' based on its credit enhancement as we believe the class can withstand current condition and does not yet meet our 'CCC' criteria." The affirmed ratings on class X-R, B-1R, and B-2R debt reflect adequate credit support at the current rating levels and passing cash flows. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Ratings Lowered And Removed From CreditWatch BlackRock Maroon Bells CLO XI LLC Class C-R to 'A- (sf)' from 'A (sf)'/Watch NEG Class D-R to 'BB+ (sf)' from 'BBB- (sf)'/Watch NEG Class E-R to 'B- (sf)' from 'BB- (sf)'/Watch NEG Ratings Affirmed BlackRock Maroon Bells CLO XI LLC Class X-R: AAA (sf) Class A-R: AAA (sf) Class B-1R: AA (sf) Class B-2R: AA (sf) BRYANT PARK 2021-17R: 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 Bryant Park Funding 2021-17R Ltd. and removed them from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class X-R, A-1-R, A-2-R, B-R, C-R, and F-R debt from the same transaction. The U.S. broadly syndicated CLO transaction, managed by Marathon Asset Management L.P., was originally issued in 2021, which S&P Global Ratings did not rate. It underwent a refinancing in November 2024 and will exit its reinvestment period in January 2030. On May 6, 2026, S&P had placed its ratings on the class D-1-R, D-2-R, and E-R debt on CreditWatch with negative implications, primarily due to each class's 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. As of the June 2026 trustee report, all overcollateralization (O/C) ratios declined from those in the December 2024 trustee report, which was used for our last rating action, when S&P assigned the ratings following a refinancing: -- The class A/B O/C ratio declined to 128.58% from 131.30%. -- The class C O/C ratio declined to 119.17% from 121.69%. -- The class D O/C ratio declined to 109.80% from 112.12%. -- The class E O/C ratio declined to 106.22% from 108.46%. The decline in the O/C ratios is driven mainly by the portfolio's par losses since the last rating actions in November 2024. Though the O/C ratios have dropped, all of them are currently passing. The class F-R debt does not have an O/C ratio. Since the last rating actions, collateral obligations in the 'CCC' rating category increased to $11.26 million from $10.71 million and defaults reduced to zero from $1.07 million during the same period. The par losses sustained by the portfolio since the refinancing have weakened both the credit support and cash flow results for the class D-1-R, D-2-R, and E-R debt, resulting in their downgrades. S&P said, "While the results of our cash flow analysis indicated a one-notch lower rating on the class D-1-R debt than the rating actions reflect, we downgraded the rating by one notch to 'BBB- (sf)' after considering the margin of failure, current subordination level, and the relatively low exposure to 'CCC/CCC-' rated assets and defaulted assets. However, any deterioration and/or increase in defaults or par losses could lead to negative rating actions. "We lowered our rating on the class D-2-R debt to 'BB+ (sf)' due to the weakening of credit support, par losses, and indicative cash flow results. "Though the results of our cash flow analysis also indicated a two-notch lower rating on the class E-R debt than the rating actions reflect, we downgraded its rating by only one notch to 'B+ (sf)' after considering the current subordination level, trustee O/C levels, and the relatively low exposure to 'CCC/CCC-' rated assets and defaulted assets. However, any deterioration and/or increase in defaults or par losses could lead to negative rating actions. "Additionally, though our cash flow analysis indicated a lower rating on the class F-R debt than the rating actions reflect, we affirmed the rating after considering the current subordination level and the low exposure to 'CCC/CCC-' rated assets and defaulted assets. This also reflects our opinion that the tranche is not yet dependent on favorable business, financial, or economic conditions to repay its obligations as per our 'CCC' 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 X-R, A-1-R, A-2-R, B-R, and C-R debt reflect adequate credit support at the current rating levels and passing cash flow results. Although the cash flow results indicated a higher rating for the class B-R debt, S&P's actions consider that the transaction is still in its reinvestment period and that 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 rates 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 Bryant Park Funding 2021-17R Ltd. 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' Ratings Affirmed Bryant Park Funding 2021-17R Ltd. Class X-R: AAA (sf) Class A-1-R: AAA (sf) Class A-2-R: AAA (sf) Class B-R: AA (sf) Class C-R: A (sf) Class F-R: B- (sf) BRYANT PARK 2026-30: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Bryant Park Funding 2026-30 Ltd./Bryant Park Funding 2026-30 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 Marathon Asset Management L.P. The preliminary ratings are based on information as of Aug. 6, 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 Bryant Park Funding 2026-30 Ltd./Bryant Park Funding 2026-30 LLC Class A, $252.0 million: AAA (sf) Class B, $52.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-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, $35.8 million: NR NR--Not rated. CANYON CLO 2019-1: S&P Assigns B+ (sf) Rating on Class E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-L-R3, A-R3, B-R3, C-R3, and D-1-R3 debt from Canyon CLO 2019-1 Ltd./Canyon CLO 2019-1 LLC, a CLO managed by Canyon CLO Advisors L.P. that was originally issued in March 2019 and underwent a second refinancing in June 2024. At the same time, S&P withdrew its ratings on class A-L loans, A-RR, B-RR, C-RR, and D-1-RR debt following payment in full on the Aug. 4, 2026, refinancing date. We also affirmed our ratings on the class D-2-RR and E-RR debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 15, 2027. -- No additional assets were purchased on the Aug. 4, 2026 refinancing date, and the target initial par amount remains unchanged. There was no additional effective date or ramp-up period and the first payment date following the refinancing is Oct. 15, 2026. -- No additional subordinated notes were issued on the refinancing date. -- S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class D-2-RR debt (which was not refinanced). However, we affirmed our 'BBB- (sf)' rating on the class D-2-RR debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction." Replacement And Previous Debt Issuances Replacement debt -- Class A-L-R3, $68.00 million: Three-month CME term SOFR + 1.22% -- Class A-R3, $188.00 million: Three-month CME term SOFR + 1.22% -- Class B-R3, $48.00 million: Three-month CME term SOFR + 1.60% -- Class C-R3 (deferrable), $24.00 million: Three-month CME term SOFR + 1.85% -- Class D-1-R3 (deferrable), $20.00 million: Three-month CME term SOFR + 3.40% Previous debt -- Class A-L loans, $68.00 million: Three-month CME term SOFR + 1.43% -- Class A-RR, $188.00 million: Three-month CME term SOFR + 1.43% -- Class B-RR, $48.00 million: Three-month CME term SOFR + 1.80% -- Class C-RR (deferrable), $24.00 million: Three-month CME term SOFR + 2.20% -- Class D-1-RR (deferrable), $20.00 million: Three-month CME term SOFR + 3.65% -- Class D-2-RR (deferrable), $8.00 million: Three-month CME term SOFR + 5.15% -- Class E-RR (deferrable), $12.00 million: Three-month CME term SOFR + 7.50% 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 Canyon CLO 2019-1 Ltd./Canyon CLO 2019-1 LLC Class A-L-R3, $68.00 million: AAA (sf) Class A-R3, $188.00 million: AAA (sf) Class B-R3, $48.00 million: AA (sf) Class C-R3, $24.00 million: A (sf) Class D-1-R3, $20.00 million: BBB (sf) Ratings Withdrawn Canyon CLO 2019-1 Ltd./Canyon CLO 2019-1 LLC Class A-L loans to NR from 'AAA (sf)' Class A-RR to NR from 'AAA (sf)' Class B-RR to NR from 'AA (sf)' Class C-RR to NR from 'A (sf)' Class D-1-RR to NR from 'BBB (sf)' Ratings Affirmed Canyon CLO 2019-1 Ltd./Canyon CLO 2019-1 LLC Class D-2-RR: BBB- (sf) Class E-RR: B+ (sf) Other Debt Canyon CLO 2019-1 Ltd./Canyon CLO 2019-1 LLC Subordinated notes, $47.65 million: NR NR--Not rated. CARLYLE US 20211-11: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Carlyle US CLO 2021-11, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2021-11, Ltd. X-R2 LT AAAsf New Rating A-1-R2 LT AAAsf New Rating A-2-R 143122AU3 LT PIFsf Paid In Full AAAsf A-2-R2 LT AAAsf New Rating B-R 143122AL3 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-1-R 143122AN9 LT PIFsf Paid In Full Asf C-2-R 143122AW9 LT PIFsf Paid In Full Asf C-R2 LT Asf New Rating D-1-R 143122AQ2 LT PIFsf Paid In Full BBBsf D-1-R2 LT BBB-sf New Rating D-2-R 143122AS8 LT PIFsf Paid In Full BBB-sf D-2-R2 LT BBB-sf New Rating E-R 143124AG0 LT PIFsf Paid In Full BB-sf E-R2 LT BB-sf New Rating Transaction Summary Carlyle US CLO 2021-11, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. The transaction originally closed in December 2021 was refinanced in July 2024. It is expected to be fully refinanced for the second time on July 24, 2026. Net proceeds from the issuance of the secured and subordinated notes will financ3 a portfolio of approximately $450 million of primarily first-lien senior secured leveraged loans, excluding defaulted obligations. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', in line with recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.37, 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 94.81% of 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 in a Fitch test matrix. Portfolio Composition: The three largest industries may comprise up to 47.5% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The diversity 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 higher 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. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2, between 'A-sf' and 'AA+sf' for class A-1-R2, between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BBB-sf' and 'A+sf' for class B-R2, between 'B+sf' and 'A-sf' for class C-R2, between less than 'B-sf' and 'BBB-sf' for class D-1-R2, and between less than 'B-sf' and 'BB+sf' for class D-2-R2 and between less than 'B-sf' and 'B+sf' for class E-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 'A-sf' 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 Carlyle US CLO 2021-11, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CHASE AUTO 2026-1: Moody's Assigns B3 Rating to Class F Notes ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the Chase Auto Credit Linked Notes, Series 2026-1 (CACLN 2026-1) notes issued by JPMorgan Chase Bank, N.A (JPMCB senior unsecured Aa2). CACLN 2026-1 is the first credit linked notes transaction issued by JPMCB in 2026 to transfer credit risk to noteholders through a hypothetical tranched credit default swap on a reference pool of auto loans. The complete rating actions are as follows: Issuer: Chase Auto Credit Linked Notes, Series 2026-1 Class B Note, Definitive Rating Assigned Aa2 (sf) Class C Note, Definitive Rating Assigned A3 (sf) Class D Note, Definitive Rating Assigned Baa3 (sf) Class E Note, Definitive Rating Assigned Ba3 (sf) Class F Note, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The notes are fixed-rate and are unsecured obligations of JPMCB. Unlike principal payment, interest payment to the notes is not dependent on the performance of the reference pool. This deal is unique in that the source of payments for the notes will be JPMCB's own funds, and not the collections on the loans or note proceeds held in a segregated trust account. As a result, Moody's capped the ratings of the notes at JPMCB's senior unsecured rating (Aa2). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of JPMorgan Chase Bank, N.A. as the servicer. Moody's medians cumulative net loss expectation for the 2026-1 reference pool is 0.70% and the loss at a Aaa stress is 4.50%. Moody's based Moody's cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of JPMorgan Chase Bank, N.A. to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class B notes, Class C notes, Class D notes, Class E notes and Class F notes benefit 4.55%, 3.30%, 2.75%, 1.90%, and 1.40% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class C, Class D, Class E, and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Moody's could upgrade Class B if JPMCB's senior unsecured rating is upgraded. Down Moody's could downgrade the notes if JPMCB's senior unsecured rating is downgraded or if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. CHASE HOME 2026-CINV2: Moody's Assigns B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 94 classes of residential mortgage-backed securities (RMBS) 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, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-A, Definitive Rating Assigned Aaa (sf) Cl. A-3-B, Definitive Rating Assigned Aaa (sf) Cl. A-3-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-3-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-3-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-B, Definitive Rating Assigned Aaa (sf) Cl. A-4-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-4-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-4-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-B, Definitive Rating Assigned Aaa (sf) Cl. A-5-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-5-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-5-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-B, Definitive Rating Assigned Aaa (sf) Cl. A-6-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-6-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-6-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-B, Definitive Rating Assigned Aaa (sf) Cl. A-7-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-7-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-7-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-B, Definitive Rating Assigned Aaa (sf) Cl. A-8-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-8-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-8-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-B, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X2*, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X3*, Definitive Rating Assigned Aa1 (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-10-A, Definitive Rating Assigned Aaa (sf) Cl. A-10-B, Definitive Rating Assigned Aaa (sf) Cl. A-10-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-10-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-10-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-15-A, Definitive Rating Assigned Aaa (sf) Cl. A-15-B, Definitive Rating Assigned Aaa (sf) Cl. A-15-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-15-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-15-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-16-A, Definitive Rating Assigned Aaa (sf) Cl. A-16-B, Definitive Rating Assigned Aaa (sf) Cl. A-16-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-16-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-16-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-17-A, Definitive Rating Assigned Aaa (sf) Cl. A-17-B, Definitive Rating Assigned Aaa (sf) Cl. A-17-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-17-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-17-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-18-A, Definitive Rating Assigned Aaa (sf) Cl. A-18-B, Definitive Rating Assigned Aaa (sf) Cl. A-18-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-18-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-18-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes. 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. CITIGROUP MORTGAGE 2026-RP2: Fitch Rates Class B-2 Notes 'Bsf' -------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2026-RP2 (CMLTI 2026-RP2). Entity/Debt Rating Prior ----------- ------ ----- CMLTI 2026-RP2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT AAsf New Rating AA(EXP)sf A-4 LT Asf New Rating A(EXP)sf A-5 LT BBBsf New Rating BBB(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf B LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf PT-1 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary 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. There have been no changes to the collateral or structure since the publication of the presale. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzed loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. 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 analyzed the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch 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 considered originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that 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 confirmed 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. COLT 2026-6: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Certs -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Outlooks to the residential mortgage-backed certificates to be issued by COLT 2026-6 Mortgage Loan Trust (COLT 2026-6). Entity/Debt Rating ----------- ------ COLT 2026-6 A1LCF LT AAA(EXP)sf Expected Rating A1FCF 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 A1F LT AAA(EXP)sf Expected Rating A1IO 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 X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 952 nonprime loans with a total balance of approximately $526.7 million as of the cutoff date. Loans in the pool were originated by The Loan Store, Inc. and others. The loans were aggregated by Hudson Americas L.P. and are serviced by Select Portfolio Servicing, Inc. (SPS) and Fay Servicing. The borrowers in the pool exhibit a moderate credit profile, with a weighted-average (WA) Fitch FICO of 748 and 32.8% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 70.0% mark-to-market combined LTV (cLTV). Overall, 40.8% of the pool loans are for primary residences, while the remainder are second homes or investment properties. Additionally, 99.9% of the loans are clean and current. 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. COLT 2026-6 has a final probability of default (PD) of 42.4% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 41.5%. The expected loss in the 'AAAsf' rating stress is 17.6%. Structural Analysis: The mortgage cash flow and loss allocation in COLT 2026-6 are based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior certificates (A-1FCF/A-1LCF [sequentially], A-1A, A-1B, A-1F, A-2, and A-3 classes) while excluding the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially, to A-1 classes, then sequentially, to A-2 and A-3 certificates until they are reduced to zero. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE in the form of subordination and excess spread 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% of the loans in the transaction. 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 as described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on transaction performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. Fitch expects COLT 2026-6 to be fully de-linked and to serve as a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to COLT 2026-6; as such, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 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 level 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 10.0%, 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. 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 level 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 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. 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 SitusAMC, Consolidated Analytics, Clarifii, Digital Risk, Evolve, Maxwell, Opus, and Selene. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CONNECTICUT AVENUE 2026-R04: Moody's Rates 17 Tranches '(P)Ba1' --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 58 classes of credit risk transfer residential mortgage-backed securities (RMBS) to be issued by Connecticut Avenue Securities Trust 2026-R04, and sponsored by Federal National Mortgage Association (Fannie Mae). The securities reference a pool of mortgage loans acquired by Fannie Mae, and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Connecticut Avenue Securities Trust 2026-R04 Cl. 2A-1, Assigned (P)Aa3 (sf) Cl. 2A-I1*, Assigned (P)Baa2 (sf) Cl. 2A-I2*, Assigned (P)Baa2 (sf) Cl. 2A-I3*, Assigned (P)Baa2 (sf) Cl. 2A-I4*, Assigned (P)Baa2 (sf) Cl. 2B-I1*, Assigned (P)Baa3 (sf) Cl. 2B-I2*, Assigned (P)Baa3 (sf) Cl. 2B-I3*, Assigned (P)Baa3 (sf) Cl. 2B-I4*, Assigned (P)Baa3 (sf) Cl. 2C-I1*, Assigned (P)Ba1 (sf) Cl. 2C-I2*, Assigned (P)Ba1 (sf) Cl. 2C-I3*, Assigned (P)Ba1 (sf) Cl. 2C-I4*, Assigned (P)Ba1 (sf) Cl. 2E-A1, Assigned (P)Baa2 (sf) Cl. 2E-A2, Assigned (P)Baa2 (sf) Cl. 2E-A3, Assigned (P)Baa2 (sf) Cl. 2E-A4, Assigned (P)Baa2 (sf) Cl. 2E-B1, Assigned (P)Baa3 (sf) Cl. 2E-B2, Assigned (P)Baa3 (sf) Cl. 2E-B3, Assigned (P)Baa3 (sf) Cl. 2E-B4, Assigned (P)Baa3 (sf) Cl. 2E-C1, Assigned (P)Ba1 (sf) Cl. 2E-C2, Assigned (P)Ba1 (sf) Cl. 2E-C3, Assigned (P)Ba1 (sf) Cl. 2E-C4, Assigned (P)Ba1 (sf) Cl. 2E-D1, Assigned (P)Baa3 (sf) Cl. 2E-D2, Assigned (P)Baa3 (sf) Cl. 2E-D3, Assigned (P)Baa3 (sf) Cl. 2E-D4, Assigned (P)Baa3 (sf) Cl. 2E-D5, Assigned (P)Baa3 (sf) Cl. 2E-F1, Assigned (P)Baa3 (sf) Cl. 2E-F2, Assigned (P)Baa3 (sf) Cl. 2E-F3, Assigned (P)Baa3 (sf) Cl. 2E-F4, Assigned (P)Baa3 (sf) Cl. 2E-F5, Assigned (P)Baa3 (sf) Cl. 2-J1, Assigned (P)Ba1 (sf) Cl. 2-J2, Assigned (P)Ba1 (sf) Cl. 2-J3, Assigned (P)Ba1 (sf) Cl. 2-J4, Assigned (P)Ba1 (sf) Cl. 2-K1, Assigned (P)Baa3 (sf) Cl. 2-K2, Assigned (P)Baa3 (sf) Cl. 2-K3, Assigned (P)Baa3 (sf) Cl. 2-K4, Assigned (P)Baa3 (sf) Cl. 2M-1, Assigned (P)A3 (sf) Cl. 2M-2, Assigned (P)Baa3 (sf) Cl. 2M-2A, Assigned (P)Baa2 (sf) Cl. 2M-2B, Assigned (P)Baa3 (sf) Cl. 2M-2C, Assigned (P)Ba1 (sf) Cl. 2M-2X*, Assigned (P)Baa3 (sf) Cl. 2M-2Y, Assigned (P)Baa3 (sf) Cl. 2-X1*, Assigned (P)Baa3 (sf) Cl. 2-X2*, Assigned (P)Baa3 (sf) Cl. 2-X3*, Assigned (P)Baa3 (sf) Cl. 2-X4*, Assigned (P)Baa3 (sf) Cl. 2-Y1*, Assigned (P)Ba1 (sf) Cl. 2-Y2*, Assigned (P)Ba1 (sf) Cl. 2-Y3*, Assigned (P)Ba1 (sf) Cl. 2-Y4*, Assigned (P)Ba1 (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 0.77%, in a baseline scenario-median is 0.52% and reaches 5.84% 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. CSFB ADJUSTABLE 2005-10: Moody's Ups Rating on 5-A-1 Certs to B1 ---------------------------------------------------------------- Moody's Ratings has upgraded the rating of Class 5-A-1 issued by CSFB Adjustable Rate Mortgage Trust 2005-10. The collateral backing this deal consists of Alt-A mortgages. A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CSFB Adjustable Rate Mortgage Trust 2005-10 Cl. 5-A-1, Upgraded to B1 (sf); previously on Dec 10, 2018 Upgraded to Caa1 (sf) RATING RATIONALE The rating action reflects the current level of credit enhancement available to the bond, the recent performance, analysis of the transaction structure and Moody's updated loss expectation on the underlying pool. The rating upgrade of 5-A-1 is the result of the improving performance of the related pool, and an increase in credit enhancement available to the bond. The credit enhancement over the past 12 months has grown 2.0x for the bond and the amount of overcollateralization has been increased. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors, including a small and concentrated nature of the pool, that can impact collateral performance, uncertainty around the benefit of excess spread as a source of credit enhancement, the pro rata amortization of the supporting tranche, fluctuating overcollateralization levels, the timing and sustainability of recoveries observed to date, the potential impact of such volatility on the model output and the ultimate size or any incurred and projected loss. No action was taken on the other rated class in this deal because the expected loss remains commensurate with the current rating, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in this rating was US Residential Mortgage-backed Securitizations: Surveillance published in December 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. DEUTSCHE ALT-A 2007-OA5: S&P Lowers Class A1B Notes Rating to 'D' ----------------------------------------------------------------- S&P Global Ratings completed its review of 16 classes from 13 U.S. RMBS transactions issued between 2002 and 2007. The review yielded nine downgrades and seven discontinuances. The rating actions reflect S&P's analysis of the transactions' interest shortfalls and/or missed interest payments and its assessment of the principal write-downs on the affected classes. The downgrades also reflect the "Temporary Interest Deferrals And Shortfalls For Other Instruments" subsection in "S&P Global Ratings Definitions," published Dec. 16, 2025, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying S&P's ratings definitions, it looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date. Accordingly, S&P lowered its ratings on: -- Six classes that received additional compensation for outstanding interest shortfalls, based on S&P's analysis of the likelihood that the missed interest payments, including the capitalized interest, would be reimbursed under its various rating scenarios. -- One class that did not receive additional compensation for outstanding interest shortfalls, based on S&P's expectations regarding the length of the interest payment interruptions. -- Two classes that received principal write-downs during recent remittance periods and were previously rated 'CCC (sf)' and 'CC (sf)'. -- The 13 transactions in this review receive credit enhancement from a combination of subordination, excess spread, and overcollateralization (where applicable). S&P said, "We discontinued seven ratings from five transactions that had observed interest shortfalls or missed interest payments during recent remittance periods, based on our surveillance and withdrawal policies. We had previously downgraded those classes to 'D (sf)' due to principal losses, accumulated interest shortfalls, missed interest payment, and/or credit related reductions in interest due to loan modification. We view a subsequent upgrade of those classes to a rating higher than 'D (sf)' as unlikely under our criteria. "We will continue to monitor our ratings on the transactions that experience interest shortfalls, missed interest payments, or principal write-downs, and adjust our ratings as we consider appropriate according to our criteria." Ratings list Rating Issuer Series Class CUSIP To From Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2006-D 2006-D 2A3 43709LAC1 NR D Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. 2003-CB3 Trust 2003-CB3 AF1 12489WGJ7 BBB- BBB+ Main rationale: Ultimate repayment of missed interest unlikely at higher rating levels. Alternative Loan Trust 2007-HY8C 2007-HY8C A1 02150XAA9 D CC Main rationale: Interest shortfalls. Alternative Loan Trust 2007-OH3 2007-OH3 A1B 02151DAD6 NR D Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA5 2007-OA5 A1B 25150XAR3 D CCC Main rationale: Ultimate repayment of missed interest unlikely at higher rating levels. DSLA Mortgage Loan Trust 2006-AR1 2006-AR1 2A1A 23332UGM0 NR D Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA5 2007-OA5 A1A 25150XAA0 D CCC Main rationale: Ultimate repayment of missed interest unlikely at higher rating levels. Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2006-D 2006-D 2A4 43709LAD9 NR D Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. New Century Home Equity Loan Trust, Series 2003-2 2003-2 M1 64352VCR0 D CCC Main rationale: Ultimate repayment of missed interest unlikely at higher rating levels. Ownit Mortgage Loan Trust 2006-4 2006-4 A2C 69121QAD3 NR D Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. Ownit Mortgage Loan Trust 2006-4 2006-4 A2D 69121QAE1 NR D Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. Bear Stearns Asset Backed Securities Trust 2003-2 2003-2 A3 07384YJQ0 AA- AA Main rationale: Ultimate repayment of missed interest unlikely at higher rating levels. 2004-CB5 Trust 2004-CB5 M1 04542BHY1 B+ BB- Main rationale: Ultimate repayment of missed interest unlikely at higher rating levels. Renaissance Home Equity Loan Trust 2002-3 2002-3 M2 75970NAC1 NR D Main rationale: Discontinued, as an upgrade to a rating higher than 'D (sf)' is unlikely in the future under the relevant criteria. RAAC Series 2007-RP1 Trust 2007-RP1 M2 74977YAC3 D CC Main rationale: Principal write-down. Thornburg Mortgage Securities Trust 2005-4 2005-4 A4 885220JR5 D CCC Main rationale: Principal write-down. NR--Not rated. EXTENET ISSUER 2024-1: Moody's Cuts Rating on Class B Notes to Ba2 ------------------------------------------------------------------ Moody's Ratings has downgraded and kept on review for further downgrade four classes of notes of the Series 2024-1 and Series 2025-1 (the notes) issued by ExteNet Issuer, LLC (the issuer). ExteNet Systems, LLC (ExteNet) is the sponsor of the transaction and the manager of the securitized outdoor distributed network systems. The complete rating actions are as follows: Issuer: ExteNet Issuer, LLC, Series 2024-1 Secured Distributed Network Revenue Notes, Series 2024-1, Class A-2, Downgraded to Baa2 (sf) and Remains On Review for Downgrade; previously on Jun 23, 2026 A3 (sf) Placed On Review for Downgrade Secured Distributed Network Revenue Notes, Series 2024-1, Class B, Downgraded to Ba2 (sf) and Remains On Review for Downgrade; previously on Jun 23, 2026 Baa3 (sf) Placed On Review for Downgrade Issuer: ExteNet Issuer, LLC, Series 2025-1 Secured Distributed Network Revenue Notes, Series 2025-1, Class A-2, Downgraded to Baa2 (sf) and Remains On Review for Downgrade; previously on Jun 23, 2026 A3 (sf) Placed On Review for Downgrade Secured Distributed Network Revenue Notes, Series 2025-1, Class B, Downgraded to Ba2 (sf) and Remains On Review for Downgrade; previously on Jun 23, 2026 Baa3 (sf) Placed On Review for Downgrade RATINGS RATIONALE The rating actions reflect the non-payment of interest on the rated notes on the July 27, 2026 payment date, as well as increased uncertainty regarding the manager and the operation of the transaction. Following the failure to make interest payments on the notes, the servicer, Midland Loan Services, Inc. (Midland), declared an event of default on July 28, 2026. The payment default followed earlier identified concerns relating to transaction administration and cash management matters, which were also the subject of separate notices of default. Additionally, neither Midland, a division of PNC Bank, N.A., (Aa3 stable) in its capacity as servicer, nor Wilmington Trust, National Association, (A1 stable) in its capacity as indenture trustee, provided debt service advances or servicing advances. The manager has advised that it continues to engage with the noteholders to negotiate and finalize an interest forbearance agreement. The declaration of an event of default increases the likelihood of a manager termination event, creating the risk of operational disruption given the specialized nature of the assets and the limited number of alternative managers. Following the occurrence and continuation of an event of default, the indenture trustee is permitted to terminate the manager. The transaction does not have a back-up manager. If a manager termination event occurs, the servicer would act at the direction of the noteholders to select a replacement manager. The rated notes remain on review for further possible downgrade and Moody's will continue to assess the developments around events of default and related actions by the transaction parties. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Digital Connectivity Securitizations" published in October 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Factors that could lead to an upgrade of the rating are (1) additional liquidity provided to the manager to maintain the operation of the networks or a smooth transition of the management duties to an experienced successor manager, and (2) successful resolution of the cause of events of default. Down Factors that could lead to a further downgrade of the ratings include a termination of the manager and delay in finding a successor, which could potentially impair cash flow generation. Cash flow growth may be materially below expectations if manager is unable to operate the transaction smoothly during transition. Other reasons for worse-than-expected transaction performance could include potential pool quality deterioration as a result of manager transition. FORTRESS CREDIT XIV: S&P Affirms B+ (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-1-R, and C-R debt from Fortress Credit BSL XIV Ltd./Fortress Credit BSL XIV LLC, a CLO managed by FC BSL XIV Management LLC that was originally issued in November 2021. At the same time, S&P withdrew its ratings on the previous class A, B-1, and C debt following payment in full on the Aug. 5, 2026, refinancing date. S&P also affirmed its ratings on the existing class B-2, D, 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 for replacement class A-R, B-1-R and C-R debt was extended to Feb. 5, 2027. -- The reinvestment period ended on July 21, 2026. -- No additional assets were purchased on the Aug. 5, 2026, refinancing date, and the target initial par amount remains at $450 million. There was no additional effective date or ramp-up period and the first payment date following the refinancing is Oct. 23, 2026. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on the existing class D and E debt (which were not refinanced). However, we affirmed our 'BBB- (sf)' and 'B+ (sf)' ratings on the existing class D and E debt, respectively, after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction has entered its amortization phase. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down, and the refinancing is viewed as credit neutral to credit positive for the transaction. In addition, we believe the payment of principal or interest on the existing class E debt, when due, does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012." Replacement And Previous Debt Issuances Replacement debt -- Class A-R, $267.85 million: Three-month CME term SOFR + 1.03% -- Class B-1-R, $35.00 million: Three-month CME term SOFR + 1.55% -- Class C-R (deferrable), $29.30 million: Three-month CME term SOFR + 2.35% Previous debt -- Class A, $267.85 million: Three-month CME term SOFR + 1.25% + CSA(i) -- Class B-1, $35.00 million: Three-month CME term SOFR + 1.80% + CSA(i) -- Class C (deferrable), $29.30 million: Three-month CME term SOFR + 2.45% + CSA(i) -- Subordinated notes, $43.965 million: Not applicable (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each 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 Fortress Credit BSL XIV Ltd./Fortress Credit BSL XIV LLC Class A-R, $267.85 million: AAA (sf) Class B-1-R, $35.00 million: AA (sf) Class C-R (deferrable), $29.30 million: A (sf) Ratings Withdrawn Fortress Credit BSL XIV Ltd./Fortress Credit BSL XIV LLC Class A to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Ratings Affirmed Fortress Credit BSL XIV Ltd./Fortress Credit BSL XIV LLC Class B-2: AA (sf) Class D (deferrable): BBB- (sf) Class E (deferrable): B+ (sf) Other Debt Fortress Credit BSL XIV Ltd./Fortress Credit BSL XIV LLC Subordinated notes, $43.965 million: NR NR--Not rated. FORTRESS CREDIT XXVII: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Fortress Credit BSL XXVII Limited. Entity/Debt Rating ----------- ------ Fortress Credit BSL XXVII Limited A-1 Notes 34967MAA9 LT NRsf New Rating A-1A Loans LT NRsf New Rating A-1B Loans LT NRsf New Rating A-2 34967MAC5 LT AAAsf New Rating B 34967MAE1 LT AAsf New Rating C 34967MAG6 LT Asf New Rating D-1 34967MAJ0 LT BBB-sf New Rating D-2 34967MAL5 LT BBB-sf New Rating E 34967PAA2 LT BB-sf New Rating Sub 34967PAC8 LT NRsf New Rating Transaction Summary Fortress Credit BSL XXVII Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by FC BSL CLO Manager LLC. Net proceeds from the issuance of the secured and subordinated notes will finance on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLO transactions. The weighted average rating factor (WARF) of the indicative portfolio is 24.16, 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 99.97% of first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.03% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48% of the portfolio balance in aggregate, while the top five obligors may 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 five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio that reflects adjustments to the indicative portfolio for permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for WAL covenants over 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. 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, and between less than 'B-sf' and 'BBB-sf' for class D-2 and between less than 'B-sf' and 'BBsf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class 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, '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 Fortress Credit BSL XXVII Limited. 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. GLS AUTO 2026-3: S&P Assigns Prelim BB (sf) Rating on Class E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GLS Auto Receivables Issuer Trust 2026-3's (GCAR 2026-2's) automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of Aug. 6, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 56.03%, 47.29%, 36.79%, 28.04%, and 24.18% of credit support (hard credit enhancement and haircut to excess spread) for the class A (A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x of S&P's 17.50% expected cumulative net loss for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, including the representation in the transaction documents that all contracts in the pool have made at least one payment, S&P's view of the collateral's credit risk, and its updated U.S. macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at UMB Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Global Lending Services LLC (GLS) as servicer, and its view of the company's underwriting and backup servicing arrangement with UMB Bank N.A. -- The transaction's payment and legal structures. Preliminary Ratings Assigned GLS Auto Receivables Issuer Trust 2026-3 Class A-1, $158.00 million: A-1+ (sf) Class A-2, $312.00 million: AAA (sf) Class A-3, $208.52 million: AAA (sf) Class B, $207.13 million: AA (sf) Class C, $194.28 million: A (sf) Class D, $185.70 million: BBB (sf) Class E, $93.56 million: BB (sf) GOAL STRUCTURED 2015-1: Fitch Affirms 'BBsf' Rating on Cl. B Notes ------------------------------------------------------------------ Fitch Ratings has revised the Rating Outlooks on the Goal Capital Funding Trust 2007-1 (Goal 2007-1) class B notes to Negative from Stable and affirmed the class A notes at 'AA+sf'. Fitch has also affirmed the Goal Capital Funding Trust 2006-1 (Goal 2006-1) class A and class B notes at 'AA+sf' and 'A+sf', respectively, with a Stable Outlook. Fitch has affirmed the Goal Structured Solutions Trust 2015-1 (Goal 2015-1) class A and class B notes at 'AA+sf' and 'BBsf', respectively, and the Outlook on the class B note remains Negative. Entity/Debt Rating Prior ----------- ------ ----- Goal Structured Solutions Trust 2015-1 A 38021FAA9 LT AA+sf Affirmed AA+sf B 38021FAB7 LT BBsf Affirmed BBsf Goal Capital Funding Trust 2007-1 A-5 38021DAF3 LT AA+sf Affirmed AA+sf B-1 38021DAJ5 LT BBBsf Affirmed BBBsf Goal Capital Funding Trust 2006-1 A-6 38021BAF7 LT AA+sf Affirmed AA+sf B 38021BAG5 LT A+sf Affirmed A+sf Transaction Summary Goal 2006-1: Both the class A and class B notes pass the credit and maturity stresses with sufficient credit enhancement (CE) at the commensurate rating levels. Trust performance remains stable and in-line with Fitch's assumptions over the last year despite the increase of weighted average (WA) remaining term to 184 months from 178 months as of last review. Goal 2007-1: The class A notes pass Fitch's credit and maturity stresses with sufficient CE at the commensurate rating level. The class B notes failed the 'BBBsf' credit stresses. The revision of the Outlook to Negative from Stable reflects increasing maturity risk resulting from the extended WA remaining term to 182 months from 179 months as of Fitch's last review, and the potential for a downgrade in the near term if the notes continue to fail cash flow stresses by a wider margin. Goal 2015-1: The class A notes pass Fitch's credit and maturity stresses with sufficient CE at the commensurate rating level. The class B notes failed Fitch's cash flow credit stresses at 'BBsf' and continue producing principal shortfalls in the failing increasing and stable interest rate scenarios. The WA remaining term increased to 209 months from 205 months as of last review. The Outlook for the class B notes remains Negative, reflecting the potential for a near-term downgrade if the notes continue to fail cash flow stresses or if the remaining term increases materially. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral consists entirely of 100% Federal Family Education Loan Program (FFELP) loans, which are guaranteed by eligible guarantors and reinsured by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. Fitch caps the notes at the U.S. sovereign rating, currently 'AA+'/Stable, and the notes are likely to move in tandem with the sovereign, given the ED reinsurance and special allowance payments (SAP). Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a base case cumulative default rate of 36.25% and 100.00% default rate under the 'AA' credit stress scenario; 37.00% and 100.00%; 49.00% and 100.00%, for Goal 2006-1, 2007-1 and 2015-1, respectively. Fitch maintained the sCDR and sCPR (voluntary and involuntary) of 5.20% and 9.50%, 5.80% and 10.50%, for Goal 2006-1 and 2007-1, respectively. For Goal 2015-1, Fitch has revised the sCDR to 8.50% from 10.00% and sCPR to 15.00% from 18.00%, to keep them in line with current trends. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The trailing 12 months (TTM) level of deferment, forbearance and IBR (prior to adjustment) are as follows: Goal 2006-1: 2.83%/8.16%/39.72% (2.58%/8.21%/34.16% as of April 2025) Goal 2007-1: 4.01%/7.36%/30.71% (3.67%/8.82%/28.32% as of May 2025) Goal 2015-1: 3.23%/12.10%/32.18% (4.34%/10.57%/29.61% as of June 2025) These levels are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AA+' case. The borrower benefit is assumed to be approximately 0.24%, 0.27%, and 0.04% for Goal 2006-1, 2007-1, and 2015-1, respectively, based on information provided by the sponsor. The 31-60 days past due (DPD) are 2.62%, 2.45%, 4.76% versus 2.02%, 2.59%, 4.18% yoy. The 91-120 DPD are 1.22%, 0.89%, 2.04% versus 1.24%, 0.65%, 2.29% yoy. 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. For transactions modeled in this review, Fitch applied its standard basis and interest rate stresses in accordance with its criteria. Payment Structures Goal 2006-1: CE is provided by OC, excess spread, and, for the class A notes, subordination. As of the latest distribution date, reported total parity (including the reserve account) is 102.41%. Liquidity support is provided by a reserve account sized at its floor of $2,949,961. Goal 2007-1: CE is provided by OC, excess spread, and, for the class A notes, subordination. As of the latest distribution date, reported total parity (including the reserve account) is 102.60%. Liquidity support is provided by a reserve account sized at its floor of $1,648,140. Goal 2015-1: CE is provided by OC, excess spread, and, for the class A notes, subordination. As of the latest distribution date, reported total parity (including the reserve account) is 104.79%. Liquidity support is provided by a reserve account sized at its floor of $150,000. Operational Capabilities: Day-to-day servicing is provided by the Pennsylvania Higher Education Assistance Agency (PHEAA). Fitch believes PHEAA to be an acceptable servicer due to its extensive track record as one of the largest servicers of FFELP loans. 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 sovereign, by nature of the reinsurance provided by the Department of Education. 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. Goal 2006-1 Credit Stress Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'Asf'; - Default increase 50%: class A 'AA+sf'; class B 'Asf'; - Basis spread increase 0.25%: class A 'AA+sf'; class B 'Asf'; - Basis spread increase 0.50%: class A 'AA+sf'; class B 'BBBsf. Maturity Stress Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'AA+sf'; - CPR decrease 50%: class A 'AA+sf'; class B 'AA+sf'; - IBR usage increase 25%: class A 'AA+sf'; class B 'AA+sf'; - IBR usage increase 50%: class A 'AA+sf'; class B 'AA+sf'; - Remaining term increase 25%: class A 'Asf'; class B 'AAsf'; - Remaining term increase 50%: class A 'BBBsf'; class B 'BBBsf'. Goal 2007-1 Credit Stress Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'BBsf'; - Default increase 50%: class A 'AA+sf'; class B 'Bsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'BBsf'; - Basis Spread increase 0.50%: class A 'AA+sf'; class B 'Bsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'Asf'; - CPR decrease 50%: class A 'AA+sf'; class B 'BBBsf'; - IBR usage increase 25%: class A 'AA+sf'; class B 'AAf'; - IBR usage increase 50%: class A 'AA+sf'; class B: 'AA+sf'; - Remaining term increase 25%: class A 'AA+sf'; class B 'CCCsf'; - Remaining term increase 50%: class A 'Asf'; class B 'CCCsf'. Goal 2015-1 Credit Stress Sensitivity - Default increase 25%: class A 'AA+sf'; class B 'Bsf'; - Default increase 50%: class A 'AA+sf'; class B 'Bsf'; - Basis Spread increase 0.25%: class A 'AA+sf'; class B 'CCCsf'; - Basis Spread increase 0.50%: class A 'AA+sf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AA+sf'; class B 'BBsf'; - CPR decrease 50%: class A 'AA+sf'; class B 'Bsf'; - IBR usage increase 25%: class A 'AA+sf'; class B 'Asf'; - IBR usage increase 50%: class A 'AA+sf'; class B: 'Asf'; - Remaining term increase 25%: class A 'AA+sf'; class B 'BBsf'; - Remaining term increase 50%: class A 'AA+sf'; class B 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Goal 2006-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest achievable ratings. The ratings below are for class B: Credit Stress Rating Sensitivity - Default decrease 25%: class B 'AA+sf'; - Basis spread decrease 0.25%: class B 'Asf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class B 'AA+sf'; - IBR usage decrease 25%: class B 'AA+sf'; - Remaining term decrease 25%: class B 'AA+sf'. Goal 2007-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest achievable ratings. The ratings below are for class B: Credit Stress Rating Sensitivity - Default decrease 25%: class B 'BBBsf'; - Basis spread decrease 0.25%: class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class B 'Asf'; - IBR usage decrease 25%: class B 'Asf'; - Remaining term decrease 25%: class B 'AA+sf'. Goal 2015-1 No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest achievable ratings. The ratings below are for class B: Credit Stress Rating Sensitivity - Default decrease 25%: class B 'BBsf'; - Basis spread decrease 0.25%: class B 'BBsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class B 'BBsf'; - IBR usage decrease 25%: class B 'BBBsf'; - Remaining term decrease 25%: class B 'AAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE-BACKED 2026-NQM5: S&P Assigns B(sf) Rating on B-2 Certs ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to GS Mortgage-Backed Securities Trust 2026-NQM5's mortgage-backed certificates. The certificates issuance is an RMBS transaction backed by first-lien, fixed and adjustable-rate, amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and cooperatives. The pool has 1,032 loans, comprising non-QM/ATR-compliant, and ATR-exempt loans. S&P said, "Following our preliminary rating actions on July 23, 2026, the issuer decided not to issue the class A-1FCF and A-1LCF certificates on the closing date. As a result, the class A-1A and A-1B certificate amounts increased to $217.839 million and $33.032 million, respectively, from $174.583 million and $26.453 million. The corresponding class A-1 certificate amount also increased to $250.871 million from $201.036 million. The class M-1 certificate amount decreased by $1,000 to $12.386 million, and the B-2 certificate amount increased by $1,000 to $5.946 million. Finally, the class B-3 certificate amount increased to $6,111,324 from $5,946,324, and the interest rate for the class B-1 certificates was priced with the net weighted average coupon (WAC) rate. As a result, subordination credit enhancement on all class certificates increased by 0.05% other than class B-3 certificates, which remains unchanged. After analyzing the final coupons and the updated structure, we assigned ratings to the remaining classes that are unchanged from the preliminary ratings." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; and -- S&P said, "Our 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) GS Mortgage-Backed Securities Trust 2026-NQM5 Class A-1, $250,871,000.00: AAA (sf) Class A-1A, $217,839,000.00: AAA (sf) Class A-1B, $33,032,000.00: AAA (sf) Class A-2, $18,663,000.00: AA (sf) Class A-3, $27,746,000.00: A (sf) Class M-1, $12,386,000.00: BBB (sf) Class B-1, $8,588,000.00: BB (sf) Class B-2, $5,946,000.00: B (sf) Class B-3, $6,111,324.00: NR Class X, notional(ii): NR Class SA, (iii): NR Class PT, $330,311,324.00: NR Class R(iv), not applicable: NR (i)The ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The notional amount for the class X certificates equals the non-retained interest percentage (95%) of the loans' aggregate unpaid principal balance, initially $330,311,324. (iii)The initial balance of class SA equals the non-retained interest percentage of the pre-existing servicing advances as of the closing date, initially $33,145. (iv)The class R certificates will not have a principal amount and are the class of certificates representing residual interest in the issuing entity. NR--Not rated. HALSEYPOINT CLO 4: Fitch Assigns 'BB-sf' Rating on Class E-3R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to HalseyPoint CLO 4, Ltd. reset transaction. Entity/Debt Rating ----------- ------ HalseyPoint CLO 4, Ltd. X-R LT AAAsf New Rating A-1R LT AAAsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-R LT BBB+sf New Rating E-1R LT BB+sf New Rating E-2R LT BB-sf New Rating Transaction Summary HalseyPoint CLO 4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by HalseyPoint Asset Management LLC and originally closed in June 2021. This is the first refinancing that will redeem the existing secured notes in whole on July 30, 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 22.93, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.68% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.07% 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 10% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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, between 'A+sf' and 'AAAsf' for class A-1R, between 'A+sf' and 'AAAsf' for class A-2R, between 'BBBsf' and 'AAsf' 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-R, between less than 'B-sf' and 'BB+sf' for class E-1R and between less than 'B-sf' and 'B+sf' for class E-2R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-R, 'BBB+sf' for class E-1R and 'BBB+sf' for class E-2R. 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 HalseyPoint CLO 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. JP MORGAN 2018-AON: S&P Lowers X-B Certs Rating to 'CCC- (sf)' -------------------------------------------------------------- S&P Global Ratings lowered its ratings on eight classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON. This is a U.S. standalone (single-borrower) CMBS transaction backed by a $214 million pari passu A note and a $186 million B note (totaling $400 million as of the July 2026, trustee remittance report). The notes are part of a $536 million fixed-rate interest-only (IO) 4.63% per annum mortgage loan secured by the borrower's fee-simple interest in Aon Center, an 83-story, 2.8 million sq-ft, 1972-built office tower located at 200 East Randolph St. in Chicago's East Loop office submarket. The property consists of approximately 2.6 million sq ft of office space and 177,000 sq ft of retail, storage, telecom, and amenity space. Rating Actions The downgrades on classes D, E, and F reflect actual interest shortfalls that were effectuated in the July 2026 trustee remittance report due to reduced servicer advancing on the delinquent B note. An updated appraisal value ($195.0 million as of May 2026) that was released in the July 2026 remittance report resulted in $283.6 million of appraisal reduction amounts (ARA) to be implemented, thus reducing servicer advancing. The downgrades on classes A, B, and C reflect our concerns of potential interest shortfalls to these classes should the A note become delinquent, since a portion of the ARA will impact the amount of servicer advancing on this note. Furthermore, S&P also considered that the updated appraisal value of $195.0 million indicates that the repayments of classes A, B, C, D, E, and F are dependent on favorable business, financial, and economic conditions and that the classes are vulnerable to default. The mortgage loan transferred to special servicing in April 2026 after the borrower failed to make a $2.5 million reserve payment that was due, pursuant to a previous modification of the loan in September 2023. The loan had matured on July 1, 2026. According to the special servicer comments, discussions are ongoing between the special servicer and the borrower regarding a potential forbearance agreement with plans for the borrower to stabilize the property to repay the mortgage. S&P said, "We will continue to monitor updates from the special servicer regarding the modification terms and the impact it may have on the magnitude and duration of the interest shortfalls outstanding. However, if the interest shortfalls remain outstanding for a prolonged period, or classes A, B, and C experience interest shortfalls, we will take additional rating actions. "The downgrade on the two IO certificates reflect our criteria for rating IO securities, which state that the rating on the IO security would not be higher than that of the lowest-rated reference class. The notional amount of the class X-A certificates references class A, while class X-B's references classes B and C." According to the revised July 2026 trustee remittance report, the trust experienced current monthly interest shortfalls totaling $630,748 due primarily to appraisal subordination entitlement reductions of $716,859, offset by special servicing fees of $86,111 that were returned to the trust. This resulted in classes D, E, and F experiencing interest shortfalls for the month of July 2026. Ratings Lowered J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON Class A to 'B- (sf)' from 'BB- (sf)' Class B to 'CCC- (sf)' from 'B- (sf)' Class C to 'CCC- (sf)' from 'CCC (sf)' Class D to 'CCC- (sf)' from 'CCC (sf)' Class E to 'CCC- (sf)' from 'CCC (sf)' Class F to 'CCC- (sf)' from 'CCC (sf)' Class X-A to 'B- (sf)' from 'BB- (sf)' Class X-B to 'CCC- (sf)' from 'CCC (sf)' JP MORGAN 2026-HYB2: Fitch Assigns B(EXP)sf Rating on Cl. B5 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to J.P. Morgan Mortgage Trust 2026-HYB2 (JPMMT 2026-HYB2). Entity/Debt Rating ----------- ------ JPMMT 2026-HYB2 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1X LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A2A LT AAA(EXP)sf Expected Rating A2X LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A3A LT AAA(EXP)sf Expected Rating A3X LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4X LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A5A LT AAA(EXP)sf Expected Rating A5X LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 183 loans with a balance of $300.28 million as of the cutoff date. The transaction is expected to close on July 31, 2026. The pool entirely consists of prime-quality hybrid adjustable-rate mortgages (ARMs) originated mainly by United Wholesale Mortgage (UWM. UWM is contributing 71.74% of the loans to the pool and is assessed as an 'Above Average' originator by Fitch. The seller 11.23% of the loans from acquired MAXEX Clearing LLC ("MAXEX"). The remaining originators are contributing less than 10% each to the transaction. NewRez LLC d/b/a Shellpoint Mortgage Servicing (RPS2+/Stable) will service 99.04% of the loans on an interim basis on behalf of the issuer until the servicing transfer date, after which the loans will be serviced by JPMCB. The remaining loans will be serviced by loanDepot.com, LLC (0.40%) and UWM (0.56%). Cenlar is the subservicer for UWM. The master servicer will be Rocket Mortgage LLC. Per the transaction documents, 79.5% of the loans are designated as safe harbor (APOR) qualified mortgage loans (SHQM) and the remaining 20.5% are designated as rebuttable presumption (APOR) qualified mortgage loans. For each distribution date prior to January 2033 the pass through rate on the A-1-A, A-2-A, A-3- A, A-4-A and A-5-A classes will be the lower of 5.50% and the net WAC and for the distribution dates on and after January 2033 the pass through rate will be the net WAC. For each distribution date prior to January 2033 the pass through rate on the A-1-X A-2-X, A-3- X, A-4-X and A-5-X classes will be the excess of the net WAC and 5.5% and for the distribution dates on and after January 2033 the pass through rate will be zero. The pass through rate on the B-1, B-2, B-3, B-4, and B-5 will be the net WAC. the class B-6 pass through rate will be an annual rate equal to the greater of i) zero and ii) the excess of (x) the net WAC for such distribution date over (y) an amount equal to the product of a) 12 and b) a fraction, i) the numerator of which equals the sum of the aggregate delinquent servicing fee and the aggregate additional servicing fee for such distribution date, and ii) the denominator of which equals the class principal amount of the class B-6 certificates immediately prior to such distribution date. KEY RATING DRIVERS Credit Risk of Prime Hybrid ARM Credit Quality (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess credit risk and expected losses. The pool consists of hybrid adjustable-rate (10/6, 5/6, 7/6) first lien residential mortgage loans with original terms to maturity of 30 years. Of the loans, 70.1% are purchases, 89.1% of the loans are single family/planned unit developments (PUDs) and 100% of the loans are owner-occupied or second homes. The loans are seasoned at an average of three months. The pool has a weighted average (WA) original FICO score of 766, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (cLTV) of 76.3%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 84.4%. This transaction has a final probability of default (PD) of 20.7% in the 'AAA' rating stress Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 36.9%. The expected loss in the 'AAAsf' rating stress is 7.6%. Structural Analysis (Neutral): The mortgage cash flow and loss allocation in JPMMT 2026-HYB2 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 2.55% 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 1.85% 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 loans will be allocated, first, to the subordinate bonds (starting with class B-6). Once class B-1 is written off, losses will be allocated to class A-5-A first and then to the super-senior classes pro rata once class A-5-A 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 Fitch's loss projections as 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. Due diligence is the only consideration that directly affects Fitch's loss expectations. A third-party firm performed due diligence on 100% of the loans in the transaction by loan count. Fitch applies a 5-basis-point (bp) z-score reduction for loans fully reviewed by the third-party review (TPR) firm with 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 materially affect the transaction performance. Additionally, the transaction must satisfy all legal requirements to achieve full de-linkage from any other entities. Fitch expects JPMMT 2026-HYB2 to be fully de-linked and structured with a bankruptcy-remote special-purpose vehicle. 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 JPMMT 2026-HYB2. Therefore, Fitch is comfortable assigning the transaction the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This deﬁned negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.8%, at 'AAAsf'. 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, Digital Risk, Opus, and Consolidated Analytics. 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, 100% of the loans had a due diligence review and all the loans reviewed received a ﬁnal grade of "A" or "B." As a result, losses were lowered based on the due diligence results. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool by balance. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Opus, and Consolidated Analytics were 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. KRR CLO 30: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 30 Ltd. reset transaction: Entity/Debt Rating Prior ----------- ------ ----- KKR CLO 30 Ltd. X-R LT AAAsf New Rating A-1-R3 LT AAAsf New Rating A-2-R3 LT AAAsf New Rating A1-R2 48250EBA2 LT PIFsf Paid In Full AAAsf AJ-R2 48250EBC8 LT PIFsf Paid In Full AAAsf B-R3 LT AAsf New Rating B-R2 48250EBE4 LT PIFsf Paid In Full AAsf C-R3 LT Asf New Rating C-R2 48250EBG9 LT PIFsf Paid In Full Asf D-1-R3 LT BBB+sf New Rating D-2-R3 LT BBB+sf New Rating D1-R2 48250EBJ3 LT PIFsf Paid In Full BBB-sf D2-R2 48250EBL8 LT PIFsf Paid In Full BBB-sf E-R3 LT BB-sf New Rating E-R2 48251XAG7 LT PIFsf Paid In Full BB-sf Transaction Summary KKR CLO 30 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.18 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.05% 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 47% 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 5.2-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 'A-sf' and 'AA+sf' for class A-1-R3, between 'BBB+sf' and 'AA+sf' for class A-2-R3, between 'BBB-sf' and 'A+sf' for class B-R3, between 'B+sf' and 'A-sf' for class C-R3, between less than 'B-sf' and 'BBB-sf' for class D-R3 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-R, class A-1-R3 and class A-2-R3 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, 'AAsf' for class C-R3, 'Asf' for class D-R3 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 KKR CLO 30 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. LAD SELECT 2026-A: Moody's Assigns Ba3 Rating to Class E Notes -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the notes issued by LAD Select Auto Receivables Trust 2026-A (LASAR 2026-A). This is Driveway Finance Corporation's (DFC) first auto loan transaction backed solely by non-prime collateral and tenth auto loan transaction rated by us. DFC is a wholly owned subsidiary of Lithia Financial Corporation, which is a wholly owned subsidiary of Lithia Motors, Inc. (LAD, Ba1 stable). The notes are backed by a pool of retail automobile loan contracts originated by DFC, who is also the servicer for the transaction. The complete rating actions are as follows: Issuer: LAD Select Auto Receivables Trust 2026-A 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 Aa1 (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 of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of DFC as the servicer and the presence of Systems & Services Technologies, Inc. (unrated) as named backup servicer. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of DFC as the servicer and the presence of Systems & Services Technologies, Inc. (unrated) as named backup servicer. Moody's medians cumulative net loss expectation for the 2026-A pool is 8%, and the loss at a Aaa stress is 35%. Moody's based its cumulative net loss expectation and loss at a Aaa stress on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of DFC to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C, Class D, and Class E notes are benefit from 33.6%, 24.4%, 17.9% , 13.4%, and 8.5% of hard credit enhancement respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination. The notes may also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, Class C, Class D, and Class E notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, Moody's could downgrade the Class A-1 short-term rating following a significant slowdown in principal collections that could result from, among other things, high delinquencies or a servicer disruption that impacts obligor's payments. MADISON PARK LXVII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Madison Park Funding LXVII, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Madison Park Funding LXVII, Ltd. A-1-L1 LT NRsf New Rating A-1-L2 LT NRsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating A2 55821YAJ5 LT PIFsf Paid In Full AAAsf B 55821YAC0 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 55821YAE6 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 55821YAG1 LT PIFsf Paid In Full BBBsf D-1-R LT BBBsf New Rating D-2 55821YAL0 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating E 55822KAA3 LT PIFsf Paid In Full BB+sf E-R LT BB-sf New Rating F-R LT NRsf New Rating Transaction Summary Madison Park Funding LXVII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by UBS Asset Management (Americas) LLC that originally closed in April 2024. This is the first reset, and net proceeds from the issuance of the secured and subordinated notes will finance a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.02. Issuers rated in the 'B' rating category denote highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.69% first-lien senior secured loans and has a weighted average recovery assumption of 72.3%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and by 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 required diversity across 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 above 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 a rating to the class C-R and D-1-R notes that is one notch below the MIR and to the class D-2-R, and E-R notes that is two notches below the MIR. The available credit enhancement for these tranches is in line with the average credit enhancement level observed across comparable deals, which supports the rating below the MIR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in these metrics. 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 'BB+sf' for class D-2-R and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in these metrics. The minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, and 'A+sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Madison Park Funding LXVII, 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. MORGAN STANLEY 2026-NEW2: S&P Assigns (P) 'B' Rating on B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-NEW2's mortgage-backed notes. The note issuance is first-lien, fixed-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of three months. The mortgage loans primarily have 30-year maturities. There are 23 loans with 40-year maturities and four loans with 15-year maturities. The loans are secured by single-family residential properties (including townhouses), planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 670 loans, backed by 670 properties, which are non-qualified mortgage/ability-to-repay (ATR) compliant, and ATR-exempt. The preliminary ratings are based on information as of Aug. 6, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage originator, Nexera Holding LLC doing business as NewFi Lending; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-NEW2 Class A-1FCF, $123,960,000: AAA (sf) Class A-1LCF, $41,320,000: AAA (sf) Class A-1, $165,360,000: AAA (sf) Class A-1-A, $144,440,000: AAA (sf) Class A-1-B, $20,920,000: AAA (sf) Class A-2, $24,948,000: AA (sf) Class A-3, $27,803,000: A (sf) Class M-1, $16,306,000: BBB (sf) Class B-1, $7,734,000: BB (sf) Class B-2, $6,272,000: B (sf) Class B-3, $4,390,272: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $20,908,272: NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $418,093,272. NR--Not rated. NEUBERGER BERMAN 56: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Neuberger Berman Loan Advisers CLO 56, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers CLO 56, Ltd. A-1 64135TAA8 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-1L LT AAAsf New Rating A-2 64135TAC4 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 64135TAE0 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 64135TAG5 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 64135TAJ9 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 64135UAA5 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Neuberger Berman Loan Advisers CLO 56, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Neuberger Berman Loan Advisers IV LLC that originally closed in June 2024 and will be refinanced on July 24, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.72 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.31% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.95% 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%, subject to the Fitch test matrix then in effect, of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-1-R, between 'A-sf' and 'AA+sf' for class A-2-R, between 'BBB-sf' and 'A+sf' for class B-R, between 'B+sf' and 'Asf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-1-R, between less than 'B-sf' and 'BBB-sf' for class D-2-R and between less than 'B-sf' and 'BBsf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, '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 Neuberger Berman Loan Advisers CLO 56, 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. NEW RESIDENTIAL 2026-NQM9: Fitch Rates Class B2 Notes 'B-(EXP)sf' ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust, Series 2026-NQM9 (NRMLT 2026-NQM9). Entity/Debt Rating ----------- ------ NRMLT 2026-NQM9 A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 881 nonprime loans that were primarily originated by NewRez LLC (NewRez), with a total balance of approximately $494.5 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-NQM9 has a Final PD of 40.2% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 41.6%. The expected loss in the 'AAAsf' rating stress is 16.7%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM9 are based on a modified sequential structure whereby the principal is distributed pro rata among the senior certificates while subordinate bonds are shut out from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the collective class A-1 notes (namely, the A-1FCF, A-1LCF, A-1A, A-1B notes), class A-2, and class A-3 notes until they are reduced to zero. Among the collective class A-1 notes, interest and principal payments will be made either pro-rata or sequentially depending on which class A-1 notes are outstanding at the time of distribution. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes (see Cash Flow Analysis section for more details). Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects NRMLT 2026-NQM9 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2026-NQM9 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by several firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: 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. NORTHWOODS CAPITAL 25: Fitch Assigns BB-sf Rating on Cl. E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Northwoods Capital 25, Limited reset transaction. Entity/Debt Rating ----------- ------ Northwoods Capital 25, Limited X-R2 LT AAAsf New Rating A-1-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1A-R2 LT BBBsf New Rating D-1B-R2 LT BBBsf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Northwoods Capital 25, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Angelo, Gordon & Co., L.P., which originally closed in July 2021 and was partially refinanced in September 2025. It is expected to be fully refinanced on July 30, 2026. Net proceeds from the issuance of the secured notes and additional subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.04 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.62% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.33% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2 notes, between 'A-sf' and 'AA+sf' for class A-1-R2 notes, between 'BBB+sf' and 'AA+sf' for class A-2-R2 notes, between 'BBB-sf' and 'A+sf' for class B-R2 notes, between 'B+sf' and 'A-sf' for class C-R2 notes, between less than 'B-sf' and 'BBB+sf' for class D-1-R2 (D-1A-R2 and D-1B-R2, collectively) notes, between less than 'B-sf' and 'BB+sf' for class D-2-R2 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 class X-R2, A-1-R2 and A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2 notes, 'AA+sf' for class C-R2 notes, 'A+sf' for class D-1-R2 (D-1A-R2 and D-1B-R2, collectively) notes, 'A-sf' for class D-2-R2 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 Northwoods Capital 25, Limited. 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. NYMT LOAN 2026-INV4: Moody's Assigns B3 Rating to Cl. B-2 Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 8 classes of residential mortgage-backed securities (RMBS) 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-1FCF, Definitive Rating Assigned Aaa (sf) Cl. A-1LCF, Definitive Rating Assigned Aaa (sf) Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A2 (sf) Cl. M-1, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Ba3 (sf) Cl. B-2, Definitive Rating Assigned B3 (sf) Moody's are withdrawing the provisional ratings for the Class A-1A and Class A-1B assigned on July 22, 2026, because the Class A-1A and Class A-1B were not issued on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 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. OBX 2026-AHC3: Moody's Assigns B3 Rating to Cl. B-5 Certs --------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 63 classes of residential mortgage-backed securities (RMBS) issued by OBX 2026-AHC3 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages aggregated by Onslow Bay Financial LLC, and originated and serviced by AmeriHome Mortgage Company, LLC. The complete rating actions are as follows: Issuer: OBX 2026-AHC3 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-F1, Definitive Rating Assigned Aaa (sf) Cl. A-F1-X*, Definitive Rating Assigned Aaa (sf) Cl. A-F2, Definitive Rating Assigned Aaa (sf) Cl. A-F2-X*, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3(sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans assigned on July 09, 2026, because the Class A-1A Loans was not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.38%, in a baseline scenario-median is 0.17% and reaches 5.50% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. OBX 2026-INV5: Moody's Assigns B3 Rating to Cl. B-5 Certs --------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 66 classes of residential mortgage-backed securities (RMBS) issued by OBX 2026-INV5 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of residential mortgages aggregated by Onslow Bay Financial LLC. The pool was originated by various originators. NewRez LLC d/b/a Shellpoint Mortgage Servicing ("Shellpoint"), and Select Portfolio Servicing, Inc are the servicers of the pool. Computershare Trust Company, N.A. is the master servicer. The complete rating actions are as follows: Issuer: OBX 2026-INV5 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-F, Definitive Rating Assigned Aaa (sf) Cl. A-F-X*, Definitive Rating Assigned Aaa (sf) Cl. A-F2, Definitive Rating Assigned Aaa (sf) Cl. A-F2-X*, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. A-X-27*, Definitive Rating Assigned Aa1 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A Loans, Class A-2A Loans, and Class A-3A Loans, assigned on July 21, 2026, because the Class A-1A Loans, Class A-2A Loans, and Class A-3A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.70%, in a baseline scenario-median is 0.41% and reaches 7.65% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. OBX 2026-J2: Moody's Assigns B3 Rating to Cl. B-5 Certs ------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 64 classes of residential mortgage-backed securities (RMBS) issued by OBX 2026-J2 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of prime jumbo (91.0% by balance) and GSE-eligible (9.0% by balance) residential mortgages that OBX purchased from Bank of America, National Association (BANA), who in turn aggregated them from multiple originators and also from aggregators MAXEX Clearing LLC (MAXEX; 0.3% by loan balance) and Onslow Bay Financial LLC (Onslow Bay; 5.7% by balance). NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) and United Wholesale Mortgage, LLC are the servicers of the pool. The complete rating actions are as follows: Issuer: OBX 2026-J2 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-F, Definitive Rating Assigned Aaa (sf) Cl. A-F-X*, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. A-X-27*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A Loans, Class A-2A Loans, and Class A-3A Loans, assigned on July 15, 2026, because the Class A-1A Loans, Class A-2A Loans, and Class A-3A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.32%, in a baseline scenario-median is 0.15% and reaches 3.96% 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. OCTANE RECEIVABLES 2026-RVM1: S&P Assigns 'BB+' Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Octane Receivables Trust 2026-RVM1's asset-backed notes. The note issuance is an ABS securitization backed by consumer recreational vehicles and marine receivables. The ratings reflect S&P's view of: -- The availability of approximately 52.86%, 41.26%, 31.80%, 22.80%, and 19.60% in credit support, including excess spread, for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 4.00x, 3.20x, 2.55x, 1.85x, and 1.58x coverage of S&P's stressed net loss levels for the class A, B, C, D, and E notes, respectively. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its ratings will be within the credit stability limits specified in section A.4 of the Appendix in "S&P Global Ratings Definitions," published Dec. 16, 2025. -- The collateral characteristics of the amortizing pool, which includes approximately 96.36% recreational vehicles and 3.64% marine receivables. -- The transaction's credit enhancement in the form of subordination, overcollateralization that builds to a target level of 10.00% of the current receivables balance (subject to a floor of 10.00% of the initial receivables balance), a nonamortizing reserve account, and excess spread. -- The transaction's payment and legal structures. Ratings Assigned Octane Receivables Trust 2026-RVM1 Class A, $191.16 million: AAA (sf) Class B, $39.42 million: AA (sf) Class C, $38.16 million: A (sf) Class D, $43.30 million: BBB (sf) Class E, $25.20 million: BB+ (sf) ONE WIND 2022-1: S&P Affirms 'B (sf)' Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings lowered its rating on the class D-2 debt from Wind River 2022-1 CLO Ltd. and removed it from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class D-1-R and E debt and removed them from CreditWatch negative. S&P also affirmed its ratings on the class A-RR, B-1-RR, B-2, and C-RR debt from the same transaction. The broadly syndicated U.S. CLO is managed by First Eagle Alternative Credit LLC. The transaction was originally issued in June 2022 and will exit its reinvestment period in July 2027. On May 6, 2026, S&P had placed its ratings on the class D-1-R, D-2, and E debt on CreditWatch negative, primarily due to the declining credit support available to those classes and indicative cash flow results. The deal was reviewed in June 2026 in connection with a partial refinancing in which the ratings on the class D-1-R, D-2, and E debt (already on CreditWatch negative) were not included in the refinancing. The rating actions follow S&P's review of the transaction's performance using data from the July 2026 trustee report. Compared to the August 2025 report referenced in our October 2025 rating actions, following are the changes to the reported July 2026 overcollateralization (O/C) ratios: -- The class A/B O/C ratio declined to 127.01% from 127.81%. -- The class C O/C ratio declined to 117.71% from 118.46%. -- The class D O/C ratio declined to 109.69% from 110.38%. -- The class E O/C ratio declined to 105.20% from 105.87%. Conversely, compared to the trustee level O/C ratios at the time of the refinancing, the July 2026 OC ratios remained stable, with the June 2026 reported O/C levels as follows: A/B O/C ratio at 127.00%, the C O/C ratio at 117.00%, the D O/C ratio at 109.69%, and the E O/C ratio at 105.2%. During the period since our October 2025 rating actions, the trustee-reported weighted average spread (WAS) decreased to 3.02% from 3.13%, S&P Global Ratings' weighted average recovery rate (WARR) on the 'AAA' rated debt decreased to 38.20% from 38.50%, and the collateral obligations in the 'CCC' rating category decreased to $13.84 million from $16.13 million. Defaults additionally decreased from $1.42 million to zero. Overall, the par losses sustained by the portfolio since S&P's review in October 2025, coupled with the decline in the portfolio's WAS, have weakened both the credit support and cash flow results for the class D-2 debt, resulting in the downgrade. The affirmed ratings on the class D-1-R and E debt reflect stable metrics and some improvements since being placed on CreditWatch negative in May. The cashflow results additionally benefited some from the June refinancing and are now passing for these classes whereas there were failures at the time of the CreditWatch placement. Any further credit deterioration though could lead to further negative rating changes in the future. The affirmed ratings on the class A-RR, B-1-RR, B-2, and C-RR 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 higher ratings on the class B-1-RR and B-2 debt. However, the transaction has exposure to lower-rated assets and has experienced par losses. Additionally, the transaction is still reinvesting, and, therefore, the portfolio composition is subject to change due to trades. S&P, therefore, affirmed its ratings on both the classes at their 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. Rating Lowered and Removed from CreditWatch Wind River 2022-1 CLO Ltd. Class D-2 to 'BB+ (sf)' from 'BBB- (sf)/Watch Neg' Ratings Affirmed and Removed from CreditWatch Wind River 2022-1 CLO Ltd. Class D-1-R to 'BBB+ (sf)' from 'BBB+ (sf)/Watch Neg' Class E to 'B (sf)' from 'B (sf)/Watch Neg' Ratings Affirmed Wind River 2022-1 CLO Ltd. Class A-RR: AAA (sf) Class B-1-RR: AA (sf) Class B-2: AA (sf) Class C-RR: A (sf) PARK AVENUE 2022-2: S&P Assigns BB-(sf) Rating on Class D-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1-R2, A-2-R2, B-R2, C-R2, and D-R2 debt from Park Avenue Institutional Advisers CLO Ltd. 2022-2/Park Avenue Institutional Advisers CLO LLC 2022-2, a CLO managed by Park Avenue Institutional Advisers LLC that was originally issued in November 2022 and underwent a refinancing in December 2023. At the same time, S&P withdrew its ratings on the previous class A-1-R, A-2-R, B-R, C-R, and D-R debt following payment in full on the July 31, 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 31, 2027. -- No additional assets were purchased on the July 31, 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. Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R2, $204.75 million: Three-month CME term SOFR + 1.25% -- Class A-2-R2, $42.25 million: Three-month CME term SOFR + 1.55% -- Class B-R2 (deferrable), $19.50 million: Three-month CME term SOFR + 1.85% -- Class C-R2 (deferrable), $17.10 million: Three-month CME term SOFR + 3.00% -- Class D-R2 (deferrable), $11.40 million: Three-month CME term SOFR + 6.95% Previous debt -- Class A-1-R, $204.75 million: Three-month CME term SOFR + 1.90% -- Class A-2-R, $42.25 million: Three-month CME term SOFR + 2.75% -- Class B-R (deferrable), $19.50 million: Three-month CME term SOFR + 3.15% -- Class C-R (deferrable), $17.10 million: Three-month CME term SOFR + 6.00% -- Class D-R (deferrable), $11.40 million: Three-month CME term SOFR + 8.71% 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 Park Avenue Institutional Advisers CLO Ltd. 2022-2/ Park Avenue Institutional Advisers CLO LLC 2022-2 Class A-1-R2, $204.75 million: AAA (sf) Class A-2-R2, $42.25 million: AA (sf) Class B-R2, $19.50 million: A (sf) Class C-R2 (deferrable), $17.10 million: BBB- (sf) Class D-R2 (deferrable), $11.40 million: BB- (sf) Ratings Withdrawn Park Avenue Institutional Advisers CLO Ltd. 2022-2/ Park Avenue Institutional Advisers CLO LLC 2022-2 Class A-1-R to NR from 'AAA (sf)' Class A-2-R to NR from 'AA (sf)' Class B-R to NR from 'A (sf)' Class C-R (deferrable) to NR from 'BBB- (sf)' Class D-R (deferrable) to NR from 'BB- (sf)' Other Debt Park Avenue Institutional Advisers CLO Ltd. 2022-2/ Park Avenue Institutional Advisers CLO LLC 2022-2 Subordinated notes, $32.11 million: NR NR--Not rated PRKCM 2026-AFC5: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to PRKCM 2026-AFC5 Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by a pool of 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 primarily secured by single-family residential properties, townhomes, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 1,086 loans, comprising qualified mortgage (QM) safe harbor (average prime offer rate), non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans. The preliminary ratings are based on the term sheet dated Aug. 4, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage originator, AmWest Funding Corp.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i)(ii) PRKCM 2026-AFC5 Trust Class A-1FCF, $73,460,000: AAA (sf) Class A-1LCF, $24,487,000: AAA (sf) Class A-1A, $202,861,000: AAA (sf) Class A-1B, $28,981,000: AAA (sf) Class A-1, $97,947,000: AAA (sf) Class A-2, $23,291,000: AA (sf) Class A-3, $23,910,000: A+ (sf) Class M-1, $16,901,000: BBB (sf) Class B-1, $9,688,000: BB- (sf) Class B-2, $4,329,000: B (sf) Class B-3, $4,328,496: NR Class A-IO-S, notional(iii): NR Class XS, notional(iii): NR Class R, not applicable: 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 $329,789,000, subject to adjustment plus or minus 10%. (ii)The structural information reflects the term sheet dated August 3, 2026. The preliminary ratings address the ultimate payment of interest and principal. (iii)The notional amount is initially $412,236,496 and will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. PRMI SECURITIZATION 2026-CMG1: Fitch Rates Class B2 Notes 'B+sf' ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and rating Outlooks to PRMI Securitization Trust 2026-CMG1 (PRMI 2026-CMG1). Entity/Debt Rating Prior ----------- ------ ----- PRMI 2026-CMG1 A1 LT AAAsf New Rating AAA(EXP)sf A1S LT AAAsf New Rating AAA(EXP)sf A2 LT AA+sf New Rating AA+(EXP)sf A3 LT A+sf 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 AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf CERT LT NRsf New Rating NR(EXP)sf 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 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. The transaction has a sequential structure and a significant amount of excess spread (1.52% based on the post pricing cash flow analysis that Fitch ran.) As a result of the sequential structure and excess spread in the transaction, the model implied ratings based on Fitch's cash flow analysis are higher than the final ratings the committee assigned. Fitch capped the ratings of the A-2. A-3, M-1, B-1, and B-2 Classes at the highest rating of each rating category below 'AAAsf' due to the reliance on excess spread in the structure, and to differentiate each class based upon payment priority, credit support, loss timing, and seniority in the transaction structure. 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; it 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 wase 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 a 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. RR 46: Fitch Assigns 'BB-sf' Rating on Cl. D Notes, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to RR 46 LTD. Entity/Debt Rating ----------- ------ RR 46 LTD A-1a LT NRsf New Rating A-1b LT AAAsf New Rating A-2 LT AAsf New Rating B LT Asf New Rating C-1 LT BBB-sf New Rating C-2 LT BBB-sf New Rating D LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary RR 46 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge 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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.55, 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 99.13% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.37% 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. Fitch has assigned final ratings to the class C-1 and C-2 notes that are two notches and one notch below their respective MIRs. The available credit enhancement for these tranches is in line with the average credit enhancement observed across comparable deals, which supports ratings below the 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-1b, between 'BB+sf' and 'A+sf' for class A-2, between 'B+sf' and 'A-sf' for class B, between less than 'B-sf' and 'BBBsf' for class C-1, between less than 'B-sf' and 'BBB-sf' for class C-2 and between less than 'B-sf' and 'BBsf' for class D. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b notes as these notes are in the highest rating category of 'AAAsf'. For other notes, 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, 'AA+sf' for class B, 'A+sf' for class C-1, 'A+sf' for class C-2 and 'BBB+sf' for class D. 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 RR 46 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. SEQUOIA MORTGAGE 2026-10: Fitch Rates Class B5 Certs 'B(EXP)sf' --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-10 (SEMT 2026-10). Entity/Debt Rating ----------- ------ SEMT 2026-10 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating A26F LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A28 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating ACH4 LT AAA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating A32 LT AAA(EXP)sf Expected Rating ACH67 LT AAA(EXP)sf Expected Rating A33 LT AAA(EXP)sf Expected Rating A34 LT AAA(EXP)sf Expected Rating A35 LT AAA(EXP)sf Expected Rating A36 LT AAA(EXP)sf Expected Rating A37 LT AAA(EXP)sf Expected Rating A38 LT AAA(EXP)sf Expected Rating A39 LT AAA(EXP)sf Expected Rating A40 LT AAA(EXP)sf Expected Rating A41 LT AAA(EXP)sf Expected Rating A42 LT AAA(EXP)sf Expected Rating A43 LT AAA(EXP)sf Expected Rating A44 LT AAA(EXP)sf Expected Rating A45 LT AAA(EXP)sf Expected Rating A46 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating AIO27 LT AAA(EXP)sf Expected Rating AIO27F LT AAA(EXP)sf Expected Rating AIO28 LT AAA(EXP)sf Expected Rating AIO29 LT AAA(EXP)sf Expected Rating AIO30 LT AAA(EXP)sf Expected Rating AIO36 LT AAA(EXP)sf Expected Rating AIO37 LT AAA(EXP)sf Expected Rating AIO38 LT AAA(EXP)sf Expected Rating AIO39 LT AAA(EXP)sf Expected Rating AIO40 LT AAA(EXP)sf Expected Rating AIO41 LT AAA(EXP)sf Expected Rating AIO42 LT AAA(EXP)sf Expected Rating AIO43 LT AAA(EXP)sf Expected Rating AIO44 LT AAA(EXP)sf Expected Rating AIO45 LT AAA(EXP)sf Expected Rating AIO46 LT AAA(EXP)sf Expected Rating AIO47 LT AAA(EXP)sf Expected Rating AIO67 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating LTR LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 586 loans with a total balance of approximately $740.40 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from Rocket Mortgage, CrossCountry Mortgage and various mortgage originators. Distributions of principal and interest and loss allocations are based on a senior-subordinate, shifting-interest structure with full advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted-average Fitch FICO of 776 and 36.4% debt-to-income ratio. The borrowers also have moderate leverage, with a 69.5% mark-to-market combined loan to value (LTV). Overall, 94.5% of the pool loans are for primary residences, while the remainder are second homes. In addition, 100% of the loans were underwritten to full documentation. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzed loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-10 had a final probability of default (PD) of 8.94% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress was 36.00%. The expected loss in the 'AAAsf' rating stress was 3.22%. See Highlights and Asset Analysis sections for more details. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in SEMT 2026-10 were based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzed the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applied its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The credit enhancement for all ratings was sufficient for the given rating levels. The credit enhancement for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considered originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that had a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 97.1% of the loans in the transaction by loan count. Fitch applied a 5 basis points (bps) z-score reduction for loans fully reviewed by a third-party review (TPR) firm that had a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch confirmed 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 outcome on the performance of the transaction. Additionally, all legal requirements were satisfied to fully de-link the transaction from any other entity. SEMT 2026-10 was fully de-linked and is a bankruptcy remote SPV. All transaction parties and triggers aligned with Fitch expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-10 and therefore Fitch was comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.8% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Consolidated Analytics, Clayton, and Opus. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either 'A' or 'B'. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA MORTGAGE 2026-9: Fitch Assigns 'Bsf' Rating on Cl. B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-9 (SEMT 2026-9). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2026-9 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7A LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A16A LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf A26F LT AAAsf New Rating AAA(EXP)sf A27 LT AAAsf New Rating AAA(EXP)sf A28 LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf ACH4 LT AAAsf New Rating AAA(EXP)sf A31 LT AAAsf New Rating AAA(EXP)sf A32 LT AAAsf New Rating AAA(EXP)sf ACH67 LT AAAsf New Rating AAA(EXP)sf A33 LT AAAsf New Rating AAA(EXP)sf A34 LT AAAsf New Rating AAA(EXP)sf A35 LT AAAsf New Rating AAA(EXP)sf A36 LT AAAsf New Rating AAA(EXP)sf A37 LT AAAsf New Rating AAA(EXP)sf A38 LT AAAsf New Rating AAA(EXP)sf A39 LT AAAsf New Rating AAA(EXP)sf A40 LT AAAsf New Rating AAA(EXP)sf A41 LT AAAsf New Rating AAA(EXP)sf A42 LT AAAsf New Rating AAA(EXP)sf A43 LT AAAsf New Rating AAA(EXP)sf A44 LT AAAsf New Rating AAA(EXP)sf A45 LT AAAsf New Rating AAA(EXP)sf A46 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf AIO27 LT AAAsf New Rating AAA(EXP)sf AIO27F LT AAAsf New Rating AAA(EXP)sf AIO28 LT AAAsf New Rating AAA(EXP)sf AIO29 LT AAAsf New Rating AAA(EXP)sf AIO30 LT AAAsf New Rating AAA(EXP)sf AIO36 LT AAAsf New Rating AAA(EXP)sf AIO37 LT AAAsf New Rating AAA(EXP)sf AIO38 LT AAAsf New Rating AAA(EXP)sf AIO39 LT AAAsf New Rating AAA(EXP)sf AIO40 LT AAAsf New Rating AAA(EXP)sf AIO41 LT AAAsf New Rating AAA(EXP)sf AIO42 LT AAAsf New Rating AAA(EXP)sf AIO43 LT AAAsf New Rating AAA(EXP)sf AIO44 LT AAAsf New Rating AAA(EXP)sf AIO45 LT AAAsf New Rating AAA(EXP)sf AIO46 LT AAAsf New Rating AAA(EXP)sf AIO47 LT AAAsf New Rating AAA(EXP)sf AIO67 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf LTR LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 598 loans with a total balance of approximately $736.94 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from Rocket Mortgage, CrossCountry Mortgage, and various mortgage originators. Principal and interest distributions and loss allocations are based on a senior-subordinate, shifting-interest structure with full advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted-average Fitch FICO of 777 and a 36.9% debt-to-income ratio. The borrowers also have moderate leverage, with a 72.4% mark-to-market combined with loan-to-value (LTV). Overall, 94.4% of the pool loans are for primary residences, while the remainder are second homes. In addition, 100% of the loans were underwritten to full documentation. Following the publication of the presale and expected ratings, the issuer provided an updated tape hat removed nine loans. The change in collateral increased the 'AAAsf' expected loss by 1bp. In addition, Fitch analyzed an updated structure. The issuer made minor updates to the bond balances and bond coupons. Credit enhancement did not change. Fitch confirmed that its expected ratings did not change. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzed loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-9 had a final probability of default in the 'AAAsf' rating stress was 10.0%. Fitch's final loss severity in the 'AAAsf' rating stress was 35.5%. The expected loss in the 'AAAsf' rating stress was 3.6%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in SEMT 2026-9 are based on a senior-subordinate, shifting-interest structure in which the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzed the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities is adequate under multiple scenarios that incorporate Fitch's loss projections derived from the asset analysis. Fitch applied its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. For each rating, the CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considered originator and servicer capability, third-party due diligence results and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that had a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 97.4% of the loans in the transaction by loan count. Fitch applied a 5 bps Z-score reduction for loans fully reviewed by a third-party review (TPR) firm that had a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch confirmed that all relevant transaction parties conform with the requirements described in its Global Structured Finance Rating Criteria. Material parties were those whose failure to perform could have a material effect on the performance of the transaction. Additionally, all legal requirements were satisfied to fully de-link the transaction from any other entities. SEMT 2026-9 is a fully de-linked and bankruptcy remote SPV. All transaction parties and triggers aligned with Fitch expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations did not apply to SEMT 2026-9. Therefore, Fitch was comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. The sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices; - The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 38.0% at 'AAAsf'. The analysis indicates some potential rating migration with higher MVDs than 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. The sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices; - This defined positive rating sensitivity analysis demonstrates how the ratings would react to 10% positive home price growth with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for each rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation. Fitch considered this information in its analysis and, as a result, applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either 'A' or 'B'. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA MORTGAGE 2026-MED2: Fitch Assigns 'Bsf' Rating on B2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-MED2 (SEMT 2026-MED2). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2026-MED2 A1 LT AAAsf New Rating AAA(EXP)sf A1AF LT AAAsf New Rating AAA(EXP)sf A1BF LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1A1 LT AAAsf New Rating AAA(EXP)sf A1B1 LT AAAsf New Rating AAA(EXP)sf A1A2 LT AAAsf New Rating AAA(EXP)sf A1B2 LT AAAsf New Rating AAA(EXP)sf A1AX1 LT AAAsf New Rating AAA(EXP)sf A1BX1 LT AAAsf New Rating AAA(EXP)sf A1AX2 LT AAAsf New Rating AAA(EXP)sf A1BX2 LT AAAsf New Rating AAA(EXP)sf A1AX3 LT AAAsf New Rating AAA(EXP)sf A1BX3 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A2X LT AAsf New Rating AA(EXP)sf M1 LT Asf New Rating A(EXP)sf M1X LT Asf New Rating A(EXP)sf M2 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 AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 568 loans with a total balance of approximately $520.96 million as of the cutoff date. The pool consists of primarily new-origination, adjustable-rate mortgage loans backed by medical professionals and subsequently acquired by Redwood Residential Acquisition Corp. (RRAC) from CrossCountry Mortgage and various other originators. All loans were originated to the Sequoia Medical Professionals program and eligible borrowers include those who have the following professional designations: medical doctor (MD), doctor of osteopathy (DO), doctor of dental medicine or science (DMD/DDS), doctor of pharmacy (PharmD), doctor of veterinary medicine (MVM) or certified registered nurse anesthetist (CRNA), along with medical residents and fellows who are in enrolled in such programs and have an active employment contract. Distributions of principal and interest (P&I) and loss allocations are based on a sequential-pay structure. The prime borrowers in the pool exhibited strong credit profiles, with a weighted-average (WA) Fitch FICO of 755 and 35.9% debt-to-income (DTI) ratio. The borrowers had a significant amount of leverage, with a 97.6% mark-to-market combined LTV (cLTV). Overall, 100% of the pool loans were for primary residences. In addition, 100% of the loans were underwritten to full documentation. Following the publication of Fitch's presale and expected ratings, the issuer provided a new tape consisting of four loan drops and updated balances. The loan drops resulted in a decrease in the 'AAAsf' expected loss by 1 bp. The issuer also provided an updated structure with final balances. Fitch re-ran its asset and cashflow analysis and confirmed no changes from its expected ratings. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzed loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-MED2 had a final probability of default (PD) of 22.70% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress was 52.86%. The expected loss in the 'AAAsf' rating stress was 12.00%. Structural Analysis: The mortgage cash flow and loss allocation are based on a sequential-pay structure, whereby interest and principal are paid pro rata amongst classes A-1A and A-1B (with classes A-1AX1 and A-1BX1 receiving their respective interest allocation), followed by classes A-2 to B-3 sequentially. Realized losses will be allocated in reverse-sequential order, beginning with class B-3. The A and M classes pay the NWAC minus a fixed amount while featuring IO classes that pay the fixed difference. SEMT 2026-MED2 will feature the servicing administrator (RRAC), following initial reductions in the class A-IO-S strip and servicing administrator fees, obligated to advance delinquent P&I to the trust until deemed nonrecoverable for the servicing-released mortgage loans. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates. Fitch analyzed the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applied its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. Due to the sequential structure and full advancing, the credit enhancement (CE) levels were comparable to Fitch's expected losses at each rating category. Operational Risk Analysis: Fitch considered originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that had a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 100.0 % 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, which had a final grade of either A or B. Counterparty and Legal Analysis: Fitch confirmed all relevant transaction parties conformed with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties were those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements were satisfied to fully de-link the transaction from any other entities. SEMT 2026-MED2 is fully de-linked and a bankruptcy remote special purpose vehicle. All transaction parties and triggers aligned with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations did not apply to SEMT 2026-MED2 and, therefore, Fitch was comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.9% 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 Clayton. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SLM STUDENT 2010-2: S&P Lowers Sr Class A Notes Rating to 'B-(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings to 'B- (sf)' from 'BB (sf)' on the senior class A and subordinate class B notes from SLM Student Loan Trust 2010-2. The transaction is backed by a pool of loans originated through the U.S. Department of Education's (ED's) Federal Family Education Loan Program (FFELP). FFELP loans are supported by a guarantee from ED of at least 97% of defaulted loan principal and interest, and, as such, S&P's rating actions primarily reflect the existing liquidity pressure on the class A notes relative to the maturity date and not the credit enhancement available to the notes for ultimate principal repayment. Rationale S&P said, "In assigning our ratings, we calculate a principal payment liquidity haircut based on the note principal payment amount paid over the past 12 months. The haircut indicates the percentage decline that the periodic note payment can immediately withstand but still fully repay the note by its legal final maturity date. A lower haircut indicates that a note can withstand a smaller decline in its principal payment amount than a higher haircut. A negative haircut implies that a note will need to experience a sustained increase in principal payments to be paid off by legal final maturity. The ratings were downgraded to 'BB (sf)' from 'A (sf)' in December 2025 due to the slower pace of principal payments to the class A senior notes. Our liquidity haircuts have seen some improvement from that time, although the volatility in collections remains. The improvement is primarily driven by a $2.181 million payment to principal on the senior notes, which was driven by guarantor payments. We do not expect this to continue." Due to subordination to the senior notes, the class B notes were also downgraded to 'B- (sf)'. S&P will continue to monitor the performance of the underlying student loans backing the transaction, as well as the available credit enhancement and liquidity for the notes and take rating actions as it deems appropriate. TRESTLES 2017-1: Fitch Assigns 'B(EXP)sf' Rating on Cl. F-R3 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Trestles CLO 2017-1, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Trestles CLO 2017-1, Ltd._2024 X-R3 LT NR(EXP)sf Expected Rating A-1-R3 LT NR(EXP)sf Expected Rating A-2-R3 LT AAA(EXP)sf Expected Rating B-R3 LT AA(EXP)sf Expected Rating C-R3 LT A(EXP)sf Expected Rating D-1-R3 LT BBB-(EXP)sf Expected Rating D-2-R3 LT BBB-(EXP)sf Expected Rating E-R3 LT BB-(EXP)sf Expected Rating F-R3 LT B(EXP)sf Expected Rating Transaction Summary Trestles CLO 2017-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by APC Asset Development I, LP. This is the third refinancing of Trestles CLO 2017-1, Ltd., which closed in July 2017 and was refinanced in March 2021 and July 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.66, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.36% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.6% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate 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-R3, between 'BB+sf' and 'A+sf' for class B-R3, between 'B+sf' and 'A-sf' for class C-R3, between less than 'B-sf' and 'BBB-sf' for class D-1-R3, between less than 'B-sf' and 'BBB-sf' for class D-2-R3, between less than 'B-sf' and 'BB-sf' for class E-R3 and between less than 'B-sf' and 'B+sf' for class F-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R3 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, 'AAsf' for class C-R3, 'A+sf' for class D-1-R3, 'A+sf' for class D-2-R3, 'BBB+sf' for class E-R3 and 'BBB+sf' for class F-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 Trestles CLO 2017-1, 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. TRINITAS CLO XXXVI: Fitch Assigns BB-(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Trinitas CLO XXXVI, Ltd. Entity/Debt Rating ----------- ------ Trinitas CLO XXXVI, Ltd. A-1 LT NR(EXP)sf Expected Rating A-1L 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 F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Trinitas CLO XXXVI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Trinitas Capital 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 22.53. 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 98.85% first-lien senior secured loans and has a weighted average recovery assumption of 73.57%. 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 class C and D-1 that are one notch below their respective MIRs and ratings to class D-2 and E that are two notches below their MIRs. The credit enhancement (CE) available to these classes is consistent with the 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, 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 '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, '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. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Trinitas CLO XXXVI, 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. UPG HI 2026-2: Fitch Assigns 'BBsf' Final Rating on Class C Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to the asset-backed securities (ABS) issued by UPG HI 2026-2 Issuer Trust, as listed below. UPG HI 2026-2 is a static term transaction backed by a pool of draws under unsecured, fixed-rate home improvement (HI) loans totaling $305.6 million. The transaction was originated by Upgrade, Inc. (Upgrade) via Cross River Bank, the originating partner bank. The HI loan draws were purchased by Rithm Home Improvement Loan Trust I from Upgrade. The Rating Outlook for the notes is Stable. Entity/Debt Rating Prior ----------- ------ ----- UPG HI 2026-2 Issuer Trust A LT Asf New Rating A(EXP)sf B LT BBBsf New Rating BBB(EXP)sf C LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Consistent Receivable Quality: UPG HI 2026-2 is backed by a pool of HI loan draws under unsecured HI loans originated at the point of sale to U.S. homeowners through a national network of contractors. The available proceeds finance windows and doors; roofing; kitchens and bathrooms; heating, ventilation and air conditioning systems; remodeling; and a variety of other HI products and services. This pool typically excludes projects for water filtration systems and solar systems. Rithm Home Improvement Trust I, which purchased the HI loan draws, contributed the underlying pool of HI loans to the securitization. The Upgrade program offers four core loan products: Reduced Rate (RR), Zero Interest Loan (ZIL), No-Interest No-Payment (No-No) and No-Interest Yes-Payment (No-Yes) loans. The RR product is a standard interest-bearing amortized loan and the ZIL product is its zero-interest equivalent. No-No and No-Yes are promotional products with a promotional period of up to 24 months. During this period no interest is accrued or billed. For all promotional products, principal and interest amortization occurs after the promotional period. The No-Yes product requires a minimum principal payment during the promotional period. Additional promotional product variations, Deferred No-No and Deferred No-Yes, work similarly, with deferred interest accruing during the promotional period and extinguished if full prepayment of the loan occurs prior to the completion of the promotional period. Otherwise, the deferred accrued interest will amortize in equal installments over the amortization period. The weighted average (WA) FICO score of the asset pool is 781, above 780 in UPG HI 2026-1. The WA original term of the asset pool is 134 months, and the WA loan seasoning is seven months. This compares with a 137-month WA original term and seven months of seasoning in 2026-1. Rating Cap at 'Asf': The Upgrade HI loan origination program began in 2022. Fitch received about three years of historical performance data. With a WA original term of about 11.2 years for the asset pool and 20 years as the longest term offered by Upgrade, three years of historical data provide limited insights into the lifetime performance of the loans, in Fitch's view. Fitch used available performance data from comparable HI and unsecured consumer loan originators in the U.S. to complement Upgrade-specific historical data. Fitch applies a rating cap at 'Asf' to the transaction due to these data limitations. Asset Pool Assumptions: Fitch's WA base case lifetime default rate assumption is 7.54%, based on the mix of product type and FICO scores for the asset pool. Fitch assumes a rating case default multiple of 3.23x at the 'Asf' rating level, 2.35x at 'BBBsf', and 1.61x at 'BBsf'. These correspond to lifetime default rate of 23.8%, 17.4%, and 11.9%, respectively for 'Asf', 'BBBsf', and 'BBsf' rating levels. The multiple is assessed at the median-high end of the range of Fitch's applicable rating criteria. This primarily reflects the limited data history for originator-specific performance. Fitch assumes a zero-recovery rate on defaulted loans due to the unsecured nature of the loans and limited historical recovery data. Fitch differentiates prepayment rate assumptions by product type, recognizing that prepayment incentives vary across product structures. For deferred products (Deferred No-No and Deferred No-Yes) and No-No and No-Yes products, Fitch has observed significantly higher prepayment activity during the promotional period. Prepayment rates accelerate as the promotional period ends, driven by the anticipated payment step-up upon expiration. To reflect this behavior, Fitch has increased its base case CPR assumptions for these product types during the promotional period relative to the prior transaction. Its post-promotional period prepayment assumptions remain unchanged. Prepayment assumptions for all other product types are also unchanged from the prior transaction. The assumed base case WA prepayment rate is 21.3% per annum (p.a.) during the promotional period and 11.3% p.a. thereafter, based on the mix of FICO scores in the asset pool. All other asset pool and cash flow modeling assumptions are as described in Fitch's rating criteria and throughout this report. Transaction Structure: The pool of HI assets was financed via three classes of rated notes (A, B and class C notes; together, the notes). The notes pay a monthly fixed interest rate set at closing. The first payment date is August 2026. Credit enhancement (CE) is provided by overcollateralization (OC; initially equal to 7.00% of the asset pool at closing), OC via the subordination of more junior notes, a fully funded non-amortizing reserve sized at 0.50% of the initial note balance and excess spread to the extent generated by the asset pool (initially estimated at 7.3% p.a.). The assumed base case WA prepayment rate is 21.3% per annum during the promotional period. The structure provides for OC build-up to a target of 7.0% of the outstanding asset pool, with a floor of 0.50% of the initial asset pool. Target OC for the class A notes is 24.00%. CE at closing (as a percentage of the initial asset pool, including the reserve fund) is 14.47%, 9.47% and 7.47% for the classes A, B and C notes, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased base case defaults rates: - Ratings for class A, B and C notes: 'Asf'/'BBBsf'/'BBsf'; - Increased base case default by 10%: 'BBB+sf'/'BB+sf'/'BBsf'; - Increased base case default by 25%: 'BBBsf'/'BBsf'/'BBsf'; - Increased base case default by 50%: 'BBB-sf'/'BB-sf'/'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity to decreased base case defaults rates: - Ratings for class A, B and C notes: 'Asf'/'BBBsf'/'BBsf'; - Decreased base case default by 50%: 'Asf'/'Asf'/'Asf'. CRITERIA VARIATION For this transaction, class A notes have a MIR of 'BBB+sf' in Fitch's modelling scenario that assumes back-loaded default timing and high prepayment stresses (the Back/High Scenario). The MIR excluding the aforementioned scenario is AA-. The ratings assigned to the class A notes at 'Asf' are two notches higher than the MIR, which constitutes a criteria variation under the Consumer ABS Criteria. The criteria variation reflects the marginal failure in repaying class A at the 'Asf' rating category in the Back/High Scenario, the strong MIR displayed by class A notes in all other rating scenarios, and Fitch's view that 'Asf'-category level defaults are less likely to occur in the Back/High Scenario than in all other modeling scenarios due to the high level of prepayments observed during promotional period, defaults historically being front-loaded, and the long term of the assets. 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 recalculation of certain characteristics with respect to 150 randomly selected statistical receivables. 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. VERUS SECURITIZATION 2026-INV1: S&P Rates B-2 Notes (P) B- (sf) --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2026-INV1's mortgage-backed notes. The note issuance is an RMBS securitization backed primarily by newly originated first-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to prime and non-prime borrowers with original terms to maturity up to 40 years. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, condotels, townhouses, mixed-use properties, five- to 10-unit multifamily properties, and manufactured housing (including doublewide and multi-wide) residences. The pool has 1,780 residential mortgage loans that are backed by 1,827 properties, including 11 cross-collateralized loans backed by 58 properties. The loans in the pool are ATR-exempt. The preliminary ratings are based on information as of Aug. 5, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our 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 Verus Securitization Trust 2026-INV1(i) Class A-1, $215,222,000: AAA (sf) Class A-1A, $183,407,000: AAA (sf) Class A-1B, $31,815,000: AAA (sf) Class A-1FCF, $139,894,000: AAA (sf) Class A-1LCF, $75,328,000: AAA (sf) Class A-1F, $47,827,000: AAA (sf) Class A-1IO1, $47,827,000(ii): AAA (sf) Class A-1IO2, $47,827,000(ii): AAA (sf) Class A-1IO, $47,827,000(ii): AAA (sf) Class A-2, $45,600,000: AA (sf) Class A-3, $78,122,000: A (sf) Class M-1, $37,469,000: BBB (sf) Class B-1, $34,642,000: BB- (sf) Class B-2, $18,735,000: B- (sf) Class B-3, $14,140,465: NR Class A-IO-S, notional(iii): NR Class XS, notional(iii): NR Class R, N/A: NR (i)The collateral and structural information reflects the term sheet dated July 31, 2026. The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The class A-1IO1, A-1IO2, and A-1IO notes are inverse floating-rate notes. They will have a notional amount equal to the note amount of the class A-1F notes and will not be entitled to principal payments. (iii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. VERUS SECURITIZATION 2026-R6: Fitch Rates Class B-2 Notes 'B-sf' ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2026-R6 (Verus 2026-R6). Entity/Debt Rating Prior ----------- ------ ----- VERUS 2026-R6 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1FCF LT AAAsf New Rating AAA(EXP)sf A-1LCF LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-1B LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf R LT NRsf New 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). 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, 2.3% of the pool is delinquent, 13.6% is current but has experienced delinquency (DQ) within the past 12 months, and 84.1% 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. After expected ratings were published, supplemental delinquency reports were provided, resulting in a 5 bps decrease in expected losses at the 'AAAsf' stress. The capital structure was updated since expected ratings were published. The credit enhancement increased for all rated classes between 5 bps and 10 bps. Coupons increased approximately 2 bps to 5 bps for all classes except for the M-1 which decreased by 2 bps; This decreased the excess spread by 5 bps. Fitch re-ran its cashflow analysis and confirmed no changes to the expected ratings. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch 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 52.2% 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 22.2%. 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 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 (see Highlights and Cash Flow Analysis sections for more details). 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 5 bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch confirms all relevant transaction parties conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements have been satisfied to fully de-link the transaction from any other entities. Fitch confirms VERUS 2026-R6 is fully de-linked and serves as a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to 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. VOYA CLO 2024-3: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Voya CLO 2024-3, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Voya CLO 2024-3, Ltd. A-1-R LT NR(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Transaction Summary Voya CLO 2024-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Voya Alternative Asset Management LLC. The transaction closed in August 2024 and will be fully refinanced on Aug. 6, 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 22.53 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.85% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.85% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between '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, between less than 'B-sf' and 'BBB-sf' for class D-2-R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Voya CLO 2024-3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. WELLINGTON MANAGEMENT 3: Moody's Assigns B3 Rating to Cl. F-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes issued and two classes of refinancing loans incurred (the Refinancing Debt) by Wellington Management CLO 3 Ltd. (the Issuer): US$2,025,000 Class X-R Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$85,000,000 Class A-R Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$75,000,000 Class A-1-R Loans maturing 2039, Assigned Aaa (sf) US$96,000,000 Class A-2-R Loans maturing 2039, Assigned Aaa (sf) US$200,000 Class F-R Secured Deferrable Mezzanine Floating Rate Notes due 2039, Assigned B3 (sf) The notes and loans listed are referred to herein, collectively, as the Refinancing Debt. The Class A-1-R Loans and Class A-2-R Loans may not be exchanged or converted into notes at any time. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued debt is collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and bonds. Wellington Management CLO Advisors 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 Debt and five other classes of secured 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: $400,000,000 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2875 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 46.0% 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 a 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. WESTLAKE AUTOMOBILE 2026-3: S&P Assigns (P) BB Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Westlake Automobile Receivables Trust 2026-3's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Aug. 5, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 44.29%, 37.78%, 29.50%, 22.65%, and 19.40% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's expected cumulative net loss of 12.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Westlake Services LLC as servicer, and its view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Westlake Automobile Receivables Trust 2026-3 Class A-1, $264.296 million: A-1+ (sf) Class A-2-A/A-2-B, $480.840 million: AAA (sf) Class A-3, $164.717 million: AAA (sf) Class B, $106.610 million: AA (sf) Class C, $151.019 million: A (sf) Class D, $132.518 million: BBB (sf) Class E, $73.293 million: BB (sf) WHETSTONE PARK: S&P Raises Class E Notes Rating to B+ (sf) ---------------------------------------------------------- S&P Global Ratings lowered its rating on the class D debt from Greywolf CLO II Ltd. and the class E debt from Whetstone Park CLO Ltd. The lowered ratings were removed from CreditWatch negative, where they were placed on May 6, 2026, due to a combination of indicative cash flow results and credit support available at that time. S&P also affirmed its ratings on 13 other classes from the two transactions. S&P said, "The rating actions follow our review of each transaction's performance using data from the respective trustee report. In our review, we analyzed each transaction's performance and cash flows and applied our global corporate CLO criteria in our rating decisions. "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 rates and macroeconomic scenarios. In addition, our analysis considered each transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions." While each class's indicative cash flow results are a primary factor, S&P also incorporates other considerations into its decision to raise, lower, or affirm ratings, or limit rating movements. These considerations typically include: -- Whether the CLO is reinvesting or paying down its debt; -- Existing subordination or overcollateralization levels and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Current concentration levels; and -- The risk of imminent default or dependence on favorable market conditions to meet obligations. The downgrades primarily reflect the classes' indicative cash flow results and decreased credit support as a result of principal losses and/or negative migration in portfolio credit quality. S&P said, "The affirmations reflect our view that the available credit enhancement for each respective class is still commensurate with the assigned rating. "Although our cash flow analysis indicated a different rating for some of these classes, we took the rating actions after considering one or more qualitative factors listed above. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings list Rating Issuer Class To From Greywolf CLO II Ltd. A-1S AAA (sf) AAA (sf) Rationale: Class passes S&P's cash flow results at current rating level. Credit enhancement levels are also in line with the current rating level. Greywolf CLO II Ltd. A-2J AAA (sf) AAA (sf) Rationale: Class passes S&P's cash flow results at current rating level. Credit enhancement levels are also in line with the current rating level. Greywolf CLO II Ltd. A2-a AA (sf) AA (sf) Rationale: Passing cash flows. Though cash flow indicates a one notch higher rating, our action considers the cushion at the higher rating level and the tranche's current level of credit enhancement, which remains commensurate with the current rating level. Greywolf CLO II Ltd. A2-b AA (sf) AA (sf) Rationale: Passing cash flows. Though cash flow indicates a one notch higher rating, S&P's action considers the cushion at the higher rating level and the tranche's current level of credit enhancement, which remains commensurate with the current rating level. Greywolf CLO II Ltd. B-1 A (sf) A (sf) Rationale: Passing cash flows. While the cash flow analysis indicates rating potential one notch above the current rating level, S&P's rating action considered both the tranche's current level of credit enhancement, which remains commensurate with the existing rating, and the results of additional sensitivity analysis we ran, given the transaction's exposure to 'CCC' rated assets and also to assets with low market values. Greywolf CLO II Ltd. B-2 A (sf) A (sf) Rationale: Passing cash flows. While the cash flow analysis indicates rating potential one notch above the current rating level, S&P's rating action considered both the tranche's current level of credit enhancement, which remains commensurate with the existing rating, and the results of additional sensitivity analysis it ran, given the transaction's exposure to 'CCC' rated assets and also to assets with low market values. Greywolf CLO II Ltd. C-1 BBB+ (sf) BBB+ (sf) Rationale: Class passes S&P's cash flow results at current rating level. Credit enhancement levels are also in line with the current rating level. Greywolf CLO II Ltd. C-2 BBB- (sf) BBB- (sf) Rationale: Though the cash flow analysis indicates a rating one notch below the current rating level, S&P's rating action reflects its consideration of the current level of credit enhancement, which remains commensurate with the existing rating. Since paydowns commenced recently following the CLO's exit of its reinvestment period, S&P also considered the possibility of an increase in credit enhancement if paydowns continue. Greywolf CLO II Ltd. D B+ (sf) BB- (sf)/ Watch Neg Rationale: The downgrade reflects a decline in credit support and failing cash flow results at the previous rating level. Though cash flows indicated a lower rating, S&P limited the downgrade to one notch after considering the current credit enhancement and the low exposure to 'CCC' and 'CCC-' rated assets. Additionally, since paydowns commenced recently following the CLO's exit of its reinvestment period, S&P also considered the possibility of an increase in credit enhancement if paydowns continue. Whetstone Park CLO Ltd. A-1R AAA (sf) AAA (sf) Rationale: Class passes S&P's cash flow results at current rating level. Credit enhancement levels are also in line with the current rating level. Whetstone Park CLO Ltd. B-1 AA (sf) AA (sf) Rationale: Passing cash flows at current rating level. Though cash flows point to a higher rating, S&P's analysis considered the prevailing level of credit enhancement and that the transaction is still in its reinvestment period, during which the portfolio remains subject to change. Whetstone Park CLO Ltd. B-2 AA (sf) AA (sf) Rationale: Passing cash flows at current rating level. Though cash flows point to a higher rating, S&P's analysis considered the prevailing level of credit enhancement and that the transaction is still in its reinvestment period, during which the portfolio remains subject to change. Whetstone Park CLO Ltd. C-R A (sf) A (sf) Rationale: Passing cash flows at current rating level. Though cash flows point to a higher rating, S&P's analysis considered the prevailing level of credit enhancement and that the transaction is still in its reinvestment period, during which the portfolio remains subject to change. Whetstone Park CLO Ltd. D BBB- (sf) BBB- (sf) Rationale: Class passes S&P's cash flow results at current rating level. Credit enhancement levels are also in line with the current rating level. Whetstone Park CLO Ltd. E B+ (sf) BB- (sf)/ Watch Neg Rationale: Decline in credit support and failing cash flows at the previous rating level. WIND RIVER 2020-1: Fitch Affirms 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Wind River 2020-1 CLO Ltd. refinancing notes. Fitch has also affirmed the rating of class E-R with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Wind River 2020-1 CLO Ltd. A-1-R 973142AQ5 LT PIFsf Paid In Full AAAsf A-1-RR LT AAAsf New Rating A-2-R 973142AS1 LT PIFsf Paid In Full AAAsf A-2-RR LT AAAsf New Rating B-R 973142AU6 LT PIFsf Paid In Full AAsf B-RR LT AAsf New Rating C-R 973142AW2 LT PIFsf Paid In Full Asf C-RR LT Asf New Rating D-1-R 973142AY8 LT PIFsf Paid In Full BBB-sf D-1-RR LT BBB-sf New Rating D-2-R 973142BA9 LT PIFsf Paid In Full BBB-sf D-2-RR LT BBB-sf New Rating E-R 97317KAA7 LT BB-sf Affirmed BB-sf Transaction Summary Wind River 2020-1 CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by First Eagle Alternative Credit, LLC. The transaction originally closed on May 2020 and was not rated by Fitch. The first reset for this transaction was on May 2024 and rated by Fitch. This is the first partial refinancing. The net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $395 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.53, 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 96.96% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43% 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. 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 444 assets from 398 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $395 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 49.7% of the current portfolio par balance. Ratings for 49.5% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map, and 0.8% were unrated. As per Fitch's criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and the indicative portfolio for the non-refinanced notes, if any. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 15.0%, 14.0%, and 14.0%, respectively; - Assumed risk horizon: six years; - Minimum weighted average spread of 2.70%; - Minimum weighted average recovery rate of 72.90%; - Maximum weighted average rating factor of 22.00; - 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-1-RR: 'AAAsf' / Default 38.80% / Recovery 39.43% / Cushion 19.20%; - Class A-2-RR: 'AAAsf' / Default 38.80% / Recovery 39.43% / Cushion 14.70%; - Class B-RR: 'AAsf' / Default 36.30% / Recovery 49.04% / Cushion 14.80%; - Class C-RR: 'Asf' / Default 31.90% / Recovery 58.93% / Cushion 17.80%; - Class D-1-RR: 'BBB-sf' / Default 24.30% / Recovery 68.72% / Cushion 21.30%; - Class D-2-RR: 'BBB-sf' / Default 24.30% / Recovery 68.72% / Cushion 18.20%; - Class E-R: 'BB-sf' / Default 20.10% / Recovery 73.63% / Cushion 12.10%. Fitch Stress Portfolio (FSP) Model Outputs: - Class A-1-RR: 'AAAsf' / Default 45.90% / Recovery 38.95% / Cushion 9.30%; - Class A-2-RR: 'AAAsf' / Default 45.90% / Recovery 38.95% / Cushion 5.40%; - Class B-RR: 'AAsf' / Default 42.70% / Recovery 47.90% / Cushion 5.50%; - Class C-RR: 'Asf' / Default 37.90% / Recovery 57.90% / Cushion 7.00%; - Class D-1-RR: 'BBB-sf' / Default 29.20% / Recovery 67.90% / Cushion 9.80%; - Class D-2-RR: 'BBB-sf' / Default 29.20% / Recovery 67.90% / Cushion 7.00%. Fitch affirmed the non-refinancing class E-R notes at 'BB-sf'/Stable, given the indicative default cushions for the class is sufficient at the current rating level. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AAAsf' for class A-1-RR, between 'Asf' and 'AAAsf' for class A-2-RR, between 'BBBsf' and 'AAsf' for class B-RR, between 'BB-sf' and 'A+sf' for class C-RR, between less than 'B-sf' and 'BBB+sf' for class D-1-RR, and between less than 'B-sf' and 'BBBsf' for class D-2-RR 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-RR and class A-2-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AA+sf' for class C-RR, 'A+sf' for class D-1-RR, and 'A+sf' for class D-2-RR 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 Wind River 2020-1 CLO 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. [] Fitch Affirms 'BB' Ratings on Three Elara HGV Transactions ------------------------------------------------------------- Fitch Ratings has affirmed the ratings of Elara HGV Timeshare Issuer (Elara) 2021-A, 2023-A and 2025-A notes. The Rating Outlooks for the notes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Elara HGV Timeshare Issuer 2025-A, LLC A 28416VAA8 LT AAAsf Affirmed AAAsf B 28416VAB6 LT A-sf Affirmed A-sf C 28416VAC4 LT BBB-sf Affirmed BBB-sf D 28416VAD2 LT BBsf Affirmed BBsf Elara HGV Timeshare Issuer, 2021-A LLC Class A 28416LAA0 LT AAAsf Affirmed AAAsf Class B 28416LAB8 LT Asf Affirmed Asf Class C 28416LAC6 LT BBBsf Affirmed BBBsf Class D 28416LAD4 LT BBsf Affirmed BBsf Elara HGV Timeshare Issuer 2023-A, LLC A 28415AAA5 LT AAAsf Affirmed AAAsf B 28415AAB3 LT A-sf Affirmed A-sf C 28415AAC1 LT BBB-sf Affirmed BBB-sf D 28415AAD9 LT BBsf Affirmed BBsf Transaction Summary The notes are backed by timeshare loans from a single time share site in Las Vegas, NV, LV Tower 52 Vacation Suites, a vacation ownership resort operating as Elara (a Hilton Grand Vacations resort). The loans were originated by LV Tower 52, LLC (LV Tower) under a sales and marketing agreement with Hilton Resorts Corporation (HRC). In May 2026, Hilton Grand Vacations Inc. (HGV) acquired the remaining 75% ownership interest in the Elara resort in Las Vegas, moving the project from a fee-for-service joint venture to an owned property. Previously HGV had a 25% ownership interest in BRE ACE LLC, which owns the Elara resort. HRC is a subsidiary of HGV. HRC will continue to provide rebranding, marketing and sales, as well as complete operational management and servicing of the loans. KEY RATING DRIVERS The affirmation of the notes reflects default coverage levels consistent with their current ratings. The Stable Outlook for all classes of notes reflects Fitch's expectation that default coverage levels will remain supportive of these ratings. To date, Elara 2023-A's performance has been weaker than Fitch initially expected but has remained relatively stable over the past year. Elara 2021-A's performance has been within Fitch's initial expectations. Elara 2025-A has also been stable and generally in line with Fitch's initial expectations. As of the June 2026 collection period, the 61+ day delinquency rates for Elara 2021-A, 2023-A and 2025-A are 2.02%, 1.99% and 1.99%, respectively. Cumulative gross defaults (CGD) are currently 18.57%, 17.14% and 4.08% for Elara 2021-A, 2023-A and 2025-A, respectively. When adjusting for cumulative substitutions (for defaults, upgrades and ineligible loans), CGDs for Elara 2021-A, 2023-A and 2025-A are 14.40%, 13.40% and 3.67%, respectively. All transactions, with the exception of Elara 2021-A, are tracking above their initial base cases of 17.00% (2023-A) and 17.00% (2025-A). Due to optional repurchases and substitutions made by the seller, none of the transactions have experienced net losses to date. Hard credit enhancement (CE) for each transaction has built to its target from close. To account for recent performance, Fitch maintained the lifetime CGD proxy at 16.50% for Elara 2021-A, given the stabilizing performance trend for this transaction. The CGD proxy for Elara 2023-A was increased to 19.00% from the prior 18.50% to reflect recent performance. The CGD proxy for Elara 2025-A was not changed from 17.00% due to low seasoning of the pool. For 2021-A, default coverage for the class A, B, C, and D notes are able to support multiples in excess of 3.50x, 2.50x, 1.75x, and 1.25x for 'AAAsf', 'Asf', 'BBBsf', and 'BBsf', respectively. For 2023-A and 2025-A, default coverage for the class A, B, C, and D notes are able to support multiples in excess of 3.50x, 2.25x, 1.58x, and 1.25x for 'AAAsf', 'A-sf', 'BBB-sf', and 'BBsf', respectively. 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 base case default proxy, and impact available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Lower loss coverage could affect the 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 base case loss expectation. For this review, Fitch updated the analysis of the impact of a 2.0x increase of the base case loss 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 base case proxy by 20%. The impact of reducing the proxies by 20% from the current proxies could result in up to two categories 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. [] Fitch Affirms 'Bsf' Ratings on Three HINNT Transactions ---------------------------------------------------------- Fitch Ratings has affirmed all outstanding ratings of HINNT 2022-A LLC, HINNT 2024-A LLC, THOR 2024-A, LLC, HINNT 2025-A LLC, and HINNT 2025-B LLC. The Rating Outlooks remain Stable for all classes of notes. Holiday Inn Club Vacations Incorporated (HICV) is the originator and servicer of all transactions. Entity/Debt Rating Prior ----------- ------ ----- HINNT 2024-A LLC A 40472QAA5 LT AAAsf Affirmed AAAsf B 40472QAB3 LT Asf Affirmed Asf C 40472QAC1 LT BBBsf Affirmed BBBsf D 40472QAD9 LT BBsf Affirmed BBsf E 40472QAE7 LT Bsf Affirmed Bsf HINNT 2025-A LLC A 433403AA0 LT AAAsf Affirmed AAAsf B 433403AB8 LT A-sf Affirmed A-sf C 433403AC6 LT BBBsf Affirmed BBBsf D 433403AD4 LT BB-sf Affirmed BB-sf HINNT 2022-A LLC A 40486JAA5 LT AAAsf Affirmed AAAsf B 40486JAB3 LT Asf Affirmed Asf C 40486JAC1 LT BBBsf Affirmed BBBsf D 40486JAD9 LT BBsf Affirmed BBsf E 40486JAE7 LT Bsf Affirmed Bsf HINNT 2025-B LLC A 433401AA4 LT AAAsf Affirmed AAAsf B 433401AB2 LT A-sf Affirmed A-sf C 433401AC0 LT BBBsf Affirmed BBBsf D 433401AD8 LT BB-sf Affirmed BB-sf E 433401AE6 LT Bsf Affirmed Bsf THOR 2024-A, LLC A 88517QAA1 LT Asf Affirmed Asf B 88517QAB9 LT BBBsf Affirmed BBBsf C 88517QAC7 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmation of the notes reflects loss coverage levels consistent with their current ratings. The Stable Rating Outlook for all classes of notes reflects Fitch's expectation that loss coverage levels will remain supportive of these ratings. As of the July 2026 collection period, the 61+ day delinquency rates for HINNT 2022-A, HINNT 2024-A, THOR 2024-A, HINNT 2025-A, and HINNT 2025-B were 4.46%, 3.83%, 6.20%, 3.94%, and 4.03%, respectively, which are all above Fitch's Index as of 2.92% as of May 2026. Cumulative gross defaults (CGDs; adjusted for substitutions) are currently at 28.12%, 19.82%, 24.89%, 15.31%, and 6.11%, respectively. CGDs for HINNT 2022-A are currently above its initial base case of 22.00%. HINNT 2024-A, THOR 2024-A, and HINNT 2025-A are currently within initial expectations, although are projected to exceed their initial base cases of 22.00%, 28.00%, and 22.00%, respectively. HINNT 2025-B has been outstanding for only eight months and remains within initial projections, primarily due to the limited defaults accumulated to date, although defaults currently track in line with HINNT 2025-A. CGDs for all Holiday Inn transactions covered in this review remain elevated, likely reflecting the ongoing geopolitical and macroeconomic pressures that continue to drive inflation higher and erode consumer purchasing power. As a result, consumers may place timeshare obligations lower in their payment hierarchy, given the discretionary nature of these assets. However, as pool factors decline across all transactions, Fitch expects the default pace to moderate, based on the front-loaded nature of timeshare transactions. Although defaults for all transactions remain elevated, none have incurred a net loss to date, supported by the seller's use of optional repurchases and substitutions. The seller's option to repurchase and substitute defaulted loans is capped at a combined 35%. To account for recent performance in HINNT 2022-A. HINNT 2024-A, THOR 2024-A, and HINNT 2025-A, Fitch revised upward the lifetime CGD proxies to 33.50%, 30.50%, 34.50%, and 29.50% from 32.50%, 24.50%, 33.50%, and 22.00% respectively. As 2025-B has been outstanding for only eight months, the proxy remains unchanged from closing at 23.00% to allow for a better assessment of default trends. The updated base case default proxies for the revised transactions were conservatively derived using extrapolations based on performance to date. In certain cases, updated extrapolations were higher than the final CGD proxies. The servicer has the right, but not the obligation, to substitute or repurchase defaulted loans. As such, Fitch's analysis does not give any explicit credit to previously substituted or repurchased defaults, resulting in zero losses on most of the outstanding transactions. When accounting for previously substituted or repurchased defaults, the lifetime CGDs are materially lower than the CGD proxies. Fitch believes the CGD proxies are appropriately conservative and account for the weaker performance. Under Fitch's stressed cash flow assumptions, loss coverage for the notes were consistent with the recommended multiples, any shortfalls were considered nominal and are within the range of the multiples for the current ratings. 