260208.mbx

260208.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, February 8, 2026, Vol. 30, No. 39 Headlines AFFIRM MASTER 2026-1: DBRS Finalizes BB Rating on Class E Notes AMMC CLO 30: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes ANTARES CLO 2019-1: S&P Assigns Prelim 'BB-' Rating on E-RR Notes APEX CREDIT 2020: S&P Affirms BB- (sf) Rating on Class E-RR Notes ARES COMMERCIAL 2026-GCP: Moody's Assigns Ba3 Rating to Cl. E Certs ARTFI MASTER 2026-1: DBRS Finalizes BB Rating on Class E Notes ATLAS SENIOR XIV: Moody's Cuts Rating on $22.8MM Cl. E Notes to B3 BANK5 2026-5YR20: DBRS Gives Prov. BB Rating on Class FRR Certs BANK5 2026-5YR20: Fitch Assigns B-(EXP)sf Rating on Cl. F-RR Certs BARCLAYS MORTGAGE 2026-NQM1: S&P Assigns B(sf) Rating on B-2 Notes BARINGS EURO 2024-1: S&P Assigns B- (sf) Rating Class F-R Notes BARINGS INFRASTRUCTURE 2025-I: Moody's Gives Ba3 Rating to E Notes BENCHMARK 2018-B3: Fitch Cuts Rating on Cl. G-RR Debt to Csf BENCHMARK 2021-B25: DBRS Confirms BB Rating on Class 300P-C Certs BENCHMARK 2025-V13: DBRS Confirms BB(low) Rating on 2 Classes BENEFIT STREET 47: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes BENEFIT STREET XXXIII: S&P Assigns BB- (sf) Rating on E-R Notes BENEFIT STREET XXXIII:S&P Assigns Prelim 'BB-' Rating on E-R Notes BRIDGECREST LENDING 2026-1: DBRS Finalizes BB Rating on E Notes BXP TRUST 2017-CC: DBRS Confirms BB(low) Rating on Class E Certs CFK TRUST 2019-FAX: DBRS Confirms BB(low) Rating on Class E Certs CHASE HOME 2026-1: DBRS Gives Prov. B(low) Rating on B5 Certs CHASE HOME 2026-1: Fitch Assigns 'B-sf' Rating on Class B5 Certs CITIGROUP 2015-GC29: Fitch Affirms CCC Ratings on 2 Tranches CITIGROUP 2015-GC31: DBRS Confirms CCC Rating on 2 Classes COLT 2026-1: Fitch Assigns 'Bsf' Final Rating on Class B2 Debt COMM 2014-UBS5: DBRS Confirms C Rating on 3 Cert. Classes COMM 2019-521F: S&P Lowers Class C Certs Rating to 'CCC (sf)' CPS AUTO 2026-A: DBRS Finalizes BB Rating on Class E Notes CRSNT TRUST 2026-MOON: Moody's Assigns (P)B3 Rating to 2 Tranches CSTL COMMERCIAL 2026-GATE3: Fitch Rates Cl. F Certs 'B(EXP)' DEEPHAVEN RESIDENTIAL 2026-INV1: S&P Assigns B Rating on B-2 Notes DEWOLF PARK: S&P Assigns BB- (sf) Rating on Class E-R2 Notes DIAMETER CAPITAL 4: S&P Assigns BB- (sf) Rating on Cl. E-RR Notes DRYDEN 45 SENIOR: Moody's Cuts Rating on $7.5MM F-R Notes to Caa3 EFMT 2026-AE1: Moody's Assigns B2 Rating to Cl. B-5 Certs EFMT 2026-NQM1: Fitch Gives B-(EXP) Rating on Class B2 Certs EMPOWER CLO 2023-3: S&P Assigns BB- (sf) Rating on Class E-R Notes EMPOWER CLO 2023-3: S&P Assigns Prelim BB- (sf)Rating on E-R Notes FIGRE TRUST 2026-HE1: S&P Assigns B- (sf) Rating on Class F Notes GLS AUTO 2026-1: DBRS Gives Prov. BB Rating on Class E Notes GLS AUTO 2026-1: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes GOLUB CAPITAL 86(B): Fitch Gives BB(-EXP) Rating to Class E Debt GREAT WOLF 2024-WOLF: DBRS Confirms B(low) Rating on Class G Certs GS MORTGAGE 2014-GC26: DBRS Confirms C Rating on 5 Tranches GS MORTGAGE 2017-GS5: DBRS Confirms C Rating on 2 Cert. Classes GS MORTGAGE 2026-CES1: Fitch Rates Class B2 Certificates 'Bsf' GS MORTGAGE 2026-CES1: Fitch Rates Class B2 Certs 'B(EXP)' GS MORTGAGE 2026-PJ1: DBRS Finalizes B(low) Rating on B5 Notes GS MORTGAGE 2026-PJ1: Fitch Assigns 'Bsf' Rating on Class B5 Notes GS MORTGAGE-BACKED 2026-NQM1: S&P Assigns 'B' Rating on B-2 Certs HALCYON LOAN 2017-2: Moody's Ups Rating on $18MM D Notes from Ba3 HOME RE 2026-1: DBRS Finalizes B Rating on Class B1 Notes HOPATCONG LLC: DBRS Confirms BB(low) Rating on Class C Notes HUDSON'S BAY 2015-HBS: DBRS Places BB Rating Under Review INVESCO US 2023-4: Fitch Assigns 'BB-sf' Rating on Class E-R Notes INVESCO US 2023-4: Moody's Assigns B3 Rating to $500,000 F-R Notes JEFFERIES CREDIT 2025-2: S&P Assigns B- (sf) Rating on Cl. F Notes JP MORGAN 2026-1: DBRS Finalizes B(low) Rating on B5 Certs JP MORGAN 2026-1: DBRS Gives Prov. B(low) Rating on B5 Certs JP MORGAN 2026-1: Fitch Assigns 'B-sf' Final Rating on Cl. B5 Certs JP MORGAN 2026-CES1: DBRS Finalizes B Rating on Class B2 Notes JP MORGAN 2026-CES1: DBRS Gives Prov. B Rating on B2 Notes JP MORGAN 2026-CES1: S&P Assigns B- (sf) Rating on Cl. B-2 Notes JP MORGAN 2026-NQM1: DBRS Gives Prov. B(low) Rating on B2 Certs JP MORGAN 2026-NQM1: Moody's Assigns Ba3 Rating to Cl. B-1 Certs JPMCC COMMERCIAL 2014-C20: DBRS Confirms C Rating on Class D Certs KREST COMMERCIAL 2021-CHIP: DBRS Confirms B Rating on Class E Certs LAVALLETTE LLC: DBRS Confirms BB(low) Rating on Class C Notes LHOME MORTGAGE 2026-RTL1: DBRS Gives Prov. B Rating on M2 Certs LOANTAKA LLC: DBRS Confirms BB(low) Rating on Class C Notes MADISON PARK: S&P Affirms BB- (sf) Rating on Class E Notes MAIN TRUST 2026-OLAS: DBRS Finalizes B(low) Rating on F Certs MARBLE POINT XXI: Moody's Assigns Ba1 Rating to $8MM D-2-R Notes MF1 2026-FL21: DBRS Finalizes B(low) Rating on 3 Note Classes MORGAN STANLEY 2013-C7: Moody's Lowers Rating on 3 Tranches to B1 MORGAN STANLEY 2014-C19: DBRS Confirms C Rating on 5 Classes MORGAN STANLEY 2018-BOP: DBRS Confirms C Rating on 5 Cert. Classes MORGAN STANLEY 2026-DSC1: DBRS Finalizes B Rating on B2 Certs MORGAN STANLEY 2026-DSC1: S&P Assigns B (sf) Rating on B-2 Certs NEW RESIDENTIAL 2026-NQM2: Fitch Gives B-(EXP) Rating on B2 Notes NYC COMMERCIAL 2026-7W34: DBRS Finalizes BB(h) Rating on HRR Certs NYMT LOAN 2026-INV1: S&P Assigns B- (sf) Rating on Cl. B-2 Notes OCP CLO 2021-23: S&P Assigns BB- (sf) Rating on Class E-R2 Notes PARK AVENUE 2019-2: S&P Affirms B+ (sf) Rating on Class D-R Notes PMT LOAN 2026-CNF1: Moody's Assigns B3 Rating to Cl. B-5 Certs PMT LOAN 2026-INV2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs POINT SECURITIZATION 2026-1: DBRS Gives Prov. B Rating on B2 Notes POST CLO 2022-1: S&P Affirms B+ (sf) Rating on Class E Notes PPM CLO 6-R: Fitch Affirms BBsf Rating on Class E-R Notes PRKCM 2026-AFC1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes PRPM 2026-RCF1: Fitch Gives 'BB-sf' Rating to Class M2 Notes SALUDA GRADE 2026-HB1: DBRS Finalizes B(low) Rating on B2 Notes SALUDA GRADE 2026-HB1: DBRS Gives Prov. B(low) Rating on B2 Notes SANTANDER BANK 2023-A: Moody's Ups Rating on Cl. F Notes from Ba3 SANTANDER MORTGAGE 2026-NQM2: S&P Assigns (P)B Rating on B-2 Notes SCG 2024-MSP: DBRS Confirms B Rating on Class F Certs SEQUOIA MORTGAGE 2026-1: Fitch Rates Class B5 Certs 'Bsf' SILVER POINT 15: Fitch Assigns 'BB+sf' Rating on Class E Notes SILVER POINT 15: Moody's Assigns B3 Rating to $250,000 Cl. F Notes SPGN 2026-TFLM: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. HRR Certs STEELE CREEK 2016-1: Moody's Lowers Rating on $6MM F-R Notes to Ca STONE STREET 2015-1: DBRS Confirms BB Rating on Class C Notes TOWD POINT 2026-1: Fitch Gives B+(EXP) Rating to Class B3 Debt TOWD POINT 2026-FIX1: DBRS Finalizes B(low) Rating on 5 Tranches TRICOLOR AUTO 2023-1: Moody's Cuts Rating on Class F Notes to C TRIMARAN CAVU 2023-2: S&P Assigns BB- (sf) Rating on Cl. E-R Notes TRINITAS CLO VIII: Moody's Affirms B1 Rating on $26MM Cl. E Notes TVC MORTGAGE 2026-RRTL1: DBRS Finalizes B(low) Rating on M2 Notes UBS COMMERCIAL 2018-C9: Fitch Lowers Rating on 2 Tranches to BB-sf UNITED AUTO 2026-1: DBRS Finalizes BB(high) Rating on E Notes UNITED AUTO 2026-1: S&P Assigns BB (sf) Rating on Class E Notes VB-S1 ISSUER 2026-1: Moody's Assigns (P)B2 Rating to Class M Notes VELOCITY COMMERCIAL 2026-1: DBRS Gives Prov. B Rating on M5 Certs VERUS SECURITIZATION 2026-R1: Fitch Rates Class B-2 Notes 'Bsf' WELLS FARGO 2015-NXS2: DBRS Confirms C Rating on 3 Classes WELLS FARGO 2016-C32: DBRS Cuts 2 Classes Certs Rating to C [] DBRS Reviews 17 Classes in 2 US RMBS Transactions [] DBRS Reviews 313 Classes From 16 US RMBS Transactions [] DBRS Reviews 52 Classes From 8 US RMBS Transactions [] DBRS Reviews 57 Classes in 7 US RMBS Transactions [] Fitch Lowers 20 Distressed Classes in 5 U.S. CMBS Transactions [] Moody's Upgrades Ratings on 11 Bonds from 6 US RMBS Deals [] S&P Places Twenty-Five CLO Ratings on CreditWatch Positive [] S&P Takes Various Actions on 30 Classes From Nine US RMBS Deals [] S&P Takes Various Rating on 2,048 Classes From 54 US RMBS Deals ********* AFFIRM MASTER 2026-1: DBRS Finalizes BB Rating on Class E Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following notes issued by Affirm Master Trust Series 2026-1 (AFRMT 2026-1): -- $ 772,030,000 Class A Notes at AAA (sf) -- $ 60,660,000 Class B Notes at AA (high) (sf) -- $ 70,400,000 Class C Notes at A (high) (sf) -- $ 55,990,000 Class D Notes at BBB (sf) -- $ 40,920,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION (1) The transaction's form and sufficiency of available credit enhancement. -- Subordination, overcollateralization, amounts held in the Reserve Account, and excess spread create credit enhancement levels that are commensurate with the credit ratings. -- Transaction cash flows are sufficient to repay investors under all AAA (sf), AA (high) (sf), A (high) (sf), BBB (sf), and BB (sf) stress scenarios in accordance with the terms of the AFRMT 2026-1 transaction documents. (2) Inclusion of structural elements featured in the transaction such as the following: -- Eligibility criteria for Group 1 Receivables (Series 2026-1 Eligible Receivables) that are permissible in the transaction. -- Concentration limits for AFRMT 2026-1 designed to maintain a consistent profile of the receivables in the pool. -- Performance-based Amortization Events that, when breached, will end the Revolving Period and begin amortization. (3) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns December 2025 Update, published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (4) The experience, sourcing, and servicing capabilities of Affirm, Inc. (5) The experience, underwriting, and origination capabilities of Affirm Loan Services LLC (ALS), Cross River Bank (CRB), Celtic Bank, and Lead Bank. (6) The ability of Nelnet Servicing, LLC to perform duties as a Backup Servicer. (7) The annual percentage rate charged on the loans and CRB, Celtic Bank, and Lead Bank's status as the true lenders. -- All loans in the initial pool included in AFRMT 2026-1 are originated by Affirm through its subsidiary ALS or by originating banks, CRB, Celtic Bank, and Lead Bank, New Jersey, Utah, and Missouri, respectively, state-chartered FDIC-insured banks. -- Loans originated by ALS utilize state licenses and registrations and interest rates are within each state's respective usury cap. -- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%. -- Loans originated by Celtic Bank are all within the Utah state usury limit of 36.00%. -- Loans originated by Lead Bank are originated below 36.00%. -- Loans may be in excess of individual state usury laws; however, CRB, Celtic Bank, and Lead Bank as the true lenders are able to export rates that preempt state usury rate caps. -- The Series 2026-1 Eligible Receivables includes loans made to borrowers in New York that have Contract Rates below the usury threshold. -- The Series 2026-1 Eligible Receivables includes loans made to borrowers in Maine that have Contract Rates below the usury threshold. -- Affirm has obtained a supervised lending license from Colorado, permitting ALS to facilitate supervised loans in excess of the Colorado annual rate cap, complying with Assurance of Discontinuance's (AOD's) safe harbor. If the loan was originated in Colorado, the loan has a contract rate less than or equal to (i) 12%, if the related originating bank is Cross River Bank, Celtic Bank or Lead Bank or (ii) if the related originating bank is ALS, the greater of (A) 21% and (B) a contract rate equal to the quotient of (1) the sum of (a) the product of the portion of initial principal balance of the loan that is less than or equal to $1,000 and 36% plus (b) the product of the portion of the initial principal balance of the loan that is greater than $1,000 but less than or equal to $3,000 and 21% plus (c) the product of the portion of the initial principal balance of the loan greater than $3,000 and 15% divided by (2) the initial principal balance of the loan. -- Loans originated to borrowers in Connecticut with a Contract Rate above 12% will be ineligible to be included in the Series 2026-1 Eligible Receivables to be transferred to the Trust. Inclusion of these Receivables will be subject to Rating Agency Condition. -- Under the loan sale agreement, Affirm is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser. (8) The legal structure and legal opinions that address the true sale of the unsecured consumer loans, the nonconsolidation of the Trust, and that the Trust has a valid perfected security interest in the assets and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Notes: All figures are in U.S. dollars unless otherwise noted. AMMC CLO 30: S&P Assigns Prelim BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from AMMC CLO 30 Ltd./AMMC CLO 30 LLC, a CLO managed by American Money Management Corp. that was originally issued in February 2024. The preliminary ratings are based on information as of Feb. 4, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 12, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1, A-2, B, C, D, and E debt and assign ratings to the replacement class A-1-R, B-R, C-R, D-1-R, D-2-R, and E-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt is expected to be issued at a lower spread over three-month CME term SOFR than the existing debt. -- The non-call period will be extended to Feb. 12, 2028. -- The reinvestment period will be extended to April 15, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to April 15, 2039. -- No additional assets will be purchased on the Feb. 12, 2026, refinancing date, and the target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2026. -- The required minimum overcollateralization and interest coverage ratios will be amended. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned AMMC CLO 30 Ltd./AMMC CLO 30 LLC Class A-1-R, $248.0 million: AAA (sf) Class A-2-R, $12.0 million: NR Class B-R, $44.0 million: AA (sf) Class C-R (deferrable), $24.0 million: A (sf) Class D-1-R (deferrable), $24.0 million: BBB- (sf) Class D-2-R (deferrable), $4.0 million: BBB- (sf) Class E-R (deferrable), $12.0 million: BB- (sf) Other Debt AMMC CLO 30 Ltd./AMMC CLO 30 LLC Subordinated notes, $45.1 million: NR NR--Not rated. ANTARES CLO 2019-1: S&P Assigns Prelim 'BB-' Rating on E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-RR, B-RR, C-RR, D-RR, and E-RR debt and proposed new class A-2-RR debt from Antares CLO 2019-1 Ltd./Antares CLO 2019-1 LLC, a CLO managed by Antares Capital Advisers LLC, a wholly owned subsidiary of Antares Capital L.P, that was originally issued in May 2019 and underwent a refinancing in November 2023. The preliminary ratings are based on information as of Feb. 3, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 6, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-R, A loans, B-R, C-R, D-R, and E-R debt and assign ratings to the replacement class A-1-RR, B-RR, C-RR, D-RR, and E-RR and proposed new class A-2-RR debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1-RR, B-RR, C-RR, D-RR, and E-RR debt is expected to be issued at lower spreads over three-month term SOFR than the existing debt. -- New floating-rate class A-2-RR debt is also expected to be issued. -- The stated maturity and reinvestment period will each be extended by 3.25 years, the non-call period will be extended by over two years, and the weighted average life test date will be extended by one year. -- Certain concentration limits will be amended. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Antares CLO 2019-1 Ltd./Antares CLO 2019-1 LLC Class A-1-RR, $304.950 million: AAA (sf) Class A-2-RR, $26.750 million: AAA (sf) Class B-RR, $40.125 million: AA (sf) Class C-RR (deferrable), $37.450 million: A (sf) Class D-RR (deferrable), $29.425 million: BBB- (sf) Class E-RR (deferrable), $34.775 million: BB- (sf) Other Debt Antares CLO 2019-1 Ltd./Antares CLO 2019-1 LLC Subordinated notes, $62.840 million: NR NR--Not rated. APEX CREDIT 2020: S&P Affirms BB- (sf) Rating on Class E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R3, A-2-R3, B-R3, C-R3, and D-R3 debt from Apex Credit CLO 2020 Ltd./Apex Credit CLO 2020 LLC, a CLO managed by Apex Credit Partners LLC that was originally issued in November 2020 and was last refinanced in June 2024. At the same time, S&P withdrew its ratings on the class A-1-RR, A-2-RR, B-RR, C-RR, and D-RR debt following payment in full on the Feb. 4, 2026, refinancing date. S&P also affirmed its ratings on the class X-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 Aug. 4, 2026. -- No additional assets were purchased on the Feb. 4, 2026 refinancing date, and the target initial par amount remains at $320 mm. There was no additional effective date or ramp-up period and the first payment date following the refinancing is April 20, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E-RR debt (which was not refinanced). Given the overall credit quality of the portfolio, the passing coverage tests along with the benefit from a reduction in spreads from this refinancing, we affirmed our 'BB- (sf)' rating on the class E-RR debt. Additionally, the deal remains in its reinvestment period, and the refinancing is viewed as credit neutral to credit positive for the transaction. However, if performance does not improve and/or metrics deteriorate, this could result in potential negative rating actions going forward." Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R3, $198.39 million: Three-month CME Term SOFR + 1.16% -- Class A-2-R3, $6.40 million: Three-month CME Term SOFR + 1.47% -- Class B-R3, $38.40 million: Three-month CME Term SOFR + 1.70% -- Class C-R3 (deferrable), $19.20 million: Three-month CME Term SOFR + 2.05% -- Class D-R3 (deferrable), $17.60 million: Three-month CME Term SOFR + 4.00% Previous debt -- Class A-1-RR, $198.39 million: Three-month CME Term SOFR + 1.45% -- Class A-2-RR, $6.40 million: Three-month CME Term SOFR + 1.75% -- Class B-RR, $38.40 million: Three-month CME Term SOFR + 2.10% -- Class C-RR (deferrable), $19.20 million: Three-month CME Term SOFR + 2.65% -- Class D-RR (deferrable), $17.60 million: Three-month CME Term SOFR + 4.32% -- Class E-RR (deferrable), $12.80 million: Three-month CME Term SOFR + 7.31% -- Subordinated notes, $28.63 million: Not applicable -- Class X-RR, $1.45 million: Three-month CME Term SOFR + 1.15% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Apex Credit CLO 2020 Ltd. / Apex Credit CLO 2020 LLC Class A-1-R3, $198.39 million: AAA (sf) Class A-2-R3, $6.40 million: AAA (sf) Class B-R3, $38.40 million: AA (sf) Class C-R3, $19.20 million: A (sf) Class D-R3, $17.60 million: BBB- (sf) Ratings Withdrawn Apex Credit CLO 2020 Ltd. / Apex Credit CLO 2020 LLC Class A-1-RR to NR from 'AAA (sf)' Class A-2-RR to NR from 'AAA (sf)' Class B-RR to NR from 'AA (sf)' Class C-RR to NR from 'A (sf)' Class D-RR to NR from 'BBB- (sf)' Ratings Affirmed Apex Credit CLO 2020 Ltd. / Apex Credit CLO 2020 LLC Class E-RR: BB- (sf) Class X-RR: AAA (sf) Other Debt Apex Credit CLO 2020 Ltd. / Apex Credit CLO 2020 LLC Subordinated notes : $28.63 million: NR NR--Not rated. ARES COMMERCIAL 2026-GCP: Moody's Assigns Ba3 Rating to Cl. E Certs ------------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by ARES Commercial Mortgage Trust 2026-GCP, Commercial Mortgage Pass-Through Certificates, Series 2026-GCP. Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa2 (sf) Cl. C, Definitive Rating Assigned A2 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. HRR, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien commercial mortgage on the fee interests in 30 primarily self-storage facilities ("the Portfolio") with an aggregate net rental area ("NRA") of 2.3 million square feet ("SF") across 23,764 units. The Portfolio is located across 15 distinct metropolitan statistical areas ("MSA") in 10 states, with the five largest concentrations by net operating income ("NOI") in California (22.7%), Florida (22.6%), Washington (20.0%), Massachusetts (10.4%) and Oregon (6.4%). Moody's analysis is based on the quality of the Portfolio, the amount of subordination supporting each rated class, among other structural characteristics. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by single loans compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.21x and Moody's first mortgage actual stressed DSCR is 0.76x. Moody's DSCR is based on Moody's stabilized net cash flow. The whole loan first mortgage balance of $430,000,000 represents a Moody's LTV ratio of 113.4% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 111.8% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The Portfolio's weighted average overall quality grade is 1.00. Notable strengths of the transaction include: portfolio geographic and property level diversity; strong primary market locations; strong area demographics; strong operating performance; capital investment; multiple-property pooling; experienced property management; and strong sponsorship. Notable concerns of the transaction include: high Moody's LTV ratio; floating-rate interest-only loan profile; cash out; property release and non-sequential prepayment provisions; and credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. ARTFI MASTER 2026-1: DBRS Finalizes BB Rating on Class E Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes issued by Sotheby's ArtFi Master Trust, Series 2026-1 (Series 2026-1 or the Issuer): -- $495,470,000 Class A-1 Notes at AAA (sf) -- $180,000,000 Class A-2 Notes at AAA (sf) -- $81,480,000 Class B Notes at AA (sf) -- $41,680,000 Class C Notes at A (sf) -- $79,110,000 Class D Notes at BBB (sf) -- $22,260,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement in the form of subordination, overcollateralization, reserve account, and excess spread. -- Credit enhancement levels sufficient to support the Morningstar DBRS-assumed loss assumptions under various stress scenarios. (2) The ability of the Transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit rating addresses the timely payment of interest and the ultimate payment of principal by the Series Scheduled Maturity Date. -- The Transaction will have an approximately two-year revolving period where no principal will be paid to or accumulated for the benefit of any class of the Series 2026-1 Notes. Following the end of the revolving period on March 1, 2028, or the occurrence of an Early Amortization Event, collections will be applied to pay down principal on the Notes. -- The Morningstar DBRS baseline probability of default (PD) assumption of 5.25% incorporates a negative selection bias of the historical vintage data. -- The stressed gross default hurdles were derived using the custom PD assumption in the Morningstar DBRS CLO Insight model with conservative correlation assumptions. -- Pool composition assumed maximum obligor concentrations. -- Recovery rate assumptions were based on historical experience of the SFS loan portfolio and Sotheby's past auction realizations. -- Various interest rate scenarios were run with both up and down rate stresses applied. -- Morningstar DBRS gave minimum credit to excess spread which was assumed to be at the 0.50% trigger level in its cashflow scenarios. (3) The transaction parties' capabilities with regard to originations, underwriting, and servicing. -- Morningstar DBRS performed an operational review of SFS and considers the Company to be an acceptable originator and servicer of Art Equity Loans and Consignor Advances related to fine art and collectible assets. -- The SFS team has significant experience in the art lending space combined with Sotheby's history and position as a marketplace for fine art and collectibles. Sotheby's hosts 500 auctions annually with a global network that encompasses 80 offices across 40 countries and 70 departments. (4) Credit quality of the collateral and the historical performance of SFS's loan portfolio. -- Collateral must be a work of art or collectible item (such as fine art, collectible cars, design furniture, books, jewelry, watches, wine or other spirits) that Sotheby's or its affiliated auction entities would offer for sale at auction, a private sale or via its online marketplace. SFS does not originate loans secured by a non-fungible token or other similar digital artwork that does not exist in tangible form. -- Collectible cars will be subject to a 20% concentration limit with the same associated loan products, underwritten with the same lending framework, and with the same perfection and insurance requirements as all other collateral types. -- All collateral is senior-secured with a first priority, perfected security interest. (5) The transaction incorporates both collateral performance triggers and portfolio concentration limits that will be expected to protect the noteholders in a stressed environment. -- Early amortization triggers at the trust and series level include performance related to delinquencies, hammer-to-value auction realizations, and excess spread. -- Concentration limits at the loan level for the underlying borrowers, loan type, and loan-to-value ratio. -- Weighted average loan-to-value limit of 60.0%. -- Concentration limits on the underlying collateral based on individual artist and collateral valuations. (6) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns December 2026 Update, published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (7) The legal structure and presence of legal opinions that address that the Issuer has a valid first-priority security interest and consistency with Morningstar DBRS's Legal Criteria for U.S. Structured Finance. Notes: All figures are in U.S. dollars unless otherwise noted. ATLAS SENIOR XIV: Moody's Cuts Rating on $22.8MM Cl. E Notes to B3 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by Atlas Senior Loan Fund XIV, Ltd.: US$17,400,000 Class C Senior Secured Deferrable Floating Rate Notes due 2032, Upgraded to Aa1 (sf); previously on August 11, 2025 Upgraded to Aa3 (sf) Moody's have also downgraded the rating on the following notes: US$22,800,000 Class E Senior Secured Deferrable Floating Rate Notes due 2032, Downgraded to B3 (sf); previously on September 24, 2020 Downgraded to B1 (sf) Atlas Senior Loan Fund XIV, Ltd., originally issued in June 2019 and partially refinanced in December 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2024. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since August 2025. The Class A-R notes have been paid down by approximately 41% or $67.8 million since then. Based on Moody's calculations, the OC ratios for the Class C notes are currently 136.24%, versus the August 2025 levels of 126.96%. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by credit deterioration and par loss observed in the underlying CLO portfolio. Based on Moody's calculations, the weighted average rating factor (WARF) is currently 3195 compared to 3005 in August 2025. Additionally, based on Moody's calculations, the transaction has incurred the loss of approximately $3.13 million or 1.07% of the portfolio balance, net of paydown, since August 2025. Moody's calculated Class E OC ratio is currently 102.17%, which includes the applied haircut amount. No actions were taken on the Class A-R, Class B-R and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $221,658,923 Defaulted par: $3,319,886 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3195 Weighted Average Spread (WAS): 3.10% Weighted Average Recovery Rate (WARR): 46.42% Weighted Average Life (WAL): 3.4 years Par haircut in OC tests and interest diversion test: 3.59% In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. BANK5 2026-5YR20: DBRS Gives Prov. BB Rating on Class FRR Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-5YR20 (the Certificates) to be issued by BANK5 2026-5YR20 (the Trust): -- Class A-1 at (P) AAA (sf) -- Class A-2 at (P) AAA (sf) -- Class A-2-1 at (P) AAA (sf) -- Class A-2-2 at (P) AAA (sf) -- Class A-2-X1 at (P) AAA (sf) -- Class A-2-X2 at (P) AAA (sf) -- Class A-3 at (P) AAA (sf) -- Class A-3-1 at (P) AAA (sf) -- Class A-3-2 at (P) AAA (sf) -- Class A-3-X1 at (P) AAA (sf) -- Class A-3-X2 at (P) AAA (sf) -- Class X-A at (P) AAA (sf) -- Class X-B at (P) AA (low) (sf) -- Class A-S at (P) AAA (sf) -- Class A-S-1 at (P) AAA (sf) -- Class A-S-2 at (P) AAA (sf) -- Class A-S-X1 at (P) AAA (sf) -- Class A-S-X2 at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class B-1 at (P) AA (sf) -- Class B-2 at (P) AA (sf) -- Class B-X1 at (P) AA (sf) -- Class B-X2 at (P) AA (sf) -- Class C at (P) A (high) (sf) -- Class C-1 at (P) A (high) (sf) -- Class C-2 at (P) A (high) (sf) -- Class C-X1 at (P) A (high) (sf) -- Class C-X2 at (P) A (high) (sf) -- Class X-D at (P) A (low) (sf) -- Class X-E at (P) BBB (sf) -- Class D at (P) BBB (high) (sf) -- Class E at (P) BBB (low) (sf) -- Class F-RR at (P) BB (sf) All trends are Stable. Classes X-D, X-E, D, E, and F-RR will be privately placed. The Class A-2-1, Class A-2-2, Class A-2-X1, Class A-2-X2, Class A-3-1, Class A-3-2, Class A-3-X1, Class A-3-X2, Class A-S-1, Class A-S-2, Class A-S-X1, Class A-S-X2, Class B-1, Class B-2, Class B-X1, Class B-X2, Class C-1, Class C-2, Class C-X1 and Class C-X2 certificates are also offered certificates. Such classes of certificates, together with the Class A-2, Class A-3, Class A-S, Class B, and Class C certificates, constitute the "Exchangeable Certificates". The Class A-1, Class D, Class E, Class F-RR, and Class G-RR certificates, together with the Exchangeable Certificates with a certificate balance, are referred to as the "principal balance certificates." CREDIT RATING RATIONALE/DESCRIPTION The collateral for the Trust consists of 37 fixed-rate loans secured by 263 commercial and multifamily properties with an aggregate cut-off date balance of $962.0 million. Three of the loans, representing 19.5% of the total pool, are shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS analyzed the remainder of the conduit pool to determine the provisional credit ratings, reflecting the long-term probability of default within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS NCF and their respective constants, the WA Issuance DSCR of the pool was 1.70x when the shadow-rated loans are included and 1.38x when the shadow-rated loans are excluded. The pool's Morningstar DBRS WA Issuance LTV was 58.1% and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 58.0% at maturity based on the A note balances. Excluding the shadow-rated loans, the deal exhibits a moderate Morningstar DBRS WA Issuance LTV of 62.9% and a Morningstar DBRS WA Balloon LTV of 62.8%. Five loans, making up about 17.7% of the total pool, exhibit a Morningstar DBRS Issuance LTV of higher than 67.6%. This threshold typically correlates to an above-average default frequency. Nineteen loans, representing 41.6% of the pool, exhibited a Morningstar DBRS Issuance DSCR at or below 1.31x, which is typically the threshold that indicates a higher likelihood of midterm default. The transaction has sequential-pay pass-through structure.¿ Three loans, representing 19.5% of the pool, exhibited credit characteristics consistent with investment-grade shadow ratings. These loans' credit characteristics were as follows: CityCenter (Aria & Vdara) was consistent with a shadow rating of AA; Walgreens Retail Portfolio was consistent with a shadow rating of "A"; and Torrey Heights was consistent with a shadow rating of AA (low). Fourteen loans, making up 51.8% of the pool, have Morningstar DBRS Issuance LTVs lower than 60.7%; this threshold historically represents relatively low-leverage financing and generally is associated with below-average default frequency. When the shadow-rated loans are excluded, the transaction exhibits a reasonable Morningstar DBRS WA Issuance LTV of 62.9%. Three loans, making up 14.5% of the total pool, have a Morningstar DBRS LTV equal to or higher than 70.0%. The Morningstar DBRS WA Issuance DSCR of 1.70x, or 1.38x when excluding the shadow-rated loans, exhibits a healthy DSCR, especially when compared with the current interest rate environment where DSCRs have been severely constrained after debt service payments have nearly doubled since mid-2022. The property quality assessment for seven loans, representing 41.1% of the pool, were regarded to have either Average + or Above Average property quality, while four loans, representing 6.8% of the total pool, were regarded as Average - property quality. The remaining loans in the pool received a property quality assessment of Average. The higher-quality properties are more likely to exhibit stable performance by way of attracting new tenants/guests or by retaining their current tenants/guests. The 37 loan pool results in a Herfindahl score of 18.3, with the top 10 loans representing 66.2% of the transaction by cut-off date trust balance. The Herfindahl score is lower than recent Morningstar DBRS rated multiborrower conduits with the BANK5 shelf. Recent transactions include BANK5 2025-5YR19 (Herfindahl score of 24.1), BANK5 2025-5YR17 (Herfindahl score of 24.1), and BANK5 2025-5YR16 (Herfindahl score of 21.6). The pool has a relatively high concentration of loans secured by office and retail properties, at 11 loans, representing 40.0% of the pool. These property types were among the most affected by the COVID-19 pandemic and many have yet to return to pre-pandemic performance. Future demand for office space is uncertain because of the post-pandemic growth in remote or hybrid work, resulting in less use and, in some cases, companies downsizing their office footprints. Declining consumer sentiment and spending will continue to affect the retail sector, with many companies closing stores as a result of decreased sales. The pool has a relatively high concentration of loans secured by hotels with seven loans, representing 23.9% of the pool, which is elevated compared with recent securitizations. Hotels have the highest cash flow volatility of all major property types as their income, which is derived from daily contracts rather than multiyear leases, and their expenses, which are often mostly fixed, are quite high as a percentage of revenue. These two factors cause revenue to fall swiftly during a downturn and cash flow to fall even faster as a result of high operating leverage. Twenty-six loans, representing 62.8% of the pool, are being used to refinance existing debt. Additionally, three loans, representing 9.8% of the pool, are recapitalizations. Morningstar DBRS views loans that refinance existing debt as more credit negative compared with loans that finance an acquisition. Acquisition financing typically includes a meaningful cash investment from the sponsor, which aligns its interests more closely with the lenders, whereas refinance transactions may be cash neutral or cash-out transactions, the latter of which may reduce the borrower's commitment to a property. Thirty-five loans, representing 97.5% of the pool, have IO payment structures throughout the loan term. Loans with IO payment structures potentially face refinance risk at maturity if the appraised values do not remain stable. The remaining loan amortizes over its full loan term with no periods of IO payments. Notes: All figures are in U.S. dollars unless otherwise noted. BANK5 2026-5YR20: Fitch Assigns B-(EXP)sf Rating on Cl. F-RR Certs ------------------------------------------------------------------ Fitch has assigned expected ratings and Ratings Outlooks to BANK5 2026-5YR20 commercial mortgage pass-through certificates, series 2026-5YR20 as follows: - $1,080,000 Class A-1 'AAA(EXP)sf'; Outlook Stable; - $150,000,000c Class A-2 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-2-1 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-2-2 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-2-X1 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-2-X2 'AAA(EXP)sf'; Outlook Stable; - $508,131,000c Class A-3 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-3-1 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-3-2 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-3-X1 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-3-X2 'AAA(EXP)sf'; Outlook Stable; - $659,211,000a Class X-A 'AAA(EXP)sf'; Outlook Stable; - $95,351,000 Class A-S 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-S-1 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-S-2 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-S-X1 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-S-X2 'AAA(EXP)sf'; Outlook Stable; - $47,086,000 Class B 'AA-(EXP)sf'; Outlook Stable; - $0e Class B-1 'AA-(EXP)sf'; Outlook Stable; - $0e Class B-2 'AA-(EXP)sf'; Outlook Stable; - $0ae Class B-X1 'AA-(EXP)sf'; Outlook Stable; - $0ae Class B-X2 'AA-(EXP)sf'; Outlook Stable; - $35,315,000 Class C 'A-(EXP)sf'; Outlook Stable; - $0e Class C-1 'A-(EXP)sf'; Outlook Stable; - $0e Class C-2 'A-(EXP)sf'; Outlook Stable; - $0ae Class C-X1 'A-(EXP)sf'; Outlook Stable; - $0ae Class C-X2 'A-(EXP)sf'; Outlook Stable; - $177,752,000a Class X-B 'A-(EXP)sf'; Outlook Stable; - $31,784,000b Class D 'BBB-(EXP)sf'; Outlook Stable; - $31,784,000ab Class X-D 'BBB-(EXP)sf'; Outlook Stable; - $20,011,000b Class E 'BB-(EXP)sf'; Outlook Stable; - $20,011,000ab Class X-E 'BB-(EXP)sf'; Outlook Stable; - $12,949,000b Class F-RR 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $40,024,167b Class G-RR 'NR(EXP)sf'; Outlook Stable; - $14,299,048bd Class RR 'NR(EXP)sf'; Outlook Stable; - $5,999,785bd Class RR Interest 'NR(EXP)sf'; Outlook Stable. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) The initial certificate balances of classes A-2 and A-3 are unknown but expected to be $658,131,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those class certificates. The expected class A-2 range is $0-$300,000 (net of the vertical risk retention interest), and the expected class A-3 balance range is $358,131,000-$658,131,000 (net of the vertical risk retention interest). Fitch's certificate balances for classes A-2 and A-3 reflect the midpoint of each respective range. In the event the class A-3 certificates are issued at $658,131,000, class A-2 will not be issued. (d) Vertical risk retention. (e) Exchangeable certificates; classes A-2, A-3, A-S, B, and C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding class of exchangeable certificates and vice versa. The dollar denomination of each of the received certificates must equal the dollar denomination of each of the surrendered certificates. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 37 loans secured by 263 commercial properties with an aggregate principal balance of $962,030,000 as of the cutoff date. The loans were contributed to the trust by Bank of America, National Association, JPMorgan Chase Bank, National Association, Wells Fargo Bank, National Association, and Morgan Stanley Mortgage Capital Holdings LLC. The master servicer is expected to be Trimont LLC and the special servicer is expected to be Rialto Capital Advisors, LLC. The trustee is expected to be Deutsche Bank National Trust Company. Computershare Trust Company, National Association will act as the certificate administrator. The operating advisor and asset representations reviewer will be Park Bridge Lending Services LLC. The certificates will follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 19 loans totaling 85.6% by balance. Fitch's resulting net cash flow (NCF) of $102.5 million represents a 15.0% decline from the issuer's underwritten NCF. Lower Leverage Compared to Recent Transactions: The pool has lower leverage compared to recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 96.5% is lower than the 2025 average of 101.0% and slightly higher than the 2024 average of 95.2%. The pool's Fitch NCF debt yield (DY) of 10.7% is higher than both the 2025 and 2024 averages of 9.7% and 10.2%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 66.2% of the pool, higher than the 2025 and 2024 averages of 61.7% and 60.2%, respectively. The pool's effective loan count of 19.7 is lower the 2025 and 2024 averages of 21.6 and 22.7, respectively. Investment-Grade Credit Opinion Loans: Two loans, representing 14.4% of the pool, received an investment-grade credit opinion. CityCenter (Aria & Vdara; 10.0% of pool) received a standalone credit opinion of 'AAAsf*' and Torrey Heights (4.4% of the pool) received a standalone credit opinion of 'BBBsf*'. The pool's total credit opinion percentage is higher than the 2025 and 2024 averages of 10.7% and 12.6%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 96.5% and 10.7%, respectively, compared with the 2025 conduit LTV and DY averages of 105.2% and 9.3%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBsf'/'B-sf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The lists below indicate the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BARCLAYS MORTGAGE 2026-NQM1: S&P Assigns B(sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Barclays Mortgage Loan Trust 2026-NQM1's mortgage-backed securities. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans to both prime and nonprime borrowers (some with initial interest-only periods) with a weighted average seasoning of approximately two months. Most of the mortgage loans have 30-year maturities, but there are five loans with 40-year maturities. The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, and manufactured housing properties. The pool consists of 643 loans, which are qualified mortgage (QM)/non-higher-priced mortgage loans (HPML) (average prime offer rate [APOR]), QM/HPML (APOR), non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage 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-NQM1 Class A-1, $201,964,000: AAA (sf) Class A-2, $28,101,000: AA- (sf) Class A-3, $33,961,000: A- (sf) Class M-1, $15,028,000: BBB- (sf) Class B-1, $7,663,000: BB (sf) Class B-2, $8,716,000: B (sf) Class B-3, $5,109,843: Not rated Class SA, $63,457: NR Class XS, notional(ii): NR Class PT, $300,606,300: NR Class R, N/A: NR (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 note 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. N/A--Not applicable. NR--Not rated. BARINGS EURO 2024-1: S&P Assigns B- (sf) Rating Class F-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Barings Euro CLO 2024-1 DAC's class A-Loan and class X-R, A-R, B-R, C-R, D-R, E-R, and F-R notes. The issuer currently has EUR34.85 million of unrated subordinated notes outstanding from the existing transaction. This transaction is a reset of the already existing transaction that closed in July 2024. The issuance proceeds of the replacement loan and notes were used to redeem the existing classes of loan and notes and to pay fees and expenses incurred in connection with the reset. S&P withdrew its ratings on the existing classes of loan and notes. The ratings reflect S&P's assessment of: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated loan and notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with S&P's counterparty rating framework. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,593.21 Default rate dispersion 753.42 Weighted-average life extended to cover the length of the reinvestment period (years) 4.72 Obligor diversity measure 146.96 Industry diversity measure 21.49 Regional diversity measure 1.36 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 0.90 Target 'AAA' weighted-average recovery (%) 36.89 Actual weighted-average spread (%) 3.57 Actual weighted-average coupon (%) 4.32 Rating rationale Under the transaction documents, the rated loan and notes will pay quarterly interest unless a frequency switch event occurs. Following this, the loan and notes will switch to semiannual payments. The portfolio's reinvestment period will end three years after closing. S&P said, "The portfolio is well-diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR400 million target par amount, the actual weighted-average spread (3.57%), the actual weighted-average coupon (4.32%), and the targeted weighted-average calculated in line with our CLO criteria for all classes of loan and notes. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Under our structured finance sovereign risk criteria, the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "Until the end of the reinvestment period on Oct. 20, 2030, the collateral manager may substitute assets in the portfolio for so long as our CDO Monitor test is maintained or improved in relation to the initial ratings on the loan and notes. This test looks at the total amount of losses that the transaction can sustain as established by the initial cash flows for each rating, and it compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, as long as the initial ratings are maintained. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "The transaction's legal structure and framework is bankruptcy remote, in line with our legal criteria. "Our credit and cash flow analysis indicate that the available credit enhancement for the class B-R to E-R notes could withstand stresses commensurate with higher rating levels than those we have assigned. However, as the CLO will be in its reinvestment phase starting from closing, during which the transaction's credit risk profile could deteriorate, we have capped our ratings assigned to the notes. "Taking the above factors into account and following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe that our ratings are commensurate with the available credit enhancement for all the rated classes of loan and notes. "In addition to our standard analysis, to indicate how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we have also included the sensitivity of the ratings on the class A-Loan and class A-R to E-R notes based on four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category, and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met, we have not included the above scenario analysis results for the class F-R notes." Environmental, social, and governance S&P said, "We regard the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. For this transaction, the documents prohibit (and or for some of these activities there are revenue limits or can't be the primary business activity) assets from being related to certain activities. Since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Barings Euro CLO 2024-1 DAC is a cash flow CLO securitizing a portfolio of primarily European senior-secured leveraged loans and bonds. The transaction is managed by Barings (U.K.) Ltd. Ratings Amount Credit Class Rating* (mil. EUR) enhancement (%) Interest rate§ X-R AAA (sf) 2.50 N/A 3mE + 0.90% A-R AAA (sf) 198.00 38.00 3mE + 1.27% A-Loan AAA (sf) 50.00 38.00 3mE + 1.27% B-R AA (sf) 43.00 27.25 3mE + 1.90% C-R A (sf) 23.00 21.50 3mE + 2.20% D-R BBB- (sf) 30.00 14.00 3mE + 3.15% E-R BB- (sf) 16.00 10.00 3mE + 5.50% F-R B- (sf) 14.00 6.50 3mE + 8.57% Sub notes NR 34.85 N/A N/A *The ratings assigned to the class A-Loan and class X-R, A-R, and B-R notes address timely interest and ultimate principal payments. The ratings assigned to the class C-R, D-R, E-R, and F-R notes address ultimate interest and principal payments. §The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. NR--Not rated. N/A--Not applicable. 3mE--Three-month Euro Interbank Offered Rate. BARINGS INFRASTRUCTURE 2025-I: Moody's Gives Ba3 Rating to E Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to six classes of notes issued by Barings Infrastructure CLO Ltd. 2025-I (the Issuer or Barings Infrastructure 2025-I): US$320,000,000 Class A-1 Floating Rate Senior Notes due 2039, Definitive Rating Assigned Aaa (sf) US$10,000,000 Class A-2 Floating Rate Senior Notes due 2039, Definitive Rating Assigned Aaa (sf) US$50,000,000 Class B Floating Rate Senior Notes due 2039, Definitive Rating Assigned Aa1 (sf) US$30,000,000 Class C Deferrable Floating Rate Mezzanine Notes due 2039, Definitive Rating Assigned A2 (sf) US$30,000,000 Class D Deferrable Floating Rate Mezzanine Notes due 2039, Definitive Rating Assigned Baa3 (sf) US$10,000,000 Class E Deferrable Floating Rate Mezzanine Notes due 2039, Definitive Rating Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Barings Infrastructure 2025-I is a managed cash flow infrastructure CLO. The issued notes will be collateralized primarily by senior secured project finance (PF) infrastructure, corporate infrastructure, and corporate non-infrastructure loans. At least 40.0% of the portfolio must consist of project finance infrastructure loans. The infrastructure CLO permits up to 24% of the portfolio in project finance loans in the power generation sector including the electricity (gas) contracted, merchant or power renewables sectors. At least 95.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 5.0% of the portfolio may consist of bonds and second lien loans. The portfolio is approximately 90% ramped as of the closing date. Barings LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. This is the Manager's first infrastructure CLO. In addition to the Rated Notes, the Issuer will issue one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's ratings of the Rated Notes also took into account the concentrated nature of the portfolio. The infrastructure CLO's indenture allows for a portfolio that is highly concentrated by sector and individual asset size. Up to 24% of the portfolio's assets may be in the power generation sector, with the largest power generation sub-sector potentially being up to 17.5% of the portfolio. The five largest sub-sectors could constitute up to 60% of the portfolio. The four largest sub-sectors could constitute up to 55% of the portfolio. A minimum of 55% of the portfolio is required to consist of PF infrastructure assets and corporate infrastructure assets relating to sectors or industries in energy-electricity, energy-oil and gas, utilities-electric, utilities-oil and gas, and utilities-water. The portfolio is required to have minimum of 80 obligors, with the largest obligor potentially comprising up to 3.5% of the portfolio for the top three obligors, and up to 3.0% for each subsequent obligor. Credit deterioration in a single sector or in a few obligors could have an outsized negative impact on the CLO portfolio's overall credit quality. Moody's analysis considered the potential for a concentrated portfolio. Moody's modeled the transaction applying the Monte Carlo simulation framework in Moody's CDOROM™, as described in the "Project Finance and Infrastructure Asset CLOs" rating methodology published in July 2024 and using a cash flow model which estimates expected loss on a CLO's tranche, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Weighted Average Rating Factor (WARF): 2199 Weighted Average Spread (WAS): 2.65% Weighted Average Recovery Rate (WARR): 62.20% Weighted Average Life (WAL): 9.0 years Second lien loans and bonds: 5.00% Total Obligors: 80 Largest three obligors each and thereafter: 3.50%/3.00% Largest five obligors: 17.50% B2 or B3 and below default probability rating obligors: 36.00% B3 and below default probability rating obligors: 12.50% PF infrastructure obligors: 40.0% PF power generation sector: 24.50% PF power generation subsector: 17.50% Largest five subsectors: 60.50% Methodology Underlying the Rating Action: The methodologies used in these ratings were "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. BENCHMARK 2018-B3: Fitch Cuts Rating on Cl. G-RR Debt to Csf ------------------------------------------------------------ Fitch Ratings has affirmed all classes of Benchmark 2018-B3 Mortgage Trust. Following the affirmations, the Rating Outlook for classes A-S and X-A has been revised to Stable from Negative. The Outlook for the affirmed classes B, C, D, E-RR, X-B, and X-D is Negative. Fitch has also downgraded three and affirmed 12 classes of Benchmark 2018-B4 Mortgage Trust. The Outlook for affirmed classes A-M, B, C, D, X-A, X-B, and X-D is Negative. RATING ACTIONS Entity / Debt Rating Prior ------------- ------ ----- BENCHMARK 2018-B3 A-4 08161BAX1 LT AAAsf Affirmed AAAsf A-5 08161BAY9 LT AAAsf Affirmed AAAsf A-AB 08161BAZ6 LT AAAsf Affirmed AAAsf A-S 08161BBA0 LT AAAsf Affirmed AAAsf B 08161BBB8 LT AA-sf Affirmed AA-sf C 08161BBC6 LT BBB-sf Affirmed BBB-sf D 08161BAA1 LT BBsf Affirmed BBsf E-RR 08161BAC7 LT Bsf Affirmed Bsf F-RR 08161BAE3 LT CCCsf Affirmed CCCsf G-RR 08161BAG8 LT CCsf Affirmed CCsf H-RR 08161BAJ2 LT Csf Affirmed Csf X-A 08161BBD4 LT AAAsf Affirmed AAAsf X-B 08161BBE2 LT AA-sf Affirmed AA-sf X-D 08161BAN3 LT BBsf Affirmed BBsf Benchmark 2018-B4 A-2 08161HAB6 LT AAAsf Affirmed AAAsf A-3 08161HAC4 LT AAAsf Affirmed AAAsf A-4 08161HAE0 LT AAAsf Affirmed AAAsf A-5 08161HAF7 LT AAAsf Affirmed AAAsf A-M 08161HAH3 LT AA-sf Affirmed AA-sf A-SB 08161HAD2 LT AAAsf Affirmed AAAsf B 08161HAJ9 LT A-sf Affirmed A-sf C 08161HAK6 LT BBB-sf Affirmed BBB-sf D 08161HAQ3 LT BB-sf Affirmed BB-sf E-RR 08161HAS9 LT CCCsf Downgrade B-sf F-RR 08161HAU4 LT CCsf Downgrade CCCsf G-RR 08161HAW0 LT Csf Downgrade CCsf X-A 08161HAG5 LT AA-sf Affirmed AA-sf X-B 08161HAL4 LT A-sf Affirmed A-sf X-D 08161HAN0 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: The deal-level 'Bsf' rating case loss for the BMARK 2018-B3 transaction is 10.65%, up slightly from 9.72% at Fitch's prior rating action. The 'Bsf' rating case loss for the BMARK 2018-B4 transaction has also increased to 9.55% from 8.73% at the prior review. There are nine Fitch Loans of Concern (FLOCs) (34.9%) in BMARK 2018-B3, including two loans (7.5% of the pool) in special servicing, and nine FLOCs (34.4% of the pool) in BMARK 2018-B4, including three loans (10.7%) in special servicing. The affirmations and revised Outlooks for classes A-S and X-A in BMARK 2018-B3 reflect increased credit enhancement (CE) from scheduled amortization and loan paydowns. The downgrades in the BMARK 2018-B4 transaction reflect higher pool loss expectations since the prior rating action, primarily driven by significantly lower updated appraisal valuations for the specially serviced Meridian Corporate Center (4.4%) and JAGR Hotel Portfolio (2.8%) loans. The Negative Outlooks for both transactions reflect elevated office concentrations of 40.5% and 33.0%, respectively, coupled with deteriorating appraisal values for specially serviced loans and ongoing performance challenges with FLOCs in the pool. Downgrades are possible if performance of office FLOCs does not stabilize or workouts for the specially serviced loans are prolonged, leading to higher-than-expected losses. In the BMARK 2018-B3 transaction, FLOCs include specially serviced loans 315 West 36th Street (3.8%) and 90 Hudson (3.8%), and office loans, 6420 Wilshire (7.8%), 907 Market Street (3.6%), and One Mill Run (1.8%). Since the prior review, The Stimson Building (0.5%), liquidated with realized losses of 90% in the BMARK 2018-B3 transaction. In BMARK 2018-B4, FLOCs include specially serviced Meridian Corporate Center (4.4%) and Westbrook Corporate Center (3.5%) loans, and office loans, 181 Fremont Street (8.1%), AON Center (5.0%), and 636 11th Avenue (5.0%). Due to the high concentration of FLOCs and specially serviced loans with refinance concerns, Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their status and collateral quality and then ranked them by their perceived likelihood of repayment and/or loss expectation. Largest Increases in Loss: The largest contributor to expected losses and the third-largest increase in loss expectations since the prior rating action in the BMARK 2018-B3 transaction is the 315 West 36th Street loan (3.8%), which is secured by a 143,479-sf office building with ground-floor retail located in Midtown Manhattan, proximate to Penn Station and the Port Authority Bus Terminal. Floors 11 and above in the building are residential and not part of the collateral. The loan transferred to special servicing in June 2023 for payment default. Foreclosure was filed in September 2023. As of September 2025, the property was nearly vacant with 2% occupancy. WeWork had previously occupied approximately 93% of the property, until they ceased paying rent in April 2023 and vacated the space. Fitch's 'Bsf' rating case loss of 84.9% (prior to concentration adjustments) reflects a discount to the most recent appraisal value, which is approximately 78.5% below the value at issuance; the updated stressed value equates to $153 psf. The second-largest increase in loss expectations since the prior rating action in the BMARK 2018-B3 and the largest increase in loss expectations is the 90 Hudson loan (3.8%), secured by a 432,284-sf office property located in Jersey City, NJ that was built in 1999. The largest tenant at the property, Lord Abbett (60.5% of the NRA) vacated at lease expiration in December 2024. The loan transferred to special servicing in July 2025 for imminent payment default and the servicer is proceeding with foreclosure. Colliers was appointed as receiver in September 2025. A cash sweep was activated with the January 2026 reserve balance reported at $4.06 million. The second-largest tenant, Charles Komar & Sons (36.9%) with lease expiration in December 2031 has listed 53,047 sf as available for sublease according to Costar. CoStar reports that 326,093 sf (68.9% of the NRA) is listed as available for lease in the building. As of September 2025, the servicer-reported NOI DSCR fell to 0.27x from 2.40x at YE 2024 and 2.09x at YE 2023. Fitch's loss expectations of 60.3% (prior to concentration add-ons) considers the most recent appraisal value, which is approximately 75% below the issuance appraisal value, equating to a stressed value of $125 psf. The largest contributor to expected losses in the BMARK 2018-B4 is the Westbrook Corporate Center loan (3.5%), secured by a 1.14 million-sf suburban office property complex located in Westchester, IL. The loan transferred to special servicing in September 2024 for non-monetary default. Property occupancy has continued to decline, falling to 57% as of December 2025 from 67% at YE 2023 and 71% at YE 2022. The decline is primarily due to the departure of major tenant, American Imaging Management (7.2% of the NRA) and downsize of the largest tenant. According to the servicer, Follett Higher Education Group (11.3%; lease expiration in October 2025) downsized by 82,005 sf (7.1%) and extended their lease to April 2033. CoStar reports that 499,057 sf (41.9% of the NRA) is listed as available for lease in the building. Fitch's 'Bsf' rating case loss of 68.8% (prior to concentration adjustments) reflects a discount to the most recent appraisal value equating to a stressed value of approximately $25.2 psf. The second-largest contributor to loss expectations in the BMARK 2018-B4 is the Meridian Corporate Center loan (4.4%), secured by 10 suburban office properties totaling 691,705-sf located in Durham, NC. The loan transferred to special servicing in September 2024 for monetary default. Portfolio's performance continues to decline, with occupancy dropping to 58.8% as of April 2025, down from 71% at YE 2023 and 81% at YE 2022. As of YE 2024, NOI DSCR also decreased to 1.08x from 1.62x at YE 2023. CoStar reports that 262,623 sf (38% of the NRA) is listed as available, driven by multiple tenants downsizing or offering space for sublease. Fitch's 'Bsf' rating case loss of 47.2% (prior to concentration adjustments) reflects a discount to the most recent appraisal value equating to a stressed value of approximately $57.7 psf. The third-largest contributor to expected losses and largest increase in loss expectations since the prior rating action in the BMARK 2018-B4 is the JAGR Hotel Portfolio loan (2.8%), secured by a portfolio of three full-service hotels totaling 721 rooms located in Jackson, MS, Annapolis, MD and Grand Rapids, MI. The loan transferred to special servicing in March 2023 due to monetary default. A receiver has been appointed to all three assets. The receiver and property manager have outlined an action plan, and a receiver-led sale is being proposed for both the Grand Rapids and Jackson assets. The portfolio performance has deteriorated significantly, reporting an NOI DSCR of 0.05x as of the TTM June 2024 reporting period, significantly below the TTM June 2023 NOI DSCR of 0.59x and the YE 2022 NOI DSCR of 0.81x. As of TTM November 2025, the weighted-average occupancy, average daily rate (ADR), and revenue per available room (RevPAR) for the portfolio was 44.8%, $103.5, and $46.4, respectively, which compares with the TTM January 2024 weighted-average occupancy, ADR, and RevPAR of 53.3%, $121, and $65, and issuance metrics of 63.6%, $124, and $79, respectively. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 43.0% reflects a stress to the most recently reported appraisal values equating to a stressed weighted average value of $46,491 per key. Dark Single-Tenant Exposure: In addition to the FLOCs noted above, one loan in the BMARK 2018-B3 transaction and two loans in the BMARK 2018-B4 transaction have exposure to dark single-tenant office properties where the tenants do not occupy the premises but continue to pay rent. These loans include 907 Market Street (3.6%) in the BMARK 2018-B3 transaction and 181 Fremont Street (8.1%) and 636 11th Avenue (5.0%) in the BMARK 2018-B4 transaction. Lease expirations for 907 Market Street, 181 Fremont Street and 636 11th Avenue occur in September 2029, March 2031, and June 2029, respectively. Increased CE: As of the January 2026 distribution date, the aggregate balances of the BMARK 2018-B3 and BMARK 2018-B4 transactions have been reduced by 27.0% and 14.3%, respectively, since issuance. The BMARK 2018-B3 transaction has 11 (45.8%) full-term, interest-only (IO) loans and 24 (54.3%) loans that are currently amortizing. The BMARK 2018-B4 transaction has 14 (55.3%) full-term, IO loans and 24 (44.7%) loans that are currently amortizing. There are eight loans (11.0% of the pool) that have fully defeased in the BMARK 2018-B3 transaction and five loans (8.9% of the pool) that have fully defeased in the BMARK 2018-B4. Cumulative interest shortfalls of $2.2 million and realized losses of $4.2 million are impacting the non-rated class NR-RR in the BMARK 2018-B3 transaction. Cumulative interest shortfalls of $1.2 million are currently impacting the non-rated class H-RR in the BMARK 2018-B4 transaction. Undercollateralization: The BMARK 2018-B4 transaction is undercollateralized by approximately $1.1 million due to a workout delayed reimbursement of advances (WODRA) on the JAGR Hotel Portfolio loan. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 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 and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if performance and/or valuation of the FLOCs/specially serviced loans, most notably 90 Hudson, and 315 West 36th Street in BMARK 2018-B3, Meridian Corporate Center, Westbrook Corporate Center, 181 Fremont Street, AON Center, and 636 11th Avenue in BMARK 2018-B4, deteriorate further or fail to stabilize or if more loans than expected default at or prior to maturity. