260215.mbx

260215.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 15, 2026, Vol. 30, No. 46 Headlines 522 FUNDING 2017-1(A): Moody's Cuts $21.6MM E-R Notes Rating to B1 522 FUNDING 2020-6: Moody's Cuts Rating on $4MM F Notes to Caa1 ACREC 2026-FL4: Fitch Gives B-sf Rating to Class G Debt AGL CLO 15: Fitch Rates Class E-R Debt 'BB-sf' ANTARES CLO 2019-1: S&P Assigns BB-(sf) Rating on Class E-RR Notes AVANT LOANS 2026-REV1: Fitch Assigns 'B(EX)sf' Rating on Cl. F Debt BAIN CAPITAL 2020-2: S&P Affirms B (sf) Rating on Class E-R Notes BALLYROCK CLO 20: S&P Assigns BB- (sf) Rating on Class D-R3 Notes BMO 2026-C14: S&P Assigns B+ (sf) Rating on Class J-RR Certs BRANT POINT 2023-2: Fitch Gives BBsf Rating to Class E-R Debt BRANT POINT 2025-9: Fitch Assigns 'BB-sf' Rating on Class E Notes BSST 2021-1818: S&P Lowers Class A Certs Rating to 'BB (sf)' BSST 2022-1700: S&P Affirms CCC (sf) Rating on Class D Certs BX TRUST 2026-CART: Fitch Assigns BB-(EXP) Rating on Class E Certs CARMAX SELECT 2026-A: S&P Assigns Prelim 'BB+' Rating on E Notes CHASE HOME 2026-1: DBRS Finalizes B(low) Rating on B5 Certs CHURCHILL MMSLF CLO-III: S&P Assigns BB- (sf) Rating on E-R Notes CIFC FUNDING 2023-II: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes CIFC FUNDING 2023-III: Fitch Assigns BB-sf Rating on Cl. E-R Notes COM 2018-COR3: Fitch Cuts Rating on Class E-RR Certs to Csf COMM 2013-CCRE12: Moody's Cuts Rating on 2 Tranches to C COMM 2015-CCRE24: Fitch Affirms 'Bsf' Rating on Class D Certs COOPR RESIDENTIAL 2026-CES1: Fitch Gives Bsf Rating to B2 Certs ELEVATION CLO 2026-19: S&P Assigns Prelim 'BB-' Rating on E Notes FHF ISSUER 2024-2: Moody's Confirms 'B1' Rating on Class D Notes GALAXY XXII: S&P Assigns BB- (sf) Rating on Class E-R4 Notes GS MORTGAGE 2026-DSC1: S&P Assigns Prelim 'B' Rating on B-2 Certs HOMES 2026-INV1 TRUST: Moody's Assigns B2 Rating to Cl. B-2 Certs JP MORGAN 2026-NQM1: DBRS Finalizes B(low) Rating on B2 Certs JPMCC COMMERCIAL 2016-JP2: Moody's Cuts Rating on 2 Tranches to Ba2 KINETIC SECURED 2026-1: Fitch Rates Class C Notes 'BB-sf' KKR CLO 23: Moody's Cuts Rating on $7.25MM Class F Notes to Caa1 LEDN ISSUER 2026-1: S&P Assigns Prelim B- (sf) Rating on B Notes LEX TRUST 2026-450: Moody's Assigns (P)B1 Rating to Cl. HRR Certs MAGNETITE XXIII: S&P Assigns BB- (sf) Rating on Class E-R2 Notes MCF CLO 11: S&P Assigns Prelim BB- (sf) Rating on Class E Notes MJX VENTURE II: Moody's Cuts Rating on Series I/Cl. E Notes to Ba3 MORGAN STANLEY 2017-HR2: Fitch Rates Class H-RR Certs 'B-sf' MORGAN STANLEY 2024-INV3: Moody's Ups Rating on Cl. B-5 Certs to B1 MORGAN STANLEY 2026-INV1: Moody's Assigns (P)B3 Rating to B-5 Certs MORGAN STANLEY 2026-NQM2: S&P Assigns (P)B(sf) Rating on B-2 Certs MP CLO VII: Moody's Affirms Caa2 Rating on $28.9MM Cl. E-RR Notes NEW RESIDENTIAL 2026-NQM1: Fitch Rates B-sf Rating on Cl. B2 Notes NMEF FUNDING 2026-A: Moody's Assigns (P)Ba3 Rating to Cl. E Notes OBX TRUST 2026-INV1: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs PALMER SQUARE 2024-3: Moody's Assigns Ba1 Rating to $35MM D-R Notes PARK BLUE 2023-IV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes POINT AU ROCHE: S&P Assigns Prelim BB- (sf) Rating on E-R Notes PROVIDENT FUNDING 2026-1: Moody's Assigns B2 Rating to B-5 Certs SEQUOIA MORTGAGE 2026-2: Fitch Rates Class B5 Certs 'B(EXP)' SG RESIDENTIAL 2026-1: S&P Assigns Prelim 'B-' Rating on B-2 Certs SIXTH STREET XVI: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes TOWD POINT 2026-CES2:S&P Assigns Prelim B-(sf) Rating on B2B Notes TRIMARAN CAVU 2021-2: S&P Affirms B+ (sf) Rating on Class E Notes UNITY-PEACE PARK CLO: Moody's Assigns Ba3 Rating to Cl. E-R Notes VENTURE 32 CLO: Moody's Cuts Rating on $28.5MM Cl. E Notes to B1 VERTICAL BRIDGE 2026-1: Fitch Gives B(EXP) Rating to Class M Notes VERUS SECURITIZATION 2026-2: Fitch Rates Cl. B-2 Notes 'B-(EXP)sf' VITALITY RE XV: Fitch Affirms BB+ Rating on Ser. 2024 Cl. B Notes VITALITY RE XVI: Fitch Affirms BB- Rating on Ser. 2025 Cl. C Notes VOYA CLO 2025-5: Fitch Gives BB-(EXP) Rating to Class E Debt WFRBS COMMERCIAL 2014-C22: Moody's Cuts Rating on B Certs to Ba3 [] Fitch Takes Various Rating Actions on 36 FFELP SLABS [] Moody's Upgrades Ratings on 44 Bonds from 7 US RMBS Deals ********* 522 FUNDING 2017-1(A): Moody's Cuts $21.6MM E-R Notes Rating to B1 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by 522 Funding CLO 2017-1(A), Ltd.: US$21.6M Class E-R Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Nov 4, 2021 Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: US$256M Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 4, 2021 Assigned Aaa (sf) US$46M Class B-R Senior Secured Floating Rate Notes, Affirmed Aa2 (sf); previously on Nov 4, 2021 Assigned Aa2 (sf) US$19.6M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed A2 (sf); previously on Nov 4, 2021 Assigned A2 (sf) US$24.8M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Nov 4, 2021 Assigned Baa3 (sf) 522 Funding CLO 2017-1(A), Ltd., originally issued in November 2017 and subsequently refinanced in November 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Morgan Stanley Eaton Vance CLO CM LLC. The transaction's reinvestment period will end in October 2026. RATINGS RATIONALE The rating downgrade on the Class E-R notes is primarily a result of the deterioration in over-collateralisation ratios and the deterioration of the weighted average spread (WAS) of the portfolio over the last 12 months. The affirmations on the ratings on the Class A-R, Class B-R, Class C-R and Class D-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 over-collateralisation ratios of the rated notes have deteriorated since the payment date in January 2025. 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 127.32%, 119.56%, 111.00%, 104.49% compared to January 2025[2] levels of 129.09%, 121.22%, 112.54% and 105.94%, respectively. In addition, the WAS has deteriorated over the past year. According to the trustee report dated January 2026, the WAS decreased to 3.04% in January 2026[1] from 3.34% in January 2025[2]. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD384.3 million Defaulted Securities: USD2.44 million Diversity Score: 84 Weighted Average Rating Factor (WARF): 2733 Weighted Average Life (WAL): 4.8 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.8% Weighted Average Coupon (WAC): 4.2% Weighted Average Recovery Rate (WARR): 46.42% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in 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: -- Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which could lengthen as a result of the manager's decision to reinvest in new issue loans or other loans with longer maturities, or participate in amend-to-extend offerings. The effect on the ratings of extending the portfolio's weighted average life can be positive or negative depending on the notes' seniority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Other collateral quality metrics: Because the deal can reinvest, the manager can erode the collateral quality metrics' buffers against the covenant levels. However, as part of the base case, Moody's considered spread and coupon levels higher than the covenant levels because of the large difference between the reported and covenant levels. 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. 522 FUNDING 2020-6: Moody's Cuts Rating on $4MM F Notes to Caa1 --------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by 522 Funding CLO 2020-6, Ltd.: US$4M Class F Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa1 (sf); previously on Nov 18, 2021 Assigned B3 (sf) Moody's have also affirmed the ratings on the following notes: US$2.67M (Current outstanding amount US$1,333,336) Class X-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 15, 2024 Assigned Aaa (sf) US$248M Class A-1R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 15, 2024 Assigned Aaa (sf) US$12M Class A-2R2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 15, 2024 Assigned Aaa (sf) US$44M Class B-R2 Senior Secured Floating Rate Notes, Affirmed Aa2 (sf); previously on Nov 15, 2024 Assigned Aa2 (sf) US$24M Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes, Affirmed A2 (sf); previously on Nov 15, 2024 Assigned A2 (sf) US$24M Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Nov 18, 2021 Assigned Baa3 (sf) US$16M Class E-R Junior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Nov 18, 2021 Assigned Ba3 (sf) 522 Funding CLO 2020-6, Ltd., issued in November 2020 and subsequently refinanced most recently in November 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Morgan Stanley Eaton Vance CLO Manager LLC. The transaction's reinvestment period will end in October 2026. RATINGS RATIONALE The rating downgrade on the Class F notes is primarily a result of the deterioration in over-collateralisation ratios and the deterioration of the weighted average spread (WAS) of the portfolio over the last 12 months. The affirmations on the ratings on the Class X-R, A-1R2, A-2R2, B-R2, C-R2, D-R and 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 over-collateralisation ratios of the rated notes have deteriorated since the rating action in November 2024. 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 127.7%, 118.4%, 110.3%, 105.5% compared to December 2024[2] levels of 129.6%, 120.1%, 111.9% and 107.1%, respectively. In addition, the WAS has deteriorated over the past year. According to the trustee report dated December 2025, the WAS decreased to 3.0% [1] from 3.3% in December 2024[2]. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD388.2 million Defaulted Securities: USD3.6 million Diversity Score: 83 Weighted Average Rating Factor (WARF): 2752 Weighted Average Life (WAL): 5 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.05% Weighted Average Coupon (WAC): 4.2% Weighted Average Recovery Rate (WARR): 46.3% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Moody's note that the January 2026 trustee report was published at the time Moody's were completing Moody's analysis of the December 2025 data. Key portfolio metrics such as WARF, diversity score, weighted average spread and life, and OC ratios exhibit little or no change between these dates. 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: -- Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which could lengthen as a result of the manager's decision to reinvest in new issue loans or other loans with longer maturities, or participate in amend-to-extend offerings. The effect on the ratings of extending the portfolio's weighted average life can be positive or negative depending on the notes' seniority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Other collateral quality metrics: Because the deal can reinvest, the manager can erode the collateral quality metrics' buffers against the covenant levels. However, as part of the base case, Moody's considered spread and coupon levels higher than the covenant levels because of the large difference between the reported and covenant levels. 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. ACREC 2026-FL4: Fitch Gives B-sf Rating to Class G Debt ------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to ACREC 2026-FL4 LLC as follows: -- $530,000,000a class A 'AAAsf'; Outlook Stable; -- $158,750,000a class A-S 'AAAsf'; Outlook Stable; -- $72,500,000a class B 'AA-sf'; Outlook Stable; -- $58,750,000a class C 'A-sf'; Outlook Stable; -- $35,000,000ab class D 'BBBsf'; Outlook Stable; -- $0ab class D-E 'BBBsf'; Outlook Stable; -- $0abc class D-X 'BBBsf'; Outlook Stable; -- $16,250,000ab class E 'BBB-sf'; Outlook Stable; -- $0ab class E-E 'BBB-sf'; Outlook Stable; -- $0abc class E-X 'BBB-sf'; Outlook Stable; -- $33,750,000bd class F 'BB-sf'; Outlook Stable; -- $0bd class F-E 'BB-sf'; Outlook Stable; -- $0bcd class F-X 'BB-sf'; Outlook Stable; -- $21,250,000bd class G 'B-sf'; Outlook Stable; -- $0bd class G-E 'B-sf'; Outlook Stable; -- $0bcd class G-X 'B-sf'; Outlook Stable. The following class is not rated by Fitch: -- $73,750,000d Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) Exchangeable Notes. The class D, E, F and G notes are exchangeable notes. Each class of exchangeable notes may be exchanged for the corresponding classes of exchangeable notes, and vice versa. The dollar denomination of each of the received classes of notes must be equal to the dollar denomination of each of the surrendered classes of notes. (c) Notional amount and interest only. (d) Horizontal risk retention interest, estimated to be 12.875% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $946,130,681 and does not include future funding. Transaction Summary The notes will be secured by a pool of collateral interests consisting of 23 loans secured by 24 commercial properties with an aggregate principal balance of $946,130,681 as of the cutoff date. The pool includes a ramp-up collateral interest of approximately $53.9 million. The loans were contributed to the trust by ACREC Fund II Seller LLC. The servicer is expected to be Situs Asset Management LLC and the special servicer is expected to be KeyBank National Association. The trustee is expected to be Wilmington Trust, National Association and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 19 loans in the pool (84.8% by balance). Fitch's resulting aggregate net cash flow (NCF) of $25.9 million represents a 9.96% decline from the issuer's aggregate underwritten NCF of $28.8 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool has higher leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 143.9% is higher than both the 2025 and 2024 CRE CLO averages of 140.5% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 5.9% is lower than both the 2025 and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Better Pool Diversity: Pool diversity is better than that of any other Fitch-rated CRE CLO transaction. The top 10 loans make up 59.9% of the pool, which is lower than the 2025 CRE CLO average of 61.2% and the 2024 average of 70.5%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 21.3. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Multifamily Concentration: The pool is comprised entirely of multifamily properties, compared with the 2025 and 2024 CRE CLO averages of 77.1% and 78.4%, respectively. The quality of the pool is comparable to that of Fitch-rated Freddie Mac transactions. Therefore, Fitch modeled the pool as such, removing the property-type concentration adjustment, as it does for Freddie Mac and Fitch-rated MF1 CRE CLO transactions. No Amortization: The pool is comprised entirely of interest-only (IO) loans, compared with the 2025 and 2024 CRE CLO averages of 73.3% and 56.8%, respectively. As a result, the pool is expected to have zero principal paydown by the maturity of the loans. By comparison, the average scheduled paydowns for Fitch-rated U.S. CRE CLO transactions in 2025 and 2024 were 0.5% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: --Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; --10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/ 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: --Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; --10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. AGL CLO 15: Fitch Rates Class E-R Debt 'BB-sf' ---------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 15 Ltd. reset transaction. RATING ACTIONS Entity / Debt Rating ------------- ------ AGL CLO 15 Ltd. A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary AGL CLO 15 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by AGL CLO Credit Management LLC that originally closed in December 2021. This will be the first refinancing where the existing notes will be refinanced in whole in January 2026 from proceeds of the new secured notes. The net proceeds from the issuance of the new secured and subordinated notes will provide financing on a portfolio of approximately $496.5 million (excluding defaults) of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.43 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.23% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.23% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant that are seven years or more to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'BB-sf' 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-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, and 'BBB+sf' for class D-2-R and 'BBB-sf' for class E-R. ANTARES CLO 2019-1: S&P Assigns BB-(sf) Rating on Class E-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1-RR, B-RR, C-RR, D-RR, and E-RR debt and 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. The transaction was originally issued in May 2019 and underwent a refinancing in November 2023. At the same time, S&P withdrew its ratings on the previous class A-R, A, B-R, C-R, D-R, and E-R debt following payment in full on the Feb. 6, 2026, refinancing date. The replacement and new debt were issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-RR, B-RR, C-RR, D-RR, and E-RR debt was issued at lower spreads over three-month term SOFR than the previous debt. -- New floating-rate class A-2-RR debt was issued. -- The stated maturity and reinvestment period were each extended by 3.25 years, the non-call period was extended by more than two years, and the weighted average life test date was extended by one year. -- Certain concentration limits were amended. -- 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 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 Qe 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 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) Ratings Withdrawn Antares CLO 2019-1 Ltd./Antares CLO 2019-1 LLC Class A-R to not rated from 'AAA (sf)' Class A loans to not rated from 'AAA (sf)' Class B-R to not rated from 'AA (sf)' Class C-R to not rated from 'A (sf)' Class D-R to not rated from 'BBB- (sf)' Class E-R to not rated from 'BB- (sf)' Other Debt Antares CLO 2019-1 Ltd./Antares CLO 2019-1 LLC Subordinated notes, $62.840 million: not rated AVANT LOANS 2026-REV1: Fitch Assigns 'B(EX)sf' Rating on Cl. F Debt ------------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to the ABS issued by Avant Loans Funding Trust 2026-REV1 (AVNT 2026-REV1). Entity/Debt Rating ----------- ------ Avant Loans Funding Trust 2026-REV1 A LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating F LT B(EXP)sf Expected Rating Transaction Summary AVNT 2026-REV1 is backed by a revolving pool of fixed-rate, fully amortizing, unsecured consumer loans originated by WebBank, a Utah chartered industrial bank, through the Avant platform and sold to Avant Affiliate which then transfers the loan to Avant, LLC (Avant). Avant subsequently sells these loans to the issuer (AVNT 2026-REV1) through the depositor. AVNT 2026-REV1 is Avant's 17th term securitization and the first to be rated by Fitch. KEY RATING DRIVERS Consistent Collateral Quality: The weighted average (WA) FICO score for AVNT 2026-REV1 is 646, with approximately 4.69% of the pool consisting of borrowers with a FICO score below 600. Avant assigns a credit grade to the loans based in part on the applicant's credit score, which ranges from A to D, with A representing the highest creditworthiness. Grade C represents 74.74% of the pool balance, consistent with Avant's origination strategy and recent origination trends. Avant originates loans with an original term of 12, 24, 36, 48 and 60 months. 53.36% of the pool balance consists of a 36-month original loan term, consistent with Avant's origination strategy and recent origination trends. The WA remaining term of the pool is 36 months, and the pool is seasoned by six months on average. The WA APR of the loans is 25.31% and the pool is diversified across 43 states with Texas accounting for the 11.06% of the pool balance. All loans in the pool are current as of the statistical cutoff date of Dec. 15, 2025. Elevated but Improving Performance Trends: Avant reduced originations in response to the pandemic in 2020 and since 2021 been steadily increasing originations while managing credit performance. Avant's managed portfolio experienced a notable increase in default rates for loans originated in 2021 and 2022, attributed to the broader deterioration in the unsecured consumer loan market. Performance has since improved but is higher than the levels seen from 2017-2020.Fitch's gross default assumption for the AVNT 2026-REV1 pool, based on the current composition of loans as of the statistical calculation date, is 18.16%. However, a base case gross default assumption of 19.14% was assigned to the worst-case portfolio to account for the revolving nature of the pool and is used in analysis until the end of the revolving period of two years. The 19.14% base case assumption is an expected case reflecting Avant's historical performance trends as well as near-term economic conditions and expectations for additional cooling of the labor market in the U.S. The base case gross default assumption was established utilizing Avant's historical performance data since 2015. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 67.38%, 50.79%, 34.44%, 21.99%, 7.06% and 3.24% of the initial pool balance for class A, B, C, D, E and F notes, respectively. Fitch modeled the initial CE under stressed cash flow assumptions for all classes and found that the classes pass all stresses at the rating level assigned to the respective class of notes. Fitch applied a 'AAAsf' rating stress of 4x the base case gross default rate for the 2026-REV1 series. The stress multiples decrease proportionally between the 'median' and 'low' multiple range for lower rating levels, as described in Fitch's "Consumer ABS Rating Criteria." The gross default multiple reflects the absolute value of the gross default assumption, the length of gross default performance history, exposure to changing economic conditions from higher loan terms and the length of the revolving period, which potentially exposes the trust to performance degradation due to negative pool migration. Assurance for True Lender Status for Partner Bank-Loan Origination: Avant's securitization transactions involve consumer loans originated by its partner bank, WebBank, a Utah chartered industrial bank. The bank's true lender status in the context of Avant's loan acquisition is subject to legal and regulatory uncertainty, especially if the loans' interest rates exceed those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that Avant, rather than WebBank, is the true lender, loans could be declared unenforceable, void or subject to interest rate reductions and other penalties. This would increase negative rating pressure. Fitch's analysis and expected ratings reflect a review of the transaction's eligibility criteria for selecting the receivables for AVNT 2026-REV1, which reduces exposure to such loans by adherence to certain usury limits and limits the concentration of loans extended to borrowers in New York, Vermont or Connecticut with interest rates exceeding the applicable maximum rate to 10% of the pool balance. Fitch also performed an operational risk review and deemed Avant's compliance, legal and operational capabilities acceptable to meet consumer protection regulations, along with the unique aspects of its loan products, such as an overall small balance and short tenor, which Fitch views as helpful. Adequate Servicing Capabilities: Avant, LLC is the servicer of the receivables. The servicer has displayed an acceptable track record of servicing consumer loans. In addition, Wilmington Trust, National Association, a national banking association (WTNA) has contracted with Systems & Services Technologies, Inc. (SST), a Delaware corporation, as its designated sub-agent to perform the initial Backup Servicer's duties. SST has also shown an acceptable record of servicing consumer loans, reducing servicing disruption. Fitch considers all servicers adequate for this pool of consumer loans. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or charge-offs could produce loss levels higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption by an additional 10%, 25% and 50%, and examining rating implications. These increases of the base case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. During the sensitivity analysis, Fitch examines the magnitude of multiplier compression by projecting expected cash flow and loss coverage over the life of the investments. For this projection, Fitch applies default assumptions that are higher than the initial base-case default assumptions. Fitch models cash flow with the revised default estimates while holding constant all other modeling assumptions. Rating sensitivity to increased defaults (class A/B/C/D/E/F): Expected Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' - Increased default base case by 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'B+sf'/'CCCsf'; - Increased default base case by 25%: 'AAsf'/'A+sf'/'BBB+sf'/'BB+sf'/'CCCsf'/'NRsf'; - Increased default base case by 50%: 'A+sf'/'A-sf'/'BBB-sf'/'BBsf'/'NRsf'/'NRsf'; - Reduced recovery base case by 10%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'; - Reduced recovery base case by 25%: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'B-sf'; - Reduced recovery base case by 50%: 'AA+sf'/'AA-sf'/'Asf'/'BBB-sf'/'BB-sf'/'CCCsf'; - Increased default base case by 10% and reduced recovery base case by 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BBsf'/'Bsf'/'CCCsf'; - Increased default base case by 25% and reduced recovery base case by 25%: 'AAsf'/'Asf'/'BBB+sf'/'BB-sf'/'NRsf'/'NRsf'; - Increased default base case by 50% and reduced recovery base case by 50%: 'A+sf'/'BBB+sf'/'BBB-sf'/'Bsf'/'NRsf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies, would increase CE levels and lead to a potential upgrade. If defaults are 20% less than the projected base case default rate, the expected ratings for the class B and C notes could be upgraded by up to one or two notches, respectively. Rating sensitivity from decreased defaults (class A/B/C/D/E/F): Expected Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'. Decreased default base case by 20%: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BB+sf'/'BBsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics with respect to 200 randomly selected statistical receivables. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BAIN CAPITAL 2020-2: S&P Affirms B (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R3, B-R3 and C-R3 debt from Bain Capital Credit CLO 2020-2 Ltd./Bain Capital Credit CLO 2020-2 LLC, a CLO managed by Bain Capital Credit U.S. CLO Manager LLC that was originally issued in Jun 2020 and underwent a partial refinancing in Sept. 2024. At the same time, S&P withdrew its ratings on the previous class A-RR, B-RR, and C-RR debt following payment in full on the Feb. 6, 2026, refinancing date. S&P also affirmed its ratings on the class D-R and E-R debt, which were not refinanced. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Aug. 6, 2026. -- No additional assets were purchased on the Feb. 6, 2026, refinancing date, and the target initial par amount remains unchanged. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 19, 2026. -- On a standalone basis, our cash flow analysis indicated a lower rating on the E-R debt. S&P said, "However, we affirmed our rating on the class E-R 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 the rated classes to increase as principal is collected and the senior debt is paid down." Replacement And Previous Debt Issuances Replacement debt -- Class A-R3, $248.00 million: Three-month CME term SOFR + 0.98% -- Class B-R3, $56.00 million: Three-month CME term SOFR + 1.40% -- Class C-R3 (deferrable), $24.00 million: Three-month CME term SOFR + 1.65% Previous debt -- Class A-RR, $248.00 million: Three-month CME term SOFR + 1.24% -- Class B-RR, $56.00 million: Three-month CME term SOFR + 1.65% -- Class C-RR (deferrable), $24.00 million: Three-month CME term SOFR + 1.95% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, S&P 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 Bain Capital Credit CLO 2020-2 Ltd./ Bain Capital Credit CLO 2020-2 LLC Class A-R3, $248.00 million: AAA (sf) Class B-R3, $56.00 million: AA (sf) Class C-R3, $24.00 million: A (sf) Ratings Withdrawn Bain Capital Credit CLO 2020-2 Ltd./ Bain Capital Credit CLO 2020-2 LLC Class A-RR to NR from 'AAA (sf)' Class B-RR to NR from 'AA (sf)' Class C-RR to NR from 'A (sf)' Ratings Affirmed Bain Capital Credit CLO 2020-2 Ltd./ Bain Capital Credit CLO 2020-2 LLC Class D-R: BB+ (sf) Class E-R: B (sf) Other Debt Bain Capital Credit CLO 2020-2 Ltd./ Bain Capital Credit CLO 2020-2 LLC Subordinated notes: NR NR--Not rated. BALLYROCK CLO 20: S&P Assigns BB- (sf) Rating on Class D-R3 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1A3, A-1B3, A-2R3, B-R3, C-1R3, and D-R3 debt from Ballyrock CLO 20 Ltd./Ballyrock CLO 20 LLC, a CLO managed by Ballyrock Investment Advisors LLC that was originally issued in July 2022 and underwent a reset in October 2024. At the same time, S&P withdrew its ratings on the previous class A-1A2 loan, A-1B2, A-2R2, B-R2, C-1R2, and D-R2 debt following payment in full on the Feb. 9, 2026, refinancing date. S&P also affirmed its ratings on the class C-2R2 debt, which were not refinanced. The replacement debt was issued via a conformed indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Nov. 9, 2026. -- No additional assets were purchased on the Feb. 9, 2026 refinancing date, and the target initial par amount remains unchanged. There was no additional effective date or ramp-up period and the first payment date following the refinancing is April 15, 2026. Replacement And Previous Debt Issuances Replacement debt -- Class A-1A3, $325.00 million: Three-month CME Term SOFR + 1.05% -- Class A-1B3, $10.00 million: Three-month CME Term SOFR + 1.35% -- Class A-2R3, $45.00 million: Three-month CME Term SOFR + 1.40% -- Class B-R3 (deferrable), $30.00 million: Three-month CME Term SOFR + 1.65% -- Class C-1R3 (deferrable), $30.00 million: Three-month CME Term SOFR + 2.80% -- Class D-R3 (deferrable), $15.00 million: Three-month CME Term SOFR + 5.85% Previous debt -- Class A-1A2 loan, $325.00 million: Three-month CME Term SOFR + 1.30% -- Class A-1B2, $10.00 million: Three-month CME Term SOFR + 1.60% -- Class A-2R2, $45.00 million: Three-month CME Term SOFR + 1.70% -- Class B-R2 (deferrable), $30.00 million: Three-month CME Term SOFR + 1.95% -- Class C-1R2 (deferrable), $30.00 million: Three-month CME Term SOFR + 3.10% -- Class D-R2 (deferrable), $15.00 million: Three-month CME Term SOFR + 6.20% 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. "On a standalone basis, our cash flow analysis indicated a lower rating on the class D-R3 debt. However, we assigned the prior rating of the refinanced class D-R2 debt to the new class D-R3 debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction. "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 Ballyrock CLO 20 Ltd. / Ballyrock CLO 20 LLC Class A-1A3, $325.00 million: AAA (sf) Class A-1B3, $10.00 million: AAA (sf) Class A-2R3, $45.00 million: AA (sf) Class B-R3, $30.00 million: A (sf) Class C-1R3, $30.00 million: BBB (sf) Class D-R3, $15.00 million: BB- (sf) Ratings Withdrawn Ballyrock CLO 20 Ltd. / Ballyrock CLO 20 LLC Class A-1A2 loan to NR from 'AAA (sf)' Class A-1B2 to NR from 'AAA (sf)' Class A-2R2 to NR from 'AA (sf)' Class B-R2 to NR from 'A (sf)' Class C-1R2 to NR from 'BBB (sf)' Class D-R2 to NR from 'BB- (sf)' Ratings Affirmed Ballyrock CLO 20 Ltd. / Ballyrock CLO 20 LLC Class C-2R2: BBB- (sf) Other Debt Ballyrock CLO 20 Ltd. / Ballyrock CLO 20 LLC Subordinated notes, $42.50 million: NR NR--Not rated. BMO 2026-C14: S&P Assigns B+ (sf) Rating on Class J-RR Certs ------------------------------------------------------------ S&P Global Ratings assigned its ratings to BMO 2026-C14 Mortgage Trust's commercial mortgage pass-through certificates. The certificate issuance is a CMBS securitization backed by 27 fixed-rate commercial mortgage loans with an aggregate principal balance of $631.631 million ($551.098 million of offered certificates), secured by the fee and/or leasehold interests in 88 properties across 28 states. The ratings reflect S&P's view of the credit support provided by the transaction's structure, our view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and our overall qualitative assessment of the transaction. S&P Global Ratings determined that the collateral pool has on a weighted average basis, a debt service coverage of 1.48x, and beginning and ending loan-to-value ratios of 85.6% and 80.6%, respectively, based on our values. Ratings Assigned BMO 2026-C14 Mortgage Trust Class A-1, $17,188,000: AAA (sf) Class A-2-CS, $10,000,000: AAA (sf) Class A-4, $105,000,000: AAA (sf) Class A-5, $288,091,000: AAA (sf) Class A-SB, $21,863,000: AAA (sf) Class X-A(i), $442,142,000: AAA (sf) Class X-B(i), $108,956,000: A- (sf) Class A-S, $46,583,000: AAA (sf) Class B, $35,529,000: AA- (sf) Class C, $26,844,000: A- (sf) Class X-D(i)(ii), $16,082,000: BBB (sf) Class D(ii), $16,082,000: BBB (sf) Class E-RR(iii), $8,394,000: BBB- (sf) Class F-RR(iii), $14,212,000: BB (sf) Class G-RR(iii), $15,001,000: BB- (sf) Class J-RR(iii), $7,106,000: B+ (sf) Class K-RR(iii), $19,738,860: NR (i)Notional balance. The notational amount of class X-A certificates will be equal to the aggregate certificate balance of the class A-1, A-2-CS, A-4, A-5, and A-SB certificates. The notional amount of class X-B certificates will be equal to the aggregate principal balance of class A-S, B, and C certificates. The notional principal balance of class X-D certificates will be equal to the balance of class D certificates. (ii)Non-offered certificate. (iii)Non-offered horizontal risk retention certificates. NR--Not rated. BRANT POINT 2023-2: Fitch Gives BBsf Rating to Class E-R Debt ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Brant Point CLO 2023-2, Ltd. reset transaction. RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- Brant Point CLO 2023-2, Ltd. A-1R LT NRsf New Rating NR(EXP)sf A-2 83607QAC9 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating AAA(EXP)sf B 83607QAE5 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating AA(EXP)sf C 83607QAG0 LT PIFsf Paid In Full Asf C-R LT Asf New Rating A(EXP)sf D 83607QAJ4 LT PIFsf Paid In Full BBB-sf D-1R LT BBB-sf New Rating BBB-(EXP)sf D-2R LT BBB-sf New Rating BBB-(EXP)sf E 83616PAA4 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary Brant Point CLO 2023-2 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Sound Point CLO C-MOA, LLC. This is the first reset of the transaction (f/k/a Sound Point CLO 37, Ltd.), originally closed in December 2023, where the existing secured notes will be refinanced in whole on Jan. 29, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.07 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 94.61% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.3% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48% of the portfolio balance in aggregate while the top five obligors can represent up to 9% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis 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 'A-sf' and 'AA+sf' for class A-2R, between 'BBB-sf' and 'A+sf' for class B-R, between 'BB-sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1R, and 'A-sf' for class D-2R and 'BBBsf' for class E-R. BRANT POINT 2025-9: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Brant Point CLO 2025-9, Ltd. Entity/Debt Rating ----------- ------ Brant Point CLO 2025-9, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Brant Point CLO 2025-9, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point CLO C-MOA, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $350 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.37 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.22% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and '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 Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Brant Point CLO 2025-9, 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. BSST 2021-1818: S&P Lowers Class A Certs Rating to 'BB (sf)' ------------------------------------------------------------ S&P Global Ratings lowered its ratings on four classes of commercial mortgage pass-through certificates from BSST 2021-1818 Mortgage Trust, a U.S. CMBS transaction. This is a U.S. stand-alone (single-borrower) CMBS transaction that is backed by a defaulted, unhedged floating-rate (indexed to one-month term SOFR plus a 3.55% adjusted spread), interest-only (IO) mortgage loan totaling $222.9 million as of the Jan. 15, 2026, trustee remittance report. The loan is secured by the borrower's fee-simple interest in a 1972-built, 37-story, 999,828-sq.-ft. LEED Silver-certified office building with a 408-space parking garage on floors 2-6 located at 1818 Market Street in the Market Street West submarket of Philadelphia. Rating Actions The downgrades on the class A, B, and C certificates reflect the following: -- S&P's net recovery value is 17.8% lower than the valuation it derived in its last review in September 2025, primarily due to decreasing net cash flow (NCF) and low occupancy at the property, which was 69.0% as of the Sept. 30, 2025, rent roll. Further, the property has concentrated tenant rollover risk in 2027 and 2028. We increased our capitalization rate assumption to reflect potential additional volatility in cash flows and occupancy at the property. -- The property's low leasing activity since 2024. Given the still weak, though stabilizing fundamentals in the property's office submarket, S&P believes the performance is not likely to improve to historical levels in the near term without significant capital investments. -- S&P's view that net recoveries to the bondholders may decline further due to increases in the advancing amount or a lower appraisal value (the latest reported appraisal value was, as of July 2025, at $181.0 million, a 14.3% decrease from the April 2024 appraisal value of $211.3 million and 35.8% below the issuance-appraised value of $282.1 million). According to the January 2026 trustee remittance report, the loan exposure increased by an additional $5.0 million since our September 2025 review due to advances and accruals. The servicer has reported a low 0.64x debt service coverage as of the six months ended June 30, 2025. The special servicer indicated that the receiver would continue pursuing a value-added strategy. S&P said, "The downgrade of class C to 'CCC (sf)' further reflects our qualitative consideration that its repayment is dependent on favorable business, financial, and economic conditions and that the class is vulnerable to default. "The downgrade of the class X-EXT IO certificates is based on our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class." The notional amount of class X-EXT references the IO stripped class, which is the class A certificates, as defined in the transaction documents. The loan, which has a reported nonperforming matured balloon payment status, transferred to special servicing on Sept. 29, 2023, due to imminent monetary default. The loan matured on March 9, 2024, and the borrower was not able to pay it off. The current special servicer, KeyBank Real Estate Capital, stated that the receiver would continue to work on leasing and stabilizing the property's performance before exploring its liquidation options, including a potential receivership sale. Based on the July 2025 appraisal value, an appraisal reduction amount of $66.0 million is in effect. As of the Jan. 15, 2026, trustee remittance report, the loan exposure increased by $5.0 million to $239.9 million, from $234.9 million as of our September 2025 review. The $17.0 million total outstanding servicer advances and accruals to date included $10.0 million for debt service, $6.6 million for appraisal subordinate entitlement reduction amount, $48,511 for other expenses, and $389,171 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 receiver's efforts to stabilize the property's performance and timing to eventually resolve the loan from the trust. 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 Sept. 30, 2025, rent roll, the property was 69.0% leased, relatively unchanged from S&P's assumed 69.4% rate in S&P's last review. Further, the property faces concentrated tenant rollover in 2027 (7.5% of net rentable area [NRA], 10.4% of S&P Global Ratings' in place gross rent) and 2028 (15.5%, 18.2%). According to CoStar, vacancy and rent have stabilized for three- to five-star properties in the Market Street West office submarket, where the subject property is situated. As of year-to-date February 2026, the submarket vacancy was 10.4% and availability was 11.7% for three-star properties and 18.3% and 21.7%, respectively for four- and five-star properties; the submarket rent was $29.14 per sq. ft. for three-star properties and $37.21 per sq. ft. for four- and five-star properties. According to the June and September 2025 rent rolls, the property had a 31.0% vacancy rate and gross rent of $37.88 per sq. ft., as calculated by S&P Global Ratings. S&P said, "In our current analysis, given the low occupancy and reported decline in NCF, as noted in the special servicer-provided 2025 rent rolls and six months ended June 2025 operating statements, we revised our NCF, capitalization rate, and valuation assumptions. This yielded an S&P Global Ratings' value of $102 per sq. ft., which was 43.6% below the July 2025 appraised value, and S&P Global Ratings' loan-to-value ratio of 218.4%. We also considered that the 1.8 million-sq.-ft. office building located at 1500 Market Street was re-appraised in July 2025 at $104.4 million or $59 per sq. ft., a decline of 79.5% from its issuance appraised value of $509.4 million ($289 per sq. ft.). 1500 Market Street secures the sole loan in J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-MKST (not rated by S&P Global Ratings) and has a reported foreclosure in progress payment status. In addition, the adjacent 850,209-sq.-ft. office property located at 1700 Market Street, which is owned by the same sponsor, was re-appraised in June 2025 for $199.0 million or $234 per sq. ft., down 18.6% from $244.5 million or $288 per sq. ft. at issuance. 1700 Market Street backs the sole loan in BSST 2022-1700 Mortgage Trust (rated by S&P Global Ratings) and has a reported nonperforming matured balloon payment status. 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 Six months ended June 2025(i) 2024(i) 2023(i) Occupancy rate (%) 69.0 72.6 74.0 Net cash flow (mil. $) 5.6 12.7 17.3 Debt service coverage (x) 0.64 0.63 1.99 Appraisal value (mil. $)(ii) 181.0 211.3 282.1 (i)Reporting period. (ii)As of July 2025, April 2024, and January 2021, respectively. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (Feb 2026)(i) (Sep 2025)(i) (March 2021)(i) Occupancy rate (%) 68.0 69.4 82.0 Net cash flow (mil. $) 8.7 10.8 13.2 Capitalization rate (%) 8.50 8.25 7.75 Value (mil. $) 102.1 124.2 167.6 Value per sq. ft. ($) 102 124 168 Loan-to-value ratio (%) 218.4 179.4 133.0 (i)Review period. Ratings Lowered BSST 2021-1818 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)' Class X-EXT to 'BB (sf)' from 'BBB (sf)' BSST 2022-1700: S&P Affirms CCC (sf) Rating on Class D Certs ------------------------------------------------------------ S&P Global Ratings lowered its ratings on four classes of commercial mortgage pass-through certificates from BSST 2022-1700 Mortgage Trust, a U.S. CMBS transaction. At the same time, S&P affirmed its rating on one class from the transaction. The transaction is a U.S. stand-alone (single-borrower) CMBS securitization that is backed by a defaulted, unhedged floating-rate (indexed to one-month term SOFR plus a 3.886% adjusted spread), interest-only (IO) mortgage loan totaling $188.0 million as of the Jan. 15, 2026, trustee remittance report. The loan is secured by the borrower's fee-simple interest in a 1968-built, 32-story, 850,209-sq.-ft. LEED Platinum-certified office building located at 1700 Market Street in the Market Street West submarket of Philadelphia. The property features include a 675-space parking garage on floors 2-5. Rating Actions The downgrades on the class A, B, and C certificates and the affirmation on the class D certificates reflect the following: -- S&P said, "Our net recovery value is 15.2% lower than the valuation we derived in our last review in September 2025, primarily due to decreasing net cash flow (NCF) and low occupancy at the property, which was 73.1% as of the Dec. 31, 2025, rent roll. Further, the property has concentrated tenant rollover risk in 2029 through 2031. We increased our capitalization rate assumption to reflect potential additional volatility in cash flows and occupancy at the property." -- The property's low leasing activity since 2024. Given the still weak, though stabilizing fundamentals in the property's office submarket, we believe its performance is unlikely 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 (the latest reported appraisal value was $199.0 million as of June 2025, which is 18.6% below the issuance-appraised value of $244.5 million). According to the January 2026 trustee remittance report, the borrower is currently delinquent on its debt service payments for which the loan exposure increased by $2.7 million since our September 2025 review. The servicer has reported a low debt service coverage of 0.72x as of the nine months ended Sept. 30, 2025. The special servicer has indicated that the receiver is in the process of selecting a broker to market the property for sale by mid-2026. "The affirmed 'CCC (sf)' rating on the class D certificates further reflects our qualitative consideration that the class's repayment depends on favorable business, financial, and economic conditions and that the class is vulnerable to default. "The downgrade on the class X-EXT IO certificates is based on our criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-EXT references the IO stripped class, which is the class A certificates, as defined in the transaction documents." The loan, which has a reported nonperforming matured balloon payment status, transferred to special servicing on Aug. 9, 2023, due to imminent maturity default. The loan matured on Feb. 9, 2024, and the borrower was not able to pay it off. The current special servicer, KeyBank Real Estate Capital (KeyBank), which replaced Rialto Capital Advisors LLC in November 2025, remarked that a court order stayed the pending foreclosure action; and the receiver is expected to select a broker to market the property for sale in mid-2026. Based on the June 2025 appraisal value, an appraisal reduction amount of $10.2 million is in effect. KeyBank stated that it plans to order a new appraisal report. The loan exposure increased to $190.7 million as of the Jan. 15, 2026, trustee remittance report from $188.0 million as of our September 2025 review. The outstanding servicer advances and accruals to date included $2.1 million for debt service, $319,173 for appraisal subordinate entitlement reduction amount, $224,270 for other expenses, and $10,156 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 receiver's efforts and timing to sell the property and repay the loan. If we receive information that differs materially from our expectations, such as a lower appraisal value, accelerated increases in advancing amount, 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 73.1% leased, which is relatively unchanged from our assumed 72.8% rate as of our last review. Further, the property faces concentrated tenant rollover in 2029 (7.9% of net rentable area [NRA]; 10.9% of S&P Global Ratings' in-place gross rent), 2030 (11.2%; 16.3%), and 2031 (29.9%; 40.7%). According to CoStar, vacancy and rent have stabilized for 3- to 5-star properties in the Market Street West office submarket, where the subject property is situated. As of year-to-date February 2026, the submarket vacancy, availability, and rent for 3-star properties were 10.4%, 11.7%, and $29.14 per sq. ft., respectively. During the same period, submarket vacancy, availability, and rent for 4- and 5-star properties were 18.3%, 22.2%, and $37.21 per sq. ft., respectively. According to the December 2025 rent roll, the property had a 26.9% vacancy rate and gross rent of $37.03 per sq. ft., as calculated by S&P Global Ratings. S&P said, "In our current analysis, given the low occupancy and reported decline in NCF, as noted in the special servicer-provided December 2025 rent roll and operating statements for the nine months ended September 2025 (see table 1), we revised our NCF, capitalization rate, and valuation assumptions (see table 2). This yielded an S&P Global Ratings' value of $112 per sq. ft. that was 52.1% below the June 2025 appraised value and an S&P Global Ratings' loan-to-value ratio of 197.3%. We also considered that the 1.8 million-sq.-ft. office building located at 1500 Market Street was re-appraised in July 2025 at $104.4 million or $59 per sq. ft., a decline of 79.5% from its issuance appraised value of $509.4 million ($289 per sq. ft.). 1500 Market Street secures the sole loan in J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-MKST (not rated by S&P Global Ratings) and has a reported foreclosure in progress payment status. In addition, the adjacent 999,828-sq.-ft. office property located at 1818 Market Street, which is owned by the same sponsor, was re-appraised in July 2025 for $181.0 million or $181 per sq. ft., down 35.8% from $282.1 million or $282 per sq. ft. at issuance. 1818 Market Street backs the sole loan in BSST 2021-1818 Mortgage Trust (rated by S&P Global Ratings) and has a reported nonperforming matured balloon payment status. 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 Nine months ended September 2025(i) 2024(i) 2023(i) Occupancy rate (%) 72.4 75.7 76.7 Net cash flow (mil. $) 8.0 14.5 10.3 Debt service coverage (x) 0.72 0.94 0.57 Appraisal value (mil. $)(ii) 199.0 199.0 244.5 (i)Reporting period. (ii)As of June 2025, December 2024, and October 2021, respectively. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (Feb 2026)(i) (Sep 2025)(i) (Feb 2022)(i) Occupancy rate (%) 72.0 72.8 85.0 Net cash flow (mil. $) 8.1 9.3 10.8 Capitalization rate (%) 8.50 8.25 7.75 Value (mil. $) 95.3 112.3 141.8 Value per sq. ft. ($) 112 132 167 Loan-to-value ratio (%) 197.3 167.4 132.6 (i)Review period. Ratings Lowered BSST 2022-1700 Mortgage Trust Class A to 'BB+ (sf)' from 'BBB+ (sf)' Class B to 'B+ (sf)' to 'BB+ (sf)' Class C to 'B- (sf)' from 'BB- (sf)' Class X-EXT to 'BB+ (sf)' from 'BBB+ (sf)' Rating Affirmed BSST 2022-1700 Mortgage Trust Class D: CCC (sf) BX TRUST 2026-CART: Fitch Assigns BB-(EXP) Rating on Class E Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to BX Trust 2026-CART commercial mortgage pass-through certificates, series 2026-CART: - $185,100,000 class A 'AAA(EXP)sf'; Outlook Stable; - $31,200,000 class B 'AA-(EXP)sf'; Outlook Stable; - $24,400,000 class C 'A-(EXP)sf'; Outlook Stable; - $34,500,000 class D 'BBB-(EXP)sf'; Outlook Stable; - $39,440,000 class E 'BB-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $16,560,000(a) class HRR. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Transaction Summary The BX Trust 2026-CART, commercial mortgage pass-through certificates, series 2026-CART (BX 2026-CART) certificates represent the beneficial ownership interest in a trust that will hold a $331.2 million, two-year, floating-rate, IO mortgage loan with three one-year extension options. The mortgage will be secured by the borrower's fee simple interest in a portfolio of 16 grocery-anchored properties in Texas, across three MSAs. The properties were acquired by affiliates of Blackstone Real Estate Partners X, which will serve as borrower sponsor. The properties were acquired via various transactions between 1982 and 2003, with an average year built of 1991, for a total cost basis of approximately $441.5 million. Mortgage loan proceeds, along with an equity contribution of approximately $110.3 million, will be used to purchase the property for approximately $432.3 million and pay $9.2 million in closing costs. The certificates will follow a pro-rata paydown for the initial 30% of the loan amount and a standard senior sequential paydown thereafter. The loan is expected to be originated by Morgan Stanley Mortgage Capital Holdings LLC. Trimont LLC is expected to serve as the master servicer and Situs Holdings, LLC is expected to serve at the special servicer. Deutsche Bank National Trust Company, National Association will act as the trustee and Computershare Trust Company, National Association will be the certificate administrator. BellOak, LLC will act as operating advisor. The transaction is scheduled to close on March 4, 2026. KEY RATING DRIVERS Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is estimated at $25.9 million. This is 4.2% lower than the issuer's NCF and 5.8% lower than the 2024 NCF. Fitch applied a 7.75% cap rate to derive a Fitch value of $333.9 million. Fitch Leverage: The $331.2 million mortgage loan has moderate leverage, with a Fitch stressed loan-to-value ratio (LTV) of 99.3%, debt service coverage ratio (DSCR) of 0.89x and a debt yield of 7.8%, along with debt of $177 psf. The Fitch LTV is based off of a consolidated appraised value rather than individual property level appraised values. Geographic Diversity: The portfolio exhibits geographic diversity, with 16 grocery-anchored properties (1.9 million sf) located across three MSAs, per CoStar. The three MSA concentrations are Houston, TX (11 properties; 69.6% of allocated loan amount [ALA]), Dallas-Fort Worth (four properties; 20.7% of ALA) and San Antonio (one property; 9.7% of ALA). Near-Term Lease Rollover: The portfolio is 96.4% leased, with an average remaining lease term of 3.7 years as of the most recent rent roll. Approximately 89.5% of the portfolio's net rentable area (NRA) will expire by 2031 (the fully extended maturity year), including 51.6% of NRA by 2028 (the year of the mortgage loan's initial maturity). The largest individual roll year within the fully extended loan term is 2028, when 22.9% of NRA is due to expire. The loan is not structured with a reserve for future re-tenanting costs; however, the sponsor believes the rollover and below-market rents provide some upside opportunity. Institutional Sponsorship and Management: The loan is sponsored by Blackstone Real Estate Partners X, an affiliate of Blackstone Inc. Blackstone is one of the largest owners of commercial real estate in the world and had approximately $1 trillion of assets under management as of January 2026. The portfolio in this transaction will be managed by Perform Properties. Perform Properties is a retail real estate owner and operator specializing in grocery-anchored and necessity-based shopping centers, with a core concentration in Texas. Perform Properties' portfolio consists of over 150 properties, with over 4,000 tenants, in 36 markets across the U.S. 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 list below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'. - 10% NCF Decline: 'A+sf'/'BBBsf'/'BB+sf'/'BB-sf'/'B-sf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'. - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BBsf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from Ernst & Young LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, and the findings did not have an impact on the analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained via the link contained at the bottom of the related rating action commentary. 