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 loss 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 (CE) levels. Lower default coverage could affect ratings and Outlooks, depending on the extent of the decline in coverage; - Fitch ran a down sensitivity for these transactions that would raise the CGD proxy by 2x the current proxy. This is extremely stressful to the transactions and could result in downgrades by up to four 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 higher CE levels and consideration for potential upgrades. Fitch applied an up sensitivity by reducing the rating case proxy by 20%. Reducing the proxies by 20% from the current proxies could result in a category increase 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. [] Fitch Takes Actions on 5 US CMBS 2014 Vintage Conduit Deals -------------------------------------------------------------- Fitch Ratings has downgraded 19 classes and affirmed 23 classes across five US CMBS multiborrower transactions from 2014. Negative Rating Outlooks were assigned to eight classes following the downgrades. Negative Rating Outlooks remained in six of the affirmed classes, Stable Outlooks remained on two affirmed classes, and the Outlook on one affirmed class was revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMBB 2014-C22 D 46642NAJ5 LT Csf Downgrade CCsf E 46642NAL0 LT Dsf Downgrade Csf X-C 46642NAC0 LT Dsf Downgrade Csf JPMBB 2014-C25 A-5 46643PBE9 LT AAAsf Affirmed AAAsf A-S 46643PBJ8 LT AAAsf Affirmed AAAsf B 46643PBK5 LT BBB-sf Downgrade A-sf C 46643PBL3 LT BB-sf Downgrade BBB-sf D 46643PAN0 LT Csf Downgrade CCCsf E 46643PAQ3 LT Csf Downgrade CCsf EC 46643PBM1 LT BB-sf Downgrade BBB-sf F 46643PAS9 LT Csf Affirmed Csf X-A 46643PBG4 LT AAAsf Affirmed AAAsf X-B 46643PBH2 LT BBB-sf Downgrade A-sf X-D 46643PAE0 LT Csf Downgrade CCCsf X-E 46643PAG5 LT Csf Downgrade CCsf X-F 46643PAJ9 LT Csf Affirmed Csf JPMBB 2014-C21 D 46642EAJ5 LT CCCsf Affirmed CCCsf E 46642EAL0 LT CCsf Affirmed CCsf F 46642EAN6 LT Csf Affirmed Csf X-C 46642EAE6 LT CCsf Affirmed CCsf JPMBB 2014-C24 A-5 46643GAE0 LT AAAsf Affirmed AAAsf A-S 46643GAJ9 LT AAAsf Affirmed AAAsf B 46643GAK6 LT BBsf Downgrade BBBsf C 46643GAL4 LT B-sf Downgrade BB-sf D 46643GAY6 LT Csf Downgrade CCCsf E 46643GBA7 LT Csf Downgrade CCsf EC 46643GAM2 LT B-sf Downgrade BB-sf F 46643GBC3 LT Csf Affirmed Csf X-A 46643GAG5 LT AAAsf Affirmed AAAsf X-B1 46643GBJ8 LT BBsf Downgrade BBBsf X-B2 46643GAH3 LT Csf Downgrade CCCsf X-C 46643GAS9 LT Csf Downgrade CCsf X-D 46643GAU4 LT Csf Affirmed Csf JPMBB 2014-C23 B 46643ABK8 LT Asf Affirmed Asf C 46643ABL6 LT BBBsf Affirmed BBBsf D 46643AAG8 LT CCCsf Affirmed CCCsf E 46643AAJ2 LT CCsf Affirmed CCsf EC 46643ABM4 LT BBBsf Affirmed BBBsf F 46643AAL7 LT Csf Affirmed Csf X-B 46643ABH5 LT CCCsf Affirmed CCCsf X-C 46643AAA1 LT CCsf Affirmed CCsf X-D 46643AAC7 LT Csf Affirmed Csf KEY RATING DRIVERS Pool Concentration and Adverse Selection; 'Bsf' Loss Expectations: Transaction-level 'Bsf' rating case losses are 32.1% in JPMBB 2014-C21, 54.2% in JPMBB 2014-C22, 16.4% in JPMBB 2014-C23, 44.6% in JPMBB 2014-C24 and 35.7% in JPMBB 2014-C25. These compare with 21.4%, 22.2%, 12.6%, 23.9% and 27.2%, respectively, at Fitch's prior rating action. Transaction-level losses remain elevated due to increasing pool concentration and adverse selection among the remaining loans. FLOCs comprise the remaining two loans in JPMBB 2014-C21, both of which are in special servicing; six (92.4%) of the remaining seven loans in JPMBB 2014-C22 are considered FLOCs, including all six loans in special servicing; four (83.6%) of the remaining five loans in JPMBB 2014-C23 are considered FLOCS, including four loans in special servicing; ten (86.3%) of the remaining 11 loans in JPMBB 2014-C24 are considered FLOCs, including ten loans in special servicing; and ten (98.2%) of the remaining 11 loans in JPMBB 2014-C25 are considered FLOCs, including nine loans in special servicing (71.2%). Due to the concentrated nature of the pool and adverse selection, Fitch performed a recovery and liquidation analysis to categorize and rank remaining loans based on their loan status, collateral quality and repayment or loss expectations. The analysis assesses the outstanding classes' ratings relative to their credit enhancement (CE). The downgrades in JPMBB 2014-C22 reflect increasing pool loss expectations on the remaining loans since Fitch's previous action and higher certainty of loss resulting from the concentration of REO assets, which account for 38.1% of the pool. The downgrades in JPMBB 2014-C24 reflect Fitch's increased loss expectations for the remaining loans since the prior rating action, driven by reliance on repayment from loans facing refinancing challenges and/or showing elevated loss severity, including 635 Madison Avenue (21.2% of the pool), which has a depressed expected purchase price, and the Columbus Square Portfolio, which has experienced a decline in value. The downgrades in JPMBB 2014-C25 reflect higher pool loss expectations, driven by Spectra Energy Headquarters (13.4%) and Hilton Houston Post Oak (11.2%), which is also pari passu in JPMBB 2014-C24. The affirmations in the JPMBB 2014-C21 and 2014-C23 transactions reflect increased CE from loan paydowns and liquidations with better-than-expected recoveries. The Outlook revision to Stable from Negative on class B in JPMBB 2014-C23 reflects the expectation of repayment from continued paydown and the limited recovery required from the remaining loans in the pool to repay the class. Largest Contributors to Loss: The largest contributor to losses in JPMBB 2014-C21 is One Dallas Center (34%), which is secured by the fee and leasehold interests in a 278,496-sf office portion of a 30-story, 615,000-sf building in Dallas, TX. The collateral consists solely of the class A office space located on floors two through 15; the top 15 floors are non-collateral and consist entirely of luxury multifamily and condominium units. The loan transferred to the special servicer in April 2024 and took title in September 2025 through a deed in lieu. Occupancy declined significantly in 1Q24 when Greyhound Lines, Inc. (97.5k sf; 35% NRA) terminated its lease. The special servicer continues to search for new tenants to replace Greyhound and plans to revisit exit opportunities at the expiration of Apex Clearing Corporation's lease in November 2027. Fitch's 'Bsf' rating case loss of 49.7%, before concentration adjustments, is based on a discount to a recent appraisal value, which reflects a stressed recovery of $51 psf. The largest contributor to losses in JPMBB 2014-C22 is 10333 Richmond (38.8%), which is secured by an 11-story, 216,680-sf office building in Houston, TX. The loan originally transferred to the special servicer in December 2017 for imminent default due to several tenant departures. The loan transferred back to the master servicer in January 2026 after a modification extended its maturity to August 2026. The lender and borrower reached an agreement on an A/B loan modification in September 2025, and the loan is scheduled to mature in August 2026. No payoff quote was requested as of June 2026. Fitch's 'Bsf' rating case loss on the A-Note is 76.0%, before concentration adjustments, and is based on a discount to a recent appraisal value, which reflects a stressed recovery of $33 psf. Fitch assumed the B-Note has 100% loss. The largest contributor to losses in JPMBB 2014-C23 and the third-largest loss driver in JPMBB 2014-C24 is the Columbus Square Portfolio (32.3% in JPMBB 2014-C23 and 22% in JPMBB 2014-C24), which is secured by a multibuilding mixed-use portfolio totaling 494,000 sf, in New York, NY, on Manhattan's Upper West Side. The loan returned to special servicing in September 2025 due to various defaults related to the lockbox and loan payments, as well as a failure to replace the guarantor. The sponsor has faced widespread defaults, foreclosures, and loan restructurings across its portfolio. A loan modification was executed in March 2024 that extended the loan's maturity to August 2027 from August 2024 and implemented a cash trap to hyper-amortize the loan through the extended maturity. A foreclosure complaint and receivership motion were filed in January 2026. Fitch's 'Bsf' rating case loss of 29.3% (prior to concentration add-ons) reflects a Fitch stressed value, resulting in a recovery value of $526 psf. The largest contributor to losses in JPMBB 2014-C24 is 635 Madison Avenue, which is secured by the leasehold interest in a 177,262-sf office property with ground-floor retail, located in Midtown Manhattan on Madison Avenue and East 59th Street. The ground lease commenced in January 1955 and is set to expire in April 2030, but it does have a 21-year extension option, which will reset the ground rent to fair market value. The loan became REO in June 2024 and is currently listed for sale with best and final offers recently received. Fitch's 'Bsf' rating case loss of 83.1%, before concentration adjustments, is based on a stress to the servicer-reported expected purchase price, which reflects a stressed recovery of $81 psf. The significant decline in value since the prior review reflects the uncertainty around the ground lease. The largest contributor to losses in JPMBB 2014-C25 is Spectra Energy Headquarters, which is secured by a nine-story, 614,000-sf office building in downtown Houston, TX. The property served as the headquarters for Spectra Energy Corporation, which occupied the entire building under a NNN lease since 1987. The loan transferred to the special servicer in January 2026, and the property became REO in June 2026, after the tenant's lease expired in April 2026 and the tenant vacated the site. The special servicer is currently exploring all options to maximize loan recovery. Fitch's 'Bsf' rating case loss of 65.2%, before concentration adjustments, is based on a discount to a recent appraisal value, which reflects a stressed recovery of $27 psf. Change in Credit Enhancement: As of the July 2026 distribution date, the aggregate pool balance was reduced by 93.5% in JPMBB 2014-C21, 91.5% in JPMBB 2014-C22, 79.5% in JPMBB 2014-C23, 69.4% in JPMBB 2014-C24 and 70.6% in JPMBB 2014-C25. No loans are defeased in any of the five transactions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to 'AAAsf' rated classes could occur if deal-level expected losses increase significantly and/or interest shortfalls occur; - Downgrades to classes rated in the 'Asf' and 'BBBsf' categories could occur if deal-level losses increase significantly, particularly with outsized losses on larger FLOCs or specially serviced loans; - Downgrades to classes rated in the 'BBsf' and 'Bsf' categories are possible with further value deterioration and/or extended workout timelines for specially serviced loans; - 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 Given the significant pool concentration and adverse selection of these transactions, upgrades are not expected, but may occur with better-than-expected recoveries on specially serviced loans or significantly higher values or recovery expectations on the FLOCs. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Fitch Takes Rating Actions on 2 Series of RCKTL Notes -------------------------------------------------------- Fitch Ratings has downgraded the class E notes of RCKTL 2025-1 and RCKTL 2025-2 and assigned them Negative Outlooks. In addition, Fitch has revised the Rating Outlooks on the class B notes of RCKTL 2025-1 to Positive from Stable. Fitch has affirmed the ratings on the remaining eight classes and maintained Stable Rating Outlooks for the seven classes across the two transactions. Entity/Debt Rating Prior ----------- ------ ----- RCKTL 2025-2 A 74939HAA1 LT AAAsf Affirmed AAAsf B 74939HAB9 LT AAsf Affirmed AAsf C 74939HAC7 LT Asf Affirmed Asf D 74939HAD5 LT BBBsf Affirmed BBBsf E 74939HAE3 LT B-sf Downgrade BB-sf RCKTL 2025-1 A 74939RAA9 LT AAAsf Affirmed AAAsf B 74939RAB7 LT AAsf Affirmed AAsf C 74939RAC5 LT Asf Affirmed Asf D 74939RAD3 LT BBBsf Affirmed BBBsf E 74939RAE1 LT B-sf Downgrade BB-sf Transaction Summary RCKTL trust is backed by a static pool of unsecured, fixed-rate consumer loans originated by certain third-party or affiliated originators and sold to RockLoans Marketplace LLC under the RockLoans technology platform. The affirmation of class A, B, C and D notes reflects the buildup in credit enhancement (CE) which continues to provide sufficient credit protection. The Positive Rating Outlook on class B of RCKTL 2025-1 reflects the expected increase in CE as the class A note continues to amortize. The downgrades of the class E notes are primarily driven by declining CE and continued deterioration in collateral performance compared to initial expectations at deal closing. The Negative Rating Outlooks reflect the risk that further performance deterioration could result in further downgrades for these classes. KEY RATING DRIVERS Prime Credit Quality Receivables: The RCKTL 2025-1 and RCKTL 2025-2 pool consists of unsecured consumer loans made to obligors with strong credit scores, WA score of 741 and 732, respectively and WA income of $137,737 and $144,631, respectively. At issuance, the 2025-1 pool consisted of amortizing loans with a WA net interest rate of 14.29% and a WA original term of 52 months, averaging seven months of seasoning and for 2025-2, WA net interest rate of 14.04% and a WA original term of 52 months, averaging two months of seasoning. Base Case Default Reflects Deteriorating Collateral Performance: At closing, Fitch assigned base case gross default assumptions of 9.38% for RCKTL 2025-1 and 10.13% for RCKTL 2025-2. These assumptions incorporated the weak managed portfolio performance in 2022 and 2023, as well as the issuer's subsequent corrective actions. Despite these measures, performance in Rockloans Marketplace LLC's 2025 securitizations has deteriorated more rapidly than initially expected and both transactions have breached their cumulative net loss (CNL) amortization triggers. As of the June 2026 payment date, the pool factor is 52.02% and 67.10% for RCKTL 2025-1 and RCKTL 2025-2, respectively while cumulative net losses reached 5.57% and 4.32%. The higher-than-expected loss levels and trigger breaches indicate that collateral performance has continued to weaken relative to Fitch's initial expectations. As a result, Fitch revised its lifetime base case gross default assumptions upward to 13.14% for RCKTL 2025-1 and 14.33% for RCKTL 2025-2 to better reflect the observed performance trends and expected future defaults. CE Mitigates Stressed Losses for Senior Notes: For RCKTL 2025-1, initial hard CE was 37.4%, 25.8%, 16.3%, 9.1% and 2.3% of the initial pool balance for class A, B, C, D and E notes, respectively. For RCKTL 2025-2, initial hard CE totals 41.98%, 29.68%, 19.63%, 11.98% and 4.23% of the initial pool balance for the class A, B, C, D and E notes, respectively. As of June 2026 payment date, CE for RCKTL 2025-1 is 71.78%, 49.31%, 31.13%, 17.27% and 4.26% of the initial pool balance for class A, B, C, D and E notes, respectively and for RCKTL 2025-2, CE is 60.97%, 42.64%, 27.66%, 16.26% and 4.71% of the initial pool balance for the class A, B, C, D and E notes, respectively. Despite the worsening performance and revised default assumption, the transactions have built up CE to the degree that it is able to absorb the higher losses at the current rating level stresses for classes A, B, C and D. In particular, the transaction's turbo feature, triggered by the breach of CNL trigger, contributes to an acceleration in the CE build-up for the senior notes. However, CE growth for class E has been limited and has recently begun to decline. This decline is driven by a decrease in excess spread driven by the higher-than-expected defaults, and despite the CNL trigger breach, all excess funds are diverted to the senior-most note. As a result, class E has a thin margin of safety remaining at the current rating-stress level. Fitch also applied a 'AAAsf' rating stress of 4.25x the base case default rate for consumer, revised from the stress multiple of 4.5x applied at closing, reflecting the higher default assumption. The stress multiples decrease for lower rating levels according to the "higher" prescribed multiples described in Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for the loans, the WA FICO score of the borrowers and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Assurance for True Lender Status for Partner Bank-Loan Origination: RockLoans' securitization transactions comprise of consumer loans originated by Cross River Bank, a New Jersey state-chartered commercial bank. The bank's true lender status in the context of RockLoans' loan acquisition is subject to legal and regulatory uncertainty, especially if the loans' interest rates exceeds those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that RockLoans, rather than Cross River Bank, is the true lender, loans could be declared unenforceable, void or subject to interest rate reductions and other penalties. This would increase negative rating pressure. Fitch's analysis and ratings reflect a review of the transaction's eligibility criteria for selecting the receivables for RCKTL 2025-1 and RCKTL 2025-2, which reduces exposure to loans with interest rates above usury caps. Fitch also performed an operational risk review and deemed RockLoans' compliance, legal and operational capabilities as acceptable to meet consumer protection regulations. Adequate Servicing Capabilities: RockLoans has a strong record of servicing consumer loans. Since the RockLoans Platform launched in 2016, RockLoans has acted as a subservicer of the consumer loans originated by Cross River Bank. Starting in May 2025, RockLoans became the sole servicer of certain personal loans originated through the RockLoans Platform. The entity's credit risk profile is mitigated by backup servicing provided by Systems & Services Technologies, Inc. Fitch considers all parties to be adequate servicers for this pool at their expected rating levels. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade RCKTL 2025-1 Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'B-sf'. Increased default base case by 10%:'AAAsf'/'AAsf'/'A-sf'/'BB+sf'/'NR'; Increased default base case by 25%:'AAAsf'/'AA-sf'/'BBB+sf'/'BBsf'/'NR'; Increased default base case by 50%:'AA+sf'/'Asf'/'BBB-sf'/'B+sf'/'NR'. RCKTL 2025-2 Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'Bsf'. Increased default base case by 10%:'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'CCCsf'; Increased default base case by 25%:'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'CCCsf'; Increased default base case by 50%:'AAsf'/'Asf'/'BBBsf'/'BBsf'/'NR'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade RCKTL 2025-1 Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'B-sf'. Decreased default base case by 25%: 'AAAsf'/'AAAsf'/'AAsf'/'BBB+sf'/'BB-sf'. RCKTL 2025-2 Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'B-sf'. Decreased default base case by 25%: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] S&P Takes Various Actions on 185 Classes From Six US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 185 classes from six U.S. RMBS issued between 2020 and 2021. The review yielded 19 upgrades and 166 affirmations. Analytical Considerations S&P said, "For each transaction, we performed a credit analysis using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at the prior review. Our geographic concentration factors were based on the transactions' current pool composition. "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." Some of these considerations may include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Expected duration; and -- Available subordination, credit enhancement floors, and/or excess spread (where available). Rating Actions The upgrades primarily reflect continued deleveraging since the respective transactions benefit from low accumulated losses to date and a growing percentage of credit support to the rated classes. The affirmations reflect S&P's projected credit support on these classes, which it believes are sufficient to cover its projected losses for those rating scenarios. ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2026. All rights reserved. ISSN: 1520-9474. 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