260308.mbx

260308.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, March 8, 2026, Vol. 30, No. 67 Headlines 720 EAST CLO IX: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes A&D MORTGAGE 2026-NQM2: Fitch Assigns 'BB(EXP)' Rating on B1 Certs A10 SACM 2021-LRMR: DBRS Confirms B Rating on Class F Certs AB BSL CLO 2: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes AGL CLO 10: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes AMSR TRUST 2023-SFR1: DBRS Confirms 'BB' Rating on Class F Certs AMUR EQUIPMENT XIV: Fitch Affirms BB on Ser. 2024-2 Class E Notes ANCHORAGE CREDIT 14: Moody's Ups Rating on $38MM Cl. E Notes to Ba1 APIDOS CLO XXXI: Moody's Assigns B3 Rating to $550,000 F-R2 Notes ASPIRE MORTGAGE 2026-1: Fitch Assigns 'B(EXP)' Rating on B-2 Certs AVANT LOANS 2026-REV1: Fitch Assigns 'Bsf' Rating on Class F Notes AVIS BUDGET 2026-1: Moody's Assigns (P)Ba2 Rating to Class D Notes AVIS BUDGET 2026-2: Moody's Assigns (P)Ba2 Rating to Class D Notes BAIN CAPITAL 2021-4: S&P Affirms BB+ (sf) Rating on Class D Debt BAIN CAPITAL 2024-1: Fitch Assigns 'BB-(EXP)sf' Rating on E-R Notes BALLYROCK CLO 31: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes BANK 2018-BNK14: DBRS Cuts Rating on 4 Cert. Classes to CCC BANK5 2026-5YR20: Fitch Assigns B-sf Final Rating on Cl. F-RR Certs BARCLAYS MORTGAGE 2026-NQM3: Moody's Assigns B1 Rating to B-2 Certs BARINGS CLO 2023-IV: Fitch Assigns 'BB+sf' Rating on Cl. E-R Notes BARINGS LOAN 3: Fitch Affirms 'BB+sf' Rating on Class E Notes BATTALION CLO 17: Moody's Cuts Rating on $17MM Class E Notes to B1 BENCHMARK 2019-B11: Fitch Affirms 'Bsf' Rating on Class D Notes BENCHMARK 2026-B42: Fitch Assigns B-(EXP) Rating on Cl. G-RR Certs BENCHMARK 2026-V20: Fitch Assigns 'B-sf' Rating on Cl. F-RR Certs BMARK 2024-V5: Fitch Affirms B-sf Rating on Class G-RR Debt BRANT POINT 2024-3: Fitch Assigns 'BB-(EXP)sf' Rating on E-R Notes BRANT POINT 2024-3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes BSREP COMMERCIAL 2021-DC: Fitch Affirms BB- Rating on Two Tranches BSST 2022-1700: DBRS Confirms C Rating on 3 Cert. Classes BX COMMERCIAL 2026-VLT9: DBRS Assigns BB(low) Rating on Cl. E Certs BX TRUST 2026-CART: Fitch Assigns 'BB-sf' Rating on Class E Certs BX TRUST 2026-OPTM: S&P Assigns Prelim BB (sf) Rating on HRR Certs CARLYLE US 2019-3: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes CARLYLE US 2022-3: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes CARVANA AUTO 2026-P1: S&P Assigns Prelim BB-(sf) Rating on N Notes CEDAR CREST 2022-1: Fitch Affirms 'B-sf' Rating on Class F Notes CHASE HOME 2026-2: DBRS Finalizes B(low) Rating on Class B5 Certs CHASE HOME 2026-2: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs CIFC FUNDING 2014-IV-R: Moody's Cuts Rating on E-R Notes to Caa1 CIFC FUNDING 2017-IV: Moody's Affirms Ba2 Rating on Class D Notes CIFC FUNDING 2022-III: Moody's Assigns Ba3 Rating to Cl. E-R Notes COMM 2013-CCRE13: Fitch Lowers Rating on Three Tranches to 'Dsf' COMM 2014-UBS5: Moody's Cuts Rating on Cl. C Certs to B3 CSTL COMMERCIAL 2026-GATE3: Fitch Gives Bsf Rating to 2 Tranches FS TRUST 2026-HULA: DBRS Gives Prov. BB Rating on Class JRR Certs FS TRUST 2026-ORL: DBRS Finalizes BB(low) Rating on Class E Certs GALAXY 32: S&P Assigns BB- (sf) Rating on Class E-R Notes GCAT TRUST 2026-NQM1: Moody's Assigns Ba3 Rating to Cl. B-1 Certs GLS AUTO 2026-1: DBRS Finalizes BB Rating on Class E Notes GOLDENTREE LOAN 19: Fitch Assigns 'B+sf' Rating on Class F-R Notes GS MORTGAGE 2026-NQM2: Moody's Assigns B2 Rating to Cl. B-2 Certs GS MORTGAGE 2026-PJ2: DBRS Gives Prov. BB Rating on Class B4 Notes GS MORTGAGE 2026-PJ2: Fitch Assigns B(EXP) Rating on Class B5 Certs GS MORTGAGE-BACKED 2026-DSC1: S&P Rates Class B-2 Certs 'B (sf)' GSF 2025-AXMF1: Fitch Affirms 'BB-(EXP)sf' Rating on Cl. E-RR Notes HOMES 2026-AFC1: S&P Assigns B (sf) Rating on Class B-2 Notes HPS LOAN 11-2017: Moody's Cuts Rating on $21.5MM Cl. E Notes to B2 HUDSON'S BAY 2015-HBS: S&P Affirms CCC- (sf) Rating on E-10 Notes HUNTINGTON BANK 2026-1: Moody's Assigns (P)B3 Rating to D Notes INVESCO US 2023-1: Fitch Assigns 'BB+sf' Rating on Class E-R Notes JP MORGAN 2026-2: DBRS Finalizes BB Rating on Class B4 Certs JP MORGAN 2026-2: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs JP MORGAN 2026-ACES1: S&P Assigns Prelim. 'B-' Rating on B-2 Notes JP MORGAN 2026-VIS1: S&P Assigns BB-(sf) Rating on Cl. B-1 Certs JPMBB 2014-C19: Fitch Hikes Rating on Class F Debt to 'Bsf' KKR CLO 17: Moody's Cuts Rating on $33.6MM Class E-R Notes to B1 KKR CLO 18: Fitch Affirms 'BB-sf' Rating on Class E-R2 Notes KKR STATIC I: Fitch Affirms 'BB+sf' Rating on Class E-R2 Notes LENDINGCLUB 2026-P1: Fitch Assigns 'B+sf' Rating on Class F Notes LEX TRUST 2026-450: Moody's Assigns Ba2 Rating to Cl. E Certs MFA 2026-NQM1: Fitch Assigns 'B-(EXP)sf' Rating on Class B-2 Notes MLTI TRUST 2026-SF75: Fitch Assigns 'B(EXP)sf' Rating on HRR Certs MORGAN STANLEY 2014-C18: DBRS Confirms C Rating on Class F Certs MORGAN STANLEY 2026-INV1: Moody's Assigns B3 Rating to B-5 Certs MOUNTAIN VIEW 2016-1: S&P Assigns CCC+(sf) Rating on Cl. E-R Notes MOUNTAIN VIEW XIV: Moody's Cuts Rating on $3MM F-R Notes to Caa1 MSRW 2026-CHICOS: DBRS Finalizes B Rating on Class HRR Certs NATIXIS COMMERCIAL 2017-75B: DBRS Cuts Rating on 2 Tranches to B NEUBERGER BERMAN 50: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes NEWARK BSL 2: Moody's Affirms Ba3 Rating on $20MM Class D Notes NMEF FUNDING 2026-A: Fitch Assigns 'BBsf' Rating on Class E Notes NXPA RE-REMIC 2026-FRR1: DBRS Gives Prov. B(low) Rating on D Certs OBX TRUST 2026-HE1: DBRS Gives Prov. B(low) Rating on Cl. B2 Notes OCEANVIEW MORTGAGE 2026-INV1: DBRS Gives B(low) Rating on B5 Notes OPORTUN ISSUANCE 2021-C: DBRS Confirms BB(high) Rating on D Notes PMT LOAN 2026-CNF2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs PMT LOAN 2026-J2: DBRS Gives Prov. B(low) Rating on B5 Notes POINT SECURITIZATION 2026-1: DBRS Finalizes B Rating on B2 Notes PRET 2026-RPL1: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Notes RCKT MORTGAGE 2026-CES2: Fitch Gives 'B(EXP)' Rating on 5 Tranches REALT 2025-1: DBRS Confirms B Rating on Class G Certs RKTL 2026-1: Fitch Assigns 'BBsf' Rating on Class E Notes SCULPTPOR CLO XXVII: Fitch Assigns 'BB-sf' Rating on Cl. E-RR Notes SEQUOIA MORTGAGE 2026-2: Fitch Assigns 'Bsf' Rating on Cl. B5 Certs SEQUOIA MORTGAGE 2026-3: Fitch Rates Class B4 Certs 'BB+sf' SFO COMMERCIAL 2021-555: DBRS Confirms B(low) Rating on Cl. E Certs SHACKLETON CLO 2014-V-R: Moody's Cuts $9.5MM F Notes Rating to Ca SOUND POINT XXI: Moody's Cuts Rating on $22.5MM Cl. D Notes to B2 SPGN TRUST 2026-TFLM: Fitch Assigns 'BB-sf' Rating on Cl. HRR Certs TOWD POINT 2026-CES2: DBRS Finalizes B(high) Rating on 5 Classes TPR FUNDING 2022-1: DBRS Confirms B(low) Rating on E Advances TRINITAS CLO XXXV: Moody's Assigns (P)B3 Rating to $312,500 F Notes TRUPS FINANCIALS 2026-1: Moody's Assigns Ba2 Rating to Cl. D Notes TSTAT 2022-1: Fitch Assigns 'BB+sf' Rating on Class E-R-3 Notes VISTA POINT 2026-CES1: DBRS Gives Prov. B Rating on B-2 Notes VOYA CLO 2014-1: S&P Lowers Class E-R2 Notes Rating to 'D' (sf) WELLS FARGO 2025-VTT: DBRS Confirms B Rating on Class HRR Certs WISE CLO 2023-2: Moody's Assigns Ba1 Rating to $250,000 D-R Notes [] Fitch Takes Actions on 11 Pre-2009 SLM & 2 Navient Trusts [] Moody's Hikes Ratings on 28 Bonds From 4 US RMBS Deals [] Moody's Takes Rating Action on 3 Bonds from 3 US RMBS Deals [] S&P Takes Various Actions on 74 Classes From 12 US RMBS Deals ********* 720 EAST CLO IX: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to 720 East CLO IX Ltd./720 East CLO IX 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 Northwestern Mutual Investment Management Co. LLC. The preliminary ratings are based on information as of March 3, 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 720 East CLO IX Ltd./720 East CLO IX LLC Class X, $4.00 million: AAA (sf) Class A-1, $256.00 million: AAA (sf) Class A-2, $12.00 million: AAA (sf) Class B, $36.