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. CARMAX SELECT 2026-A: S&P Assigns Prelim 'BB+' Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to CarMax Select Receivables Trust 2026-A's auto receivables asset-backed notes. The note issuance is an ABS securitization backed by nonprime auto loan receivables. The preliminary ratings are based on information as of Feb. 11, 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 34.72%, 29.63%, 22.90%, 17.87%, and 16.51% 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 S&P's stressed cash flow scenarios. These credit support levels provide at least 3.60x, 3.10x, 2.35x, 1.75x, and 1.58x coverage of our expected cumulative net loss of 9.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its preliminary 'A-1+ (sf)' and '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 for the assigned preliminary ratings. -- The collateral characteristics of the series' pool of nonprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at U.S. Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of CarMax Business Services LLC s servicer. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned CarMax Select Receivables Trust 2026-A Class A-1, $143.00 million: A-1+ (sf) Class A-2a/A-2b(i), $317.79 million: AAA (sf) Class A-3, $107.28 million: AAA (sf) Class B, $46.54 million: AA (sf) Class C, $65.77 million: A (sf) Class D, $53.46 million: BBB (sf) Class E(ii), $16.16 million: BB+ (sf) (i)The class A-2 notes will either have a fixed interest rate or comprise a fixed-rate class A-2a portion and a floating-rate class A-2b portion that is indexed to a compounded SOFR (a 30-day average) plus a spread. The depositor does not expect the initial principal balance of the class A-2b notes to exceed $158.895 million. (ii)The class E notes are not being offered and are anticipated to be either privately placed or retained by the depositor or another affiliate of CarMax Business Services LLC. CHASE HOME 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 Chase Home Lending Mortgage Trust 2026-1: -- $600.8 million Class A-1 at AAA (sf) -- $375.5 million Class A-2 at AAA (sf) -- $375.5 million Class A-3 at AAA (sf) -- $375.5 million Class A-3-A at AAA (sf) -- $375.5 million Class A-3-X1 at AAA (sf) -- $375.5 million Class A-3-X2 at AAA (sf) -- $375.5 million Class A-3-X3 at AAA (sf) -- $281.6 million Class A-4 at AAA (sf) -- $281.6 million Class A-4-A at AAA (sf) -- $281.6 million Class A-4-B at AAA (sf) -- $281.6 million Class A-4-X1 at AAA (sf) -- $281.6 million Class A-4-X2 at AAA (sf) -- $281.6 million Class A-4-X3 at AAA (sf) -- $93.9 million Class A-5 at AAA (sf) -- $93.9 million Class A-5-A at AAA (sf) -- $93.9 million Class A-5-B at AAA (sf) -- $93.9 million Class A-5-X1 at AAA (sf) -- $93.9 million Class A-5-X2 at AAA (sf) -- $93.9 million Class A-5-X3 at AAA (sf) -- $225.3 million Class A-6 at AAA (sf) -- $225.3 million Class A-6-A at AAA (sf) -- $225.3 million Class A-6-B at AAA (sf) -- $225.3 million Class A-6-X1 at AAA (sf) -- $225.3 million Class A-6-X2 at AAA (sf) -- $225.3 million Class A-6-X3 at AAA (sf) -- $150.2 million Class A-7 at AAA (sf) -- $150.2 million Class A-7-A at AAA (sf) -- $150.2 million Class A-7-B at AAA (sf) -- $150.2 million Class A-7-X1 at AAA (sf) -- $150.2 million Class A-7-X2 at AAA (sf) -- $150.2 million Class A-7-X3 at AAA (sf) -- $56.3 million Class A-8 at AAA (sf) -- $56.3 million Class A-8-A at AAA (sf) -- $56.3 million Class A-8-B at AAA (sf) -- $56.3 million Class A-8-X1 at AAA (sf) -- $56.3 million Class A-8-X2 at AAA (sf) -- $56.3 million Class A-8-X3 at AAA (sf) -- $70.0 million Class A-9 at AAA (sf) -- $70.0 million Class A-9-A at AAA (sf) -- $70.0 million Class A-9-B at AAA (sf) -- $70.0 million Class A-9-X1 at AAA (sf) -- $70.0 million Class A-9-X2 at AAA (sf) -- $70.0 million Class A-9-X3 at AAA (sf) -- $150.2 million Class A-10 at AAA (sf) -- $150.2 million Class A-10-A at AAA (sf) -- $150.2 million Class A-10-B at AAA (sf) -- $150.2 million Class A-10-X1 at AAA (sf) -- $150.2 million Class A-10-X2 at AAA (sf) -- $150.2 million Class A-10-X3 at AAA (sf) -- $225.3 million Class A-11 at AAA (sf) -- $225.3 million Class A-11-X at AAA (sf) -- $225.3 million Class A-12 at AAA (sf) -- $225.3 million Class A-13 at AAA (sf) -- $225.3 million Class A-13-X at AAA (sf) -- $225.3 million Class A-14 at AAA (sf) -- $225.3 million Class A-14-X at AAA (sf) -- $225.3 million Class A-14-X2 at AAA (sf) -- $225.3 million Class A-14-X3 at AAA (sf) -- $225.3 million Class A-14-X4 at AAA (sf) -- $75.1 million Class A-15 at AAA (sf) -- $75.1 million Class A-15-A at AAA (sf) -- $75.1 million Class A-15-B at AAA (sf) -- $75.1 million Class A-15-X1 at AAA (sf) -- $75.1 million Class A-15-X2 at AAA (sf) -- $75.1 million Class A-15-X3 at AAA (sf) -- $75.1 million Class A-16 at AAA (sf) -- $75.1 million Class A-16-A at AAA (sf) -- $75.1 million Class A-16-B at AAA (sf) -- $75.1 million Class A-16-X1 at AAA (sf) -- $75.1 million Class A-16-X2 at AAA (sf) -- $75.1 million Class A-16-X3 at AAA (sf) -- $75.1 million Class A-17 at AAA (sf) -- $75.1 million Class A-17-A at AAA (sf) -- $75.1 million Class A-17-B at AAA (sf) -- $75.1 million Class A-17-X1 at AAA (sf) -- $75.1 million Class A-17-X2 at AAA (sf) -- $75.1 million Class A-17-X3 at AAA (sf) -- $131.4 million Class A-18 at AAA (sf) -- $131.4 million Class A-18-A at AAA (sf) -- $131.4 million Class A-18-B at AAA (sf) -- $131.4 million Class A-18-X1 at AAA (sf) -- $131.4 million Class A-18-X2 at AAA (sf) -- $131.4 million Class A-18-X3 at AAA (sf) -- $670.8 million Class A-X-1 at AAA (sf) -- $14.8 million Class B-1 at AA (low) (sf) -- $14.8 million Class B-1-A at AA (low) (sf) -- $14.8 million Class B-1-X at AA (low) (sf) -- $8.8 million Class B-2 at A (low) (sf) -- $8.8 million Class B-2-A at A (low) (sf) -- $8.8 million Class B-2-X at A (low) (sf) -- $5.3 million Class B-3 at BBB (low) (sf) -- $3.5 million Class B-4 at BB (low) (sf) -- $1.8 million 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-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 AAA (sf) credit ratings on the Certificates reflect 5.10% 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 3.00%, 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. CHURCHILL MMSLF CLO-III: S&P Assigns BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class X-R, B-R, C-R, and E-R debt and proposed new class A-1-R, A-2-R, D-1-R, and D-2-R debt from Churchill MMSLF CLO-III L.P./Churchill MMSLF CLO-III LLC, a CLO managed by Churchill Asset Management (an indirect subsidiary of Nuveen LLC, which in turn is a subsidiary of Teachers Insurance and Annuity Association of America), that was originally issued in January 2024. The preliminary ratings are based on information as of Feb. 9, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 11, 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 X, A, B, C, D, and E debt and assign ratings to the ratings to the replacement class X-R, B-R, C-R, and E-R debt and proposed new class A-1-R, A-2-R, D-1-R, and 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 X-R, B-R, C-R, and E-R debt is expected to be issued at a lower spread over three-month term CME SOFR than the existing debt. -- The proposed new class A-1-R and A-2-R debt are both expected to be issued at a lower spread over three-month term CME SOFR than the existing class A debt. -- The proposed new class D-1-R and D-2-R debt are both expected to be issued at a lower spread over three-month term CME SOFR than the existing class D debt. -- The non-call period will be extended to March 11, 2028. -- The reinvestment period will be extended to April 20, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to April 20, 2038. -- New class X-R 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 with the second payment date. The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Churchill MMSLF CLO-III L.P./Churchill MMSLF CLO-III LLC Class X-R, $5.40 million: AAA (sf) Class A-1-R, $232.00 million: AAA (sf) Class A-2-R, $16.00 million: AAA (sf) Class B-R, $36.00 million: AA (sf) Class C-R (deferrable), $20.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB (sf) Class D-2-R (deferrable), $10.00 million: BBB- (sf) Class E-R (deferrable), $14.00 million: BB- (sf) Other Debt Churchill MMSLF CLO-III L.P./Churchill MMSLF CLO-III LLC Subordinated notes, $42.53 million: NR NR--Not rated. CIFC FUNDING 2023-II: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the CIFC Funding 2023-II, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2023-II, Ltd. A-R LT NRsf New Rating B 125488AC0 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 125488AE6 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D1 125488AG1 LT PIFsf Paid In Full BBB-sf D2 125488AJ5 LT PIFsf Paid In Full BBB-sf E 125492AA6 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary CIFC Funding 2023-II, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by CIFC Asset Management LLC. All the secured notes will be refinanced on Feb. 3, 2026. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $397.8 million of primarily first lien senior secured leveraged loans (including principal cash). KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.11, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 94.63% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 71.5% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a three-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 11 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. Key Provision Changes The refinancing is being implemented via the amended and restated indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - The spreads for classes A-R, B-R, C-R, D-1-R and E-R notes are 1.13%, 1.45%, 1.65%, 2.45% and 4.65% compared to the spreads of 1.75%, 2.60%, 2.90%, 4.90%, 8.96% (fixed coupon) and 7.97% for the A, B, C, D1, D2 and E classes. - Class D1 and D2 are refinanced into class D-1-R - Addition of Dynamic WAL covenant. The portfolio can be managed to a 6.92, 5.92 or 5.42 WAL covenant, which would decline over time if certain key tests are breached or the collateral balance is below a certain threshold. - The non-call for the refinanced notes is extended to Jan. 29, 2027. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. FITCH ANALYSIS The portfolio includes 559 assets from 489 primarily high yield obligors. The portfolio balance (including principal cash) is approximately $397.8 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Fitch Weighted Average Rating Rate test. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B+/B'. Fitch has an explicit rating, credit opinion or private rating for 46.6% of the current portfolio par balance; ratings for 52.8% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.6% were unrated. The analysis focused on the Fitch stressed portfolio (FSP), and cash flow model analysis was conducted for this refinancing. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 17.0%, 15.5%, and 14.0%, respectively; - Assumed risk horizon: 6 years; - Minimum weighted average spread of 2.90%; - Minimum weighted average recovery rate of 63.25%; - Maximum weighted average rating factor of 24.00; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 6.50%; The transaction will exit its reinvestment period on 01-21-2029. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class B-R: 'AAsf' / Default 39.80% / Recovery 46.98% / Cushion 10.70% - Class C-R: 'Asf' / Default 35.20% / Recovery 56.53% / Cushion 9.50% - Class D-1-R: 'BBB-sf' / Default 26.90% / Recovery 66.17% / Cushion 8.70% - Class E-R: 'BB-sf' / Default 22.30% / Recovery 71.75% / Cushion 12.50% Fitch Stress Portfolio (FSP) Model Outputs: - Class B-R: 'AAsf' / Default 44.90% / Recovery 37.75% / Cushion 0.00% - Class C-R: 'Asf' / Default 40.00% / Recovery 47.40% / Cushion 0.10% - Class D-1-R: 'BBB-sf' / Default 31.40% / Recovery 56.23% / Cushion 1.30% - Class E-R: 'BB-sf' / Default 26.30% / Recovery 62.02% / Cushion 2.60% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB-sf' and 'A+sf' for class B-R, between 'BB-sf' and 'BBB+sf' for class C-R, and between less than 'B-sf' and 'BB+sf' for class D-1-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 Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA-sf' for class C-R, and 'BBB+sf' for class D-1-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 CIFC Funding 2023-II, 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. CIFC FUNDING 2023-III: Fitch Assigns BB-sf Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2023-III, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2023-III, Ltd. X-R LT NRsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B 12598YAE8 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 12598YAG3 LT PIFsf Paid In Full Asf C-1-R LT Asf New Rating C-2-R LT Asf New Rating D 12598YAJ7 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E 12598SAA9 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary CIFC Funding 2023-III, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CIFC Asset Management LLC that originally closed in January 2024. The existing secured notes will be redeemed in full on Feb. 4, 2026. Net proceeds from the issuance of the refinancing secured notes and the 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. The weighted average rating factor (WARF) of the indicative portfolio is 23.28 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.21% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.02% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-2-R notes, between 'BBB-sf' and 'A+sf' for class B-R notes, between 'BB-sf' and 'A-sf' for class C-R notes, between less than 'B-sf' and 'BB+sf' for class D-1-R notes, between less than 'B-sf' and 'BB+sf' for class D-2-R notes, and between less than 'B-sf' and 'B+sf' for class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R notes, 'AAsf' for class C-R notes, 'A-sf' for class D-1-R notes, 'BBB+sf' for class D-2-R notes, and 'BBB-sf' for class E-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2023-III, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. COM 2018-COR3: Fitch Cuts Rating on Class E-RR Certs to Csf ----------------------------------------------------------- Fitch Ratings has downgraded eight and affirmed five classes of COMM 2018-COR3 Mortgage Trust, commercial mortgage pass-through certificates. Fitch has also assigned Negative Rating Outlooks to classes A-M, B, C, X-A, and X-B following their downgrades. In addition, Fitch has revised the Outlook on class A-3 to Negative from Stable. RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- COMM 2018-COR3 A-2 12595VAC1 LT AAAsf Affirmed AAAsf A-3 12595VAD9 LT AAAsf Affirmed AAAsf A-M 12595VAF4 LT BBBsf Downgrade Asf A-SB 12595VAB3 LT AAAsf Affirmed AAAsf B 12595VAG2 LT BBsf Downgrade BBBsf C 12595VAH0 LT Bsf Downgrade BBsf D 12595VAN7 LT CCsf Downgrade CCCsf E-RR 12595VAQ0 LT Csf Downgrade CCsf F-RR 12595VAS6 LT Csf Affirmed Csf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss has increased since Fitch's prior rating action to 14.3% from 11.8%. Twelve loans (34.8% of the pool) were identified as Fitch Loans of Concern (FLOCs), including five loans (16.2%) in special servicing. The downgrades reflect higher pool loss expectations, driven primarily by the specially serviced loans, including Kingswood Center (6.7%), 644 Broadway (2.2%), 315 West 36th Street (4.8%) and 2857 West 8th Street (1.5%), along with a deterioration in performance of the Shoreline Center (3.9%) and 240 East 54th Street (3.2%) FLOCs. The Negative Outlooks reflect possible further downgrades with lower-than-expected recoveries and/or prolonged workouts of the specially serviced loans, additional performance declines of the FLOCs or more loans than anticipated fail to refinance. Given the pool has significant maturity concentration in 2027 and 2028, Fitch also performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment and/or loss expectation; the rating actions also incorporate this analysis. Largest Increases in Loss: The largest increase in loss since the prior rating action and the largest contributor to overall loss expectations is the Kingswood Center (6.7%) loan, which is secured by a 130,218-sf mixed-use (office/ retail/parking) property in an infill location in Brooklyn, NY. The loan transferred to special servicing in May 2023 for imminent monetary default. The largest tenant, Visiting Nurse Services of New York (previously 44% of the NRA), vacated at YE 2023, resulting in occupancy declining to 35% as of the November 2025 rent roll, unchanged from YE 024. The asset became REO in June 2024 and the property is being marketed for sale. According to the servicer, leasing has been challenging because potential tenants require substantial tenant improvements and the property cashflow cannot sustain paying for the improvements. Fitch's 'Bsf' rating case loss of 57.6% (prior to a concentration adjustment) reflects a stressed value of $267 psf, which is based on a stress to the most recent May 2025 appraisal value and factors in the increasing loan exposure. The second largest increase in loss since the prior rating action is the Shoreline Center (3.9%) loan, which is secured by an 81,369-sf suburban office (research and development) property in Redwood City, CA. The single-tenant office property was leased to Auris Surgical Robotics through April 2025, but the tenant has vacated, and the space is currently dark. The servicer-reported DSCR was -1.14x as of the trailing-nine-months ended September 2025, 2.40x as of June 2025, and 3.07x as of TTM June 2024. The loan reported total reserves of $5.4 million or $66.7 psf as of the December 2025 financial reporting. According to CoStar, the property lies within the Foster City/Redwood Office Submarket of the San Francisco, CA market area. As of 4Q25, average rental rates were $60.94 psf and $52.59 psf for the submarket and market, respectively. Vacancy for the submarket and market was 21.2% and 22.6%, respectively. Fitch's 'Bsf' case loss of 21.5% (prior to a concentration adjustment) is based on a 10.0% cap rate and 10.0% stress to the TTM ended June 2025 NOI, and factors in an increased probability of default due to the deterioration in performance, weak submarket fundamentals and loan's heightened term default risk. The Fitch stressed value of approximately $440/sf aligns with Fitch's dark value at issuance. The third largest increase in loss since the prior rating action is the 644 Broadway loan (2.2%), secured by a 47,436-sf mixed-use property in San Francisco, CA. The loan transferred to special servicing in July 2020 due to payment default. Due to the eviction moratorium, the largest tenant, China Live (58.5% of the NRA), withheld rental payments, but resumed payments once the eviction moratorium was lifted. The tenant refused to pay back rent that is outstanding. A receiver was appointed in 2024, and the servicer is currently in negotiations with China Live in an attempt to reach a settlement/repayment plan for the $6.7 million judgment for past due rents, and possibly a lease extension. As of the November 2025 rent roll, the property was 89.0% occupied, and the servicer reported DSCR was -0.62x as of the trailing-nine-months ended September 2025. Fitch's 'Bsf' rating case loss of 83.2% (prior to a concentration adjustment) reflects a stressed value of $210 psf, which is based on a stress to the most recent March 2025 appraisal value and factors in the increasing loan exposure. Fitch's 'Bsf' rating case loss as the prior rating action was 50.0%. The fourth largest increase in loss since the prior rating action is the 240 East 54th Street (3.2%) loan, which is secured by a 29,950-sf retail building in Midtown Manhattan. The loan was flagged as a FLOC due to declining performance and refinance concerns. Although the property has been 100% occupied since 2022, the property has operated at a loss due to lower rental income compared to issuance. Major tenants at the property include Pure Gym (68.5% of NRA, leased through October 2035), Soul Cycle (12.9%, September 2035) and Clean Market (11.7%, December 2030). The servicer-reported DSCR was 0.79x as of June 2025, 0.71x at YE2024, -0.47x at YE 2022 and -0.47x at YE 2021. The loan is due to mature in October 2027. Fitch's 'Bsf' case loss of 16.9% (prior to a concentration adjustment) is based on an 8.25% cap rate to an updated Fitch NCF of $1.4 million, which reflects rents that are closer to submarket levels. Minimal Change to Credit Enhancement (CE): As of the January 2026 distribution date, the pool's aggregate balance has been reduced by 3.2% to $973.7 million from $1.0 billion at issuance. Four loans (2.8% of the pool) have been defeased. Twenty-five loans (81.9%) are full-term interest-only (IO), and the remainder (18.1%) of the pool is amortizing. Principal Loss and Interest Shortfalls: To date, the COMM 2018-COR3 transaction has not incurred any realized principal losses. Interest shortfalls totaling $10.2 million are impacting the classes B, C, D, E-RR, F-RR, G-RR and non-rated H-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch does not expect downgrades to the senior 'AAAsf' rated classes due to their high CE, position in the capital structure and expected continued amortization and loan repayments. However, a downgrade to the class A-3 with a Negative Outlook is possible if deal-level losses increase significantly or interest shortfalls occur. Downgrades to classes rated 'BBBsf' with Negative Outlooks may occur if FLOC performance and/or recovery expectations deteriorate further, particularly for the specially serviced Kingswood Center, 315 West 36th Street, 644 Broadway and 2857 West 8th Street loans. Downgrades to classes rated 'BBsf' may occur with further performance declines or special servicing transfers of the FLOCs, outsized losses of the loans in special servicing, or if certainty of losses on the specially serviced loans and/or FLOCs increases. Further downgrades to the distressed 'CCsf', and 'Csf' rated classes would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. COMM 2013-CCRE12: Moody's Cuts Rating on 2 Tranches to C -------------------------------------------------------- Moody's Ratings has affirmed the rating on one class and downgraded the ratings on four classes in COMM 2013-CCRE12 Mortgage Trust, Commercial Pass-Through Certificates, Series 2013-CCRE12 as follows: Cl. A-M, Downgraded to Caa1 (sf); previously on Dec 12, 2024 Affirmed B1 (sf) Cl. B, Downgraded to C (sf); previously on Dec 12, 2024 Downgraded to Ca (sf) Cl. C, Affirmed C (sf); previously on Dec 12, 2024 Affirmed C (sf) Cl. PEZ, Downgraded to C (sf); previously on Dec 12, 2024 Downgraded to Ca (sf) Cl. X-A*, Downgraded to Caa1 (sf); previously on Dec 12, 2024 Downgraded to B1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on two P&I classes, Cl. A-M and Cl. B, were downgraded due to higher expected losses driven by the exposure to two delinquent loans in special servicing (71% of the pooled loan balance), both of which have been deemed non-recoverable. The largest specially serviced loan, 175 West Jackson (62.5% of the pooled loan balance) is expected to be imminently liquidated and based on the deterioration in value and high amount of outstanding advances Moody's anticipates a nearly full loss on this loan. Furthermore, as a result of the specially serviced and non-recoverable loan exposure, Cl. B has experienced ongoing interest shortfalls since October 2023. Additionally, the remaining two loans in the pool (29% of the pooled loan balance) are both considered as troubled loans and have both been previously modified and extended. The rating on the P&I class, Cl. C, was affirmed because the rating is consistent with Moody's expected loss. The rating on the IO class, Cl. X-A, was downgraded based on a decline in the credit quality of its referenced class. The rating on the exchangeable class, Cl. PEZ, was downgraded based on a decline in the credit quality of its referenced exchangeable classes. Moody's rating action reflects a base expected loss of 85.9% of the current pooled loan balance, compared to 68.2% at Moody's last review. Moody's base expected loss plus realized losses is now 24.6% of the original pooled balance, compared to 20.3% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 71% of the pooled loan balance is in special servicing and Moody's have identified additional troubled loans representing 29% of the pooled loan balance. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced and troubled loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the January 2026 distribution date, the transaction's aggregate certificate balance has decreased by 82% to $221.6 million from $1.2 billion at securitization. The certificates are collateralized by four mortgage loans, all of which are either currently or have previously been in special servicing and are past their original scheduled maturity dates. The pool has recognized an aggregate realized loss of $109.9 million due to a combination of previously liquidated loans as well as master servicer recoveries of non-recoverable advances. Furthermore, the transaction is under-collateralized as the aggregate certificate balance is approximately $7.0 million greater than the pooled loan balance. As of the January 2026 remittance statement cumulative interest shortfalls were $41.7 million and impacted up to Cl. B. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), non-recoverable determinations, loan modifications, and extraordinary trust expenses. The largest specially serviced loan is the 175 West Jackson Loan ($134.2 million -- 62.5% of the pooled loan balance), which represents a pari passu portion of a $250 million mortgage loan. The loan is secured by a 22-story office building totaling 1.45 million square feet (SF) and located within the Central Loop of Chicago, Illinois. Property performance has generally declined since 2015, with occupancy declining to 49% in September 2025 from 86% in 2015, and the reported net operating income (NOI) and debt service coverage ratio (DSCR) as of September 2025 were negative due to expenses outpacing revenues. The loan most recently transferred to special servicing in November 2021, and as of the January 2026 remittance statement was last paid through its March 2023 payment date. The most recent appraisal value was 84% below the outstanding loan balance and the loan has been deemed non-recoverable by the master servicer with approximately $14.9 million of total outstanding advances and advance interest across the three pari-passu portions of this loan as of the January remittance. As a result of the updated appraisal value and significant amount of outstanding advances, an appraisal reduction of 93% of the loan balance has been recognized. Special servicer commentary indicates a receiver has been appointed with expected imminent liquidation likely. Moody's expects a significant loss from this loan. The second largest specially serviced loan is the MAve Hotel Loan ($18.5 million -- 8.6% of the pooled loan balance), which is secured by an independent limited-service 12-story boutique hotel with 2,200 SF of ground floor retail space located at East 27th Street and Madison Avenue in New York, New York. The property previously operated as a homeless shelter on a month-to-month contract with the Department of Homeless Services (DHS) to rent out 100% of the hotel. However, the DHS left at the end of 2020, and the loan transferred to special servicing in April 2021 due to delinquent payments. The hotel remains closed and special servicer commentary indicates a foreclosure action has been filed. As of the January 2026 remittance statement the loan was last paid through its November 2021 payment date and has previously been deemed non-recoverable by the master servicer with an appraisal reduction of 37% of the loan balance. Moody's have also assumed a high default probability for two poorly performing loans, constituting 29% of the pooled loan balance (discussed below), and have estimated an aggregate loss of $184.2 million (an 83% expected loss) from these specially serviced and troubled loans. The largest troubled loan is the Oglethorpe Mall Loan ($50.9 million -- 23.7% of the pooled loan balance), which represents a pari passu portion of a $132 million mortgage loan. The loan is secured by a 627,000 SF portion of a 942,700 SF regional mall located in Savannah, GA. At securitization, the mall included four anchor tenants: Macy's, JC Penney, Belk, and Sears. Both the Belk and Sears spaces were non-collateral. Sears vacated in 2018 and the anchor space remains vacant. The loan has been in special servicing since it failed to pay off at its scheduled maturity date in July 2023. As of June 2025, the collateral was 93% leased (86% excluding temporary tenants), with inline occupancy of 89% (77% excluding temporary tenants) compared to collateral occupancy of 88% in September 2022 and 95% at securitization. The property's performance has steadily declined since 2016 and the annualized September 2025 NOI was 24% below 2019 NOI and 36% below the NOI in 2016. The loan was modified in July 2025, extending the maturity to July 2026 and was returned to the master servicer in September 2025. The loan has amortized 15% since securitization and as of the January 2026 remittance statement, remained current on debt service payments. The second largest troubled loan is The Crossings Loan ($10.9 million -- 5.1% of the pooled loan balance), which is secured by a 216,330 SF anchored retail property located in Elkview, West Virginia. The property was built in 1989 and was previously in special servicing from August 2016 to December 2023 due to damage from a flood and extensive remediation period during which several tenants vacated. The loan was modified in December 2022 extending the maturity date to September 2030 and remaining interest-only through the extended term. As of June 2025, property occupancy declined to 56% from 92% in 2023 due to the loss of the largest tenant (40% of net rentable area (NRA)) in 2024. The borrower is in negotiations with replacement tenants for the vacant space. COMM 2015-CCRE24: Fitch Affirms 'Bsf' Rating on Class D Certs ------------------------------------------------------------- Fitch Ratings has affirmed five classes of the Deutsche Bank Securities' COMM 2015-CCRE24 Mortgage Trust (COMM 2015-CCRE24) Commercial Mortgage Pass-Through Certificates. The Rating Outlook for class C has been revised to Stable from Negative. Fitch Ratings has also affirmed six classes of the Deutsche Bank Securities' COMM 2015-CCRE26 Mortgage Trust (COMM 2015-CCRE26) commercial mortgage pass-through certificates. The Rating Outlooks are Negative on classes B, C, D and X-C. RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- COMM 2015-CCRE24 C 12593JBK1 LT BBB-sf Affirmed BBB-sf D 12593JBL9 LT CCCsf Affirmed CCCsf E 12593JAL0 LT CCsf Affirmed CCsf F 12593JAN6 LT Csf Affirmed Csf X-C 12593JAC0 LT CCCsf Affirmed CCCsf COMM 2015-CCRE26 B 12593QBH2 LT Asf Affirmed Asf C 12593QBJ8 LT BBBsf Affirmed BBBsf D 12593QBK5 LT Bsf Affirmed Bsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations; Adverse Selection: Deal-level 'Bsf' rating case losses for the COMM 2015-CCRE24 and COMM 2015-CCRE26 transactions are 35.2% and 23%, respectively. Both transactions are concentrated, with only seven loans remaining in COMM 2015-CCRE24 and nine loans remaining in COMM 2015-CCRE26. The seven loans in COMM 2015-CCRE24 are all Fitch Loans of Concern (FLOCs) with 100% of the pool in special servicing, and the nine loans in COMM 2015-CCRE26 are all FLOCs with eight loans (59.2%) in special servicing. The affirmations reflect increased credit enhancement (CE) from loan payoffs, including former FLOCs Two Chatham Center & Garage and 40 Wall Street in COMM 2015-CCRE24, and Portofino Plaza in COMM 2015-CCRE26. These loans were the second- and third-largest loss contributors in COMM 2015-CCRE24, and the second-largest loss contributor in COMM 2015-CCRE26 at the prior rating action. The remaining CE is sufficient relative to expected losses and recoveries on the outstanding pool. The Stable Outlook on class C in COMM 2015-CCRE24 reflects improved recovery prospects. The Negative Outlooks on COMM 2015-CCRRE26 reflects the potential for further downgrades if the recovery prospects on the remaining loans worsen and if CE from realized losses declines more than currently anticipated. In COMM 2015-CCRE24, 100% of the pool is specially serviced and in COMM 2015-CCRE26, 59.2% of the pool is specially serviced with ongoing performance concerns for the largest loan in the pool, Prudential Plaza (49%). Further downgrades are possible if performance deteriorates beyond Fitch's current expectations, property values decline further, specially serviced loans experience extended workout periods, or more loans than anticipated are unable to refinance. Due to the high concentration of FLOCs and specially serviced loans that were not able to refinance or payoff at maturity and adverse selection, 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 Contributors to Loss Expectations: The largest contributor to expected losses in COMM 2015-CCRE24 is the Westin Portland (24.5% of the pool), a 19-story, 205-room full-service hotel located in downtown Portland, OR. The loan transferred to special servicing in October 2023 due to imminent monetary default and the borrower stopped making debt service payments in October 2024. The servicer engaged counsel to commence enforcement remedies, and a receiver was appointed in July 2025. Per the servicer comments, the borrower submitted multiple loan modification proposals that were rejected and loan terms have not been reached. The hotel sustained significant performance declines prior to the pandemic with an NOI DSCR at or below 1.00x since YE 2017 and is currently at -0.22x as of the most recent TTM March 2025 reporting. Per the YE 2024 STR Report, the hotel continues to underperform its competitive set reflecting penetration rates for occupancy, average daily rate (ADR), and revenue per available room (RevPAR) at 74.6%, 82.2%, and 61.3%, respectively. Fitch's loss expectations of 64.8% (prior to concentration add-ons) reflects a stress to the most recent appraisal value, which is approximately 70% below the value at issuance and equates to a recovery value of $98,732 per key. Total exposure for the loan is $52 million, down from $57.8 million at prior review. The second-largest contributor to expected losses and the largest increase in loss since the prior rating action in COMM 2015-CCRE24 is the Lakewood Center loan (35.7% of the pool), which is a super-regional mall secured by 2.1 million square feet with over 200 tenants in Lakewood, CA. Anchor tenants include by Macy's, Costco, JCPenney, Target and Home Depot. There is also a 16-screen stadium-seating movie theater, Starlight Lakewood Center. The loan transferred to special servicing in December 2025 due to imminent maturity default ahead of the June 2026 loan maturity. The servicer reported NOI DSCR as YE 2024 was 1.39x with an occupancy of 93% at March 2025. While there have been media reports of a sale of the asset, it has not been confirmed. Fitch's 'Bsf' rating case loss of 16.9% (prior to concentration add-ons) reflects a 12% cap rate and a 7.5% stress to the annualized YTD 9/2024 NOI. The third-largest contributor to expected losses in COMM 2015-CCRE24 is the McMullen Portfolio (13.9%), which is secured by a portfolio of 8 suburban office buildings totaling 274,919 sf across three business parks located in Ann Arbor, MI and Pittsfield Township, MI. The loan defaulted at maturity in July 2025 and subsequently transferred to special servicing. Per the servicer, the borrower was unable to secure refinancing and is pursuing a forbearance while releasing individual properties. The #3890 Ranchero Drive property has been approved for release with an expected close in January 2026. The portfolio occupancy declined in 2020 when the largest tenant vacated at lease expiration. The space was backfilled, but occupancy continued to decline. Occupancy was 100% as of YE 2019, 86% as of YE 2020, compared to 63% as of TTM June 2025. DSCR declined from 1.89x to 1.66x to 0.89x during the same period. Fitch's 'Bsf' rating case loss of 38.1% (prior to concentration add-ons) reflects an 11% cap rate and the depressed TTM June 2025 NOI, which is a 35% decline from YE 2024 NOI. The largest contributor to expected losses in the pool and the largest increase in loss since the prior rating action in the COMM 2015-CCRE26 transaction is the cross-collateralized loans Hotel Lucia (10.4%) and Hotel Max (10.5%). Both loans are secured by full-service boutique hotels, sponsored by Gordan Sondland. The 163-key Hotel Max is located in downtown Seattle, WA and the 127-key Hotel Lucia is located in downtown Portland, OR. The loans defaulted at maturity in August 2025 and subsequently transferred to special servicing. The Hotel Max has sustained performance declines since the pandemic with the TTM June 2025 occupancy falling to 73% from pre-pandemic levels of 86% at YE 2019. The YE 2024 NOI is 23.3% below the YE 2019 NOI and has a NOI DSCR of 1.44x. The hotel is underperforming its competitive set, with TTM September 2025 reported occupancy, ADR, and RevPAR penetration rates of 73.4%, 90%, and 87%, respectively. Similarly, the Hotel Lucia has sustained performance declines since the pandemic with the TTM July 2025 occupancy at 60%, compared to pre-pandemic levels of 78% at YE 2019. The hotel reported negative cash flow for YE 2023 and YE 2022 and is currently at 0.09x as of TTM June 2025. Per the TTM September 2025 STR report, the hotel had penetration rates for occupancy, ADR, and RevPAR of 58%, 96.5%, and 102%, respectively. Fitch's 'Bsf' ratings case losses are 1% for the Hotel Max and 66.8% for Hotel Lucia (prior to concentration add-ons) based a on a stress to the most recent appraisals equating to recovery values of $196,319 per key and $72,441 per key, respectively. The second largest contributor to expected losses is the largest loan in COMM 2015-CCRE26, Prudential Plaza (40.9%), which is secured by two office towers totaling 2.2 million-sf located in Chicago, IL, immediately north of Millennium Park. The property transferred to special servicing in June 2023 due to imminent default after the sponsors, a joint venture between Sterling Bay and Wanxiang America Corp., sought a modification to the loan for a $50 million renovation. The project includes a 200,000-sf conference center, an entertainment area, a coworking space, and a glass-enclosed walkway between the two towers connecting them to a shared, 11th-floor roof deck. The loan returned to the master servicer in March 2024 after the execution of a loan modification, which extended the maturity to August 2027 with two, one-year extension options. The loan continues to perform under the terms of the modification. The loan remains a FLOC due to sustained performance declines, including reduced occupancy. The property was 70% occupied as of September 2025, with occupancy expected to decline further due to the expected departure of tenants at lease expiration, accounting for 8.4% of the NRA in 2026. The servicer reported NOI DSCR was 1.80x as of YE 2024. Fitch's 'Bsf' rating case loss of 11.7% (prior to concentration add-ons) is based on an 11% cap rate, and a 15% stress to the YE 2024 NOI. The third-largest contributor to expected losses in COMM 2015-CCRE26 is the Empire Corporate Plaza (12.2%), which is secured by a 247,879-sf office building located in Rancho Cucamonga, CA. The loan transferred to the special servicer in August 2025 due to maturity default. Occupancy has declined to 32% as of March 2025 from 74% at YE 2022 and 91% at YE 2021. The loan's NOI DSCR has consistently remained strong at 2.48x as of YE 2024 compared to 1.93x at YE 2023, 2.95x at YE 2022, and 3.50x at YE 2021. According to the servicer, the borrower continues to explore refinance options to pay off the loan in January 2026. Fitch's 'Bsf' rating case loss of 32.2% (prior to concentration add-ons) is based on a 10% cap rate, and a 10% stress to the YE 2024 NOI with an increased probability of default. Increased CE: As of the January 2026 distribution date, the pool's aggregate balance for COMM 2015-CCRE24 reduced by 85.6% to $199.5 million from $1.4 billion at issuance. The aggregate balance for COMM 2015-CCRE26 has been reduced by 75.9% to $261.7 million from $1.1 billion at issuance. Interest Shortfalls: Cumulative interest shortfalls of $2.8 million are affecting the classes D, E, F and the non-rated classes G, and H, in COMM 2015-CCRE24, and $1.2 million is affecting the non-rated classes G and H in COMM 2015-CCRE26. Realized losses of $19.7 million, are impacting the non-rated class H in the COMM 2015-CCRE24 transaction and $272,058 impacting the non-rated class H in the COMM 2015-CCRE26 transaction. The COMM 2015-CCRE26 transaction was impacted by a Workout Delayed Reimbursement of Advances (WODRA) totaling $1.1 million, causing the trust to become undercollateralized. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'Asf' and 'BBBsf' categories could occur with higher-than-expected losses and/or extended workouts on the specially serviced loans including the Lakewood Center loan in COMM 2015-CCRE24 and continued underperformance of the FLOC, Prudential Plaza, in COMM 2015-CCRE26. Downgrades to the 'Bsf' category are possible with higher-than-expected losses from continued underperformance of the FLOCs and/or lack of resolution and increased exposures on the specially serviced loans. Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur with higher expected losses from specially serviced loans and/or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'Asf' are not anticipated but may be possible with significantly better-than-expected recoveries on specially serviced loans upon disposition. Upgrades to the 'BBBsf' and 'Bsf' category rated classes are not likely and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to the 'CCCsf', 'CCsf' and 'Csf' category rated classes are not likely, but may be possible with better than expected recoveries on specially serviced loans. COOPR RESIDENTIAL 2026-CES1: Fitch Gives Bsf Rating to B2 Certs --------------------------------------------------------------- Fitch Ratings has assigned final ratings to the mortgage-backed certificates issued by COOPR Residential Mortgage Trust 2026-CES1 (COOPR 2026-CES1). RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- COOPR 2026-CES1 A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT 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 XS LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 3,438 closed-end second lien (CES) loans with a total balance of approximately $253.5 million as of the cutoff date. Nationstar Mortgage LLC d/b/a Mr. Cooper (Nationstar) originated 100% of the loans and will be the primary servicer for all loans. 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. COOPR 2026-CES1 has a final probability of default (PD) of 16.02% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 97.61%. The expected loss in the 'AAAsf' rating stress is 15.63% . Structural Analysis: The mortgage cash flow and loss allocation in COOPR 2026-CES1 are based on a sequential-payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal, first to repay any current or previously allocated cumulative applied realized losses, and then to repay potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement mechanism (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 30.3% of loans in the transaction by loan count. Fitch applies a 5bps score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of "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 transaction's performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects COOPR 2026-CES1 to be fully de-linked and function as a bankruptcy-remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Shortened Liquidation Timelines: Fitch's analysis for this transaction assumes liquidation timelines of six months in the base case and up to 12 months in the 'AAAsf' stress, compared with 18 months to 36 months for first lien collateral. COOPR 2026-CES1 incorporates an optional loan charge-off at 180 days' delinquency. Based on historical observations, second lien collateral typically liquidates after 180 days' delinquency. Fitch assumes in the base case that the charge-off feature will be exercised as soon as possible with lower probabilities of charge-off in the higher rating cases. When taken together with its presumed modification timelines of 12 months, Fitch's all-in timelines range from nine months at the base case to 12 months at its 'AAAsf' rating case. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 38.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. 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. ELEVATION CLO 2026-19: S&P Assigns Prelim 'BB-' Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Elevation CLO 2026-19 Ltd./Elevation CLO 2026-19 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 ArrowMark Colorado Holdings LLC. The preliminary ratings are based on information as of Feb. 9, 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 Elevation CLO 2026-19 Ltd./Elevation CLO 2026-19 LLC Class X, $1.50 million: AAA (sf) Class A-1, $240.00 million: AAA (sf) Class A-2, $16.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $20.00 million: BBB- (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $15.20 million: BB- (sf) Subordinated notes, $33.13 million: NR NR--Not rated. FHF ISSUER 2024-2: Moody's Confirms 'B1' Rating on Class D Notes ---------------------------------------------------------------- Moody's Ratings has confirmed the ratings on Class C and Class D notes issued by FHF Issuer Trust 2024-2. The notes are backed by a pool of retail automobile non-prime loan contracts originated and serviced by First Help Financial, LLC (FHF). The complete rating actions are as follows: Class C Notes, Confirmed at Baa3 (sf); previously on Oct 15, 2025 Downgraded to Baa3 (sf) and Placed On Review for Downgrade Class D Notes, Confirmed at B1 (sf); previously on Oct 15, 2025 Downgraded to B1 (sf) and Placed On Review for Downgrade A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions reflect the recent stable performance on the underlying loan pool and Moody's loss expectations for the pool. The rating actions also considered operational risks, including the transaction's backup servicing and collateral arrangements, which remain unchanged since the prior review. On October 15, 2025, Moody's had placed the ratings on the Class C and D notes on review for further downgrade reflecting the pronounced deterioration in performance observed since early 2025. While the loss-to liquidation level continues to remain elevated, it has flattened in recent months. As of December 2025, the cumulative net loss (CNL) and cumulative net loss-to-liquidation (LTL) levels stood at 6.68% and 14.14% respectively. The transaction's performance will continue to exhibit heightened sensitivity to shifts in immigration policy given the meaningful share of undocumented borrowers in the underlying collateral pool. The recent changes to US immigration policies have introduced additional performance risks for these borrowers due to increased deportations and employment disruptions. In Moody's analysis, Moody's took into account the increased default risk on the underlying loans resulting from these policy changes. Voluntary or involuntary emigration could undermine these borrowers' ability to repay and limit lenders' usual remedies, such as repossession, resulting in increased delinquencies and losses. Moody's lifetime cumulative net loss expectation is noted below for the transaction pool. The loss expectation reflects updated performance trends on the underlying pool. FHF Issuer Trust 2024-2: 13.00% No actions were taken on the remaining rated classes in this deal because their expected losses remain commensurate with their current ratings, after considering 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. GALAXY XXII: S&P Assigns BB- (sf) Rating on Class E-R4 Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R4, B-R4, C-R4, D-R4, and E-R4 debt from Galaxy XXII CLO Ltd./Galaxy XXII CLO LLC, a CLO managed by PineBridge Investments LLC that was originally issued in July 2016 and underwent a third refinancing in October 2024. At the same time, S&P withdrew its ratings on the previous class A-RRR, B-RRR, C-RRR, D-RRR, and E-RRR debt following payment in full on the Feb 9, 2026, refinancing date. S&P also affirmed its ratings on the class X-RR and F-RR debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period for class A-R4 was extended to Oct. 16, 2026. -- The non-call period for the other classes was extended to July 16, 2026 -- No additional assets were purchased on the Feb 9, 2026, refinancing date. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 16, 2026. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on the class E-R4 and F-RR debt (which was not refinanced). However, we assigned our 'BB- (sf)' rating on the class E-R4 debt and affirmed our 'B- (sf)' rating on the class F-RR 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 the rated classes to increase as principal is collected and the senior debt is paid down. However, if the performance does not improve and/or metrics deteriorate, this could result in potential negative rating actions going forward. In addition, we believe the payment of principal or interest on the class F-RR debt when due does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012." Replacement And Previous Debt Issuances Replacement debt -- Class A-R4, $227.81 million: Three-month CME term SOFR + 1.02% -- Class B-R4, $45.70 million: Three-month CME term SOFR + 1.40% -- Class C-R4 (deferrable), $22.90 million: Three-month CME term SOFR + 1.60% -- Class D-R4 (deferrable), $22.90 million: Three-month CME term SOFR + 2.50% -- Class E-R4 (deferrable), $13.80 million: Three-month CME term SOFR + 5.25% Previous debt -- Class X-RR, $0.20 million: Three-month CME term SOFR + 0.90% + CSA(i) -- Class A-RRR, $227.81 million: Three-month CME term SOFR + 1.24% -- Class B-RRR, $45.70 million: Three-month CME term SOFR + 1.65% -- Class C-RRR (deferrable), $22.90 million: Three-month CME term SOFR + 2.10% -- Class D-RRR (deferrable), $22.90 million: Three-month CME term SOFR + 3.25% -- Class E-RRR (deferrable), $13.80 million: Three-month CME term SOFR + 6.75% -- Class F-RR (deferrable), $6.30 million: Three-month CME term SOFR + 8.80% + CSA(i) -- Subordinated notes, $28.00 million: N/A (i)The CSA is 0.26161%. CSA--Credit spread adjustment. N/A--Not applicable. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "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 Galaxy XXII CLO Ltd./Galaxy XXII CLO LLC Class A-R4, $227.81 million: AAA (sf) Class B-R4, $45.70 million: AA (sf) Class C-R4 (deferrable), $22.90 million: A (sf) Class D-R4 (deferrable), $22.90 million: BBB- (sf) Class E-R4 (deferrable), $13.80 million: BB- (sf) Ratings Withdrawn Galaxy XXII CLO Ltd./Galaxy XXII CLO LLC Class A-RRR to NR from 'AAA (sf)' Class B-RRR to NR from 'AA (sf)' Class C-RRR to NR from 'A (sf)' Class D-RRR to NR from 'BBB- (sf)' Class E-RRR to NR from 'BB- (sf)' Ratings Affirmed Galaxy XXII CLO Ltd./Galaxy XXII CLO LLC Class X-RR: AAA (sf) Class F-RR: B- (sf) Other Debt Galaxy XXII CLO Ltd./Galaxy XXII CLO LLC Subordinated notes, $28.00 million: NR NR--Not rated. GS MORTGAGE 2026-DSC1: S&P Assigns Prelim 'B' Rating on B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GS Mortgage-Backed Securities 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, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. These business purpose investor loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums and two- to four-family residential properties. The pool consists of 1,331 business-purpose investment property loans (backed by 1,337 properties), that are all ability-to-repay-exempt. The preliminary ratings are based on information as of Feb. 10, 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 aggregator and mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned GS Mortgage-Backed Securities Trust 2026-DSC1 Class A-1, $192,084,000: AAA (sf) Class A-2, $19,925,000: AA (sf) Class A-3, $32,826,000: A (sf) Class M-1, $16,342,000: BBB (sf) Class B-1, $11,181,000: BB (sf) Class B-2, $9,174,000: B (sf) Class B-3, $5,161,065: Not rated Class X(i): Not rated Class SA, $128,377(ii): Not rated Class R, not applicable: Not rated (i)The notional amount will equal the non-retained interest percentage of the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. (ii)The balance is equal to the non-retained interest percentage of the amount of pre-existing servicing advances as of the closing date. The class is entitled to the class SA monthly remittance amount, if any. HOMES 2026-INV1 TRUST: Moody's Assigns B2 Rating to Cl. B-2 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 8 classes of residential mortgage-backed securities (RMBS) to be issued by HOMES 2026-INV1 Trust, and sponsored by APF II Resi O4B, LLC. The securities are backed by a pool of GSE-eligible investor residential mortgages aggregated by Ares Management Corporation, LLC, and originated and serviced by PennyMac Loan Services, LLC and CrossCountry Mortgage, LLC. The complete rating actions are as follows: Issuer: HOMES 2026-INV1 Trust Cl. A-1D, Definitive Rating Assigned Aaa (sf) Cl. A-1M, Definitive Rating Assigned Aa1 (sf) Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A1 (sf) Cl. M-1, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Cl. B-2, Definitive Rating Assigned B2 (sf) Moody's are withdrawing the provisional rating for the Class A-1A, Class A-1B and Class A-1C assigned on January 23, 2026, because the they 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 0.73%, in a baseline scenario-median is 0.42% and reaches 8.06% 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. JP MORGAN 2026-NQM1: DBRS Finalizes B(low) Rating on B2 Certs ------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2026-NQM1 (the Certificates) issued by J.P. Morgan Mortgage Trust 2026-NQM1 (the Issuer) as follows: -- $169.7 million Class A-1A at AAA (sf) -- $25.8 million Class A-1B at AAA (sf) -- $81.0 million Class A-1FCF at AAA (sf) -- $27.0 million Class A-1LCF at AAA (sf) -- $195.5 million Class A-1 at AAA (sf) -- $31.8 million Class A-2 at AA (low) (sf) -- $34.0 million Class A-3 at A (low) (sf) -- $10.6 million Class M-1 at BBB (low) (sf) -- $10.4 million Class B-1 at BB (low) (sf) -- $6.4 million Class B-2 at 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 AAA (sf) credit ratings on the Certificates reflect 24.10% of credit enhancement provided by the subordinated Certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and 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. FinalRez LLC, formerly known as Final 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. JPMCC COMMERCIAL 2016-JP2: Moody's Cuts Rating on 2 Tranches to Ba2 ------------------------------------------------------------------- Moody's Ratings has affirmed the ratings on four classes and downgraded the ratings on two classes in JPMCC Commercial Mortgage Securities Trust 2016-JP2, Commercial Pass-Through Certificates, Series 2016-JP2 as follows: Cl. A-3, Affirmed Aaa (sf); previously on May 1, 2025 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on May 1, 2025 Affirmed Aaa (sf) Cl. A-S, Affirmed Aa3 (sf); previously on May 1, 2025 Affirmed Aa3 (sf) Cl. B, Downgraded to Ba2 (sf); previously on May 1, 2025 Downgraded to Baa3 (sf) Cl. X-A*, Affirmed Aa1 (sf); previously on May 1, 2025 Affirmed Aa1 (sf) Cl. X-B*, Downgraded to Ba2 (sf); previously on May 1, 2025 Downgraded to Baa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on three P&I classes were affirmed because of their significant credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on one P&I class, Cl. B, was downgraded due to higher expected losses and risk of interest shortfalls due to the exposure to loans in special servicing and potential refinance challenges for certain large loans with upcoming maturity dates. Four loans, representing 18.9% of the pool, are in special servicing and have had significant declines in performance since securitzation. As of the January 2026 remittance, the master servicer has recognized appraisal reductions on all of the specially serviced loans. Furthermore, the Hagerstown Premium Outlets loan (4.3% of the pool), may face increased refinance risk at maturity due to recent tenant vacancies and a decline in performance. All but one of the remaining loans mature by July 2026 and given the higher interest rate environment and loan performance certain loans may be unable to pay off at their maturity date, which may increase interest shortfall risk for the outstanding classes. The rating on one IO class, Cl. X-A, was affirmed based on the credit quality of the referenced classes. The rating on one IO Class, Cl. X-B, was downgraded due to a decline in the credit quality of its referenced class Moody's rating action reflects a base expected loss of 21.8% of the current pooled balance, compared to 14.7% at Moody's last review. Moody's base expected loss plus realized losses is now 15.1% of the original pooled balance, compared to 11.8% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "US and Canadian Conduit/Fusion Commercial Mortgage-backed Securitizations" published in June 2024. 