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned office loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed classes are possible should additionally loans transfer to special servicing and as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'Asf' rating category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with improved pool-level loss expectations and stronger performance on the FLOCs. This includes 315 West 36th Street, 90 Hudson, 6420 Wilshire, 907 Market Street, and One Mill Run in BMARK 2018-B3 and Meridian Corporate Center, Westbrook Corporate Center, 181 Fremont Street, AON Center, and 636 11th Avenue in BMARK 2018-B4. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to the distressed classes are unlikely absent performance stabilization of the FLOCs and improved recovery prospect of loans in special servicing. BENCHMARK 2021-B25: DBRS Confirms BB Rating on Class 300P-C Certs ----------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the following classes of Amazon Seattle Loan-Specific Certificates issued by Benchmark 2021-B25 Mortgage Trust: -- Class 300P-A at A (high) (sf) -- Class 300P-B at BBB (high) (sf) -- Class 300P-C at BB (sf) -- Class 300P-D at B (sf) -- Class 300P-E at B (low) (sf) -- Class 300P-RR at B (low) (sf) Morningstar DBRS changed the trends on all Classes to Negative from Stable. CREDIT RATING RATIONALE/DESCRIPTION The Amazon Seattle Loan-Specific Certificates are secured by the fee-simple interest in a Class A office property known as Amazon Seattle as well as its leasehold interest in a parking lease covering certain spaces at an adjacent parking garage. Amazon Seattle is a redeveloped Class A office building in the heart of the Seattle central business district and consists of approximately 680,000 square feet (sf) of office space and 94,000 sf of retail space. The office component of the collateral is fully leased to investment-grade tenant Amazon (88.3% of the net rentable area) on a triple net basis through May 2033, with three five-year renewal options available. However, the servicer confirmed that the physical occupancy at the office is approximately 7.0% because of workplace flexibility and employee safety concerns given heightened crime in the submarket. There are no future termination options or outs in the lease. Morningstar DBRS noted that the Amazon lease is guaranteed by the parent company, Amazon.com, Inc., but the guarantee cap amount is scheduled to reduce each year until the lease's initial expiry in 2033. The credit rating confirmations reflect the stable performance given the investment-grade tenant's long-term lease at the subject. Morningstar DBRS noted, however, that the Seattle office market ranks as one of the nation's hardest hit markets, with its vacancy rate rising to an all-time high as of Q4 2025 and the second-highest market vacancy rate in the country. The Negative trends reflect Morningstar DBRS' concerns around the softening market fundamentals and likely refinancing challenges for the borrower when combined with the increased credit risk tied to Amazon's lease expiration date, which is coterminous with the loan's maturity. Given the expected value deterioration stemming from the declining market fundamentals, Morningstar DBRS also considered a stressed scenario based on a dark value analysis to evaluate the potential credit rating impact should Amazon ultimately elect to vacate upon lease expiration. The results of this analysis, which considers cash reserves, suggested that the outstanding subordinate classes may not be recoverable in a stressed scenario, thereby supporting the Negative trends. While the lack of space utilization points to a high likelihood of Amazon not renewing its lease, Morningstar DBRS noted the moderate runway for the submarket to recover and for the borrower to backfill the space if Amazon provides notice of intent to vacate upon lease expiration. Morningstar DBRS will continue to closely monitor submarket activity and performance indicators. The $455.0 million whole loan is composed of $234.9 million of senior A notes, $155.1 million of one junior B note (the Amazon Seattle Trust Subordinate Companion Loan), and $65.0 million of a mezzanine loan. The Amazon Loan-Specific Certificates totaled $155.1 million and are collateralized only by the Amazon Seattle Trust Subordinate Companion Loan. The interest-only loan is structured with an anticipated repayment date in April 2030 and a final maturity date in May 2033. The property was originally constructed in 1929 as the flagship location of prominent Seattle-based department store The Bon Marché and has since been granted landmark status by the city of Seattle. In 2017, the previous owner began a three-phase, comprehensive transformation to convert the property into an office space for Amazon. The previous owner completed the first two phases of the project at a cost of $160.0 million. The final phase of the repositioning project was Amazon's final expansion and conversion, which was completed and all of Amazon's space was delivered by February 2022 in accordance with the loan agreement. According to the rent roll dated September 30, 2025, the property was 90.6% leased. As of September 2025, the servicer reported annualized net cash flow (NCF) at $29.8 million, in line with the Morningstar DBRS' base-case NCF of $29.0 million, which applies straight-line credit to Amazon's rent over the loan term given its consideration as a long-term credit tenant. According to Reis, office properties in the Central Seattle submarket reported an average vacancy rate of 23.1% in Q3 2025, an increase from 20.5% in Q3 2024. Recent media articles reported several office and retail tenants in the submarket were struggling because of the decreased foot traffic tied to crime-related concerns. The Seattle Police Department has been actively monitoring the crime in downtown Seattle to increase safety, marking incremental improvements. While the dip in crime might influence Amazon's decision to bring its employees back into the office, the integration of artificial intelligence poses another challenge, with Amazon completing another round of layoffs targeting 16,000 employees in January 2026 to streamline workforce efficiency following a round of layoffs targeting 14,000 employees just three months ago in October 2025. In the base-case analysis, with this review, Morningstar DBRS maintained the valuation approach from the previous credit rating action given the year-over-year stability in performance. The Morningstar DBRS Value of $386.9 million is based on a capitalization rate of 7.50% applied to the Morningstar DBRS NCF of $29.0 million and represents a 39.9 % variance from the issuance appraised value of $644.0 million. Morningstar DBRS maintained positive qualitative adjustments to the LTV sizing benchmarks totaling 6.0% to reflect the subject property's quality and generally long-term, in-place tenancy of the investment-grade tenant. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2025-V13: DBRS Confirms BB(low) Rating on 2 Classes ------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Herald Center Loan-Specific Certificates, issued by Benchmark 2025-V13 Mortgage Trust as follows: -- Class HCB at AA (low) (sf) -- Class HCC at A (low) (sf) -- Class HCD at BBB (low) (sf) -- Class HCE at BB (low) (sf) -- Class HCRR at BB (low) (sf) All trends are Stable. The credit rating confirmations reflect the stable performance of the transaction in the relatively short time since closing in February 2025. The transaction is secured by the borrower's fee-simple interest in the Herald Center, a nine-story mixed-use retail and office/university property totaling 267,207 square feet in the Herald Square area of Manhattan. The property is in a prime location for accessibility, situated above the 34th Street-Herald Square subway station and is surrounded by major commercial developments including Macy's flagship store. The property was built in 1902 and renovated in 2015 by the sponsor, JEMB Realty Corporation, which acquired the property in 1986. The $300.0 million fixed-rate interest-only (IO) loan has a five-year term with no extension options. The Herald Center is 96.6% leased as of September 2025. The property benefits from a concentration of investment-grade retail tenants, the largest of which, H&M (23.5% of net rentable area (NRA)), is signed to a lease that expires in January 2041. While the property's largest tenant, Yeshiva University (58.0% of NRA), is not publicly rated, the school is accredited, has strong financials, and is signed to a lease expiring in June 2056--well beyond the loan term--with no termination options available. Outside of two small antenna leases, there are no tenants that roll during the loan term. According to the financials for the trailing nine-month period ended September 30, 2025, the loan reported an annualized net cash flow (NCF) of $21.5 million, in comparison with the Morningstar DBRS' NCF of $25.5 million. As a result of the decline in NCF, the servicer added the loan to its watchlist in December 2025. The decline in NCF is mainly attributed to higher real estate taxes, however Morningstar DBRS expects this figure to drop closer to issuance levels once the property converts to the leasehold condominium structure contemplated at loan closing. The conversion is expected to provide significant property tax relief as, under this structure, Yeshiva University would apply for a tax exemption, reducing the property's tax bill by approximately 50.0%. For the purposes of this credit rating action, Morningstar DBRS maintained the valuation approach from issuance, which was based on a capitalization rate of 7.26% applied to the Morningstar DBRS' NCF of $25.5 million. The resulting value of $351.2 million represents a variance of -23.7% from the issuance appraised value of $460.0 million and corresponds to a Morningstar DBRS loan-to-value ratio (LTV) of 85.4%. Morningstar DBRS maintained positive qualitative adjustments of 5.0% to the LTV Sizing Benchmarks to account for the collateral's property quality, cash flow stability resulting from long-term leases to investment-grade tenants, and its strategic location within a dense market with numerous drivers. Notes: All figures are in U.S. dollars unless otherwise noted. BENEFIT STREET 47: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Benefit Street Partners CLO 47 Ltd./Benefit Street Partners CLO 47 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 BSP CLO Management LLC, a wholly-owned subsidiary of Franklin Templeton. The preliminary ratings are based on information as of Feb. 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 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 Benefit Street Partners CLO 47 Ltd./ Benefit Street Partners CLO 47 LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D-1 (deferrable), $30.00 million: BBB- (sf) Class D-2 (deferrable), $5.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $45.80 million: NR NR--Not rated. BENEFIT STREET XXXIII: S&P Assigns BB- (sf) Rating on E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1-R, and E-R debt and proposed new class D-2-R debt from Benefit Street Partners CLO XXXIII Ltd./Benefit Street Partners CLO XXXIII LLC, a CLO managed by BSP CLO Management LLC that was originally issued in January 2024. At the same time, S&P withdrew its ratings on the previous class A-1, B, C, D, and E debt following payment in full on the Feb. 5, 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-R, B-R, C-R, D-1-R, and E-R debt was issued at a lower spread over three-month term SOFR than the existing debt. -- New Class D-2-R was issued at a floating spread over three-month term SOFR. -- The stated maturity and reinvestment period was extended by three years. -- The non-call period was extended by two years to Jan. 25,2028. -- The reinvestment period was extended to Jan. 25, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Jan. 25, 2039. -- The target initial par amount remains at $500.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 25, 2026. -- The required minimum overcollateralization and interest coverage ratios were amended. -- Additional subordinated notes of $5.00 million 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 XXXIII Ltd./ Benefit Street Partners CLO XXXIII LLC Class A-R, $320.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1-R (deferrable), $30.00 million: BBB- (sf) Class D-2-R (deferrable), $5.00 million: BBB- (sf) Class E-R (deferrable), $15.00 million: BB- (sf) Ratings Withdrawn Benefit Street Partners CLO XXXIII Ltd./ Benefit Street Partners CLO XXXIII LLC Class A-1 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 Benefit Street Partners CLO XXXIII Ltd./ Benefit Street Partners CLO XXXIII LLC Subordinated notes, $45.25 million: NR NR--Not rated. BENEFIT STREET XXXIII:S&P Assigns Prelim 'BB-' Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-1-R, and E-R debt and proposed new class D-2-R debt from Benefit Street Partners CLO XXXIII Ltd./Benefit Street Partners CLO XXXIII LLC, a CLO managed by BSP CLO Management LLC that was originally issued in January 2024. The preliminary ratings are based on information as of Feb. 3, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 5, 2026, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1, B, C, D, and E debt and assign ratings to the replacement class A-R, B-R, C-R, D-1-R, and E-R debt and proposed new class D-2-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, and E-R debt is expected to be issued at a lower spread over three-month term SOFR than the existing debt. -- New Class D-2-R is expected to be issued at a floating spread over three-month term SOFR. -- The stated maturity and reinvestment period will be extended by three years. -- The non-call period will be extended by two years to Jan. 25,2028. -- The reinvestment period will be extended to Jan. 25, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to Jan. 25, 2039. -- The target initial par amount will remain at $500.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is April 25, 2026. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- Additional subordinated notes of $5.00 million will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Benefit Street Partners CLO XXXIII Ltd./ Benefit Street Partners CLO XXXIII LLC Class A-R, $320.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-1-R (deferrable), $30.00 million: BBB- (sf) Class D-2-R (deferrable), $5.00 million: BBB- (sf) Class E-R (deferrable), $15.00 million: BB- (sf) Other Debt Benefit Street Partners CLO XXXIII Ltd./ Benefit Street Partners CLO XXXIII LLC Subordinated notes, $45.25 million: NR NR--Not rated. BRIDGECREST LENDING 2026-1: DBRS Finalizes BB Rating on E Notes --------------------------------------------------------------- DBRS, Inc finalized its provisional credit ratings on the following classes of notes issued by Bridgecrest Lending Auto Securitization Trust 2026-1 (BLAST 2026-1 or the Issuer): -- $71,500,000 Class A-1 Notes at R-1 (high) (sf) -- $131,256,000 Class A-2 Notes at AAA (sf) -- $131,256,000 Class A-3 Notes at AAA (sf) -- $66,879,000 Class B Notes at AA (sf) -- $97,278,000 Class C Notes at A (sf) -- $101,458,000 Class D Notes at BBB (sf) -- $46,360,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and excess spread, if any. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the credit ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date for each respective class. (2) BLAST 2026-1 provides for the Notes' coverage multiples that are slightly below the Morningstar DBRS range of multiples set forth in the criteria for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss, company history, and structural features of the transaction. (3) The Morningstar DBRS CNL assumption is 28.10% based on the pool composition. (4) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update, published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (5) The transaction parties' capabilities with regard to originations, underwriting, and servicing are as follows: -- DriveTime has an experienced and stable management team and has had relatively stable performance in varying economic environments because of its expertise in the subprime auto market. -- Morningstar DBRS has performed an operational review of DriveTime and Bridgecrest and considers the entities acceptable originators and servicers of subprime auto loans. -- Morningstar DBRS did not perform an operational review of GoFi given its relatively small contribution to the pool. -- DriveTime has made substantial investments in technology and infrastructure to continue to improve its ability to predict borrower behavior, manage risk, and mitigate loss. -- DriveTime has centrally developed and maintained underwriting and loan servicing platforms. -- Computershare, an experienced auto-loan servicer, is the standby servicer for the portfolio in this transaction. (6) The quality and consistency of historical static pool data for DriveTime originations and performance of the DriveTime auto loan portfolio. (7) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with DriveTime, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the Noteholders' Monthly Accrued Interest and the related Note Balance. Notes: All figures are in U.S. dollars unless otherwise noted. BXP TRUST 2017-CC: DBRS Confirms BB(low) Rating on Class E Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-CC issued by BXP Trust 2017-CC as follows: -- Class A at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the current performance of the underlying collateral, which remains in line with Morningstar DBRS' expectations since the previous credit rating action in February 2025. The collateral property for the underlying loan continues to benefit from stable occupancy, with several tenants headquartered at the subject and minimal tenant rollover risk scheduled throughout 2026. The loan is secured by Colorado Center, an office park consisting of six Class A buildings totaling 1.2 million square feet (sf), and a three-level underground parking garage in the Media and Entertainment District of Santa Monica, California. The whole loan of $550.0 million consists of $298.0 million of senior debt and $252.0 million of subordinate debt. The subject transaction includes a $98.0 million pari passu portion of the senior debt and the entire subordinate debt amount. The 10-year, fixed-rate loan is interest-only (IO) for the full loan term with maturity in August 2027. The loan sponsors are Teachers Insurance and Annuity Association of America and Boston Properties Limited Partnership (BPLP). BPLP provides property management services. According to the most recent financials, the annualized net cash flow (NCF) for the trailing nine-month period ended September 30, 2025, was reported at $53.7 million, which has remained relatively unchanged in the last few years. The figure is above the Morningstar DBRS NCF of $43.8 million derived at closing. Based on the January 2026 loan level reserve report, there is currently $5.4 million held in tenant reserves. The property was 90.3% occupied as of September 2025, which has similarly remained relatively unchanged in recent years with the five largest tenants accounting for more than 80.0% of the net rentable area (NRA). All have five leases extend beyond the August 2027 loan maturity. This includes Hulu (29.8% of the NRA, lease expires in February 2029), Edmunds.com Inc. (16.6% of NRA, lease expires in January 2028), and Rubin Postaer and Associates (RPA; 15.9% of NRA, lease expires in June 2033). There has been a moderate amount of subleasing activity at the property, including Roku, Inc. (Roku), which subleases a portion of RPA's space (6.9% of NRA) that is co-terminus with its direct lease. Also, Kite Pharma (13.5% of NRA, lease expires July 2032), which occupies the entirety of Building D, has listed all its space as available for sublease. Morningstar DBRS has requested leasing details and terms of any potential subleases from the servicer. According to Reis, office properties in the Santa Monica submarket reported a vacancy rate of 24.9%, which is expected to decline to 22.2% by 2027. Despite the minimal tenant rollover risk, Hulu and Roku have termination options available, which can be exercised prior to loan maturity. It appears; however, that Hulu is ineligible to exercise its option at this time as a primary requirement of Hulu is that it must occupy the fourth and fifth floor of Building F, which has been vacant since HBO left. As for Roku, the tenant may terminate its lease on a portion of its space (45,000 sf, 3.9% of NRA) with notice to terminate its lease provided by December 2026. The tenant must also pay 50% of its $6.5 million termination fee upon providing notice with the remaining amount to be paid prior to or at the December 2027 termination date. The termination options, increased subleasing activity, and overall office landscape represent increased refinance risks prior to the August 2027 maturity date; however, Morningstar DBRS notes the mitigating factors including the property's premium quality, its position within the Santa Monica submarket, the ability to secure subleases, and the sponsor's commitment to the loan. In the analysis for this review, Morningstar DBRS maintained its valuation approach from the April 2024 review, which was based on the Morningstar DBRS NCF of $43.8 million and a capitalization rate of 7.25%. Morningstar DBRS also maintained positive qualitative adjustments to the loan-to-value ratio (LTV) sizing benchmarks, totaling 3.0% to reflect the substantial sponsor investment in the property and its location in a supply-constrained submarket. The Morningstar DBRS concluded value of $604.8 million represents a -50.1% variance from the issuance appraised value of $1.2 billion and implies an all-in LTV of 90.9%. Notes: All figures are in U.S. dollars unless otherwise noted. CFK TRUST 2019-FAX: DBRS Confirms BB(low) Rating on Class E Certs ----------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2019-FAX issued by CFK Trust 2019-FAX as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-A at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) The trends on Classes B, C, D, E, and X-A were changed to Positive from Stable. The trend on Class A is Stable. The credit rating confirmations and trend changes reflect the overall stable-to-improving performance of the underlying collateral, as evidenced by the year-over-year growth in net cash flow (NCF) and steady residential occupancy rates that have remained above 90% since issuance. The collateral for the loan, Fairfax Multifamily Portfolio, is composed of three cross-collateralized and cross-defaulted Class B+ multifamily properties totaling 870 units in Fairfax and Herndon, Virginia. At issuance, $11.0 million, or $12,800 per unit, was allocated for future renovations and upgrades, aimed at tapping potential upside in rental revenues. As of the January 2026 reporting, $1.5 million of future funding remains in a reserve account. According to the servicer, 143 units have been renovated since the transaction was issued. Renovated units have achieved a weighted-average (WA) rental premium of $305 when compared with unrenovated units. The $82.0 million trust loan consists of two senior notes ($15.0 million) and two junior notes ($67.0 million). In addition to the trust loan, five senior notes comprise a $70.0 million pari passu companion loan, a $25.0 million senior mezzanine loan, and a $20.0 million junior mezzanine loan, which are held outside of the trust. The loan is interest-only (IO) throughout its 10-year loan term and matures in January 2029. According to the financial reporting for the trailing 12-month (T-12) period ended September 30, 2025, the portfolio generated an NCF of $16.1 million (reflecting a debt service coverage ratio (DSCR) of 1.81 times (x)), a 4.5% and 41.2% increase from the YE2024 and Morningstar DBRS NCF figures of $15.3 million (a DSCR of 1.73x) and $11.4 million (a DSCR of 1.29x), respectively. The improvement in cash flow is primarily revenue driven given the increase in rental rates as renovated units are being turned over. Morningstar DBRS expects cash flow levels to stabilize in the near term as the borrower concludes its renovation plan and the remaining future funding is depleted. The September 2025 financials also reflect a whole-loan debt yield of 10.6%, an improvement from 7.5%, based on the Morningstar DBRS NCF. As of the September 2025 rent rolls, the portfolio's WA occupancy rate was 95.0%, in line with historical averages. WA rental rates have increased with the September 2025 rent rolls reflecting a figure of $2,337 per unit, a slight increase from the September 2024 figure of $2,308 per unit and 29.8% above the average rental rate of $1,801 per unit at issuance. By comparison, the Q3 2025 Western Fairfax submarket average asking rental rate was $2,401 per unit with an average vacancy rate of 5.3%, according to Reis, Inc. When including the 248 units that had been upgraded prior to acquisition, the total number of renovated units totals 391 (representing 44.9% of the portfolio). As outlined above, rental premiums for renovated units have increased considerably, with a WA figure of $305 per unit, up from the average rental premium of $126 per unit for renovated units leased prior to 2019. As part of the analysis for this review, Morningstar DBRS analyzed the collateral under both a base-case and stressed scenario to evaluate the potential for credit rating upgrades given the overall healthy performance of the underlying collateral, as evidenced by the sustained increase in cash flow from issuance. In both scenarios, a 6.75% capitalization rate was applied and a nominal credit was considered for the remaining renovation reserve amount. The base-case scenario considered a standard surveillance haircut to the NCF for the T-12 period ended September 30, 2025, resulting in a base-case Morningstar DBRS Value of $234.9 million (loan-to-value ratio (LTV) of 64.7%) representing a variance of -6.6% from the appraised value at issuance of $251.5 million. In the stressed scenario, which included a 20% haircut to the NCF for the T-12 period ended September 30, 2025, Morningstar DBRS derived a value of $192.0 million (LTV of 79.2%), a -23.6% variance from the appraised value at issuance and a 4.8% variance from the Morningstar DBRS Value derived at issuance. The LTV sizing benchmarks resulting from the stressed analysis indicated that credit rating upgrades were not warranted. However, should cash flow continue to trend upward, Morningstar DBRS notes that credit rating upgrades may be warranted in the future, as suggested by the Positive trends. Morningstar DBRS maintained positive qualitative adjustments totaling 2.5% to reflect the low cash flow volatility and healthy market fundamentals. The Morningstar DBRS credit ratings assigned to Classes B, C, D, and E are lower than the results implied by the LTV sizing benchmarks. These variances are warranted given that renovation work remains to be completed across the portfolio, with cash flow levels yet to stabilize. In addition, the upgrade stress analysis Morningstar DBRS considered did not support credit rating upgrades for the classes in question. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2026-1: DBRS Gives Prov. B(low) Rating on B5 Certs ------------------------------------------------------------- DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-1 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2026-1: -- $600.8 million Class A-1 at (P) AAA (sf) -- $375.5 million Class A-2 at (P) AAA (sf) -- $375.5 million Class A-3 at (P) AAA (sf) -- $375.5 million Class A-3-A at (P) AAA (sf) -- $375.5 million Class A-3-X1 at (P) AAA (sf) -- $375.5 million Class A-3-X2 at (P) AAA (sf) -- $375.5 million Class A-3-X3 at (P) AAA (sf) -- $281.6 million Class A-4 at (P) AAA (sf) -- $281.6 million Class A-4-A at (P) AAA (sf) -- $281.6 million Class A-4-B at (P) AAA (sf) -- $281.6 million Class A-4-X1 at (P) AAA (sf) -- $281.6 million Class A-4-X2 at (P) AAA (sf) -- $281.6 million Class A-4-X3 at (P) AAA (sf) -- $93.9 million Class A-5 at (P) AAA (sf) -- $93.9 million Class A-5-A at (P) AAA (sf) -- $93.9 million Class A-5-B at (P) AAA (sf) -- $93.9 million Class A-5-X1 at (P) AAA (sf) -- $93.9 million Class A-5-X2 at (P) AAA (sf) -- $93.9 million Class A-5-X3 at (P) AAA (sf) -- $225.3 million Class A-6 at (P) AAA (sf) -- $225.3 million Class A-6-A at (P) AAA (sf) -- $225.3 million Class A-6-B at (P) AAA (sf) -- $225.3 million Class A-6-X1 at (P) AAA (sf) -- $225.3 million Class A-6-X2 at (P) AAA (sf) -- $225.3 million Class A-6-X3 at (P) AAA (sf) -- $150.2 million Class A-7 at (P) AAA (sf) -- $150.2 million Class A-7-A at (P) AAA (sf) -- $150.2 million Class A-7-B at (P) AAA (sf) -- $150.2 million Class A-7-X1 at (P) AAA (sf) -- $150.2 million Class A-7-X2 at (P) AAA (sf) -- $150.2 million Class A-7-X3 at (P) AAA (sf) -- $56.3 million Class A-8 at (P) AAA (sf) -- $56.3 million Class A-8-A at (P) AAA (sf) -- $56.3 million Class A-8-B at (P) AAA (sf) -- $56.3 million Class A-8-X1 at (P) AAA (sf) -- $56.3 million Class A-8-X2 at (P) AAA (sf) -- $56.3 million Class A-8-X3 at (P) AAA (sf) -- $70.0 million Class A-9 at (P) AAA (sf) -- $70.0 million Class A-9-A at (P) AAA (sf) -- $70.0 million Class A-9-B at (P) AAA (sf) -- $70.0 million Class A-9-X1 at (P) AAA (sf) -- $70.0 million Class A-9-X2 at (P) AAA (sf) -- $70.0 million Class A-9-X3 at (P) AAA (sf) -- $150.2 million Class A-10 at (P) AAA (sf) -- $150.2 million Class A-10-A at (P) AAA (sf) -- $150.2 million Class A-10-B at (P) AAA (sf) -- $150.2 million Class A-10-X1 at (P) AAA (sf) -- $150.2 million Class A-10-X2 at (P) AAA (sf) -- $150.2 million Class A-10-X3 at (P) AAA (sf) -- $225.3 million Class A-11 at (P) AAA (sf) -- $225.3 million Class A-11-X at (P) AAA (sf) -- $225.3 million Class A-12 at (P) AAA (sf) -- $225.3 million Class A-13 at (P) AAA (sf) -- $225.3 million Class A-13-X at (P) AAA (sf) -- $225.3 million Class A-14 at (P) AAA (sf) -- $225.3 million Class A-14-X at (P) AAA (sf) -- $225.3 million Class A-14-X2 at (P) AAA (sf) -- $225.3 million Class A-14-X3 at (P) AAA (sf) -- $225.3 million Class A-14-X4 at (P) AAA (sf) -- $75.1 million Class A-15 at (P) AAA (sf) -- $75.1 million Class A-15-A at (P) AAA (sf) -- $75.1 million Class A-15-B at (P) AAA (sf) -- $75.1 million Class A-15-X1 at (P) AAA (sf) -- $75.1 million Class A-15-X2 at (P) AAA (sf) -- $75.1 million Class A-15-X3 at (P) AAA (sf) -- $75.1 million Class A-16 at (P) AAA (sf) -- $75.1 million Class A-16-A at (P) AAA (sf) -- $75.1 million Class A-16-B at (P) AAA (sf) -- $75.1 million Class A-16-X1 at (P) AAA (sf) -- $75.1 million Class A-16-X2 at (P) AAA (sf) -- $75.1 million Class A-16-X3 at (P) AAA (sf) -- $75.1 million Class A-17 at (P) AAA (sf) -- $75.1 million Class A-17-A at (P) AAA (sf) -- $75.1 million Class A-17-B at (P) AAA (sf) -- $75.1 million Class A-17-X1 at (P) AAA (sf) -- $75.1 million Class A-17-X2 at (P) AAA (sf) -- $75.1 million Class A-17-X3 at (P) AAA (sf) -- $131.4 million Class A-18 at (P) AAA (sf) -- $131.4 million Class A-18-A at (P) AAA (sf) -- $131.4 million Class A-18-B at (P) AAA (sf) -- $131.4 million Class A-18-X1 at (P) AAA (sf) -- $131.4 million Class A-18-X2 at (P) AAA (sf) -- $131.4 million Class A-18-X3 at (P) AAA (sf) -- $670.8 million Class A-X-1 at (P) AAA (sf) -- $14.8 million Class B-1 at (P) AA (low) (sf) -- $14.8 million Class B-1-A at (P) AA (low) (sf) -- $14.8 million Class B-1-X at (P) AA (low) (sf) -- $8.8 million Class B-2 at (P) A (low) (sf) -- $8.8 million Class B-2-A at (P) A (low) (sf) -- $8.8 million Class B-2-X at (P) A (low) (sf) -- $5.3 million Class B-3 at (P) BBB (low) (sf) -- $3.5 million Class B-4 at (P) BB (low) (sf) -- $1.8 million Class B-5 at (P) B (low) (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12, A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17, A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-1, A-2, A-3, A-3-A, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A and A-18-B are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9, A-9-A, A-9-B) regarding loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 5.10% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.00%, 1.75%, 1.00%, 0.50%, and 0.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 626 loans with a total principal balance of $744,021,880 as of the Cut-Off Date (January 1, 2026). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 15 to 30 years and a weighted-average (WA) loan age of three months. They are traditional, prime jumbo mortgage loans. Approximately 49.9% of the loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as the Securities Administrator. U.S. Bank Trust National Association will act as the Delaware Trustee. JPMCB will act as the Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The Sponsor (JPMCB) will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing not less than 5.0% of the initial Class Principal Amount of each class of Certificates (other than the Class A-R Certificates) to satisfy the EU/UK Risk Retention requirements under Article 6(3) of PRASR and Chapter 4 of SECN 5 of the UK Securitization Framework and Article 6(4) of the EU Securitization Regulation. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2026-1: Fitch Assigns 'B-sf' Rating on Class B5 Certs ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2026-1 (Chase 2026-1). Entity/Debt Rating Prior ----------- ------ ----- Chase 2026-1 A1 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A10A LT AAAsf New Rating AAA(EXP)sf A10B LT AAAsf New Rating AAA(EXP)sf A10X1 LT AAAsf New Rating AAA(EXP)sf A10X2 LT AAAsf New Rating AAA(EXP)sf A10X3 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A11X LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A13X LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A14X LT AAAsf New Rating AAA(EXP)sf A14X2 LT AAAsf New Rating AAA(EXP)sf A14X3 LT AAAsf New Rating AAA(EXP)sf A14X4 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A15A LT AAAsf New Rating AAA(EXP)sf A15B LT AAAsf New Rating AAA(EXP)sf A15X1 LT AAAsf New Rating AAA(EXP)sf A15X2 LT AAAsf New Rating AAA(EXP)sf A15X3 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A16A LT AAAsf New Rating AAA(EXP)sf A16B LT AAAsf New Rating AAA(EXP)sf A16X1 LT AAAsf New Rating AAA(EXP)sf A16X2 LT AAAsf New Rating AAA(EXP)sf A16X3 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A17A LT AAAsf New Rating AAA(EXP)sf A17B LT AAAsf New Rating AAA(EXP)sf A17X1 LT AAAsf New Rating AAA(EXP)sf A17X2 LT AAAsf New Rating AAA(EXP)sf A17X3 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A18A LT AAAsf New Rating AAA(EXP)sf A18B LT AAAsf New Rating AAA(EXP)sf A18X1 LT AAAsf New Rating AAA(EXP)sf A18X2 LT AAAsf New Rating AAA(EXP)sf A18X3 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A3A LT AAAsf New Rating AAA(EXP)sf A3X1 LT AAAsf New Rating AAA(EXP)sf A3X2 LT AAAsf New Rating AAA(EXP)sf A3X3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A4A LT AAAsf New Rating AAA(EXP)sf A4B LT AAAsf New Rating AAA(EXP)sf A4X1 LT AAAsf New Rating AAA(EXP)sf A4X2 LT AAAsf New Rating AAA(EXP)sf A4X3 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A5A LT AAAsf New Rating AAA(EXP)sf A5B LT AAAsf New Rating AAA(EXP)sf A5X1 LT AAAsf New Rating AAA(EXP)sf A5X2 LT AAAsf New Rating AAA(EXP)sf A5X3 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A6A LT AAAsf New Rating AAA(EXP)sf A6B LT AAAsf New Rating AAA(EXP)sf A6X1 LT AAAsf New Rating AAA(EXP)sf A6X2 LT AAAsf New Rating AAA(EXP)sf A6X3 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7A LT AAAsf New Rating AAA(EXP)sf A7B LT AAAsf New Rating AAA(EXP)sf A7X1 LT AAAsf New Rating AAA(EXP)sf A7X2 LT AAAsf New Rating AAA(EXP)sf A7X3 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A8A LT AAAsf New Rating AAA(EXP)sf A8B LT AAAsf New Rating AAA(EXP)sf A8X1 LT AAAsf New Rating AAA(EXP)sf A8X2 LT AAAsf New Rating AAA(EXP)sf A8X3 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A9A LT AAAsf New Rating AAA(EXP)sf A9B LT AAAsf New Rating AAA(EXP)sf A9X1 LT AAAsf New Rating AAA(EXP)sf A9X2 LT AAAsf New Rating AAA(EXP)sf A9X3 LT AAAsf New Rating AAA(EXP)sf AX1 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B1A LT AA-sf New Rating AA-(EXP)sf B1X LT AA-sf New Rating AA-(EXP)sf B2 LT A-sf New Rating A-(EXP)sf B2A LT A-sf New Rating A-(EXP)sf B2X LT A-sf New Rating A-(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT BB-sf New Rating BB-(EXP)sf B5 LT B-sf New Rating B-(EXP)sf B6 LT NRsf New Rating NR(EXP)sf RR LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 626 loans with a scheduled balance of $744.02 million as of the cutoff date. The closing date is Jan. 30, 2026. The pool consists of prime-quality, fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The pool's collateral quality is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or are floating rate or inverse floating rate based off the SOFR index and capped at the net WAC. KEY RATING DRIVERS Credit Risk of High-Quality Prime Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess credit risk and expected losses. The pool is comprised of high-quality prime loans with a weighted average (WA) FICO score of 771, a WA combined loan-to-value ratio (CLTV) of 74.95% and a WA debt-to-income (DTI) ratio of 34.52%. The WA liquid reserves are $788,055.49. These strong collateral attributes are reflected in Fitch's loss analysis. Chase 2026-1 has a final PD of 10.00% in the 'AAA' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 36.41%. The expected loss in the 'AAAsf' rating stress is 3.64%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in Chase 2026-1 are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The CE or senior subordination floor of 0.65% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 0.55% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the non-retained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent principal and interest (P&I) until deemed non-recoverable. As a result, the loss severity was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyzes the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating loss projections derived from Fitch's asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 49.32% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm that have a final 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. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects Chase 2026-1 to be a fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Positive): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Chase 2026-1 and therefore Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how 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 37.60% 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 Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC and Opus. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. The third-party review was conducted on 49.32% of the pool. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B." DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 49.32% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC and Opus 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. Please refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the Resi PLS data layout format, and the data provided was considered comprehensive. The data contained in the Resi PLS layout data tape were reviewed by the due diligence companies, 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. CITIGROUP 2015-GC29: Fitch Affirms CCC Ratings on 2 Tranches ------------------------------------------------------------ Fitch Ratings has affirmed eight classes of Citigroup Commercial Mortgage Trust 2015-GC29 commercial mortgage pass-through certificates (CGCMT 2015-GC29). The Outlook for four classes remains Negative. Fitch has also affirmed four classes of GS Mortgage Securities Trust 2015-GC32 commercial mortgage pass-through certificates (GSMS 2015-GC32). The Outlooks for two of the affirmed classes were revised to Stable from Negative. The Outlook for two classes remains Negative. Fitch also affirmed four classes of Citigroup Commercial Mortgage Trust Series 2015-P1 commercial mortgage pass-through certificates (CGCMT 2015-P1). The Outlooks for two of the affirmed classes were revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2015-GC29 B 17323VBD6 LT AA-sf Affirmed AA-sf C 17323VBE4 LT BBB-sf Affirmed BBB-sf D 17323VAA3 LT CCCsf Affirmed CCCsf E 17323VAC9 LT CCsf Affirmed CCsf F 17323VAE5 LT Csf Affirmed Csf PEZ 17323VBH7 LT BBB-sf Affirmed BBB-sf X-B 17323VBG9 LT AA-sf Affirmed AA-sf X-D 17323VAL9 LT CCCsf Affirmed CCCsf GSMS 2015-GC32 D 36250PAM7 LT BBB-sf Affirmed BBB-sf E 36250PAP0 LT BBsf Affirmed BBsf F 36250PAR6 LT B-sf Affirmed B-sf X-D 36250PAN5 LT BBB-sf Affirmed BBB-sf CGCMT 2015-P1 D 17324DAA2 LT BB-sf Affirmed BB-sf E 17324DAE4 LT CCCsf Affirmed CCCsf F 17324DAG9 LT CCsf Affirmed CCsf X-D 17324DAL8 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations; Pool Concentration: The deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 33.9% in CGCMT 2015-GC29, 26.5% in GSMS 2015-GC32, and 42.0% in CGCMT 2015-P1, up from 16.5%, 5.7%, and 9.1%, respectively. Expected losses have increased primarily due to the concentration of the remaining pools. The CGCMT 2015-GC29 transaction has four Fitch Loans of Concern (FLOCs; 100% of the pool), all of which are in special servicing. The GSMS 2015-GC32 transaction has six FLOCs (100%), all of which are also in special servicing. The CGCMT 2015-P1 transaction has one remaining loan that is a FLOC (100%). The affirmations in all three transactions reflect loss expectations in-line with Fitch's prior rating actions. The Negative Outlooks in the CGCMT 2015-GC29 are driven by the increased risk of the Selig Office Portfolio (51.9% of the pool) and continued elevated expected loss from Parkchester Commercial (21.9%), 170 Broadway (18.6%), and 400 Plaza Drive (7.6%). The Outlook revision for classes D and X-D to Stable from Negative in the GSMS 2015-GC32 reflects the substantial credit support to the class and limited recoveries required to repay the class in full. Since the prior review, this transaction has received approximately $636 million in repayments. The Negative Outlooks in the GSMS 2015-GC32 transaction continues to reflect the increased risk from the remaining loans in the pool, all of which are in special servicing, primarily Selig Office Portfolio (32.4% of the pool), Shops at 69th Street (12.4%), and Hilton Garden Inn Pittsburgh/Southpointe (34.3%). One loan remains in the CGCMT 2015-P1 transaction, the Decoration and Design Building loan, which is scheduled to mature in May 2026. The Outlook revision for classes D and X-D to Stable from Negative reflects the substantial credit support to the class, limited recovery required to repay the class in full and expectation that the class continues to paydown from scheduled amortization. Since the last review, the transaction has received approximately $800 million in repayments. Of these loans, $150 million of loans were expected to remain outstanding in the pool given lower performance metrics, however, were able to refinance/repay earlier than anticipated. Because of the high concentration of FLOCs and specially serviced loans that could not refinance or pay off at maturity, as well as adverse selection, in all three transactions Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their status and collateral quality, then ranked them by perceived likelihood of repayment and loss expectation. Largest Contributors to Loss: The largest contributor to overall loss expectations in both CGCMT 2015-GC29 and GSMS 2015-GC32 is the Selig Portfolio loan, secured by a 1,631,457-sf office portfolio consisting of nine buildings in Seattle, WA. The portfolio consists of older inventory built between 1971 and 1986. The loan transferred to special servicing in November 2024 for imminent balloon/maturity default. The loan is interest-only and is past its scheduled April 2025 maturity date. The largest tenants in the portfolio include Washington State Ferries (5.4% of NRA through August 2030), ZipWhip (4.6%; October 2029) and City of Seattle (2.3%; October 2034). As of October 2025, the occupancy for the portfolio was 57.3%, down from 67% in September 2024, 77% at YE 2023, 79% at YE 2022, 84% at YE 2021, 93% at YE 2020 and 95% at YE 2019. There is 7.5% of the NRA scheduled to roll in 2026 and 5.0% in 2027. The servicer-reported NOI DSCR as of 2Q25 was 1.71x, compared to 1.89x at YE 2024, 2.27x at YE 2023, 2.22x at YE 2022, 2.40x at YE 2021, 2.64x at YE 2020 and 2.35x at YE 2019. According to servicer commentary, the forbearance had been in place through Jan. 6, 2026. The borrower has requested a loan extension to provide additional time to complete critical leasing and pursue a subsequent portfolio refinance. Discussions remain ongoing. The performance fundamentals of the Seattle Central Business District submarket have weakened in recent years. According to CoStar, the office submarket asking rent was $35.59 psf and the vacancy rate was 31.3% as of 1Q26, compared with the subject property at $33 psf and 43%, respectively, as of 4Q25. Fitch's 'Bsf' rating case loss of 32.4% (prior to concentration add-ons) reflects a 10.5% cap rate, 25% stress to the YE 2024 net operating income (NOI) and factors a higher probability of default to account for the defaulted status of the loan, low occupancy, and weak submarket fundamentals. The second-largest contributor to overall loss expectations in CGCMT 2015-GC29 is the 170 Broadway loan, secured by a 16,135-sf retail condo in New York, NY. The property was built in 1920 and renovated in 2014, after the borrower acquired the vacant retail condo for $70.1 million in December 2013. The loan transferred to special servicing in December 2024 for imminent default as the Borrower indicated it would be unable to refinance or repay its debt in full at maturity. The loan matured in April 2025. The property has been fully occupied by The Gap since issuance, with a February 2030 lease expiration. In 2015 rent started at $263 psf with 3% annual escalations each March. As of the October 2025 rent roll, The Gap was paying $360 psf. A receiver was appointed in October 2025 and the lender also filed for foreclosure. The Gap continues to pay its agreed upon rent and the loan remains current through its January 2026 loan payment. The servicer-reported NOI DSCR was 1.27x at YE 2024, 1.23x at YE 2023, 1.25x at YE 2022, and 1.23x at YE 2021. Fitch's 'Bsf' rating case loss of 36.6% (prior to concentration add-ons) reflects a 9.25% cap rate, 10% stress to the YE 2024 NOI and factors a higher probability of default to reflect the maturity default. The third-largest contributor to overall loss expectations in CGCMT 2015-GC29 is the Parkchester Commercial loan, secured by a 541,232-sf, mixed-use retail/office property in the Bronx. The loan transferred to special servicing in March 2025 at its initial scheduled maturity date. Since then, the loan term has been extended by 42 months until September 2028. The loan is expected to return to the master servicer in 2Q26 and is paid through January 2026. Major tenants at the property include Macy's (31.5% of NRA through March 2029) and Marshall's (4.5%; October 2029). Property-level NOI has been declining since issuance primarily due to higher expenses, along with a decline in occupancy in recent years. The servicer-reported NOI DSCR of Q3 2025 was 0.42x, compared to 0.55x at Q3 2024, 0.64x at YE 2023, 1.20x at YE 2022, 0.84x at YE 2021, 1.31x at YE 2020, and 1.14x at YE 2019. Occupancy per the November 2025 rent roll was 69.3%, compared to 77% in September 2024, 70% at YE 2023, down from 90% at September 2022, 89% at December 2021, 93% at December 2020 and 93% at issuance. Occupancy has remained depressed since Liberty Chevrolet (12.5% of the NRA) vacated at its November 2022 lease expiration, along with several other smaller tenants. Near-term rollover is minimal, with 5.6% of the NRA scheduled to expire in 2026. Fitch's 'Bsf' rating case loss of 22.4% (prior to concentration add-ons) reflects a 9% cap rate, 7.5% stress to YE 2023 NOI. The second-largest contributor to overall loss expectations in GSMS 2015-GC32 is the Shops at 69th Street loan, secured by a 128,149-sf mixed use property located in Upper Darby, PA. The loan transferred to special servicing in May 2025, ahead of its scheduled July 2025 maturity date. The largest tenant Delaware County Services (41.9% of NRA) vacated the property upon its July 2025 lease expiration. Remaining larger tenants include Fashion Gallery (15.5%; January 2027) and Old Navy (9.5%; August 2027). Per the March 2025 rent roll, the property was 61.7% occupied, however, with the loss of the largest tenant, the property is now 19.6% occupied, down from 71% at YE 2024. Occupancy had previously declined when the Harris School of Business, formerly occupying 25% of the NRA, vacated at the end of 2020, and had not recovered. The servicer-reported NOI DSCR remains low at 0.84x at Q1 2025, compared to 0.55x at YE 2024, 0.58x at YE 2023, 0.82x at YE 2022, 0.94x at YE 2021 and 1.10x at YE 2020. Fitch's 'Bsf' rating case loss of 49.8% (prior to concentration add-ons) considers a stress to the most recent appraisal value, reflecting a stressed value of $38 psf. The third-largest contributor to overall loss expectations in GSMS 2015-GC32 is the Hilton Garden Inn Pittsburgh/Southpointe loan, which is secured by a 175-key, limited-service hotel in Canonsburg, PA. The loan previously transferred to special servicing in June 2020. A loan modification closed in July 2021, and the loan was subsequently returned to the master servicer. The loan returned to special servicing in May 2025, ahead of its scheduled July 2025 maturity date. The servicer-reported occupancy for the TTM October 2025 was 48%, compared to 49% in July 2024, 42.9% in October 2023, and 59% at YE 2019. The servicer-reported NOI DSCR for the TTM July 2024 was 0.81x, compared to 0.66x in October 2023, and 1.31x at YE 2019. Despite the low DSCR, the loan has remained current through the January 2026 payment. Fitch's 'Bsf' rating case loss of 16.7% (prior to concentration add-ons) considers a stress to the most recent appraisal value, reflecting a stressed value of $126k-per key. The remaining loan in CGCMT 2015-P1 is the Decoration and Design Building loan, secured by the leasehold interest in a 588,512-sf office property located in Midtown Manhattan. The loan was flagged as a FLOC due to declining property occupancy, upcoming rollover, escalating ground rent payment and anticipated refinance risk. Fitch anticipates significant refinance challenges at its May 2026 maturity, given the property's weaker occupancy and uncertainty regarding the sponsor's capacity to support the asset amid concerns across the sponsor's broader portfolio. The property is subject to a ground lease. The lease, which had expired in December 2023, was extended for 25 years through 2049. The ground rent was reset based upon the greater of the prior year's payment or 6% of the unencumbered land value. Per the updated schedule provided by the servicer, the ground rent payments commence at $5.75 million in the first year and escalates to $10.5 million by year 12 and $14.5 million by year 25. There is one additional ground lease extension option for 15 years through 2064. Per the June 2025 rent roll, the property was 65.5% occupied, compared to 62.1% in September 2024, 65% at YE 2023, 66% at YE 2022, 77% at YE 2021, 83% at YE 2020 and 87% at YE 2019. Current major tenants are Stark Carpet (6.3% of the NRA through November 2034), Holly Refining and Marketing (3.2%; March 2027) and F. Schumacher (3.1%; December 2029). Upcoming rollover includes 12.1% of the NRA in 2026. Fitch's 'Bsf' rating case loss of 39.4% (prior to concentration add-ons) reflects a 13% cap rate and considers a higher ground rent figure using the annualized Q2 2025 NOI. Fitch also factored a high probability of default due to expected refinance concerns. Increased CE: As of the January 2026 distribution date, the pool's aggregate balance for CGCMT 2015-GC29 reduced by 78.5% to $240.7 million from $1.1 billion at issuance. One loan (52%) is full-term interest-only (IO), and the remaining three loans (48%) is amortizing. All loans are past the scheduled 2025 maturity dates. As of the January 2026 distribution date, the pool's aggregate balance for GSMS 2015-GC32 has been reduced by 92.3% to $77.2 million from $1.0 billion at issuance. One loan (32%) is full-term IO, and the remaining five loans (68%) is amortizing. All loans are past the scheduled 2025 maturity dates. As of the January 2026 distribution date, the pool's aggregate balance for CGCMT 2015-P1 has been reduced by 91.6% to $91.6 million from $1.1 billion at issuance. The one remaining loan is amortizing. The loan has an upcoming scheduled maturity date in May 2026. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAsf' categories may occur with higher-than-expected losses on the FLOCs/specially serviced loans, including Selig Office Portfolio, Parkchester Commercial, 170 Broadway, and 400 Plaza Drive in CGCMT 2015-GC29 and with limited to no improvement in CE for these classes; - Downgrades to the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, including Selig Office Portfolio, Parkchester Commercial, 170 Broadway, and 400 Plaza Drive in CGCMT 2015-GC29, and Hilton Garden Inn Pittsburgh, Selig Office Portfolio, Shops at 69th Street in GSMS 2015-GC32, and The Decoration and Design Building in CGCMT 2015-P1, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs; - Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur should additional loans transfer to special servicing and/or default, as losses be realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated in the 'AAsf' category may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs including Selig Office Portfolio, Parkchester Commercial, 170 Broadway, and 400 Plaza Drive in CGCMT 2015-GC29; - Upgrades to the 'BBBsf' category rated classes would be limited, based on increasing pool concentration. Classes would not be upgraded above 'AA+sf' if there is a likelihood of interest shortfalls; - Upgrades to 'BBsf' and 'Bsf' category-rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs including Selig Office Portfolio, Parkchester Commercial, 170 Broadway, and 400 Plaza Drive in CGCMT 2015-GC29, and Hilton Garden Inn Pittsburgh, Selig Office Portfolio, Shops at 69th Street in GSMS 2015-GC32, and The Decoration and Design Building in CGCMT 2015-P1, are better than expected, and there is sufficient CE to the classes; - Upgrades to 'CCCsf', 'CCsf' and 'Csf' rated 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. CITIGROUP 2015-GC31: DBRS Confirms CCC Rating on 2 Classes ---------------------------------------------------------- DBRS, Inc. downgraded the credit rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2015-GC31 issued by Citigroup Commercial Mortgage Trust 2015-GC31 as follows: -- Class A-4 to CCC (sf) from AAA (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-S at CCC (sf) -- Class B at C (sf) -- Class C at C (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class X-A at CCC (sf) -- Class PEZ at C (sf) All rated classes have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) transactions. Morningstar DBRS removed Class A-4 from Under Review with Negative Implications after placing it under review on November 13, 2025, because of the risk of increasing interest shortfalls, which had reached the Class A-S certificate as of the October 2025 remittance. As of the January 2026 reporting, interest has now been shorted for the entire bond stack, with shortfalls outstanding on the Class A-4 certificate for two periods. Morningstar DBRS has no shortfall tolerance at the AAA rating category and expects shortfalls to persist for an unknown period, supporting the credit rating downgrade to CCC (sf) with this review. It is noteworthy that Morningstar DBRS' liquidated loss estimates in the analysis for this review show a full recovery for the Class A-4 certificate; the servicer appears to be maintaining a conservative approach to advancing given the deal's wind-down status, with significant exposure to defaulted loans secured by office property types. As of the January 2026 remittance, cumulative interest shortfalls totaled $10.5 million, increasing from $8.5 million in October 2025. The servicer continues to allocate all received interest toward fees, including trust fund expenses in the amount of $211,995 reported for January 2026. These allocations are being made in accordance with the payment priority outlined in the issuance documents. Morningstar DBRS reached out to the servicer for additional color on the source of the fees but received no response. As the five remaining loans are all past their originally scheduled maturities, reporting delinquent, and have limited updates regarding their disposition plans, Morningstar DBRS expects disposition timelines to extend and shortfalls to persist. Morningstar DBRS maintained liquidation scenarios for all five remaining loans, with total projected cumulative losses at $131.5 million. Of the five, three loans representing 65.7% of the pool have been deemed nonrecoverable; however, the servicer continues to advance on the Selig Office Portfolio (Prospectus ID#2; 32.0% of the current pool balance) and Walgreens-Smithfield (Prospectus ID#34, 2.3% of the current pool balance) loans. The largest loan in the pool, 135 South LaSalle (Prospectus ID#1; 44.4% of the current pool balance), is secured by a Class A office property commonly known as the Field Building in Chicago's central business district. The loan transferred to special servicing in November 2021 after the loss of a major tenant, Bank of America. The subject property was selected as one of five finalists for the LaSalle Corridor Revitalization project, which is geared toward transforming dated office space into residential housing. Since the last credit rating action in May 2025, the redevelopment plans have been approved, with $98.0 million of public financing secured. While the future redevelopment is promising, the timing and extent to which funding will be available remains unclear. Notably, the servicer has extended the loan's maturity date to May 2030. An appraisal dated November 2024 valued the subject at $44.5 million, and in the liquidation scenario considered for this review, Morningstar DBRS assumed a 30% haircut to the November 2024 appraised value, which resulted in a projected loss severity of more than 75.0% or approximately $77 million. The second-largest loan in special servicing is the Selig Office Portfolio, which is secured by a portfolio of nine office buildings totaling 1.6 million square feet throughout Seattle. The subject loan of $72.0 million represents a pari passu portion of a $379.1 million whole loan, with the additional senior notes secured in the Morningstar DBRS-rated BMARK 2021-B23 and GSMS 2015-GC30 transactions and the non-Morningstar DBRS-rated CGCMT 2015-GC29 and GSMS 2015-GC32 transactions. The loan transferred to the special servicer in late 2024 for imminent default on the April 2025 maturity. According to the most recent servicer commentary, the borrower and special servicer are discussing a potential loan extension; however, nothing has been finalized. Occupancy has been declining in recent years and was most recently reported at 63.0% in June 2025, compared with the issuance occupancy rate of 92.3%. According to Q2 2025 reporting, the loan reported a debt service coverage ratio of 1.59 times (x) below the issuance figure of 2.22x. In August 2025, an updated appraisal valued the portfolio at $341.2 million, nearly half of the 2020 appraised value of $741.0 million. Morningstar DBRS applied a 25.0% haircut to the August 2025 value in the liquidation analysis, resulting in a $255.9 million value and loss severity approaching 40.0%. Notes: All figures are in U.S. dollars unless otherwise noted. COLT 2026-1: Fitch Assigns 'Bsf' Final Rating on Class B2 Debt -------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by COLT 2026-1 Mortgage Loan Trust (COLT 2026-1). RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- COLT 2026-1 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1F LT AAAsf New Rating AAA(EXP)sf A1FCF LT WDsf Withdrawn AAA(EXP)sf A1FCFX LT WDsf Withdrawn AAA(EXP)sf A1IO LT AAAsf New Rating AAA(EXP)sf A1LCF LT WDsf Withdrawn AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf AIOS LT NRsf New Rating NR(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 M1 LT BBBsf New Rating BBB(EXP)sf R LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 676 nonprime loans with a total balance of approximately $384.8 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 currently being 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 737 and 33.3% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 71.3% mark-to-market combined LTV (cLTV). Overall, 45.0% of the pool loans are for primary residences, while the remainder are second homes or investment properties. In addition, 100% of the loans are clean and current. Since the publication of the presale and expected ratings, the issuer provided final documentation that reflected the withdrawal of three classes: A-1FCF, A-1FCX, and A-1LCF. The issuer also provided a corresponding pricing structure reflecting updated balances and all classes from the A-1A to the B-2 with coupon decreases ranging between 16 bps and 28 bps, increasing the WA excess spread to 185 bps (a 39-bp increase from the previous 146 bps of WA excess). There were no changes to the credit enhancement and these changes have no effect on previous rating recommendations. The A-1FCF, A-1FCX, and A-1LCF classes are no longer being issued and were cancelled by the issuer. These notes previously had expected ratings of 'AAAsf(EXP)'/Stable. 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 2026-1 has a final probability of default (PD) of 47.9% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 41.7%. The expected loss in the 'AAAsf' rating stress is 20.0%. Structural Analysis: The mortgage cash flow and loss allocation in COLT 2026-1 are based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior certificates (A-1A, A-1B, 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 and 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 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements 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. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. COLT 2026-1 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 COLT 2026-1; 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 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. 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. COMM 2014-UBS5: DBRS Confirms C Rating on 3 Cert. Classes --------------------------------------------------------- DBRS Limited downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2014-UBS5 issued by COMM 2014-UBS5 Mortgage Trust as follows: -- Class X-B1 to AA (low) (sf) from AA (high) (sf) -- Class B to A (high) (sf) from AA (sf) -- Class C to CCC (sf) from BBB (sf) -- Class PEZ to CCC (sf) from BBB (sf) In addition, Morningstar DBRS confirmed its credit ratings on the remaining classes as follows: -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class X-B2 at C (sf) Morningstar DBRS changed the trends on Classes X-B1 and B to Negative from Stable. The trends on Classes A-M and X-A are Stable, whereas Classes C, PEZ, D, E, and X-B2 have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades on the Class PEZ and C certificates reflect accruing interest shortfalls that, as of the January 2025 remittance, total $12.6 million. Class C has been accruing interest since November 2025 and has reached the maximum Morningstar DBRS shortfall tolerance of three to four remittance periods for the BBB (sf) credit rating category, thereby supporting the credit rating downgrade to CCC (sf). Morningstar DBRS expects that interest shortfalls will continue to accrue given that there are only 11 loans remaining in the pool, eight of which (68.0% of the current pool balance) are in special servicing and five of these (39.8% of the current pool balance) have been deemed nonrecoverable. In addition, the pool's two largest loans, Summit Rancho Bernardo (Prospectus ID#4; 16.0% of the pool balance) and Quakerbridge (Prospectus ID#8; 13.5% of the pool balance), failed to repay at their stated maturity dates in 2024. Those loans have been granted maturity extensions through to September 2026 and were returned to the master servicer. Although the Class B certificate remains well insulated from loss and continues to receive full interest due, Morningstar DBRS remains concerned about the timing around the disposition of the remaining assets. Should the aforementioned loans fail to repay at maturity and/or should the as-is values for the underlying collateral backing the specially serviced loans deteriorate further, the Class B certificate may be more susceptible to interest shortfalls as a result of accumulating appraisal subordination entitlement reduction amounts, outstanding advances, and other expenses/fees. These factors form Morningstar DBRS' primary rationale for the credit rating downgrades and the Negative trends assigned to the Class X-B1 and B certificates with this review. The credit rating confirmations reflect Morningstar DBRS' overall outlook and loss expectations for the transaction. As the pool continues to wind down, Morningstar DBRS conducted a recoverability analysis for the remaining loans, the results of which suggest that, even in a conservative scenario, realized losses would be contained to the Class D certificate. To date, the trust has incurred losses (including nonrecoverable advances from principal) of more than $55.0 million, depleting approximately 70.0% of the nonrated Class F certificate balance. Morningstar DBRS analyzed all eight specially serviced loans in the pool with liquidation scenarios based on haircuts to the most recently reported appraised values for the underlying collateral, resulting in a projected cumulative loss of $73.0 million, which would erode the entirety of the Class F and E certificate balances and approximately 30.0% of the Class D certificate balance. Morningstar DBRS' liquidation scenarios continue to suggest that the Class A-M certificate remains well insulated from loss and will ultimately be recovered, supporting the credit rating confirmation on that Class. The trust balance of $300.1 million, as of the January 2026 remittance, reflects a collateral reduction of 78.8% since issuance. The largest contributors to Morningstar DBRS' loss expectations are the Town Park Ravine I, II, III (Prospectus ID#10; 12.4% of the pool) and Harwood Center (Prospectus ID#15; 8.8% of the pool) loans. The Town Park Ravine I, II, III loan is secured by a three-property, 367,090-square-foot (sf) suburban office park in Kennesaw, Georgia. The loan transferred to the special servicer in September 2024 for maturity default after the borrower failed to pay off the loan. The collateral has been real estate owned (REO) since June 2025. According to the servicer, the property was 47.0% occupied as December 2025 following the departure of three large tenants. The collateral was most recently appraised in April 2025 at a value of $29.8 million (reflecting an as-is loan-to-value (LTV) ratio of 124.5%)); 8.0% and 48.0% below the September 2024 and issuance appraised values, respectively. Morningstar DBRS liquidated the loan in its analysis based on a 20.0% haircut to the most recent appraised value, resulting in an implied loss of $17.1 million and a loss severity of approximately 50.0%. The Harwood Center loan is secured by an office building in downtown Dallas. The loan transferred to special servicing in 2020 and has been REO since November 2021. According to the servicer, the property was marketed for sale in 2025; however, those plans were ultimately abandoned. The property was most recently appraised in November 2024 at a value of $51.2 million (reflecting an as-is LTV ratio in excess of 150.0%), 21.0% and 58.7% below the March 2024 and issuance appraised values of $64.8 million and $124.0 million, respectively. Morningstar DBRS considered a liquidation scenario based on a conservative 30.0% haircut to the November 2024 appraised value that resulted in an implied loss of approximately $17.5 million and a loss severity of 66.0%. The largest loan in special servicing, State Farm Portfolio (Prospectus ID#7, 13.1% of the pool) is pari passu with notes held in the COMM 2014-UBS4 and COMM 2014-UBS3 transactions, both of which are rated by Morningstar DBRS, and the non-Morningstar DBRS-rated MSBAM 2014-C16 transaction. The loan is secured by a portfolio of 14 cross-collateralized and cross-defaulted office properties in 11 different states. The loan recently transferred to the special servicer in December 2025 for non-monetary default but it is worth noting that the loan was previously in special servicing between September 2023 and January 2025. According to the servicer, a review is underway to determine the workout strategy; however, details regarding the reason for the loan's transfer have yet to be disclosed. Morningstar DBRS considered the credit risk to be elevated prior to the loan's transfer to special servicing given that all of the underlying assets are leased but not occupied by State Farm Mutual Automobile Insurance Company (State Farm), with all but two of State Farm's leases running through 2028. The loan had an anticipated repayment date in April 2024 and is now hyper amortizing until April 2029, with annual interest rate resets. The servicer approved a partial release for one property in Tulsa, Oklahoma. As of the January 2026 remittance, the current trust balance is $39.2 million, down from $47.9 million at the prior credit rating action in February 2025. Although deleveraging of the loan is anticipated to continue as State Farm keeps making its rental payments, Morningstar DBRS expects that the value of the remaining assets in the portfolio has declined given the dark status of the properties and their tertiary locations. As such, Morningstar DBRS considered a liquidation scenario based on a 60% haircut to the issuance appraised value, which resulted in an implied loss of approximately $11.6 million and a loss severity of 30.0%. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2019-521F: S&P Lowers Class C Certs Rating to 'CCC (sf)' ------------------------------------------------------------- S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from COMM 2019-521F Mortgage Trust, a U.S. CMBS transaction. At the same time, S&P affirmed its rating on the class D certificates from the transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction that is backed by an unhedged floating-rate (indexed to one-month term SOFR plus a 1.46% adjusted spread), interest-only mortgage loan totaling $242.0 million as of the Jan. 15, 2026, trustee remittance report. The loan is secured by the borrower's fee-simple interest in a 1929-built, 39-story, 495,636 sq. ft. class A- art deco-designed, LEED Gold-certified office building located at 521 Fifth Avenue (at the corner of Fifth Ave. and 43rd St.) in midtown Manhattan's Grand Central office submarket. Rating Actions The downgrades on the class A, B, and C certificates and affirmation on the class D certificates reflect the following: -- S&P said, "Our net recovery value is 20.0% lower than the valuation we derived in our last review in September 2025, primarily due to the decreasing gross rental rates and the occupancy at the property, which was 67.1% as of the Dec. 31, 2025, rent roll, down from our assumed 72.6%. Further, the lease of the largest tenant, Urban Outfitters (5.1% of net rentable area [NRA] and 19.1% of S&P Global Ratings' assumed in-place gross rent), expires in February 2026. We increased our capitalization rate assumption to reflect potential additional volatility in net cash flows and occupancy at the property." -- The property's low leasing activity since 2024. Despite stabilizing fundamentals in the property's office submarket, S&P believes the property's performance is not likely to improve to historical levels in the near term without significant capital investments. -- S&P said, "Our view that net recoveries to the bondholders may decline further due to increases in the advancing amount or a lower appraisal value (latest reported appraisal value was, as of August 2024, at $244.0 million, 38.2% below the issuance appraised value of $395.0 million). According to the January 2026 trustee remittance report, the servicer advanced an additional $7.1 million since our September 2025 review, primarily for real estate taxes, insurance, and other expenses (to date, $24.1 million has been advanced and accrued)." The servicer has reported a low 0.74x debt service coverage as of the trailing 12 months (TTM) ending June 30, 2025. The special servicer is currently working with the sponsor to sell the property and has also filed for foreclosure proceedings on the loan. -- The downgrade of class C and the affirmation of class D at 'CCC (sf)' further reflect S&P's qualitative consideration that their repayments are dependent on favorable business, financial, and economic conditions and that the classes are vulnerable to default. The loan, which has a reported nonperforming matured balloon payment status, transferred to special servicing on June 25, 2024, due to maturity default. The loan matured on June 9, 2024, and the borrower was not able to pay it off. The special servicer, LNR Partners LLC (LNR), remarked that it is dual-tracking the property sale and foreclosure. Based on the August 2024 appraisal value, an appraisal reduction amount of $30.9 million is in effect. According to LNR, an updated appraisal report has been ordered and is currently under review. As of the Jan. 15, 2026, trustee remittance report, the loan exposure increased by $7.1 million to $266.1 million from $259.0 million as of our September 2025 review. The $24.1 million total outstanding servicer advances and accruals to date included $14.4 million for real estate taxes and insurance expenses, $3.8 million for debt service, $2.8 million for appraisal subordinate entitlement reduction amount, $2.3 million for other expenses, and $793,644 for cumulative accrued unpaid advance interest. S&P said, "We will continue to monitor the performance of the collateral property and loan, as well as the borrower's efforts and timing to sell the property and repay the loan. If we receive information that differs materially from our expectations, such as further lower appraisal value, accelerated increases in advancing amount, and/or a nonrecoverable determination by the master servicer that causes all the outstanding classes to incur interest shortfalls, we may revisit our analysis and take additional rating actions as we determine appropriate." Property-Level Analysis Update As of the Dec. 31, 2025, rent roll, the property was 67.1% leased, down from our assumed 72.6% rate in our Sept. 10, 2025, review. The lease of the largest tenant, Urban Outfitters (5.1% of NRA and 19.1% of S&P Global Ratings' assumed in-place gross rent), expires at the end of February 2026. According to CoStar, vacancy and rent have stabilized for three- to five-star properties in the Grand Central office submarket, where the subject property is situated. As of year-to-date January 2026, the submarket vacancy was 14.4% for three-star properties and 14.0% for four- and five-star properties, while the submarket rent was $57.50 per sq. ft. and $92.72 per sq. ft. for such properties, respectively. According to the December 2025 rent roll, the property had a 32.9% vacancy rate and gross rent of $75.31 per sq. ft., as calculated by S&P Global Ratings. S&P said, "In our current analysis, given the material changes in occupancy and reported net cash flow, as noted in the special servicer-provided December 2025 rent roll and TTM ending June 2025 operating statements, we revised our net cash flow, capitalization rate, and valuation assumptions. This yielded an S&P Global Ratings' value that was 40.3% below the August 2024 appraised value and S&P Global Ratings' loan-to-value ratio of 166.0%. Based on our analysis, the S&P Global Ratings asset quality score is 3.0 and the S&P Global Ratings income stability score is 2.0." Table 1 Servicer-reported performance TTM ending June 2025(i) 2023(i) 2022(i) Occupancy rate (%) N/A 74.2 74.3 Net cash flow (mil. $) 10.2 12.4 11.2 Debt service coverage (x) 0.74 0.79 1.59 Appraisal value (mil. $)(ii) 244.0 395.0 395.0 (i)Reporting period. (ii)As of August 2024 and May 2019, respectively. TTM--trailing-12 months. N/A--Not available. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (Feb 2026)(i) (Sep 2025)(i) (June 2019)(i) Occupancy rate (%) 67.1 72.6 91.0 Net cash flow (mil. $) 10.9 12.3 16.5 Capitalization rate (%) 7.50 6.75 6.50 Value (mil. $) 145.8 182.2 254.0 Value per sq. ft. ($) 294 368 513 Loan-to-value ratio (%) 166.0 132.8 95.3 (i)Review period. Ratings Lowered COMM 2019-521F Mortgage Trust Class A to 'BB- (sf)' from 'BBB (sf)' Class B to 'B- (sf)' to 'BB (sf)' Class C to 'CCC (sf)' from 'B- (sf)' Rating Affirmed COMM 2019-521F Mortgage Trust Class D: CCC (sf) CPS AUTO 2026-A: DBRS Finalizes BB Rating on Class E Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes to be issued by CPS Auto Receivables Trust 2026-A (CPS 2026-A or the Issuer): -- 155,520,000 Class A Notes at AAA (sf) -- 47,790,000 Class B Notes at AA (sf) -- 58,360,000 Class C Notes at A (sf) -- 38,440,000 Class D Notes at BBB (sf) -- 45,500,000 Class E Notes at BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of OC, subordination, amounts held in the reserve fund, and available excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected expected cumulative net loss (CNL) assumption under various stress scenarios. -- The 2026-A transaction does not include a prefunding feature. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit ratings address the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The Morningstar DBRS CNL assumption is 19.00% for the transaction based on the Cutoff Date pool composition. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update, published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. (4) CPS' capabilities with regard to originations, underwriting (UW), and servicing. -- Morningstar DBRS has performed an operational review of CPS and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. The transaction also has an acceptable backup servicer. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry, managing the Company through multiple economic cycles. (5) The quality and consistency of provided historical static pool data for CPS originations and performance of the CPS auto loan portfolio. (6) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. CPS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 56.90% of initial hard credit enhancement provided by the subordinated notes in the pool (53.90%), the reserve account (1.00%), and OC (2.00%). The ratings on the Class B, C, D, and E Notes reflect 43.35%, 26.80%, 15.90%, and 3.00% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in U.S. dollars unless otherwise noted. CRSNT TRUST 2026-MOON: Moody's Assigns (P)B3 Rating to 2 Tranches ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to eight classes of CMBS securities, to be issued by CRSNT Trust 2026-MOON, Commercial Mortgage Pass-Through Certificates, Series 2026-MOON: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. F, Assigned (P)B2 (sf) Cl. JRR, Assigned (P)B3 (sf) Cl. KRR, Assigned (P)B3 (sf) RATINGS RATIONALE The certificates are collateralized by a first lien mortgage on the borrower's fee simple interests in The Crescent (the "Property"), which is a 1.4 million square foot mixed-use office and retail center located in Dallas, TX. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The Crescent is a Class A, LEED Silver mixed-use office and retail property located in the Uptown submarket of Dallas, TX. Built in 1986, the Property consists of three office towers with ground level retail totaling approximately 1.2 million SF (the "Crescent Tower"), as well an approximately 167,500 SF three-story office and retail building at the north end of the site (the "Courtyard Building"). The sponsor acquired the Property in 2021 for $655.0 million ($477 PSF) and has since invested approximately $22.8 million ($17 PSF) in capital improvements, in addition to approximately $41.7 million ($30 PSF) of renovations completed by the prior owner, JPMorgan Asset Management. A sponsor affiliate previously owned the Property from 1994 to 2011, and the asset serves as the firm's namesake. The Property benefits from a comprehensive amenity package that includes a modern fitness facility, a five-level underground parking garage with approximately 3,500 spaces, as well as a mix of food, beverage, and lifestyle tenants such as Avra, The Capital Grille, Ascension, Stanley Korshak, City Golf Club, and Scissors & Scotch. The property is adjacent to the Hotel Crescent Court, which is not part of the collateral but provides additional complementary amenities, including Nobu and The Spa at The Crescent. As of January 2026, the Property was approximately 89.9% occupied by a granular roster of 110 unique tenants. No single tenant occupies more than 4.8% of NRA or contributes more than 5.3% of base rent. Additionally, tenants that are either assigned a senior unsecured investment-grade rating by us or are listed as AmLaw 100 law firms represent 24.9% of NRA and 28.3% of base rent. The Property's three largest occupants are McKool Smith (66,003 SF, 4.8% of NRA and 5.3% of base rent; NR), PNC Bank, N.A. (55,519 SF, 4.0% of NRA and 4.9% of base rent; A2, senior unsecured) and Wil Gotshal & Manges LLP (66,126 SF, 4.8% of NRA and 4.2% of base rent; AM 100 law firm). The retail component of the Property contains 135,147 SF of NRA that is 94.2% leased as of January 2026 to 14 tenants. The space is distributed across ground-level retail integrated into the Crescent Towers and the dedicated Courtyard Building. The largest retailer is Stanley Korshak L.P., a luxury department store, and accounts for 55,345 SF. The tenant does not contribute to the overall base rent and is subject to a percentage-in-lie rent structure, based on 7.5% of sales. Other retailers at the Property include restaurants and lifestyle retailers such as Avra, Capital Grille, Sixty Vines, Scissors and Scotch, among others. Retail tenants exhibit strong performance metrics, with eight tenants that report sales data featuring an average occupancy cost of 8.6% and average sales of $1,097 PSF. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.32X and Moody's first mortgage actual stressed DSCR is 0.87X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $596,000,000 represents a Moody's LTV of 114.4%. Moody's LTV ratio is based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 113.3% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 1.75. Notable strengths of the transaction include: (i) asset quality, (ii) granular tenancy, (iii) recent leasing activity, (iv) stable historical occupancy, and (v) experienced sponsorship. Notable concerns of the transaction include: (i) rollover risk, (ii) market fundamentals, (iii) floating rate and interest-only loan profile, (iv) return of equity, (v) lack of asset diversification, and (vi) certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. CSTL COMMERCIAL 2026-GATE3: Fitch Rates Cl. F Certs 'B(EXP)' ------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to CSTL Commercial Mortgage Trust 2026-GATE3 commercial mortgage pass-through certificates, series 2026-GATE3: -- $302,900,000 class A 'AAA(EXP)sf'; Outlook Stable; -- $48,700,000 class B 'AA(EXP)sf'; Outlook Stable; -- $44,200,000 class C 'A(EXP)sf'; Outlook Stable; -- $82,500,000 class D 'BBB-(EXP)sf'; Outlook Stable; -- $92,300,000 class E 'BB-(EXP)sf'; Outlook Stable; -- $27,900,000 class F 'B(EXP)sf'; Outlook Stable; -- $31,500,000(a) class HRR 'B(EXP)sf'; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Transaction Summary The certificates represent the beneficial interests in a trust that holds a five-year, fixed-rate, interest-only (IO) mortgage loan. The mortgage will be secured by the borrowers' fee simple interests in 13 multifamily properties with a total of 4,077 units located across five states. The portfolio is 92.8% leased as of the January 2026 rent rolls. Loan proceeds will be used to pay off $514.0 million in total debt on 13 uncrossed loans, fund an equity return of $151.2 million to the sponsor, pay prepayment penalties totaling $15.5 million and pay closing costs of $9.7 million. The loan is expected to be originated by Citi Real Estate Funding Inc. Trimont LLC is expected to act as servicer, and Situs Holdings, LLC is expected to act as special servicer. Wilmington Savings Fund Society, FSB is expected to act as trustee, and Citibank, National Association is expected to act as certificate administrator. Park Bridge Lender Services LLC is expected to act as operating advisor. The certificates will follow a standard senior-sequential paydown structure. The transaction is expected to close on Feb. 17, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is estimated at $43.7 million, which is 9.2% lower than the issuer's NCF and 4.3% below the NCF for the trailing 12 months (TTM) ended December 2025. Fitch applied a 7.5% cap rate, resulting in a Fitch value of approximately $583.3 million. Fitch Leverage: The $630 million total mortgage loan ($154,525 per unit) has a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.82x, 108.0% and 7.5%, respectively. Based on total debt of $690.5 million ($169,365 per unit), inclusive of the $60.5 million mezzanine loan, the Fitch stressed DSCR, LTV and DY are 0.75x, 118.4% and 6.3%, respectively. The mortgage loan represents approximately 70.1% of the portfolio appraised value of $785.1 million. The total debt represents approximately 76.4% of the portfolio appraised value. Geographically Diverse Portfolio: The portfolio is secured by 4,077 units within 13 multifamily properties located in five states across nine markets. The largest property contains 16.1% of all units and 18.4% of the allocated loan amount (ALA). No other property constitutes more than 10.9% of all units or 10.6% of the ALA. The state of Florida comprises approximately 42.2% of the portfolio by ALA, and no other state or market represents more than 27.9% of the ALA. The portfolio's effective geographic count is 6.7. Institutional Sponsorship and Management: The loan sponsor and property manager, West Shore, is a real estate investment firm focused on acquiring and managing multifamily assets. West Shore currently owns and operates a portfolio comprising over 18,500 units across 54 multifamily properties. West Shore's portfolio spans the U.S., with a focus on the Sunbelt region. Led by Steve and Lee Rosenthal, West Shore has raised over $1.0 billion across six funds. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BB-sf' /'Bsf'/'Bsf'; -- 10% NCF Decline: 'AA+sf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'/'B-sf' /'CCC+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BB-sf' /'Bsf'/'Bsf'; -- 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'BBBsf'/'BBsf'/ 'BB-sf'/'B+sf'. DEEPHAVEN RESIDENTIAL 2026-INV1: S&P Assigns B Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Deephaven Residential Mortgage Trust 2026-INV1 '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 both prime and nonprime borrowers (some with initial interest-only periods) with a weighted average seasoning of two months. The mortgage loans have primarily 30-year maturities with some 15- and 40-year maturities. The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, and a condotel. The pool consists of 1,153 ATR-exempt loans backed by 1,210 properties, including eight cross-collateralized loans backed by 65 properties. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement provided, associated structural mechanics, and representation and warranty framework; -- The mortgage originators and aggregator; -- 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 Deephaven Residential Mortgage Trust 2026-INV1(i) Class A-1, $218,994,000: AAA (sf) Class A-1A, $185,838,000: AAA (sf) Class A-1B, $33,156,000: AAA (sf) Class A-2, $24,038,000: AA (sf) Class A-3, $40,782,000: A (sf) Class M-1, $18,401,000: BBB (sf) Class B-1, $12,765,000: BB (sf) Class B-2, $10,444,000: B (sf) Class B-3, $6,134,837: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class 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. N/A--Not applicable. N/R--Not rated. DEWOLF PARK: S&P Assigns BB- (sf) Rating on Class E-R2 Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt from Dewolf Park CLO Ltd./Dewolf Park CLO LLC, a CLO managed by Blackstone CLO Management LLC that was originally issued in August 2017 and underwent a refinancing in October 2021. The previous debt, which was not rated by S&P Global Ratings, was fully redeemed with the proceeds from the replacement debt on the Feb. 5, 2026, refinancing date. 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 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, "Our review of this transaction included a cash flow and portfolio analysis, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Dewolf Park CLO Ltd./Dewolf Park CLO LLC Class A-R2, $252.00 million: NR Class B-R2, $52.00 million: AA (sf) Class C-R2 (deferrable), $24.00 million: A (sf) Class D-1-R2 (deferrable), $24.00 million: BBB- (sf) Class D-2-R2 (deferrable), $2.00 million: BBB- (sf) Class E-R2 (deferrable), $14.00 million: BB- (sf) Subordinated notes, $40.00 million: NR NR--Not rated. DIAMETER CAPITAL 4: S&P Assigns BB- (sf) Rating on Cl. E-RR Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt from Diameter Capital CLO 4 Ltd./Diameter Capital CLO 4 LLC, a CLO managed by Diameter CLO Advisors LLC that was originally issued in January 2023 and underwent a refinancing in January 2024. At the same time, S&P withdrew its ratings on the previous class A-1-R, A-2A-R, A-2B-R, B-R, C-1-R, C-2-R, and D-R debt following payment in full on the Jan. 30, 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-RR, B-RR, C-RR, D-1-RR, D-2-RR, and E-RR debt was issued at floating spreads, replacing the fixed and floating rates on the existing debt. -- The non-call period was extended to January 2028. -- The reinvestment period was extended to January 2031. -- The legal final maturity dates for the replacement debt and the subordinated notes were extended to January 2039. -- The target initial par amount was increased to $550 million. There are no additional effective date or ramp-up period, and the first payment date following the refinancing will be in April 2026. -- The required minimum overcollateralization and interest coverage ratios were amended. -- An additional $5.55 million in subordinated notes was 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 Diameter Capital CLO 4 Ltd./Diameter Capital CLO 4 LLC Class A-RR, $352.00 million: AAA (sf) Class B-RR, $66.00 million: AA (sf) Class C-RR (deferrable), $33.00 million: A (sf) Class D-1-RR (deferrable), $33.00 million: BBB- (sf) Class D-2-RR (deferrable), $4.13 million: BBB- (sf) Class E-RR (deferrable), $17.88 million: BB- (sf) Ratings Withdrawn Diameter Capital CLO 4 Ltd./Diameter Capital CLO 4 LLC Class A-1R to NR from 'AAA (sf)' Class A-2A-R to NR from 'AA (sf)' Class A-2B-R to NR from 'AA (sf)' Class B-R to NR from 'A (sf)' Class C-1-R to NR from 'BBB (sf)' Class C-2-R to NR from 'BBB- (sf)' Class D-R to NR from 'BB- (sf)' Other Debt Diameter Capital CLO 4 Ltd./Diameter Capital CLO 4 LLC Subordinated notes, $51.40 million: NR NR--Not rated. DRYDEN 45 SENIOR: Moody's Cuts Rating on $7.5MM F-R Notes to Caa3 ----------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Dryden 45 Senior Loan Fund: US$29.9M Class C-RR Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Sep 30, 2024 Assigned Aa1 (sf) US$37M Class D-RR Senior Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Sep 30, 2024 Assigned Baa1 (sf) US$7.5M Class F-R Senior Secured Deferrable Floating Rate Notes, Downgraded to Caa3 (sf); previously on Jun 10, 2024 Downgraded to Caa2 (sf) Moody's have also affirmed the ratings on the following notes: US$321.5M (Current oustanding amount US$46,308,373) Class A-1-RR Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 30, 2024 Assigned Aaa (sf) US$14.6M Class A-2-RR Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 30, 2024 Assigned Aaa (sf) US$79.3M Class B-RR Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Sep 30, 2024 Assigned Aaa (sf) US$35.8M Class E-R Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Oct 24, 2018 Definitive Rating Assigned Ba3 (sf) Dryden 45 Senior Loan Fund, originally issued in September 2016 and refinanced in October 2018 and again in September 2024 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by PGIM, Inc. The transaction's reinvestment period ended in October 2023. RATINGS RATIONALE The rating upgrades on the Class C-RR and Class D-RR notes are primarily a result of the deleveraging of the Class A-1-RR notes following amortisation of the underlying portfolio the payment date in January 2025. The downgrade on the rating on the Class F-R notes is primarily due to loss of par over the last 12 months. The affirmations on the ratings on the Class A-1-RR, Class A-2-RR, Class B-RR and Class E-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-RR notes have paid down by approximately USD193.3 million (48.2%) in the last 12 months. As a result of the deleveraging, over-collateralisation (OC) has increased for the top of capital structure. According to the trustee report dated December 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 159.75%, 137.82%, 117.80% and 103.29% compared to December 2024[2] levels of 131.55%, 122.03%, 112.00% and 103.75%, respectively. Please note there is no Class F OC test in this transaction. Moody's also notes that the January 2026 principal payments are not reflected in the reported OC ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD255.82m Defaulted Securities: USD1.56m Diversity Score: 63 Weighted Average Rating Factor (WARF): 2775 Weighted Average Life (WAL): 3.09 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.03% Weighted Average Recovery Rate (WARR): 47.13% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. EFMT 2026-AE1: Moody's Assigns B2 Rating to Cl. B-5 Certs --------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 64 classes of residential mortgage-backed securities (RMBS) issued by EFMT 2026-AE1, and sponsored by EFMT Sponsor LLC. The securities are backed by a pool of GSE-eligible (100.00% by balance) residential mortgages aggregated by EFMT Sponsor LLC, originated by PennyMac Loan Services, LLC (PennyMac), loanDepot.com, LLC (loanDepot), and Radian Group Inc. (Radian), and serviced by PennyMac, loanDepot, and Cornerstone Servicing, a Division of Cornerstone Capital Bank, SSB (Cornerstone). The complete rating actions are as follows: Issuer: EFMT 2026-AE1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aa1 (sf) Cl. A-16, Definitive Rating Assigned Aa1 (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aa1 (sf) Cl. A-24, Definitive Rating Assigned Aa1 (sf) Cl. A-28, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4 *, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6 *, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aaa (sf) Cl. A-X-25*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-26*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-27*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-28*, Definitive Rating Assigned Aaa (sf) Cl. A-X-29*, Definitive Rating Assigned Aaa (sf) Cl. A-X-30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-31*, Definitive Rating Assigned Aaa (sf) Cl. A-X-34*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-35*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.72%, in a baseline scenario-median is 0.41% and reaches 9.40% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. EFMT 2026-NQM1: Fitch Gives B-(EXP) Rating on Class B2 Certs ------------------------------------------------------------ Fitch Ratings has assigned expected ratings to EFMT 2026-NQM1. RATING ACTIONS Entity/Debt Rating ----------- ------ EFMT 2026-NQM1 A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A1FCX 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 B1A LT BB-(EXP)sf Expected Rating B1X LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 1,275 loans with a balance of $566,689,208.79 as of the cutoff date. This will be the 16th EFMT transaction rated by Fitch and the first non-QM EFMT transaction in 2026. The certificates are secured mainly by nonqualified mortgages (non-QM, or NQM) as defined by the Ability to Repay (ATR) rule (the Rule) and include investment properties and other loans that are not subject to ATR. The loans were originated by the following entities, as follows: 21.33% of the loans were originated by The Loan Store, Inc. (Loan Store), 25.70% were originated by LendSure Mortgage Corp. (LendSure), American Heritage (10.11%), and the remaining 42.86% were originated by various third-party originators. Cornerstone Home Lending, Inc. and Nationstar Mortgage LLC d/b/a Rushmore will service the loans. Nationstar Mortgage LLC (Nationstar) will be the master servicer for the transaction. While the majority of the loans in the collateral pool comprise fixed-rate mortgages, 0.85% of the pool comprises loans with an adjustable rate. All ARM loans are based on the 30-day secured overnight financing rate (SOFR). Classes A-1FCF, A-1LCF, A-1A, A-1B, A-2 and A-3 are fixed rate with a step-up coupon on or after February 2030 and capped at the net weighted average coupon (WAC). Class A-1F will be a floating-rate class with a per annum rate equal to the least of (i) the related benchmark plus 1.200%, (ii) 7.000% and (iii) the class A-1F net WAC cap for such distribution date prior to February 2030. Class A-1IO will be an inverse floating-rate class with a per annum rate equal to the excess, if any, of (i) the lesser of (a) 7.000% and (b) the product of (x) the net WAC rate for such distribution date divided by the class A-1 senior blended rate and (y) 7.000% over (ii) the pass-through rate on the class A-1F certificates for such distribution date. Class A-1F will have a step-up coupon on and after February 2030 and the cap on the A-1F steps up to 8.000% on and after February 2030. Classes M-1 and B-1 are fixed rated and capped at the net WAC. Classes B-2 and B-3 will have an interest rate equal to the net WAC. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of 1,275 performing, fixed-rate and adjustable-rate loans secured by loans on primarily one- to four-family residential properties (including attached and detached single family homes, planned unit developments [PUDs]), condos/condotels, townhouses, townhouse/rowhouses, multifamily two- to four-unit properties, five- to 10-unit multifamily properties, mixed-use properties) totaling $566,689,208.79. There are cross-collateralized loans in the pool, which results in 1,479 properties with a total balance of $568,359,500.50. The loans are exempt from QM or are NQM loans, with the majority of the loans being underwritten to 12-24 months bank statement or DSCR underwriting guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned at an average of two months. The pool has a weighted average (WA) original FICO score of 746 according to Fitch's analysis of the pool (747 based on the transaction documents), indicating very high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 72.49%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 80.47%. This transaction has a final PD of 42.37 at the 'AAA' rating stress. Fitch's final loss severity at the 'AAAsf' rating stress is 44.87. The expected loss at the 'AAAsf' rating stress is 19.01. Structural Analysis (Mixed): EFMT 2026-NQM1 has a modified sequential structure with limited advancing of delinquent P&I and Excess Spread. The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1A, A-1B, A-1FCF, A-1LCF, A-1F, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially first to classes A-1A, A-1B, A-1FCF, A-1LCF and A-1F and then to A-2 and A-3 until they are reduced to zero. The class A certificates have a step-up coupon feature whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. This step-up feature will occur on or after the distribution date in February 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1A, A-1B, A-1F, A-1FCF, A-1FCX, A-1LCF, A-1IO, A-2 and A-3 classes on and after February 2030. Specifically, on any distribution date occurring on or after the distribution date in February 2030 on which the aggregate unpaid cap carryover amount for class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1A, A-1B, A-1FCF, A-1FCX, A-1IO, A-1LCF and A-1F certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after February 2030, since classes A-1A, A-1B, A-1F, A-1FCF, A-1LCF, A-1IO, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates, and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is there is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. In addition to subordination, the transaction has excess spread to protect the classes from losses, should they occur. Losses are allocated reverse sequentially starting with the B-3 class. Once the A-2 class is written off losses will be allocated on a pro rata basis (based upon the aggregate class balance of (i) the class A-1A and class A-1B certificates, (ii) the class A-1FCF and class A-1LCF certificates and (iii) the class A-1F certificates, in each case, on such distribution date), (i) sequentially, to the class A-1B and class A-1A certificates, in that order, until their respective class balances have been reduced to zero, (ii) concurrently, to the class A-1FCF and class A-1LCF certificates, pro rata (based on the respective class balance of each such class of certificates), until their respective class balances have been reduced to zero and (iii) to the class A-1F certificates, until the class balance thereof has been reduced to zero. 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 arrive at a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans that have been fully reviewed by the third-party review (TPR) firm and that have a final grade of either A or B. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform to the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects EFMT 2026-NQM1 to be fully de-linked and have a bankruptcy remote SPV transaction structure. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to EFMT 2026-NQM1; therefore, Fitch is comfortable rating the transaction at the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how 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 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all 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. EMPOWER CLO 2023-3: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, E-R, and A-L debt and new class X-R debt from Empower CLO 2023-3 Ltd./Empower CLO 2023-3 LLC, a CLO managed by Empower Capital Management LLC that was originally issued in December 2023. At the same time, S&P withdrew its ratings on the previous class A, B, C, D-1, D-2, and E notes and class A loans following payment in full on the Feb. 5, 2025, refinancing date. The replacement and new debt was issued via a supplemental indenture, which outlines the terms of the replacement and new debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, E-R, and A-L debt were issued at a lower spread than the existing debt. -- New class X debt was issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first 12 payment dates, beginning on the first payment date. -- No additional subordinated notes were issued on the refinancing date. -- The target initial par amount remains at $400 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- The non-call period was extended to Jan. 20, 2028. -- The reinvestment period was extended to Jan. 20, 2031. -- The legal final maturity date for the replacement debt and the existing subordinated notes was extended to Jan. 20, 2039. 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 Empower CLO 2023-3 Ltd./Empower CLO 2023-3 LLC Class X-R, $3.10 million: AAA (sf) Class A-R, $212.00 million: AAA (sf) Class A-L loans, $40.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Ratings Withdrawn Empower CLO 2023-3 Ltd./Empower CLO 2023-3 LLC Class A to NR from 'AAA (sf)' Class A loans to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D-1 to NR from 'BBB- (sf)' Class D-2 to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Empower CLO 2023-3 Ltd./Empower CLO 2023-3 LLC Subordinated notes, $40.29 million: NR NR--Not rated EMPOWER CLO 2023-3: S&P Assigns Prelim BB- (sf)Rating on E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and class A-L loans, and proposed new class X-R debt from Empower CLO 2023-3 Ltd./Empower CLO 2023-3 LLC, a CLO managed by Empower Capital Management LLC that was originally issued in December 2023. The preliminary ratings are based on information as of Feb. 3, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 5, 2026, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A, B, C, D-1, D-2, and E debt and class A loans and assign ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and class A-L loans, and proposed new class X-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement and proposed new debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and class A-L loans are expected to be issued at a lower spread than the existing debt. -- New class X debt will be issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during the first 12 payment dates, beginning on the first payment date. -- No additional subordinated notes will be issued on the refinancing date. -- The target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- The non-call period will be extended to Jan. 20, 2028. -- The reinvestment period will be extended to Jan. 20, 2031. -- The legal final maturity date for the replacement debt and the existing subordinated notes will be extended to Jan. 20, 2039. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Empower CLO 2023-3 Ltd./Empower CLO 2023-3 LLC Class X-R, $3.10 million: AAA (sf) Class A-R, $212.00 million: AAA (sf) Class A-L loans, $40.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Other Debt Empower CLO 2023-3 Ltd./Empower CLO 2023-3 LLC Subordinated notes, $40.29 million: NR NR--Not rated FIGRE TRUST 2026-HE1: S&P Assigns B- (sf) Rating on Class F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to FIGRE Trust 2026-HE1's mortgage-backed notes. The note issuance is an RMBS transaction backed by first- and subordinate-lien, simple-interest, fixed-rate, fully amortizing residential mortgage loans that are open-ended home equity lines of credit (HELOCs). The loans are secured by single-family residences, condominiums, townhouses, and two- to four-family residential properties. The pool is composed of 4,987 initial HELOCs plus 210 subsequent draws (5,197 HELOC mortgage loans), which are all ability-to-repay-exempt The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage originator, Figure Lending LLC; -- Sample 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." Ratings Assigned FIGRE Trust 2026-HE1 Class A, $273,611,000: AAA (sf) Class B, $28,964,000: AA- (sf) Class C, $45,807,000: A- (sf) Class D, $22,185,000: BBB- (sf) Class E, $19,309,000: BB- (sf) Class F, $13,763,000: B- (sf) Class G, $7,189,822: Not rated Class XS, Notional(i): Not rated Class FR, (ii): Not rated Class R, Not applicable: Not rated (i)The class XS notes will have a notional amount equal to the aggregate principal balance of the mortgage loans and any real estate-owned properties as of the first day of the related collection period. (ii)The initial class FR certificate balance is zero. In certain circumstances, class FR is obligated to remit funds to the reserve account to reimburse the servicer for funding subsequent draws in the event there is insufficient available funds or amounts on deposit in the reserve account. Any amounts remitted by the class FR certificates will be added to and increase the balance of the class FR certificates. GLS AUTO 2026-1: DBRS Gives Prov. BB Rating on Class E Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the classes of notes to be issued by GLS Auto Receivables Issuer Trust 2026-1 (the Issuer) as follows: -- $105,000,000 Class A-1 Notes at (P) R-1 (high) (sf) -- $231,000,000 Class A-2 Notes at (P) AAA (sf) -- $135,020,000 Class A-3 Notes at (P) AAA (sf) -- $133,180,000 Class B Notes at (P) AA (sf) -- $126,120,000 Class C Notes at (P) A (sf) -- $112,930,000 Class D Notes at (P) BBB (sf) -- $64,470,000 Class E Notes at (P) BB (sf) The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected expected cumulative net loss (CNL) assumption under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit ratings address the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The quality and consistency of provided historical static pool data for Global Lending Services LLC (GLS or the Company) originations and performance of the GLS auto loan portfolio. (4) The credit quality of the collateral and performance of GLS' auto loan portfolio, as of the Statistical Calculation Date: -- The pool will include approximately 83.58% used and 16.42% new vehicles, 80.11% of which are from franchise dealers. -- The loans in the pool will have a weighted-average FICO of 574 and a weighted-average annual percentage rate of 20.66%. (5) The Morningstar DBRS CNL assumption is 16.90% based on the Cutoff Date pool composition. (6) The capabilities of GLS with regard to originations, underwriting, and servicing. -- Morningstar DBRS has performed an operational review of GLS and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. The transaction also has an acceptable backup servicer. (7) The consistent operational history of GLS and the overall strength of the Company and its management team. -- The GLS senior management team has considerable experience within the auto finance industry, with most of the executives having been with the Company for most of its 13-year history. (8) Morningstar DBRS used the static pool approach exclusively because GLS has enough data to generate a sufficient amount of static pool projected losses. -- Morningstar DBRS was conservative in the loss forecast analysis performed on the static pool data. (9) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update," published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (10) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with GLS, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." GLS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The credit ratings on the Class A-1, Class A-2, and Class A-3 Notes reflect 50.95% of initial hard credit enhancement provided by the subordinated notes in the pool (46.40%), the reserve account (1.00%), and OC (3.55%). The credit ratings on the Class B, C, D, and E Notes reflect 36.80%, 23.40%, 11.40%, and 4.55% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in US dollars unless otherwise noted. GLS AUTO 2026-1: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GLS Auto Receivables Issuer Trust 2026-1's (GCAR 2026-1) 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 Feb. 2, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 54.70%, 46.17%, 35.94%, 27.72%, and 23.59% of 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 3.20x, 2.70x, 2.10x, 1.60x, and 1.38x of S&P's 17.00% expected cumulative net loss (ECNL) 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. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned GLS Auto Receivables Issuer Trust 2026-1 Class A-1, $105.00 million: A-1+ (sf) Class A-2, $231.00 million: AAA (sf) Class A-3, $135.02 million: AAA (sf) Class B, $133.18 million: AA (sf) Class C, $126.12 million: A (sf) Class D, $112.93 million: BBB (sf) Class E, $64.47 million: BB (sf) GOLUB CAPITAL 86(B): Fitch Gives BB(-EXP) Rating to Class E Debt ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Golub Capital CLO 86(B), Ltd. RATING ACTIONS Entity/Debt Rating ----------- ------ Golub Capital CLO 86(B), Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Golub Capital CLO 86(B), Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Golub Capital Liquid Credit Advisors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.29 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.02% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 52% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. GREAT WOLF 2024-WOLF: DBRS Confirms B(low) Rating on Class G Certs ------------------------------------------------------------------ DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2024-WOLF issued by Great Wolf Trust 2024-WOLF as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations. The underlying collateral continues to exhibit healthy performance metrics, with occupancy and net cash flow (NCF) figures relatively in line with the Morningstar DBRS figures derived at issuance. The transaction is secured by the borrower's fee and/or leasehold interests in eight Great Wolf Lodge resorts, including 3,044 keys, 461,521 square feet (sf) of indoor water park space, and 60,459 sf of meeting space across seven states. The properties are generally in drive-to locations from major metropolitan areas, which provide the demand base for these leisure-oriented assets. In addition, the properties benefit from a range of amenities, with a combination of indoor water park, lodging, and dining options, along with additional exclusive attractions. At issuance, the sponsor had invested a total of approximately $94.3 million, or $30,985 per key, in capital improvements since 2020, excluding construction costs for the two new assets in Manteca, California, and Scottsdale, Arizona. The borrower used whole-loan proceeds of $1.0 billion along with sponsor equity of $9.6 million to repay approximately $702.0 million of existing debt and $287.6 million of construction debt for the Manteca and Scottsdale assets in addition to funding closing costs. The floating-rate loan pays interest only (IO) and is structured with an initial two-year term with three extension options with a fully extended maturity date in March 2029. As a condition to exercising each of its extension options, the borrower is required to obtain an interest rate cap agreement that is the lower of 5.50% or a strike rate that results in a minimum debt service coverage ratio (DSCR) of 1.10 times (x). Morningstar DBRS believes the loan is generally well positioned to exercise its first extension option, given the continuing healthy performance of the collateral. The transaction allows for the release of properties from the portfolio subject to a release price of 105% of the allocated loan amount for the initial 30% of the total balance and a release price of 110% of the allocated loan amount for the remaining 70% of the total balance. There have been no property releases to date, and all eight properties remain in the portfolio. According to the financial reporting for the trailing 12-month (T-12) period ended June 30, 2025, the portfolio generated $114.4 million of NCF, corresponding to a DSCR of 1.43x, a slight decline from $117.8 million (a DSCR of 1.38x) reported in YE2024 but still above the Morningstar DBRS NCF derived at issuance of $106.3 million (a DSCR of 1.20x). Per the June 2025 operating statement, the portfolio reported weighted-average (WA) occupancy, average daily rate, and revenue per available room (RevPAR) figures for the T-12 ended June 30, 2025, of 80.3%, $275, and $221, respectively, an improvement over YE2024 figures of 78.7%, $251, and $198, respectively. At issuance, Morningstar DBRS concluded to stabilized figures of 79.5%, $261, and $208 respectively. For the purposes of this credit rating action, Morningstar DBRS maintained its valuation approach from issuance, which was based on a capitalization rate of 9.93% applied to the Morningstar DBRS NCF of $106.3 million. The resulting value of $1.1 billion represents a decrease of -26.4% from the issuance appraised value of $1.5 billion and corresponds with a whole loan-to-value ratio of 93.4%. Morningstar DBRS also maintained positive qualitative adjustments, totaling 4.25%, to reflect good property quality, strong market fundamentals, and low cash flow volatility. Overall, Morningstar DBRS has a favorable outlook on the portfolio throughout the five-year fully extended term given the property's experienced management and the sponsor's continued capital expenditure commitment. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2014-GC26: DBRS Confirms C Rating on 5 Tranches ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-GC26 issued by GS Mortgage Securities Trust 2014-GC26 as follows: -- Class B at CCC (sf) -- Class X-B at CCC (sf) -- Class C at C (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class PEZ at C (sf) All classes have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations reflect Morningstar DBRS' sustained loss projections for the four loans in special servicing and the ongoing cumulative interest shortfalls across the bond stack. As the pool continues to wind down, Morningstar DBRS analyzed the recoverability of the remaining five loans in the pool, including liquidation scenarios with conservative haircuts to the most recently appraised property values. The analysis suggests losses would fully erode Classes E to H, and more than half of the Class D balance. The loss projections are in line with those estimated at Morningstar DBRS' previous credit action in February 2025, supporting the credit rating confirmations. As of the January 2026 remittance, total unpaid interest increased to $18.7 million from $11.4 million at Morningstar DBRS' last review; however, the interest shortfalls previously affecting Class B have since been repaid. With this review, Morningstar DBRS confirmed its credit rating on Class B at CCC (sf), given the concern that interest shortfalls will continue to accrue to subordinate classes and could once again affect Class B in the future. As of the January 2026 remittance, the scheduled interest due to Class B was $171,610, which is sufficiently covered by the $263,769 interest payment from the only remaining performing loan, 5599 San Felipe (Prospectus ID#3; 28.3% of the current pool balance). As of the January 2026 remittance, five of the original 92 loans remain outstanding with a pool balance of $247.3 million, representing a collateral reduction of 80.3% since issuance. Of the remaining loans, four loans, representing 71.7% of the current pool balance, are in special servicing while the one non-specially serviced loan, 5599 San Felipe, is performing following a successful loan modification in October 2024. Since Morningstar DBRS' previous credit rating action, one loan has been repaid from the trust. The largest loan in the pool, Queen Ka'ahumanu Center (Prospectus ID#1; 32.3% of the current pool balance), is secured by the borrower's fee-simple interest in a 570,904-square foot (sf) regional mall in Kahului, Hawaii, on the island of Maui. The loan initially transferred to special servicing in July 2020 and became real estate owned (REO) in July 2022. According to the servicer's commentary in January 2026, there were no disposition plans for the property. The commentary also noted that significant capital expenditures are expected to be completed in 2026 to correct deferred maintenance items, such as the red tile roof replacement. As of the November 2025, rent roll, the property was 78.5% occupied, with tenants occupying 53.7% of the net rentable area (NRA) representing permanent tenants and the remaining 24.8% of the NRA representing temporary tenants. Tenant leases representing 25.2% of the NRA are scheduled to expire within the next 12 months, suggesting the occupancy rate may decline further. One new lease, Rock N Crab (0.9% of the NRA; lease expires in November 2035), was reported in the rent roll and the servicer's commentary noted several new prospective tenants including Barnes and Noble, Tesla, and 24 Hour Fitness; however, no confirmed leases have been signed to date. The most recent property appraisal, dated July 2025, valued the property at $40.0 million, a slight increase from the July 2024 appraised value of $37.6 million but well below the issuance appraised value of $120.0 million. Morningstar DBRS' analysis of the loan included a liquidation scenario based on a 25.0% haircut to the July 2025 appraisal, resulting in an implied loss of $61.8 million and a loss severity exceeding 75.0%, including outstanding loan advances and projected additional advances. The 1201 North Market Street loan (Prospectus ID#2; 29.1% of the current pool balance) is secured by a 447,439-sf office property in Wilmington, Delaware. The loan transferred to special servicing in November 2024 for maturity default. Foreclosure was filed in June 2025, and the property became REO in October 2025. According to the servicer's commentary in January 2026, there is currently no disposition plan for the property. As of the September 2025 reporting, the property was 73.5% occupied compared with 73.4% at YE2024 and 70.1% at YE2023. Tenant leases representing 6.8% of the NRA are scheduled to expire within the next 12 months. The servicer's commentary also notes the largest tenant, Morris, Nichols, Arsht & Tunnell LLP (18.5% of the NRA), is planning to relocate on its lease expiry in December 2028; however, the servicer has offered a proposal to the tenant to extend its current lease. As of the date of this press release, there is no update regarding the tenant's response to the servicer's proposal. According to the financials for the trailing 12-month period ended September 30, 2025, the property reported net cash flow (NCF) of $6.2 million compared with $5.2 million at YE2024 and $5.4 million at YE2023. The year-over-year increase is attributed to an increase in base rental revenue; however, the NCF figure remains below the Morningstar DBRS' issuance derived figure of $7.4 million. The most recent property appraisal, dated March 2025, valued the property at $44.6 million, a significant decline from the issuance appraised value of $123.0 million. Morningstar DBRS' analysis of the loan included a liquidation scenario based on a 20.0% haircut to the March 2025 appraisal, resulting in an implied loss of $39.6 million and a loss severity exceeding 50.0%, including outstanding loan advances and projected additional advances. The only performing loan in the trust, 5599 San Felipe, is secured by a 19-story, 436,253-sf office property in Houston, Texas. The loan transferred to special servicing in October 2024 for maturity default; however, the borrower entered into a loan modification agreement that included a 36-month maturity extension to November 2027. The extension required a $4.7 million equity contribution with $4.0 million deposited into the newly created all-purpose reserve. The modification also included a cash sweep provision in which all excess cash is to be swept to the all-purpose reserve. No updated rent roll was provided; however, the September 2025 financial reporting showed a 93.3% occupancy rate compared with 94.0% at June 2024 and 93.4% at YE2023. Only one of the top five tenants, Wealth Enhancement (1.8% of the NRA; lease expires in December 2026), has a lease scheduled to expire within the next 12 months. The primary risk associated with this loan is the borrower's ability to refinance the debt at the November 2027 maturity, given the largest tenant, Schlumberger Technology Corporation (72.0% of the NRA; lease expires in July 2027), has a lease expiring five months prior to loan maturity. The annualized NCF for the trailing nine-month period ended September 30, 2025, was $7.7 million compared with $7.3 million at YE2023 and $7.4 million derived by Morningstar DBRS at issuance. There has been no updated appraisal for this property since issuance. In its current analysis, Morningstar DBRS derived an updated stressed property value of $72.9 million by applying a 10.0% capitalization rate to the most recently reported full-year NCF figure of $7.3 million at YE2023. The resulting value implied no value deficiency to the loan. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2017-GS5: DBRS Confirms C Rating on 2 Cert. Classes --------------------------------------------------------------- DBRS Limited downgraded its credit ratings on seven classes of Commercial Mortgage Pass-Through Certificates, Series 2017-GS5 issued by GS Mortgage Securities Trust 2017-GS5 as follows: -- Class A-S to AA (high) (sf) from AAA (sf) -- Class B to BB (high) (sf) from A (sf) -- Class C to C (sf) from BB (high) (sf) -- Class D to C (sf) from CCC (sf) -- Class X-B to BBB (low) (sf) from A (high) (sf) -- Class X-C to C (sf) from BBB (low) (sf) -- Class X-D to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class X-A at AAA (sf) The trends on Classes A-S, B, X-A, and X-B are Negative. The trends on Classes A-3, A-4, and A-AB are Stable while the remaining classes have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) transactions. The credit rating downgrades and Negative trends are reflective of Morningstar DBRS' increased loss projections and recoverability expectations for the pool, as well as concerns around the increased propensity for interest shortfalls. As the pool approaches maturity, Morningstar DBRS' analysis includes liquidation scenarios generally based on conservative haircuts to the most recent declining appraisal values. The analysis suggested implied loss in excess of $130.0 million, which exceeds the projected losses of approximately $75.0 million at the previous review. The increased losses are primarily attributable to the higher haircut applied to the Writer Square loan (Prospectus ID#7; 6.3% of the pool) and the decline in appraised value for the 700 Broadway loan (Prospectus ID#9; 5.4% of the pool), which was appraised at less than 85.0% of its issuance value. Following the updates made to the liquidation scenarios, Morningstar DBRS' analysis suggests that projected losses would erode into Class C, while significantly eroding the credit support provided to Class B and Class A-S. The Negative trends on Class B and A-S also reflect the increased propensity for interest shortfalls. As of the January 2026 remittance, interest shortfalls totaled $4.1 million, up from $1.8 million at the time of last review in January 2025. Shortfalls are now affecting the Class D certificate with approximately $60,000 of the $136,000 of interest owed to that class shorted with the January 2026 remittance. Morningstar DBRS expect interest shortfalls to continue to accrue and, if the loans in special servicing experience further performance and value declines, shortfalls could increase further up the capital stack, supporting the Negative trends with this review. As of the January 2025 remittance, 28 of the original 32 loans remain in the pool, representing a collateral reduction of 10.6% since issuance. Three loans, representing 10.6% of the pool, are defeased. There are five loans in special servicing (24.9% of the pool) and six loans (19.6% of the pool) on the servicer's watchlist. By property type, the pool is most concentrated by office properties, representing 40.2% of the pool, followed by retail and mixed-used properties, representing 19.5% and 16.7% of the pool, respectively. The largest contributor to Morningstar DBRS' loss projections is the 700 Broadway loan, secured by a 424,771-square foot (sf) office property in Denver, Colorado. The loan transferred to special servicing due to imminent monetary default in October 2024. Occupancy declined by over 60.0% in 2025 due to the departure of several tenants and the downsizing of the property's largest tenant, Elevance Health, which now occupies 25.1% of the net rentable area (NRA). As of the September 2025 rent roll, occupancy was reported at 26.6% and, according to Reis, the Denver CBD most recently reported a vacancy rate of 30.1% as of Q3 2025. An updated appraisal from July 2025 valued the property at $12.1 million, 85.4% below the issuance value of $83.0 million. Given the collateral's location in a soft submarket along with the performance and occupancy declines, Morningstar DBRS liquidated the loan based on a 20.0% haircut to the July 2025 appraisal value, which resulted in an implied loss in excess of $44.0 million (loss severity approaching 86.0%). The second largest loan in special servicing, Writer Square, is secured by a class B mixed-use property totaling 180,705 sf, in Denver, Colorado. The loan transferred to special servicing in December 2021 due to noncompliance with cash management requirements following a failed debt service coverage ratio (DSCR) trigger. Cash flow has declined significantly following the loan's transfer as a result of the property's former largest tenant, Blue Moon Digital (previously 17.2% of NRA), vacating at its lease expiry in September 2024. According to the October 2025 rent roll, the property was 35.7% occupied and, as of the year-end 2024 financials, the loan reported a net cash flow of $505,205, corresponding to a DSCR of 0.16 times. Given the declining performance and occupancy, and the stress observed in the Denver CBD office market, Morningstar DBRS liquidated the loan based on a conservative 70% haircut to the issuance appraisal value, which resulted in an implied loss in excess of $34.0 million (loss severity approaching 58.0%). Outside of the pool's special servicing concentration, Morningstar DBRS has concerns with the GSK R&D Centre loan (Prospectus ID#4; 7.6% of the pool) and the Pentagon Center (Prospectus ID#17; 2.6% of the pool). Both loans are being monitored for upcoming tenant vacancies. GSK R&D Centre is secured by a single tenant office/research and development complex in Rockville, Maryland. The property is dark following the departure of its sole tenant, Human Genome Sciences, Inc. While the tenant is expected to honor its lease obligations through its May 2026 expiry, the loan is unlikely to pay off at its January 2027 maturity without a replacement tenant signed. Morningstar DBRS calculated a dark value of $122.3 million, resulting in an implied loan-to-value of 112.9%. The Pentagon Center is secured by two office buildings totaling 911,818 sf in Arlington, Virgina. The loan was added to the servicer watchlist in May 2024 for a cash trap activation due to the Department of Defense (38.8% NRA) failing to renew its lease 18 months prior to its September 2025 expiry date. A short-term extension was executed to extend the lease expiry to December 2025. The loan is scheduled to mature in March 2027 and is unlikely to payoff should the tenant vacate. In the event that the Pentagon Center and GSK R&D Centre loans are unable to refinance at their respective maturities and updated appraisals come in lower than Morningstar DBRS' expectations, additional downgrades could occur. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2026-CES1: Fitch Rates Class B2 Certificates 'Bsf' -------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2026-CES1 (GSMBS 2026-CES1). Entity/Debt Rating Prior ----------- ------ ----- GSMBS 2026-CES1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT 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 R LT NRsf New Rating NR(EXP)sf RISKRETEN LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 3,961 closed-end second lien (CES) loans with a total balance of approximately $319 million as of the cutoff date. The pool consists of CES mortgages acquired by Goldman Sachs Mortgage Company (Goldman) from various originators. Distributions of principal and interest (P&I) 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. GSMBS 2026-CES1 has a final probability of default (PD) of 22.3% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 97.5%. The expected loss in the 'AAAsf' rating stress is 21.8%. Structural Analysis: The mortgage cash flow and loss allocation in GSMBS 2026-CES1 are based on a sequential-payment structure. The CE consists of subordinated notes, the distributions of which will be subordinated to principal and interest payments due to senior noteholders. Excess cash flow resulting from the difference between the interest earned on the mortgage collateral and interest payments on notes may be available to repay current or previously allocated realized losses. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2026-CES1 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% 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. CRITERIA VARIATION While Amerisave Mortgage Corporation contributed approximately 30% of the collateral and is not assessed by Fitch, all of the Amerisave Loans were originated to Goldman's guidelines. 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 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 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. GS MORTGAGE 2026-CES1: Fitch Rates Class B2 Certs 'B(EXP)' ---------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2026-CES1 (GSMBS 2026-CES1). RATING ACTIONS Entity/Debt Rating ----------- ------ GSMBS 2026-CES1 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 R LT NR(EXP)sf Expected Rating RISKRETEN LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by GS Mortgage-Backed Securities Trust Series 2026-CES1 (GSMBS 2026-CES1), as indicated above. The notes are supported by 3,961 closed-end second lien (CES) loans with a total balance of approximately $319 million as of the cutoff date. The pool consists of CES mortgages acquired by Goldman Sachs Mortgage Company (Goldman) from various originators. Distributions of principal and interest (P&I) 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. GSMBS 2026-CES1 has a final probability of default (PD) of 22.3% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 97.5%. The expected loss in the 'AAAsf' rating stress is 21.8%. Structural Analysis: The mortgage cash flow and loss allocation in GSMBS 2026-CES1 are based on a sequential-payment structure. The CE consists of subordinated notes, the distributions of which will be subordinated to principal and interest payments due to senior noteholders. Excess cash flow resulting from the difference between the interest earned on the mortgage collateral and interest payments on notes may be available to repay current or previously allocated realized losses. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2026-CES1 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% 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. GS MORTGAGE 2026-PJ1: DBRS Finalizes B(low) Rating on B5 Notes -------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2026-PJ1 (the Notes) issued by GS Mortgage-Backed Securities Trust 2026-PJ1: -- $216.6 million Class A-1 at AAA (sf) -- $216.6 million Class A-2 at AAA (sf) -- $216.6 million Class A-3 at AAA (sf) -- $162.5 million Class A-4 at AAA (sf) -- $162.5 million Class A-5 at AAA (sf) -- $162.5 million Class A-6 at AAA (sf) -- $130.0 million Class A-7 at AAA (sf) -- $130.0 million Class A-8 at AAA (sf) -- $130.0 million Class A-9 at AAA (sf) -- $32.5 million Class A-10 at AAA (sf) -- $32.5 million Class A-11 at AAA (sf) -- $32.5 million Class A-12 at AAA (sf) -- $86.7 million Class A-13 at AAA (sf) -- $86.7 million Class A-14 at AAA (sf) -- $86.7 million Class A-15 at AAA (sf) -- $54.2 million Class A-16 at AAA (sf) -- $54.2 million Class A-17 at AAA (sf) -- $54.2 million Class A-18 at AAA (sf) -- $28.8 million Class A-19 at AAA (sf) -- $28.8 million Class A-20 at AAA (sf) -- $28.8 million Class A-21 at AAA (sf) -- $245.5 million Class A-22 at AAA (sf) -- $245.5 million Class A-23 at AAA (sf) -- $245.5 million Class A-24 at AAA (sf) -- $54.2 million Class A-27 at AAA (sf) -- $54.2 million Class A-29 at AAA (sf) -- $54.2 million Class A-30 at AAA (sf) -- $299.6 million Class A-X-1 at AAA (sf) -- $216.6 million Class A-X-2 at AAA (sf) -- $216.6 million Class A-X-3 at AAA (sf) -- $216.6 million Class A-X-4 at AAA (sf) -- $162.5 million Class A-X-5 at AAA (sf) -- $162.5 million Class A-X-6 at AAA (sf) -- $162.5 million Class A-X-7 at AAA (sf) -- $130.0 million Class A-X-8 at AAA (sf) -- $130.0 million Class A-X-9 at AAA (sf) -- $130.0 million Class A-X-10 at AAA (sf) -- $32.5 million Class A-X-11 at AAA (sf) -- $32.5 million Class A-X-12 at AAA (sf) -- $32.5 million Class A-X-13 at AAA (sf) -- $86.7 million Class A-X-14 at AAA (sf) -- $86.7 million Class A-X-15 at AAA (sf) -- $86.7 million Class A-X-16 at AAA (sf) -- $54.2 million Class A-X-17 at AAA (sf) -- $54.2 million Class A-X-18 at AAA (sf) -- $54.2 million Class A-X-19 at AAA (sf) -- $28.8 million Class A-X-20 at AAA (sf) -- $28.8 million Class A-X-21 at AAA (sf) -- $28.8 million Class A-X-22 at AAA (sf) -- $245.5 million Class A-X-23 at AAA (sf) -- $245.5 million Class A-X-24 at AAA (sf) -- $245.5 million Class A-X-25 at AAA (sf) -- $54.2 million Class A-X-27 at AAA (sf) -- $28.8 million Class A-X-28 at AAA (sf) -- $54.2 million Class A-X-29 at AAA (sf) -- $54.2 million Class A-X-30 at AAA (sf) -- $7.2 million Class B-1 at AA (low) (sf) -- $7.2 million Class B-X-1 at AA (low) (sf) -- $7.2 million Class B-1A at AA (low) (sf) -- $4.9 million Class B-2 at A (low) (sf) -- $4.9 million Class B-X-2 at A (low) (sf) -- $4.9 million Class B-2A at A (low) (sf) -- $3.8 million Class B-3 at BBB (low) (sf) -- $1.6 million Class B-4 at BB (low) (sf) -- $637.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit ratings on Classes A-1L, A-2L, and A-3L Loans initially contemplated in the offering documents, as they were not issued at closing. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-29, and A-30 are super-senior classes. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-27, A-X-28, A-X-29, A-X-30, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-29, A-30, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-29, A-X-30, B-1, and B-2 are exchangeable classes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-27 and A-X-27 are floating-rate notes. The AAA (sf) credit ratings on the Notes reflect 5.95% of credit enhancement provided by subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.70%, 2.15%, 0.95%, 0.45%, and 0.25% credit enhancement, respectively. The securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 251 loans with a total principal balance of $318,586,375 as of the Cut-Off Date. The collateral description and disclosure on the mortgage loans in the related presale report reflect the approximate aggregate characteristics as of the Cut-Off Date unless otherwise specified. The pool consists of first-lien, fully amortizing fixed-rate mortgages with original terms to maturity of 30 years. The weighted-average original combined loan-to-value ratio for the portfolio is 73.1%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage rule, subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (44.4%) and other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by United Wholesale Mortgage, LLC (44.4%), Newrez LLC d/b/a Shellpoint Mortgage Servicing (40.8%), and PennyMac Loan Services, LLC (14.8%). Nationstar Mortgage LLC d/b/a Mr. Cooper Master Servicing will act as the Master Servicer, and Computershare Trust Company, N.A. will act as Paying Agent, Loan Agent, Custodian, and Collateral Trustee. Pentalpha Surveillance LLC will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of the Class A-1L, A-2L, and A-3L loans, which are the equivalent of ownership of the Class A-1, A-2, and A-3 notes, respectively. These classes are issued in the form of loans made by the investor instead of notes purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding notes. There is no change to the structure if these classes are elected. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2026-PJ1: Fitch Assigns 'Bsf' Rating on Class B5 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the notes issued by GS Mortgage-Backed Securities Trust 2026-PJ1 (GSMBS 2026-PJ1). Entity/Debt Rating Prior ----------- ------ ----- GSMBS 2026-PJ1 A1 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 A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A2 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 A27 LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A30 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 A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf AX1 LT AAAsf New Rating AAA(EXP)sf AX10 LT AAAsf New Rating AAA(EXP)sf AX11 LT AAAsf New Rating AAA(EXP)sf AX12 LT AAAsf New Rating AAA(EXP)sf AX13 LT AAAsf New Rating AAA(EXP)sf AX14 LT AAAsf New Rating AAA(EXP)sf AX15 LT AAAsf New Rating AAA(EXP)sf AX16 LT AAAsf New Rating AAA(EXP)sf AX17 LT AAAsf New Rating AAA(EXP)sf AX18 LT AAAsf New Rating AAA(EXP)sf AX19 LT AAAsf New Rating AAA(EXP)sf AX2 LT AAAsf New Rating AAA(EXP)sf AX20 LT AAAsf New Rating AAA(EXP)sf AX21 LT AAAsf New Rating AAA(EXP)sf AX22 LT AAAsf New Rating AAA(EXP)sf AX23 LT AAAsf New Rating AAA(EXP)sf AX24 LT AAAsf New Rating AAA(EXP)sf AX25 LT AAAsf New Rating AAA(EXP)sf AX27 LT AAAsf New Rating AAA(EXP)sf AX28 LT AAAsf New Rating AAA(EXP)sf AX29 LT AAAsf New Rating AAA(EXP)sf AX3 LT AAAsf New Rating AAA(EXP)sf AX30 LT AAAsf New Rating AAA(EXP)sf AX4 LT AAAsf New Rating AAA(EXP)sf AX5 LT AAAsf New Rating AAA(EXP)sf AX6 LT AAAsf New Rating AAA(EXP)sf AX7 LT AAAsf New Rating AAA(EXP)sf AX8 LT AAAsf New Rating AAA(EXP)sf AX9 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf BX1 LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf BX2 LT Asf New Rating A(EXP)sf B3 LT BBB-sf 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 Transaction Summary The classes are supported by 251 prime loans with a total balance of approximately $318.6 million as of the cut-off date. 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. GSMBS 2026-PJ1 has a final probability of default (PD) of 10. 05% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 34. 00%. The expected loss in the 'AAAsf' rating stress is 3. 42% (see Highlights and Asset Analysis sections for more details). Structural Analysis: The mortgage cash flow and loss allocation in GSMBS 2026-PJ1 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2026-PJ1 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 GSMBS 2026-PJ1, 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 37.4% 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 of 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 Opus Capital Markets Consultants, LLC and Situs AMC. 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 applied an approximately 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. GS MORTGAGE-BACKED 2026-NQM1: S&P Assigns 'B' Rating on B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to GS Mortgage-Backed Securities Trust 2026-NQM1's mortgage-backed certificates. The certificates issuance is an RMBS transaction backed by first-lien, fixed-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 consists of 1,076 loans backed by 1,076 properties, which are primarily non-qualified mortgage (non-QM)/ability-to-repay (ATR) compliant and ATR-exempt loans. S&P said, "After we assigned our preliminary ratings on Jan. 16, 2026, the issuer decided not to issue the class A-1FCF and A-1LCF certificates on the closing date, and these classes will not be assigned final ratings. As a result, the class A-1A and A-1B certificate amounts were increased to $245.753 million and $39.009 million, respectively, from $122.877 million and $19.505 million. As a result, the corresponding class A-1 certificate amount was increased to $284.762 million from $142.382 million. The credit enhancement on the transaction did not change. 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 S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator 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 GS Mortgage-Backed Securities Trust 2026-NQM1 Class A-1A, $245,753,000: AAA (sf) Class A-1B, $39,009,000: AAA (sf) Class A-1, $284,762,000: AAA (sf) Class A-2, $25,161,000: AA (sf) Class A-3, $37,058,000: A (sf) Class M-1, $16,578,000: BBB (sf) Class B-1, $11,898,000: BB (sf) Class B-2, $9,362,000: B (sf) Class B-3, $5,266,752: NR Class X, Notional(i): NR Class SA, (ii): NR Class PT, $390,085,752: NR Class R(iii), Not applicable: NR (i)The notional amount for the class X certificates equals the non-retained interest percentage (95%) of the loans' aggregate unpaid principal balance, initially $390,085,752. (ii)The balance of class SA equals the non-retained interest percentage of the pre-existing servicing advances as of the closing date, initially $101,463.00. (iii)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. HALCYON LOAN 2017-2: Moody's Ups Rating on $18MM D Notes from Ba3 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Halcyon Loan Advisors Funding 2017-2 Ltd.: US$18M Class D Senior Secured Deferrable Floating Rate Notes, Upgraded to Baa3 (sf); previously on Sep 9, 2020 Confirmed at Ba3 (sf) Moody's have also affirmed the rating on the following notes: US$27M (Current outstanding amount US$17,220,831) Class C Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 29, 2025 Upgraded to Aaa (sf) Halcyon Loan Advisors Funding 2017-2 Ltd., originally issued in November 2017 and partially refinanced in July 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Halcyon Loan Advisors A LLC. The transaction's reinvestment period ended in January 2022. RATINGS RATIONALE The rating upgrade on the Class D notes is primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in August 2025. The affirmation on the rating on the Class C notes is primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class B notes have been fully repaid, and the Class C notes have been paid down by approximately USD9.8 million (36.2%) since the last rating action in August 2025. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated January 2026[1], the Class C and Class D OC ratios are reported at 188.48% and 115.92% compared to August 2025[2] levels of 154.00% and 110.35%, respectively. Moody's notes that the January 2026[1] principal payments are not reflected in the reported OC ratios. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD46.6m Defaulted Securities: USD0 Diversity Score: 24 Weighted Average Rating Factor (WARF): 4419 Weighted Average Life (WAL): 2.48 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 4.05% Weighted Average Recovery Rate (WARR): 46.08% Par haircut in OC tests and interest diversion test: 8.52% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability Moody's are analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. HOME RE 2026-1: DBRS Finalizes B Rating on Class B1 Notes --------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Insurance-Linked Notes, Series 2026-1 (the Notes) to be issued by Home Re 2026-1 Ltd. (HMIR 2026-1 or the Issuer): -- $72.4 million Class M-1A at BBB (low) (sf) -- $96.6 million Class M-1B at BB (high) (sf) -- $72.4 million Class M-1C at BB (low) (sf) -- $57.9 million Class M-2 at B (high) (sf) -- $24.1 million Class B-1 at B (sf) The BBB (low) (sf) credit rating reflects 5.00% of credit enhancement, provided by subordinated notes in the transaction. The BB (high) (sf), BB (low) (sf), B (high) (sf), and B (sf) credit ratings reflect 4.00%, 3.25%, 2.65%, and 2.40% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. HMIR 2026-1 is Mortgage Guaranty Insurance Corporation's (MGIC or the Ceding Insurer) eighth rated mortgage insurance (MI)-linked note (MILN) transaction. The Notes are backed by reinsurance premiums, eligible investments, and related account investment earnings, in each case relating to a pool of MI policies linked to residential loans. The Notes are exposed to the risk arising from losses the Ceding Insurer pays to settle claims on the underlying MI policies. As of the Cut-Off Date, the pool of insured mortgage loans consists of 272,162 fully amortizing first-lien fixed- and variable-rate mortgages. They all have been underwritten to a full documentation standard, all loans have original loan-to-value ratios (LTVs) less than or equal to 100.0%, and have never been reported to the Ceding Insurer as two payment loan default. As of the Cut-Off Date, these loans have not been reported to be in payment forbearance plan. The mortgage loans have MI policies in-force in or after January 2022 and in or before March 2025. Approximately 3.9% (by balance) of the underlying insured mortgage loans in this transaction are not eligible to be acquired by Freddie Mac and Fannie Mae (GSEs or agencies). All but 10 loans are insured under the new master policy, that was introduced on March 1, 2020, to conform to government-sponsored enterprises' revised rescission relief principles under the Private Mortgage Insurer Eligibility Requirements (PMIERs) guidelines (see the Representations and Warranties section for more detail). On the Closing Date, the Issuer will enter into the Reinsurance Agreement with the Ceding Insurer. As per the agreement, the Ceding Insurer will get protection for the funded portion of the MI losses. In exchange for this protection, the Ceding Insurer will make premium payments related to the underlying insured mortgage loans to the Issuer. The Issuer is expected to use the proceeds from the sale of the Notes to purchase certain eligible investments that will be held in the reinsurance trust account. The eligible investments are restricted to at least Aaa-mf by Moody's or AAAm by S&P rated U.S. Treasury money-market funds and securities. Unlike other residential mortgage-backed security (RMBS) transactions, cash flow from the underlying loans will not be used to make any payments; rather, in MI-linked Notes (MILN) transactions, a portion of the eligible investments held in the reinsurance trust account will be liquidated to make principal payments to the noteholders and to make loss payments to the Ceding Insurer when claims are settled with respect to the MI policy. The Issuer will use the investment earnings on the eligible investments, together with the Ceding Insurer's premium payments, to pay interest to the noteholders. The calculation of principal payments to the Notes will be based on the reduction in aggregate exposed principal balance on the underlying MI policy that is allocated to the Notes. The subordinate Notes will receive principal payment if the non-senior coverage level exceeds the target credit enhancement. Similar to the recent MILN transactions, the target credit enhancement (CE) is tied to PMIERs capital requirement. As of the Closing Date, if non-senior coverage level does not exceed the target CE, the rated classes will not receive principal payments from the first Payment Date. The required PMIERs capital amount is initially set based on loan-level risk characteristics such as LTV, credit score, purpose, documentation standard, DTI, amortization term, etc. As mortgage loan seasons, this required PMIERs capital amount will adjust based on the underlying mortgage loan performance. If the mortgage loan is current or less than 60-days delinquent (the Performing Mortgage Loan), the required PMIERs capital amount will be reduced based on loan age. However, if the mortgage loan is greater than or equal to 60-days delinquent (including FC/BK/pending claims) (the Non-Performing Mortgage Loan), the required PMIERs capital amount will be increased based on the number of months of missed payments and status of the MI claim (see the Cash Flow Structure and Features section for more detail). The coupon rates for the Notes are based on the Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available; please see the Offering Circular for more details. Morningstar DBRS did not run interest rate stresses for this transaction, as the interest is not linked to the performance of the underlying loans. Instead, interest payments are funded via (1) premium payments that the Ceding Insurer must make under the reinsurance agreement and (2) earnings on eligible investments. On the Closing Date, the Ceding Insurer will establish a cash and securities account, the premium deposit account. In case of the Ceding insurer's default in paying coverage premium payments to the Issuer, the amount available in this account will be used to make interest payments to the noteholders. The premium deposit account will not be funded at closing. The Ceding Insurer will make a deposit into this account up to the applicable target balance only when one of the following Premium Deposit Events occur (please refer to the related report for more details). The Notes are scheduled to mature in January 2036, but will be subject to early redemption at the option of the Ceding Insurer (1) for a 10% clean-up call or (2) on or following the payment date in January 2031, among others. The Notes are also subject to mandatory redemption before the scheduled maturity date upon the termination of the Reinsurance Agreement. Additionally, there is a provision for the Ceding Insurer to issue a tender offer to reduce all or a portion of the outstanding Notes. MGIC acts as the Ceding Insurer. The Bank of New York Mellon (rated AA (high) with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Paying Agent, Note Registrar, and Reinsurance Trustee. Notes: All figures are in U.S. dollars unless otherwise noted. HOPATCONG LLC: DBRS Confirms BB(low) Rating on Class C Notes ------------------------------------------------------------ DBRS, Inc. confirmed the following provisional credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Notes) issued by Hopatcong LLC pursuant to the Indenture dated November 20, 2025, as amended by the First Supplement Indenture dated as of February 6, 2026, entered between Hopatcong LLC, as Issuer and Wilmington Trust, National Association, as Trustee: -- Class A Notes at (P) AAA (sf) -- Class B Notes at (P) BBB (sf) -- Class C Notes at (P) BB (low) (sf) The provisional credit rating on the Class A Notes addresses the timely payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate return of principal on or before the Stated Maturity. The provisional credit ratings on the Class B Notes and Class C Notes address the ultimate payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate return of principal on or before the Stated Maturity. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the First Supplement Indenture dated as of February 6, 2026, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The First Supplement Indenture extended the first Payment Date, updated the Collateral Quality Test Matrix (the CQM, as defined in Schedule 5 of the Indenture), added the concentration limitation that up to 5% of the Total Capitalization may consist of Collateral Obligations denominated in CAD, EUR and GBP, and increased the Collateral Obligations with obligors domiciled in Tier 2 countries to 2% from 1% of Total Capitalization, among other changes. The Issuer is a cash flow collateralized loan obligation (CLO) transaction that is collateralized primarily by a portfolio of U.S. middle-market (MM) corporate loans. The Issuer is managed by Blue Owl Credit Private Fund Advisors LLC, an affiliate of Blue Owl Capital Inc. Morningstar DBRS considers Blue Owl Credit Private Fund Advisors LLC an acceptable CLO manager. The Reinvestment Period ends on December 31, 2029. The Stated Maturity is February 18, 2038. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The Indenture, dated November 20, 2025, as amended by the First Supplement Indenture dated as of February 6, 2026. (2) The integrity of the transaction structure. (3) Morningstar DBRS' assessment of the portfolio quality and covenants. (4) Adequate credit enhancement to withstand Morningstar DBRS' projected collateral loss rates under various cash flow-stress scenarios. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Blue Owl Credit Private Fund Advisors LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance methodology (the Legal Criteria). The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality test matrix (the CQM, as defined in Schedule 5 of the Indenture). Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: Maximum Average Morningstar DBRS Risk Score Test and Weighted-Average Spread (WAS). Morningstar DBRS analyzed each structural configuration as a unique transaction, and all configurations (matrix points) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS modeled during its analysis are presented below: Coverage Tests: Class A Asset Coverage Test: minimum 159.40% Class B Asset Coverage Test: minimum 118.75% Class C Asset Coverage Test: minimum 109.15% Collateral Quality Tests: Maximum Average Morningstar DBRS Risk Score Test: Subject to the CQM; maximum 40.73% Minimum WAS Test: Subject to the CQM; minimum 4.00% Minimum Weighted Average Coupon Test: minimum 5.00% Minimum DScore: Subject to the CQM; minimum 8 Maximum Weighted Average Life Test: maximum 6.5 years Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle-market loans; (2) the adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the Global Methodology for Rating CLOs and Corporate CDOs (November 10, 2025). Model-based analysis, which incorporated the above-mentioned CQM, produced satisfactory results, which supported the confirmation of the credit ratings on the Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Notes. Notes: All figures are in U.S. dollars unless otherwise noted. HUDSON'S BAY 2015-HBS: DBRS Places BB Rating Under Review --------------------------------------------------------- DBRS Limited placed all classes of the Commercial Mortgage Pass-Through Certificates, Series 2015-HBS issued by Hudson's Bay Simon JV Trust 2015-HBS Under Review with Negative Implications (UR-N) as follows: -- Class C-7 at BB (sf) -- Class D-7 at B (low) (sf) -- Class E-7 at CCC (sf) -- Class X-A-10 at AAA (sf) -- Class A-10 at AA (high) (sf) -- Class X-B-10 at A (sf) -- Class B-10 at A (low) (sf) -- Class C-10 at BB (sf) -- Class D-10 at B (low) (sf) -- Class E-10 at CCC (sf) There are no trends with these credit rating actions. At issuance, the $846.2 million first-mortgage loan was secured by 34 cross-collateralized regional mall anchor boxes that were previously occupied by 24 Lord & Taylor stores and 10 Saks Fifth Avenue stores across 15 states. The collateral properties represented 19 fee-simple ownership interests (64.1% of the pool balance) and 15 leasehold interests (35.9% of the pool balance). Eight properties have been released to date and, as of January 2026, the loan reported a current balance of $428.1 million, representing a collateral reduction of 49.4%. The loan consists of three components, of which the floating rate Component A was repaid in November 2023, while the fixed rate Components B and C currently have a balance of $103.1 million and $325.0 million, respectively. The loan sponsor is a joint venture between affiliates of Hudson's Bay Company (HBC) and Simon Property Group, Inc. (Simon). On January 13, 2026, Saks Global (parent company of Saks Fifth Avenue, Saks Off Fifth, and other brands), filed for chapter 11 bankruptcy protection, citing challenges meeting its debt obligations in the last year, particularly after the $2.7 billion acquisition of Neiman Marcus in 2024. According to the filing documents, the restructuring will allow Saks Global to make strategic decisions on its real estate portfolio. It was reported that Saks Global arranged $1.8 billion in financing, including $1.5 billion of debtor-in-possession financing and would allow Saks Global to use the company's leasehold interest in the Manhattan flagship store as collateral to secure the funds. Morningstar DBRS currently rates the SFAVE Commercial Mortgage Securities Trust 2015-5AVE transaction, which is collateralized by the leased fee interest of the building. Amazon, a creditor that provided $475 million toward the acquisition of Neiman Marcus, filed an objection to Saks Global's bankruptcy financing plan but the object was denied shortly thereafter, according to published news reports. In addition, Saks Global asked for the court's approval to reject 26 leases representing dark Lord & Taylor stores, as well as a dark Saks store in downtown San Francisco. Morningstar DBRS believes these developments pose significant risks to the subject transaction, and as such, has placed all credit ratings UR-N. Given the recency of the bankruptcy filing, it may take time for the full scope of information necessary to determine credit ratings impact to be available. As such, the resolution of the UR-N credit rating action may extend beyond a 90-day period. The subject transaction has previous exposure to a department store bankruptcy filing in the Lord & Taylor bankruptcy in 2020, which resulted in nationwide store closures across the brand, leaving the subject's 25 Lord & Taylor anchor boxes dark. Eight of the affected properties have been released from the transaction, which were subject to release premiums of 115.0% of the allocated loan amount (ALA), and the remaining 17 properties now represent 50.1% of the current ALA. Based on Morningstar DBRS research, three of the dark Lord & Taylor stores were backfilled, and four are reported to be either under redevelopment or are expecting new tenants, according to the property websites. The borrower continues to abide by the terms of the October 2021 loan modification that mandated the borrower to pay the difference between total monthly rent and the debt service obligation, as well as to use all excess cash flow to amortize the principal balance. The modification also provided for extension options that brought the maturity dates for Components A and B in line with Component C's August 2025 maturity date. Various reserves were funded to help reposition the dark collateral properties. As of the January 2026 loan level reserve report, approximately $87,400 was reported across all reserves. Per the loan documents at issuance, principal prepayments related to the property releases and the excess cash used to amortize the loan (also considered prepayments) are paid sequentially to Component B and will not pay down Component C until the balance of Component B reaches zero. The loan transferred to the special servicer in July 2025 for imminent maturity default and remains outstanding for the August 2025 maturity date. According to the servicer, the borrower provided a term sheet for takeout financing with an amount sufficient to repay the loan; however, the borrower was reportedly working to reconcile corporate covenant restrictions to close the loan. Given recent developments, those pursuits may be more complex. The special servicer has granted a forbearance through to March 2026, with extension options that are subject to principal paydowns. According to the most recent financial statement, the portfolio reported an annualized consolidated net cash flow (NCF) of $96.4 million for the trailing six months ended June 30, 2025, including the released properties, and reflects a debt service coverage ratio of 2.73 times (x). In comparison, the annualized YE2024 and YE2023 NCFs were $94.6 million and $90.1 million, respectively. Morningstar DBRS expects cash flows will drop significantly if Saks Global's request to reject the Lord & Taylor leases is approved. It is unclear how these developments will affect the workout strategy; Morningstar DBRS has requested an update from the special servicer and will monitor closely for developments. Notes: All figures are in U.S. dollars unless otherwise noted. INVESCO US 2023-4: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Invesco U.S. CLO 2023-4, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Invesco U.S. CLO 2023-4, Ltd. A-1 46091XAA8 LT PIFsf Paid In Full AAAsf A-1-R LT NRsf New Rating A-2 46091XAC4 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 46091XAE0 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 46091XAG5 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 46091XAJ9 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2A-R LT BBB-sf New Rating D-2B-R LT BBB-sf New Rating E 46091YAA6 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating F-R LT NRsf New Rating X LT AAAsf New Rating Transaction Summary Invesco U.S. CLO 2023-4, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is being managed by Invesco CLO Equity Fund 3 L.P.. Net proceeds from the issuance of the secured and existing 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. 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 98.4% first lien senior secured loans and has a weighted average recovery assumption of 75.22%. 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% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2A-R, between less than 'B-sf' and 'BB+sf' for class D-2B-R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2A-R,'A-sf' for class D-2B-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 Invesco U.S. CLO 2023-4, 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. INVESCO US 2023-4: Moody's Assigns B3 Rating to $500,000 F-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (the Refinancing Notes) issued by Invesco US CLO 2023-4, Ltd. (the Issuer): US$320,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$500,000 Class F-R Deferrable Junior Secured Floating Rate Notes due 2039, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Refinancing Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, senior unsecured loans, first-lien last-out loans and permitted debt securities. Invesco CLO Equity Fund 3 L.P. (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and eight 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 certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3028 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. JEFFERIES CREDIT 2025-2: S&P Assigns B- (sf) Rating on Cl. F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Jefferies Credit Partners Direct Lending CLO 2025-2 Ltd./Jefferies Credit Partners Direct Lending CLO 2025-2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Jefferies Credit Partners LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Jefferies Credit Partners Direct Lending CLO 2025-2 Ltd./ Jefferies Credit Partners Direct Lending CLO 2025-2 LLC Class A-1, $181.6000 million: AAA (sf) Class A-1 loans (i), $50.4000 million: AAA (sf) Class A-2, $0.4000 million: AAA (sf) Class A-2 loans (i), $7.6000 million: AAA (sf) Class B, $32.0000 million: AA (sf) Class C (deferrable), $32.0000 million: A (sf) Class D-1 (deferrable), $24.0000 million: BBB- (sf) Class D-2 (deferrable), $4.0000 million: BBB- (sf) Class E (deferrable), $20.0000 million: BB- (sf) Class F (deferrable) (ii), $5.6100 million: B- (sf) Subordinated notes 1, $23.9412 million: NR Subordinated notes 2, $23.2188 million: NR (i)The class A-1 and A-2 loans are convertible into class A-1 and class A-2 debt, respectively. (ii) Class F notes pay pro rata with subordinated notes with a proportional split to the extent set forth in the Priority of Payments and is entitled to first receive distributions prior to the subordinated notes. NR--Not rated. JP MORGAN 2026-1: DBRS Finalizes B(low) Rating on B5 Certs ---------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2026-1 (the Certificates) issued by J.P. Morgan Mortgage Trust 2026-1: -- $357.0 million Class A-1 at AAA (sf) -- $320.8 million Class A-2 at AAA (sf) -- $240.6 million Class A-3 at AAA (sf) -- $240.6 million Class A-3-A at AAA (sf) -- $240.6 million Class A-3-B at AAA (sf) -- $240.6 million Class A-3-X1 at AAA (sf) -- $240.6 million Class A-3-X2 at AAA (sf) -- $240.6 million Class A-3-X3 at AAA (sf) -- $180.5 million Class A-4 at AAA (sf) -- $180.5 million Class A-4-A at AAA (sf) -- $180.5 million Class A-4-B at AAA (sf) -- $180.5 million Class A-4-X1 at AAA (sf) -- $180.5 million Class A-4-X2 at AAA (sf) -- $180.5 million Class A-4-X3 at AAA (sf) -- $60.2 million Class A-5 at AAA (sf) -- $60.2 million Class A-5-A at AAA (sf) -- $60.2 million Class A-5-B at AAA (sf) -- $60.2 million Class A-5-X1 at AAA (sf) -- $60.2 million Class A-5-X2 at AAA (sf) -- $60.2 million Class A-5-X3 at AAA (sf) -- $144.4 million Class A-6 at AAA (sf) -- $144.4 million Class A-6-A at AAA (sf) -- $144.4 million Class A-6-B at AAA (sf) -- $144.4 million Class A-6-X1 at AAA (sf) -- $144.4 million Class A-6-X2 at AAA (sf) -- $144.4 million Class A-6-X3 at AAA (sf) -- $96.2 million Class A-7 at AAA (sf) -- $96.2 million Class A-7-A at AAA (sf) -- $96.2 million Class A-7-B at AAA (sf) -- $96.2 million Class A-7-X1 at AAA (sf) -- $96.2 million Class A-7-X2 at AAA (sf) -- $96.2 million Class A-7-X3 at AAA (sf) -- $36.1 million Class A-8 at AAA (sf) -- $36.1 million Class A-8-A at AAA (sf) -- $36.1 million Class A-8-B at AAA (sf) -- $36.1 million Class A-8-X1 at AAA (sf) -- $36.1 million Class A-8-X2 at AAA (sf) -- $36.1 million Class A-8-X3 at AAA (sf) -- $36.2 million Class A-9 at AAA (sf) -- $36.2 million Class A-9-A at AAA (sf) -- $36.2 million Class A-9-B at AAA (sf) -- $36.2 million Class A-9-X1 at AAA (sf) -- $36.2 million Class A-9-X2 at AAA (sf) -- $36.2 million Class A-9-X3 at AAA (sf) -- $96.2 million Class A-10 at AAA (sf) -- $96.2 million Class A-10-A at AAA (sf) -- $96.2 million Class A-10-B at AAA (sf) -- $96.2 million Class A-10-X1 at AAA (sf) -- $96.2 million Class A-10-X2 at AAA (sf) -- $96.2 million Class A-10-X3 at AAA (sf) -- $80.2 million Class A-11 at AAA (sf) -- $80.2 million Class A-11-X at AAA (sf) -- $80.2 million Class A-12 at AAA (sf) -- $80.2 million Class A-13 at AAA (sf) -- $80.2 million Class A-13-X at AAA (sf) -- $80.2 million Class A-14 at AAA (sf) -- $80.2 million Class A-14-X at AAA (sf) -- $80.2 million Class A-14-X2 at AAA (sf) -- $80.2 million Class A-14-X3 at AAA (sf) -- $80.2 million Class A-14-X4 at AAA (sf) -- $48.1 million Class A-15 at AAA (sf) -- $48.1 million Class A-15-A at AAA (sf) -- $48.1 million Class A-15-B at AAA (sf) -- $48.1 million Class A-15-X1 at AAA (sf) -- $48.1 million Class A-15-X2 at AAA (sf) -- $48.1 million Class A-15-X3 at AAA (sf) -- $48.1 million Class A-16 at AAA (sf) -- $48.1 million Class A-16-A at AAA (sf) -- $48.1 million Class A-16-B at AAA (sf) -- $48.1 million Class A-16-X1 at AAA (sf) -- $48.1 million Class A-16-X2 at AAA (sf) -- $48.1 million Class A-16-X3 at AAA (sf) -- $48.1 million Class A-17 at AAA (sf) -- $48.1 million Class A-17-A at AAA (sf) -- $48.1 million Class A-17-B at AAA (sf) -- $48.1 million Class A-17-X1 at AAA (sf) -- $48.1 million Class A-17-X2 at AAA (sf) -- $48.1 million Class A-17-X3 at AAA (sf) -- $84.2 million Class A-18 at AAA (sf) -- $84.2 million Class A-18-A at AAA (sf) -- $84.2 million Class A-18-B at AAA (sf) -- $84.2 million Class A-18-X1 at AAA (sf) -- $84.2 million Class A-18-X2 at AAA (sf) -- $84.2 million Class A-18-X3 at AAA (sf) -- $357.0 million Class A-X-1 at AAA (sf) -- $7.0 million Class B-1 at AA (low) (sf) -- $7.0 million Class B-1-A at AA (low) (sf) -- $7.0 million Class B-1-X at AA (low) (sf) -- $5.5 million Class B-2 at A (low) (sf) -- $5.5 million Class B-2-A at A (low) (sf) -- $5.5 million Class B-2-X at A (low) (sf) -- $4.2 million Class B-3 at BBB (low) (sf) -- $2.1 million Class B-4 at BB (low) (sf) -- $566.2 thousand Class B-5 at B (low) (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3A, A-3B, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12, A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17, A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-3A, A-3B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A, and A-18-B are super senior certificates. These classes benefit from additional protection from the senior support certificate (Class A-9-B) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 5.40% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 3.55%, 2.10%, 1.00%, 0.45%, and 0.30% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Mortgage Pass-Through Certificates, Series 2026-1 (the Certificates). The Certificates are backed by 269 loans with a total principal balance of $377,423,489 as of the Cut-Off Date (January 01, 2026). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. Approximately 95.9% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 4.1% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. United Wholesale Mortgage, LLC (UWM) and Movement Mortgage, LLC originated 27.9% and 19.4% of the pool, respectively. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced by NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage Servicing (66.2%), Cenlar FSB (27.5%), and PennyMac Loan Services, LLC (4.6%). For the UWM serviced loans, Cenlar will act as the subservicer. For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (March 2, 2026). For certain Servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (Computershare; rated BBB (high) with a Stable trend) will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2026-1: DBRS Gives Prov. B(low) Rating on B5 Certs ------------------------------------------------------------ DBRS, Inc. assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-1 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2026-1: -- $357.0 million Class A-1 at (P) AAA (sf) -- $320.8 million Class A-2 at (P) AAA (sf) -- $240.6 million Class A-3 at (P) AAA (sf) -- $240.6 million Class A-3-A at (P) AAA (sf) -- $240.6 million Class A-3-B at (P) AAA (sf) -- $240.6 million Class A-3-X1 at (P) AAA (sf) -- $240.6 million Class A-3-X2 at (P) AAA (sf) -- $240.6 million Class A-3-X3 at (P) AAA (sf) -- $180.5 million Class A-4 at (P) AAA (sf) -- $180.5 million Class A-4-A at (P) AAA (sf) -- $180.5 million Class A-4-B at (P) AAA (sf) -- $180.5 million Class A-4-X1 at (P) AAA (sf) -- $180.5 million Class A-4-X2 at (P) AAA (sf) -- $180.5 million Class A-4-X3 at (P) AAA (sf) -- $60.2 million Class A-5 at (P) AAA (sf) -- $60.2 million Class A-5-A at (P) AAA (sf) -- $60.2 million Class A-5-B at (P) AAA (sf) -- $60.2 million Class A-5-X1 at (P) AAA (sf) -- $60.2 million Class A-5-X2 at (P) AAA (sf) -- $60.2 million Class A-5-X3 at (P) AAA (sf) -- $144.4 million Class A-6 at (P) AAA (sf) -- $144.4 million Class A-6-A at (P) AAA (sf) -- $144.4 million Class A-6-B at (P) AAA (sf) -- $144.4 million Class A-6-X1 at (P) AAA (sf) -- $144.4 million Class A-6-X2 at (P) AAA (sf) -- $144.4 million Class A-6-X3 at (P) AAA (sf) -- $96.2 million Class A-7 at (P) AAA (sf) -- $96.2 million Class A-7-A at (P) AAA (sf) -- $96.2 million Class A-7-B at (P) AAA (sf) -- $96.2 million Class A-7-X1 at (P) AAA (sf) -- $96.2 million Class A-7-X2 at (P) AAA (sf) -- $96.2 million Class A-7-X3 at (P) AAA (sf) -- $36.1 million Class A-8 at (P) AAA (sf) -- $36.1 million Class A-8-A at (P) AAA (sf) -- $36.1 million Class A-8-B at (P) AAA (sf) -- $36.1 million Class A-8-X1 at (P) AAA (sf) -- $36.1 million Class A-8-X2 at (P) AAA (sf) -- $36.1 million Class A-8-X3 at (P) AAA (sf) -- $36.2 million Class A-9 at (P) AAA (sf) -- $36.2 million Class A-9-A at (P) AAA (sf) -- $36.2 million Class A-9-B at (P) AAA (sf) -- $36.2 million Class A-9-X1 at (P) AAA (sf) -- $36.2 million Class A-9-X2 at (P) AAA (sf) -- $36.2 million Class A-9-X3 at (P) AAA (sf) -- $96.2 million Class A-10 at (P) AAA (sf) -- $96.2 million Class A-10-A at (P) AAA (sf) -- $96.2 million Class A-10-B at (P) AAA (sf) -- $96.2 million Class A-10-X1 at (P) AAA (sf) -- $96.2 million Class A-10-X2 at (P) AAA (sf) -- $96.2 million Class A-10-X3 at (P) AAA (sf) -- $80.2 million Class A-11 at (P) AAA (sf) -- $80.2 million Class A-11-X at (P) AAA (sf) -- $80.2 million Class A-12 at (P) AAA (sf) -- $80.2 million Class A-13 at (P) AAA (sf) -- $80.2 million Class A-13-X at (P) AAA (sf) -- $80.2 million Class A-14 at (P) AAA (sf) -- $80.2 million Class A-14-X at (P) AAA (sf) -- $80.2 million Class A-14-X2 at (P) AAA (sf) -- $80.2 million Class A-14-X3 at (P) AAA (sf) -- $80.2 million Class A-14-X4 at (P) AAA (sf) -- $48.1 million Class A-15 at (P) AAA (sf) -- $48.1 million Class A-15-A at (P) AAA (sf) -- $48.1 million Class A-15-B at (P) AAA (sf) -- $48.1 million Class A-15-X1 at (P) AAA (sf) -- $48.1 million Class A-15-X2 at (P) AAA (sf) -- $48.1 million Class A-15-X3 at (P) AAA (sf) -- $48.1 million Class A-16 at (P) AAA (sf) -- $48.1 million Class A-16-A at (P) AAA (sf) -- $48.1 million Class A-16-B at (P) AAA (sf) -- $48.1 million Class A-16-X1 at (P) AAA (sf) -- $48.1 million Class A-16-X2 at (P) AAA (sf) -- $48.1 million Class A-16-X3 at (P) AAA (sf) -- $48.1 million Class A-17 at (P) AAA (sf) -- $48.1 million Class A-17-A at (P) AAA (sf) -- $48.1 million Class A-17-B at (P) AAA (sf) -- $48.1 million Class A-17-X1 at (P) AAA (sf) -- $48.1 million Class A-17-X2 at (P) AAA (sf) -- $48.1 million Class A-17-X3 at (P) AAA (sf) -- $84.2 million Class A-18 at (P) AAA (sf) -- $84.2 million Class A-18-A at (P) AAA (sf) -- $84.2 million Class A-18-B at (P) AAA (sf) -- $84.2 million Class A-18-X1 at (P) AAA (sf) -- $84.2 million Class A-18-X2 at (P) AAA (sf) -- $84.2 million Class A-18-X3 at (P) AAA (sf) -- $357.0 million Class A-X-1 at (P) AAA (sf) -- $7.0 million Class B-1 at (P) AA (low) (sf) -- $7.0 million Class B-1-A at (P) AA (low) (sf) -- $7.0 million Class B-1-X at (P) AA (low) (sf) -- $5.5 million Class B-2 at (P) A (low) (sf) -- $5.5 million Class B-2-A at (P) A (low) (sf) -- $5.5 million Class B-2-X at (P) A (low) (sf) -- $4.2 million Class B-3 at (P) BBB (low) (sf) -- $2.1 million Class B-4 at (P) BB (low) (sf) -- $566.2 thousand Class B-5 at (P) B (low) (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3A, A-3B, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12, A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17, A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-3A, A-3B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A, and A-18-B are super senior certificates. These classes benefit from additional protection from the senior support certificate (Class A-9-B) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 5.40% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.55%, 2.10%, 1.00%, 0.45%, and 0.30% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Mortgage Pass-Through Certificates, Series 2026-1 (the Certificates). The Certificates are backed by 269 loans with a total principal balance of $377,423,489 as of the Cut-Off Date (January 01, 2026). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. Approximately 95.9% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 4.1% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. United Wholesale Mortgage, LLC (UWM) and Movement Mortgage, LLC originated 27.9% and 19.4% of the pool, respectively. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced by NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage Servicing (66.2%), Cenlar FSB (27.5%), and PennyMac Loan Services, LLC (4.6%). For the UWM serviced loans, Cenlar will act as the subservicer. For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (March 2, 2026). For certain Servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (Computershare; rated BBB (high) with a Stable trend) will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2026-1: Fitch Assigns 'B-sf' Final Rating on Cl. B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage Trust 2026-1 (JPMMT 2026-1). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2026-1 A1 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A10A LT AAAsf New Rating AAA(EXP)sf A10B LT AAAsf New Rating AAA(EXP)sf A10X1 LT AAAsf New Rating AAA(EXP)sf A10X2 LT AAAsf New Rating AAA(EXP)sf A10X3 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A11X LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A13X LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A14X LT AAAsf New Rating AAA(EXP)sf A14X2 LT AAAsf New Rating AAA(EXP)sf A14X3 LT AAAsf New Rating AAA(EXP)sf A14X4 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A15A LT AAAsf New Rating AAA(EXP)sf A15B LT AAAsf New Rating AAA(EXP)sf A15X1 LT AAAsf New Rating AAA(EXP)sf A15X2 LT AAAsf New Rating AAA(EXP)sf A15X3 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A16A LT AAAsf New Rating AAA(EXP)sf A16B LT AAAsf New Rating AAA(EXP)sf A16X1 LT AAAsf New Rating AAA(EXP)sf A16X2 LT AAAsf New Rating AAA(EXP)sf A16X3 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A17A LT AAAsf New Rating AAA(EXP)sf A17B LT AAAsf New Rating AAA(EXP)sf A17X1 LT AAAsf New Rating AAA(EXP)sf A17X2 LT AAAsf New Rating AAA(EXP)sf A17X3 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A18A LT AAAsf New Rating AAA(EXP)sf A18B LT AAAsf New Rating AAA(EXP)sf A18X1 LT AAAsf New Rating AAA(EXP)sf A18X2 LT AAAsf New Rating AAA(EXP)sf A18X3 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A3A LT AAAsf New Rating AAA(EXP)sf A3B LT AAAsf New Rating AAA(EXP)sf A3X1 LT AAAsf New Rating AAA(EXP)sf A3X2 LT AAAsf New Rating AAA(EXP)sf A3X3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A4A LT AAAsf New Rating AAA(EXP)sf A4B LT AAAsf New Rating AAA(EXP)sf A4X1 LT AAAsf New Rating AAA(EXP)sf A4X2 LT AAAsf New Rating AAA(EXP)sf A4X3 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A5A LT AAAsf New Rating AAA(EXP)sf A5B LT AAAsf New Rating AAA(EXP)sf A5X1 LT AAAsf New Rating AAA(EXP)sf A5X2 LT AAAsf New Rating AAA(EXP)sf A5X3 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A6A LT AAAsf New Rating AAA(EXP)sf A6B LT AAAsf New Rating AAA(EXP)sf A6X1 LT AAAsf New Rating AAA(EXP)sf A6X2 LT AAAsf New Rating AAA(EXP)sf A6X3 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7A LT AAAsf New Rating AAA(EXP)sf A7B LT AAAsf New Rating AAA(EXP)sf A7X1 LT AAAsf New Rating AAA(EXP)sf A7X2 LT AAAsf New Rating AAA(EXP)sf A7X3 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A8A LT AAAsf New Rating AAA(EXP)sf A8B LT AAAsf New Rating AAA(EXP)sf A8X1 LT AAAsf New Rating AAA(EXP)sf A8X2 LT AAAsf New Rating AAA(EXP)sf A8X3 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A9A LT AAAsf New Rating AAA(EXP)sf A9B LT AAAsf New Rating AAA(EXP)sf A9X1 LT AAAsf New Rating AAA(EXP)sf A9X2 LT AAAsf New Rating AAA(EXP)sf A9X3 LT AAAsf New Rating AAA(EXP)sf AX1 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B1A LT AA-sf New Rating AA-(EXP)sf B1X LT AA-sf New Rating AA-(EXP)sf B2 LT A-sf New Rating A-(EXP)sf B2A LT A-sf New Rating A-(EXP)sf B2X LT A-sf New Rating A-(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT BB-sf New Rating BB-(EXP)sf B5 LT B-sf New Rating B-(EXP)sf B6 LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 269 loans with a scheduled balance of $377.42 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages (FRMs) originated mainly by Movement Mortgage, LLC and United Wholesale Mortgage, LLC. The loan-level representations and warranties (R&Ws) are provided by the various sellers and originators. All mortgage loans in the pool will be serviced by JP Morgan Chase Bank (JPMCB), PennyMac Loan Services, loanDepot.com and United Wholesale Mortgage. Cenlar FSB will subservice the loans for United Wholesale Mortgage. Nationstar is the master servicer. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The senior certificates are fixed rate or floating rate and capped at the net weighted average coupon (WAC), and the subordinate classes are based on the net WAC. KEY RATING DRIVERS Credit Risk of Prime Credit Quality (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. The pool consists of fixed-rate, first lien residential mortgage loans with original terms to maturity of 30 years; 69.91% of the loans are purchases, over 90% of the loans are single family/PUDs, and 100% of the loans are owner occupied or second homes. The loans are seasoned at an average of two months. The pool has a weighted average (WA) original FICO score of 773, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (cLTV) of 73.38%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 80.97%. This transaction has a final probability of default (PD) of 9.81% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 35.27%. The expected loss in the 'AAAsf' rating stress is 3.46%. Structural Analysis (Mixed): Senior/Subordinate Shifting-Interest Structure with Full Advancing The mortgage cash flow and loss allocation in JPMMT 2026-1 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 1.00% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 0.75% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the non-retained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent P&I until it is deemed nonrecoverable. As a result, the LS was increased in Fitch's cash flow analysis to account for the servicer recouping the advances. Fitch analyzes the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating its 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 were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm 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 have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects JPMMT 2026-1 to be fully de-linked and the transaction will be structured with a bankruptcy-remote, special-purpose vehicle. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to JPMMT 2026-1. Therefore, Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 9.2%, in the 'Bsf' case. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all 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) from SitiusAMC, Consolidated Analytics, Inglet Blair, Maxwell, and Opus, all assessed as 'Acceptable' TPR firms by Fitch. Fitch was proved Form 15E by the TPR firms. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. All the loans in the pool had a grade of A or B. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination z-score credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool by balance (100.0% by loan count). The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC Maxwell, Inglet Blair, 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 (please refer to the Third-Party Due Diligence section for more details). Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, 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. JP MORGAN 2026-CES1: DBRS Finalizes B Rating on Class B2 Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2026-CES1 (the Notes) issued by J.P. Morgan Mortgage Trust 2026-CES1 (JPMMT 2026-CES1 or the Issuer) as follows: -- $535.7 million Class A-1 at AAA (sf) -- $502.7 million Class A-1A at AAA (sf) -- $33.0 million Class A-1B at AAA (sf) -- $25.8 million Class A-2 at AA (low) (sf) -- $21.1 million Class A-3 at A (low) (sf) -- $19.2 million Class M-1 at BBB (low) (sf) -- $10.7 million Class B-1 at BB (sf) -- $8.8 million Class B-2 at B (sf) Class A-1 is an exchangeable Note. This class can be exchanged for proportionate shares of the depositable Notes (Classes A-1A and A-1B) as specified in the offering documents. The AAA (sf) credit rating reflects 14.75% of credit enhancement provided by the subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (sf) credit ratings reflect 10.65%, 7.30%, 4.25%, 2.55%, and 1.15% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2026-CES1 (the Notes). The Notes are backed by 6,936 mortgage loans with a total principal balance of $628,336,772 as of the Cut-Off Date (December 31, 2025). The portfolio, on average, is seven months seasoned, though seasoning ranges from one to 44 months. Borrowers in the pool represent prime and near-prime credit quality--with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 740, Issuer-provided original combined loan-to-value ratio (CLTV) of 66.9%, and all the loans originated with full documentation standards. All the loans are current and vast majority of the loans (approximately 99.6% of the pool) have never been delinquent since origination. JPMMT 2026-CES1 represents the ninth CES securitization under the JPM shelf. SoFi Bank, N.A. (39.0%), loanDepot.com, LLC (29.8%) and Lakeview Loan Servicing, LLC (19.3%) are the top originators for the mortgage pool. The remaining originators each comprise less than 10.0% of the mortgage loans. NewRez LLC d/b/a Shellpoint Mortgage Servicing (70.2%) and LoanDepot (29.8%) are the Servicers of the loans in this transaction. Wilmington Savings Fund Society, FSB will act as the Owner Trustee, the Indenture Trustee, the Paying Agent, the Note Registrar, and the Certificate Registrar. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Custodian. On or after the earlier of (1) January 2029 or (2) the date when the unpaid principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Optional Redemption Holder (initially, the majority holder of Class XS Notes), or an entity majority owned by the Optional Redemption Holder, may redeem all of the outstanding Notes at a price equal to (A) the class balances of the related Notes; (B) accrued and unpaid interest (including any cap carryover amounts); and (C) unpaid expenses. The proceeds will be distributed to the noteholders in accordance with the priority of payments. Although all the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 1.2% of the loans are designated as non-QM, 7.9% are designated as QM Rebuttable Presumption, and 89.9% are designated as QM Safe Harbor. Approximately 1.0% of the mortgages are loans made to investors for business purposes or were originated by a CDFI designated originator and were not subject to the QM/ATR rules. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicers or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, upon review by the related Servicer, may be considered a Charged-Off Loan. With respect to a Charged-Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged-Off Loans, the recoveries will be included in the interest remittance amount and principal remittance amount and applied in accordance with the respective payment waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure with a pro rata principal payment among the senior A-1A and A-1B tranches. Principal proceeds and excess interest can be used to cover interest carryforwards on the Notes, but such interest carryforwards on Class A-2 and more subordinate bonds will not be paid from principal proceeds until the Class A-1A and A-1B Notes are retired. For this transaction, the Class A-1A, A-1B, A-2, A-3, and M-1 fixed rates step up by 100 basis points on and after the payment date in February 2030. On any Payment Date, interest and principal otherwise payable to the Class B-3 may also be used to pay any Cap Carryover Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2026-CES1: DBRS Gives Prov. B Rating on B2 Notes ---------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-CES1 (the Notes) to be issued by J.P. Morgan Mortgage Trust 2026-CES1 (JPMMT 2026-CES1 or the Issuer) as follows: -- $535.7 million Class A-1 at (P) AAA (sf) -- $502.7 million Class A-1A at (P) AAA (sf) -- $33.0 million Class A-1B at (P) AAA (sf) -- $25.8 million Class A-2 at (P) AA (low) (sf) -- $21.1 million Class A-3 at (P) A (low) (sf) -- $19.2 million Class M-1 at (P) BBB (low) (sf) -- $10.7 million Class B-1 at (P) BB (sf) -- $8.8 million Class B-2 at (P) B (sf) Class A-1 is an exchangeable Note. This class can be exchanged for proportionate shares of the depositable Notes (Classes A-1A and A-1B) as specified in the offering documents. The (P) AAA (sf) credit rating reflects 14.75% of credit enhancement provided by the subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 10.65%, 7.30%, 4.25%, 2.55%, and 1.15% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2026-CES1 (the Notes). The Notes are backed by 6,936 mortgage loans with a total principal balance of $628,336,772 as of the Cut-Off Date (December 31, 2025). The portfolio, on average, is seven months seasoned, though seasoning ranges from one to 44 months. Borrowers in the pool represent prime and near-prime credit quality--with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 740, Issuer-provided original combined loan-to-value ratio (CLTV) of 66.9%, and all the loans originated with full documentation standards. All the loans are current and vast majority of the loans (approximately 99.6% of the pool) have never been delinquent since origination. JPMMT 2026-CES1 represents the ninth CES securitization under the JPM shelf. SoFi Bank, N.A. (39.0%), loanDepot.com, LLC (29.8%) and Lakeview Loan Servicing, LLC (19.3%) are the top originators for the mortgage pool. The remaining originators each comprise less than 10.0% of the mortgage loans. NewRez LLC d/b/a Shellpoint Mortgage Servicing (70.2%) and LoanDepot (29.8%) are the Servicers of the loans in this transaction. Wilmington Savings Fund Society, FSB will act as the Owner Trustee, the Indenture Trustee, the Paying Agent, the Note Registrar, and the Certificate Registrar. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Custodian. On or after the earlier of (1) January 2029 or (2) the date when the unpaid principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Optional Redemption Holder (initially, the majority holder of Class XS Notes), or an entity majority owned by the Optional Redemption Holder, may redeem all of the outstanding Notes at a price equal to (A) the class balances of the related Notes; (B) accrued and unpaid interest (including any cap carryover amounts); and (C) unpaid expenses. The proceeds will be distributed to the noteholders in accordance with the priority of payments. Although all the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 1.2% of the loans are designated as non-QM, 7.9% are designated as QM Rebuttable Presumption, and 89.9% are designated as QM Safe Harbor. Approximately 1.0% of the mortgages are loans made to investors for business purposes or were originated by a CDFI designated originator and were not subject to the QM/ATR rules. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicers or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, upon review by the related Servicer, may be considered a Charged-Off Loan. With respect to a Charged-Off Loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged-Off Loans, the recoveries will be included in the interest remittance amount and principal remittance amount and applied in accordance with the respective payment waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure with a pro rata principal payment among the senior A-1A and A-1B tranches. Principal proceeds and excess interest can be used to cover interest carryforwards on the Notes, but such interest carryforwards on Class A-2 and more subordinate bonds will not be paid from principal proceeds until the Class A-1A and A-1B Notes are retired. For this transaction, the Class A-1A, A-1B, A-2, A-3, and M-1 fixed rates step up by 100 basis points on and after the payment date in February 2030. On any Payment Date, interest and principal otherwise payable to the Class B-3 may also be used to pay any Cap Carryover Amounts. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2026-CES1: S&P Assigns B- (sf) Rating on Cl. B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage Trust 2026-CES1's mortgage-backed notes. The note issuance is an RMBS securitization backed by closed-end, second-lien, fixed-rate, fully amortizing residential mortgage loans to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, a site condo, townhouses, and two- to four-family residential properties. The pool has 6,936 loans and comprises qualified mortgage (QM)/non-higher-priced mortgage loans (safe harbor), non-QM/compliant loans, QM rebuttable presumption loans, and ability-to-repay-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator 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 J.P. Morgan Mortgage Trust 2026-CES1(i) Class A-1A, $502,669,000: AAA (sf) Class A-1B, $32,988,000: AAA (sf) Class A-1, $535,657,000: AAA (sf) Class A-2, $25,761,000: AA- (sf) Class A-3, $21,050,000: A- (sf) Class M-1, $19,164,000: BBB- (sf) Class B-1, $10,682,000: BB- (sf) Class B-2, $8,796,000: B- (sf) Class B-3, $7,226,771: NR Class A-IO-S, notional(ii): NR Class XS, notional(iii): NR Class A-R, not applicable(iv): NR (i)The ratings address the ultimate payment of interest and principal, and do not address payment of the cap carryover amounts. (ii)The class A-IO-S notes will have a notional amount equal to the aggregate unpaid principal balance of the Shellpoint-serviced mortgage loans as of the first day of the related collection period. The class A-IO-S will not be entitled to payments of principal. (iii)The notional amount equals the aggregate unpaid principal balance of the mortgage loans as of the first day of the related due period. (iv)The class A-R notes will not have a class principal amount and are the class of notes representing the residual interest in the issuer. The class A-R notes are not expected to receive payments. Shellpoint--Shellpoint Mortgage Servicing. NR--Not rated. JP MORGAN 2026-NQM1: DBRS Gives Prov. B(low) Rating on B2 Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-NQM1 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2026-NQM1 (the Issuer) as follows: -- $113.8 million Class A-1FCF at (P) AAA (sf) -- $37.9 million Class A-1LCF at (P) AAA (sf) -- $131.8 million Class A-1A at (P) AAA (sf) -- $20.0 million Class A-1B at (P) AAA (sf) -- $151.8 million Class A-1 at (P) AAA (sf) -- $31.8 million Class A-2 at (P) AA (low) (sf) -- $34.0 million Class A-3 at (P) A (low) (sf) -- $10.6 million Class M-1 at (P) BBB (low) (sf) -- $10.4 million Class B-1 at (P) BB (low) (sf) -- $6.4 million Class B-2 at (P) B (low) (sf) Class A-1 is an exchangeable certificate while Classes A-1A and A-1B are the depositable certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 24.10% of credit enhancement provided by the subordinated Certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 16.15%, 7.65%, 5.00%, 2.40% and 0.80% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and non-prime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2026-NQM1. The Certificates are backed by 1,194 loans with a total principal balance of approximately $399,870,664 as of the Cut-Off Date (January 1, 2026). The pool is, on average, three months seasoned with loan ages ranging from one to seventeen months. Approximately 37.4% of the Mortgage Loans by balance were originated by United Wholesale Mortgage, LLC (UWM), 17.4% of the loans were originated by OCMBC, Inc. and 13.4% of the loans were originated by Constructive Loans, LLC. The Mortgage Loan Seller acquired approximately 19.8% from MAXEX Clearing LLC ("MAXEX"). All the other originators individually comprised less than 20% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint will service approximately 88.8% of the loans, United Wholesale Mortgage, LLC will service 8.1% of the loans and, Selene Finance LP will service 3.2% of the loans. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as Master Servicer, Custodian, and Securities Administrator. Wilmington Savings Fund Society, FSB will act as Owner Trustee. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 42.7% of the loans by balance are designated as non-QM. Approximately 47.8% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 2.6% of the pool are designated as QM Safe Harbor, and 2.0% are QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will generally advance delinquent principal and interest on the mortgage loans for four months. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Retaining Sponsor will retain an eligible horizontal residual interest in the transaction in the required amount of no less than 5.0% of the aggregate fair value of the Certificates (other than the Class A-R Certificates) consisting of a portion of the Class B-2, Class B-3, and Class XS Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On any date following the date on which the aggregate UPB of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Optional Clean-Up Call Holder will have the option to terminate the transaction by directing the master servicer to purchase all of the mortgage loans and any real estate owned (REO) property from the Issuer at a price equal to the sum of the aggregate UPB of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, any non-interest-bearing deferred amounts, and expenses that are payable or reimbursable to the transaction parties. The holder of the Trust Certificates may, at its option, on any Distribution Date on or after the date that is the earlier of (i) three years after the Closing Date or (2) the date on which the balance of mortgage loans and REO properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Certificates at the optional termination price described in the transaction documents. Master Servicer on behalf of the Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). The Class A-1A and Class A-1B, and separately the Class A-1FCF and Class A-1LCF, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. The Class A-1 is an exchangeable certificate and can be exchanged with the Class A-1A and Class A-1B as specified in the offering documents. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2, and A-3 Certificates coupon rates step up by 100 basis points on and after the payment date in February 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2, and A-3 Certificates Cap Carryover Amounts after the Class A coupons step up. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are located within certain disaster areas. The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections (PDI) for any property located in a known disaster zone prior to the transactions closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. To the extent that a PDI was ordered prior to closing, but notice of material damages were not available until after closing, the sponsor will repurchase the related loan/loans within 90 days of notification. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2026-NQM1: Moody's Assigns Ba3 Rating to Cl. B-1 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 9 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2026-NQM1, and sponsored by JPMorgan Chase Bank, N.A. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by JPMorgan Chase Bank, N.A., including loans aggregated by MAXEX Clearing LLC (MAXEX; 19.8% by loan balance) and originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing, Selene Finance LP and United Wholesale Mortgage, LLC. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2026-NQM1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-1FCF, Definitive Rating Assigned Aaa (sf) Cl. A-1LCF, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A2 (sf) Cl. M-1, Definitive Rating Assigned Baa3 (sf) Cl. B-1, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 3.11%, in a baseline scenario-median is 2.33% and reaches 24.33% 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 August 2025. 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. JPMCC COMMERCIAL 2014-C20: DBRS Confirms C Rating on Class D Certs ------------------------------------------------------------------ DBRS Limited downgraded its credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C20 issued by JPMCC Commercial Mortgage Securities Trust 2014-C20 as follows: -- Class E to D (sf) from C (sf) -- Class F to D (sf) from C (sf) -- Class G to D (sf) from C (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class D at C (sf) Class D has a credit rating that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. Following the credit rating downgrades, Morningstar DBRS will subsequently discontinue and withdraw its credit ratings on Classes E, F, and G. The credit rating downgrades on Classes E, F, and G resulted from a loss reflected in the January 2026 remittance. The transaction incurred a loss of $44.5 million tied to the liquidation of the Lincolnwood Town Center (Prospectus ID#4), which wiped out Class F, Class G, and the unrated Class NR as well as eroded $9.5 million of Class E. The loan-level loss was generally in line with Morningstar DBRS' expectation of $40.0 million at the last review in February 2025. The credit rating confirmation on Class D at C (sf) reflects Morningstar DBRS' updated loss projections on the largest loan in the pool, 200 West Monroe (Prospectus ID#6; 90.6% of the pool), which is secured by a Class B office property in the Central Loop submarket of Chicago. The loan transferred to special servicing in February 2024 following the borrower's unwillingness to fund operating shortfalls and was last paid through December 2023. According to the servicer's most recent commentary, a receiver was appointed in January 2025 and is currently marketing the property for sale. The most recent rent roll available was dated December 31, 2024, and reported an occupancy rate of 65.8%, in line with YE2023 but ultimately less than the issuance occupancy rate of 84.2%. Financials remain dated, with the loan reporting a YE2023 debt service coverage ratio (DSCR) of 0.21 times (x), and Morningstar DBRS expects current financial performance to remain generally in line with that figure. Morningstar DBRS notes that the loan has failed to reach a DSCR higher than 1.0x since 2017. The in-place tenant roster is granular, with no tenant representing more than 5.3% of the net rentable area (NRA) and an additional 5.2% of the NRA scheduled to expire by YE2026. Submarket dynamics continue to worsen and, according to a Q3 2025 Reis report, office properties in the Central Loop submarket experienced an average vacancy rate of 21.5%, up from 17.5% at Q3 2024. Although an updated appraisal is not available, Morningstar DBRS expects that the property value has declined significantly since issuance given the sustained in-place vacancy, declined cash flow, weakening submarket fundamentals, and lack of leasing activity. Morningstar DBRS' analysis for this loan included a liquidation scenario based on a 75% haircut to the issuance appraised value of $101 million in addition to outstanding advances and expected servicer expenses. This analysis suggested a projected loss severity exceeding 70%, or approximately $32 million, affecting Class D rated at C (sf). The credit rating confirmation also considers the possibility of accrued servicer advances and additional expenses. As of the January 2026 remittance, only two of the original 37 loans remained outstanding with a pool balance of $50.3 million, representing a collateral reduction of 94.3% since issuance. Outside the Lincolnwood Town Center, since the last credit rating action, an additional two loans were successfully repaid from the trust. Notably, Westminster Mall (Prospectus ID#11) was liquidated from the trust in August 2025 with no loss incurred. The only non-specially serviced loan is Madison Place (Prospectus ID#19; 9.4% of the pool), which is on the servicer's watchlist and has an extended maturity date in June 2029. Notes: All figures are in U.S. dollars unless otherwise noted. KREST COMMERCIAL 2021-CHIP: DBRS Confirms B Rating on Class E Certs ------------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of KREST Commercial Mortgage Securities Trust 2021-CHIP, Series 2021-CHIP, as follows: -- Class A at AAA (sf) -- Class X-A at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BB (high) (sf) -- Class E at B (sf) -- Class F at B (low) (sf) All trends are Stable. The credit rating confirmations and trends reflect the overall stable performance of the transaction, which remains in line with Morningstar DBRS' expectations, evidenced by long-term, institutional-quality tenancy from Micron Technology, Inc. (Micron), lack of tenant rollover, and consistent financial performance since issuance. The transaction is collateralized by the fee-simple interest in HQ @ First, a 603,666-square-foot (sf), LEED Gold-certified office campus in San Jose, California. The $408.0 million whole loan comprises $230.0 million in senior debt and $178.0 million in junior debt. The subject transaction of $267.0 million consists of $89.0 million in senior debt and the entire junior debt. The 10-year, fixed-rate loan is interest only (IO) and is structured with an anticipated repayment date (ARD) of August 2031 and a final maturity date of November 2034. The terms of the ARD require that, should the loan remain outstanding beyond that date, it will incur additional interest and will begin hyper-amortizing through its fully extended maturity. The sponsor is KKR Real Estate Select Trust Inc., a private real estate investment trust for individual investors sponsored by KKR & Co. Inc., which contributed $136.3 million of equity to facilitate the subject's acquisition at a purchase price of $535.0 million. Micron, an investment-grade tenant, leases 100.0% of the net rentable area (NRA), on a 16-year lease with an expiration on December 31, 2034. The lease is structured with 3.0% annual contractual rent escalations, no termination options, and two five-year extension options at fair market rent as long as the tenant is not in default under the lease. Micron leased the entire property in 2019 with the intention of growing into the space over time; however, the tenant subleased approximately 20.0% of its space to Zscaler until September 2026 at the 120 Holger Way building. According to several news articles, Zscaler is relocating to Santa Clara, California, in summer 2026. Online leasing from Cushman & Wakefield shows approximately 28.5% of NRA is being advertised for sublease at 120 Holger Way, an increase from the original subleased footprint of Zscaler. The provided property inspection report dated July 2025, the 130 Holdger Way building appeared to be less utilized; however as per the servicer response the tenant is utilizing the entire premises on a hybrid work environment. Although Micron has an extended lease through December 2034, there is no cash trapping mechanism in the event the tenant does vacate at lease expiration in December 2034, one month after the final maturity date, which would complicate refinancing efforts. Currently, the in-place mechanism will be triggered only if Micron loses its investment-grade status, goes dark, or files for bankruptcy protection. As a mitigant to that potential maturity risk, the ARD structure will hyper-amortize the loan down from 2031 through 2034, deleveraging the outstanding debt while Micron remains on the hook for rental payments. According to the trailing nine-month financials for the period ended September 30, 2025, the annualized net cash flow (NCF) was $26.8 million (debt service coverage ratio (DSCR) of 2.18 times (x)), which remains above the YE2024 NCF of $25.9 million (DSCR of 2.10x) and in line with the Morningstar DBRS NCF of $26.6 million derived at issuance. The Morningstar DBRS NCF analysis includes straight-lining of Micron's rent over the loan term given its consideration as a long-term credit tenant. With this review, Morningstar DBRS maintained the valuation approach from the April 2024 review, which was based on a capitalization rate of 7.25% applied to the Morningstar DBRS NCF of $26.6 million. Morningstar DBRS also maintained positive qualitative adjustments to the loan-to-value ratio (LTV) sizing benchmarks totaling 7.0% to reflect the subject property's quality and long-term in-place tenancy with an investment-grade tenant. The Morningstar DBRS-concluded value of $366.7 million represents a -31.8% variance from the issuance appraised value of $538.0 million and implies a whole loan Morningstar DBRS LTV of 111.3%. The credit ratings assigned to Classes B and C are higher than the results implied by the LTV sizing benchmarks. The variances are warranted given the cash flow stability provided by the long-term lease with Micron, as well as the senior position of the bonds in the capital stack. Notes: All figures are in U.S. dollars unless otherwise noted. LAVALLETTE LLC: DBRS Confirms BB(low) Rating on Class C Notes ------------------------------------------------------------- DBRS, Inc. confirmed its following provisional credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Notes) issued by Lavallette LLC pursuant to the Indenture dated November 20, 2025, as amended by the First Supplement Indenture dated as of February 6, 2026, entered into between Lavallette LLC, as Issuer and Wilmington Trust, National Association, as Trustee: -- Class A Notes at (P) AAA (sf) -- Class B Notes at (P) BBB (sf) -- Class C Notes at (P) BB (low) (sf) The provisional credit rating on the Class A Notes addresses the timely payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate return of principal on or before the Stated Maturity. The provisional credit ratings on the Class B Notes and Class C Notes address the ultimate payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate return of principal on or before the Stated Maturity. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the First Supplement Indenture dated as of February 6, 2026, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The First Supplement Indenture extended the first Payment Date, updated the Collateral Quality Test Matrix (the CQM, as defined in Schedule 5 of the Indenture), added the concentration limitation that up to 5% of the Total Capitalization may consist of Collateral Obligations denominated in CAD, EUR and GBP, and increased the Collateral Obligations with obligors domiciled in Tier 2 countries to 2% from 1% of Total Capitalization, among other changes. The Issuer is a cash flow collateralized loan obligation (CLO) transaction that is collateralized primarily by a portfolio of U.S. middle-market (MM) corporate loans. The Issuer is managed by Blue Owl Credit Private Fund Advisors LLC, an affiliate of Blue Owl Capital Inc. Morningstar DBRS considers Blue Owl Credit Private Fund Advisors LLC an acceptable CLO manager. The Reinvestment Period ends on December 31, 2029. The Stated Maturity is February 18, 2038. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The Indenture, dated November 20, 2025, as amended by the First Supplement Indenture dated as of February 6, 2026. (2) The integrity of the transaction structure. (3) Morningstar DBRS' assessment of the portfolio quality and covenants. (4) Adequate credit enhancement to withstand Morningstar DBRS' projected collateral loss rates under various cash flow-stress scenarios. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Blue Owl Credit Private Fund Advisors LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance methodology (the Legal Criteria). The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality test matrix (the CQM, as defined in Schedule 5 of the Indenture). Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: Maximum Average Morningstar DBRS Risk Score Test and Weighted-Average Spread (WAS). Morningstar DBRS analyzed each structural configuration as a unique transaction, and all configurations (matrix points) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS modeled during its analysis are presented below: Coverage Tests: Class A Asset Coverage Test: minimum 159.40% Class B Asset Coverage Test: minimum 118.75% Class C Asset Coverage Test: minimum 109.15% Collateral Quality Tests: Maximum Average Morningstar DBRS Risk Score Test: Subject to the CQM; maximum 40.73% Minimum WAS Test: Subject to the CQM; minimum 4.00% Minimum Weighted Average Coupon Test: minimum 5.00% Minimum DScore: Subject to the CQM; minimum 8 Maximum Weighted Average Life Test: maximum 6.5 years Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle-market loans; (2) the adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the Global Methodology for Rating CLOs and Corporate CDOs (November 10, 2025). Model-based analysis, which incorporated the above-mentioned CQM, produced satisfactory results, which supported the confirmation of the credit ratings on the Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Notes. Notes: All figures are in U.S. dollars unless otherwise noted. LHOME MORTGAGE 2026-RTL1: DBRS Gives Prov. B Rating on M2 Certs --------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to LHOME Mortgage Trust 2026-RTL1 (LHOME 2026-RTL1 or the Issuer) as follows: -- $282.6 million Class A1 at (P) A (low) (sf) -- $21.6 million Class A2 at (P) BBB (low) (sf) -- $25.8 million Class M1 at (P) BB (low) (sf) -- $20.1 million Class M2 at (P) B (sf) The (P) A (low) (sf) credit rating reflects 23.30% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (sf) credit ratings reflect 17.45%, 10.45%, and 5.00% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) to be funded by the issuance of the Mortgage-Backed Notes, Series 2026-RTL1 (the Notes). As of the Initial Cut-Off Date, the Notes are backed by: -- 585 mortgage loans with a total unpaid principal balance of approximately $150,020,307 -- Approximately $150,000,000 in the Accumulation Account -- Approximately $68,400,746 in the RP Accumulation Account -- Approximately $3,000,000 in the Pre-Funding Interest Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. LHOME 2026-RTL1 represents the 24th RTL securitization issued by the Sponsor, Kiavi Funding, Inc. (Kiavi). Kiavi was founded in 2013 as LendingHome Funding Corporation and re-branded as Kiavi in November 2021. Kiavi is a privately held technology-enabled lender that provides business-purpose loans for real estate investors engaged in acquiring, renovating and either reselling or holding for investment purposes single-family residential properties. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTL with original terms to maturity of 12 to 24 months. The loans may include extension options, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include: -- A minimum nonzero weighted-average (NZ WA) FICO score of 740. -- A maximum NZ WA Loan-to-Cost ratio of 91.5%. -- A maximum NZ WA As Repaired Loan-to-Value ratio of 73.0%. RTL FEATURES RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Asset Manager. In the LHOME 2026-RTL1 revolving portfolio, RTLs may be: (1) Fully funded: -- With no obligation of further advances to the borrower, -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions, or -- With a portion of the loan proceeds held back by the Servicer (Interest Reserve Holdback Amounts) for future disbursement to fund interest draw requests upon the satisfaction of certain conditions. (2) Partially funded: -- With a commitment to fund borrower-requested draws for (1) approved rehab, construction, or repairs of the property or (2) interest (Disbursement Requests) upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the LHOME 2026-RTL1 eligibility criteria, unfunded commitments are limited to 40.0% of the portfolio by aggregate principal limit. CASH FLOW STRUCTURE AND DRAW FUNDING The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in July 2028, the Class A1 and A2 fixed rates will step-up by 1.000% the following month. There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicer or any other party to the transaction. However, the Servicer is obligated to fund Servicing Advances which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. The Servicer will satisfy Disbursement Requests by (1) for loans with funded commitments, directing release of funds from the Rehab Escrow Account or the Interest Reserve Holdback Account as applicable or (2) for loans with unfunded commitments, (A) directing the release of funds from the Accumulation Account to fund Rehabilitation Disbursement Request or Payment Account to Interest Draw Election; (B) advancing funds on behalf of the Issuer (Rehabilitation Advances); or (C) advancing funds on behalf of the Issuer (Interest Draw Advance). The Servicer will be entitled to reimburse itself for Disbursement Requests from time to time from the Accumulation Account. The Asset Manager may direct the Paying Agent to remit funds from the RP Accumulation to the Accumulation Account in accordance with the Indenture and the REMIC provisions. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum CE of approximately 5.00% to the most subordinate rated class. The transaction incorporates a Minimum CE Test during the reinvestment period, which if breached, redirects available funds to pay down the Notes, sequentially, prior to replenishing the Accumulation Account, to maintain the minimum CE for the rated Notes. The transaction also employs the Expense Reserve Account, which will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. A Pre-Funding Interest Account is in place to help cover three months of interest payments to the Notes. Such account is funded upfront in an amount equal to $3,000,000. On the payment dates occurring in February 2026, March 2026, and April 2026, the Paying Agent will withdraw a specified amount to be included in the available funds. Historically, Kiavi RTL originations have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated Kiavi's historical mortgage repayments relative to draw commitments and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of this report for more details. OTHER TRANSACTION FEATURES Optional Redemption On any date on or after the earlier of (1) the Payment Date following the termination of the Reinvestment Period or (2) the date on which the aggregate Note Amount falls to less than 25% of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at the par plus interest and fees. Repurchase Option The Depositor will have the option to repurchase any DQ or defaulted mortgage loan at the Repurchase Price, which is equal to par plus interest and fees. However, such voluntary repurchases may not exceed 10.0% of the cumulative unpaid principal balance of the mortgage loans. During the reinvestment period, if the Depositor repurchases DQ or defaulted loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. Loan Sales The Issuer may sell a mortgage loan under the following circumstances: -- The Seller is required to repurchase a loan because of a material breach, a material document defect, or the loan is a non- REMIC qualified mortgage. -- The Depositor elects to exercise its Repurchase Option. -- An automatic repurchase is triggered in connection with the third-party, due diligence review. -- An optional redemption occurs. U.S. Credit Risk Retention As the Sponsor, Kiavi, through a majority-owned affiliate, will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (the Class XS Notes) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool may contain loans secured by mortgage properties that are within certain disaster areas. Although many RTLs have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicer follows a standard protocol, which includes a review of the affected area, borrower outreach if necessary, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with representations and warranties (R&W) specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. Notes: All figures are in U.S. dollars unless otherwise noted. LOANTAKA LLC: DBRS Confirms BB(low) Rating on Class C Notes ----------------------------------------------------------- DBRS, Inc. confirmed the following provisional credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Notes) issued by Loantaka LLC pursuant to the Indenture dated November 20, 2025, as amended by the First Supplement Indenture dated as of February 6, 2026, entered into between Loantaka LLC, as Issuer and Wilmington Trust, National Association, as Trustee: -- Class A Notes at (P) AAA (sf) -- Class B Notes at (P) BBB (sf) -- Class C Notes at (P) BB (low) (sf) The provisional credit rating on the Class A Notes addresses the timely payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate return of principal on or before the Stated Maturity. The provisional credit ratings on the Class B Notes and Class C Notes address the ultimate payment of interest (excluding the post-Event of Default interest rate of 2.00% per annum) and the ultimate return of principal on or before the Stated Maturity. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' review of the First Supplement Indenture dated as of February 6, 2026, by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The First Supplement Indenture extended the first Payment Date, updated the Collateral Quality Test Matrix (the CQM, as defined in Schedule 5 of the Indenture), added the concentration limitation that up to 5% of the Total Capitalization may consist of Collateral Obligations denominated in CAD, EUR and GBP, and increased the Collateral Obligations with obligors domiciled in Tier 2 countries to 2% from 1% of Total Capitalization, among other changes. The Issuer is a cash flow collateralized loan obligation (CLO) transaction that is collateralized primarily by a portfolio of U.S. middle-market (MM) corporate loans. The Issuer is managed by Blue Owl Credit Private Fund Advisors LLC, an affiliate of Blue Owl Capital Inc. Morningstar DBRS considers Blue Owl Credit Private Fund Advisors LLC an acceptable CLO manager. The Reinvestment Period ends on December 31, 2029. The Stated Maturity is February 18, 2038. In its analysis, Morningstar DBRS considered the following aspects of the transaction: (1) The Indenture, dated November 20, 2025, as amended by the First Supplement Indenture dated as of February 6, 2026. (2) The integrity of the transaction structure. (3) Morningstar DBRS' assessment of the portfolio quality and covenants. (4) Adequate credit enhancement to withstand Morningstar DBRS' projected collateral loss rates under various cash flow-stress scenarios. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Blue Owl Credit Private Fund Advisors LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance methodology (the Legal Criteria). The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality test matrix (the CQM, as defined in Schedule 5 of the Indenture). Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: Maximum Average Morningstar DBRS Risk Score Test and Weighted-Average Spread (WAS). Morningstar DBRS analyzed each structural configuration as a unique transaction, and all configurations (matrix points) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS modeled during its analysis are presented below: Coverage Tests: Class A Asset Coverage Test: minimum 159.40% Class B Asset Coverage Test: minimum 118.75% Class C Asset Coverage Test: minimum 109.15% Collateral Quality Tests: Maximum Average Morningstar DBRS Risk Score Test: Subject to the CQM; maximum 40.73% Minimum WAS Test: Subject to the CQM; minimum 4.00% Minimum Weighted Average Coupon Test: minimum 5.00% Minimum DScore: Subject to the CQM; minimum 8 Maximum Weighted Average Life Test: maximum 6.5 years Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle-market loans; (2) the adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the Global Methodology for Rating CLOs and Corporate CDOs (November 10, 2025). Model-based analysis, which incorporated the above-mentioned CQM, produced satisfactory results, which supported the confirmation of the credit ratings on the Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Notes. Notes: All figures are in U.S. dollars unless otherwise noted. MADISON PARK: S&P Affirms BB- (sf) Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, and D-R debt from Madison Park Funding L, Ltd./Madison Park Funding L, LLC, a CLO managed by Credit Suisse Asset Management LLC that was originally issued in April 2021. At the same time, S&P withdrew its ratings on the previous class A, B, C, and D debt following payment in full on the Feb. 4, 2026, refinancing date. S&P also affirmed its rating on the class E debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, and D-R debt was issued at a lower spread over three-month SOFR than the previous debt. -- The non-call period was extended to Aug. 4, 2026. -- No additional assets were purchased on the Feb. 4, 2026, refinancing date, and the target initial par amount remains at 375.00. There was no additional effective date or ramp-up period and the first payment date following the refinancing is April 19, 2026. -- No additional subordinated notes were issued on the refinancing date. -- The credit enhancement for Class A-R notes has changed. -- 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 a lower rating on the class D-R debt and E debt (which was not refinanced). However, given the improved cash flow results for Class D-R and E notes following the refinancing, we assigned 'BBB- (sf)' rating to Class D-R notes, and affirmed our 'BB- (sf)' rating on the class E debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction will soon enter 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." Replacement And Previous Debt Issuances Replacement debt -- Class A-R, $237.625 million: Three-month CME term SOFR + 0.970% -- Class B-R, $47.375 million: Three-month CME term SOFR + 1.400% -- Class C-R (deferrable), $22.50 million: Three-month CME term SOFR + 1.670% -- Class D-R (deferrable), $22.50 million: Three-month CME term SOFR + 2.850% Previous debt -- Class A, $230.625 million: Three-month CME term SOFR + 1.40161% (i) -- Class B, $54.375 million: Three-month CME term SOFR + 1.66161% (i) -- Class C (deferrable), $22.50 million: Three-month CME term SOFR + 1.96161% (i) -- Class D (deferrable), $22.50 million: Three-month CME term SOFR + 3.01161% (i) -- Subordinated notes, $35.60 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. 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 Madison Park Funding L, Ltd./Madison Park Funding L, LLC Class A-R, $237.625 million: AAA (sf) Class B-R, $47.375 million: AA (sf) Class C-R (deferrable), $22.50 million: A (sf) Class D-R (deferrable), $22.50 million: BBB- (sf) Ratings Withdrawn Madison Park Funding L, Ltd./Madison Park Funding L, LLC Class A 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)' Ratings Affirmed Madison Park Funding L, Ltd./Madison Park Funding L, LLC Class E: BB- (sf) Other Debt Madison Park Funding L, Ltd./Madison Park Funding L, LLC Subordinated notes, $35.60 million: NR NR--Not rated. MAIN TRUST 2026-OLAS: DBRS Finalizes B(low) Rating on F Certs ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-OLAS (the Certificates) issued by MAIN Trust 2026-OLAS (MAIN 2026-OLAS, or the Trust): -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The MAIN 2026-OLAS single-asset/single-borrower transaction is collateralized by the borrower's leasehold interest in The Main Las Olas (The Main), a 25-story, 385,761-sf office building on Las Olas Boulevard in downtown Fort Lauderdale, Florida. The Main is the newest office tower in the area. The property was delivered in 2020 and is currently 100.0% leased, reaching this milestone just two years after its construction. There are 33 unique tenants at The Main with a WA lease term (WALT) of 6.9 years, including investment-grade tenants like Raymond James and JP Morgan. The Main is on Las Olas Boulevard between Southeast 2nd Avenue and 3rd Avenue in downtown Fort Lauderdale. The building is part of a large mixed-use development with the adjacent NOVO apartment building that shares a parking garage consisting of 698 spaces plus 50 leased spaces The Main. This residential building is also owned by the sponsor and has a Publix grocery store on the ground floor. The Main's ground floor also contains retail space, highlighted by two restaurants with frontage on Las Olas Boulevard: Fogo de Chão and Moxies. The remaining retail space is on Southeast 3rd Avenue and consists of a Synovus Bank branch and The Tox, a spa. The Main has a sleek glass exterior, with office floors featuring 12-foot ceiling heights and floor-to-ceiling windows. The building is LEED Gold certified and features a large tenant amenity center on the 10th floor with outdoor terraces, a gym, a conference center, and multiple lounge areas. These modern finishes and amenities make The Main the premier destination for office tenants in the Fort Lauderdale CBD. The sponsors of the transaction are Stiles Corporation (Stiles) and Shorenstein Investment Advisers LLC (Shorenstein), which are the developers of the property. Stiles is a full-service real estate firm founded in 1951 that has extensive experience in the Fort Lauderdale market, having developed multiple of the nearby office towers and currently managing more than 1.5 million sf in Fort Lauderdale and the surrounding area. Shorenstein is an experienced real estate operator with more than 100 years of experience. It currently manages $6.8 billion of office assets and 17.3 million sf of office space across the U.S. Overall, Morningstar DBRS has a favorable view of the collateral's credit characteristics given its new vintage, strong occupancy with minimal rollover during the loan term, tenant amenities, and desirable location on Las Olas Boulevard. The Main is poised to withstand the issues facing office properties as a result of the rise of remote and hybrid work, as premier companies look to lease space at the highest-quality office properties on the market. Notes: All figures are in U.S. dollars unless otherwise noted. MARBLE POINT XXI: Moody's Assigns Ba1 Rating to $8MM D-2-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to six classes of CLO refinancing notes (the "Refinancing Notes") issued by Marble Point CLO XXI Ltd. (the "Issuer"). US$240,000,000 Class A-1-R Senior Floating Rate Notes due 2034, Assigned Aaa (sf) US$20,000,000 Class A-2-R Senior Floating Rate Notes due 2034, Assigned Aaa (sf) US$44,000,000 Class B-R Senior Floating Rate Notes due 2034, Assigned Aa2 (sf) US$22,000,000 Class C-R Mezzanine Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$18,000,000 Class D-1-R Mezzanine Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$8,000,000 Class D-2-R Mezzanine Deferrable Floating Rate Notes due 2034, Assigned Ba1 (sf) A comprehensive review of all credit ratings for the respective transactions(s) has been conducted during a rating committee. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Marble Point CLO Management LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's remaining reinvestment period. The Issuer previously issued one other class of secured notes and one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period. No action was taken on the Class E notes because their expected losses remain commensurate with their current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $389,016,758 Diversity Score: 72 Weighted Average Rating Factor (WARF): 2792 Weighted Average Spread (WAS): 3.10% Weighted Average Recovery Rate (WARR): 45.68% Weighted Average Life (WAL): 5 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and lower recoveries on defaulted assets. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. MF1 2026-FL21: DBRS Finalizes B(low) Rating on 3 Note Classes ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes (the Notes) issued by MF1 2026-FL21, LLC (the Issuer): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class A-S-FX at AAA (sf) -- Class B at AAA (sf) -- Class B-FX at AAA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (sf) -- Class F at BBB (low) (sf) -- Class F-E at BBB (low) (sf) -- Class F-X at BBB (low) (sf) -- Class G at BB (high) (sf) -- Class G-E at BB (high) (sf) -- Class G-X at BB (high) (sf) -- Class H at BB (low) (sf) -- Class H-E at BB (low) (sf) -- Class H-X at BB (low) (sf) -- Class I at B (low) (sf) -- Class I-E at B (low) (sf) -- Class I-X at B (low) (sf) All trends are Stable. Morningstar DBRS discontinued and withdrew its rating on the Class C-FX notes initially contemplated in the offering documents, as they were removed from the transaction. Per the Indenture, all or a portion of each Class of Exchangeable Notes may be exchanged as follows: (1) the Class F Notes may be exchanged for proportionate interests in the Class F-E Notes and the Class F-X Notes, (2) the Class G Notes may be exchanged for proportionate interests in the Class G-E Notes and the Class G-X Notes, (3) the Class H Notes may be exchanged for proportionate interests in the Class H-E Notes and the Class H-X Notes, and (4) the Class I Notes may be exchanged for proportionate interests in the Class I-E Notes (collectively with the Class F-E Notes, the Class G-E Notes, and the Class H-E Notes, the MASCOT P&I Notes) and the Class I-X Notes (collectively with the Class F-X Notes, the Class G-X Notes, and the Class H-X Notes, the MASCOT Interest Only Notes). The initial collateral consists of 22 floating-rate and two fixed-rate mortgage loans. The collateral is encumbered by $1.9 billion of debt, consisting of $1.1 billion going into the trust, $68.1 million in future funding, $710.6 million of funded pari passu debt, and $43.2 million in existing mezzanine debt. Six loans (The Beacon at 331, ICON Austin, Greenhouse Short North, Nova Central, Stratford Arms, and FOUND Study Chelsea), representing 19.9% of the initial pool balance, are delayed-close mortgage assets, which are identified in the data tape and included in the Morningstar DBRS analysis. The Issuer is also permitted to acquire certain delayed collateral interests in the 90-day period following the closing date. The transaction is a managed vehicle that includes a 30-month reinvestment period. As part of the reinvestment period, the transaction includes a 120-day ramp-up acquisition period during which the Issuer is expected to increase the trust balance by $113.7 million to a total target collateral principal balance of $1.25 billion. Morningstar DBRS assessed the ramp loans using a conservative pool construct and, as a result, the ramp loans have expected losses greater than the pool's weighted-average expected loss. Reinvestment of principal proceeds during the reinvestment period is subject to eligibility criteria that, among other criteria, include a credit rating agency no-downgrade confirmation (RAC) by Morningstar DBRS for all new mortgage assets and funded companion participations. If a delayed-close asset is not expected to close or be funded prior to the purchase termination date, then the Issuer may acquire any delayed-close collateral interest at any time during the ramp-up acquisition period. The eligibility criteria indicate that only multifamily, manufactured housing, furnished apartment, build-to-rent, or student housing properties can be brought into the pool during the stated ramp-up acquisition period. Additionally, the eligibility criteria establish minimum debt service coverage ratio (DSCR), loan-to-value ratio, and Herfindahl requirements. Certain events within the transaction require the Issuer to obtain a RAC and Morningstar DBRS will confirm that a proposed action or failure to act or other specified event will not, in and of itself, result in the downgrade or withdrawal of the current credit rating. The Issuer is required to obtain an RAC for all acquisitions of companion participations. The loans are secured by properties that are in a period of transition with plans to stabilize and improve the asset value. In total, eight loans, representing 35.4% of the pool, have remaining future funding participations totaling $68.1 million, which the Issuer may acquire in the future. All of the loans in the pool, except for The Lightwell and The Palmer (12.9% of the initial pool balance), have floating interest rates. Morningstar DBRS incorporates an interest rate stress that is based on the lower of a Morningstar DBRS stressed rate that corresponds to the remaining fully extended term of the loans or the strike price of an interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the debt service payments were measured against the Morningstar DBRS As-Is Net Cash Flow, 17 loans representing 71.8% of the initial pool balance, had a Morningstar DBRS As-Is DSCR of 1.00 times (x) or below, a threshold indicative of default risk. Additionally, the Morningstar DBRS Stabilized Net Cash Flow was below 1.00x for 14 of the 24 loans, representing 60.3% of the initial pool balance, which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, Morningstar DBRS does not give full credit to the stabilization if there are no holdbacks or if other structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, Morningstar DBRS generally does not assume the assets will stabilize above market levels. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Amounts and Interest Distribution amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2013-C7: Moody's Lowers Rating on 3 Tranches to B1 ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings on four classes in Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 ("MSBAM 2013-C7"), Commercial Mortgage Pass-Through Certificates, Series 2013-C7 as follows: Cl. C, Downgraded to B1 (sf); previously on Jun 6, 2023 Downgraded to Ba2 (sf) Cl. D, Downgraded to C (sf); previously on Jun 6, 2023 Downgraded to Caa3 (sf) Cl. X-B*, Downgraded to B1 (sf); previously on Jun 6, 2023 Downgraded to Ba2 (sf) Cl. PST, Downgraded to B1 (sf); previously on Jun 6, 2023 Downgraded to Ba2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the two P&I classes were downgraded due to higher anticipated losses and increased interest shortfalls as a result of the exposure to specially serviced loans. Two specially serviced loans (83% of the pool) are in special servicing and have both been deemed non-recoverable by the master servicer. As a result, Cl. D received minimal interest proceeds as of the January 2026 remittance statement and Cl. C previously experienced interest shortfalls in seven of the last eight months. Due to the exposure to non-recoverable loans, Moody's expects interest shortfalls to continue to impact both outstanding classes. The two specially serviced loans include the Valley West Mall (66% of the pool), which is backed by an underperforming regional mall property that has experienced significant performance declines in recent years and 440 Broadway (17% of the pool), secured by a retail property located in New York City that is 100% vacant. The downgrades also reflect the decline in credit support due to the recent liquidation of two loans that resulted in realized losses of over $100 million as of the January 2026 remittance date. There are also outstanding cumulative outstanding advances (P&I, T&I, other expenses and unaccrued unpaid advance interest) of $11.7 million on the two outstanding specially serviced loans. Servicing advances are senior in the transaction waterfall and are paid back prior to any principal recoveries, which may result in lower recovery to the total trust balance. The rating on one IO Class, Cl. X-B, was downgraded based on paydowns of higher rated classes and the decline in credit quality of the remaining referenced class. Cl. X-B originally referenced both Cl. B and Cl. C, however, Cl. B previously paid off in full. The rating on the exchangeable class, Cl. PST, was downgraded based on paydowns of higher rated classes and the decline in credit quality of the remaining referenced exchangeable class. Cl. PST originally referenced C. A-S, Cl. B and Cl. C, however, both Cl. A-S and Cl. B previously paid off in full. Social risk for this transaction is high (IPS S-4), and the transaction's Credit Impact Score is CIS-4. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 76.1% of the current pooled balance, compared to 63.6% at Moody's last review. Moody's base expected loss plus realized losses is now 10.8% of the original pooled balance, compared to 9.1% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 83% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the January 16, 2026 distribution date, the transaction's aggregate certificate balance has decreased by 96% to $57 million from $1.4 billion at securitization. The certificates are collateralized by eight mortgage loans. Two loans (82.5% of the pool) are in special servicing and have been deemed non-recoverable by the master servicer. The specially serviced loans have cumulative outstanding advances (P&I, T&I, other expenses and unaccrued unpaid advance interest) of $11.7 million. The remaining six non-specially serviced loans, representing 17.5% of the pool, were current on their debt service payments. Three loans have been liquidated from the pool, contributing to an aggregate realized loss of $106 million (for a weighted average loss severity of approximately 93%). As of the January 2026 remittance statement cumulative interest shortfalls were $16.6 million and impacted up to Cl. D. Moody's anticipates interest shortfalls will continue because of the non-recoverable determination and the exposure to specially serviced loans and/or modified loans. The largest specially serviced loan is the Valley West Mall ($37.4 million – 65.6% of the pool), which is secured by an 856,400 SF regional mall in Des Moines, Iowa. The property had previously been anchored by Younkers and Von Maur, which closed in 2018 and 2022 respectively, leaving JC Penny as the only remaining anchor. The loan has been in special servicing since August 2019 and is last paid through its July 2022 payment date. The property's performance has declined annually since 2017 and as of July 2025, the property was 42% leased. The property has shown negative net operating incomes (NOIs) since 2023, and a February 2025 appraisal valued the property 86% lower than at securitization and 65% below the outstanding loan balance. Special servicer commentary indicates an appointed receiver is currently managing the sale of property. Moody's anticipates a significant loss on this loan. The second specially serviced loan is the 440 Broadway ($9.6 million – 16.9% of the pool), which is secured by a two-story, 8,655 SF retail property located in the SoHo neighborhood of New York City. The loan transferred to special servicing in January 2023 after failing to pay off at its original maturity date and the loan became real estate owned (REO) in July 2024. The property is currently fully vacant following the departure of the sole tenant, Foot Locker, at its lease expiration in July 2025. The most recent appraisal value in June 2025 was 60% below the value at securitization and 16% below the outstanding loan balance. Moody's anticipates a significant loss on this loan. Moody's have estimated an aggregate loss of $43.4 million (a 92% expected loss on average) from two specially serviced loans. The pool also contains six non-specially serviced performing loans (17.5% of the pool), each secured by a single tenant retail property leased to Walgreens. The loans have amortized on average 53% since securitization and mature between 2030 and 2035. Moody's LTV on these loans are 69% or lower. MORGAN STANLEY 2014-C19: DBRS Confirms C Rating on 5 Classes ------------------------------------------------------------ DBRS Limited confirmed the credit ratings on all classes of the Commercial Pass-Through Certificates, Series 2014-C19 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19 as follows: -- Class X-D at C (sf) -- Class D at C (sf) -- Class X-E at C (sf) -- Class E at C (sf) -- Class F at C (sf) All classes have credit ratings that typically do not carry trends in commercial mortgage-backed securities. The credit rating confirmations reflect Morningstar DBRS' overall outlook and loss expectations for the transaction. During the previous credit rating action in February 2025, Morningstar DBRS downgraded Classes D, E, X-D, and X-E to C (sf) for sustained interest shortfalls that exceeded Morningstar DBRS' tolerance levels at the previous credit ratings for each class. For the purposes of this credit rating action, Morningstar DBRS looked to a recoverability analysis for the remaining loans, the results of which suggest that realized loss projections remain in line with the analysis at the previous credit rating action and support the credit rating confirmations. The realized losses are expected to fully erode the non-rated Class G and a substantial portion of the rated Class F, reducing the credit support for Classes D and E. Since the previous credit rating action, eight loans have repaid from the pool, resulting in a total collateral reduction of 91.4% since issuance. Based on the January 2026 reporting, six loans remain in the pool, four of which are in special servicing, primarily for maturity default. Following foreclosure, two of the four specially serviced loans have become real estate owned while the other two, PacStar Retail Portfolio (Prospectus ID#9; 33.2% of the pool) and Fairfield Inn - Hartsville (Prospectus ID#44; 3.9% of the pool, are pending resolution with foreclosure proceedings anticipated in early 2026. The remaining two loans in the pool, Victory & Tampa Shopping Center (Prospectus ID#14; 20.2% of the pool) and McLean Plaza (Prospectus ID#25; 8.8% of the pool), continue to demonstrate healthy performance and are anticipated to repay in full at maturity in October 2026. The largest loan in the pool, PacStar Retail Portfolio (Prospectus ID#9; 33.2% of the pool), is secured by two anchored retail properties (Yards Plaza in Chicago and Willow brook Court Shopping Center (Willow brook) in Houston). The loan transferred to special servicing in September 2021 for imminent default and is now past due for the maturity in December 2024. According to the most recent servicer's commentary, the Yards Plaza property has been sold through a receiver sale, while the sale of the Willow brook property is expected to close in Q1 2026. Morningstar DBRS analyzed this loan with a liquidation scenario, based on a haircut applied to the July 2025 appraised value of $22.1 million, which resulted in an implied loss of approximately $31.2 million (loss severity in excess of 70%). Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2018-BOP: DBRS Confirms C Rating on 5 Cert. Classes ------------------------------------------------------------------ DBRS Limited downgraded its credit ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2018-BOP issued by Morgan Stanley Capital I Trust 2018-BOP as follows: -- Class A to BB (low) (sf) from BBB (low) (sf) -- Class B to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class C at C (sf) -- Class X-EXT at C (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) Class A continues to carry a Negative trend, while Classes B, C, D, E, F, and X-EXT have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating downgrades reflect Morningstar DBRS' increased loss expectations for the underlying loan, driven by the trust's increasing exposure as the loan continues to be in default and in special servicing, as well as a further decline in appraised value since the last review. The May 2025 appraisals valued the nine remaining properties at $121.0 million, slightly below the June 2024 appraised value of $125.1 million and significantly below the issuance appraised value of $298.7 million for the same nine properties, representing a 59.5% decline from the issuance value. In addition to the decline in value, outstanding advances and shortfalls continue to accrue, increasing the trust's total exposure to $171.8 million as of the January 2025 remittance. Given these factors, Morningstar DBRS considered a conservative liquidation scenario in the analysis for this review, the results of which suggest that losses may be incurred into Class A at disposition. In its liquidation scenario, Morningstar DBRS applied a 25.0% haircut to the May 2025 appraised values to provide cushion against the expected continued build of advances and the potential for further value decline, resulting in a liquidation value of $97.9 million (a loan-to-value ratio of 177.9%) and implying a capitalization rate of 14.1% on the YE2024 net operating income. Inclusive of a 1.0% liquidation fee, an additional year of principal and interest advances, and all current outstanding advances, Morningstar DBRS' liquidation scenario considers that the total trust exposure could reach approximately $188.6 million. That scenario suggests a relatively small loss could be pushed into the Class A certificate, supporting the credit rating downgrades for Classes A and B and maintenance of the Negative trend on Class A. At issuance, the loan was secured by the fee-simple interest in a portfolio of 12 suburban Class B office properties comprising nearly 1.8 million square feet of office space in four different states. The borrower used initial proceeds of $278.4 million, including $55.0 million of mezzanine debt, to refinance existing debt of $259.4 million, fund upfront reserves, and cover closing costs. According to the January 2026 remittance, the loan had a balance of $161.4 million following the release of three properties, representing a collateral reduction of 27.6% since issuance. The portfolio now of consists of nine properties across Maryland (six properties), Florida (one properties), Georgia (one property), and Virginia (one property). The interest-only (IO), five-year loan was repaid pro rata for the initial 20% of the trust amount as per the loan documents and is now paying sequentially. The loan was transferred to special servicing in March 2023 for monetary default ahead of its August 2023 maturity date. The borrower defaulted on both the mezzanine loan and the subject loan, which is now listed as nonperforming matured balloon. According to the servicer, foreclosure sales occurred for all properties during 2025, excluding the Florida asset, which was scheduled for mid-January 2026. A third party was the successful bidder for one of the properties, Montrose Metro I in Rockville, Maryland, with a sales price reported at $17.9 million. That figure is in line with the initial allocated loan balance and above the May 2025 appraised value of $13.0 million. The trust was the winning bidder on the remaining assets, with sales still pending confirmation by the court for the Maryland assets. Monthly interest shortfalls have been affecting Class D since the January 2025 remittance and increased to $240,000 following the most recent appraisal reduction. Morningstar DBRS expects that interest shortfalls will continue to increase as the servicer works through the disposition of the remaining assets. Based on the September 2025 rent rolls, portfolio occupancy was 48.0%, a steep decline from 78.0% at issuance, with leases representing approximately 6.0% of the portfolio's net rentable area scheduled to roll in 2026. According to the Q3 2025 reporting, the loan had an annualized net cash flow of $6.7 million, falling from $10.5 million at YE2024 and YE2023. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-DSC1: DBRS Finalizes B Rating on B2 Certs ------------------------------------------------------------- DBRS, Inc. upgraded the credit rating for Class B-1 from BB (sf) to BB high (sf) and finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2026-DSC1 (the Certificates) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-DSC1 (the Issuer) as follows: -- $121.4 million Class A-1-A at AAA (sf) -- $20.9 million Class A-1-B at AAA (sf) -- $142.4 million Class A-1 at AAA (sf) -- $63.2 million Class A-1FCF at AAA (sf) -- $21.1 million Class A-1LCF at AAA (sf) -- $30.3 million Class A-2 at AA (high) (sf) -- $36.3 million Class A-3 at A (high) (sf) -- $16.3 million Class M-1 at BBB (low) (sf) -- $8.7 million Class B-1 at BB (high) (sf) -- $9.8 million Class B-2 at B (sf) Class A-1 is an exchangeable certificate while Classes A-1-A and A-1-B are exchange certificates. These classes can be exchanged in combinations as specified in the offering documents. The AAA (sf) credit ratings on the Certificates reflect 32.00% of credit enhancement provided by the subordinated Certificates. The AA (high) (sf), A (high) (sf), BBB (low) (sf), BB (high) (sf), and B (sf) credit ratings reflect 22.90%, 12.00%, 7.10%, 4.50%, and 1.55% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed and adjustable-rate investor debt service coverage ratio (DSCR) first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,178 loans with a total principal balance of approximately 333,259,686 as of the Cut-Off Date (January 1, 2026). The pool is, on average, three months seasoned with loan ages ranging from zero to 14 months. Approximately 12.6% of the mortgage loans were originated by Loan Funder LLC, 11.5% of the loans were originated by OCMBC, Inc., and 10.4% were originated by CV3 Financial Services, LLC. The remainder of the mortgage loans originated by various mortgage lending institutions individually comprised less than 10% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as Shellpoint will service 74.0% of the loans, Selene Finance LP will service 14.0% of the loans, and Select Portfolio Servicing Inc. will service 12.0% of the loans, respectively. Computershare Trust Company, N.A., will act as Custodian. Nationstar Mortgage LLC will act as Master Servicer. Citibank, N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay rules and TILA/RESPA Integrated Disclosure rule. Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the MBA method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance; the cost of preservation, restoration, and protection of mortgaged properties; and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, Morgan Stanley Mortgage Capital Holdings LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% in the form of either (1) 5% of each of the Class A-IO-S, Class A-1FCF, Class A-1LCF, Class A-1-A, Class A-1-B, Class A-2, Class A-3, Class M-1, Class B-1, Class B-2, Class B-3, and Class XS Certificates directly; or (2) the Class R-PT Certificates (in the case of an exchange) representing at least 5% of the aggregate initial Class balance (and aggregate initial Class Notional Amount in the case of the Class XS Certificates and Class A-IO-S Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class XS Certificates may, at its option, on or after the earlier of (1) the payment date in January 2029 or (2) the date on which the balance of mortgage loans and real estate owned properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), redeem the Certificates at the optional termination price described in the transaction documents. The Controlling Holder will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-Qualified Mortgage securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Class A-1-A and Class A-1-B, and separately Class A-1FCF and Class A-1LCF, have group-specific allocations of principal, interest, and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. The Class A-1 is an exchangeable certificate and can be exchanged with the Class A-1-A and Class A-1-B as specified in the offering documents. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates and Class M-1 Certificates (and Class B-1 Certificates if issued with a fixed rate). Of note, the Class A Certificates coupon rates step up by 100 basis points on and after the payment date in February 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. Natural Disasters/Wildfires The mortgage pool contains loans secured by mortgage properties that are within certain disaster areas (such as those affected by the Greater Los Angeles wildfires). The Sponsor of the transaction has informed Morningstar DBRS that the servicer has ordered (and intends to order) property damage inspections for any property in a known disaster zone prior to the transaction's closing date. Loans secured by properties known to be materially damaged will not be included in the final transaction collateral pool. The transaction documents also include representations and warranties regarding the property conditions, which state that the properties have not suffered damage that would have a material and adverse impact on the values of the properties (including events such as fire, windstorm, flood, earth movement, and hurricane). Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-DSC1: S&P Assigns B (sf) Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-DSC1's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of three months. The mortgage loans primarily have a 30-year maturity. There are 19 loans with 40-year maturities and two loans with 15-year maturities. The loans are secured by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family, and five- to 10-unit multifamily residential properties. The pool consists of 1,178 loans backed by 1,317 properties, which are ability-to-repay (ATR)-exempt loans. S&P said, "After we assigned our preliminary ratings on Jan. 20, 2026, the sponsor resized the class A-1FCF, A-1LCF, A-1A, A-1B, and the associated exchangeable class A-1 certificates, keeping the subordination credit enhancement unchanged. Also, the class B-1 pass-through rate was priced at the lesser of the fixed-rate and the net WAC rate for the related distribution date. After analyzing the final coupons and the updated structure, our assigned ratings are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC (MSMCH) and Morgan Stanley Bank N.A. (MSBNA); -- The mortgage and originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-DSC1 Class A-1FCF, $63,180,000: AAA (sf) Class A-1LCF, $21,060,000: AAA (sf) Class A-1, $142,376,000: AAA (sf) Class A-1-A, $121,438,000: AAA (sf) Class A-1-B, $20,938,000: AAA (sf) Class A-2, $30,327,000: AA- (sf) Class A-3, $36,325,000: A- (sf) Class M-1, $16,330,000: BBB- (sf) Class B-1, $8,664,000: BB (sf) Class B-2, $9,832,000: B (sf) Class B-3, $5,165,685: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $16,666,485: NR Class R, $0: 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 $333,259,685. NR--Not rated. NEW RESIDENTIAL 2026-NQM2: Fitch Gives B-(EXP) Rating on B2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust 2026-NQM2 (NRMLT 2026-NQM2). Entity/Debt Rating ----------- ------ NRMLT 2026-NQM2 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 882 nonprime loans that were primarily originated by Newrez LLC (Newrez), with a total balance of approximately $508.03 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-NQM2 has a final probability of default (PD) of 36.9% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 42.4%. The expected loss in the 'AAAsf' rating stress is 15.1%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM2 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 notes of the A-1 classes, A-2 class and A-3 class until they are reduced to zero. The A-1 classes will receive interest and principal payments among themselves either pro rata or sequentially, depending on which combination of the A-1 classes is outstanding. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes (see Cash Flow Analysis section for more details). Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5-bp reduction for loans fully reviewed by a third-party review (TPR) firm that has a final grade of either A or B. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects NRMLT 2026-NQM2 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2026-NQM2 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'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by several firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NYC COMMERCIAL 2026-7W34: DBRS Finalizes BB(h) Rating on HRR Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-7W34 (the Certificates) issued by NYC Commercial Mortgage Trust 2026-7W34: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. This single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in 7 West 34th Street, a 12-story, 477,189-square-foot (sf) office tower. Located in Midtown Manhattan (Midtown) on West 34th Street between Fifth Avenue and Sixth Avenue, the collateral is directly across the street from the Empire State Building. The collateral is within walking distance of Penn Station and Madison Square Garden in the heart of the PENN District. As of the January 1, 2026, rent roll, the building was 99.6% leased and primarily occupied by Amazon, which leases 470,143 sf, representing 98.5% of the net rentable area. The collateral includes 25,883 sf of retail space that is currently occupied by Amazon (20,197 sf), LensCrafters (2,010 sf), and Lindt (1,657 sf), with one vacant retail space of approximately 2,019 sf. The remaining space is primarily occupied by the property management office (1,350 sf) and an antenna for telecommunication companies (10 sf). Amazon has been at the property since 2014 and remains the sole office tenant. Amazon uses the office space (floors three through 12) for multiple business functions including Amazon Web Services, TV Studios, and Audible Group. The two lower levels of the collateral serve as Amazon's Prime Now fulfillment facility, the sole location in Manhattan from which all same-day deliveries (south of 96th Street) are completed. Amazon's lease expires in July 2032, more than one year past loan maturity, and the lease has three five-year extension options. The $250.0 million loan, along with $54.5 million of borrower equity, refinanced $300.0 million of existing debt and cover closing costs. The loan represents a Morningstar DBRS loan-to-value ratio of 83.0%. Amazon is an investment-grade tenant, and the lease is fully guaranteed by Amazon.com, Inc. Built in 1901 as a department store, the collateral was heavily renovated in 2014 by Vornado Realty Trust (Vornado or the Sponsor) and Amazon to bring the property up to Class A office quality standards. Between 2014 and 2024, the Sponsor invested approximately $79.2 million of capital expenditure (capex) into the space, including a $35.0 million tenant improvement package for Amazon. In addition to the Sponsor's substantial capex spending, the Sponsor estimates that Amazon invested approximately $400 per square foot (psf) on the build-out of its space, with approximately $325 psf in excess of its received tenant allowances, which included projects such as renovating the lobby, arranging the delivery center for Prime Now, building workspaces and conference rooms for the office space, and creating a studio for its TV division. The collateral is uniquely suited to Prime Now's needs because the property was originally built as a department store with spacious lower levels and a loading dock that can accommodate two 18-wheel trucks at the same time, which are both advantageous for delivery service. Furthermore, the collateral's central location in the heart of Midtown, with access to both 34th Street and 35th Street, presents Prime Now with efficient logistics for its delivery service. The loan includes a cash flow sweep beginning on February 1, 2028, in the event Amazon has not yet extended its lease. Morningstar DBRS considered the cash flow sweep in its analysis and credited the Morningstar DBRS tenant improvement/leasing commission assumptions using a portion of the hypothetical funds that could be swept. The Sponsor is one of the largest publicly traded real estate investment trusts in the U.S., reporting approximately $1.01 billion in cash and cash equivalents as of September 30, 2025. Vornado is an owner, manager, and developer of real estate with the majority of its holdings in Midtown. Vornado has a vested interest in the success of the PENN District as exhibited by its extensive long-term ownership and recent $2.7 billion cash investment to transform the submarket. Overall, Morningstar DBRS has a favorable view of the credit characteristics of the collateral given its large investment-grade credit tenancy in Amazon, minimal lease rollover during the loan term, desirable location, and strong sponsorship. Notes: All figures are in U.S. dollars unless otherwise noted. NYMT LOAN 2026-INV1: S&P Assigns B- (sf) Rating on Cl. B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to NYMT Loan Trust 2026-INV1's mortgage-backed notes. The note issuance is an RMBS securitization backed by first‑lien, fixed‑ and adjustable‑rate, fully amortizing residential mortgage loans to both prime and nonprime borrowers (some with interest‑only periods). The loans are secured by single‑family residential properties, townhomes, planned‑unit developments, condominiums, two‑ to four‑family residential properties, manufactured houses, and multifamily properties. The pool consists of 1,718 business‑purpose investment property loans (including 47 cross‑collateralized loans backed by 208 properties), which are all ability-to-repay exempt. S&P said, "After we assigned preliminary ratings on Jan. 23, 2026, the issuer decided not to issue the class A-1F and A-1IO notes on the closing date, and these classes will not be assigned final ratings. Further, the balances on the class A-1FCF and A-1LCF notes were reduced to $42.000 million and $14.000 million, respectively, from $56.250 million and $18.750 million. As a result, the balances on the class A-1A and A-1B notes were increased to $129.974 million and $23.958 million, respectively, from $71.713 million and $13.219 million. The credit enhancement on each class remains unchanged. In addition, the class B-1 notes were priced with a fixed-rate coupon. After incorporating these changed into our analysis, our final ratings did not change from our preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregator and reviewed originators; -- 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." Ratings Assigned(i) NYMT Loan Trust 2026-INV1 Class A-1, $153,932,000: AAA (sf) Class A-1A, $129,974,000: AAA (sf) Class A-1B, $23,958,000: AAA (sf) Class A-1FCF, $42,000,000: AAA (sf) Class A-1FCX, $42,000,000(ii): AAA (sf) Class A-1LCF, $14,000,000: AAA (sf) Class A-2, $25,159,000: AA (sf) Class A-3, $40,516,000: A (sf) Class M-1, $19,278,000: BBB (sf) Class B-1, $15,520,000: BB- (sf) Class B-2, $10,946,000: B- (sf) Class B-3, $5,391,656: NR Class A-IO-S, notional(iii): NR Class XS, notional(iii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The class A-1FCX will have a notional amount equal to the note amount of class A-1FCF and will not be entitled to payments of principal. (iii)The notional amount will equal the aggregate state principal balance of the mortgage loans as of the first day of the related due period. N/A--Not applicable. NR--Not rated. OCP CLO 2021-23: S&P Assigns BB- (sf) Rating on Class E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R2, B-1R2, C-R2, D-1R2, D-2R2, and E-R2 debt and new class B-2R2 debt from OCP CLO 2021-23 Ltd./OCP CLO 2021-23 LLC, a CLO managed by Onex Credit Partners LLC that was originally issued in December 2021 and underwent a refinancing in January 2025. At the same time, S&P withdrew its ratings on the previous class A-R, B-R, C-R, D-1R, D-2R, and E-R debt following payment in full on the Jan. 30, 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-R2 debt was issued at a higher spread over three-month term SOFR than the existing debt. -- The replacement class B-1R2, D-1R2, D-2R2, and E-R2 debt was issued at a lower spread over three-month term SOFR than the existing debt. -- The replacement class C-R2 debt was issued at the same spread over three-month term SOFR as the existing debt. -- The new class B-2R2 debt was issued with a fixed coupon. -- The stated maturity and non-call period dates were extended by approximately two years, and the reinvestment period was extended by three years. 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 analyses 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 OCP CLO 2021-23 Ltd./OCP CLO 2021-23 LLC Class A-R2, $252.00 million: AAA (sf) Class B-1R2, $44.00 million: AA (sf) Class B-2R2, $8.00 million: AA (sf) Class C-R2 (deferrable), $24.00 million: A (sf) Class D-1R2 (deferrable), $24.00 million: BBB- (sf) Class D-2R2 (deferrable), $3.00 million: BBB- (sf) Class E-R2 (deferrable), $13.00 million: BB- (sf) Ratings Withdrawn OCP CLO 2021-23 Ltd./OCP CLO 2021-23 LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA+ (sf)' Class C-R to NR from 'A+ (sf)' Class D-1R to NR from 'BBB- (sf)' Class D-2R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' Other Debt OCP CLO 2021-23 Ltd./OCP CLO 2021-23 LLC Subordinated notes, $62.96 million: NR NR--Not rated. PARK AVENUE 2019-2: S&P Affirms B+ (sf) Rating on Class D-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-RR, A-2-RR, B-RR, and C-RR debt from Park Avenue Institutional Advisers CLO Ltd. 2019-2/Park Avenue Institutional Advisers CLO LLC 2019-2, a CLO managed by HPS Investment Partners LLC that was originally issued in October 2019 and underwent its first refinancing in October 2021. At the same time, S&P withdrew its ratings on the previous class A-1-R, A-2-R, B-R, and C-R debt following payment in full on the Feb. 3, 2026, refinancing date. S&P also affirmed its rating on the class D-R debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 15, 2026. -- No additional assets were purchased on the Feb. 3, 2026, refinancing date, and the target initial par amount remains at $400 million. There was no additional effective date or ramp-up period and the first payment date following the refinancing is April 15, 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 a lower rating on the class C-RR and D-R debt (which was not refinanced). However, we assigned our 'BBB- (sf)' rating on the class C-RR debt and affirmed our 'B+ (sf)' rating on the class D-R debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, the low 'CCC' exposure, and the overall credit quality of the portfolio since our last rating action on the transaction. Additionally, the deal remains in its reinvestment period, and the refinancing is viewed as credit neutral to credit positive for the transaction. However, if performance does not improve and/or metrics deteriorate, this could result in potential negative rating actions going forward. Lastly, we believe the payment of principal or interest on the class D-R debt when due does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012." Replacement And Previous Debt Issuances Replacement debt -- Class A-1-RR, $248.00 million: Three-month CME term SOFR + 1.05% -- Class A-2-RR, $56.00 million: Three-month CME term SOFR + 1.50% -- Class B-RR (deferrable), $22.60 million: Three-month CME term SOFR + 1.70% -- Class C-RR (deferrable), $25.40 million: Three-month CME term SOFR + 3.40% Previous debt -- Class A-1-R, $248.00 million: Three-month CME term SOFR + 1.18% + CSA (i) -- Class A-2-R, $56.00 million: Three-month CME term SOFR + 1.70% + CSA (i) -- Class B-R (deferrable), $22.60 million: Three-month CME term SOFR + 2.22% + CSA (i) -- Class C-R (deferrable), $25.40 million: Three-month CME term SOFR + 3.50% + CSA (i) -- Class D-R (deferrable), $16.00 million: Three-month CME term SOFR + 7.20% + CSA (i) -- Subordinated notes, $36.70 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. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, 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. 2019-2/ Park Avenue Institutional Advisers CLO LLC 2019-2 Class A-1-RR, $248.00 million: AAA (sf) Class A-2-RR, $56.00 million: AA (sf) Class B-RR (deferrable), $22.60 million: A (sf) Class C-RR (deferrable), $25.40 million: BBB- (sf) Ratings Withdrawn Park Avenue Institutional Advisers CLO Ltd. 2019-2/ Park Avenue Institutional Advisers CLO LLC 2019-2 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 to NR from 'BBB- (sf)' Ratings Affirmed Park Avenue Institutional Advisers CLO Ltd. 2019-2/ Park Avenue Institutional Advisers CLO LLC 2019-2 Class D-R: B+ (sf) Other Debt Park Avenue Institutional Advisers CLO Ltd. 2019-2/ Park Avenue Institutional Advisers CLO LLC 2019-2 Subordinated notes, $36.70 million: NR NR--Not rated. PMT LOAN 2026-CNF1: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 55 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2026-CNF1, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages aggregated by PennyMac Corp. originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-CNF1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aa1 (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-23X*, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-24X*, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-25X*, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-26X*, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-27X*, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aaa (sf) Cl. A-28X*, Definitive Rating Assigned Aaa (sf) Cl. A-29, Definitive Rating Assigned Aaa (sf) Cl. A-29X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X5*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X10*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X16*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aa1 (sf) Cl. A-X20*, Definitive Rating Assigned Aa1 (sf) Cl. A-X22*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned on January 26, 2026, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.52%, in a baseline scenario-median is 0.26% and reaches 6.72% 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 August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PMT LOAN 2026-INV2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 57 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2026-INV2, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages aggregated, originated and serviced by PennyMac Corp. Issuer: PMT Loan Trust 2026-INV2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aa1 (sf) Cl. A-29, Assigned (P)Aa1 (sf) Cl. A-30, Assigned (P)Aa1 (sf) Cl. A-31, Assigned (P)Aa1 (sf) Cl. A-32, Assigned (P)Aa1 (sf) Cl. A-33, Assigned (P)Aa1 (sf) Cl. A-34, Assigned (P)Aaa (sf) Cl. A-34X*, Assigned (P)Aaa (sf) Cl. A-35, Assigned (P)Aaa (sf) Cl. A-35X*, Assigned (P)Aaa (sf) Cl. A-36, Assigned (P)Aaa (sf) Cl. A-36X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aa1 (sf) Cl. A-X3*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X9*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X15*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X21*, Assigned (P)Aaa (sf) Cl. A-X24*, Assigned (P)Aaa (sf) Cl. A-X27*, Assigned (P)Aaa (sf) Cl. A-X30*, Assigned (P)Aa1 (sf) Cl. A-X33*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.75%, in a baseline scenario-median is 0.45% and reaches 7.69% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. POINT SECURITIZATION 2026-1: DBRS Gives Prov. B Rating on B2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Option-Backed Notes (the Notes) to be issued by Point Securitization Trust 2026-1 as follows: -- $254.7 million Class A-1 at (P) A (low) (sf) -- $54.2 million Class A-2 at (P) BBB (low) (sf) -- $37.5 million Class B-1 at (P) BB (low) (sf) -- $28.4 million Class B-2 at (P) B (sf) The (P) A (low) (sf) credit rating reflects a cumulative advance rate of 67.9% for the Class A-1 Notes, the (P) BBB (low) (sf) credit rating reflects a cumulative advance rate of 82.4% for the Class A-2 Notes, the (P) BB (low) (sf) credit rating reflects a cumulative advance rate of 92.4% for the Class B-1 Notes, and the (P) B (sf) credit rating reflects a cumulative advance rate of 100.0% for the Class B-2 Notes. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home Equity Investments (HEIs) allow homeowners access to the equity in their homes without having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). A homeowner receives an upfront cash payment (an Advance or an Investment Amount) in exchange for giving an Investor (i.e., an Originator) a stake in their property. The homeowner retains sole right of occupancy of the property and pays all upkeep and expenses during the term of the HEI, but the Originator earns an investment return based on the future value of the property, typically subject to a returns cap. Like reverse mortgage loans, the HEI underwriting approach is asset based, meaning there is greater emphasis placed on the value of the underlying property and the amount of home equity than on the credit quality of the homeowner. The property value is the main focus for predicting investment return because it is the primary source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the Advance and any Originator return is primarily subject to the amount of appreciation/depreciation on the property, the amount of debt that may be senior to the HEI, and the cap on investor return. As of the cut-off date, 451 contracts in the transaction are first-lien contracts, representing roughly $41.97 million in current intrinsic value; 3,108 are second-lien contracts, representing roughly $311.14 million in current intrinsic value; and 259 are third-lien contracts, representing roughly $21.79 million in current intrinsic value. Of the pool, 11.19% of the contracts are first lien and have a weighted-average (WA) HEI percentage of 59.39%, 82.99% are second-lien contracts and have a WA HEI percentage of 56.43%, and the remaining 5.81% of the pool are third-lien contracts with a WA HEI percentage of 57.61%. This brings the entire transaction's WA HEI percentage to 56.83%. To better understand the contract math, please see the example in the Contract Mechanics-Worked Example section of the accompanying deal report. The current unadjusted loan-to-value ratio (LTV) of the pool is 35.35% (i.e., of senior liens ahead of the contracts). At cut-off, the pool had a WA HEI thickness of 16.55%, and a current WA combined loan-to-value ratio (CLTV) of 51.97%. The transaction uses a sequential structure. For cash distributions that are paid prior to the occurrence of a Credit Event, payments are first made to the Interest Amounts and any Interest Carryover on the Class A-1, Class A-2, Class B-1 (prior to the occurrence of a Class B-1 payment-in-kind (PIK) Date), and Class B-2 (prior to the occurrence of a Class B-2 PIK Date) Notes. Payments are then made to the Note Amount of Class A-1 until such notes are paid off. With respect to Class A-2, B-1, and B-2 Notes, payments are then made to Note Amount until Note Amount of the Class A-2, Class B-1, and Class B-2 Notes are paid off with an amount up to the amount of Net Sale Proceeds (if any) that was included in the total Available Funds on such Payment Date in sequential order. If a Class B-1 PIK Date or Class B-2 PIK Date occurs, then payments of interest that would go to the Class B-1 and B-2 Notes will instead be redirected first to the Advance Facility Provider, followed by principal to the Class A-1 Notes until reduced to zero. For cash distributions that are paid post the occurrence of a Credit Event, payments are first made to the Interest Amounts and any Interest Carryover on Class A-1 Notes. In the event that the Class A-1 Notes have not been redeemed or paid in full, on or after the Expected Redemption Date, the A-2 Notes Accrual Amount would be paid first to Class A-1 Notes until its paid off and then as Additional Accrued Amounts to Class A-1 Notes, until such amounts have been reduced to zero. If the Class A-1 Notes have been redeemed or paid in full prior to the Redemption Date, payments are made to the Interest Amounts and any unpaid Interest Carryover on Class A-2 Notes. The Class B-1 and B-2 Notes are accrual notes and will not be entitled to any payments of principal until Classes A-1 and A-2 are paid down along with their respective Additional Accrued Amounts that have accrued but were previously unpaid. With respect to the Class A-1 Notes, payments are first made to the Note Amount until such amounts are reduced to zero and then to the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until such amounts are reduced to zero on Class A-1 Notes. The Class A-2 Notes are then paid their respective Note Amount until it's paid off and the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until it's reduced to zero. The Class B-1 Notes are then paid their respective Note Amount until it's paid off and the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until reduced to zero. Lastly, the B-2 Notes are then paid their respective Note Amount until it's paid off and the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until reduced to zero. Notes: All figures are in U.S. dollars unless otherwise noted. POST CLO 2022-1: S&P Affirms B+ (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, and D-R debt from Post CLO 2022-1 Ltd./Post CLO 2022-1 LLC, a CLO managed by Post Advisory Group LLC that was originally issued in March 2022. At the same time, S&P withdrew its ratings on the previous class A, B, C, and D debt following payment in full on the Feb. 3, 2026, refinancing date. S&P also affirmed its ratings on the class E debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The class A-R debt non-call period was extended to Jan. 20, 2027. -- The class B-R, C-R, and D-R debt non-call period was extended to July 20, 2026. -- No additional assets were purchased on the Feb. 3, 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 April 20, 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 a lower rating on the class C-R and D-R debt (which was refinanced) and the class E debt (which was not refinanced). However, we assigned our 'A+ (sf)' and 'BBB- (sf)' ratings on the replacement class C-R and D-R debt, respectively, and ' B+ (sf) ' on the class E debt after considering the margin of failure, the relatively stable overcollateralization (O/C) ratio since our last rating action on the transaction. In addition, we believe the payment of principal or interest on the 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. "We were aware that the class C, D, and E debt was not passing its cash flows at the current rating level even before the proposed refinancing. This was due largely due to the par losses as reflected in the decline in the O/C levels. In addition, there has been an overall deterioration as reflected in the increases in 'CCC/D' rated assets and a drop in the portfolio's weighted average recovery and spread. The benefits of a lower cost of funding do not seem to fully offset the above and, as a result, the class C, D, and E debt do not pass their cash flows at the current level even after considering the refinancing. However, refinancing decreases the margin of failure, and we view this as an improvement. In addition, we considered the tranche's credit enhancement and the portfolio's exposure to 'CCC' and 'CCC-' rated obligors and decided to affirm its current rating. Any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future." Replacement And Previous Debt Issuances Replacement debt -- Class A-R, $252.00 million: Three-month CME term SOFR + 1.10% -- Class B-R, $52.00 million: Three-month CME term SOFR + 1.45% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 1.70% -- Class D-R (deferrable), $24.00 million: Three-month CME term SOFR + 3.10% Previous debt -- Class A, $252.00 million: Three-month CME term SOFR + 1.38% -- Class B, $52.00 million: Three-month CME term SOFR + 1.90% -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 2.10% -- Class D (deferrable), $24.00 million: Three-month CME term SOFR + 3.20% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Post CLO 2022-1 Ltd. / Post CLO 2022-1 LLC Class A-R, $252.00 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R, $24.00 million: A+ (sf) Class D-R, $24.00 million: BBB- (sf) Ratings Withdrawn Post CLO 2022-1 Ltd. / Post CLO 2022-1 LLC Class A 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)' Ratings Affirmed Post CLO 2022-1 Ltd. / Post CLO 2022-1 LLC Class E: B+ (sf) Other Debt Post CLO 2022-1 Ltd. / Post CLO 2022-1 LLC Subordinated Notes: $35.40 million: NR NR--Not rated. PPM CLO 6-R: Fitch Affirms BBsf Rating on Class E-R Notes --------------------------------------------------------- Fitch Ratings has affirmed the ratings on six classes of notes of PPM CLO 6-R Ltd. (PPM 6). Fitch has also revised the Rating Outlook on the class E-R notes to Negative from Stable and maintained Stable Outlooks for all other rated tranches. Entity/Debt Rating Prior ----------- ------ ----- PPM CLO 6-R Ltd. A-2-R 693975AL8 LT AAAsf Affirmed AAAsf B-R 693975AE4 LT AA+sf Affirmed AA+sf C-1-R 693975AG9 LT Asf Affirmed Asf C-2-R 693975AN4 LT Asf Affirmed Asf D-R 693975AJ3 LT BBB-sf Affirmed BBB-sf E-R 693976AA0 LT BBsf Affirmed BBsf Transaction Summary PPM 6 is a broadly syndicated collateralized loan obligation (CLO) managed by PPM Loan Management Company 2, LLC. PPM 6 originally closed as a static transaction in December 2022 and was reset in December 2023 with an approximate five-year reinvestment period ending in January 2029. The CLO is secured primarily by first lien, senior secured leveraged loans. KEY RATING DRIVERS Cumulative Par losses and Portfolio Spread Compression The Negative Outlook is driven by additional portfolio par losses since the last review in August 2025. Based on the collateral balance adjusted for trustee-reported recoveries on defaulted assets in January 2026, par losses stemming from defaults and credit risk sales increased by 1.5% of the original target portfolio par amount since the last review, resulting in a cumulative loss of 2.6%. As a result, credit enhancement (CE) and breakeven default rate (BEDR) cushions have eroded for the rated notes. The reported weighted average spread (WAS) for PPM 6 also declined to 3.22% from 3.41% at the last review in August 2025, contributing to the reduction in BEDR cushions, interest coverage (IC) test cushions and available excess spread. The class D IC test had failed in October 2025 and was back in compliance in the following months. As of the January 2026 payment date, the class E-R and F-R notes had deferred a total of less than USD30,000 in interest payments. Stable Credit Quality and Portfolio Management The credit quality of the portfolio remained at the 'B+'/'B' rating level since last review. The Fitch-calculated weighted average rating factor (WARF) of the performing portfolio improved to 22.7 from 23.2 at the last review. Exposure to assets with a Negative Outlook and Fitch's watchlist decreased to 14.9% and 6.8%, respectively, from 17.2% and 7.7%, respectively, at the prior review. There are two Fitch recognized defaults, comprising 1.2% of the portfolio. The Fitch weighted-average recovery rate (WARR) is at 72.2%, relatively stable since the last review. The portfolio includes 253 obligors, with the top 10 obligors accounting for 7.1% of the portfolio balance. In addition, approximately 4.4% of the portfolio is comprised of bonds. Reinvestment of proceeds during the reinvestment period is contingent on the maintenance and improvement of failing collateral quality tests, which currently include the WAS, minimum weighted average coupon and the Moody's WARF tests. Cash Flow Analysis Fitch updated its cash flow analysis of the current portfolio and ran an updated Fitch Stressed Portfolio analysis, given the manager's ability to reinvest. The affirmations are in line with their model-implied ratings (MIRs) except for the class E-R notes, whose rating is one notch above the MIR. Fitch considered the failures in the class E-R modeling results to be modest to minimal at their current ratings, with the potential for positive cushions from portfolio improvements during the reinvestment period. As a result, Fitch affirmed the class E-R rating one notch above its MIR and revised the Outlook to Negative due to its sensitivity to further portfolio deterioration and portfolio losses. The Stable Outlooks of all other rated tranches reflect Fitch's expectation that the notes have sufficient credit protection to withstand potential deterioration in the credit quality of the portfolios under stress scenarios commensurate with each class's rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected portfolio losses are higher than those assumed at closing and the notes' credit enhancement does not offset the higher-than-initially assumed loss expectation; - A 25% increase in the mean default rate across all ratings, together with a 25% decrease in the recovery rate at all rating levels for the current portfolio, would result in downgrades of at least one rating category for the class E-R notes and up to four notches for all other notes, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance. - Except for the 'AAAsf' rated notes, which are at the highest level on Fitch's scale and cannot be upgraded, a 25% reduction of the mean default rate across all ratings, along with a 25% increase of in the recovery rate at all rating levels for the current portfolio, would result in upgrades of up to five notches, based on MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received regarding the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. 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 or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for PPM CLO 6-R 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. PRKCM 2026-AFC1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to PRKCM 2026-AFC1 Trust's series 2026-AFC1 mortgage-backed notes. The note issuance is an RMBS securitization backed by a pool of first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, townhomes, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 971 loans, comprising qualified mortgage (QM) safe harbor (average prime offer rate), QM rebuttable presumption, non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans. The preliminary ratings are based on information as of Feb. 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's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's outlook is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) PRKCM 2026-AFC1 Trust Class A-1A, $168,911,000: AAA (sf) Class A-1B, $27,179,000: AAA (sf) Class A-1, $196,090,000: AAA (sf) Class A-1FCF, $49,500,000: AAA (sf) Class A-1LCF, $16,500,000: AAA (sf) Class A-2, $37,053,000: AA (sf) Class A-3, $31,058,000: A (sf) Class M-1, $14,349,000: BBB (sf) Class B-1, $8,173,000: BB (sf) Class B-2, $6,539,000: B (sf) Class B-3, $3,996,051: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount is initially $363,258,051.35 and will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. PRPM 2026-RCF1: Fitch Gives 'BB-sf' Rating to Class M2 Notes ------------------------------------------------------------ Fitch Ratings has assigned final ratings to PRPM 2026-RCF1, LLC (PRPM 2026-RCF1). RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ---- PRPM 2026-RCF1 A1 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 M2 LT BB-sf New Rating BB-(EXP)sf B LT NRsf New Rating NR(EXP)sf CERT LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 1,496 loans with a balance of $410.51 million as of the cutoff date. This will be the 11th PRPM RCF transaction to be rated by Fitch and the first RCF transaction of 2026. The notes are secured by a pool of recently originated and seasoned, fixed-rate and adjustable-rate, fully amortizing, interest-only and balloon, performing and re-performing mortgage loans secured by first and second liens on generally single-family residential properties, planned unit developments, condominiums, two- to four-family residential properties, co-operative shares manufactured housing, and townhouses. Based on the transaction documents, 65.84% of the pool loans represent collateral with a defect or exception to guidelines that preclude the loans from a government-sponsored entity (GSE) pool (scratch and dent [S&D]). The remaining loans are reperforming loans or seasoned non-qualified mortgage (QM) loans or individual taxpayer identification number (ITIN) loans. The loans were originated by various originators, with no originator contributing more than 10% to the pool. Following the servicing transfer, which will take place on or before 45 days after the closing date, SN Servicing Corp. (SNSC), rated 'RSS3' by Fitch, will service 53.9% of the loans, Fay Servicing, rated 'RSS2' by Fitch, will service 38.6%, and NewRez LLC, d/b/a Shellpoint Mortgage Servicing and rated 'RSS2+' by Fitch, will service 7.5%. The majority of the loans adhere to QM or are exempt from QM rules. Only 15.32% are non-QM loans. Fitch did not adjust the QM status in its analysis under the revised "U.S. RMBS Rating Criteria." The offered A and M notes are fixed rate and capped at available funds. The B note is a principal-only (PO) bond and is not entitled to interest. Similar to non-QM transactions, classes A and M have a step-up coupon feature that is triggered if the deal is not called in January 2030. Fitch was only asked to rate class A-1, A-2, A-3, M-1 and M-2 notes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality Mortgage Assets (Negative): 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. The borrowers in this pool have relatively strong credit profiles with a Fitch-determined weighted average (WA) FICO score of 738, current WA FICO of 715, and a 39.6% Fitch-determined debt-to-income ratio (DTI). The borrowers also have moderate leverage with an original combined loan-to-value ratio (CLTV), as determined by Fitch, of 78.6%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 77.1%. Of the loans in the pool, 65.8% are loans that are considered S&D, 22.5% are RPL, 9.5% are ITIN loans, and 2.2% are seasoned non-QM loans. The majority of the loans are fully documented, but 24.9% are less than full documentation (bank statement, DSCR, other). PRPM 2026-RCF1 has a final probability of default (PD) of 45.642% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 49.49%. The expected loss in the 'AAAsf' rating stress is 22.59%. Structural Analysis (Mixed) — Sequential Mortgage Cash Flow and Overcollateralization in PRPM 2026-RCF1: The transaction utilizes a sequential-payment structure with no advances of delinquent (DQ) principal or interest. The transaction also includes a structural feature where it reallocates interest from the more junior classes to pay principal on the more senior classes on or after the occurrence of a credit event. The amount of interest paid out as principal to the more senior classes is added to the balance of the affected junior classes. This feature allows a faster paydown of the senior classes. The positive attributes of the sequential structure are offset by the fact that the transaction will not write down the bonds due to potential losses or under collateralization. In periods of adverse performance, the subordinate bonds will continue to be paid interest, at the expense of principal payments that otherwise would support the more senior bonds. In a more traditional structure, the subordinate bonds would be written down and accrue a smaller amount of interest. The potential for increasing amounts of under collateralization is mitigated by reallocation of available funds after a credit event. The servicers will not be advancing DQ monthly payments of principal and interest (P&I). Because P&I advances made on behalf of loans that become DQ and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS is less in this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAAsf' rated classes and ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on DQ loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. In this structure, interest payments and fees are paid from the interest waterfall prior to the occurrence of a credit event. The principal waterfall will pay any current and unpaid accrued interest amounts to the classes prior to principal being paid sequentially, starting with the A-1 class prior to the occurrence of a credit event. On and after the occurrence of a credit event, fees will be paid out of available funds; after the fees are paid, interest and principal will be paid out of available funds with interest still being prioritized in the structure over the payment of principal. Coupons on the notes are based on the lower of the available funds cap (AFC) and the stated coupon. If the AFC is paid, it is considered a coupon cap shortfall (interest shortfall). The coupon cap shortfall amount is the difference between interest that was paid (per the AFC) and what should have been paid based on the stated coupon. If the transaction is not called on the expected redemption date (January 2030), the coupons step up 100 bps. Class B and the certificate class will be issued as PO bonds and will not accrue interest. The transaction has overcollateralization (OC), which will provide subordination and protect the classes from losses. Classes will not be written down by realized losses. Operational Risk Analysis (Negative): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. For S&D transactions, credit is not given to loans with a due diligence grade of A or B since these loans have a material defect. The loans are penalized for having C and D grades. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects PRPM 2026-RCF1 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to PRPM 2026-RCF1 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity 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 37.4%, at 'AAA'. 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 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. SALUDA GRADE 2026-HB1: DBRS Finalizes B(low) Rating on B2 Notes --------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Mortgage-Backed Notes, Saluda Grade Alternative Mortgage Trust Asset-Backed Securities, Series 2026-HB1 (the Notes) issued by Saluda Grade Alternative Mortgage Trust 2026-HB1 (GRADE 2026-HB1 or the Trust): -- $242.6 million Class A-1A at AAA (sf) -- $242.6 million Class A-1AX at AAA (sf) -- $36.7 million Class A-1B at AAA (sf) -- $36.7 million Class A-1BX at AAA (sf) -- $279.3 million Class A-1X at AAA (sf) -- $18.0 million Class M-1 at AA (low) (sf) -- $21.7 million Class M-2 at A (low) (sf) -- $20.0 million Class M-3 at BBB (low) (sf) -- $15.0 million Class B-1 at BB (low) (sf) -- $10.5 million Class B-2 at B (low) (sf) The AAA (sf) credit ratings on the Notes reflect 23.90% of credit enhancement provided by subordinate notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 19.00%, 13.10%, 7.65%, 3.55% and 0.70% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of asset-backed securities (the Notes). The Notes are backed by 3,208 loans (individual HELOC draws) which correspond to HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $366,9555,243 and a total current credit limit of $439,855,163 as of the Cut-Off Date (December 31, 2025). The portfolio, on average, is four months seasoned, though seasoning ranges from zero to 22 months. All the HELOCs are current and vast majority of the loans (approximately 99.5%) have never been 30 or more (30+) days delinquent since origination. All the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. GRADE 2026-HB1 represents the ninth HELOC securitization by the Sponsor, Saluda Grade Opportunities Fund LLC (Saluda Grade). HELOC Features In this transaction, all loans are open-HELOCs that have a draw period two, three, four or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. After the draw term, HELOC borrowers have a repayment period ranging from three to 25 years and are no longer allowed to draw. All HELOCs in this transaction are adjustable-rate mortgage loans. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. While these HELOCs do not need to be fully drawn at origination, the weighted-average (WA) utilization rate of approximately 95.2% after four months of seasoning on average. Transaction and Other Counterparties All the mortgages were originated by HomeBridge Financial Services, Inc. NewRez LLC d/b/a Shellpoint Mortgage Servicing will service 100% of the loans within the pool for a servicing fee of 0.20% per year. Wilmington Savings Fund Society, FSB (WSFS Bank) will serve as the Custodian, Indenture Trustee, Delaware Trustee, Paying Agent, Note Registrar, and Certificate Registrar. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws, and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class G Certificates. If the aggregate draws exceed the principal collections (Net Draw), Goldman Sachs Bank USA (rated "A" (high) with a Stable trend by Morningstar DBRS), as the VFL Lender, will be required to advance any such Net Draw up to the amount of $15,000,000 (VFL Commitment Amount) until January 2031. If the VFL Lender is not obligated to advance such amount, or after January 2031, the holder of the Issuer Trust Certificate will be required to fund any such portion of Net Draws. The Certificate Principal Balance of the Class G Certificates will increase by any such amount remitted by the VFL Lender or the holder of the Issuer Trust Certificate, as applicable. Saluda Grade, as holder of the Issuer Trust Certificates, will have an ultimate responsibility to ensure draws are funded as long as all borrower conditions are met to warrant draw funding. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Saluda Grade. Rather, the analysis relies on the creditworthiness of the VFL Lender and the assets' ability to generate sufficient cash flows to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, upon review by the related Servicer, may be charged off. Transaction Structure This transaction incorporates a pro-rata cash flow structure; however, principal payment will be distributed sequentially so long as none of the Class M-1, M-2, or M-3 Notes is a Locked Out Class, as described in the related report under Cashflow Structure and Features. On the first Payment Date, each of the Class M-1, M-2, and M-3 Notes will be a Locked-Out Class. Additionally, the pro rata cash flow structure is subject to a Credit Event, which is based on certain performance trigger events related to cumulative losses and delinquencies. If a Credit Event is in effect, principal distributions are made sequentially. Cumulative Loss and Delinquency Trigger Events are applicable immediately after the Closing Date. Relative to a sequential pay structure, a pro rata structure subject to a sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Other Transaction Features The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Notes to satisfy the credit risk-retention requirements. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable. On any payment date or after the first payment date when the Fixed Rate Notes balance falls to or below 20% of the initial balance, the Issuer, at the direction of the Controlling Holder, may exercise a call and purchase all of the outstanding Notes at the redemption price (Optional Redemption) described in the transaction documents. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the real estate owned (REO) properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the Servicer will have the option to purchase the mortgage loans and REO properties at the termination price described in the transaction documents (Clean-Up Call). The Sponsor will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. Notes: All figures are in U.S. dollars unless otherwise noted. SALUDA GRADE 2026-HB1: DBRS Gives Prov. B(low) Rating on B2 Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Mortgage-Backed Notes, Saluda Grade Alternative Mortgage Trust Asset-Backed Securities, Series 2026-HB1 (the Notes) to be issued by Saluda Grade Alternative Mortgage Trust 2026-HB1 (GRADE 2026-HB1 or the Trust): -- $242.6 million Class A-1A at (P) AAA (sf) -- $242.6 million Class A-1AX at (P) AAA (sf) -- $36.7 million Class A-1B at (P) AAA (sf) -- $36.7 million Class A-1BX at (P) AAA (sf) -- $279.3 million Class A-1X at (P) AAA (sf) -- $18.0 million Class M-1 at (P) AA (low) (sf) -- $21.7 million Class M-2 at (P) A (low) (sf) -- $20.0 million Class M-3 at (P) BBB (low) (sf) -- $15.0 million Class B-1 at (P) BB (low) (sf) -- $10.5 million Class B-2 at (P) B (low) (sf) The (P) AAA (sf) credit ratings on the Notes reflect 23.90% of credit enhancement provided by subordinate notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 19.00%, 13.10%, 7.65%, 3.55% and 0.70% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of asset-backed securities (the Notes). The Notes are backed by 3,208 loans (individual HELOC draws) which correspond to HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance (UPB) of $366,9555,243 and a total current credit limit of $439,855,163 as of the Cut-Off Date (December 31, 2025). The portfolio, on average, is four months seasoned, though seasoning ranges from zero to 22 months. All the HELOCs are current and vast majority of the loans (approximately 99.5%) have never been 30 or more (30+) days delinquent since origination. All the loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. GRADE 2026-HB1 represents the ninth HELOC securitization by the Sponsor, Saluda Grade Opportunities Fund LLC (Saluda Grade). HELOC Features In this transaction, all loans are open-HELOCs that have a draw period two, three, four or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. After the draw term, HELOC borrowers have a repayment period ranging from three to 25 years and are no longer allowed to draw. All HELOCs in this transaction are adjustable-rate mortgage loans. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. While these HELOCs do not need to be fully drawn at origination, the weighted-average (WA) utilization rate of approximately 95.2% after four months of seasoning on average. Transaction and Other Counterparties All the mortgages were originated by HomeBridge Financial Services, Inc. NewRez LLC d/b/a Shellpoint Mortgage Servicing will service 100% of the loans within the pool for a servicing fee of 0.20% per year. Wilmington Savings Fund Society, FSB (WSFS Bank) will serve as the Custodian, Indenture Trustee, Delaware Trustee, Paying Agent, Note Registrar, and Certificate Registrar. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws, and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class G Certificates. If the aggregate draws exceed the principal collections (Net Draw), Goldman Sachs Bank USA (rated "A" (high) with a Stable trend by Morningstar DBRS), as the VFL Lender, will be required to advance any such Net Draw up to the amount of $15,000,000 (VFL Commitment Amount) until January 2031. If the VFL Lender is not obligated to advance such amount, or after January 2031, the holder of the Issuer Trust Certificate will be required to fund any such portion of Net Draws. The Certificate Principal Balance of the Class G Certificates will increase by any such amount remitted by the VFL Lender or the holder of the Issuer Trust Certificate, as applicable. Saluda Grade, as holder of the Issuer Trust Certificates, will have an ultimate responsibility to ensure draws are funded as long as all borrower conditions are met to warrant draw funding. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Saluda Grade. Rather, the analysis relies on the creditworthiness of the VFL Lender and the assets' ability to generate sufficient cash flows to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, upon review by the related Servicer, may be charged off. Transaction Structure This transaction incorporates a pro-rata cash flow structure; however, principal payment will be distributed sequentially so long as none of the Class M-1, M-2, or M-3 Notes is a Locked Out Class, as described in the related report under Cashflow Structure and Features. On the first Payment Date, each of the Class M-1, M-2, and M-3 Notes will be a Locked-Out Class. Additionally, the pro rata cash flow structure is subject to a Credit Event, which is based on certain performance trigger events related to cumulative losses and delinquencies. If a Credit Event is in effect, principal distributions are made sequentially. Cumulative Loss and Delinquency Trigger Events are applicable immediately after the Closing Date. Relative to a sequential pay structure, a pro rata structure subject to a sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Other Transaction Features The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Notes to satisfy the credit risk-retention requirements. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable. On any payment date or after the first payment date when the Fixed Rate Notes balance falls to or below 20% of the initial balance, the Issuer, at the direction of the Controlling Holder, may exercise a call and purchase all of the outstanding Notes at the redemption price (Optional Redemption) described in the transaction documents. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the real estate owned (REO) properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the Servicer will have the option to purchase the mortgage loans and REO properties at the termination price described in the transaction documents (Clean-Up Call). The Sponsor will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the Repurchase Price, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. Notes: All figures are in U.S. dollars unless otherwise noted. SANTANDER BANK 2023-A: Moody's Ups Rating on Cl. F Notes from Ba3 ----------------------------------------------------------------- Moody's Ratings upgrades 10 classes of notes issued from 3 auto loan securitizations and 2 credit-linked notes transactions. The securitization notes are backed by pools of retail automobile loan contracts originated and serviced by multiple parties. Santander Bank Auto Credit-Linked Notes, Series 2022-C and 2023-A transfer credit risk to noteholders through a hypothetical financial guaranty on a reference pool of auto loans. The complete rating actions are as follows: Issuer: CarMax Auto Owner Trust 2024-3 Class B Asset-backed Notes, Upgraded to Aaa (sf); previously on Apr 1, 2025 Upgraded to Aa1 (sf) Class C Asset-backed Notes, Upgraded to Aa1 (sf); previously on Apr 1, 2025 Upgraded to Aa3 (sf) Class D Asset-backed Notes, Upgraded to A1 (sf); previously on Apr 1, 2025 Upgraded to A3 (sf) Issuer: CarMax Auto Owner Trust 2024-4 Class B Asset-backed Notes, Upgraded to Aaa (sf); previously on Nov 5, 2024 Definitive Rating Assigned Aa1 (sf) Class C Asset-backed Notes, Upgraded to Aa1 (sf); previously on Nov 5, 2024 Definitive Rating Assigned Aa3 (sf) Class D Asset-backed Notes, Upgraded to Aa3 (sf); previously on Apr 1, 2025 Upgraded to A3 (sf) Issuer: GECU Auto Receivables Trust 2023-1 Class C Notes, Upgraded to Aaa (sf); previously on Apr 4, 2025 Upgraded to Aa1 (sf) Class D Notes, Upgraded to A1 (sf); previously on Apr 4, 2025 Upgraded to Baa1 (sf) Issuer: Santander Bank Auto Credit-Linked Notes, Series 2022-C Class F Notes, Upgraded to Aa1 (sf); previously on Apr 4, 2025 Upgraded to A2 (sf) Issuer: Santander Bank Auto Credit-Linked Notes, Series 2023-A Class F Notes, Upgraded to Baa1 (sf); previously on Apr 4, 2025 Upgraded to Ba3 (sf) A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade actions are primarily driven by the buildup of credit enhancement due to structural features including a sequential pay structure, non-declining reserve account and overcollateralization. For Santander Bank Auto Credit-Linked Notes, Series 2022-C and 2023-A, the rating actions are primarily driven by increasing subordination. Moody's lifetime cumulative net loss expectations are noted below for the transaction pools. The loss expectations reflect updated performance trends on the underlying pools. CarMax Auto Owner Trust 2024-3: 1.50% CarMax Auto Owner Trust 2024-4: 1.40% GECU Auto Receivables Trust 2023-1: 3.25% Santander Bank Auto Credit-Linked Notes, Series 2022-C: 1.10% Santander Bank Auto Credit-Linked Notes, Series 2023-A: 1.85% No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "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 Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's current expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's current expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties including further restatement of performance data, lack of transactional governance and fraud. SANTANDER MORTGAGE 2026-NQM2: S&P Assigns (P)B Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Santander Mortgage Asset Receivable Trust 2026-NQM2's mortgage-backed notes. The note issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, two- to four-family units, condominiums, townhouses, manufactured housing, and a condotel property. The pool consists of 659 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-repay (ATR) compliant, or ATR-exempt. The preliminary ratings are based on information as of Feb. 2, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The 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. 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) Santander Mortgage Asset Receivable Trust 2026-NQM2 Class A-1, $102,886,000: AAA (sf) Class A-1A, $87,985,000: AAA (sf) Class A-1B, $14,901,000: AAA (sf) Class A-1FCF, $77,165,000: AAA (sf) Class A-1LCF, $25,721,000: AAA (sf) Class A-2, $19,520,000: AA (sf) Class A-3, $32,780,000: A (sf) Class M-1, $14,900,000: BBB (sf) Class B-1, $10,878,000: BB (sf) Class B-2, $8,940,000: B (sf) Class B-3, $5,215,426: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class PT, $298,005,426: NR Class R, not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the net weighted average coupon shortfall amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. SCG 2024-MSP: DBRS Confirms B Rating on Class F Certs ----------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates issued by SCG 2024-MSP Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) -- Class HRR at B (low) (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance of the underlying collateral, as evidenced by weighted-average (WA) portfolio occupancy, average daily rate (ADR), and revenue per available room (RevPAR) figures that remain in line with Morningstar DBRS' issuance expectations. The transaction is collateralized by the borrower's fee-simple interest or leasehold interests in a portfolio of four Marriott-branded full-service hotels. The portfolio totals 1,016 keys and includes properties in Atlanta, Georgia (254 keys; 15.7% of allocated loan amount (ALA)); Costa Mesa, California (253 keys; 20.7% of ALA); and Scottsdale, Arizona (two properties totaling 509 keys; 63.6% of ALA). The loan is sponsored by Starwood Capital Group, a private investment firm that, at issuance, had acquired more than 400,000 hotel keys with $115 billion in assets under management. The $220.2 million interest-only, floating-rate loan was structured with an initial two-year term and three one-year extension options. The loan is currently on the servicer's watchlist for the upcoming April 2026 maturity date; however, Morningstar DBRS has received no indication of the borrower's plans regarding the first extension option. Each extension option requires the borrower to purchase a new interest rate cap agreement that yields a minimum debt service coverage ratio (DSCR) of 1.20 times (x); however, the borrower does not need to meet portfolio performance tests in order to exercise any option. Property releases are permitted, with release premiums of 110.0% for the first 20.0% of the original principal balance and 115.0% thereafter. The sponsor, however, is prohibited from releasing both the Marriott at McDowell Mountains and the Marriott Costa Mesa properties, as at least one of these properties is required to remain as collateral throughout the loan term. The transaction also has a partial pro rata pay structure that allows for pro rata paydowns for the first 20% of the original principal balance. According to the STR, Inc. report for the trailing 12-month (T-12) period ended September 30, 2025, the portfolio reported WA occupancy, ADR, and RevPAR figures of 69.4%, $218.96, and $150.66, respectively, outperforming the WA competitive set figures of 67.7%, $189.77, and $127.64, respectively. The reported metrics show a slight decline from the T-12 figures for the period ended December 30, 2024, of 69.1%, $224.25, and $153.16, respectively; however, performance remains slightly above Morningstar DBRS' issuance expectations, with concluded occupancy, ADR, and RevPAR figures of 64.3%, $217.15, and $139.59, respectively. As of the T-12 financials ended September 30, 2025, the portfolio reported a net cash flow (NCF) of $22.5 million, compared with $23.4 million at YE2024 and the Morningstar DBRS issuance-derived figure of $20.4 million. Portfolio NCF currently results in a 1.23x DSCR, and should the borrower choose to extend the loan beyond the initial maturity date, the required purchase of a new interest rate cap agreement will ensure a minimum DSCR of 1.20x. At issuance, Morningstar DBRS derived a portfolio value of $234.2 million based on the Morningstar DBRS NCF of $20.4 million and a capitalization rate of 8.72%, resulting in a Morningstar DBRS loan-to-value (LTV) of 94.0%. This valuation was maintained for this review. The Morningstar DBRS Value represents a variance of -24.9% from the issuance appraised value of $312.0 million (appraised LTV of 70.6%). In addition, Morningstar DBRS maintained positive qualitative adjustments to the LTV S Sizing Benchmarks, totaling 4.75% to reflect the recent capital expenditures, strong underlying market fundamentals, and post-pandemic cash flow recovery across the collateral. Morningstar DBRS expects the portfolio to continue to perform in line with issuance expectations throughout the remainder of the loan term. Notes: All figures are in U.S. dollars unless otherwise noted. SEQUOIA MORTGAGE 2026-1: Fitch Rates Class B5 Certs 'Bsf' --------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-1 (SEMT 2026-1). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2026-1 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 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 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 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 AIO67 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 544 loans with a total balance of approximately $670.12 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from Rocket Mortgage and various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure with full advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted-average (WA) Fitch FICO of 777 and 35.7% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 71.8% mark-to-market combined LTV (cLTV). Overall, 95.1% 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 consisting of two loan drops and updated balances. The issuer also provided a corresponding updated structure. Fitch re-ran its asset and cash flow analysis and confirmed there were no changes to its previous expected ratings. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-1 has a final probability of default (PD) of 9.35% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 35.09%. The expected loss in the 'AAAsf' rating stress is 3.28%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-1 are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The credit CE or a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 97.9% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. SEMT 2026-1 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 SEMT 2026-1 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 37.3% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SILVER POINT 15: Fitch Assigns 'BB+sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Silver Point CLO 15, Ltd. Entity/Debt Rating ----------- ------ Silver Point CLO 15, Ltd. A LT NRsf New Rating A-L LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1A LT BBB-sf New Rating D-1B LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Silver Point CLO 15, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point CLO Equity Fund II Manager, 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. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.35% first lien senior secured loans and has a weighted average recovery assumption of 73.36%. 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 that of other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+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 Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. ESG Considerations Fitch does not provide ESG relevance scores for Silver Point CLO 15, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. SILVER POINT 15: Moody's Assigns B3 Rating to $250,000 Cl. F Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of notes issued and one class of loans incurred by Silver Point CLO 15, Ltd. (the Issuer or Silver Point CLO 15): Up to US$320,000,000 Class A Secured Floating Rate Notes due 2039, Definitive Rating Assigned Aaa (sf) US$50,000,000 Class A-L Loans maturing 2039, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Secured Deferrable Floating Rate Notes due 2039, Definitive Rating Assigned B3 (sf) The notes and loans listed are referred to herein, collectively, as the Rated Debt. On the closing date, the Class A Notes and the Class A-L Loans have a principal balance of $270,000,000 and $50,000,000, respectively. At any time, the Class A-L Loans may be converted, in whole or in part, into Class A Notes, thereby decreasing the principal balance of the Class A-L Loans and increasing the principal balance of the Class A Notes by the corresponding amount. The aggregate principal balance of the Class A Notes and Class A-L Loans will not exceed $320,000,000 less the amount of any principal repayments. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Silver Point CLO 15 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of assets that are not senior secured loans or eligible investments. The portfolio is approximately 95% ramped as of the closing date. Silver Point CLO Equity Fund II Manager, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2948 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. SPGN 2026-TFLM: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to SPGN Trust 2026-TFLM Commercial Mortgage Pass-Through Certificates, Series 2026-TFLM as follows: - $335,600,000a class A 'AAA(EXP)sf'; Outlook Stable; - $65,300,000a class B 'AA-(EXP)sf'; Outlook Stable; - $51,300,000a class C 'A-(EXP)sf'; Outlook Stable; - $72,200,000a class D 'BBB-(EXP)sf'; Outlook Stable; - $59,850,000a class E 'BB(EXP)sf'; Outlook Stable; - $30,750,000ab class HRR 'BB-(EXP)sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) horizontal risk retention interest. The expected ratings are based on information provided by the issuer as of Feb. 2, 2026. Transaction Summary The certificates represent the beneficial interest in a trust that holds a $615.0 million two-year, floating rate, interest only mortgage loan with three, one-year extension options. The loan will be secured by a first-lien deed of trust on the borrower's fee simple interest in The Florida Mall, a super-regional mall located in Orlando, FL. The mall is owned by a special purpose entity comprising a joint venture between affiliates of Simon Property Group, L.P., and TIAA Florida Mall, LLC, a wholly owned subsidiary of Teachers Insurance and Annuity Association of America, for the benefit of TIAA REA. The Florida Mall is a trophy super-regional mall located in the Central Park submarket of Orlando. The mall has over 1.7 million square feet of space, of which, 1.1 million square feet of space is part of the collateral. The property is the largest shopping center in Central Florida and is among the nation's largest and most productive retail centers. Mortgage loan proceeds are being used to refinance $600 million in existing CMBS debt securitized in SPGN 2022-TFLM, fund outstanding landlord obligations in the amount of approximately $2.2 million, return equity to the sponsor and pay closing-related costs. The mortgage loan is expected to be co-originated by Bank of America, N.A, German American Capital Corporation, Societe Generale Financial Corporation, BNP Paribas US Wholesale Holdings, Corp., and PNC Bank, National Association who will act as mortgage loan sellers. Midland Loan Services, a Division of PNC Bank, National Association will act as servicer. Torchlight Loan Services, LLC will act as special servicer. Computershare Trust Company, National Association will act as both the trustee and certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. The certificates will follow a sequential-pay structure, and the transaction is scheduled to close on Feb. 18, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) is estimated at $59.4 million. This is 16.8% lower than the issuer's NCF of $71.5 million and 13.4% lower than the TTM ended October 2025 NCF. Fitch applied an 8.5% cap rate to derive a Fitch value of $699.2 million. High Fitch Total Leverage: The $615 million whole loan ($555 psf) has a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 1.02x, 88.0% and 9.7%, respectively. The loan represents approximately 58.7% of the appraised value of approximately $1.05 billion. Fitch reduced its LTV hurdles by 2.5% to account for the higher total leverage. Collateral Quality: Florida Mall has benefited from sponsor reinvestment over the past decade, including the redevelopment of three former anchor spaces into updated retail wings and new entertainment uses. Additions include an outdoor lifestyle area, Crayola Experience, Dick's Clothing & Sporting Goods, and a 16-unit Food Pavilion with a mix of national and local tenants. The outdoor lifestyle area includes American Girl, H&M, Zara, and Primark, which opened a nearly 50,000 SF space in 2024 and is leased through August 2034. Fitch toured the property and assigned a property quality grade of "B+". Strong Sales Performance: Comparable TTM in-line sales as of October 2025 were reported at approximately $1,390 psf with an in-line occupancy cost of approximately 11.1%, while comparable in-line sales and occupancy costs, excluding Apple, were approximately $689 psf and 20.0%, respectively. For the year end 2024 period, the four department store anchors achieved over an estimated $88.5 million in sales, with Dillard's registering approximately $23.0 million in sales; Macy's approximately $42.5 million; J.C. Penney $14 million; and Sears approximately $9 million. Institutional Sponsor and Experienced Operator: Simon Property Group, Inc. is a self-administered and self-managed real estate investment trust. Simon owns, develops and manages premier shopping, dining, entertainment and mixed-use destinations, which consist primarily of malls, premium outlets, and the mills. As of Sept. 30, 2025, Simon owned or held an interest in 194 income-producing properties comprising 183 million square feet in the United States. Nuveen Real Estate is a global real estate investment manager and a wholly owned subsidiary of TIAA, a Fortune 100 financial services organization and one of the largest managers of institutional capital in the world. Founded in 1898 and headquartered in Chicago, IL, Nuveen acts as TIAA REA's asset manager with approximately $141 billion in real estate assets under management as of June 30, 2025, according to the issuer. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf;' - 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf'/'BBsf'/'B+sf'/'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf;' - 10% NCF Increase: 'AAAsf'/'AAsf'/'A+sf'/'BBBsf'/'BB+sf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. STEELE CREEK 2016-1: Moody's Lowers Rating on $6MM F-R Notes to Ca ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by Steele Creek CLO 2016-1, Ltd.: US$19,750,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Upgraded to Aaa (sf); previously on May 22, 2025 Upgraded to Aa1 (sf) Moody's have also downgraded the ratings on the following notes: US$13,500,000 Class E-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Downgraded to Caa1 (sf); previously on October 15, 2025 Downgraded to B3 (sf) US$6,000,000 Class F-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class F-R Notes"), Downgraded to Ca (sf); previously on September 04, 2024 Downgraded to Caa3 (sf) Steele Creek CLO 2016-1, Ltd., issued in June 2016, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in June 2023. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratio since October 2025. The Class A-R notes have been paid down by approximately 74.2% or 21.6 million since then. Based on Moody's calculations, the OC ratio for the Class C-R notes is currently 153.88%, versus October 2025 level of 142.02%. The downgrade rating actions on the Class E-R and Class F-R notes reflect the specific risks to the junior notes posed by credit deterioration and par loss observed in the underlying CLO portfolio. Based on Moody's calculations, the weighted average rating factor (WARF) has been deteriorating and the current level is 3105 compared to 2977 in October 2025. Furthermore, the OC ratios for Class E-R and for Class F-R notes are currently 103.43% and 96.77%, respectively, versus October 2025 levels of 104.28% and 98.92%, respectively. No actions were taken on the Class A-R, Class B-R and Class D-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $95,312,104 Defaulted par: $3,897,199 Diversity Score: 42 Weighted Average Rating Factor (WARF): 3105 Weighted Average Spread (WAS): 3.22% Weighted Average Recovery Rate (WARR): 46.38% Weighted Average Life (WAL): 2.81 years Par haircut in OC tests and interest diversion test: 5.14 % In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. STONE STREET 2015-1: DBRS Confirms BB Rating on Class C Notes ------------------------------------------------------------- DBRS, Inc. confirmed three credit ratings on the notes issued by Stone Street Receivables Funding 2015-1. -- Series 2015-1, Class A Notes AAA (sf) Confirmed -- Series 2015-1, Class B Notes BBB (sf) Confirmed -- Series 2015-1, Class C Notes BB (sf) Confirmed CREDIT RATING RATIONALE/DESCRIPTION Credit rating rationale includes the key analytical considerations: -- The transaction's capital structure, current ratings, and sufficiency of available credit enhancement that has increased since inception. Credit enhancement is provided through overcollateralization, cash reserve account and subordination. -- The generally high credit quality of annuity providers and their improved capitalization positions and risk-management frameworks, which have been enhanced since the global financial crisis of 2008-2009. -- The transaction's performance to date, with zero defaults and zero losses and no triggers in effect. -- The transaction parties' capabilities with respect to origination, underwriting, and servicing. -- The transaction's assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update," published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. TOWD POINT 2026-1: Fitch Gives B+(EXP) Rating to Class B3 Debt -------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Towd Point Mortgage Trust 2026-1 (TPMT 2026-1). RATING ACTIONS Entity/Debt Rating ----------- ------ Towd Point Mortgage Trust 2026-1 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1L LT NR(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT BB-(EXP)sf Expected Rating B3 LT B+(EXP)sf Expected Rating B4 LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes to be issued by Towd Point Mortgage Trust 2026-1 (TPMT 2026-1) as indicated above. The transaction is expected to close on Feb. 10, 2026. The notes are supported by 1,012 primarily seasoned performing loans (SPLs) and reperforming loans (RPLs) with a total balance of approximately $500 million as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicers will advance delinquent (DQ) monthly payments of P&I for up to 150 days (under the OTS method) or until deemed nonrecoverable. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. TPMT 2026-1 has a Final PD of 19.8% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 17.3%. The expected loss in the 'AAAsf' rating stress is 3.4%. Structural Analysis (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the most senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those notes in the absence of servicer advancing. Additionally, excess cashflow resulting from difference between interest earned on mortgage collateral and amount paid on the notes may be available to cover unpaid reimbursement amounts on notes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 40.9% of the loans in the transaction. Fitch applies a 5% PD reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects TPMT 2026-1 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 36.7% 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 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. TOWD POINT 2026-FIX1: DBRS Finalizes B(low) Rating on 5 Tranches ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following Asset-Backed Securities, Series 2026-FIX1 (the Notes) to be issued by Towd Point Mortgage Trust 2026-FIX1 (TPMT 2026-FIX1 or the Trust): -- $287.2 million Class A1 at AAA (sf) -- $19.4 million Class A2 at AA (sf) -- $17.7 million Class M1 at A (sf) -- $16.1 million Class M2A at BBB (sf) -- $13.9 million Class M2B at BBB (low) (sf) -- $7.9 million Class B1 at BB (low) (sf) -- $2.2 million Class B2 at B (low) (sf) -- $19.4 million Class A2A at AA (sf) -- $19.4 million Class A2AX at AA (sf) -- $19.4 million Class A2B at AA (sf) -- $19.4 million Class A2BX at AA (sf) -- $19.4 million Class A2C at AA (sf) -- $19.4 million Class A2CX at AA (sf) -- $19.4 million Class A2D at AA (sf) -- $19.4 million Class A2DX at AA (sf) -- $17.7 million Class M1A at A (sf) -- $17.7 million Class M1AX at A (sf) -- $17.7 million Class M1B at A (sf) -- $17.7 million Class M1BX at A (sf) -- $17.7 million Class M1C at A (sf) -- $17.7 million Class M1CX at A (sf) -- $17.7 million Class M1D at A (sf) -- $17.7 million Class M1DX at A (sf) -- $16.1 million Class M2AA at BBB (sf) -- $16.1 million Class M2AAX at BBB (sf) -- $16.1 million Class M2AB at BBB (sf) -- $16.1 million Class M2ABX at BBB (sf) -- $16.1 million Class M2AC at BBB (sf) -- $16.1 million Class M2ACX at BBB (sf) -- $16.1 million Class M2AD at BBB (sf) -- $16.1 million Class M2ADX at BBB (sf) -- $13.9 million Class M2BA at BBB (low) (sf) -- $13.9 million Class M2BAX at BBB (low) (sf) -- $13.9 million Class M2BB at BBB (low) (sf) -- $13.9 million Class M2BBX at BBB (low) (sf) -- $13.9 million Class M2BC at BBB (low) (sf) -- $13.9 million Class M2BCX at BBB (low) (sf) -- $13.9 million Class M2BD at BBB (low) (sf) -- $13.9 million Class M2BDX at BBB (low) (sf) -- $7.9 million Class B1A at BB (low) (sf) -- $7.9 million Class B1AX at BB (low) (sf) -- $7.9 million Class B1B at BB (low) (sf) -- $7.9 million Class B1BX at BB (low) (sf) -- $2.2 million Class B2A at B (low) (sf) -- $2.2 million Class B2AX at B (low) (sf) -- $2.2 million Class B2B at B (low) (sf) -- $2.2 million Class B2BX at B (low) (sf) The AAA (sf) credit rating reflects 21.35% of credit enhancement provided by subordinate notes. The AA (sf), A (sf), BBB (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 16.05%, 11.20%, 6.80%, 3.00%, 0.85%, and 0.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Trust is a securitization of a portfolio of fixed-rate, prime and near-prime, junior-lien revolving home equity line of credit (HELOCs) funded by the issuance of the Asset-Backed Securities, Series 2026-FIX1 (the Securities). The Securities are backed by 3,736 mortgage loans with a total principal balance of $365,206,969 and with a total credit limit of $406,593,250, with a utilization rate of 89.82%. The portfolio, on average, is nine months seasoned, though seasoning ranges from four months to seventeen months. All the loans were underwritten with Morningstar DBRS-defined full documentation standards. All the loans are current and 100.0% have never been delinquent since origination. Transaction and Other Counterparties TPMT 2026-FIX1 is a HELOC securitization by FirstKey Mortgage, LLC (FirstKey) and CRM 3 Sponsor, LLC (CRM Sponsor). Spring EQ, LLC (Spring EQ) originated all loans in the mortgage pool. Newrez, LLC (Newrez) doing business as (dba) Shellpoint Mortgage Servicing (Shellpoint) is the Servicer of all the loans in this transaction. Newrez will act as Master Servicer and will be responsible for making interest advances on each mortgage loan until deemed unrecoverable. U.S. Bank Trust Company, National Association (rated AA with a Stable trend) will act as the Indenture Trustee, Paying Agent, Administrator, and Note Registrar. U.S. Bank Trust National Association will act as Delaware Trustee and Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend) will act as the Custodian. On the Closing Date, CRM Sponsor will acquire the mortgage loans from various transferring trusts. CRM Sponsor will then sell the mortgage loans to the Depositor, pursuant to the Mortgage Loan Contribution Agreement. Through one or more majority-owned affiliates, CRM Sponsor will acquire and retain a 5% eligible vertical interest in each class of Securities (excluding the Class R Certificates) to be issued and not less than 5% of the funding interest principal amount to satisfy the credit risk retention requirements. HELOC Features All the mortgage loans are HELOCs with three-year initial draw periods, and 15-, 20- or 30-year original terms to maturity. Each HELOC loan is fully amortizing and has no interest-only (IO) period. All HELOCs in this transaction are fixed rate loans and do not require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. Transaction Structure This transaction incorporates a sequential cash flow structure. The Interest remittance will be distributed concurrently to the Notes and the Funding Interest Owner. Accrued interest and unpaid interest shortfall will be distributed sequentially to the Notes. The Funding Interest Owner, as further described below, will receive its principal distribution senior to the issued class of Notes. Other Transaction Features The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Securities (excluding the Class R Certificates) to be issued and not less than 5% of the funding interest principal amount to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Closing Date, but in any event no longer than the seventh anniversary of the Closing Date. The Master Servicer will generally fund advances of delinquent interest on any mortgage unless the Servicer, in good faith, determines that such advance is nonrecoverable, is with respect to a mortgage loan that is subject to a modification or a deferral, or is with respect to a mortgage loan that is 150 days or more delinquent under the Office of Thrift Supervision (OTS) delinquency method. In addition, for all the mortgage loans, the related servicer may be obligated to make advances in respect of homeowner association fees, taxes, and insurance; installment payments on energy improvement liens; and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. The Servicer and Master Servicer will not advance any principal on delinquent loans. For this transaction, any junior-lien loan that is 150 days delinquent under the OTS delinquency method (equivalent to 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method), the Servicer will review and may charge off the loan with the approval of the Asset Manager. With respect to a charged-off loan, the total unpaid principal balance (UPB) will be considered a realized loss and will be allocated pro rata (i) based on the Notes Percentage reverse sequentially to the Noteholders and (ii) Funding Interest Percentage to the Funding Interest Principal Amount. If there are any subsequent recoveries for such charged-off loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes and Funding Interest that have been previously reduced by allocation of such realized losses may be increased by such recoveries pro rata (i) based on the Notes Percentage sequentially in order of seniority to the Noteholders and (ii) Funding Interest Percentage to the Funding Interest Principal Amount. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. The Servicer may not charge off a first-lien HELOC that is 150 days delinquent under the OTS delinquency method (equivalent to 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method). On or after the earlier of (1) the payment date in January 2029 or (2) the first payment date when the aggregate pool balance of the mortgage loans (other than the charged-off loans and the real estate owned (REO) properties) is reduced to 30% or less of the Cut-Off Date balance, the call option holder will have the option to purchase the mortgage loans from the Issuer to redeem the Notes, Certificates and retire the Funding Interest for an amount not less than par (Optional Redemption). On or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the call option holder will have the option to purchase the mortgage loans and REO properties from the Issuer to redeem the Notes, Certificates and retire the Funding Interest for an amount not less than par (Cleanup Call). Additionally, on or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than or equal to 5% of the aggregate pool balance as of the Cut-Off Date, the Master Servicer will have the option to purchase the mortgage loans and REO properties from the Issuer to redeem the Notes, Certificates and retire the Funding Interest for an amount not less than par (Master Servicer Cleanup Call). Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOC, that is 180 days delinquent under the MBA delinquency method or 150 days or more delinquent under the OTS delinquency method will be reviewed and may be charged off with the approval of the Asset Manager. Funding of Draws This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Initial Funding Interest Owner. Nevertheless, the Servicer is still obligated to fund draws even if the principal collections are insufficient in a given month for full reimbursement. If the aggregate draws exceed the principal collections (Net Draw), the Servicer can be reimbursed pursuant to the Interest Remittance Amount payment priority. The Initial Funding Interest Owner will have the ultimate responsibility to ensure draws are funded by remitting funds to the Paying Agent to reimburse the Servicer for draws made on the loans, as long as all borrower conditions are met to warrant draw funding. On the Closing Date, Goldman Sachs Bank USA (GSB), as the Initial Funding Interest owner, will have the obligation to fund net draws on the mortgage loans and to receive reimbursement with interest until the Initial Funding Interest Termination Date, which is on the fifth anniversary of the Closing Date; thereafter, the CRM Sponsor will have the obligation to fund net draws for the succeeding years. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of the servicer or the Initial Funding Interest Owner. Rather, the analysis relies on the assets' ability to generate sufficient cash flows to fund draws and make interest and principal payments. Notes: All figures are in U.S. dollars unless otherwise noted. TRICOLOR AUTO 2023-1: Moody's Cuts Rating on Class F Notes to C --------------------------------------------------------------- Moody's Ratings has further downgraded the ratings on 25 classes of notes issued by five asset-backed securitizations (ABS) backed by non-prime retail automobile loan contracts originated by affiliates of Tricolor Auto Acceptance, LLC (Tricolor). Wilmington Trust, National Association continues to serve as trustee for all five transactions, while Vervent, Inc. is acting as the successor servicer appointed following Tricolor's bankruptcy and servicer-termination events. The complete rating actions are as follows: Issuer: Tricolor Auto Securitization Trust 2023-1 Class D Asset Backed Notes, Downgraded to Caa1 (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class E Asset Backed Notes, Downgraded to Ca (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class F Asset Backed Notes, Downgraded to C (sf); previously on Sep 15, 2025 Downgraded to Caa1 (sf) and Remained On Review for Downgrade Issuer: Tricolor Auto Securitization Trust 2024-1 Class B Asset Backed Notes, Downgraded to Caa1 (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class C Asset Backed Notes, Downgraded to Caa1 (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class D Asset Backed Notes, Downgraded to Ca (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class E Asset Backed Notes, Downgraded to C (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class F Asset Backed Notes, Downgraded to C (sf); previously on Sep 15, 2025 Downgraded to Caa1 (sf) and Remained On Review for Downgrade Issuer: Tricolor Auto Securitization Trust 2024-2 Class A Asset Backed Notes, Downgraded to Caa1 (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class B Asset Backed Notes, Downgraded to Caa1 (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class C Asset Backed Notes, Downgraded to Caa1 (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class D Asset Backed Notes, Downgraded to Ca (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class E Asset Backed Notes, Downgraded to C (sf); previously on Sep 15, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class F Asset Backed Notes, Downgraded to C (sf); previously on Sep 15, 2025 Downgraded to Caa1 (sf) and Remained On Review for Downgrade Issuer: Tricolor Auto Securitization Trust 2024-3 Class A Asset Backed Notes, Downgraded to Caa1 (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class B Asset Backed Notes, Downgraded to Caa1 (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class C Asset Backed Notes, Downgraded to Ca (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class D Asset Backed Notes, Downgraded to C (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class E Asset Backed Notes, Downgraded to C (sf); previously on Sep 15, 2025 Downgraded to B3 (sf) and Remained On Review for Downgrade Class F Asset Backed Notes, Downgraded to C (sf); previously on Sep 15, 2025 Downgraded to Caa1 (sf) and Remained On Review for Downgrade Issuer: Tricolor Auto Securitization Trust 2025-1 Class A Asset Backed Notes, Downgraded to Caa2 (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class B Asset Backed Notes, Downgraded to C (sf); previously on Sep 23, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class C Asset Backed Notes, Downgraded to C (sf); previously on Sep 15, 2025 Downgraded to B1 (sf) and Remained On Review for Downgrade Class D Asset Backed Notes, Downgraded to C (sf); previously on Sep 15, 2025 Downgraded to B3 (sf) and Remained On Review for Downgrade Class E Asset Backed Notes, Downgraded to C (sf); previously on Sep 15, 2025 Downgraded to Caa1 (sf) and Remained On Review for Downgrade RATINGS RATIONALE The rating actions reflect the increased likelihood of lower recoveries on the notes and consider the significant uncertainty pertaining to the collateral backing the transactions and the performance of the collateral pools. Based on the updates available through trustee notices issued in between October and December 2025, Moody's expects recoveries on the notes to be materially lower than previously expected, with some of the subordinated notes at risk of near-total write-offs, despite structural protections in the deals. Since Moody's last action placing these ratings on review for further downgrade, Moody's has sought additional information from the trustee and the successor servicer regarding collateral validity, collateral performance, expenses borne by the trusts, and the status of note payments. While the trustee notices have provided some incremental visibility - particularly at the portfolio level - the information remains limited in scope and does not include adequate ABS trust-specific information required for ongoing monitoring. Additionally, communications from the trustee and the successor servicer indicate that future reporting and distributions remain dependent on bankruptcy-related processes and multi-party collateral reconciliation, with no clear timeline for resolution. Since August 2025, no payments have been made on the issued notes, and no servicer reports have been provided concerning amounts received or expected to be distributed to noteholders. In the absence of ABS trust-specific information, the portfolio-level findings cannot be tied to specific transactions, adding to the overall uncertainty. The trustee notices were supplemented by additional publicly available information, including the filing of a federal indictment, which further heighten concerns regarding misrepresented and ineligible collateral. In December 2025, federal authorities filed an indictment against former senior executives at Tricolor, including the founder and CEO. The indictment alleges that Tricolor engaged in a multi-year fraud involving double pledging of loans, falsification of performance data, and fabrication of supporting records. The indictment also alleges that Tricolor pledged approximately $2.2 billion in collateral against only $1.4 billion in actual auto loan assets. These developments materially heighten the uncertainty around the validity, ownership, and enforceability of the pledged receivables available to the trusts, leading to elevated expected loss and recovery uncertainty for the notes. Additionally, in December 2025, three of the five rated ABS transactions - Tricolor Auto Securitization Trust 2024-1, 2024-3 and 2025-1 - were accelerated at the direction of controlling noteholders. Upon acceleration of the waterfall, the senior note interest and principal take priority over subordinate note payments and the cap on transition costs is lifted. For the remaining two rated ABS transactions that have not been accelerated, reimbursement of transition costs remain subject to the contractual cap of $150,000 per-trust. Servicing transition costs across the seven Tricolor-sponsored ABS transactions are estimated at around $2.5 million as of October 2025, with expenses allocated to each trust pro-rata based on total outstanding notes as of last distribution date (15-August-25). Preliminary loan validation work by the successor servicer indicates that only around 41,000 of around 70,000 active accounts may be free of cross pledging or title concerns, with further analysis ongoing by independent third parties. Furthermore, the successor servicer has noted that portfolio performance remains weak, with delinquencies at about 34% (as of October 2025) following the onboarding period. The actions conclude the review of these ratings announced in Moody's prior rating action. Moody's will subsequently withdraw the ratings because Moody's have insufficient information to support the maintenance of the rating(s) and such information is unlikely to be available in the near future. 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 Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's current expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans, refinancing opportunities that result in a prepayment of the loan, or if performance volatility associated with alleged fraud declines. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's current expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors promise of payment. If an acceleration of notes is declared following an event of default, the note ratings could be downgraded. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance could include poor servicing, error on the part of transaction parties including restatement of performance data, lack of transactional governance and fraud. TRIMARAN CAVU 2023-2: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and new class X-R debt from Trimaran CAVU 2023-2 Ltd./Trimaran CAVU 2023-2 LLC, a CLO managed by Trimaran Advisors LLC, a subsidiary of LibreMax Intermediate Holdings, that was originally issued in November 2023. At the same time, S&P withdrew its ratings on the original class A, B-1, B-2, C-1, C-2, D-1A, D-1B, D-2, and E debt following payment in full on the Feb. 5, 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-R, B-R, C-R, D-1-R, D-2-R, and E-R debt was issued at a lower spread over three-month term SOFR than the original debt. -- The replacement class B-R, C-R, and D-1-R debt was issued at a floating spread, replacing the original class B-1, B-2, C-1, C-2, D-1A, and D-1B fixed-and-floating spread debt. -- The stated maturity and reinvestment periods were extended by 2.25 years, and the non-call date was extended by 2.18 years. -- No additional assets were purchased on the Feb. 5, 2026, refinancing date, and the target initial par amount remains at $450 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is April 20, 2026. -- New class X-R debt was issued on the refinancing date. This debt will be paid down using interest proceeds in eight equal installments of $437,500, 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 Trimaran CAVU 2023-2 Ltd./Trimaran CAVU 2023-2 LLC Class X-R, $3.50 million: AAA (sf) Class A-R, $283.50 million: AAA (sf) Class B-R, $58.50 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-1-R (deferrable), $27.00 million: BBB- (sf) Class D-2-R (deferrable), $4.50 million: BBB- (sf) Class E-R (deferrable), $13.50 million: BB- (sf) Ratings Withdrawn Trimaran CAVU 2023-2 Ltd./Trimaran CAVU 2023-2 LLC Class B-1 to not rated from 'AA (sf)' Class B-2 to not rated from 'AA (sf)' Class C-1 to not rated from 'A+ (sf)' Class C-2 to not rated from 'A+ (sf)' Class D-1A to not rated from 'BBB (sf)' Class D-1B to not rated from 'BBB (sf)' Class D-2 to not rated from 'BBB- (sf)' Class E to not rated from 'BB- (sf)' Other Debt Trimaran CAVU 2023-2 Ltd./Trimaran CAVU 2023-2 LLC Subordinated notes, $48.25 million: Not rated TRINITAS CLO VIII: Moody's Affirms B1 Rating on $26MM Cl. E Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Trinitas CLO VIII, Ltd.: US$32.5M Class D Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Jul 2, 2025 Upgraded to Baa1 (sf) Moody's have also affirmed the ratings on the following notes: US$55M (Current outstanding amount US$37,886,256) Class B Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 2, 2025 Affirmed Aaa (sf) US$26.5M Class C Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 2, 2025 Upgraded to Aaa (sf) US$26M Class E Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Jul 2, 2025 Affirmed B1 (sf) Trinitas CLO VIII, Ltd., issued in July 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Trinitas Capital Management, LLC. The transaction's reinvestment period ended in July 2023. RATINGS RATIONALE The rating upgrade on the Class D notes is primarily a result of the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in July 2025. The affirmations on the ratings on the Class B, C and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have fully repaid by approximately USD50.4 million and the Class B paid down by USD17.1m (31.1%) since the last rating action in July 2025. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated January 2026[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 254.14%, 174.88%, 126.49% and 103.57% compared to May 2025[2] levels of 191.41%, 152.96%, 122.72% and 105.97%, respectively. Moody's notes that the January 2026[1] principal payments are not reflected in the reported OC ratios. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD138,349,959 Defaulted Securities: USD0 Diversity Score: 33 Weighted Average Rating Factor (WARF): 4169 Weighted Average Life (WAL): 2.80 years Weighted Average Spread (WAS) (before accounting for Euribor/reference rate floors): 3.45% Weighted Average Recovery Rate (WARR): 46.15% Par haircut in OC tests and interest diversion test: 7.37% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. TVC MORTGAGE 2026-RRTL1: DBRS Finalizes B(low) Rating on M2 Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2026-RRTL1 (the Notes) issued by TVC Mortgage Trust 2026-RRTL1 (the Issuer) as follows: -- $185.4 million Class A1 at A (low) (sf) -- $17.0 million Class A2 at BBB (low) (sf) -- $18.8 million Class M1 at BB (low) (sf) -- $18.3 million Class M2 at B (low) (sf) The A (low) (sf) credit rating reflects 25.85% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The BBB (low) (sf), BB (low) (sf), and B (low) (sf) credit ratings reflect 19.05%, 11.55%, and 4.25% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Mortgage-Backed Notes, Series 2026-RRTL1 (the Notes). As of the Initial Cut-Off Date, the Notes are backed by: -- 338 mortgage loans with a total principal balance of approximately $218,723,026 -- Approximately $31,276,974 in the Accumulation Account -- Approximately $2,233,476 in the Pre-funding Interest Account Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. TVC 2026-RRTL1 represents the third rated RTL securitization (but sixth overall) issued by the Sponsor, Temple View Capital Funding, LP (TVC). TVC will own the mortgage servicing rights, and Temple View Capital, LLC, an affiliate of the sponsor, will act as Loan Administrator. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTL with original terms to maturity primarily of six to 24 months. The loans may also include extension options, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include: -- A minimum non-zero weighted-average (NZ WA) FICO score of 725. -- A maximum NZ WA Loan-to-Cost (LTC) ratio of 84.0%. -- A maximum NZ WA As Repaired Loan-to-Value (ARV LTV) ratio of 69.5%. RTL Features RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or small balance commercial properties (the latter is ineligible for inclusion in the TVC revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Loan Administrator. In the TVC 2026-RRTL1 revolving portfolio, RTLs may be: Fully funded: -- With no obligation of further advances to the borrower, or -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund construction draw requests upon the satisfaction of certain conditions. Partially funded: -- With a commitment to fund borrower-requested draws for approved construction, repairs, restoration, and protection of the property (Rehabilitation Disbursement Requests) upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the TVC Mortgage Trust 2026-RRTL1 eligibility criteria, unfunded commitments are limited to 50% of the portfolio by the assets of the issuer, which includes (1) the unpaid principal balance (UPB) and (2) amounts in the Accumulation Account and Payment Account. Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in July 2028, the Class A1 and A2 fixed rates will step up by 1.000% the following month. There will be no advancing of delinquent (DQ) principal or interest on any mortgage by the Servicer or any other party to the transaction. However, the Servicer is obligated to fund Servicing Advances which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Such Servicing Advances will be reimbursable from collections and other recoveries prior to any payments on the Notes. The Loan Administrator, or the Servicer, will satisfy Rehabilitation Disbursement Requests by, (1) for loans with funded commitments, directing release of funds from the Rehab Escrow Account to the applicable borrower; or (2) for loans with unfunded commitments, (a) advancing funds on behalf of the Issuer (Disbursement Request Advances) or (b) directing the release of funds from the Accumulation Account. Amounts on deposit in the Accumulation Account may be used to reimburse the Loan Administrator or the Sponsor, as applicable, for such advances. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum credit enhancement (CE) of approximately 4.25% (the initial subordination) to the most subordinate rated class. TVC 2026-RRTL1 incorporates this via the Maximum Effective Advance Test during the reinvestment period, which if breached, redirects available funds to pay down the Notes, sequentially, prior to replenishing the Accumulation Account, to maintain CE for all tranches. A Pre-Funding Interest Account is in place to help cover two months of interest payments to the Notes. Such account is funded upfront in an amount equal to $2,233,476. On the payment dates occurring in February and March 2026, the Paying Agent will withdraw a specified amount to be included in the available funds. The transaction also employs the Expense Reserve Account, which will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. Historically, RTL originations reviewed by Morningstar DBRS have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated TVC's historical mortgage repayments relative to draw commitments and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of the related Credit Rating Report for more details. Other Transaction Features Optional Redemption On any date after the earlier of (1) the Payment Date following the termination of the Reinvestment Period or (2) the date on which the aggregate Note Amount falls to 25% or less of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at the Redemption Price (par plus interest and fees). Repurchase Option The Sponsor will have the option to repurchase any DQ or defaulted mortgage loan at the Repurchase Price (par plus interest and fees). During the reinvestment period, if the Sponsor repurchases DQ or defaulted loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. Sales of Mortgage Loans The Issuer may sell a mortgage loan under the following circumstances: -- The Sponsor is required to repurchase a loan because of a material breach, a diligence defect, or a material document defect -- The Sponsor elects to exercise its Repurchase Option -- An optional redemption occurs -- The Issuer sells a mortgage loan in an arm's length transaction at the Repurchase Price or sells an REO property at fair market value (FMV) -- The Issuer sells a mortgage loan to an affiliate at FMV but such price must be at least par plus interest. Voluntary repurchases and sales may not exceed 10.0% of the cumulative UPB of the mortgage loans (Repurchase Limit). U.S. Credit Risk Retention As the Sponsor, TVC, or one or more majority-owned affiliates will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (in this case, the entirety of the Class XS Notes) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool contains loans secured by properties that are located within certain disaster areas. Although many RTL already have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicers follow standard protocol, which includes a review of the impacted area, borrower outreach, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. Notes: All figures are in U.S. dollars unless otherwise noted. UBS COMMERCIAL 2018-C9: Fitch Lowers Rating on 2 Tranches to BB-sf ------------------------------------------------------------------ Fitch Ratings has downgraded six and affirmed six classes of UBS Commercial Mortgage Trust 2018-C9 Commercial Mortgage Pass-Through Certificates (UBS 2018-C9). Following their downgrades, classes A-S, B and X-B were assigned Negative Rating Outlooks. The Rating Outlook for classes A-4 and X-A were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- UBS 2018-C9 A3 90291JAV9 LT AAAsf Affirmed AAAsf A4 90291JAW7 LT AAAsf Affirmed AAAsf AS 90291JAZ0 LT A-sf Downgrade AA-sf ASB 90291JAU1 LT AAAsf Affirmed AAAsf B 90291JBA4 LT BB-sf Downgrade BBB-sf C 90291JBB2 LT CCCsf Downgrade B-sf D 90291JAC1 LT CCsf Downgrade CCCsf D-RR 90291JAE7 LT Csf Downgrade CCsf E-RR 90291JAG2 LT Csf Affirmed Csf F-RR 90291JAJ6 LT Csf Affirmed Csf XA 90291JAX5 LT AAAsf Affirmed AAAsf XB 90291JAY3 LT BB-sf Downgrade BBB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 18.5%, an increase from 14.9% at Fitch's prior rating action. Fitch Loans of Concerns (FLOCs) comprise 11 loans (41.9%), including six specially serviced loans (27.5%). The downgrades reflect increased pool loss expectations since Fitch's last rating action. The increase was primarily driven by a lower updated appraisal value on the specially serviced Midwest Hotel Portfolio loan and an increased probability of default with respect to Park Place at Florham Park following its recent transfer to special servicing in December 2025. Increasing exposure on the largest loan, Aspen Lake Office Portfolio, was also a contributing factor. The Negative Outlooks on classes A-4, A-S, B, X-A and X-B reflect possible downgrades without performance stabilization or with additional valuation declines of the aforementioned FLOCs. FLOCs: The largest increase in loss since the prior rating action and third-largest contributor to loss in UBS 2018-C9 is Midwest Hotel Portfolio (5.9%) The loan transferred to special servicing in March 2020 for imminent payment default due to the coronavirus pandemic. The loan is secured by a portfolio of eight limited-service hotel properties totaling 658-keys and located in secondary/tertiary markets in three states (MO, IL and IN). Three of the eight hotels (40% of the current allocated loan balance) have been reported as closed: Hampton Inn Mount Vernon (17%), Hampton Inn Anderson (16%) and Fairfield Inn Indianapolis South (7%). A receiver was appointed to all eight properties in the portfolio. Per the servicer, it is expected that auctions will be conducted in January to February 2026 with closings early in the year. Fitch's 'Bsf' rating case loss of approximately 43.3% reflects a discount to the most recent appraisal which reflects a Fitch stressed value of approximately $44,000 per key. The second-largest increase in loss since the prior rating action is the Aspen Lake Office Portfolio (8.7%). The assets have been REO since September 2025. The portfolio consists of three adjacent suburban office properties totaling 381,588 sf located in northwest Austin, TX. As of the latest available February 2025 rent roll, the portfolio is 47.2% occupied down from 78.6% in September 2023 following the loss of the largest tenant. LDR Spine USA, Inc. (23.4% of NRA and 31.3% rent) vacated as expected upon its December 2024 lease expiration. The servicer-reported NOI DSCR was 1.50x at September 2024, in line with 1.53x at YE 2023. Fitch's 'Bsf' rating case loss of approximately 43.5% reflects a discount to the most recent appraisal which reflects a Fitch stressed value of approximately $106 psf. The third-largest increase in loss since the prior rating action is Park Place at Florham Park (2.4%), which is secured by a four-building suburban office park totaling 360,265-sf and located in Florham Park, NJ. The loan transferred to special servicing on Dec. 19, 2025 due to imminent monetary default. Fitch requested an updated appraised value but did not receive a response. As of the January 2026 remittance, the loan status was listed as a foreclosure after being current for the entire 2025 calendar year. The property's occupancy has remained unchanged at 75.5% since 2024.The top three tenants are Fairleigh Dickinson University (21.4%; expires June 2028), RBC Capital Markets (14.6%; expires July 2028) and Schenk Price Smith & King LLP (10.7%; expires December 2027). The servicer-reported NOI DSCR was 1.22x at YE 2024 compared to 1.24x at YE 2023 and 1.44x at YE 2022. As of the March 2025 rent roll, upcoming rollover consists of 11.5% of the NRA in 2025, 0% in 2026 and 16.3% in 2027. Fitch's 'Bsf' rating case loss of 41.6% (prior to a concentration adjustment) is based on a 10% cap rate, 10% stress to YE 2024 NOI and factors an elevated probability of default due to the transfer to special servicing. Change in Credit Enhancement (CE): As of the January 2026 remittance report, the pool has been reduced by 11.4% since issuance. Realized losses to date are $4.8 million, which has only impacted the non-rated NR-RR class. Nine loans (15.7% of the pool) have fully defeased. Interest shortfalls of approximately $11.4 million are affecting classes C through the non-rated NR-RR class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' rated classes with Stable Outlooks are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur. Downgrades to 'AAAsf' rated classes with Negative Outlooks are possible with continued underperformance of the FLOCs and/or valuation deterioration or prolonged workouts of the loans in special servicing. These FLOCs include Aspen Lake Office Portfolio, City Square and Clay Street, Midwest Hotel Portfolio, 22 West 38th Street and Radisson Oakland. Downgrades to classes rated in 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs. Downgrades to classes rated in the 'BBsf' category are possible with higher-than-expected losses from continued underperformance of the FLOCs and/or with greater certainty of losses on the specially serviced loans and/or FLOCs. Downgrades to the distressed 'CCCsf','CCsf' and 'Csf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'Asf' category may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs, including Aspen Lake Office Portfolio, City Square and Clay Street, Midwest Hotel Portfolio, 22 West 38th Street and Radisson Oakland. Upgrades to classes rated in the 'BBsf' category 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 distressed 'CCCsf','CCsf' and 'Csf' rated classes are not expected, but are 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. UNITED AUTO 2026-1: DBRS Finalizes BB(high) Rating on E Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of notes issued by United Auto Credit Securitization Trust 2026-1 (UACST 2026-1 or the Transaction): -- $100,350,000 Class A Notes at AAA (sf) -- $40,130,000 Class B Notes at AA (high) (sf) -- $25,970,000 Class C Notes at A (high) (sf) -- $40,000,000 Class D Notes at BBB (sf) -- $18,550,000 Class E Notes at BB (high) (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement in the form of OC, subordination, amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support Morningstar DBRS' projected expected cumulative net loss (CNL) assumptions under various stress scenarios. -- The ability of the Transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (2) The Morningstar DBRS CNL assumption of 23.90%. (3) UACST 2026-1 provides for loss coverage multiples for certain notes that are slightly below the Morningstar DBRS range of multiples set forth in the criteria for this asset class. Morningstar DBRS believes that this is warranted, given the magnitude of expected loss, company history, and structural features of the transaction. (4) The Transaction parties' capabilities with regards to originations, underwriting, and servicing, and the existence of an experienced and capable backup servicer. -- Morningstar DBRS has performed an operational risk review of United Auto Credit Corp (UACC) and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. Additionally, the Transaction has an acceptable backup servicer. -- The UACC senior management team has considerable experience and a successful track record within the auto finance industry. -- UACC continues to evaluate and fine-tune its underwriting standards as necessary. The Company has a risk management system allowing centralized oversight of all underwriting and substantial technology systems, which provide daily metrics on all originations, servicing, and collections of loans. (5) The credit quality of the collateral and performance of UACC's auto loan portfolio. (6) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns December 2025 Update, published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (7) The legal structure and presence of legal opinions, which address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with UACC, that the trust has a valid first-priority security interest in the assets, and the consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. Notes: All figures are in U.S. dollars unless otherwise noted. UNITED AUTO 2026-1: S&P Assigns BB (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to United Auto Credit Securitization Trust 2026-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 65.2%, 56.2%, 48.3%, 37.9%, and 33.7% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on final priced stressed cash flow scenarios. These credit support levels provide at least 2.45x, 2.10x, 1.79x, 1.40x, and 1.25x of S&P's 26.50% expected cumulative net loss for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.40x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned 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 U.S. auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of United Auto Credit Corp. as servicer, and its view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmarks. -- The transaction's payment and legal structures. Ratings Assigned United Auto Credit Securitization Trust 2026-1 Class A, $100.35 million: AAA (sf) Class B, $40.13 million: AA (sf) Class C, $25.97 million: A (sf) Class D, $40.00 million: BBB (sf) Class E, $18.55 million: BB (sf) VB-S1 ISSUER 2026-1: Moody's Assigns (P)B2 Rating to Class M Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to Vertical Bridge REIT, LLC's (Vertical Bridge) secured tower revenue notes, Series 2026-1, class C-2, class D, class F, and class M notes (together, the 2026 notes), to be issued by VB-S1 Issuer, LLC (the issuer). The collateral backing the securitization is a pool of 10,022 wireless tower sites, including 5,691 tower sites to be added by the closing date, and related leases. The tower sites are leased to a variety of users, primarily major wireless telephony carriers. The issuer expects to use the proceeds of the issuance of the series 2026-1 to pay transaction fees and expenses, and for other general corporate purposes. As of September 30, 2025, the tower pool had an annualized run rate net cash flow (ARRNCF) of approximately $284 million. Vertical Bridge will be the sponsor of the transaction. Vertical Bridge Management, LLC, a direct wholly-owned subsidiary of Vertical Bridge, will be the manager of the securitized assets. The anticipated repayment date (ARD) for the 2026 notes will be in March 2031 and the final distribution date will be in March 2056. The complete rating action is as follows: Issuer: VB-S1 Issuer, LLC Secured Tower Revenue Notes, Series 2026-1, Class C-2 Notes, Assigned (P)A2 (sf) Secured Tower Revenue Notes, Series 2026-1, Class D Notes, Assigned (P)Baa3 (sf) Secured Tower Revenue Notes, Series 2026-1, Class F Notes, Assigned (P)Ba3 (sf) Secured Tower Revenue Notes, Series 2026-1, Class M Notes, Assigned (P)B2 (sf) To date, the issuer has issued five series of term wireless tower securitizations. The Series 2026-1 notes will be issued out of a master trust, and will total $1.97 billion. After closing, there will be eleven series of notes outstanding: (1) the Series 2022-1 Class C-1 notes, which following closing can be drawn to a maximum of $100 million, with an ARD of May 2027, (2) the $462 million Series 2022-1 Class C-2-I notes with an ARD of August 2027, (3) the $462 million Series 2022-1 Class C-2-II notes with an ARD of February 2032, (4) the $202 million Series 2022-1 Class D notes with an ARD of August 2027, (5) the $242 million Series 2022-1 Class F notes with an ARD of August 2027, (6) the $421.5 million Series 2024-1 Class C notes with an ARD of May 2029, (7) the $92.3 million Series 2024-1 Class D notes with an ARD of May 2029, (8) the $111.2 million Series 2024-1 Class F notes with an ARD of May 2029, (9) the $1.21 billion series 2026-1 Class C2 notes with an ARD of March 2031, (10) the $290 million series 2026-1 Class D notes with an ARD of March 2031, (11) the $158.1 million series 2026-1 Class F notes with an ARD of March 2031, and (12) the $284.1 million series 2026-1 Class M notes with an ARD of March 2031. Following the issuance of the 2026 notes, the total amount of Class C notes of the issuer rated by Moody's will be around $2.55 billion. RATINGS RATIONALE The ratings of the 2026 notes are based on (1) Moody's assessed cumulative loan-to-value (CLTV) ratio of the 2026 notes, (2) the high quality of the underlying wireless tower pool and associated leases, of which around 93% of the annualized-run-rate-revenue (ARRR) comes from leases to wireless telephony/data tenants, (3) the strength of the transaction legal structure, including the benefit of mortgages on the tower sites securing the mortgage loans and the class C leverage ratio trigger that will provide additional protection should the transaction's cash flows decline, (4) the ability, experience and expertise of Vertical Bridge's management team and Vertical Bridge Management, LLC as the manager of the wireless towers in the securitization pool, (5) the role of Midland Loan Services, Inc. (Midland), a division of PNC Bank, N.A. (Aa3/A2 stable, a2), as the servicer of the securities, and (6) the capital structure of the trust including the sequential timing of the ARDs which allow for paydown of debt prior to the 2026 notes' ARDs, if the issuer is unable to refinance series with earlier ARDs than those of the 2026 notes. In determining the assigned ratings, Moody's supplemented the main quantitative and CLTV analysis with additional sensitivity analyses and considerations for factors such as structural features. For instance, Moody's qualitatively considered the strength of the class C leverage ratio trigger. Based on the trigger, if the class C leverage ratio is greater than 9.0x ARRNCF, excess cash flows will be used to paydown the class C notes including the 2024 notes until the leverage ratio declines below 9.0x. The issuer may optionally cure the trigger by prepaying the class C notes and/or by adding additional tower sites. In determining the CLTV ratio of the 2026 notes, Moody's assessed the present value of the net cash flow the tower pool will likely generate from space licenses (leases) on the towers, which it then used to calculate the CLTV ratio for each rated tranche. In deriving the value, Moody's considered various scenarios including higher operating expenses and lower organic growth. Moody's modeled values of the scenarios that primarily include those, ranged from around $4.085 billion to $4.235 billion, resulting in CLTV ratios for the 2026 Class C-2 notes ranging from around 59% to 62%, for the 2026 Class D notes ranging from 73% to 76%, for the 2026 Class F notes 85% to 89%, and for the Class M notes ranging from 92% to 96%. The assumptions Moody's applied to arrive at the value are listed below. The CLTV ratio for a particular class of securities reflects the loan-to-value ratio of the combined original principal balance of all the securities that rank pari-passu to a specific class and the combined original principal balance of all the classes that are senior to it. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Digital Connectivity Securitizations" published in October 2025. The following are the key assumptions Moody's used in Moody's quantitative analysis: (1) Revenue growth: Moody's assumed two sources of revenue growth for wireless telephony/data: 1) lease escalators were assumed to be fixed at about 2.3% until year ten, 2.2% for years 11-20, and 2.0% thereafter, and 2) organic revenue growth resulting in an incremental increase in revenue of about 4.0%-8.0% per annum for the next five years. Moody's assumed that revenues from broadcasting (around 5% of the ARRR) would either decline continuously over a 15-year period to around 70% of current levels or remain at current levels and that other sources of revenue (such as paging, Land Mobile Radio-Specialized Mobile Radio) would decline to zero based on a triangular distribution ranging from five to ten years. (2) Probability of default of wireless telephony/data tenants using the actual ratings of rated tenant or a credit estimate and assuming low speculative grade rating for unrated tenants. (3) Recovery upon wireless telephony/data tenant default: Moody's assumed these recoveries would be zero in the year following the default, and rise to 80% for large carriers, and to 50% or 80% for small carriers, of pre-default revenues over the two years after the default. (4) Operating expenses ranging from 24% to 32% of revenue based on a triangular distribution. (5) Management fee: The management fee and successor management fee are set at 4.5% of revenue. In deriving the Moody's assessed value, Moody's assumed a 5% management fee for the transaction. (6) Maintenance capital expenditures: Moody's assumed that these expenditures would be $600 per tower per annum and would increase by 2% to 4% every year. (7) A discount rate applied to the net cash flow based on a triangular distribution anchored between 7.5% and 12.0%. 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) sustained revenue growth significantly greater than Moody's forecasts and (2) significant improvement in the credit quality of the tenants leasing space on the towers. Down Factors that could lead to a downgrade of the rating are (1) revenue growth that is materially below Moody's initial expectations, (2) the emergence of competing technologies that could obviate the need for wireless towers and adversely affect future lease revenues and (3) significant decline in the credit quality of the tenants leasing space on the towers. Other reasons for worse-than-expected transaction performance could include poor management of the tower pool or error on the part of transaction parties. VELOCITY COMMERCIAL 2026-1: DBRS Gives Prov. B Rating on M5 Certs ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Certificates, Series 2026-1 (the Certificates) to be issued by Velocity Commercial Capital Loan Trust 2026-1 (VCC 2026-1 or the Issuer) as follows: -- $243.5 million Class A at (P) AAA (sf) -- $16.7 million Class M-1 at (P) AA (low) (sf) -- $17.4 million Class M-2 at (P) A (low) (sf) -- $35.7 million Class M-3 at (P) BBB (low) (sf) -- $22.2 million Class M-4 at (P) BB (sf) -- $10.8 million Class M-5 at (P) B (sf) -- $4.6 million Class M-6 at (P) B (low) (sf) -- $243.5 million Class A-S at (P) AAA (sf) -- $243.5 million Class A-IO at (P) AAA (sf) -- $16.7 million Class M1-A at (P) AA (low) (sf) -- $16.7 million Class M1-IO at (P) AA (low) (sf) -- $17.4 million Class M2-A at (P) A (low) (sf) -- $17.4 million Class M2-IO at (P) A (low) (sf) -- $35.7 million Class M3-A at (P) BBB (low) (sf) -- $35.7 million Class M3-IO at (P) BBB (low) (sf) -- $22.2 million Class M4-A at (P) BB (sf) -- $22.2 million Class M4-IO at (P) BB (sf) -- $10.8 million Class M5-A at (P) B (sf) -- $10.8 million Class M5-IO at (P) B (sf) -- $4.6 million Class M6-A at (P) B (low) (sf) -- $4.6 million Class M6-IO at (P) B (low) (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, M5-IO, and M6-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, M-5, and M-6 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 31.45% of credit enhancement (CE) provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), (P) B (sf), and (P) B (low) (sf) credit ratings reflect 26.75%, 21.85%, 11.80%, 5.55%, 2.50%, and 1.20% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. VCC 2026-1 is a securitization of a portfolio of newly originated fixed-rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial (SBC) mortgages collateralized by various types of commercial, multifamily rental, and mixed-use properties. The securitization is funded by the issuance of the Certificates, which are backed by 973 mortgage loans with a total principal balance of $355,159,386 as of the Cut-Off Date (January 1, 2026). Approximately 46.6% of loans in the pool are residential investor loans and about 53.4% are traditional SBC loans. In contrast to certain other recent VCC securitizations, there are no SBA 504 loans in this pool. Velocity Commercial Capital, LLC (Velocity or VCC) originated the majority of the loans in the securitization. New Day Commercial Capital, LLC, which is a wholly owned subsidiary of Velocity (itself wholly owned by Velocity Financial, Inc.), originated 34 (12.7%) of the loans in the pool. The loans were generally underwritten to program guidelines for business-purpose loans for which the lender generally expects the property (or its value) to be the primary source of repayment. For all of the New Day originated loans, underwriting was based on business cash flows but loans were secured by real estate. For the SBC and residential investor loans, the lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt service coverage ratio (DSCR) in underwriting SBC loans with balances more than $750,000 for purchase transactions and more than $500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA-RESPA Integrated Disclosure rule. PHH Mortgage Corporation (PMC) will service all loans within the pool for a servicing fee of 0.30% per annum. New Day will act as subservicer for the 34 New Day-originated loans, and PMC will also act as the Backup Servicer for these loans. If New Day fails to service these loans in accordance with the related subservicing agreement, PMC will terminate the subservicing agreement and commence directly servicing such mortgage loans within 30 days. In addition, Velocity will act as a Special Servicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (the Specially Serviced Mortgage Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Mortgage Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Mortgage Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA with a Stable trend by Morningstar DBRS) will act as the Custodian. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class XS Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of REO properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-Off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS Certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A CE falling below 10.0% of the loan balance as of the Cut-Off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each class' target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each class' target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY--SBC LOANS The collateral for the SBC portion of the pool consists of 331 individual loans secured by 332 commercial and multifamily properties with an average cut-off date loan balance of $572,773. Included in the SBC pool is one blanket loan that has a 38-unit multifamily property, and a four-unit multifamily property that would typically be part of the Investor 1-4 program. Because of the blanket-loan, and given the complexity of the structure and granularity of the pool, Morningstar DBRS analyzed this loan under its "Rating and Monitoring North American CMBS Multi-Borrower Transactions" methodology (the CMBS Methodology). The SBC loans have a weighted-average (WA) fixed interest rate of 10.6%. This is approximately 30 basis points (bps) lower than the VCC 2025-5 transaction, 40 bps lower than the VCC 2025-4 transaction, 20 bps lower than the VCC 2025-3 transaction, and 30 bps lower than the VCC 2025-2 transaction. Most of the loans have original term lengths of 30 years and fully amortize over 30-year schedules. However, 12 loans, which represent 5.2% of the SBC pool, have an initial IO period between 12 months and 120 months. All the SBC loans were originated between October 2025 and December 2025 (100.0% of the cut-off pool balance), resulting in a WA seasoning of 0.5 months. The SBC pool has a WA original term length of approximately 360 months, or 30 years. Based on the original loan amount and the current appraised values, the SBC pool has a WA loan-to-value ratio (LTV) of 60.9%. However, Morningstar DBRS made LTV adjustments to 35 loans that had an implied capitalization rate (cap rate) of more than 200 bps lower than a set of minimal cap rates established by the Morningstar DBRS Market Rank. The Morningstar DBRS minimum cap rates range from 5.50% for properties in Market Rank 7 to 8.00% for properties in Market Rank 1. This resulted in a higher Morningstar DBRS LTV of 64.4%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization, greater than what is typical for CMBS conduit pools. Morningstar DBRS' research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year ranges between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in the CMBS Methodology, the most significant risk to an IO cash flow stream is term default risk. As Morningstar DBRS noted in the CMBS Methodology, for a pool of approximately 72,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 28%, the refinance default rate was approximately 7% (one fourth of the total default rate), and the term default rate was approximately 21%. Morningstar DBRS recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its credit rating, Morningstar DBRS estimates that, in general, a one-fourth reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for Morningstar DBRS to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The Morningstar DBRS CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, Morningstar DBRS would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and Morningstar DBRS expects that this pool will have prepayments over the remainder of the transaction. Morningstar DBRS applied a 5.0% reduction to the cumulative default assumptions to provide credit for expected payments. The assumption reflects Morningstar DBRS' opinion that, in a rising-interest-rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rates and lending spreads, the SBC pool has a significant increase in interest rates compared with VCC transactions in 2022 and 2023. Consequently, 48.8% of the loans in the deal (160 SBC loans) have an Issuer Net Operating Income DSCR of less than 1.0 times (x), which is slightly below the 2025 and 2024 transactions, but a larger composition than the VCC transactions in 2023 and 2022. Additionally, although the Morningstar DBRS CMBS Insight Model does not contemplate FICO scores, there is a WA FICO score of 705 for the SBC loans, which is similar to those of prior VCC transactions. Morningstar DBRS therefore applied a 2.5% penalty to the fully adjusted cumulative default assumptions to account for risks given these factors. A comparison of the deal with previous VCC transactions is shown in the related presale report. Morningstar DBRS also applied an additional 2.5% penalty to the fully adjusted cumulative default assumptions to account for the anticipated delinquencies based on performance from the prior VCC transactions in 2025. The SBC pool is quite diverse based on loan count and size, with an average cut-off date balance of $572,773, a concentration profile equivalent to that of a transaction with 154 equal-size loans, and a top 10 loan concentration of 15.8%. Increased pool diversity helps insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial). All loans in the SBC pool fully amortize over their respective remaining loan terms, reducing refinance risk. The SBC pool includes 12 loans originated via New Day's Lite Doc Investor Loan Program, which does not require a review of tax returns. Morningstar DBRS applied a POD penalty to the loan to mitigate this risk. As classified by Morningstar DBRS for modeling purposes, the SBC pool contains a significant exposure to retail (28.8% of the SBC pool) and office (25.4% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent 54.2% of the SBC pool balance. Morningstar DBRS applied a 25.7% reduction to the net cash flow (NCF) for retail properties and a 36.6% reduction to the NCF for office assets in the SBC pool, which is higher than the average NCF reduction applied for comparable property types in CMBS analyzed deals. Morningstar DBRS did not perform site inspections on loans in its sample for this transaction. Instead, Morningstar DBRS relied on analysis of third-party reports and online searches to determine property quality assessments. Of the 80 loans Morningstar DBRS sampled, the Property Quality score of one was Average + (2.3% of sampled pool balance), 21 were Average (30.1%), 35 were Average - (38.8%), 18 were Below Average (23.2%), and five were Poor (5.5%). Morningstar DBRS assumed unsampled loans were Average - quality, which has a slightly increased POD level. This is consistent with the assessments from sampled loans and other SBC transactions that Morningstar DBRS rates. Limited property-level information was available for Morningstar DBRS to review. Asset summary reports, property condition reports, Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. Morningstar DBRS received appraisals for 30 SBC loans in the pool, which represent 30.4% of the SBC pool balance. These appraisals were issued between July 2025 and December 2025. No ESA reports were provided nor required by the Issuer; however, all loans have an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. No probable maximum loss information or earthquake insurance requirements are provided. Therefore, an loss given default penalty was applied to all properties in California to mitigate this potential risk. Morningstar DBRS received limited borrower information, net worth or liquidity information, and credit history. Additionally, the WA interest rate of the deal is 10.6%, which is indicative of the broader increased interest rate environment and represents a large increase over VCC deals in 2022 and early 2023. Morningstar DBRS generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small-balance borrowers and assessments from past small-balance transactions rated by Morningstar DBRS. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 642 mortgage loans with a total balance of approximately $166 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to the No Ratio program guidelines for business-purpose loans. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update," published on December 19, 2025. Notes: All figures are in U.S. dollars unless otherwise noted. VERUS SECURITIZATION 2026-R1: Fitch Rates Class B-2 Notes 'Bsf' --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2026-R1 (Verus 2026-R1) Entity/Debt Rating Prior ----------- ------ ----- VERUS 2026-R1 A-1FCF LT AAAsf New Rating AAA(EXP)sf A-1LCF LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-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 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 XS LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf DA LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The Verus 2026-R1 notes are supported by 1,173 loans with a balance of $567.6 million as of Jan. 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 for first-lien loans where 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. Primary residence loans comprise 39.3% of the Verus 2026-R1 transaction pool, followed by second home and investor loans at 60.7%. In terms of documentation, the transaction mainly consists of DSCR loans at 53.1%; an additional 23.1% were originated to a bank statement program. The remaining 23.8% were underwritten to either a CPA P&L, asset underwriting, foreign national, full or written verification of employment (WVOE) product. Fitch applied a criteria variation for this transaction, scaling the performance history to serve as the primary driver of the expected default rate. An updated tape was received on Jan. 20: Six loans were removed, and loan balances were updated. Overall, the collateral composition of the final pool remained similar to the preliminary pool, and losses decreased approximately 2 bps-7 bps. The structure was updated post-pricing on Jan. 23: Coupons for most classes decreased approximately 1bps-25bps, as a result, the weighted average excess spread increased 16bps to 84bps. Fitch re-ran its cashflow analysis and confirmed there were no changes to its expected ratings. KEY RATING DRIVERS Credit Risk of Mortgage Assets: The performance of underlying residential mortgages or mortgage-related assets directly affects RMBS transactions. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. VERUS 2026-R1 has a final probability of default (PD) of 47.0% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 35.2%. The expected loss in the 'AAAsf' rating stress is 16.5%. Structural Analysis: VERUS 2026-R1 bases its mortgage cash flow and loss allocation on a modified sequential-payment structure with limited advancing, whereby principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings 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 all loans in the transaction. Fitch applies a 5bp 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: 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 and fully de-link the transaction from any other entities. VERUS 2026-R1 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 VERUS 2026-R1, 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 37.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those 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 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. WELLS FARGO 2015-NXS2: DBRS Confirms C Rating on 3 Classes ---------------------------------------------------------- DBRS Limited downgraded credit ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2015-NXS2 issued by Wells Fargo Commercial Mortgage Trust 2015-NXS2 as follows: -- Class B to BBB (sf) from A (low) (sf) -- Class C to C (sf) from BBB (low) (sf) -- Class PEX to C (sf) from BBB (low) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class X-E at C (sf) The trend on Class B was changed to Negative from Stable. Classes C, D, E, X-E, and PEX have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. CREDIT RATING RATIONALE/DESCRIPTION The credit rating downgrades and Negative trends reflect Morningstar DBRS' ultimate recoverability for the remaining loans in the trust as well as the uncertainty around the disposition timeline for the adverse selection, which contributes to the increased propensity for interest shortfalls. There are six specially serviced loans, representing 71.8% of the current pool balance, composed primarily of suburban office and retail assets within secondary markets. This includes the largest loan in the pool, Campbell Technology Park (Prospectus ID#2, 29.1% of the current pool balance), which transferred to the special servicer in April 2025 because of imminent monetary default, with the most recent appraisal reflecting a substantial value decline to nearly half of the appraisal value at issuance. In the analysis for this review, Morningstar DBRS' applied conservative liquidation scenarios for each of the specially serviced loans, based on value stresses to the most recent appraised values. Individual property value haircuts range from 20.0% to 30.0%. Morningstar DBRS considered various factors when determining the level of stress, including the property type, age, submarket conditions, historical performance, and upcoming tenant rollover risk. The analysis resulted in cumulative implied losses of approximately $79.4 million, primarily driven by Campbell Technology Park and Sea Harbor Office Center (Prospectus ID#6, 19.4% of the pool). These losses fully erode the balances of Classes D, E, F, and the nonrated Class G, and partially erode the balance of Class C, reducing the credit support for Class B, thereby supporting the credit rating downgrades with this review. The Negative trend is reflective of the possibility of additional defaults, the increased propensity for interest shortfalls, and the potential for further declines in value of the specially serviced loans given the adverse selection of loans remaining in the pool, as well as the uncertainty surrounding the ultimate resolution timeline for the Campbell Technology Park loan, which, according to media reports, is currently amid negotiations regarding a redevelopment of the asset. Since the February 2025 credit rating actions, 35 loans were repaid at or prior to the respective maturity dates and three loans were disposed from the pool, two with no realized losses and one with de minimis realized losses. As of the January 2026 remittance, only 11 loans remain in the pool with an aggregate principal balance of $206.5 million, representing a collateral reduction of 77.4% since issuance. Aside from the specially serviced loans, there are five remaining loans, all of which have maturity dates in 2035 and continue to exhibit strong performance metrics. Morningstar DBRS concluded that the senior Class A-S continues to be insulated from losses and is likely to be fully recoverable from repayments and liquidation proceeds, the primary consideration in the credit rating confirmation for that class. Campbell Technology Park is secured by a four-building, 280,000-square-foot (sf) office complex in Campbell, California. The loan was transferred to the special servicer in April 2025 because of imminent monetary default and subsequently failed to repay at the initial scheduled maturity in June 2025. According to the special servicer's commentary, the borrower was granted an 18-month forbearance period through December 2026, with an option to extend for an additional six months. As of January 2026, the borrower continues to perform under the forbearance agreement. The property was 43.0% occupied as of the April 2025 rent roll with all remaining leases scheduled to expire by December 2025. The loan was reappraised in June 2025 at $52.0 million, representing a 48.0% decline from the issuance figure of $100.0 million. The special servicer has confirmed that the borrower is pursuing the redevelopment project and expects to refinance the loan at extended maturity. Though the maturity extension allows the borrower additional time to execute the redevelopment, Morningstar DBRS remains concerned with the recent maturity default, the general timeliness of redevelopment plans in the current market, and soft submarket metrics, as Reis reported 22.1% vacancy in the submarket as of Q3 2025 (25.1% for similar vintage). As such, the loan was analyzed with a liquidation scenario based on a conservative 30% haircut to the recent value, resulting in implied losses totaling approximately $26.8 million, or a loss severity of 44.7%. Sea Harbor Office Center is secured by a 359,514- sf suburban office building in Orlando, Florida. The loan transferred to the special servicer in January 2019 for nonmonetary default related to noncompliance with a cash management trigger and did not repay at its June 2025 maturity. The loan was paid through December 2025 and, as per the servicer's commentary, cash management has been implemented. The workout strategy being pursued is a discounted payoff with expected resolution in June 2026. The former largest tenant, Wyndham Hotels & Resorts (Wyndham), previously occupied 72.4% of net rentable area (NRA) on a lease through October 2025 and vacated upon lease expiration. According to the most recent reporting, the second-largest tenant, Visit Orlando (12.4% of the NRA), had a lease expiration in October 2025, suggesting the occupancy rate at the subject may have declined to 10.0%. Morningstar DBRS inquired on the current status of Visit Orlando but did not receive a response as of this press release. The property was reappraised in July 2025 at $17.8 million, compared with the March 2023 appraisal value of $44.5 million, and is 73.0% below the issuance appraised value of $66.0 million. Given the significant decline in occupancy rate, substantial value deterioration, and softening submarket metrics, Morningstar DBRS' analysis includes a liquidation scenario, based on a 20% haircut to the July 2025 appraised value, resulting in a projected loss severity of approximately of 70%. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2016-C32: DBRS Cuts 2 Classes Certs Rating to C ----------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C32 issued by Wells Fargo Commercial Mortgage Trust 2016-C32 as follows: -- Class E to CCC (sf) from B (low) (sf) -- Class F to C (sf) from CCC (sf) -- Class X-E to CCC (sf) from B (sf) -- Class X-F to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-D at BBB (low) (sf) Morningstar DBRS changed the trends on Classes D and X-D to Negative from Stable. The trend on Class C is Stable. All other classes have trends that do not typically carry trends in commercial mortgage-backed securities (CMBS) transactions. With this review, Morningstar DBRS also discontinued its credit ratings on Classes A-4, A-S, X-A, B, and A-3FX as they were repaid with the January 2026 remittance report. The credit rating downgrades reflect Morningstar DBRS' recoverability expectations for the remainder of the pool, composed largely of defaulted and distressed loans. As of the January 2026 remittance, 10 loans remain, reflecting a collateral reduction of 87.3% since issuance. Five of those loans (36.9% of the pool) are in special servicing, including the second-largest loan in the pool, 10 South LaSalle Street (24.7% of the pool). Morningstar DBRS analyzed each of the remaining loans in the pool with liquidation scenarios based on haircuts to the most recent appraised values between 20% and 75%. The analysis resulted in cumulative projected realized losses of approximately $37.8 million, fully eroding the balance of the unrated Class G certificate, as well as 38.3% of the Class F certificate. This scenario significantly reduced the implied credit support for Class E, supporting the credit rating downgrades. As of January 2026, interest shortfalls have increased to $1.2 million, compared with $0.5 million at the last credit rating action in February 2025. The Negative trends reflect Morningstar DBRS' persistent concern about the uncertain resolution timing for the loans in special servicing, the potential for cash flow volatility for nonperforming loans, and the likelihood that interest shortfalls will continue to increase, eventually infringing upon the Morningstar DBRS tolerance for the respective credit rating categories. The Stable trend for the senior principal class reflects the almost $70 million of cushion provided by the more junior classes, as well as the likelihood of repayment provided by the implied proceeds from the aforementioned liquidation scenarios. Morningstar DBRS' loss expectations remain driven primarily by the liquidation scenario for 10 South LaSalle Street. The pari passu loan (also secured in the Morningstar DBRS-rated Wells Fargo Commercial Mortgage Trust 2016-NXS5 transaction) is secured by a Class B office property in the Central Loop submarket of Chicago and has been in special servicing since 2022. As of the July 2025 rent roll, the property was 49.3% occupied, following the departure of the former largest tenant, Chicago Title Insurance, in March 2025. Declining revenue and increasing expenses placed downward pressure on cash flow with the loan's debt service coverage ratio (DSCR) remaining below breakeven since 2022. The most recent appraisal provided in July 2025 valued the property at $30.1 million, 82.0% below the issuance appraised value of $166.5 million. Morningstar DBRS analyzed the loan under a liquidation scenario based on a conservative haircut to the most recent appraised value, resulting in an implied loss of $26.2 million and loss severity of more than 85.0%. Additionally, the second-largest loan in special servicing, Carson Building (Prospectus ID#41, 3.8% of the pool), transferred to special servicing in October 2025 for imminent monetary default and is currently designated as a nonperforming matured balloon, with an updated appraisal pending as of the January 2025 remittance. The loan is secured by a 29,000-square-foot (sf) office and retail property in Portland, Oregon. As of June 2025, the property was 48.0% occupied and had a DSCR of 0.62 times (x). These figures are representative of an ongoing decline in performance since 2023 when the property reported occupancy of 100%. Morningstar DBRS used a liquidation scenario based on a conservative haircut to the issuance appraised value, resulting in an implied loss of approximately $3.0 million and a loss severity of 66%. The largest loan in the pool, Technology Center (Prospectus ID#3, 37.3% of the pool), matured in January 2026 and the borrower was granted a 60-day forbearance to provide additional time to close the replacement financing. The loan is secured by a 94,737-sf, Class A office property in Redwood City, California, about 26 miles from San Francisco. Since issuance, the property has been a strong performer. As of September 2025, the loan reported a DSCR of 2.08x and an occupancy of 79.0%, an increase from the YE2024 figures of 1.56x and 71.0%, respectively. With no upcoming tenant rollover in the next year, property cash flows appear stable and conducive to a successful refinance. However, the market conditions remain difficult and could mean the borrower will be required to fund additional equity to close a new loan. Morningstar DBRS expects the $45.3 million loan will repay but maintained the A (low) (sf) credit rating for the seniormost Class C certificate, which has a balance just under $14.0 million, given the uncertainty with regard to timing and other factors as previously described in the beginning of this press release. Notes: All figures are in U.S. dollars unless otherwise noted. [] DBRS Reviews 17 Classes in 2 US RMBS Transactions ---------------------------------------------------- DBRS, Inc. reviewed 17 classes in two U.S. residential mortgage-backed securities (RMBS) transactions. Of the two transactions reviewed, one is classified as a reverse mortgage and the other as a single-family rental. Morningstar DBRS confirmed its credit ratings on the 17 classes. Brean Asset-Backed Securities Trust 2025-RM10 Mortgage-Backed Notes, Series 2025-RM10 Class A1 AAA (sf) Confirmed Class A2 AAA (sf) Confirmed Class AM AAA (sf) Confirmed Class M1 AA (sf) Confirmed Class M2 A (sf) Confirmed Class M3 BBB (sf) Confirmed Class M4 BB (sf) Confirmed Class M5 B (sf) Confirmed Progress Residential 2025-SFR1 Trust Single Family Rental Pass Through Certificates Class A AAA (sf) Confirmed Class B AA (sf) Confirmed Class C A (low) (sf) Confirmed Class D BBB (sf) Confirmed Class E1 BBB (sf) Confirmed Class E2 BBB (low) (sf) Confirmed Class F1 BB (sf) Confirmed Class F2 BB (low) (sf) Confirmed Class G B (low) (sf) Confirmed CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update" published on December 19, 2025 (https://dbrs.morningstar.com/research/470251). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in US Dollars unless otherwise noted. [] DBRS Reviews 313 Classes From 16 US RMBS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 313 classes from 16 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 16 transactions reviewed, one is classified as a small-balance commercial mortgage transaction collateralized by various types of commercial, multifamily rental, and mixed-use properties, one is classified as closed-end second lien mortgage transaction, one is classified as home equity line of credit (HELOC) transaction, four are classified as seasoned transactions, two are classified as securitization of a revolving portfolio of residential transition loans (RTLs), and the remaining seven deals are classified as non-qualified mortgage (non-QM) transactions. Of the 313 classes reviewed, Morningstar DBRS upgraded its credit ratings on 101 classes and confirmed its credit ratings on the remaining 212 classes. The Affected Ratings are available at https://tinyurl.com/274b3szr The Issuers are: PRPM 2023-NQM1 Trust HOMES 2023-NQM1 Trust PRKCM 2024-AFC1 Trust PRPM 2025-NQM1 Trust FIGRE Trust 2025-HE1 New Residential Mortgage Loan Trust 2017-2 PRKCM 2023-AFC1 Trust LHOME Mortgage Trust 2025-RTL1 Toorak Mortgage Trust 2024-RRTL1 Towd Point Mortgage Trust 2025-CRM1 Velocity Commercial Capital Loan Trust 2025-1 New Residential Mortgage Loan Trust 2017-4 New Residential Mortgage Loan Trust 2020-2 New Residential Mortgage Loan Trust 2023-1 Mill City Mortgage Loan Trust 2023-NQM1 BRAVO Residential Funding Trust 2024-NQM2 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and an increase in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update" published on December 19, 2025 (https://dbrs.morningstar.com/research/470251). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in US Dollars unless otherwise noted. [] DBRS Reviews 52 Classes From 8 US RMBS Transactions ------------------------------------------------------ DBRS, Inc. reviewed 52 classes from eight U.S. residential mortgage-backed securities (RMBS) transactions. Of the eight transactions reviewed, one is classified as closed-end second mortgage, two are classified as non-qualified mortgages (non-QM), and the remaining five deals are classified as reperforming mortgages. Of the 52 classes reviewed, Morningstar DBRS upgraded its credit ratings on 15 classes and confirmed its credit ratings on the remaining 37 classes. The Affected Ratings are available at https://tinyurl.com/9k5bk2cw The Issuers are: CIM Trust 2025-I1 PRPM 2025-RCF1, LLC PRET 2025-RPL1 Trust AJAX Mortgage Loan Trust 2023-A Ajax Mortgage Loan Trust 2019-D J.P. Morgan Mortgage Trust 2025-CES1 Citigroup Mortgage Loan Trust 2023-RP1 BRAVO Residential Funding Trust 2025-NQM1 CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update" published on December 19, 2025 (https://dbrs.morningstar.com/research/470251). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in US Dollars unless otherwise noted. [] DBRS Reviews 57 Classes in 7 US RMBS Transactions ---------------------------------------------------- DBRS, Inc. reviewed 57 classes in seven U.S. residential mortgage-backed securities (RMBS) transactions. Of the seven transactions reviewed, one is classified as a reverse mortgage and six are classified as single-family rentals. Of the 57 classes reviewed, Morningstar DBRS upgraded its credit ratings on 16 classes and confirmed its credit ratings on the remaining 41 classes. The Affected Ratings are available at https://tinyurl.com/5n6dteum The Issuers are: FirstKey Homes 2021-SFR1 Trust Tricon American Homes 2019-SFR1 Trust Tricon American Homes 2020-SFR2 Trust Progress Residential 2024-SFR1 Trust New Residential Mortgage Loan Trust 2022-SFR2 Finance of America Structured Securities Trust 2025-S1 Tricon Residential 2021-SFR1 Trust CREDIT RATING RATIONALE/DESCRIPTION The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update" published on December 19, 2025 (https://dbrs.morningstar.com/research/470251). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in US Dollars unless otherwise noted. [] Fitch Lowers 20 Distressed Classes in 5 U.S. CMBS Transactions ----------------------------------------------------------------- Fitch Ratings has downgraded 17 distressed classes in five US CMBS transactions due to realized losses. Fitch also downgraded three classes and subsequently withdrawn the distressed ratings on all 15 rated classes remaining in the BSCMS 2007-PWR18 transaction. The downgraded classes incurred realized losses and the transaction balance has been reduced to zero. Additionally. Fitch has withdrawn the ratings on 12 'Dsf' rated classes in two transactions as the transaction balances have been reduced to zero. Entity/Debt Rating Prior ----------- ------ ----- Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 B 07401DAL5 LT Dsf Downgrade Csf B 07401DAL5 LT WDsf Withdrawn C 07401DAM3 LT Dsf Downgrade Csf C 07401DAM3 LT WDsf Withdrawn D 07401DAN1 LT Dsf Downgrade Csf D 07401DAN1 LT WDsf Withdrawn E 07401DAP6 LT WDsf Withdrawn Dsf F 07401DAQ4 LT WDsf Withdrawn Dsf G 07401DAR2 LT WDsf Withdrawn Dsf H 07401DAS0 LT WDsf Withdrawn Dsf J 07401DAT8 LT WDsf Withdrawn Dsf K 07401DAU5 LT WDsf Withdrawn Dsf L 07401DAV3 LT WDsf Withdrawn Dsf M 07401DAW1 LT WDsf Withdrawn Dsf N 07401DAX9 LT WDsf Withdrawn Dsf O 07401DAY7 LT WDsf Withdrawn Dsf P 07401DAZ4 LT WDsf Withdrawn Dsf Q 07401DBA8 LT WDsf Withdrawn Dsf JPMDB 2017-C5 E-RR 46590LBC5 LT Dsf Downgrade Csf F-RR 46590LBE1 LT Dsf Downgrade Csf G-RR 46590LBG6 LT Dsf Downgrade Csf CGCMT 2016-P4 E 29429EAN1 LT Dsf Downgrade CCsf F 29429EAQ4 LT Dsf Downgrade Csf IMSCI 2013-3 G 45779BAW9 LT WDsf Withdrawn Dsf CD 2017-CD3 Mortgage Trust Series 2017-CD3 D 12515GAM9 LT Dsf Downgrade CCsf E 12515GAP2 LT Dsf Downgrade Csf F 12515GAR8 LT Dsf Downgrade Csf V-D 12515GBD8 LT Dsf Downgrade CCsf X-D 12515GAV9 LT Dsf Downgrade CCsf Citigroup Commercial Mortgage Trust 2006-C4 D 17309DAK9 LT WDsf Withdrawn Dsf E 17309DAM5 LT WDsf Withdrawn Dsf F 17309DAN3 LT WDsf Withdrawn Dsf G 17309DAP8 LT WDsf Withdrawn Dsf H 17309DAQ6 LT WDsf Withdrawn Dsf J 17309DAR4 LT WDsf Withdrawn Dsf K 17309DAS2 LT WDsf Withdrawn Dsf L 17309DAT0 LT WDsf Withdrawn Dsf M 17309DAU7 LT WDsf Withdrawn Dsf N 17309DAV5 LT WDsf Withdrawn Dsf O 17309DAW3 LT WDsf Withdrawn Dsf CD 2016-CD2 D 12515AAN0 LT Dsf Downgrade Csf E 12515AAQ3 LT Dsf Downgrade Csf F 12515AAS9 LT Dsf Downgrade Csf V1-D 12515ABQ2 LT Dsf Downgrade Csf X-D 12515AAE0 LT Dsf Downgrade Csf X-E 12515AAG5 LT Dsf Downgrade Csf X-F 12515AAJ9 LT Dsf Downgrade Csf Fitch downgraded three classes and subsequently withdrew the distressed ratings on all 15 rated classes remaining in following transaction: BSCMS 2007-PWR18. The transaction has no remaining collateral and all bond balances have been reduced to zero. Fitch has withdrawn 12 'Dsf' rated classes in the following transactions: CGCMT 2006-C4; IMSCI 2013-3. The transactions have no remaining collateral and all bond balances have been reduced to zero. The withdrawals reflect that the ratings are no longer considered relevant to Fitch's coverage. Automatic Withdrawal of the Last Default Rating Default ratings ('Dsf') assigned to the last rated class of a transaction will be automatically withdrawn within 11 months from the date of this rating action. A separate RAC will not be issued at that time. KEY RATING DRIVERS Fitch downgraded 17 classes in the following transactions due to principal losses incurred: CD 2016-CD2; CD 2017-CD3; CGCMT 2016-P4; JPMDB 2017-C5. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Negative rating sensitivities are not applicable as these bonds have realized principal losses and the classes are all rated 'Dsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade No further rating changes are expected as these bonds have realized principal losses. While the bonds that have defaulted are not expected to recover any material amount of lost principal in the future, there is a limited possibility this may happen. In this unlikely scenario, Fitch would further review the affected classes. [] Moody's Upgrades Ratings on 11 Bonds from 6 US RMBS Deals ------------------------------------------------------------ Moody's Ratings (has upgraded the ratings of eleven bonds from six US residential mortgage-backed transactions (RMBS), backed by second lien mortgages issued by multiple issuers. In addition, three of the bonds Moody's upgraded are also the underlying bonds of a repackaged transaction, namely CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES. Therefore, Moody's have upgraded the ratings of the linked bonds from the repackaged transaction accordingly. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-T Cl. 1-A, Upgraded to B1 (sf); previously on Apr 10, 2025 Upgraded to B2 (sf) Cl. 2-A, Upgraded to Baa2 (sf); previously on Apr 10, 2025 Upgraded to Baa3 (sf) Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-U Cl. 1-A, Upgraded to Aa1 (sf); previously on Apr 10, 2025 Upgraded to A1 (sf) Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-B Cl. 2-A, Upgraded to Aa1 (sf); previously on Apr 10, 2025 Upgraded to A1 (sf) Issuer: CWHEQ Revolving Home Equity Loan Trust, Series 2005-F Cl. 1-A, Upgraded to Ba3 (sf); previously on Apr 10, 2025 Upgraded to B2 (sf) Issuer: Irwin Home Equity Loan Trust 2006-1 Cl. IIA-3, Upgraded to Aa3 (sf); previously on Apr 3, 2025 Upgraded to A1 (sf) Cl. IIA-4, Upgraded to Aa3 (sf); previously on Apr 3, 2025 Upgraded to A1 (sf) Issuer: CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES Cl. 04T-1a, Upgraded to B1 (sf); previously on Apr 10, 2025 Upgraded to B2 (sf) Cl. 04T-1b, Upgraded to B1 (sf); previously on Apr 10, 2025 Upgraded to B2 (sf) Cl. 04U-1b, Upgraded to Aa1 (sf); previously on Apr 10, 2025 Upgraded to A1 (sf) Cl. 05F-1b, Upgraded to Ba3 (sf); previously on Apr 10, 2025 Upgraded to B2 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continue to display strong collateral performance, with enhancement levels for the tranches growing significantly, as the pools amortize. The credit enhancement since 12 months ago has grown, on average, 1.3x for the tranches reviewed. Moody's analysis also considered the expected time of class 1-A from CWABS 2004-U and class 2-A from CWHEQ 2005-B getting paid down, which Moody's expects to be paid down in the next three to six months. Each of the upgraded bonds, other than that of CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES, benefits from a financial guaranty insurance policy. In most instances, the bond insurer, who provides the financial guaranty insurance policy, is no longer rated by us. As such, each of the upgrades reflects Moody's forward looking view of the performance of the underlying assets in relation to the available credit enhancement, without giving credit to the financial guaranty insurance policy. In addition, the rating actions on the bonds from the repackaged transaction, CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES, reflect the rating actions on the bonds underlying that transaction. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all deals except CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] S&P Places Twenty-Five CLO Ratings on CreditWatch Positive ------------------------------------------------------------- S&P Global Ratings placed 62 ratings from 33 U.S. CLO transactions on CreditWatch. Of these CreditWatch placements, 25 were with positive implications and 37 with negative implications. These CreditWatch placements are based on the classes' performances and changes in metrics. S&P may place ratings on CreditWatch to reflect our opinion that there is at least a one-in-two likelihood of a rating change. Such a CreditWatch placement does not mean a rating change is inevitable. Eighteen of these transactions are reinvesting, while 15 are in their amortizing phase. Except for two CLOs backed by middle market loans, the rest of the CLOs involved in the actions are backed by broadly syndicated loans. The CreditWatch positive placements are primarily due to the increase of the credit support for those classes at their current rating levels, which is reflected in an increase in their overcollateralization (O/C) ratios and improved cash flow results. The increase in O/C ratios is mostly a result of paydowns to the senior notes. The CreditWatch negative placements are primarily due to a decline of the credit support for those classes at their current rating levels, which is reflected in a drop in their O/C ratios and weakened cash flow results. Though the trustee-reported O/C ratios of reinvesting CLOs could be above their minimum required levels, they have declined since the respective transactions went effective. While the decline in the O/C ratios of reinvesting CLOs is likely due to par losses, the weakened cash flow results of those reinvesting CLOs are likely due to a combination of par losses and decreases in key metrics of the underlying collateral, such as recovery rates and spreads. The amortizing CLOs could have additional issues--such as increased concentration and higher exposure to 'CCC' rated collateral--as the portfolio decreases following paydowns. Some amortizing CLOs have senior tranches placed on CreditWatch positive, while some of their junior tranches were placed on CreditWatch negative at the same time. Although the same portfolio backs all the tranches of each CLO, those CLOs might have opposing rating movements because they experienced both principal paydowns, which increased the senior credit support, and principal losses, which decreased the junior credit. S&P intends to resolve these CreditWatch placements within 90 days, following a committee review. S&P will continue to monitor the transactions it rates and take rating actions, including CreditWatch placements, as S&P deems appropriate. Ratings list Rating Issuer Class CUSIP To From Apidos CLO XXX A-2-R 03768CAS8 AA (sf)/ AA (sf) Watch Pos Apidos CLO XXX B-R 03768CAU3 A (sf)/ A (sf) Watch Pos Ballyrock CLO 2020-2 Ltd. A-2-R 05875DAL6 AA (sf)/ AA (sf) Watch Pos Ballyrock CLO 2020-2 Ltd. B-R 05875DAN2 A (sf)/ A (sf) Watch Pos Trinitas CLO IV Ltd. B-RR 89640XBP0 AA (sf)/ AA (sf) Watch Pos Trinitas CLO IV Ltd. C-R 89640XAS5 A (sf)/ A (sf) Watch Pos Trinitas CLO IV Ltd. D-R 89640XAT3 BBB- (sf)/ BBB- (sf) Watch Pos Ares LII CLO Ltd. B-RR 04009ABA7 AA (sf)/ AA (sf) Watch Pos Ares LII CLO Ltd. C-RR 04009ABC3 A (sf)/ A (sf) Watch Pos Ares LII CLO Ltd. D-RR 04009ABE9 BBB- (sf)/ BBB- (sf) Watch Pos LCM 30 Ltd. B-R 50200YAS7 AA (sf)/ AA (sf) Watch Pos LCM 30 Ltd. C-R 50200YAU2 A (sf)/ A (sf) Watch Pos First Eagle Commercial Loan Funding 2016-1 LLC C-R 32010LAG9 AA- (sf)/ AA- (sf) Watch Pos First Eagle Commercial Loan Funding 2016-1 LLC D-R 32010LAJ3 BBB- (sf)/ BBB- (sf) Watch Pos Maranon Loan Funding 2020-1 Ltd B-1 56577GAE9 AA (sf)/ AA (sf) Watch Pos Maranon Loan Funding 2020-1 Ltd B-2 56577GAG4 AA (sf)/ AA (sf) Watch Pos Octagon Investment Partners XVII Ltd. B-R2 67590GBL2 AA (sf)/ AA (sf) Watch Pos Octagon Investment Partners XVII Ltd. C-R2 67590GBN8 A (sf)/ A (sf) Watch Pos Octagon Investment Partners XVII Ltd. D-R2 67590GBQ1 BBB- (sf)/ BBB- (sf) Watch Pos Shackleton 2019-XV CLO Ltd. B-R 81883MAN3 AA (sf)/ AA (sf) Watch Pos Shackleton 2019-XV CLO Ltd. C-R 81883MAQ6 A (sf)/ A (sf) Watch Pos Shackleton 2019-XV CLO Ltd. D-1-R 81883MAS2 BBB- (sf)/ BBB- (sf) Watch Pos Shackleton 2019-XV CLO Ltd. D-2-R 81883MAU7 BBB- (sf)/ BBB- (sf) Watch Pos RR 14 Ltd D 74980NAA6 BB- (sf)/ BB- (sf) Watch Neg Signal Peak CLO 1 Ltd. D-R4 82666TAS8 BBB (sf)/ BBB (sf) Watch Neg Signal Peak CLO 1 Ltd. E-R3 82666UAA4 BB- (sf)/ BB- (sf) Watch Neg Signal Peak CLO 1 Ltd. F-R3 82666UAC0 B- (sf)/ B- (sf) Watch Neg Dryden 43 Senior Loan Fund D-R3 26245CBL6 BBB- (sf)/ BBB- (sf) Watch Neg Dryden 43 Senior Loan Fund E-R3 26245BAC9 BB- (sf)/ BB- (sf) Watch Neg Dryden 98 CLO Ltd. D 26248AAJ3 BBB- (sf)/ BBB- (sf) Watch Neg Dryden 98 CLO Ltd. E 26248CAA8 BB- (sf)/ BB- (sf) Watch Neg Crown City CLO II D-R 22823JAE7 BB- (sf)/ BB- (sf) Watch Neg Elmwood CLO VII Ltd. E-RR 29002RAL1 BB- (sf)/ BB- (sf) Watch Neg Elmwood CLO V II Ltd. F-RR 29002RAN7 B- (sf)/ B- (sf) Watch Neg Elmwood CLO 29 Ltd. E-R 29004HAA5 BB- (sf)/ BB- (sf) Watch Neg Elmwood CLO V Ltd. E-RR 29003AAF0 BB- (sf)/ BB- (sf) Watch Neg Sixth Street CLO VIII Ltd. D-R2 83012WAA9 BB- (sf)/ BB- (sf) Watch Neg Fortress Credit BSL XII Ltd. E 34963GAE8 BB- (sf)/ BB- (sf) Watch Neg Madison Park Funding XXXIX Ltd. E 55821NAA8 BB- (sf)/ BB- (sf) Watch Neg HalseyPoint CLO 4 Ltd. E 40637NAA4 BB- (sf)/ BB- (sf) Watch Neg Park Avenue Institutional Advisers CLO Ltd. 2022-1 D 70016DAA4 BB- (sf)/ BB- (sf) Watch Neg Bain Capital Credit CLO 2019-2 Ltd. E-R-3 056827AA6 BB- (sf)/ BB- (sf) Watch Neg Symphony CLO XXII Ltd. E 87167HAA6 BB- (sf)/ BB- (sf) Watch Neg SYMPHONY CLO XXI Ltd. E-1R 87167CAY5 BB- (sf)/ BB- (sf) Watch Neg SYMPHONY CLO XXI Ltd. E-1XR 87167CBA6 BB- (sf)/ BB- (sf) Watch Neg SYMPHONY CLO XXI Ltd. E-2R 87167CBC2 BB- (sf)/ BB- (sf) Watch Neg SYMPHONY CLO XXI Ltd. E-2XR 87167CBE8 BB- (sf)/ BB- (sf) Watch Neg SYMPHONY CLO XXI Ltd. E-3R 87167CBG3 BB- (sf)/ BB- (sf) Watch Neg SYMPHONY CLO XXI Ltd. E-3XR 87167CBJ7 BB- (sf)/ BB- (sf) Watch Neg SYMPHONY CLO XXI Ltd. E-4R 87167CBL2 BB- (sf)/ BB- (sf) Watch Neg SYMPHONY CLO XXI Ltd. E-4XR 87167CBN8 BB- (sf)/ BB- (sf) Watch Neg SYMPHONY CLO XXI Ltd. E-R 87167CAW9 BB- (sf)/ BB- (sf) Watch Neg LCM X VIII Limited Partnership C-R 50188GAV5 AA (sf)/ AA (sf) Watch Pos LCM XVIII Limited Partnership D-R 50188GAW3 BBB- (sf)/ BBB- (sf) Watch Pos LCM XVIII Limited Partnership E-R 50188HAC5 B- (sf)/ B- (sf) Watch Neg Jamestown CLO XV Ltd. E-R 47050VAE1 BB- (sf)/ BB-(sf) Watch Neg Battalion CLO XIX Ltd. D 07133VAG1 BBB- (sf)/ BBB- (sf) Watch Neg Battalion CLO XIX Ltd. E 07134AAA9 B (sf)/ B (sf) Watch Neg Ocean Trails CLO XI E-R 67514XAE5 BB- (sf)/ BB- (sf) Watch Neg Boyce Park CLO Ltd. E 103226AA4 BB- (sf)/ BB- (sf) Watch Neg Elmwood CLO 15 Ltd. E-R 29003KAE1 BB- (sf)/ BB- (sf) Watch Neg Fortress Credit BSL XIV Ltd. E 34963UAA5 BB- (sf)/ BB- (sf) Watch Neg [] S&P Takes Various Actions on 30 Classes From Nine US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 30 classes from nine U.S. RMBS re-securitized real estate mortgage investment conduits (re-REMIC) transactions issued between 2003 and 2010. The review yielded four downgrades, six affirmations, 11 discontinuances, and nine withdrawals. Analytical Considerations S&P said, "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: -- Underlying collateral performance or delinquency trends; -- Available subordination and/or overcollateralization; -- Erosion of or increases in credit support; -- A small loan count; and -- Reduced interest payments due to loan modifications. Rating Actions The rating changes reflect S&P's opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. S&P said, "The downgrades primarily reflect our assessment of the loan modifications and other credit-related events. "The affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on nine classes from four transactions primarily due to the small number of loans remaining in the related underlying group or structure. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level." Lastly, ratings on 11 classes from three transactions were also discontinued because their balances are no longer outstanding. Ratings list Rating Issuer Series Class CUSIP To From Citigroup Mortgage Loan Trust 2009-10 2009-10 1A1 17316AAA8 AA+ (sf) AA+(sf) Citigroup Mortgage Loan Trust 2009-10 2009-10 1A2 17316AAB6 D (sf) CCC (sf) Rationale: Assessment of reduced interest payments due to loan modifications and other credit-related events. Citigroup Mortgage Loan Trust 2009-11 2009-11 1A2 17314QAB3 NR BB+ (sf) Rationale: Criteria no longer applicable. Citigroup Mortgage Loan Trust 2010-7 2010-7 2A2 17317EAE1 NR A+ (sf) Rationale: Criteria no longer applicable. Deutsche Mortgage Securities Inc. 2007-WM1 A-1 25157TAA2 BBB+ (sf) BBB+(sf) Deutsche Mortgage Securities Inc. 2007-WM1 A-2 25157TAB0 BB+ (sf) BB+ (sf) JMAC Master Resecuritization Trust I Series 2009-B 2009-B 15-A 46633WAQ0 NR AAA (sf) Rationale: Class balance is no longer outstanding. JMAC Master Resecuritization Trust I Series 2009-B 2009-B 27-A 46633WBC0 NR AAA (sf) Rationale: Class balance is no longer outstanding. JMAC Master Resecuritization Trust I Series 2009-B 2009-B 6-A 46633WAF4 NR AAA (sf) Rationale: Class balance is no longer outstanding. JMAC Master Resecuritization Trust I Series 2009-B 2009-B 47-A 46633WBY2 NR AAA (sf) Rationale: Class balance is no longer outstanding. JMAC Master Resecuritization Trust I Series 2009-B 2 009-B 30-A 46633WBF3 NR AAA (sf) Rationale: Class balance is no longer outstanding. JMAC Master Resecuritization Trust I Series 2009-B 2009-B 2-A 46633WBH9 NR AAA (sf) Rationale: Class balance is no longer outstanding. JMAC Master Resecuritization Trust I, Series 2009-A 2009-A 26-A 46633LBB6 NR AAA (sf) Rationale: Class balance is no longer outstanding. JMAC Master Resecuritization Trust I, Series 2009-A 2009-A 32-A 46633LBH3 NR AAA (sf) Rationale: Class balance is no longer outstanding. JMAC Master Resecuritization Trust I, Series 2009-A 2009-A 41-A 46633LBS9 AAA (sf) AAA (sf) JMAC Master Resecuritization Trust I, Series 2009-A 2009-A 21-A 46633LAW1 NR AAA (sf) Rationale: Class balance is no longer outstanding. JMAC Master Resecuritization Trust I, Series 2009-A 2009-A 5-A 46633LAE1 NR AAA (sf) Rationale: Class balance is no longer outstanding. RBSSP Resecuritization Trust 2010-2 2010-2 14-A2 74929CDB9 BBB+ (sf) A+ (sf) Rationale: Assessment of reduced interest payments due to loan modifications and other credit-related events. RBSSP Resecuritization Trust 2010-2 2010-2 14-A3 74929CDD5 NR AAA (sf) Rationale: Class balance is no longer outstanding. RBSSP Resecuritization Trust 2010-2 2010-2 11-A2 74929CBY1 BB (sf) BB (sf) RBSSP Resecuritization Trust 2010-2 2010-2 14-A6 74929CDG8 BBB+ (sf) A+ (sf) Rationale: Assessment of reduced interest payments due to loan modifications and other credit-related events. RBSSP Resecuritization Trust 2010-2 2010-2 14-A4 74929CDE3 BBB+ (sf) A+ (sf) Rationale: Assessment of reduced interest payments due to loan modifications and other credit-related events. RBSSP Resecuritization Trust 2010-2 2010-2 14-A5 74929CDF0 AAA (sf) AAA (sf) Sequoia Mortgage Trust 2004-12 2004-12 A-3 81744FGA9 NR AA+ (sf) Rationale: Criteria no longer applicable. WaMu Mortgage Pass-Through Certificates, Series 2003-XSF1 Trust 2003-XSF1 4-A 92922FAJ7 NR AAA (sf) Rationale: Criteria no longer applicable. WaMu Mortgage Pass-Through Certificates, Series 2003-XSF1 Trust 2003-XSF1 4-X 92922FAK4 NR AAA (sf) Rationale: Criteria no longer applicable. WaMu Mortgage Pass-Through Certificates, Series 2003-XSF1 Trust 2003-XSF1 5-A 92922FAL2 NR AAA (sf) Rationale: Criteria no longer applicable. WaMu Mortgage Pass-Through Certificates, Series 2003-XSF1 Trust 2003-XSF1 5-B 92922FAM0 NR AAA (sf) Rationale: Criteria no longer applicable. WaMu Mortgage Pass-Through Certificates, Series 2003-XSF1 Trust 2003-XSF1 5-C 92922FAN8 NR AAA (sf) Rationale: Criteria no longer applicable. WaMu Mortgage Pass-Through Certificates, Series 2003-XSF1 Trust 2003-XSF1 5-X 92922FAP3 NR AAA (sf) Rationale: Criteria no longer applicable. NR--Not rated. [] S&P Takes Various Rating on 2,048 Classes From 54 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of the ratings on 2,048 classes from 54 U.S. RMBS credit risk transfer transactions issued between 2016 and 2025. The review yielded 1,137 upgrades and 911 affirmations. A list of Affected Ratings can be viewed at: https://tinyurl.com/y4v4kjwt Analytical Considerations S&P said, "For each transaction, we performed a credit analysis for each mortgage pool using updated loan-level information, from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level, after which we applied our cash flow stresses where relevant. We applied adjustments at the loan and pool levels when warranted, including a 1.04x pool-level adjustment in most instances, to account for the risk of estimated self-employed borrowers in the respective pools. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance. Our geographic concentration and prior credit event adjustment factors were based on the transactions' current pool compositions. "We incorporated various considerations into our decisions to raise, lower, or affirm ratings while reviewing the indicative ratings suggested by the application of our criteria. These considerations are based on transaction-specific performances and/or structural characteristics and their potential effects on certain classes." They include: -- Collateral performance/delinquency trends; -- The priority of principal payments; -- The priority of loss allocation; -- Expected short duration; -- Available subordination; and -- Credit enhancement minimums/floors. S&P said, "In addition, for transactions that include an A-1 or 1A-1 class, we performed cash flow analyses, as these classes are exposed to credit enhancement deterioration over time, given the share of principal payments allocated to subordinate notes. Our ratings on these classes consider their credit enhancement compared to projected loss levels, the potential for payment in full shortly after three years from their respective closing dates, and additional cash flow sensitivities with respect to recovery lags." Rating Actions The upgrades primarily reflect deleveraging. The rated classes benefit from a growing percentage of credit support from regular principal payments, historical prepayments, the degree of credit enhancement relative to delinquencies and low accumulated losses to date. The affirmations reflect our view that the projected collateral performance relative to our projected credit support on these classes remains relatively consistent with our prior projections. ********* 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. 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