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB- (sf) Class D-2 (deferrable). $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $27.22 million: NR NR--Not rated. A&D MORTGAGE 2026-NQM2: Fitch Assigns 'BB(EXP)' Rating on B1 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to A&D Mortgage Trust 2026-NQM2 (ADMT 2026-NQM2). Entity/Debt Rating ----------- ------ ADMT 2026-NQM2 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT NR(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 1,793 loans with a balance of $602,705,047.63 as of the cutoff date. This represents the 17th Fitch-rated ADMT transaction and the first Fitch-rated ADMT transaction of 2026. The transaction is expected to close on Feb. 27, 2026. The certificates are secured by mortgage loans originated mainly by A&D Mortgage LLC (88.3%), with the remainder originated by various third-party entities, each contributing less than 10%. Fitch considers ADMT to be an 'Acceptable' originator. The servicer of the loans is A&D Mortgage (RPS3/Stable). The master servicer is Rocket Mortgage LLC (RMS1-/Stable). Of the loans, 22.01% are designated as nonqualified mortgage (non-QM) loans, 29.6% safe harbor QM (SHQM) 3.41% are rebuttable presumption, and the remaining 44.98% are exempt from QM because they are investor loans. The class A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 certificates are fixed rate, capped at the net weighted average coupon (WAC) and have a step-up feature. The class M-1 certificate is based on the lower of a fixed rate or the net WAC rate for the related distribution date. The class B-1 coupon will be determined at the time of pricing; it will be a per-annum rate equal to either the net WAC or a fixed rate coupon that is capped at the net WAC. Fitch was not asked to rate the B-2 or B-3 classes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality (Mixed) RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of 1,793 performing, fixed-rate and adjustable rate fully amortizing loans, some of which have interest-only periods. It is secured by loans on primarily one- to four-family residential properties, including attached and detached single family homes, planned unit developments (PUDs), condos, townhouses, two- to four-unit multifamily properties, mixed use, manufactured housing and 5-10 unit multi-family homes. totaling $602,705,047.63. The majority of the loans, 95.2%, are first liens while the remaining 4.8% are second liens. The loans are exempt from QM, safe harbor QM, rebuttable presumption QM or NQM loans, with the majority of the loans underwritten using 12-24 months of bank statements or DSCR-based guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned at an average of five months. The pool has a weighted average (WA) original FICO score of 747 which is indicative of high credit quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 68.56%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 75.53%. These strong collateral attributes are referenced in its analysis. This transaction has a Final PD of 43.09% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 46.51%. The expected loss in the 'AAAsf' rating stress is 20.04%. Structural Analysis (Mixed): Modified Sequential Structure with Limited Advancing of Delinquent P&I The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially first to the A-1A, A-1B, A-1FCF and A-1LCF classes, and then A-2 and A-3 until they are reduced to zero. The class A certificates have a step-up coupon feature whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. This step-up feature will occur on or after the distribution date in March 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 classes on and after March 2030. Specifically, on any distribution date occurring on or after the distribution date in March 2030 on which the aggregate unpaid cap carryover amount for class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1A, A-1B, A-1FCF and A-1LCF certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 and M-1 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after March 2030, since classes A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. Losses are allocated reverse sequentially. Once the A-2 class is written off, the losses will write down A-1B first and once A-1B is written off A-1A will take losses. Operational Risk Analysis (Positive) Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either A or B. Counterparty and Legal Analysis (Neutral) Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects the transaction to be fully de-linked and structured as a bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral) Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to this transaction and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 37.40% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Mission Global LLC, Maxwell Diligence Solutions, LLC and Clarifi. The third-party due diligence described in Form 15E focused on credit, compliance and valuations. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis due to the due diligence findings. Based on the results of the 100% due diligence performed on the pool, and loans receiving a grade of A or B, the overall expected losses were reduced. Fitch applies a 5-bps z score reduction for each loan that receives a grade of A or B. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Mission Global, LLC, Clarifi and Maxwell Diligence Solutions, LLC to perform the review. Loans reviewed under these engagements were given compliance, credit, and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. A10 SACM 2021-LRMR: DBRS Confirms B Rating on Class F Certs ----------------------------------------------------------- DBRS Limited confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-LRMR issued by A10 SACM 2021-LRMR as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) The trends on Classes E and F were changed to Negative from Stable. All other trends are Stable. The underlying loan for this transaction is secured by the borrower's fee-simple and leasehold interests in Larimer Square (the Property), a 246,000-square-foot (sf) mixed-use property comprising retail and office components in Denver. After purchasing the property in 2020, the sponsor planned a substantial redevelopment of the buildings, including a sizable retenanting and lease-up of the property. Initial loan proceeds of $61.0 million, along with $27.7 million future funding and $30.9 million of future sponsor equity, were used to cover capital improvements and accretive leasing costs. While the borrower continues to make meaningful progress toward its business plan, having leased the property to 75.0% as of September 2025, and appears committed to achieving property stabilization through additional equity contributions, there have been significant delays in the business plan exacerbated by softening market conditions, which has limited net cash flow (NCF) growth. Given the change in market dynamics, Morningstar DBRS believes it is highly unlikely that the borrower will be able to lease up the remaining vacant space and stabilize the property in line with the original contemplated occupancy rate of 92.0% prior to final maturity in July 2027, implying a lower stabilized value and elevated refinance risk. As such, Morningstar DBRS updated its stabilized value, incorporating a higher capitalization rate, resulting in a loan-to-value ratio (LTV) of 87.5% based on the fully funded whole-loan balance of $74.5 million. Should the borrower fail to achieve its business plan, the trust would be exposed to increased credit risks, particularly towards the bottom of the capital stack, supporting the trend changes to Negative with this review. The four-year loan paid interest only (IO) through September 2024, at which point the loan began to amortize after failing to achieve certain performance thresholds. The borrower was granted the first of two 12-month extension options in July 2025, despite failing the requirements; however, the lender required a $4.0 million principal repayment and an adjustment of the loan's rate from fixed to floating. In addition, future funding slated for capital expenditure of nearly $8.3 million that had not yet been contributed was terminated. The second extension option in July 2026 has no requirements and is solely based on the lender's discretion. Given the borrower's commitment to the project, Morningstar DBRS anticipates the second extension will be granted and will likely include an additional principal curtailment. According to the January 2026 reporting, the current outstanding whole-loan balance was $68.3 million, $3.5 million of which is held outside of the trust, with another $6.2 million of future funding available for tenant improvements and leasing costs. The Property is part of a protected historic district and comprises 26 buildings, including a parking garage on 12 separate real estate tax parcels. Two of the buildings are subject to ground leases. At issuance, the borrower's business plan was to use future funding and future sponsor equity to in order to develop the