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, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the January 2026 distribution date, the transaction's aggregate certificate balance has decreased by 31% to $646.7 million from $939.2 million at securitization. The certificates are collateralized by 32 mortgage loans ranging in size from less than 1% to 12.4% of the pool, with the top ten loans (excluding defeasance) constituting 58% of the pool. One loan, constituting 7.7% of the pool, has an investment-grade structured credit assessment. Seven loans, constituting 23% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 13, compared to 16 at Moody's last review. Twenty loans, constituting 57% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool and four loans, constituting 18.9% of the pool, are currently in special servicing. The largest specially serviced loan is the Marriott Atlanta Buckhead loan ($49.5 million – 7.7% of the pool), which is secured by a 349-room, full-service hotel located in Atlanta, Georgia. The property is located directly across the street from Lenox Square Mall and is two blocks south from Phipps Plaza. The loan first transferred to special servicing in January 2021 due to payment default and was returned to the master servicer in October 2022 as a corrected mortgage. The loan then transferred back to special servicing in September 2024 due to the borrower's inability to make monthly payments because of insufficient cash funds. In December 2024, the Marriott flag was pulled and a new franchise agreement with Wyndham was executed. Property performance was significantly impacted during the pandemic, and it has not been able to recover. For the trailing twelve month (TTM) period ending June 2025, the property did not generate sufficient cash flow to cover operating expenses and debt service. The most recent appraisal from November 2024 valued the property 62% lower than the value at securitization and 41% below the outstanding loan balance. The lender has engaged legal counsel to commence enforcement of remedies. The second largest specially serviced loan is the 100 East Pratt loan ($46.5 million – 7.2% of the pool), which represents a pari passu portion of a $101.8 million senior mortgage loan. The loan is secured by an approximately 663,000 square feet (SF), 28-story, office building located in downtown Baltimore, Maryland. The property also includes an 8-level parking garage with 932 parking spaces. The largest tenant, T. Rowe Price, a global asset management firm that occupied 449,000 SF (67% of the NRA), exercised their early termination option, inclusive of a $20.4 million termination fee that was available at securitization, and officially vacated their space in April 2025. In March 2025, the property was reported as 90% leased, however incorporating the most recent tenant departures, the property was only 18% occupied. The loan transferred to special servicing in May 2025 for imminent default and the servicer is proceeding with a foreclosure. The most recent appraisal from August 2025 valued the property 83% lower than the value at securitization and 69% below the total outstanding loan balance. The third largest specially serviced loan is the 700 17th Street loan ($18.3 million – 2.8% of the pool), which is secured by a 24-story office building in Denver, Colorado. The loan was on the watchlist and cash managed since 2019 due to low occupancy. As of December 2024, the property was 56% leased and the loan's NOI DSCR has been below 1.00X since 2021. The loan transferred to special servicing in March 2024 for delinquent payments. The borrower filed Chapter 11 bankruptcy in September 2025 and the receiver will remain in place while the debtor works through the initial filings. The most recent appraisal from June 2024 valued the property 81% below the value at securitization and 59% below the outstanding loan balance. The smallest specially serviced loan is secured by an office property located in Philadelphia, Pennsylvania that has seen a significant decline in performance since securitization. Moody's have also assumed a high default probability for six poorly performing loans, constituting 13% of the pool, and have estimated an aggregate loss of $126 million (a 61% expected loss on average) from the specially serviced and troubled loans. The largest troubled loan is the Hagerstown Premium Outlets loan ($27.5 million – 4.3% of the pool), which is secured by a pari passu portion of a $68.4 million senior mortgage loan. The loan is secured by 484,994 SF, open-air outlet shopping center located in Hagerstown, Maryland, approximately 70 miles northwest of Washington, D.C. Property performance had already declined from 2017 through 2020 and was further impacted during the pandemic. As of September 2025, the property was 47% leased, compared to 90% at securitization. The loan had previously transferred to special servicing in September 2023 for monetary default, was modified in July 2025, and returned to the master servicer as a corrected loan. As of the January 2026 remittance statement cumulative interest shortfalls were $5.4 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2024 operating results for 100% of the pool, and full or partial year 2025 operating results for 76% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit MLTV is 100%, compared to 109% at Moody's last reviews. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 25% to the most recently available net operating income (NOI). Moody's Value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed conduit DSCRs are 1.71X and 1.11X, respectively, compared to 1.53X and 1.05X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is The Shops at Crystals loan ($50 million – 7.7% of the pool), which represents the pari passu interest in a $382.7 million senior mortgage loan. The property is also encumbered with a $167.3 million B-note. The loan is secured by a 262,600 SF luxury shopping center located on the Las Vegas strip in Las Vegas, Nevada and attached to the Aria resort and Casino. Major tenants at the property include Louis Vuitton, Prada, Hermes, Gucci, and Cartier. As of September 2025, the property was 92% leased, compared to 95% in 2024 and 88% at securitization. The loan is interest only for its entire term and has a Moody's structured credit assessment of a2 (sca.pd). The top three conduit loans represent 23.0% of the pool balance. The largest loan is the Opry Mills loan ($80 million – 12.4% of the pool), which represents a pari passu portion of a $375 million senior mortgage loan. The loan is secured by a 1.2 million SF super-regional mall located in Nashville, Tennessee. Simon Property Group, L.P. is the loan sponsor. The property is part of Opryland, which includes the Grand Ole Opry and the Gaylord Opryland Resort and Convention Center. The malls anchors include Bass Pro Shops, Regal Cinemas and Dave & Buster's. As of September 2025, the property was 99% leased, compared to 96% in 2024. The property's cash flow has continued to improve from securitization and the annualized September 2025 NOI was 42% higher than in 2016. The property has recently added 12 new brands including Tory Burch, The North Face, P.F. Chang's, Sephora and Vineyard Vines. The loan is interest only for its entire term and matures in July 2026. Moody's LTV and stressed DSCR are 92% and 1.00X, respectively. The second largest loan is the Renaissance Center loan ($37.4 million – 5.8% of the pool), which represents a pari passu portion of a $65.4 million senior mortgage loan. The loan is secured by a Class-A, LEED Gold office corporate campus in the North Westshore of Tampa, Florida. The asset contains five office buildings, approximately 573,000 SF, a full-service cafeteria, gym, two parking garages and surface parking. As of September 2025, the property was 97% leased, compared to 74% in 2024 and 100% at securitization. The loan is on the watchlist for the upcoming maturity date in March 2026 and per servicer commentary, the borrower is working on refinancing options. Moody's LTV and stressed DSCR are 114% and 1.09X, respectively. The third largest loan is the 650 Poydras loan ($31.5 million – 4.9% of the pool), which is secured by a 28-story office property built in 1983 and renovated in 2005. The property is located in the New Orleans CBD and is adjacent to the Federal Court House and within walking distance to the French Quarters. As of September 2025, the property 79% leased, compared to 78% in 2024 and 86% at securitization. Property performance has been relatively stable since securitization. Moody's LTV and stressed DSCR are 86% and 1.23X, respectively. KINETIC SECURED 2026-1: Fitch Rates Class C Notes 'BB-sf' --------------------------------------------------------- Fitch Ratings rates Kinetic Secured Fiber Network Revenue Term Notes, Series 2026-1 issued by Kinetic ABS Issuer LLC. Entity/Debt Rating Prior ----------- ------ ----- Kinetic Secured Fiber Network Revenue Term Notes, Series 2026-1 A-1-L LT A-sf New Rating A-(EXP)sf A-1-V LT A-sf New Rating A-(EXP)sf A-2 LT A-sf New Rating A-(EXP)sf B LT BBB-sf New Rating BBB-(EXP)sf C LT BB-sf New Rating BB-(EXP)sf Transaction Summary The Kinetic Secured Fiber Network Revenue Term Notes, Series 2026-1, issued by Kinetic ABS Issuer LLC (Kinetic), are a securitization of subscription and contract payments derived from an existing fiber-to-the-premises (FTTP) network infrastructure. Collateral assets include conduits, cables, network-level equipment, access rights, customer agreements, transaction accounts and a pledge of equity from the asset entities. The notes are serviced by net revenue from the operation of the collateral assets. The collateral network consists of the sponsor's enterprise fiber network, which includes approximately 502k passings and 165k subscribers across multiple counties in Georgia, Kentucky, Ohio, Texas and Arkansas. Fitch estimates that the securitized collateral represents approximately 30% of Kinetic's revenues from retail customers generated through fiber networks based on management-provided 2025 data. Transaction features an anticipated repayment date (ARD) structure whereby all tranches pay interest only until their five-year soft-bullet maturities. After the ARD, excess cash flow will amortize principal through the 30-year legal final maturity, with losses borne reverse-sequentially. The transaction incorporates an interest-only payment period framework and a liquidity reserve account. The final ratings reflect Fitch's analysis of cash flow from the collateral assets, rather than an assessment of the corporate default risk of the ultimate parent, Uniti Group Inc. KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $98.8 million, implying a 12.5% haircut to issuer estimated NCF. The overall debt multiple relative to Fitch's NCF is on the class A, B and C are 7.0x, 8.2x and 9.9x, respectively, vs versus the debt/issuer NCF leverage of 6.0x, 7.0x and 8.5x, respectively. Credit Risk Factors: The major factors impacting Fitch's determination of cash flow and maximum potential leverage (MPL) include: the high quality of the underlying collateral networks, high subscriber retention rates, low geographical concentration, high historical barriers to entry, size and capability of the sponsor. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology, rendering obsolete the current transmission of data through fiber optic cables, will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher expenses, contract churn, or lower market penetration and the development of an alternative technology for the transmission of wireless signal could lead to downgrades. Fitch's base case NCF was 12.5% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of maximum potential leverage (MPL): class A-2 to 'BBBsf' from 'A-sf', class B to 'BBsf' from 'BBB-sf', and class C to 'Bsf' from 'BB-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 to 'Asf' from 'A-sf', class B to 'Asf' from 'BBB-sf', and class C to 'BBB-sf' from 'BB-sf'. However, upgrades are unlikely given the provision for the issuer to issue additional notes, which would rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped at the 'Asf' category, given the risk of technological obsolescence. KKR CLO 23: Moody's Cuts Rating on $7.25MM Class F Notes to Caa1 ---------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by KKR CLO 23 Ltd.: US$26M Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Jul 18, 2025 Upgraded to Aa1 (sf) US$32.5M Class D-R Senior Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Jul 18, 2025 Affirmed Baa1 (sf) US$7.25M Class F Senior Secured Deferrable Floating Rate Notes, Downgraded to Caa1 (sf); previously on Jul 18, 2025 Affirmed B3 (sf) Moody's have also affirmed the ratings on the following notes: US$250.63M (Current outstanding amount US$59,659,944) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 18, 2025 Affirmed Aaa (sf) US$47.75M Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 18, 2025 Affirmed Aaa (sf) US$28.75M Class E Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Jul 18, 2025 Affirmed Ba3 (sf) KKR CLO 23 Ltd., originally issued in November 2018 and partially refinanced in September 2024, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by KKR Financial Advisors II, LLC. The transaction's reinvestment period ended in October 2023. RATINGS RATIONALE The rating upgrades on the Class C-R and D-R notes are primarily a result of the deleveraging of the Class A-1-R notes following amortisation of the underlying portfolio since the last rating action in July 2025. The rating downgrade of the Class F notes is primarily driven by a reduction in the weighted average spread and a loss of par since the last rating action in July 2025. The affirmations of the ratings on the Class A-1-R, B-R 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-1-R notes have paid down by approximately USD56.1 million (22.4%) since the last rating action in July 2025 and USD191.0 million (76.2%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated December 2025[1] the Class A/B, Class C and Class D ratios are reported at 160.02%, 138.33% and 118.28% compared to May 2025[2] levels, on which the last rating action was based, of 145.76%, 130.48% and 115.36%, respectively. Moody's 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: USD235,973,155.42 Defaulted Securities: USD2,108,371 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3219 Weighted Average Life (WAL): 3.40 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.06% Weighted Average Recovery Rate (WARR): 46.38% Par haircut in OC tests and interest diversion test: 4.31% 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. 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. LEDN ISSUER 2026-1: S&P Assigns Prelim B- (sf) Rating on B Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ledn Issuer Trust 2026-1's fixed-rate notes. The note issuance is an ABS securitization backed by a portfolio consisting of 5,441 fixed-rate balloon loans extended to a diversified base of 2,914 unique obligors. As of the statistical cutoff date (Dec. 31, 2025), the initial loans represent an aggregate outstanding principal balance of $199.1 million, secured by a pledge of 4,078.87 bitcoin with a fair market value of approximately $356.9 million. Each loan features an original tenor not exceeding 12 months. The initial loans are structured with a single "bullet" repayment covering principal and accrued interest at maturity or upon an event of default, with no interim requirements for periodic interest or principal payments. Also included are additional fixed-rate loans purchased by the issuer during the revolving period, as well as $0.9 million of cash, which is the initial amount on deposit in the funding account for purchasing additional loans. The preliminary ratings are based on information as of Feb. 9, 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 notes' ability to make interest and principal payments according to the terms of the transaction documents on or before the legal final maturity date under our rating stresses; -- The servicer's ability to liquidate the bitcoin collateral in a timely manner so as to repay the loans in the event of borrower default; -- The portfolio characteristics, including its diversification by borrower and domicile, as well as the current loan-to-value distribution; -- The manager's experience in managing the loan portfolio; -- The portfolio's performance under specific rating sensitivity stresses, and other non-rating sensitivity runs; -- Certain early amortization events included in the transaction documents, which, if breached, would result in an end to the revolving period and acceleration of the notes; -- Certain eligibility criteria and concentration limitations concerning the additional loans included in the transaction documents; and -- The presence of a liquidity reserve account funded at closing with cash in an amount equal to 5.00% of the outstanding note balance, $9,400,000. The 5.00% of outstanding note balance remains the target balance for the first 11 months, then steps down to 4.00% in month 12, 3.00% in month 13, and then holds steady at 2.00% of the outstanding note balance starting in month 14 until the notes are paid off. Preliminary Ratings Assigned Ledn Issuer Trust 2026-1 Class A, $160.00 million: BBB- (sf) Class B, $28.00 million: B- (sf) LEX TRUST 2026-450: Moody's Assigns (P)B1 Rating to Cl. HRR Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to six classes of CMBS securities, to be issued by LEX Trust 2026-450, Commercial Mortgage Pass-Through Certificates, Series 2026-450: 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)Ba2 (sf) Cl. HRR, Assigned (P)B1 (sf) RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first-lien mortgage on the borrower's leasehold interest in 450 Lexington Avenue (the "Property"), which is 40-story office tower containing approximately 950,269 SF of rentable area. The Property is located adjacent to Grand Central Terminal in New York, NY. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The Property is a 40-story office tower encompassing approximately 950,269 SF of rentable area. It occupies a full blockfront along Lexington Avenue between 44th and 45th Streets in the heart of Midtown . The site is adjacently north of Grand Central Terminal, a major transit hub connecting to five MTA subway lines (S, 4, 5, 6, 7) and access to the major residential hubs of Long Island, via the LIRR, and Westchester and Connecticut, via the Metro North Railroad. The Property was developed in 1992, has undergone multiple renovations, and is LEED Gold certified. RXR is reported to have spent $275 million ($289 PSF) in capital expenditures since acquiring the building in 2012. Renovations currently ongoing include a lobby modernization, elevator cab interiors, HVAC upgrades and lobby level façade work. Of note the Property does not include The United States Postal Service space in the building that existed prior to the 1992 development. 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 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 1.45X and Moody's first mortgage actual stressed DSCR is 0.94X. Moody's DSCR is based on Moody's stabilized net cash flow. The fully funded whole loan first mortgage balance of $407,500,000 represents a Moody's LTV ratio of 107.8% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 106.8% 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 property's overall quality grade is 0.50. Notable strengths of the transaction include: location and accessibility, capital investment, long-term tenant commitment, limited rollover, experienced sponsorship, and contributed sponsor equity. Notable concerns of the transaction include: soft market fundamentals, tenant concentration, leasehold interest, single asset transaction, floating rate interest-only mortgage loan profile, and 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. MAGNETITE XXIII: 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-R2, C-R2, D-R2, and E-R2 from Magnetite XXIII Ltd./Magnetite XXIII LLC, a CLO managed by BlackRock Financial Management Inc. that was originally issued in Nov. 2019 and underwent a first refinancing in Dec. 2021. At the same time, S&P withdrew its ratings on the previous class A-R, B-R, C-R, D-R, and E-R debt following payment in full on the Feb. 11, 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-R2, B-R2, C-R2, D-R2, and E-R2 debt was issued at a lower spread over three-month SOFR than the previous debt. -- The replacement class A-R2, B-R2, C-R2, D-R2, and E-R2 debt was issued at a floating spread, replacing the current floating spread. -- The non-call period was extended to Aug. 11, 2026. -- The stated maturity and reinvestment period remained unchanged. -- The required minimum overcollateralization and interest coverage ratios were unchanged. -- 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 E-R2 debt. However, we assigned our 'BB- (sf)' rating to the class E-R2 debt after considering the benefit of the refinancing to the rated tranches which reduces the cost of funding to the CLO. The lower costs improved the cash flows and this in turn lead to a decrease in class E-R2 margin of failure. In addition, we also considered that since our last rating action on the transaction, the class E-R2 debt's overcollateralization ratio has improved and there has been some credit positive portfolio migration. Finally, we also considered that the transaction is expected to enter its amortization phase in less than a year; as senior debt starts to get paid down once amortization begins, we expect an increase in the credit support to all the rated classes assuming no increase in defaults or par losses." Replacement And Previous Debt Issuances Replacement debt -- Class A-R2, $408.000 million: Three-month CME term SOFR + 0.99% -- Class B-R2, $76.500 million: Three-month CME term SOFR + 1.35% -- Class C-R2 (deferrable), $38.250 million: Three-month CME term SOFR + 1.60% -- Class D-R2 (deferrable), $38.250 million: Three-month CME term SOFR + 2.25% -- Class E-R2 (deferrable), $25.500 million: Three-month CME term SOFR + 4.60% -- Subordinated notes, $56.795 million: N/A Previous debt -- Class A-R, $408.000 million: Three-month CME term SOFR + 1.13% + CSA(i) -- Class B-R, $76.500 million: Three-month CME term SOFR + 1.65% + CSA(i) -- Class C-R (deferrable), $38.250 million: Three-month CME term SOFR + 2.05% + CSA(i) -- Class D-R (deferrable), $38.250 million: Three-month CME term SOFR + 3.05% + CSA(i) -- Class E-R (deferrable), $25.500 million: Three-month CME term SOFR + 6.30% + CSA(i) -- Subordinated notes, $56.795 million: N/A (i)The CSA is 0.26161%. CSA--Credit spread adjustment. N/A--Not applicable. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. 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 Magnetite XXIII Ltd./Magnetite XXIII LLC Class A-R2, $408.000 million: AAA (sf) Class B-R2, $76.500 million: AA (sf) Class C-R2 (deferrable), $38.250 million: A (sf) Class D-R2 (deferrable), $38.250 million: BBB- (sf) Class E-R2 (deferrable), $25.500 million: BB- (sf) Ratings Withdrawn Magnetite XXIII Ltd./Magnetite XXIII LLC Class A-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)'/ Watch Neg Other Debt Magnetite XXIII Ltd./Magnetite XXIII LLC Subordinated notes, $56.795 million: NR NR--Not rated. MCF CLO 11: S&P Assigns Prelim BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to MCF CLO 11 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 Apogem Capital LLC. S&P Global currently rates the corporate loan warehouse facility under the same issuer name, which S&P expects will be merged into and closed in connection with this transaction at closing. The preliminary ratings are based on information as of Feb. 11, 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 MCF CLO 11 LLC Class A-1, $227.00 million: AAA (sf) Class A-1L loans(i), $5.00 million: AAA (sf) Class A-2, $3.00 million: AAA (sf) Class A-2L loans(i), $13.00 million: AAA (sf) Class B, $24.00 million: AA (sf) Class B-L loans(i), $6.00 million: AA (sf) Class C (deferrable), $28.00 million: A (sf) Class D-1 (deferrable), $22.00 million: BBB (sf) Class D-2 (deferrable), $10.00 million: BBB- (sf) Class E (deferrable), $14.00 million: BB- (sf) Subordinated notes, $52.40 million: Not rated NR--Not rated. (i)Class A-1L loans, A-2L loans, and B-L loans can convert all or a portion of their balance into the class A-1, A-2, or B debt, respectively, which will increase the outstanding amount of the corresponding note class by the amount converted with a decrease in the outstanding amount of corresponding loan class. No notes can be converted into loans. MJX VENTURE II: Moody's Cuts Rating on Series I/Cl. E Notes to Ba3 ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings on the following notes issued by MJX Venture Management II LLC (the "Issuer" or "MJX VM II") and collateralized by Venture 32 CLO, Limited ("Underlying CLO"): US$1,425,000 Series I/Class E Notes due 2031 (the "Class E Notes"), Downgraded to Ba3 (sf); previously on July 19, 2018 Assigned Ba1 (sf) The Series I/Class E Notes, together with the other notes issued by the Issuer (the "Rated Notes"), are collateralized primarily by 5% of certain rated notes (the "Underlying CLO Notes") issued by Venture 32 CLO, Limited (the "Underlying CLO"). The Rated Notes were originally issued in July 2018 in order to comply with the retention requirements of both the US and EU Risk Retention Rules. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Series I/Class E notes reflects the specific risks to the Underlying CLO's Class E notes posed by par loss and credit deterioration observed in the Underlying CLO portfolio. Based on Moody's calculations, the OC ratio for the Underlying CLO Class E notes is 100.52% versus September 2025 level of 101.67%. Furthermore, Moody's calculated weighted average rating factor (WARF) of the Underlying CLO has been deteriorating and the current level is 3557, compared to 3145 in September 2025, failing the trigger of 2931. No actions were taken on the Series I/Class A-1, Series I/Class A-2A, Series I/Class A-2BF, Series I/Class A-F, Series I/Class B, Series I/Class C and Series I/ Class D Notes because their expected losses remain commensurate with their current ratings, after taking into account the Underlying 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 for the Underlying CLO: Performing par and principal proceeds balance: $245,259,600 Defaulted par: $7,467,728 Diversity Score: 59 Weighted Average Rating Factor (WARF): 3557 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.65% Weighted Average Recovery Rate (WARR): 45.35% Weighted Average Life (WAL): 2.92 years Par haircut in OC tests and interest diversion test: 5.52% 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 this rating was "Collateralized Loan Obligations" published in October 2025. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying CLO's 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. MORGAN STANLEY 2017-HR2: Fitch Rates Class H-RR Certs 'B-sf' ------------------------------------------------------------ Fitch Ratings has affirmed all classes of Morgan Stanley Capital I Trust 2017-HR2 commercial mortgage pass-through certificates (MSC 2017-HR2). In addition, Fitch has affirmed the rating for the 2017 HR2 III Trust horizontal risk retention pass-through certificate (MOA 2020-HR2 E Class E-RR). The Rating Outlooks on classes B, C and X-B have been revised to Positive from Stable. RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- MOA 2020-HR2 E E-RR 90217BAA3 LT BBB-sf Affirmed BBB-sf MSC 2017-HR2 A-3 61691NAD7 LT AAAsf Affirmed AAAsf A-4 61691NAE5 LT AAAsf Affirmed AAAsf A-S 61691NAH8 LT AAAsf Affirmed AAAsf A-SB 61691NAC9 LT AAAsf Affirmed AAAsf B 61691NAJ4 LT AA-sf Affirmed AA-sf C 61691NAK1 LT A-sf Affirmed A-sf D 61691NAN5 LT BBB-sf Affirmed BBB-sf E-RR 61691NAQ8 LT BBB-sf Affirmed BBB-sf F-RR 61691NAS4 LT BB+sf Affirmed BB+sf G-RR 61691NAU9 LT BB-sf Affirmed BB-sf H-RR 61691NAW5 LT B-sf Affirmed B-sf X-A 61691NAF2 LT AAAsf Affirmed AAAsf X-B 61691NAG0 LT AA-sf Affirmed AA-sf X-D 61691NAL9 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 4.5%, in line with Fitch's prior rating action. Seven loans were flagged as Fitch Loans of Concern (FLOCs; 11.7% of the pool), none of which are currently delinquent or in special servicing. The affirmations reflect stable performance for a majority of the loans in the pool. The revision of Outlooks to Positive reflects the potential for future upgrades driven by the pool's increased credit enhancement from paydown, as well as improved performance of prior FLOCs. With continued stable performance of the pool including FLOCs, upgrades are likely. Given the pool's maturity concentration in 3Q27 and 4Q27, Fitch also performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment and/or loss expectation; the rating actions also incorporate this analysis. Largest Loss Contributors: The largest overall increase in loss expectations since Fitch's prior rating action is the Sheraton Novi (2.5%), which is secured by a seven-story, 238 room full-service hotel located in Novi, MI. The loan has been designated as a FLOC due to a declining DSCR, primarily driven by increased operating expenses. The servicer reported TTM September 2025 NOI DSCR was 1.24x down from 1.38x at YE 2024 and 1.82x at YE 2023. Per the most recent STR report, the property's occupancy, average daily rate (ADR) and revenue per available room (RevPAR), were 65%, $143 and $93, respectively, indicating penetration rates of 110%, 110% and 119%, respectively. Fitch's 'Bsf' rating case loss of 11.8% (prior to concentration adjustments) reflects a 11.25% cap rate and 15% stress to the TTM September 2025 NOI. Fitch increased the probability of default to reflect an increased default risk at maturity, with the underperforming loan scheduled to mature in December 2027. The next largest increase in loss expectations since Fitch's prior rating action is the 250-290 East John Carpenter Freeway loan (2.9%), which is secured by an office complex located in Irving, TX. The loan has been designated as a FLOC due to occupancy decline. Wells Fargo Bank, N.A. (35.9% NRA) vacated at its December 2025 lease expiration reducing property occupancy to 61%. According to servicer updates, the space is being marketed for rent. The servicer reported YE 2024 NOI DSCR was 4.27x which is in-line with prior years. Fitch's 'Bsf' rating case loss of 18.6% (prior to concentration adjustments) reflects a 10% cap rate and 20% stress to the YE 2024 NOI to reflect occupancy decline. Fitch increased the probability of default due to increased default risk at maturity, with the loan scheduled to mature in December 2027. Largest Loss Improvement: The largest improvement in loss expectations since Fitch's prior rating action is the Totowa Commons loan (6.4%), which is secured by a 271,488-sf anchored retail community center located in Totowa, NJ. Occupancy has improved to 93% as of November 2025 from 49% at YE 2024. TESLA signed a 10-year lease that commenced in November 2024 for 35% of the NRA and has three five-year extension options. Home Depot (37% NRA) signed a 10-year lease extension that will run through April 2035. Fitch's 'Bsf' rating case loss of 17.6% (prior to concentration adjustments) reflects a 10% cap rate and stress to the YE 2024 NOI. Increased Credit Enhancement: As of the December 2025 distribution date, the pool has paid down 16% to $792.4 million from $942.7 million at issuance. Interest shortfalls of approximately $70,000 are currently affecting the non-rated class J-RR. There have been no realized losses to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not expected due to the senior position in the capital structure, high CE 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 of classes rated in the 'AA'sf, 'Asf' and 'BBBsf' categories are not likely due to the continued expected amortization, and sufficient CE relative to loss expectations, but may occur should loans default, and/or fail to refinance at maturity, primarily 150 Jefferson and One Ally Center. Downgrades of classes rated in the 'BBsf' and 'Bsf' categories could occur with higher expected losses from continued underperformance of the FLOCs or if more loans than expected default at maturity. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades of classes with Positive Outlooks are possible with continued increased CE from paydown, coupled with stable to improved pool-level loss expectations and improved performance of the FLOCs; classes would not be upgraded above 'AA+sf' if there is likelihood of interest shortfalls. Upgrades of classes rated in the 'BBsf' and 'Bsf' categories could occur only if the remaining pool performs stably, the FLOCs stabilize and are able to refinance at maturity, and credit enhancement remains sufficient for these classes. MORGAN STANLEY 2024-INV3: Moody's Ups Rating on Cl. B-5 Certs to B1 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings of nine bonds issued by Morgan Stanley Residential Mortgage Loan Trust 2024-INV3. The collateral backing this deal consists of prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Morgan Stanley Residential Mortgage Loan Trust 2024-INV3 Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 21, 2025 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Apr 21, 2025 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Apr 21, 2025 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Apr 21, 2025 Upgraded to A2 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Apr 21, 2025 Upgraded to A2 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Apr 21, 2025 Upgraded to A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jun 27, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Apr 21, 2025 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Apr 21, 2025 Upgraded to B2 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. The transaction Moody's reviewed continue to display strong collateral performance, with low cumulative losses and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in this transaction have grown, as the pool amortized. The credit enhancement since closing has grown, on average, 1.3x for the non-exchangeable tranches upgraded. No actions were taken on the other rated classes in this deal because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in 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 of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. MORGAN STANLEY 2026-INV1: Moody's Assigns (P)B3 Rating to B-5 Certs ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 24 classes of residential mortgage-backed securities (RMBS) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-INV1, and sponsored by Morgan Stanley Mortgage Capital Holdings LLC. The securities are backed by a pool of GSE eligible (81.0% by balance) and prime jumbo (19.0% by balance) residential mortgages aggregated by Morgan Stanley, including loans aggregated by PennyMac Loan Services, LLC (41.4% by loan balance) and United Wholesale Mortgage, LLC (15.3% by loan balance), and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Morgan Stanley Residential Mortgage Loan Trust 2026-INV1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1-X*, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-2-X*, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3-X*, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-4-X*, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-5-X*, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-6-X*, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aa1 (sf) Cl. A-7-X*, Assigned (P)Aa1 (sf) Cl. A-8, Assigned (P)Aa1 (sf) Cl. A-8-X*, Assigned (P)Aa1 (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-9-X*, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.69%, in a baseline scenario-median is 0.39% and reaches 7.86% 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. MORGAN STANLEY 2026-NQM2: S&P Assigns (P)B(sf) Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Morgan Stanley Residential Mortgage Loan Trust 2026-NQM2's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of four months. The mortgage loans primarily have a 30-year maturity. There are 14 loans with 40-year maturities and four loans with 15-year maturities. The loans are secured by single-family residential properties, including townhouses, planned-unit developments, condominiums, two- to four-family residential properties and five- to 10-unit multifamily residential properties. The pool consists of 953 loans backed by 982 properties, which are QM/non-HPML (APOR), QM/HPML (rebuttable presumption), non-QM/ATR-compliant, and ATR-exempt. The preliminary ratings are based on information as of Feb. 11, 2026, including the balances as per the printed term sheet dated Feb. 10, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregators, Morgan Stanley Mortgage Capital Holdings LLC (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." Preliminary Ratings Assigned(i) Morgan Stanley Residential Mortgage Loan Trust 2026-NQM2 Class A-1FCF, $124,620,000: AAA (sf) Class A-1LCF, $41,540,000: AAA (sf) Class A-1, $166,160,000: AAA (sf) Class A-1-A, $144,180,000: AAA (sf) Class A-1-B, $21,980,000: AAA (sf) Class A-2, $29,243,000: AA- (sf) Class A-3, $39,539,000: A- (sf) Class M-1, $16,035,000: BBB- (sf) Class B-1, $8,567,000: BB (sf) Class B-2, $8,567,000: B (sf) Class B-3, $5,052,501: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R-PT, $21,969,501: NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $439,323,501. NR--Not rated. MP CLO VII: Moody's Affirms Caa2 Rating on $28.9MM Cl. E-RR Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by MP CLO VII, Ltd.: US$33.2M (Current outstanding balance US$22,924,922) Class D-RR Mezzanine Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Oct 7, 2025 Upgraded to Aa3 (sf) Moody's have also affirmed the ratings on the following notes: US$28.9M (Current outstanding balance US$29,144,663 incl. deferred interest amount) Class E-RR Mezzanine Deferrable Floating Rate Notes, Affirmed Caa2 (sf); previously on Oct 7, 2025 Downgraded to Caa2 (sf) MP CLO VII, Ltd., originally issued in May 2015 and most recently refinanced in June 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by MP CLO Management LLC. The transaction's reinvestment period ended in October 2020. RATINGS RATIONALE The rating upgrade on the Class D-RR notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in October 2025. The affirmation on the rating on the Class E-RR 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. Since the last rating action, USD59.7m has been repaid to notes including the full repayment of the Class B-RR and C-RR notes and USD10.3m (31% of original amount) was paid to the Class D-RR. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated January 2026[1] the Class D and Class E OC ratios are reported at 165.05% and 104.75% compared to September 2025[2] levels of 136.5% and 101.13%, respectively. Moody's notes that the January 2026 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: USD57.6m Defaulted Securities: USD0.22m Diversity Score: 14 Weighted Average Rating Factor (WARF): 3786 Weighted Average Life (WAL): 2.31 years Weighted Average Spread (WAS): 3.15% Weighted Average Recovery Rate (WARR): 46.76% Par haircut in OC tests and interest diversion test: 3.3% 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. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. NEW RESIDENTIAL 2026-NQM1: Fitch Rates B-sf Rating on Cl. B2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by New Residential Mortgage-Loan Trust 2026-NQM1 (NRMLT 2026-NQM1), RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- NRMLT 2026-NQM1 A1LCF LT WDsf Withdrawn AAA(EXP)sf A1FCF LT WDsf Withdrawn AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 1,014 nonprime loans that were primarily originated by Newrez LLC and Caliber Home Loans, Inc., with a total balance of approximately $502.1 million as of the cutoff date. Fitch has withdrawn the expected rating of 'AAAsf' for the previous class A-1FCF and class A-1LCF notes, as these were not funded at close and are no longer being offered. 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-NQM1 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 40.7%. The expected loss in the 'AAAsf' rating stress is 15.0%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM1 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. 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. NRMLT 2026-NQM1 is a 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 NRMLT 2026-NQM1 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. NMEF FUNDING 2026-A: Moody's Assigns (P)Ba3 Rating to Cl. E Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to the notes to be issued by NMEF Funding 2026-A, LLC (NMEF 2026-A). North Mill Equipment Finance LLC (NMEF) will be the sponsor of the transaction, as well as the servicer of the securitized loan pool. The notes will be backed by a pool of loans and leases secured by mainly new and used medical, transportation equipment, and construction equipment. NMEF Funding 2026-A will be NMEF's eleventh ABS transaction and the sixth transaction rated by us. This will also be NMEF's first equipment ABS issuance in 2026. The complete rating actions are as follows: Issuer: NMEF Funding 2026-A, LLC Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2 Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa1 (sf) Class C Notes, Assigned (P)Aa2 (sf) Class D Notes, Assigned (P)Baa1 (sf) Class E Notes, Assigned (P)Ba3 (sf) RATINGS RATIONALE The ratings of the notes are based on (1) the credit quality of the underlying equipment loan and lease including the types of equipment; (2) Moody's expectations of the pool's credit performance, informed by the historical performance of NMEF's prior securitizations and NMEF's managed portfolios; (3) the experience and expertise of NMEF as the originator and servicer of the pool to be securitized; (4) the back-up servicing arrangement with GreatAmerica Financial Services Corporation; (5) the strength of the expected transaction structure, including the sequential-pay structure and levels of credit enhancement; and (6) the legal aspects of the transaction. Additionally, in assigning the provisional short-term rating to the Class A-1 notes, Moody's considered the cash flows that Moody's expects the underlying receivables to generate prior to the Class A-1 notes' legal final maturity date. Moody's cumulative net loss expectation for the NMEF 2026-A collateral pool is 6.75%, 1.00% higher than that of the NMEF 2025-B collateral pool, due to a weaker mix of collateral, and inclusion of additional collateral during the pre-funding period. Moody's loss at a Aaa stress expectation for the NMEF 2026-A collateral pool is 32.0%, the same as that of the NMEF 2025-B transaction. Moody's cumulatives net loss expectation and loss at a Aaa stress are based on Moody's analysis of the credit quality of the underlying collateral pool and the historical performance of similar collateral, including NMEF's managed portfolios and prior securitizations, the track-record, ability and expertise of NMEF to perform the servicing functions, and current expectations for the macroeconomic environment during the life of the transaction including the current inflationary environment, uncertainty surrounding tariffs and consumer demand. The classes of notes will be paid sequentially. The Class A, Class B, Class C, and Class D, and Class E notes will benefit from approximately 38.15%, 31.05%, 24.35%, 16.65%, and 11.90% of hard credit enhancement, respectively. Initial hard credit enhancement for the notes consists of (1) subordination (except for the Class E), (2) over-collateralization (OC) of 10.90% of the initial adjusted discounted pool balance with an OC target of 15.70% of the outstanding adjusted discounted pool balance subject to a 0.50% OC floor, and (3) a fully funded, non-declining reserve account of 1.00% of the initial adjusted discounted pool balance. Excess spread may be available as additional credit protection for the notes. The sequential-pay structure, target OC level and non-declining reserve account will result in a build-up of credit enhancement supporting the rated notes. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the Class B, Class C, Class D, and Class E Notes if levels of credit enhancement are greater than necessary to protect investors against current expectations of loss. Moody's then current expectations of loss may be better than Moody's original expectations because of lower frequency of default by the underlying obligors or slower depreciation than expected of the value of the equipment that secure the obligors' promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. Down Moody's could downgrade the ratings on the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or a greater than expected deterioration in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, negative changes in the US macro economy or the condition of the trucking and transportation industries could also negatively affect the ratings. Other reasons for worse-than-expected performance could include poor servicing, error on the part of transaction parties, inadequate transaction governance or fraud. Additionally, Moody's could downgrade the Class A-1 notes if there is a significant slowdown in principal collections in the first year of the transaction, which could result from, among other reasons, high delinquencies or a servicer disruption that impacts obligors' payments. OBX TRUST 2026-INV1: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 64 classes of residential mortgage-backed securities (RMBS) to be issued by OBX 2026-INV1 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of prime jumbo (0.6% by balance) and GSE-eligible (99.4% by balance) residential mortgages aggregated by Onslow Bay Financial LLC, who in turn will acquire by closing date 49.2% of the loans aggregated by Bank of America, N.A. The pool was originated by multiple entities, including PennyMac Loan Services, LLC (PennyMac; 45.6% by loan balance) and Rocket Mortgage, LLC (Rocket Mortgage; 22.6%). PennyMac Serviced Mortgage Loans (PennyMac), NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) and Select Portfolio Servicing, Inc. ("SPS") are the servicers of the pool. Computershare Trust Company, N.A. is the master servicer. The complete rating actions are as follows: Issuer: OBX 2026-INV1 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-F, Assigned (P)Aaa (sf) Cl. A-F-X*, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-15*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aaa (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aaa (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aa1 (sf) Cl. A-X-25*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-2A, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3(sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) Cl. A-2A Loans, Assigned (P)Aaa (sf) Cl. A-3A 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 0.73%, in a baseline scenario-median is 0.43% and reaches 7.65% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in 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. PALMER SQUARE 2024-3: Moody's Assigns Ba1 Rating to $35MM D-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned ratings to five classes of CLO refinancing notes (collectively, the "Refinancing Notes") issued by Palmer Square Loan Funding 2024-3, Ltd. (the "Issuer"). Moody's rating action is as follows: US$358,998,445 Class A-1-R Senior Secured Floating Rate Notes due 2032 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$120,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2032 (the "Class A-2-R Notes"), Assigned Aaa (sf) US$60,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class B-R Notes"), Assigned Aa3 (sf) US$35,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class C-R Notes"), Assigned Baa1 (sf) US$35,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class D-R Notes"), Assigned Ba1 (sf) A comprehensive review of all credit ratings for the respective transaction(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 static cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The Issuer previously issued one class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Debt, other changes to transaction features will occur in connection with the refinancing, including extension of the Refinancing Debt's non-call period. 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: $676,220,566 Defaulted par: $2,156,313 Diversity Score: 73 Weighted Average Rating Factor (WARF): 2575 Weighted Average Spread (WAS): 2.87% Weighted Average Coupon (WAC): 3.98% Weighted Average Recovery Rate (WARR): 46.44% Weighted Average Life (WAL): 4.0 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 a 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. PARK BLUE 2023-IV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Park Blue CLO 2023-IV, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Park Blue CLO 2023-IV, Ltd. A-1-R LT AAAsf New Rating A-2 699917AC4 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 699917AE0 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C-1 699917AG5 LT PIFsf Paid In Full A+sf C-2 699917AJ9 LT PIFsf Paid In Full A+sf C-R LT Asf New Rating D-1 699917AL4 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2 699917AN0 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating E 699918AA6 LT PIFsf Paid In Full BB+sf E-R LT BB-sf New Rating Transaction Summary Park Blue CLO 2023-IV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Centerbridge Credit Funding Advisors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $470 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.24 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 94.89% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.9% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' 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-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Park Blue CLO 2023-IV, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. POINT AU ROCHE: 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-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X debt from Point Au Roche Park CLO Ltd./Point Au Roche Park CLO LLC, a CLO managed by Blackstone CLO Management LLC, that was originally issued in June 2021. The preliminary ratings are based on information as of Feb. 10, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 18, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A, B-1, B-2, C, D, and E debt and assign ratings to the replacement class A-R, B-1-R, B-2-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-1-R, C-R, D-1-R, and E-R debt is expected to be issued at a lower spread over the benchmark than the existing debt. -- The replacement class B-2-R debt is expected to be issued at a higher coupon than the existing debt. -- The replacement class D-2-R debt is expected to be issued at a fixed coupon. -- 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 dates for the replacement debt and the existing subordinated notes will be extended to Jan. 20, 2039. -- No additional assets will be purchased, and the target initial par amount will remain at $450 million. There will be no additional effective date, and the first payment date following the refinancing is April 20, 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. "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 Point Au Roche Park CLO Ltd./Point Au Roche Park CLO LLC Class X, $4.500 million: AAA (sf) Class A-R, $282.375 million: AAA (sf) Class B-1-R, $50.625 million: AA (sf) Class B-2-R, $9.000 million: AA (sf) Class C-R, $27.000 million: A (sf) Class D-1-R, $27.000 million: BBB- (sf) Class D-2-R, $2.250 million: BBB- (sf) Class E-R, $15.750 million: BB- (sf) Other Debt Point Au Roche Park CLO Ltd./Point Au Roche Park CLO LLC Subordinated notes, $72.637 million: NR NR--Not rated. PROVIDENT FUNDING 2026-1: Moody's Assigns B2 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 38 classes of residential mortgage-backed securities (RMBS) issued by Provident Funding Mortgage Trust 2026-1, and sponsored by Provident Funding Associates, L.P. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages originated and serviced by Provident Funding Associates, L.P. The complete rating actions are as follows: Issuer: Provident Funding Mortgage Trust 2026-1 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 Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned 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 0.26%, in a baseline scenario-median is 0.10% and reaches 3.61% 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. SEQUOIA MORTGAGE 2026-2: Fitch Rates Class B5 Certs 'B(EXP)' ------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-2 (SEMT 2026-2). Entity/Debt Rating ----------- ------ SEMT 2026-2 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating A26F LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A28 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating ACH4 LT AAA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating A32 LT AAA(EXP)sf Expected Rating ACH67 LT AAA(EXP)sf Expected Rating A33 LT AAA(EXP)sf Expected Rating A34 LT AAA(EXP)sf Expected Rating A35 LT AAA(EXP)sf Expected Rating A36 LT AAA(EXP)sf Expected Rating A37 LT AAA(EXP)sf Expected Rating A38 LT AAA(EXP)sf Expected Rating A39 LT AAA(EXP)sf Expected Rating A40 LT AAA(EXP)sf Expected Rating A41 LT AAA(EXP)sf Expected Rating A42 LT AAA(EXP)sf Expected Rating A43 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating AIO27 LT AAA(EXP)sf Expected Rating AIO27F LT AAA(EXP)sf Expected Rating AIO28 LT AAA(EXP)sf Expected Rating AIO29 LT AAA(EXP)sf Expected Rating AIO30 LT AAA(EXP)sf Expected Rating AIO36 LT AAA(EXP)sf Expected Rating AIO37 LT AAA(EXP)sf Expected Rating AIO38 LT AAA(EXP)sf Expected Rating AIO39 LT AAA(EXP)sf Expected Rating AIO40 LT AAA(EXP)sf Expected Rating AIO41 LT AAA(EXP)sf Expected Rating AIO42 LT AAA(EXP)sf Expected Rating AIO43 LT AAA(EXP)sf Expected Rating AIO44 LT AAA(EXP)sf Expected Rating AIO67 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 620 loans with a total balance of approximately $792.2 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 775 and 35.0% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 73.4% mark-to-market combined LTV (cLTV). Overall, 91.9% of the pool loans are for primary residences, while the remainder are second homes. Additionally, 100% of the loans were underwritten to full documentation. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-2 has a final probability of default (PD) of 9.81% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 36.29%. The expected loss in the 'AAAsf' rating stress is 3.56%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-2 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 were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 98.2% of the loans in the transaction by loan count. Fitch applies a 5bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SEMT 2026-2 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-2, and therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.6% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, 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. SG RESIDENTIAL 2026-1: S&P Assigns Prelim 'B-' Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to SG Residential Mortgage Trust 2026-1's residential mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed-rate, fully amortizing residential mortgage loans secured primarily by single-family residential properties, planned-unit developments, condominiums, co-operative, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 694 loans. The preliminary ratings are based on information as of Feb. 10, 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 aggregator, SG Capital Partners LLC, and the mortgage originator ClearEdge Lending; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially. S&P said, "On Feb. 6, 2026, we updated the home price index (HP)I and over/under-valuations used in our Weighted Average Foreclosure Frequency and Loss Engine (WAFFLE) model. The credit impact of these changes depends on the pool's geographic distribution and valuation dates of the properties backing the loans. Since the pool is generally well diversified geographically--1.010x factor (consistent with our assessment of exposure to environmental risks, which we consider well-diversified and in line with the benchmark if less than 1.050x) -- and the pool is not seasoned, we determined the impact of the update to be non-material to our analysis, and we did not re-run the pool. See the Related Research section herein for the HPI and over/under-valuation assessments used in our analysis for this transaction." Preliminary Ratings Assigned SG Residential Mortgage Trust 2026-1(i) Class A-1A, $216,618,000: AAA (sf) Class A-1B, $32,164,000: AAA (sf) Class A-1, $248,782,000: AAA (sf) Class A-1FCF, $75,000,000: AAA (sf) Class A-1FCX, $75,000,000(ii): AAA (sf) Class A-1LCF, $25,000,000: AAA (sf) Class A-2, $20,743,000: AA (sf) Class A-3, $44,415,000: A (sf) Class M-1, $17,134,000: BBB- (sf) Class B-1, $9,695,000: BB- (sf) Class B-2, $6,088,000: B- (sf) Class B-3, $4,058,255: NR Class A-IO-S, Notional(iii): N/A Class XS, Notional(iii): N/A Class R, N/A: N/A (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The class A-1FCX will have a notional amount equal to the certificate amount of the class A-1FCF certificates and will not be entitled to payments of principal. (iii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. SIXTH STREET XVI: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Sixth Street CLO XVI, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Sixth Street CLO XVI, Ltd. X-R2 LT AAAsf New Rating A-1R2 LT AAAsf New Rating A-2R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1R2 LT BBB-sf New Rating D-2R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Sixth Street CLO XVI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sixth Street CLO XVI Management, LLC which originally closed in November 2020. This will be the second refinancing where the existing notes will be refinanced in whole on Feb. 3, 2026, from proceeds of the new secured notes. 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 23.71 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.15% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.74% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47.25% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is reduced by 12 months for WAL covenants that are seven years or higher, 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-R2, between 'BBB+sf' and 'AA+sf' for class A-1-R2, between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, between less than 'B-sf' and 'BB+sf' for class D-2-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2, class A-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'Asf' for class D-1-R2, 'A-sf' for class D-2-R2, and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Sixth Street CLO XVI, 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. TOWD POINT 2026-CES2:S&P Assigns Prelim B-(sf) Rating on B2B Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Towd Point Mortgage Trust 2026-CES2'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, and two- to four-family residential properties. The pool has 3,602 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 preliminary ratings are based on information as of Feb. 11, 2026. Subsequent information may result in the assignment of a final rating that differs from the preliminary rating. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties (R&W) framework, and geographic concentration; -- The mortgage aggregators and originators; -- Sample due diligence results consistent with represented loan characteristics; and -- S&P's economic outlook, which considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals, and is updated, if necessary, when these projections change materially." S&P said, "On Feb 6, 2026, we updated the house price index and over-/under-valuations used in our WAFFLE model. The credit impact of these changes, which affects loss severity, depends on the pool's geographic distribution and valuation dates of the properties backing the loans. Since we are already assuming 100% loss severity for these second lien loans, we determined the impact of the update to be non-material to our analysis. See the Related Research section for the house price index and over-/under-valuation assessments used in our analysis for this transaction." Preliminary Ratings Assigned Towd Point Mortgage Trust 2026-CES2(i) Class A1A, $311,505,000: AAA (sf) Class A1B, $12,460,000: AAA (sf) Class A2, $16,938,000: AA- (sf) Class M1, $14,407,000: A- (sf) Class M2, $13,628,000: BBB- (sf) Class B1, $8,372,000: BB-(sf) Class B2, $6,425,000: B- (sf) Class B3, $5,646,088: NR Class A1, $323,965,000: AAA (sf) Class A2A, $16,938,000: AA- (sf) Class A2AX, $16,938,000: AA- (sf) Class A2B, $16,938,000: AA- (sf) Class A2BX, $16,938,000: AA- (sf) Class A2C, $16,938,000: AA- (sf) Class A2CX, $16,938,000: AA- (sf) Class A2D, $16,938,000: AA- (sf) Class A2DX, $16,938,000: AA- (sf) Class M1A, $14,407,000: A- (sf) Class M1AX, $14,407,000: A- (sf) Class M1B, $14,407,000: A- (sf) Class M1BX, $14,407,000: A- (sf) Class M1C, $14,407,000: A- (sf) Class M1CX, $14,407,000: A- (sf) Class M1D, $14,407,000: A- (sf) Class M1DX, $14,407,000: A- (sf) Class M2A, $13,628,000: BBB- (sf) Class M2AX, $13,628,000: BBB- (sf) Class M2B, $13,628,000: BBB- (sf) Class M2BX, $13,628,000: BBB- (sf) Class M2C, $13,628,000: BBB- (sf) Class M2CX, $13,628,000: BBB- (sf) Class M2D, $13,628,000: BBB- (sf) Class M2DX, $13,628,000: BBB- (sf) Class B1A, $8,372,000: BB-(sf) Class B1AX, $8,372,000: BB-(sf) Class B1B, $8,372,000: BB-(sf) Class B1BX, $8,372,000: BB-(sf) Class B2A, $6,425,000: B- (sf) Class B2AX, $6,425,000: B- (sf) Class B2B, $6,425,000: B- (sf) Class B2BX, $6,425,000: B- (sf) Class XS1, notional(ii): NR Class XS2, notional(ii): NR Class X, notional(ii): NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts (net weighted average coupon shortfalls). (ii)Notional amount. NR--Not rated. N/A—Not applicable. TRIMARAN CAVU 2021-2: S&P Affirms B+ (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R, B-1-R, C-R, D-1-R, and D-2-R debt from Trimaran CAVU 2021-2 Ltd./Trimaran CAVU 2021-2 LLC, a CLO managed by Trimaran Advisors LLC that was originally issued in November 2021. At the same time, S&P withdrew its ratings on the previous class A, B-1, C, D-1, and D-2 debt following payment in full on Feb. 11, 2026, refinancing date. S&P also affirmed its ratings on class B-2 and E debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to Oct. 25, 2026. -- No additional assets were purchased on Feb. 11, 2026, refinancing date, and the target initial par amount remains at $400mm. There was no additional effective date or ramp-up period and the first payment date following the refinancing is April 25, 2026. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "On a standalone basis, our cash flow analysis indicated lower ratings on the class D-2-R and E debt (which was not refinanced). However, we assigned our 'BBB- (sf)' rating on the class D-2-R debt and affirmed our 'B+ (sf)' rating on the class E debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction, and that the transaction remains in its reinvestment period, and the refinancing is viewed as credit neutral to credit positive for the transaction. However, if the post-refi 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-R, $252.00 million: Three-month CME term SOFR + 1.02% -- Class B-1-R, $39.00 million: Three-month CME term SOFR + 1.40% -- Class C-R (deferrable), $24.00 million: Three-month CME term SOFR + 1.80% -- Class D-1-R (deferrable), $16.00 million: Three-month CME term SOFR + 2.50% -- Class D-2-R (deferrable), $8.00 million: 7.347% Previous debt -- Class A, $252.00 million: Three-month CME term SOFR + 1.22% + CSA(i) -- Class B, $39.00 million: Three-month CME term SOFR + 1.75% + CSA(i) -- Class C (deferrable), $24.00 million: Three-month CME term SOFR + 2.45% + CSA(i) -- Class D-1 (deferrable), $16.00 million: Three-month CME term SOFR + 3.25% + CSA(i) -- Class D-2 (deferrable), $8.00 million: Three-month CME term SOFR + 4.75% + CSA(i) --Subordinated notes, $40.05 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. "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 2021-2 Ltd. / Trimaran CAVU 2021-2 LLC Class A-R, $252.00 million: AAA (sf) Class B-1-R, $39.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $16.00 million: BBB (sf) Class D-2-R (deferrable), $8.00 million: BBB- (sf) Ratings Withdrawn Trimaran CAVU 2021-2 Ltd. / Trimaran CAVU 2021-2 LLC Class A to NR from 'AAA (sf)' Class B-1 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)' Ratings Affirmed Trimaran CAVU 2021-2 Ltd. / Trimaran CAVU 2021-2 LLC Class B-2: AA (sf) Class E: B+ (sf) Other Debt Trimaran CAVU 2021-2 Ltd. / Trimaran CAVU 2021-2 LLC Subordinated notes, $40.05 million: NR NR--Not rated. UNITY-PEACE PARK CLO: Moody's Assigns Ba3 Rating to Cl. E-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of refinancing notes (the "Refinancing Notes") issued by Unity-Peace Park CLO, Ltd. (the "Issuer"). Moody's rating action is as follows: US$399,750,000 Class A-1-R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$25,025,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2035, Assigned Ba3 (sf) 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. Blackstone 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 class of subordinated notes, which will remain outstanding. In addition to the issuance of the Refinancing Notes, four other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: reinstatement of the non-call period, changes to the definition of "Concentration Limitations", and changes to the matrix and related terms. 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: $641,070,296 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2820 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.00% Weighted Average Recovery Rate (WARR): 46.22% Weighted Average Life (WAL): 5.48 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 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. VENTURE 32 CLO: Moody's Cuts Rating on $28.5MM Cl. E Notes to B1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Venture 32 CLO, Limited: US$38,250,0000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Upgraded to Aaa (sf); previously on September 12, 2025 Upgraded to Aa1 (sf) Moody's have also downgraded the rating on the following notes: US$28,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on July 18, 2018 Assigned Ba3 (sf) Venture 32 CLO, Limited, originally issued in July 2018 and partially refinanced in August 2020, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. 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 September 2025. The Class A-1 notes, Class A-2A notes and Class A-FR notes have been paid down by approximately 59.19%, 80.17% and 59.19% respectively or $96.7 million since then. Based on Moody's calculations, the OC ratio for the Class C notes is currently 137.64%, versus September 2025 levels of 125.60%. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratio for the Class E notes is at 100.52% versus September 2025 level of 101.67%. Furthermore, Moody's calculated weighted average rating factor (WARF) has been deteriorating and the current level is 3557, compared to 3145 in September 2025, failing the trigger of 2931. No actions were taken on the Class A-1, Class A-2A, Class A-2BR, Class A-FR, Class B, Class D and Class F 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: $245,259,600 Defaulted par: $7,467,728 Diversity Score: 59 Weighted Average Rating Factor (WARF): 3557 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.65% Weighted Average Recovery Rate (WARR): 45.35% Weighted Average Life (WAL): 2.92 years Par haircut in OC tests and interest diversion test: 5.52% 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. VERTICAL BRIDGE 2026-1: Fitch Gives B(EXP) Rating to Class M Notes ------------------------------------------------------------------ Fitch Ratings has issued a presale report for VB-S1 Issuer, LLC's secured tower revenue notes, series 2026-1. Entity/Debt Rating ----------- ------ Vertical Bridge 2026-1 C-2 LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating F LT BB-(EXP)sf Expected Rating M LT B(EXP)sf Expected Rating Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $1,211,100,000 series 2026-1, class C-2, 'Asf'/Outlook Stable; -- $290,000,000 series 2026-1, class D, 'BBB-sf'/Outlook Stable; -- $158,100,000 series 2026-1, class F, 'BB-sf'/Outlook Stable. The following class is not expected to be rated: -- $102,280,000 series 2026-1, class R (horizontal credit risk retention interest with a balance representing 5% of the fair value of the notes at the time of closing). Transaction Summary Vertical Bridge secured tower revenue notes, series 2026-1 is an issuance of notes out of a master trust backed by mortgages representing 90.7% of the annualized run rate net cash flow (ARRNCF) on the tower sites and are guaranteed by the direct parent of the borrower issuer. This guarantee is secured by a pledge and first-priority-perfected security interest in 100% of the equity interest of the issuer, direct subsidiaries of which own or lease 10,022 wireless communication sites, including 10,425 towers and other structures. The new notes will be issued pursuant to a supplement to the third amended and restated indenture dated as of the closing of the series 2022-1 transaction, as amended on the closing of the series 2024-1 and further amended as of the closing of the 2026-1 transaction. At closing, note proceeds will be used to fund upfront reserves, refinance existing debt and fund general corporate purposes. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in cellular sites, not an assessment of the corporate default risk of the ultimate parent, Vertical Bridge REIT LLC (Vertical Bridge). KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $270.4 million, implying a 4.9% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 14.2x versus the debt/issuer NCF leverage of 13.5x. Inclusive of the prefunding, the Fitch NCF on the pool is $270.0 implying a 5.2% haircut to issuer NCF. Based on the Fitch NCF and assumed annual revenue growth consistent with the weighted average (WA) escalator of the tower portfolio, and following the transaction's ARD, the notes would be repaid 17.8 years from closing and the investment-grade-rated notes would be repaid 14.1 years from closing. Credit Risk Factors: The primary factors informing Fitch's cash flow assessment and rating-specific MPL include the large and diverse collateral pool, creditworthy customer base with limited historical churn, market position of the operator, capability of the operator, limited operational requirements, high barriers to entry, strong transaction structure, and growth potential. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for tower space, similar to most wireless tower transactions, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology — rendering obsolete the current transmission of wireless signals through cellular sites — will be developed. Wireless service providers (WSPs) currently depend on towers to transmit their signals and continue to invest in this technology. Ratings as high as 'AAAsf' have been assigned to transactions stating exceptionally strong tenant/payor, collateral, portfolio, sponsorship, amortization and transaction attributes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade --Declining cash flow as a result of higher site expenses or lease churn, and the development of an alternative technology for the transmission of wireless signal could lead to downgrades; --Fitch's NCF was 4.9% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class C from 'Asf' to 'BBBsf', class D from 'BBB-sf' to 'BBsf', class F from 'BB-sf' to 'Bsf' and class M from 'Bsf' to 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade --Increasing cash flow without an increase in corresponding debt from contractual lease escalators, new tenant leases, or lease amendments could lead to upgrades. However, upgrades are unlikely given the provision to issue additional debt, increasing leverage without the benefit of additional collateral. Upgrades may also be limited given the ratings are capped at 'Asf', given the risk of technological obsolescence; --A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class C from 'Asf' to 'Asf', class D from 'BBB-sf' to 'BBBsf', class F from 'BB-sf' to 'BBsf' and class M from 'Bsf' to 'B+sf'. VERUS SECURITIZATION 2026-2: Fitch Rates Cl. B-2 Notes 'B-(EXP)sf' ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2026-2 (Verus 2026-2). Entity/Debt Rating ----------- ------ VERUS 2026-2 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1FCF LT AAA(EXP)sf Expected Rating A-1FCFX LT AAA(EXP)sf Expected Rating A-1LCF LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-1F LT AAA(EXP)sf Expected Rating A-1IO1 LT AAA(EXP)sf Expected Rating A-1IO2 LT AAA(EXP)sf Expected Rating A-1IO LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes to be issued by Verus 2026-2, as indicated above. The notes are supported by 1,624 loans with a balance of $854.3 million as of Feb. 1, 2026. The transaction is scheduled to close on Feb. 13, 2026. The notes are secured by mortgage loans originated by various originators and acquired by the sellers. 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. There is no servicer advancing for second lien loans. Primary residence loans constitute 51.4% of the Verus 2026-2 transaction pool, followed by second home and investor loans at 48.6%. In terms of documentation type, the transaction consists predominantly of debt service coverage ratio (DSCR) loans, at 33.3%; while 30.0% were originated to a bank statement program, 17.6% are a CPA P&L product, 11.2% are full documentation or a tax return product, and the remaining 7.9% were underwritten to a written verification of employment (WVOE) or asset underwriting product. 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 2026-2 has a final probability of default (PD) of 45.3% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 42.1%. The expected loss in the 'AAAsf' rating stress is 19.1%. Structural Analysis: Verus 2026-2 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 with 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 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 Verus 2026-2 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Verus 2026-2 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 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 AMC, Canopy, Clarifii, Clayton, Evolve and Selene. 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(s) 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. VITALITY RE XV: Fitch Affirms BB+ Rating on Ser. 2024 Cl. B Notes ----------------------------------------------------------------- Fitch Ratings affirms the ratings of the Series 2024 Principal-At-Risk Variable Rate Notes issued by Vitality Re XV Limited (Vitality Re XV), a Cayman Islands exempted company licensed as a Class C insurer. Entity/Debt Rating Prior ----------- ------ ----- Vitality Re XV Limited Series 2024, Class A Notes Principal-at-Risk Variable Rate Notes due January, 2028 92847CAA5 LT BBB+sf Affirmed BBB+sf Series 2024, Class B Principal-at-Risk Variable Rate Notes due January 7, 2028 92847CAB3 LT BB+sf Affirmed BB+sf All classes of notes have a scheduled termination date of Jan. 7, 2028 and a Final Extended Redemption Date of Jan. 8, 2029. The principal amount of the Class A Notes is $140 million and that of the Class B Notes is $60 million. The Interest Spread for the Class A Notes is 2.50% and that of the Class B Notes is 3.50%. Transaction Summary The Series 2024 Notes (Class A and Class B) provide collateralized, multiyear, indemnity-based annual aggregate XoL reinsurance protection to Health Re, Inc., a Vermont-domiciled special purpose financial insurance company wholly owned by Aetna Inc. (Aetna). Health Re assumes a quota share of certain commercial group health insurance policies (the Covered Business) underwritten by Aetna Life Insurance Company (ALIC). Aetna is wholly owned by CVS Health Corporation (CVS Health). The Covered Business ceded to Health Re (for which Vitality Re XV will provide XoL coverage) primarily consists of commercial insured accident and health business, namely Preferred Provider Organization (PPO), Point of Service (POS) and Indemnity products, directly written by ALIC. These are reportable in ALIC's statutory annual statements as Accident and Health Group except for the Excluded Risks. Each class of notes is "principal-at-risk," meaning a principal loss will occur if the Covered Business's medical benefit ratio (MBR) exceeds a predetermined attachment (MBR Attachment), set at inception and reset annually during the second, third and fourth Annual Risk Periods. KEY RATING DRIVERS The ratings are based on the "weakest-link" of the following key rating drivers: i) medical benefit ratio excess-of-loss (XoL) risk assessment; ii) the Issuer Default Rating (IDR) of ceding insurer; and iii) the credit quality of the permitted investments. Fitch believes the risk assessment of the medical benefit ratio XoL presents the greatest risk. Medical Benefit Ratio (MBR) XoL Risk Assessment This is third of four Annual Risk Periods, each running from Jan. 1 to Dec. 31. Milliman, Inc. (Milliman) acting as the Reset Agent, delivered a Reset Report, "Updated Health Industry Exposure Data and the Updated Aetna Exposure Data." For each Annual Risk Period, the MBR XoL Attachment will be updated to maintain the modeled attachment probability which are 5 bp and 48 bp for the Class A and B Notes, respectively. These probabilities of first dollar loss correspond to 'bbb+' for Class A and 'bb+' for Class B, according to Fitch's ILS Calibration Matrix. The Reset Report states the Updated MBR XoL Attachment for the Annual Risk Period of Jan. 1, 2026 through Dec. 31, 2026 will be 107.88% for Class A and 101.88% for Class B. Prior attachments were 106% and 100%, respectively. Fitch notes the highest annual MBR (since 2025) was 90.8% in 2021 and the most recent annual MBR, from Oct. 1, 2024 to Sept. 30, 2025, was 96.3%. Fitch qualitatively reviewed sensitivity analysis that generally showed a one- to two-rating downgrade possibility under adverse conditions. IDR of Ceding Insurer Health Re is responsible for the payment of risk premiums to support the interest spread of the notes. Fitch has a privately monitored rating of Health Re and its credit rating is linked to ALIC (IDR: 'A-', Outlook Negative). Health Re's existing capital is around $225 million. Health Re has established a Premium Reserve Account in the amount of four quarters of anticipated premiums under the XoL Agreements with Vitality Re XV. Health Re has a Keep Well Agreement with Aetna, Inc. Under the agreement, losses above the Exhaustion MBR revert to Aetna. Fitch considers Aetna's standalone business profile to be very strong, supported by its most favorable competitive positioning and diversification and favorable business risk profile relative to peers. Despite weakened operating performance, Fitch believes Aetna's product development capacities and provider network, which is supported by its large enrollment base and strong contracting capabilities, are key competitive strengths. A parental capital contribution was required to sustain its target combined RBC ratio of roughly 260%-265% of the company action level. Credit Quality of the Permitted Investments The proceeds of the Series 2024 Notes will be deposited in a collateral account at Bank of New York Mellon (IDR, AA/Stable) and invested in Permitted Investments subject to availability according to the following priority: i) U.S. dollar denominated Money Market Funds (rated AAA and certain other characteristics) or ii) cash. Any nominal yield produced by these investments, in addition to the Interest Spread, constitutes the Variable Rate for this note. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - This rating is sensitive to a qualifying MBR event, changes in data or model quality, Aetna's counterparty rating or performance, and the assets held in the collateral account. - If a qualifying payment results in a loss of principal, Fitch will downgrade the notes to reflect an effective default. If subsequent Milliman Reset Reports show a significant deterioration in Scenario Modeled Attachment Probabilities, Fitch may downgrade the notes. - The notes may be downgraded if Aetna's ratings or the collateral assets are downgraded to a level consistent with the implied rating of the medical benefit ratio catastrophe risk. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - An upgrade of the notes is unlikely under the weakest link approach. The implied rating of the catastrophe event cannot exceed the current monitored credit rating of Aetna or that of collateral assets. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS The rating assigned to the notes considers the Long-Term (LT) IDR of ALIC based on its commitment to pay the premium payment. A change in the LT IDR may result in a change in the notes' rating based on Fitch's Insurance-Linked Securities Criteria which uses a weakest link approach to derive the rating assignment. VITALITY RE XVI: Fitch Affirms BB- Rating on Ser. 2025 Cl. C Notes ------------------------------------------------------------------ Fitch Ratings affirms the ratings of the Series 2025 Principal-At-Risk Variable Rate Notes issued by Vitality Re XVI Limited (Vitality Re XVI), a Cayman Islands exempted company licensed as a Class C insurer. Entity/Debt Rating Prior ----------- ------ ----- Vitality Re XVI Limited Series 2025, Class A Notes Principal-at-Risk Variable Rate Notes due January 8, 2029 92849FAA6 LT BBB+sf Affirmed BBB+sf Series 2025, Class B Principal-at-Risk Variable Rate Notes due January 8, 2029 92849FAB4 LT BB+sf Affirmed BB+sf Series 2025, Class C Principal-at-Risk Variable Rate Notes due January 8, 2029 92849FAC2 LT BB-sf Affirmed BB-sf All classes of notes have a scheduled termination date of Jan. 8, 2029 and a Final Extended Redemption Date of Jan. 8, 2030. The principal amount of the Class A Notes is $160 million, the Class B Notes is $60 million, and the Class C Notes is $30 million. The notes do not amortize. The Interest Spread for the Class A Notes is 1.75%, that of the Class B Notes is 2.25%, and that of the Class C Notes is 3.75 %. Transaction Summary The Series 2025 Notes (Class A, Class B, and Class C) provide collateralized, multiyear, indemnity-based annual aggregate XoL reinsurance protection to Health Re, Inc., a Vermont domiciled special purpose financial insurance company wholly owned by Aetna Inc. (Aetna). Health Re assumes a quota share of certain commercial group health insurance policies (the Covered Business) underwritten by Aetna Life Insurance Company (ALIC). Aetna is wholly owned by CVS Health Corporation (CVS Health). The Covered Business ceded to Health Re (for which Vitality Re XVI will provide XoL coverage) primarily consists of commercial insured accident and health business, namely Preferred Provider Organization (PPO), Point of Service (POS) and Indemnity products, directly written by ALIC. These are reportable in ALIC's statutory annual statements as Accident and Health Group except for the Excluded Risks. Each class of notes is "principal-at-risk," meaning a principal loss will occur if the Covered Business's medical benefit ratio (MBR) exceeds a predetermined attachment (MBR Attachment), set at inception and reset annually during the second, third and fourth Annual Risk Periods. KEY RATING DRIVERS The ratings are based on the weakest link of the following key rating drivers: i) medical benefit ratio excess-of-loss (XoL) risk assessment; ii) the Issuer Default Rating (IDR) of ceding insurer; and iii) the credit quality of the permitted investments. Fitch believes the risk assessment of the medical benefit ratio XoL presents the greatest risk. Medical Benefit Ratio (MBR) XoL Risk Assessment This is second of four Annual Risk Periods, each running from Jan. 1 to Dec. 31. Milliman, Inc. (Milliman) acting as the Reset Agent, delivered a Reset Report "Updated Health Industry Exposure Data and the Updated Aetna Exposure Data." For each Annual Risk Period, the MBR XoL Attachment will be updated to maintain the modeled attachment probability, which are 5 bp, 51 bp and 164 bp for the Class A, Class B and Class C Notes, respectively. These probabilities of first dollar loss correspond to 'bbb+' for Class A, 'bb+' for Class B, and 'bb-' for Class C, according to Fitch's ILS Calibration Matrix. The Reset Report states the Updated MBR XoL Attachment for the Annual Risk Period of Jan. 1, 2026 through Dec. 31, 2026 will be 107.57% for Class A, 101.57% for Class B, and 98.53% for Class C. Prior attachments were 106%, 100% and 97%, respectively. Fitch notes the highest annual MBR (since 2025) was 90.8% in 2021 and the most recent annual MBR, from Oct. 1, 2024 to Sept. 30, 2025, was 96.3%. Fitch's qualitatively reviewed sensitivity analysis generally showed a one- to two-rating downgrade possibility under adverse conditions. IDR of Ceding Insurer Health Re is responsible for the payment of risk premiums to support the interest spread of the notes. Fitch has a privately monitored rating of Health Re and its credit rating is linked to ALIC (IDR: 'A-', Outlook Negative). Health Re's existing capital is around $225 million. Health Re has established a Premium Reserve Account in the amount of four quarters of anticipated premiums under the XoL Agreements with Vitality Re XVI. Health Re has a Keep Well Agreement with Aetna. Under the agreement, any losses above the Exhaustion MBR revert to Aetna. Fitch considers Aetna's standalone business profile to be very strong, supported by its most favorable competitive positioning and diversification, and favorable business risk profile relative to peers. Despite weakened operating performance, Fitch believes Aetna's product development capacities and provider network, which is supported by its large enrollment base and strong contracting capabilities, are key competitive strengths. A parental capital contribution was required to sustain its target combined RBC ratio of roughly 260%-265% of the company action level. Credit Quality of the Permitted Investments The proceeds of the Series 2025 Notes will be deposited into a collateral account at Bank of New York Mellon (IDR, AA/Stable) and are invested in Permitted Investments subject to availability according to the following priority: i) U.S. dollar denominated Money Market Funds (rated AAA and certain other characteristics) or ii) cash. Any nominal yield produced by these investments, in addition to the Interest Spread, constitutes the Variable Rate for this note. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - This rating is sensitive to a qualifying MBR event, changes in data or model quality, Aetna's counterparty rating or performance, and the assets held in the collateral account. - If a qualifying payment results in a loss of principal, Fitch will downgrade the notes to reflect an effective default. If subsequent Milliman Reset Reports show a significant deterioration in Scenario Modeled Attachment Probabilities, Fitch may downgrade the notes. - The notes may be downgraded if Aetna's ratings or the collateral assets are downgraded to a level consistent with the implied rating of the medical benefit ratio catastrophe risk. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - An upgrade of the notes is unlikely under the weakest link approach. The implied rating of the catastrophe event cannot exceed the current monitored credit rating of Aetna or that of collateral assets. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS The rating assigned to the notes considers the Long-Term (LT) IDR of ALIC based on its commitment to pay the premium payment. A change in the LT IDR may result in a change in the notes' rating based on Fitch's Insurance-Linked Securities Criteria which uses a weakest link approach to derive the rating assignment. VOYA CLO 2025-5: Fitch Gives BB-(EXP) Rating to Class E Debt ------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Voya CLO 2025-5, Ltd. RATING ACTIONS Entity/Debt Rating Voya CLO 2025-5 Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C-1 LT A(EXP)sf Expected Rating C-2 LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Voya CLO 2025-5, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.49 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.08% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 41.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis 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-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, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. WFRBS COMMERCIAL 2014-C22: Moody's Cuts Rating on B Certs to Ba3 ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on three classes in WFRBS Commercial Mortgage Trust 2014-C22, Commercial Mortgage Pass-Through Certificates, Series 2014-C22 as follows: Cl. A-S, Downgraded to Baa1 (sf); previously on May 21, 2025 Downgraded to A1 (sf) Cl. B, Downgraded to Ba3 (sf); previously on May 21, 2025 Downgraded to Baa3 (sf) Cl. C, Downgraded to Caa1 (sf); previously on May 21, 2025 Downgraded to B1 (sf) RATINGS RATIONALE The ratings on three P&I classes, Cl. A-S, Cl. B and Cl. C, were downgraded primarily due to the potential for higher losses and increased interest shortfall risk, driven by the significant exposure to loans in special servicing. All six of the remaining loans are in special servicing, of which five loans (89% of the pool) are more than one month delinquent on their monthly debt service payments. Two of the top three specially serviced loans, Bank of America Plaza (37% of the pool) and Stamford Plaza Portfolio (22%), are secured by office properties located in struggling office markets and have experienced significant declines in value since securitization. The three largest specially serviced loans (a combined 87% of the pool) have been deemed non-recoverable or have appraisal reductions of 25% or higher of their outstanding loan balance. As a result, interest shortfalls impacted up to Cl. B as of the January 2026 remittance statement and the outstanding classes face increased risk of interest shortfalls and higher potential losses if the outstanding loans remain or become further delinquent. There are also outstanding cumulative outstanding advances (P&I, T&I, other expenses and unaccrued unpaid advance interest) of $15.3 million on the 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. Moody's rating action reflects a base expected loss of 48.9% of the current pooled balance, compared to 43.1% at Moody's last reviews. Moody's base expected loss plus realized losses is now 15.0% of the original pooled balance, compared to 13.7% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since all remaining loans are in special servicing. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimate 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. 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 a significant 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 loans or interest shortfalls. DEAL PERFORMANCE As of the January 2026 distribution date, the transaction's aggregate certificate balance has decreased by 72.7% to $405.6 million from $1.49 billion at securitization. The certificates are collateralized by six remaining mortgage loans, and all loans are in specially servicing and have passed their original maturity dates. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $25.5 million (for an average loss severity of 58%). As of the January 2026 remittance statement cumulative interest shortfalls were $11.2 million and impact up to Cl. B. Moody's anticipates interest shortfalls will continue and may increase because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, non-recoverable determinations, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The largest specially serviced loan is the Bank of America Plaza Loan ($150.0 million – 37.0% of the pool), which represents a pari passu portion of a $400 million mortgage loan. The loan is secured by a 55-story, 1.43 million square foot (SF), Class A office tower located in downtown Los Angeles, California. The loan transferred to special servicing in July 2024 and passed its original September 2024 maturity date. The property was 67% leased as of September 2025, compared to 86% in December 2023 and 90% at securitization. A December 2024 appraisal valued the property 65% below the securitization value and 47% below the outstanding loan balance and the servicer recognized an appraisal reduction of 56% of the current loan balance as of the January 2026 remittance date. While the loan reported an in-place NOI DSCR above 2.25X as of September 2025 (based on interest-only payments at a 4.1%) interest rate, the loan is cash-managed and last paid through its April 2025 payment date. The original loan sponsor is Brookfield Office Properties Inc. and the original guarantor of certain nonrecourse carveouts is Brookfield DTLA Holdings LLC, which has previously reported defaults and sales on other office properties in Downtown Los Angeles. Servicer commentary indicates the property and note are actively being marketed for sale. Due to the higher interest rate environment and weak Los Angeles office market fundamentals, Moody's anticipates a significant loss on this loan. The second largest specially serviced loan is the Columbus Square Portfolio Loan ($111.9 million – 27.6% of the pool), which represents a pari passu portion of a $358.1 million mortgage loan. The loan is secured by five mixed-use buildings containing approximately 500,000 SF and located on the Upper West Side in New York City. The property contains 31 condominium units at 775, 795, 805, 808 Columbus Avenue and 801 Amsterdam Avenue, a retail component, which contains approximately 276,000 SF and three parking garages. The retail component is anchored by Whole Foods. As of March 2025, the property was 99% leased, compared to 94% in December 2021 and 96% at securitization. The property cash flow has been stable since securitization and the loan has a reported NOI DSCR of approximately 1.18X as of March 2025. The loan previously transferred to special servicing in November 2023 for imminent maturity default and was returned to the master servicer in June 2024 after receiving a three-year maturity extension with the extended maturity date in August 2027. However, the loan transferred back to special servicing in September 2025 due to various defaults relating to the lockbox and loan payments, which stem from liens asserted by the condominium association that controls the development surrounding the collateral and additional defaults exist relating to the failure to replace a guarantor. Special Servicer commentary indicates they are dual tracking discussions with the borrower and foreclosure. As of the January 2026 remittance date, the loan has amortized by 10% since securitization and was last paid through its July 2025 payment date. An updated appraisal has not yet been reported, and the servicer applied a 25% appraisal reduction as of the January 2026 remittance date. The third largest specially serviced loan is the Stamford Plaza Portfolio Loan ($89.7 million – 22.1% of the pool), which represents a pari passu portion of a $242.2 million senior mortgage loan. The property is also encumbered by $227.2 million of mezzanine financing. The loan is secured by a four-building office complex representing approximately 982,500 SF and located in Stamford, Connecticut. The loan has been in special servicing since September 2024 after failing to pay off at maturity. As of June 2025, the portfolio was 68% occupied, compared to 66% in December 2022, 64% as of December 2021, and 88% at securitization. The portfolio's cash flow has been distressed since 2018 due to lower occupancy and the loan's actual reported NOI DSCR has been below 1.00X since 2019. The portfolio's year-end 2024 NOI has declined over 50% since securitization and the loan is actively under cash management with all property cash flow being controlled by the lender. An October 2024 appraisal valued the property 65% below the securitization value and 38% below the outstanding loan balance and the loan has been deemed non-recoverable by the master servicer. As of January 2026 remittance, this loan was last paid through July 2025. Servicer commentary indicates they are dual tracking workout options with foreclosure and a receiver has been implemented. Due to the weak office fundamental performance in the CBD of Stamford, CT and the distressed performance of this loan, Moody's anticipated a significant loss on this loan. The fourth largest specially serviced loan is the Offices at Broadway Station Loan ($46.8 million – 11.5% of the pool), which is secured by a 318,053 SF office property located in Denver, Colorado. The loan transferred to special servicing in April 2024 and passed its original August 2024 maturity date. As of March 2025, the property was 82% leased, compared to 63% in 2022 and 95% at securitization. Servicer commentary indicates a loan modification closed with an effective date in December 2025 which extended the maturity date to August 2026. As a result, the loan was current on its debt service as of the January 2026 remittance statement. The remaining two specially serviced loans (each less than 1.3% of the pool balance) are secured by a mix of property types, of which two loans have experienced significant credit issues, and both are significantly delinquent on debt service payments. Moody's estimates an aggregate $198 million loss for the specially serviced loans (a 49% expected loss on average). [] Fitch Takes Various Rating Actions on 36 FFELP SLABS ------------------------------------------------------- Fitch Ratings, on Jan. 29, 2026, affirmed 32 Federal Family Education Loan (FFELP) Student Loan ABS (SLABS) ratings from 16 transactions at their current levels. The Rating Outlooks on the class A and B notes of SLM Student Loan Trust 2012-1, 2012-2 and 2014-1 have been revised to Negative from Stable. The Outlooks remain Stable for the remaining classes of notes affirmed at their current levels. Fitch has also downgraded four FFELP SLABS ratings from two transactions. The class A and B notes of SLM Student Loan Trust 2012-6 and 2012-7 were downgraded to 'Csf' from 'CCCsf' for class A and from 'Bsf' for class B. RATING ACTIONS Entity/Debt Rating Prior ----------- ------ ----- SLM Student Loan Trust 2011-3 A 78445UAA0 LT AA+sf Affirmed AA+sf B 78445UAD4 LT AA+sf Affirmed AA+sf SLM Student Loan Trust 2012-5 A-3 78447EAC0 LT AA+sf Affirmed AA+sf B 78447EAD8 LT Asf Affirmed Asf SLM Student Loan Trust 2012-7 A-3 78447KAC6 LT Csf Downgrade CCCsf B 78447KAD4 LT Csf Downgrade Bsf SLM Student Loan Trust 2012-6 A-3 78447GAC5 LT Csf Downgrade CCCsf B 78447GAD3 LT Csf Downgrade Bsf SLM Student Loan Trust 2013-3 A3 78447YAC6 LT AA+sf Affirmed AA+sf B 78447YAD4 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2012-1 A-3 78446WAC1 LT Bsf Affirmed Bsf B 78446WAD9 LT Bsf Affirmed Bsf SLM Student Loan Trust 2012-4 A 78445VAA8 LT AA+sf Affirmed AA+sf B 78445VAB6 LT AA+sf Affirmed AA+sf SLM Student Loan Trust 2013-2 A 78446CAA9 LT AA+sf Affirmed AA+sf B 78446CAB7 LT Bsf Affirmed Bsf SLM Student Loan Trust 2014-1 A-3 78448EAC9 LT Bsf Affirmed Bsf B 78448EAD7 LT Bsf Affirmed Bsf SLM Student Loan Trust 2012-8 A 78447LAA8 LT AA+sf Affirmed AA+sf B 78447LAB6 LT AA+sf Affirmed AA+sf SLM Student Loan Trust 2013-5 A-3 78448BA LT AA+sf Affirmed AA+sf B 78448BAD3 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2010-1 A 78445XAA4 LT Dsf Affirmed Dsf B 78445XAB2 LT Dsf Affirmed Dsf SLM Student Loan Trust 2013-1 A-3 78447MAC2 LT AA+sf Affirmed AA+sf B 78447MAD0 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2012-3 A 78447AAA2 LT Asf Affirmed Asf B 78447AAB0 LT BBBsf Affirmed BBBsf SLM Student Loan Trust 2014-2 A-3 78448GAC4 LT AA+sf Affirmed AA+sf B 78448GAD2 LT Asf Affirmed Asf SLM Student Loan Trust 2013-4 A 78448AAA1 LT AA+sf Affirmed AA+sf B 78448AAD5 LT AAsf Affirmed AAsf SLM Student Loan Trust 2013-6 A-3 78448CAG4 LT AA+sf Affirmed AA+sf B 78448CAH2 LT Asf Affirmed Asf SLM Student Loan Trust 2012-2 A 78446YAA1 LT Bsf Affirmed Bsf B 78446YAB9 LT Bsf Affirmed Bsf Transaction Summary In cash flow modeling for SLM 2012-6 and 2012-7, the class A-3 notes miss their legal final maturity date under Fitch's credit and maturity stresses. A default of the senior class is expected to result in interest payments being diverted away from class B, which would cause that note to default as well. The downgrade to 'Csf' from 'CCCsf' reflects an imminent default for the class A notes, expected on the upcoming maturity date of May 26, 2026. The senior classes have pool factors of 15.26% and 18.70%. The class A notes have outstanding balances of USD151,113,947.43 and USD193,755,358.99, respectively. For SLM 2012-1, 2012-2 and SLM 2014-1 class A and B notes, the change in Outlook to Negative from Stable reflects a worsening maturity risk for the notes observed in this review. The Negative Outlook on these classes reflects Fitch's expectations of further deterioration in the model for future reviews. KEY RATING DRIVERS U.S. Sovereign: The trust collateral comprises 100% FFELP loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. All notes are capped at the U.S. sovereign rating and will likely move in tandem with the U.S. sovereign rating given the reinsurance and special allowance payments (SAP) provided by the ED. Fitch currently rates the U.S. sovereign 'AA+'/Stable. Collateral Performance: For all transactions, Fitch applied the standard default timing curve in its credit stress cash flow analysis. In addition, the claim reject rate was assumed to be 0.25% in the base case and 2.00% in the 'AA+' case for cash flow modeling. Fitch is maintaining the sustainable constant default rates (sCDRs) for all transactions within 3.00% to 7.00%, likewise the sustainable constant prepayment rates (sCPRs) are maintained within 8.50% to 12.00%. The 'AA+sf' default rates range from approximately 51.63% to 100.00%, and the 'Bsf' default rates range from 17.25% to 48.75%. The TTM levels of deferment, forbearance and income-based repayment (prior to adjustment) range from 2.37% to 6.88%, 4.71% to 16.41%, and 21.03% to 28.58%, respectively, and are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefits range from 0.03% to 0.24%, based on information provided by the sponsor. Basis and Interest Rate Risks: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for special allowance payments (SAPs) and the securities. Fitch applies its standard basis and interest rate stresses to these transactions as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread where available and for the class A notes, subordination provided by the class B notes where available. As of the most recent distribution, reported total parity ratios range from 101.01% to 108.99%. Liquidity support is provided by reserve accounts that are at their floors for all transactions. All transactions are releasing cash as of the latest distribution except for SLM 2010-1, 2011-3, 2012-2, 2012-4, 2012-8 and 2014-1. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an adequate servicer due to its extensive track record as one of the largest servicers of FFELP loans. Fitch was notified that Navient entered into a binding letter of intent on Jan. 29, 2024, that will transition the student loan servicing to MOHELA, a student loan servicer for government and commercial enterprises. The transition to MOHELA has not resulted in any interruption to the servicing activities. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 50% over the base case. The credit stress sensitivity is viewed by increasing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by increasing remaining term and IBR usage and decreasing prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade No upgrade credit or maturity stress sensitivity is provided for the 'AA+sf' rated tranches of notes as they are at their highest possible current and model-implied ratings. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% over the base case. The credit stress sensitivity is viewed by decreasing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by decreasing remaining term and IBR usage and increasing prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. For the notes affirmed at 'Bsf' and below, the current ratings are most sensitive to Fitch's maturity risk scenario. Key factors that may lead to positive rating action are sustained increases in payment rate and a material reduction in weighted average remaining loan term. A material increase of CE from lower defaults and positive excess spread, given favorable basis spread conditions, is a secondary factor that may lead to positive rating action. [] Moody's Upgrades Ratings on 44 Bonds from 7 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 44 bonds from seven US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2021-INV1 Cl. B, Upgraded to Aa3 (sf); previously on Jul 11, 2024 Upgraded to A1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 11, 2024 Upgraded to Aa3 (sf) Cl. B-2-A, Upgraded to Aa2 (sf); previously on Jul 11, 2024 Upgraded to Aa3 (sf) Cl. B-2-X*, Upgraded to Aa2 (sf); previously on Jul 11, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Apr 21, 2025 Upgraded to A2 (sf) Cl. B-3-A, Upgraded to A1 (sf); previously on Apr 21, 2025 Upgraded to A2 (sf) Cl. B-3-X*, Upgraded to A1 (sf); previously on Apr 21, 2025 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Apr 21, 2025 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Apr 21, 2025 Upgraded to Ba2 (sf) Cl. B-X*, Upgraded to Aa3 (sf); previously on Apr 21, 2025 Upgraded to A1 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-HP1 Cl. B-1, Upgraded to Aa1 (sf); previously on Jul 11, 2024 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Apr 21, 2025 Upgraded to A3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Apr 21, 2025 Upgraded to Ba3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-INV1 Cl. B-3, Upgraded to A2 (sf); previously on Apr 21, 2025 Upgraded to A3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Apr 21, 2025 Upgraded to Ba2 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Apr 21, 2025 Upgraded to Baa3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-LTV1 Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 11, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Jul 11, 2024 Upgraded to A2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2023-PJ2 CL. A-1-X*, Upgraded to Aaa (sf); previously on Feb 28, 2023 Definitive Rating Assigned Aa1 (sf) CL. A-23, Upgraded to Aaa (sf); previously on Jul 11, 2024 Upgraded to Aa1 (sf) CL. A-23-X*, Upgraded to Aaa (sf); previously on Jul 11, 2024 Upgraded to Aa1 (sf) CL. A-24, Upgraded to Aaa (sf); previously on Jul 11, 2024 Upgraded to Aa1 (sf) CL. A-X*, Upgraded to Aaa (sf); previously on Feb 28, 2023 Definitive Rating Assigned Aa1 (sf) Issuer: GS Mortgage-Backed Securities Trust 2025-PJ4 Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 30, 2025 Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Apr 30, 2025 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Apr 30, 2025 Definitive Rating Assigned A1 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Apr 30, 2025 Definitive Rating Assigned A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Apr 30, 2025 Definitive Rating Assigned Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Apr 30, 2025 Definitive Rating Assigned Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Apr 30, 2025 Definitive Rating Assigned B1 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Apr 30, 2025 Definitive Rating Assigned Aa2 (sf) Cl. B-X-2*, Upgraded to Aa3 (sf); previously on Apr 30, 2025 Definitive Rating Assigned A1 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-6 Cl. A-9, Upgraded to Aaa (sf); previously on Jul 31, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Upgraded to Aaa (sf); previously on Jul 31, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Upgraded to Aaa (sf); previously on Jul 31, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Jul 31, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Jul 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Jul 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Jul 31, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Jul 31, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Jul 31, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Jul 31, 2024 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Jul 31, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Jul 31, 2024 Definitive Rating Assigned Ba3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under .03% and a small percentage of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.35x for the tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses on these bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in 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 of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. 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