property into a 24-hour destination for the local population, while catering to office and retail demands. The renovations were initially budgeted at $30.9 million and were to be completed in three phases. Phase I consisted of repairs to the roof and facades on the majority of the 26 buildings, while Phase II consisted of the redevelopment of several buildings to repurpose the space for large office tenant users. Phase III was expected to consist of improvements to the streetscape but is no longer part of the project. In 2024, the borrower increased its capital improvement budget by approximately $22.3 million, which is to be funded entirely out of pocket, because of the increased scope of work associated with improving access to the buildings. The borrower also anticipates receiving $4.4 million in historic tax credits, reducing the net budget amount to $48.8 million. According to several news articles, Phase II is nearing its completion with several notable restaurants and stores having opened over the past 12 months. Morningstar DBRS has reached out to the collateral manager regarding an update on the status of the project; however, as of the date of this press release, no further details have been provided. Based on the September 2025 rent roll, the collateral reported a leased rate of 75.0%, an improvement over the December 2024 figure of 63.1% but still below the targeted stabilized figure of 92.0%. The lease rollover in the next 12 months is minimal, with tenants representing only 6.3% of net rentable area (NRA) having scheduled lease expirations. In the past 12 months, office tenants comprising 11.2% of NRA have signed leases ranging from $25.00 per square foot (psf) to $36.0 psf, compared with the Denver central business district (CBD) average asking rental rate of $34.90 psf, based on Reis, Inc. (Reis) Q4 2025 data. Retail tenants (2.0% of NRA) signed leases at $40.00 psf to $52.00 psf, which is above Midtown/CBD Denver average asking rental rate of $23.95 psf. While in-place rental rates remain relatively in line with submarket levels, Morningstar DBRS recognizes that submarket fundamentals have weakened since issuance with vacancy rate rising to 32.3% in the office sector and 7.4% for retail, based on Reis Q4 2025 data. At issuance, Morningstar DBRS assumed a stabilized occupancy rate of 90.3% and analyzed office space and retail/restaurant space with rental rates of $35.00 psf and $50.00 psf, respectively. While the NCF generated to date, most recently reported at $1.2 million based on the trailing 12-month financials ended June 30, 2025, has yet to achieve a breakeven debt service coverage ratio, the recent leasing momentum is expected to continue as the borrower executes the planned capital improvement program. As such, performance is expected to improve with updated reporting and as rental abatements burn off. At issuance, Morningstar DBRS derived a stabilized NCF figure of $7.2 million, including significantly below-the-line leasing costs. While it is unlikely the borrower will be able to lease up the vacant space and stabilize the property in line with the originally contemplated business plan, given the change in market dynamics, the borrower appears to be engaged and incentivized in working toward some level of stabilization during the remainder of the fully extended loan term in July 2027, which Morningstar DBRS will continue to monitor. To account for the softening market fundamentals, Morningstar DBRS updated its valuation approach with this review and applied the capitalization rate of 8.50% to the Morningstar DBRS issuance stabilized NCF of $7.2 million. The Morningstar DBRS stabilized value of $85.0 million represents a -46.4% variance from the issuance appraised value of $158.6 million, corresponding to a fully funded whole LTV of 87.5%. Additionally, based on transitional nature of the property and the heavy lift required to stabilize it, Morningstar DBRS decreased its LTV thresholds by 7.5%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. AB BSL CLO 2: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-1-R, B-2-R, C-R, D-1-R, and E-R debt and proposed new class D-2-R debt from AB BSL CLO 2 Ltd./AB BSL CLO 2 LLC, a CLO managed by AB Broadly Syndicated Loan Manager LLC, a subsidiary of AllianceBernstein L.P., that was originally issued in May 2021. The preliminary ratings are based on information as of March 3, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 5, 2026, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A, B-1, B-2, C, D, and E debt and class A loans and assign ratings to the replacement class A-R, B-1-R, B-2-R, C-R, D-1-R, and E-R debt and proposed new class D-2-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement and proposed new debt. According to the proposed supplemental indenture: -- The replacement class A-R, B-1-R, B-2-R, C-R, D-1-R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The non-call period will be extended to March 5, 2028. -- The reinvestment period will be extended to April 15, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to April 15, 2039. -- The target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is July 15, 2026. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- Additional subordinated notes will be issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned AB BSL CLO 2 Ltd./AB BSL CLO 2 LLC Class A-R, $252.00 million: AAA (sf) Class B-1-R, $36.00 million: AA+ (sf) Class B-2-R, $16.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $20.00 million: BBB (sf) Class D-2-R (deferrable), $7.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Other Debt AB BSL CLO 2 Ltd./AB BSL CLO 2 LLC Subordinated notes, $42.885 million: NR NR--Not rated. AGL CLO 10: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 10 Ltd. reset transaction. Entity/Debt Rating ----------- ------ AGL CLO 10, Ltd. X-R2 LT NRsf New Rating A-1-R2 LT NRsf New Rating A-L-R2 LT NRsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1-R2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary AGL CLO 10 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. The transaction originally closed in March 2021 and then refinanced in May 2025. This will be the second refinancing. The CLO's existing notes will be refinanced in whole from proceeds of the new secured notes on Feb. 20, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $499.8 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 23.29, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.47% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.46% 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 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-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, and between less than 'B-sf' and 'BB+sf' for class D-2-R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. For all other classes, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A-sf' for class D-1-R2, and 'BBB+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 AGL CLO 10, 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. AMSR TRUST 2023-SFR1: DBRS Confirms 'BB' Rating on Class F Certs ---------------------------------------------------------------- DBRS, Inc. confirmed the credit ratings on all classes from two U.S. single-family rental transactions as follows: AMSR 2023-SFR1 Trust Single-Family Rental Pass-Through Certificate -- Class A confirmed at AAA (sf) -- Class B confirmed at AA (high) (sf) -- Class C confirmed at AA (low) (sf) -- Class D confirmed at A (low) (sf) -- Class E-1 confirmed at BBB (high) (sf) -- Class E-2 confirmed at BBB (low) (sf) -- Class F confirmed at BB (sf) VINE 2024-SFR1 Trust Single-Family Rental Pass-Through Certificate -- Class A confirmed at AAA (sf) -- Class B confirmed at AAA (sf) -- Class C confirmed at AA (low) (sf) -- Class D confirmed at BBB (high) (sf) -- Class E1 confirmed at BBB (sf) -- Class E2 confirmed at BBB (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings. Morningstar DBRS' credit rating actions are based on the following analytical considerations: -- Key performance measures as reflected in month-over-month changes in vacancy and delinquency, quarterly analysis of the actual expenses, credit enhancement increases since deal inception, and bond paydown factors. Notes: All figures are in U.S. dollars unless otherwise noted. AMUR EQUIPMENT XIV: Fitch Affirms BB on Ser. 2024-2 Class E Notes ----------------------------------------------------------------- Fitch Ratings has taken various rating actions on Amur Equipment Finance Receivables XIV (Series 2024-2) and Amur Equipment Finance Receivables XV (Series 2025-1). Fitch has upgraded the class B notes for 2024-2 and assigned a Stable Rating Outlook. Fitch has revised the Outlooks for the class C notes for 2024-2 and the class B notes for 2025-1 to Positive from Stable. Fitch has affirmed the ratings for the remaining classes. Entity/Debt Rating Prior ----------- ------ ----- Amur Equipment Finance Receivables XIV LLC (Series 2024-2) A-2 03238BAB9 LT AAAsf Affirmed AAAsf B 03238BAC7 LT AAAsf Upgrade AAsf C 03238BAD5 LT Asf Affirmed Asf D 03238BAE3 LT BBBsf Affirmed BBBsf E 03238BAF0 LT BBsf Affirmed BBsf Amur Equipment Finance Receivables XV LLC (Series 2025-1) A-2 03237FAB1 LT AAAsf Affirmed AAAsf B 03237FAC9 LT AAsf Affirmed AAsf C 03237FAD7 LT Asf Affirmed Asf D 03237FAE5 LT BBBsf Affirmed BBBsf E 03237FAF2 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmations and upgrades of the outstanding notes for 2024-2 and 2025-1 reflect loss coverage levels consistent with the initial ratings. The Stable Outlook for all classes reflects Fitch's expectation for loss coverage and credit enhancement (CE) to continue to improve as the transactions amortize. The Positive Outlook revisions reflect Fitch's expectation for potential future upgrades. As of the January 2026 servicer report, current 60+ day delinquencies for 2024-2 and 2025-1 are 2.14% and 0.78%, respectively, and cumulative net losses (CNL) are 1.45% and 0.35%. Due to amortization and deleveraging, CE has continued to increase since close. For 2024-2, CE for the class A, B, C, D, and E notes have increased to 38.41%, 31.80%, 23.50%, 14.69% and 10.72% from 27.85%, 23.35%, 17.70%, 11.70%, and 9.00% at close, respectively. For 2025-1, CE for the class A, B, C, D, and E notes have increased to 32.52%, 26.57%, 20.69%, 13.86% and 10.68% from 27.55%, 22.50%, 17.50%, 11.70%, and 9.00% at close, respectively. For 2024-2 and 2025-1, the rating case proxies were maintained at 5.00% from the prior review and close, as the performance remains within expectations. Fitch's base case loss expectation, which does not include a margin of safety, was maintained at 2.50% from close for 2024-2, and 2025-1, respectively, based on Fitch's GEO and forecasted projections. For 2024-2, cash flow modeling produced multiples exceeding 5.0x, 5.0x, 3.0x, 2.0x, and 1.5x for 'AAAsf', 'AAAsf', 'Asf', 'BBBsf', and 'BBsf' ratings for the class A, B, C, D and E notes, respectively. For 2025-1, cash flow modeling produced multiples exceeding 5.0x, 5.0x, 3.0x, 2.0x, and 1.5x for 'AAAsf', 'AAAsf', 'Asf', 'BBBsf', and 'BBsf' ratings for the class A, B, C, D, and E notes, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Additionally, unanticipated declines in recoveries could also result in a decline in net loss coverage. Decreased net loss coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. In Fitch's initial review of the transactions, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's rating case loss expectations. To date, the transactions have exhibited CNL's within Fitch's initial expectations with rising loss coverage and multiple levels. As such, a material deterioration in performance would have to occur within the asset collateral to have potential negative impact on the outstanding ratings. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Except for notes rated 'AAAsf', which are at their highest achievable rating, stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ANCHORAGE CREDIT 14: Moody's Ups Rating on $38MM Cl. E Notes to Ba1 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Anchorage Credit Funding 14, Ltd.: US$57M Class B Senior Secured Fixed Rate Notes, Upgraded to Aa1 (sf); previously on Dec 22, 2021 Assigned Aa3 (sf) US$20M Class C Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to Aa3 (sf); previously on Dec 22, 2021 Assigned A3 (sf) US$18M Class D Mezzanine Secured Deferrable Fixed Rate Notes, Upgraded to A2 (sf); previously on Dec 22, 2021 Assigned Baa3 (sf) US$38M Class E Junior Secured Deferrable Fixed Rate Notes, Upgraded to Ba1 (sf); previously on Dec 22, 2021 Assigned Ba3 (sf) Moody's have also affirmed the rating on the following notes: US$191M Class A Senior Secured Fixed Rate Notes, Affirmed Aaa (sf); previously on Dec 22, 2021 Assigned Aaa (sf) Anchorage Credit Funding 14, Ltd., originally issued in December 2021, is a managed cashflow CBO. The notes are collateralized primarily by a portfolio of corporate bonds and loans. The portfolio is managed by Anchorage Capital Group, L.L.C.. The transaction's reinvestment period will end in January 2027. RATINGS RATIONALE The rating upgrades on the Class B, Class C, Class D and Class E notes are primarily a result of a shorter weighted average life of the portfolio which reduces the time the rated notes are exposed to the credit risk of the underlying portfolio. Moody's also considered that the deal will be exiting its reinvestment period in January 2027, which increases the likelihood that the deal will continue to maintain certain collateral quality measures that currently outperform their related covenants. In particular, Moody's noted that the deal currently benefits from interest income on portfolio assets that significantly exceeds the fixed rate of interest payable on the rated notes, due to the deal's exposures to approximately 42% in floating-rate loans that Moody's calculated to have a weighted average spread (WAS) of 4.30%. Moody's also noted that based on Moody's calculations, the deal has a significantly lower weighted average rating factor of 2816, compared to its current covenant of 3450. The affirmation on the rating on the Class A notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CBO's latest portfolio, its relevant structural features and its actual over-collateralisation 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: USD395.97m Defaulted Securities: USD5.91m Diversity Score: 64 Weighted Average Rating Factor (WARF): 3450 Weighted Average Life (WAL): 6.44 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 4.30% Weighted Average Coupon (WAC): 5.21% Weighted Average Recovery Rate (WARR): 35.73% 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 notes that the February 2026 trustee report was published at the time Moody's were completing Moody's analysis of the January 2026 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. 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. Moody's analysed the impact of assuming the worse of calculated and covenanted values for weighted average rating factor, weighted average spread, weighted average coupon and diversity score. 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. APIDOS CLO XXXI: Moody's Assigns B3 Rating to $550,000 F-R2 Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Apidos CLO XXXI (the Issuer): US$4,000,000 Class X-R2 Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$352,000,000 Class A-R2 Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$550,000 Class F-R2 Mezzanine Deferrable Floating Rate Notes due 2039, Assigned B3 (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. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. CVC Credit Partners, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other five classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to the overcollateralization test levels and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par (including any principal proceeds): $550,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2890 Weighted Average Spread (WAS): 2.88% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. ASPIRE MORTGAGE 2026-1: Fitch Assigns 'B(EXP)' Rating on B-2 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates issued by Aspire Mortgage Trust 2026-1 (SPIRE 2026-1). Entity/Debt Rating ----------- ------ SPIRE 2026-1 A-1 LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1B 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 AIOS LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 752 loans with a total balance of approximately $391.28 million as of the cutoff date. The pool consists of non-QM mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from The Loan Store, LLC and various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a modified, sequential payment structure, with three months of advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted-average (WA) Fitch FICO of 754 and 31.7% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 69.6% mark-to-market combined LTV (cLTV). Overall, 43.0% of the pool loans are for primary residences, while the remainder are investor properties or second homes. Additionally, 13.5% of the loans were underwritten to full documentation and 40.1% are DSCR 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. SPIRE 2026-1 has a final probability of default (PD) of 35.5% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 42.5%. The expected loss in the 'AAAsf' rating stress is 15.1%. Structural Analysis: The mortgage cash flow and loss allocation in SPIRE 2026-1 are based on a modified sequential-payment structure, whereby principal is distributed pro rata among the senior certificates (A-1A, A-1B, A-2, and A-3 classes) while excluding the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially, to A-1A classes, then sequentially, to A-1B, A-2 and A-3 certificates until they are reduced to zero. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections are derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE in the form of subordination and excess spread for a given rating exceeded the expected losses of that rating stress. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5 basis points (bps) z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements as described in its "Global Structured Finance Rating Criteria". Relevant parties are those whose failure to perform could have a material impact on transaction performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SPIRE 2026-1 to be fully de-linked and to serve as a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SPIRE 2026-1; as such, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the 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 37.7% 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, Clarifii, Clayton, Consolidated Analytics, and Opus. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either 'A' or 'B'. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. AVANT LOANS 2026-REV1: Fitch Assigns 'Bsf' Rating on Class F Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to the ABS issued by Avant Loans Funding Trust 2026-REV1 (AVNT 2026-REV1). Entity/Debt Rating Prior ----------- ------ ----- Avant Loans Funding Trust 2026-REV1 A LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf F LT Bsf New Rating B(EXP)sf 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): 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'/'Bsf'; - Reduced recovery base case by 50%: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BB-sf'/'B-sf'; - Increased default base case by 10% and reduced recovery base case by 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'B+sf'/'CCCsf'; - Increased default base case by 25% and reduced recovery base case by 25%: 'AAsf'/'Asf'/'BBB+sf'/'BB+sf'/'CCCsf'/'NRsf'; - Increased default base case by 50% and reduced recovery base case by 50%: 'A+sf'/'BBB+sf'/'BBB-sf'/'BBsf'/'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): 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. AVIS BUDGET 2026-1: Moody's Assigns (P)Ba2 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to the notes to be issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC. The complete rating actions are as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2026-1 Series 2026-1 Rental Car Asset Backed Notes, Class A, Assigned (P)Aaa (sf) Series 2026-1 Rental Car Asset Backed Notes, Class B, Assigned (P)A2 (sf) Series 2026-1 Rental Car Asset Backed Notes, Class C, Assigned (P)Baa3 (sf) Series 2026-1 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba2 (sf) RATINGS RATIONALE The provisional ratings on the series 2026-1 notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the proven track-record and expertise of ABCR as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available dynamic credit enhancement, which consists of subordination and over-collateralization, (6) minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure. In addition, the assumptions Moody's applied in the analysis of this transaction are the same as those applied in the analysis of the series 2025-3 transaction, except for the share of program vehicles. Moody's increased program vehicle percentage to 5% from 2.5% due to the recent increase in the concentration of program vehicles in the fleet and the sponsor's 2026 forecast. Some of the key assumptions Moody's applied in its quantitative analysis of these transactions are provided in the Avis Budget Rental Car Funding (AESOP) LLC, Series 2026-1 pre-sale report. Detailed application of the assumptions is provided in the methodology. The total credit enhancement requirement for the series 2026-1 notes will be dynamic and determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 13.80% minimum for non-program (risk) vehicles and (4) 35.70% for medium and heavy duty trucks, in each case, as a percentage of the outstanding note balance. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. As in prior issuances, the transaction documents stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. The class A, B, and C notes will also benefit from subordination of 27.0%, 18.0% and 12.0% of the outstanding balance of the series 2026-1 notes, respectively. The series 2026-1 notes have an expected final maturity of approximately 41 months. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2026-1 notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2026-1 notes if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 were to decrease and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers. AVIS BUDGET 2026-2: Moody's Assigns (P)Ba2 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to the notes to be issued by Avis Budget Rental Car Funding (AESOP) LLC (the issuer). The issuer is an indirect subsidiary of the sponsor, Avis Budget Car Rental, LLC (ABCR, Ba3 negative). ABCR, a subsidiary of Avis Budget Group, Inc., is the owner and operator of Avis Rent A Car System, LLC (Avis), Budget Rent A Car System, Inc. (Budget), Zipcar, Inc, Payless Car Rental, Inc. (Payless) and Budget Truck Rental LLC. The complete rating actions are as follows: Issuer: Avis Budget Rental Car Funding (AESOP) LLC, Series 2026-2 Series 2026-2 Rental Car Asset Backed Notes, Class A, Assigned (P)Aaa (sf) Series 2026-2 Rental Car Asset Backed Notes, Class B, Assigned (P)A2 (sf) Series 2026-2 Rental Car Asset Backed Notes, Class C, Assigned (P)Baa3 (sf) Series 2026-2 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba2 (sf) RATINGS RATIONALE The provisional ratings on the series 2026-2 notes are based on (1) the credit quality of the collateral in the form of rental fleet vehicles, which ABCR uses in its rental car business, (2) the credit quality of ABCR as the primary lessee and as guarantor under the operating lease, (3) the proven track-record and expertise of ABCR as sponsor and administrator, (4) consideration of the rental car market conditions, (5) the available dynamic credit enhancement, which consists of subordination and over-collateralization, (6) minimum liquidity in the form of cash and/or a letter of credit, and (7) the transaction's legal structure. In addition, the assumptions Moody's applied in the analysis of this transaction are the same as those applied in the analysis of the series 2025-4 transaction, except for the share of program vehicles. Moody's increased program vehicle percentage to 5% from 2.5% due to the recent increase in the concentration of program vehicles in the fleet and the sponsor's 2026 forecast. Some of the key assumptions Moody's applied in its quantitative analysis of these transactions are provided in the Avis Budget Rental Car Funding (AESOP) LLC, Series 2026-2 pre-sale report. Detailed application of the assumptions is provided in the methodology. The total credit enhancement requirement for the series 2026-2 notes will be dynamic and determined as the sum of (1) 5.00% for vehicles subject to a guaranteed depreciation or repurchase program from eligible manufacturers (program vehicles) rated at least Baa3 by us, (2) 8.50% for all other program vehicles, (3) 14.00% minimum for non-program (risk) vehicles and (4) 35.70% for medium and heavy duty trucks, in each case, as a percentage of the outstanding note balance. The actual required amount of credit enhancement will fluctuate based on the mix of vehicles in the securitized fleet. As in prior issuances, the transaction documents stipulate that the required total enhancement shall include a minimum portion which is liquid (in cash and/or a letter of credit), sized as a percentage of the outstanding note balance, rather than fleet vehicles. The class A, B, and C notes will also benefit from subordination of 27.0%, 18.0% and 12.0% of the outstanding balance of the series 2026-2 notes, respectively. The series 2026-2 notes have an expected final maturity of approximately 65 months. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the series 2026-2 notes, as applicable if, among other things, (1) the credit quality of the lessee improves, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to decrease, and (3) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to strengthen, as reflected by a stronger mix of program and non-program vehicles and stronger credit quality of vehicle manufacturers. Down Moody's could downgrade the ratings of the series 2026-2 notes if, among other things, (1) the credit quality of the lessee weakens, (2) the likelihood of the transaction's sponsor defaulting on its lease payments were to increase, (3) the likelihood of the sponsor accepting its lease payment obligation in its entirety in the event of a Chapter 11 were to decrease and (4) assumptions of the credit quality of the pool of vehicles collateralizing the transaction were to weaken, as reflected by a weaker mix of program and non-program vehicles and weaker credit quality of vehicle manufacturers. BAIN CAPITAL 2021-4: S&P Affirms BB+ (sf) Rating on Class D Debt ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-RR, B-RR, and C-RR debt from Bain Capital Credit CLO 2021-4 Ltd./Bain Capital Credit CLO 2021-4 LLC, a CLO managed by Bain Capital Credit U.S. CLO Manager LLC that originally closed in September 2021 and was refinanced in November 2024. At the same time, S&P withdrew its ratings on the previous class A-1-R, B-R, and C-R debt following payment in full on the Feb. 27, 2026, refinancing date. S&P did not rate the class A-2-R debt. S&P also affirmed its rating on the class D debt, which was not refinanced. (S&P did not rate the class E note, which was also not refinanced.) The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-RR, A-2-RR, B-RR, and C-RR debt was issued at a lower spread over three-month SOFR than the previous debt. -- The non-call period was extended to Aug. 27, 2026. -- No additional assets were purchased on the Feb. 27, 2026, refinancing date, and the target initial par amount remains at $600.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 20, 2026. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. Replacement And Previous Debt Issuances Replacement debt -- Class A-1-RR, $378.00 million: Three-month CME term SOFR + 1.000% -- Class A-2-RR, $12.00 million: Three-month CME term SOFR + 1.200% -- Class B-RR, $66.00 million: Three-month CME term SOFR + 1.350% -- Class C-RR (deferrable), $36.00 million: Three-month CME term SOFR + 1.550% Previous debt -- Class A-1-R, $378.00 million: Three-month CME term SOFR + 1.200% -- Class A-2-R, $12.00 million: Three-month CME term SOFR + 1.450% -- Class B-R, $66.00 million: Three-month CME term SOFR + 1.650% -- Class C-R (deferrable), $36.00 million: Three-month CME term SOFR + 1.950% -- Class D (deferrable), $30.00 million: Three-month CME term SOFR + 3.36161%(i) -- Class E (deferrable), $24.00 million: Three-month CME term SOFR + 6.76161%(i) -- Subordinated notes, $51.45 million: Not applicable (i)The CSA is 0.26161%. CSA--Credit spread adjustment. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Bain Capital Credit CLO 2021-4 Ltd./ Bain Capital Credit CLO 2021-4 LLC Class A-1-RR, $378.00 million: AAA (sf) Class B-RR (deferrable), $66.00 million: AA (sf) Class C-RR (deferrable), $36.00 million: A (sf) Ratings Withdrawn Bain Capital Credit CLO 2021-4 Ltd./ Bain Capital Credit CLO 2021-4 LLC Class A-1-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Rating Affirmed Bain Capital Credit CLO 2021-4 Ltd./ Bain Capital Credit CLO 2021-4 LLC Class D: BB+ (sf) Other Debt Bain Capital Credit CLO 2021-4 Ltd./ Bain Capital Credit CLO 2021-4 LLC Class A-2-RR, $12.00 million: NR Class E, $24.00 million: NR Subordinated notes, $51.45 million: NR NR--Not rated. BAIN CAPITAL 2024-1: Fitch Assigns 'BB-(EXP)sf' Rating on E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Bain Capital Credit CLO 2024-1, Limited Reset Transaction. Entity/Debt Rating ----------- ------ Bain Capital Credit CLO 2024-1, Limited X-R LT AAA(EXP)sf Expected Rating A-1-R LT NR(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Transaction Summary Bain Capital Credit CLO 2024-1, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit U.S. CLO Manager II, LP that originally closed on March 8, 2024. This is the first refinancing where the existing secured notes will be refinanced in whole, on March 8, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.21, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.44% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.55% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio 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 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2024-1, Limited. 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. BALLYROCK CLO 31: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Ballyrock CLO 31 Ltd./Ballyrock CLO 31 LLC's fixed- and floating-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 Fidelity CLO Advisers L.P., a subsidiary of Fidelity Management & Research Co. LLC. The preliminary ratings are based on information as of March 2, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The 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 Ballyrock CLO 31 Ltd./Ballyrock CLO 31 LLC Class X(i), $4.00 million: AAA (sf) Class A-1, $256.00 million: AAA (sf) Class A-2, $48.00 million: AA (sf) Class B (deferrable), $24.00 million: A (sf) Class C-1a (deferrable), $20.00 million: BBB (sf) Class C-1b (deferrable), $4.00 million: BBB (sf) Class C-2 (deferrable), $4.00 million: BBB- (sf) Class D (deferrable), $12.00 million: BB- (sf) Subordinated notes, $33.45 million: NR (i)The class X debt is expected to be paid down in equal installments using interest proceeds on the first 16 payment dates. NR--Not rated. BANK 2018-BNK14: DBRS Cuts Rating on 4 Cert. Classes to CCC ----------------------------------------------------------- DBRS Limited downgraded its credit ratings on four classes of Commercial Mortgage Pass-Through Certificates, Series 2018-BNK14 issued by BANK 2018-BNK14 as follows: -- Class X-F to CCC (sf) from BB (high) (sf) -- Class F to CCC (sf) from BB (sf) -- Class X-G to CCC (sf) from BB (low) (sf) -- Class G to CCC (sf) from B (high) (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class X-D at BBB (sf) -- Class E at BBB (low) (sf) The trends on Classes X-D and E remain Negative. The trends on all remaining classes are Stable with the exception of Classes X-F, F, X-G, and G which have credit ratings that do not typically carry trends in commercial mortgage-backed (CMBS) credit ratings. The credit rating downgrades reflect ongoing interest shortfalls attributed to the DoubleTree Grand Naniloa Hotel (Prospectus ID#12; 3.7% of the pool). At the previous credit rating action in August 2025, Morningstar DBRS changed the trends on six classes to Negative from Stable because of increased credit risks associated with the Starwood Hotel Portfolio (Prospectus ID#5; 5.3% of the pool), Executive Towers West (Prospectus ID#6; 4.5% of the pool), and 2301 E 7th Street (Prospectus ID#14; 3.3% of the pool) loans, in addition to increased loss projections for the DoubleTree Grand Naniloa Hotel (Prospectus ID#12; 3.7% of the pool). Morningstar DBRS noted that, should the performance of the underlying loans continue to deteriorate, Classes E, F, and G would be most exposed to increased risks or realized losses, which could lead to credit rating downgrades. The servicer has continued advancing principal and interest payments for the DoubleTree Grand Naniloa Hotel since it became real estate owned in February 2024, resulting in an accumulation of interest on advances, which the servicer began passing through to the trust in August 2025, with interest shortfalls hitting as high as Class E in October 2025. As of the January 2026 remittance, cumulative unpaid interest totaled $2.7 million, an increase from $1.2 million at the last credit rating action, with Classes F and G last receiving interest five months ago in August 2025. While monthly reimbursements for interest on advances have dissipated to $149,000 in January 2026 from approximately $263,000 in August 2025, permitting the repayment of shortfalls on Class E in November 2025 and partial repayment of shortfalls to Class F beginning in December 2025, shortfalls are expected to persist until interest on advances are recovered in full. According to the servicer, approximately $770,000 of interest on advances remains outstanding. Morningstar DBRS' tolerance for unpaid interest is limited to six remittance periods at the BB and B credit rating categories. As such, Morningstar DBRS downgraded the credit ratings on the Class F and G certificates to CCC (sf). The DoubleTree Grand Naniloa Hotel is secured by a 388-key, full-service hotel in Hilo, Hawaii. A foreclosure sale occurred in August 2023 with the lender emerging as the winning bidder. According to the servicer, operating performance failed to rebound to pre-pandemic levels, a factor that has been further exacerbated by a significant reduction in flights into Hilo from the mainland and compressed foreign travel from countries such as China and Japan. The most recent appraisal, dated July 2025, valued the property at $60.0 million, a 40.7% decline from the issuance-appraised value of $100.1 million. Morningstar DBRS liquidated the loan in the analysis for this review, applying a conservative haircut to the most recent appraised value, which resulted in an implied loss of $8.4 million and a loss severity approaching 20.0%. Morningstar DBRS notes that the servicer may continue to advance interest because of the expectation that the loan may be recoverable. The Negative trend on Class E reflects Morningstar DBRS' ongoing concerns related to the Starwood Hotel Portfolio, Executive Towers West, and 2301 E 7th Street loans, which are secured by lodging and office properties and are exhibiting increased credit risks. While none of these properties have had updated appraisals since issuance, each has seen a deterioration in performance, indicating potential value declines as the loans approach maturity in 2028, with the potential for further deterioration. Where applicable, Morningstar DBRS increased the probability of default (POD) penalties and/or applied stressed loan-to-value ratios (LTVs) for loans exhibiting increased credit risk, resulting in expected losses that were between 2.1 times (x) and 4.2x greater than the pool average. The credit rating confirmations and Stable trends otherwise reflect the overall performance of the transaction as the pool generally continues to exhibit healthy credit metrics, as evidenced by the weighted-average (WA) debt service coverage ratio (DSCR) of 2.0x, based on the most recent financial reporting available. In addition, the transaction continues to benefit from increased credit support to the bonds as a result of scheduled amortization, loan repayments, and defeasance as there has been collateral reduction of 11.7% since issuance, and defeasance collateral represents 2.0% of the current pool balance, as of the January 2026 reporting. In addition, four loans, representing 26.1% of the pool balance, are shadow-rated investment grade by Morningstar DBRS. Three loans, representing 4.9% of the pool balance, are in special servicing, and 10 loans, representing 21.6% of the pool balance, are on the servicers watchlist, the majority of which are being monitored for performance-related reasons. The largest loan on the servicer's watchlist, the Starwood Hotel Portfolio, is secured by a 22-property hotel portfolio consisting of 2,943 keys. The portfolio is located across 12 states and 17 cities throughout the continental U.S. and includes four full-service hotels, six select-service hotels, five extended-stay hotels, and seven limited-service hotels operating under three brands: Marriott, Hilton, and the IHG umbrella. The pari passu loan has been on the watchlist since March 2025 and is being monitored for a low DSCR, which was below breakeven at 0.64x as of the reporting for the trailing 12 months (T-12) ended June 30, 2025. The decline in performance is largely attributed to a decrease in revenue and a significant increase in operating expenses. The servicer reported WA occupancy rate, average daily rate (ADR), and revenue per available room (RevPAR) of 63.1%, $124.40, and $78.90, respectively, as of the T-12 ended June 30, 2025, in comparison with 72.5%, $117.00, and $84.80, respectively, at issuance. The portfolio was last appraised at issuance at a value of $401.0 million; however, given the cash flow decline and the general deterioration in operating performance, Morningstar DBRS expects the market value of the collateral has declined. For this review, Morningstar DBRS analyzed the loan with an elevated LTV, resulting in an expected loss (EL) that was in excess of 3.5x the pool EL. The second largest loan on the servicer's watchlist, Executive Towers West, is secured by a three-building Class B office campus totaling 671,416 square feet (sf) in Downers Grove, Illinois, approximately 22 miles west of Chicago's central business district. Occupancy at the property has not recovered since 2021 when State Farm (previously 15.1% of the net rentable area (NRA)), vacated the property, resulting in the occupancy rate declining to 69.0% from 86.0%. According to the December 2025 rent roll, the property was 62.9% occupied. Since 2024, the borrower has executed several recent lease renewals with existing tenants; however, roll-over risk remains elevated with leases totaling approximately 20.6% of the NRA scheduled to expire prior to YE2026, including the largest tenant, Zachary Engineering Corporation (11.5% of NRA), which has a scheduled lease expiration in September 2026. According to the financials for the trailing nine months ended September 31, 2025, the property generated $4.0 million of annualized net cash flow (NCF; a DSCR of 1.01x), below the YE2024 and issuance figures of $5.0 million (a DSCR of 1.26x) and $6.5 million (a DSCR of 1.62x). According to Reis, office properties in the West submarket of Chicago reported a Q4 2025 vacancy rate of 26.5%, slightly above the Q4 2024 figure of 24.9%. No updated appraisal has been provided since issuance when the property was valued at $84.9 million; however, given the sponsor's inability to backfill vacant space, combined with poor submarket fundamentals, Morningstar DBRS expects that the collateral's current market value has likely declined significantly, elevating the credit risk. In its current analysis, Morningstar DBRS analyzed the loan with an elevated LTV, resulting in a loan EL approximately 4.0x greater than the pool EL. Morningstar DBRS also identified the 2301 East 7th Street loan in Los Angeles as exhibiting increased credit risk. The property has experienced declines in occupancy and NCF since issuance. As of the August 2025 rent roll, the occupancy rate was reported at 60.6%, below the YE2024 and issuance occupancy rates of 75.8% and 85.0%, respectively, at issuance. Tenant rollover risk remains elevated as leases representing 38.0% of the NRA are scheduled to expire by YE2027. Morningstar DBRS evaluated this loan with an elevated LTV, resulting in an EL that was almost 3.0x the pool EL. At issuance, six loans, representing 26.1% of the pool balance, were shadow-rated investment grade. With this review, Morningstar DBRS confirmed that the performance of four of those loans--685 Fifth Avenue Retail (Prospectus ID#1; 8.2% of the pool), Aventura Mall (Prospectus ID#2; 8.2% of the pool), Millennium Partners Portfolio (Prospectus ID#9; 4.1% of the pool), and 1745 Broadway (Prospectus ID#10; 4.1% of the pool)--remains consistent with investment-grade characteristics. The Pfizer Building loan (Prospectus ID#19), which was previously shadow-rated investment grade by Morningstar DBRS, was repaid at maturity in August 2024. Notes: All figures are in U.S. dollars unless otherwise noted. BANK5 2026-5YR20: Fitch Assigns B-sf Final Rating on Cl. F-RR Certs ------------------------------------------------------------------- Fitch has assigned final ratings and Ratings Outlooks to BANK5 2026-5YR20 commercial mortgage pass-through certificates, series 2026-5YR20 as follows: - $1,080,000 class A-1 'AAAsf'; Outlook Stable; - $240,000,000 class A-2 'AAAsf'; Outlook Stable; - $0e class A-2-1 'AAAsf'; Outlook Stable; - $0e class A-2-2 'AAAsf'; Outlook Stable; - $0ae class A-2-X1 'AAAsf'; Outlook Stable; - $0ae class A-2-X2 'AAAsf'; Outlook Stable; - $418,131,000 class A-3 'AAAsf'; Outlook Stable; - $0e class A-3-1 'AAAsf'; Outlook Stable; - $0e class A-3-2 'AAAsf'; Outlook Stable; - $0ae class A-3-X1 'AAAsf'; Outlook Stable; - $0ae class A-3-X2 'AAAsf'; Outlook Stable; - $659,211,000a class X-A 'AAAsf'; Outlook Stable; - $95,351,000 class A-S 'AAAsf'; Outlook Stable; - $0e class A-S-1 'AAAsf'; Outlook Stable; - $0e class A-S-2 'AAAsf'; Outlook Stable; - $0ae class A-S-X1 'AAAsf'; Outlook Stable; - $0ae class A-S-X2 'AAAsf'; Outlook Stable; - $47,086,000 class B 'AA-sf'; Outlook Stable; - $0e class B-1 'AA-sf'; Outlook Stable; - $0e class B-2 'AA-sf'; Outlook Stable; - $0ae class B-X1 'AA-sf'; Outlook Stable; - $0ae class B-X2 'AA-sf'; Outlook Stable; - $35,315,000 class C 'A-sf'; Outlook Stable; - $0e class C-1 'A-sf'; Outlook Stable; - $0e class C-2 'A-sf'; Outlook Stable; - $0ae class C-X1 'A-sf'; Outlook Stable; - $0ae class C-X2 'A-sf'; Outlook Stable; - $177,752,000a class X-B 'A-sf'; Outlook Stable; - $31,784,000b class D 'BBB-sf'; Outlook Stable; - $31,784,000ab class X-D 'BBB-sf'; Outlook Stable; - $20,011,000b class E 'BB-sf'; Outlook Stable; - $20,011,000ab class X-E 'BB-sf'; Outlook Stable; - $12,949,000b class F-RR 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $40,024,167b class G-RR 'NRsf'; Outlook Stable; - $14,299,048bd class RR 'NRsf'; Outlook Stable; - $5,999,785bd class RR Interest 'NRsf'; Outlook Stable. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Since Fitch Published its expected ratings on Feb. 2, 2026, the balances for classes A-2 and A-3 were finalized. The initial certificate balance of the class A-2 was expected to be in the range of $0-$300,000,000, and the aggregate certificate balance of the class A-3 was expected to be in the range of $358,131,000-$658,131,000. The final class balances for classes A-2 and A-3 are $240,000,000 and $418,131,000, respectively. (d) Vertical risk retention. (e) Exchangeable certificates; classes A-2, A-3, A-S, B, and C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding class of exchangeable certificates and vice versa. The dollar denomination of each of the received certificates must equal the dollar denomination of each of the surrendered certificates. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 37 loans secured by 263 commercial properties with an aggregate principal balance of $962,030,000 as of the cutoff date. The loans were contributed to the trust by Bank of America, National Association, JPMorgan Chase Bank, National Association, Wells Fargo Bank, National Association, and Morgan Stanley Mortgage Capital Holdings LLC. The master servicer is Trimont LLC and the special servicer is Capital Advisors, LLC. The trustee is Deutsche Bank National Trust Company. Computershare Trust Company, National Association is the certificate administrator. The operating advisor and asset representations reviewer is Park Bridge Lending Services LLC. These certificates follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 19 loans totaling 85.6% by balance. Fitch's resulting net cash flow (NCF) of $102.5 million represents a 15.0% decline from the issuer's underwritten NCF. Lower Leverage Compared to Recent Transactions: The pool has lower leverage compared to recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 96.5% is lower than the 2025 average of 101.0% and slightly higher than the 2024 average of 95.2%. The pool's Fitch NCF debt yield (DY) of 10.7% is higher than both the 2025 and 2024 averages of 9.7% and 10.2%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 66.2% of the pool, higher than the 2025 and 2024 averages of 61.7% and 60.2%, respectively. The pool's effective loan count of 19.7 is lower the 2025 and 2024 averages of 21.6 and 22.7, respectively. Investment-Grade Credit Opinion Loans: Two loans, representing 14.4% of the pool, received an investment-grade credit opinion. CityCenter (Aria & Vdara; 10.0% of pool) received a standalone credit opinion of 'AAAsf*' and Torrey Heights (4.4% of the pool) received a standalone credit opinion of 'BBBsf*'. The pool's total credit opinion percentage is higher than the 2025 and 2024 averages of 10.7% and 12.6%, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DY are 96.5% and 10.7%, respectively, compared with the 2025 conduit LTV and DY averages of 105.2% and 9.3%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Reduction in cash flow decreases property value and capacity to meet its debt service obligations. The lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBsf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The lists below indicate the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BARCLAYS MORTGAGE 2026-NQM3: Moody's Assigns B1 Rating to B-2 Certs ------------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of residential mortgage-backed securities (RMBS) issued by Barclays Mortgage Loan Trust 2026-NQM3, and sponsored by Sutton Funding LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by Barclays Bank PLC, and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Barclays Mortgage Loan Trust 2026-NQM3 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A2 (sf) Cl. M-1, Definitive Rating Assigned Baa3 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Cl. B-2, Definitive Rating Assigned B1 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 2.88%, in a baseline scenario-median is 2.06% and reaches 27.13% 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. BARINGS CLO 2023-IV: Fitch Assigns 'BB+sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2023-IV reset transaction. Entity/Debt Rating ----------- ------ Barings CLO Ltd. 2023-IV X-R LT AAAsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AA+sf New Rating C-R LT A+sf New Rating D-1-R LT BBBsf New Rating D-2-R LT BBB-sf New Rating E-R LT BB+sf New Rating F-R LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Barings CLO Ltd. 2023-IV (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Barings LLC that originally closed in January 2024. This will be the first refinancing where the existing notes will, in February 2026, be refinanced in whole from the proceeds of the new secured notes. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 98.1% first lien senior secured loans and has a weighted average recovery assumption of 75.9%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-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 'A-sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Barings CLO Ltd. 2023-IV. 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. BARINGS LOAN 3: Fitch Affirms 'BB+sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has affirmed the class B-R2, C, D, and E notes of Barings Loan Partners CLO Ltd. 3. Fitch has also revised the Rating Outlook on the class B-R2 notes to Positive from Stable, while maintaining Stable Outlooks on the other rated classes. Entity/Debt Rating Prior ----------- ------ ----- Barings Loan Partners CLO Ltd. 3 B-R2 06762QAS6 LT AA+sf Affirmed AA+sf C 06762QAE7 LT A+sf Affirmed A+sf D 06762QAG2 LT BBB+sf Affirmed BBB+sf E 06762RAA3 LT BB+sf Affirmed BB+sf Transaction Summary Barings Loan Partners CLO Ltd. 3 is a broadly syndicated collateralized loan obligation (CLO) managed by Barings LLC. The transaction originally closed in August 2022. The class A-R2 and B-R2 notes were first refinanced in January 2024 and refinanced for a second time in February 2025. The transaction exited its reinvestment period in July 2025 and is secured primarily by first lien, senior secured leveraged loans. KEY RATING DRIVERS Expected Credit Enhancement Improvement from Note Amortization The Positive Outlook on the class B-R2 notes is driven by amortization of the class A-R2 notes, which is expected to improve credit enhancement levels on the rated notes. The class A-R2 notes have amortized approximately 4.4% as of the January 2026 reporting. This amortization has resulted in increased break-even default rate (BEDR) cushions of class B-R2 notes against its relevant rating stress default hurdle. Limited Reinvestment Due to Collateral Quality Test Conditions Reinvestment of proceeds from prepayments and credit risk sales is subject to certain conditions after the reinvestment period, including the satisfaction of coverage tests and the maintaining and improving of failing collateral quality tests. As of the January 2026 trustee report, the transaction is out of compliance with its Minimum Floating Spread Test, Weighted Average Life Test and Maximum Moody's Rating Factor Test. The portfolio's weighted average spread has declined to 3.13% from 3.16% at last review, relative to the covenanted level of 3.40%. The weighted average life reduced to 4.0 from 4.3 years, compared to the maximum limit of 3.84 years, which will continue to step down on a quarterly basis. Stable Portfolio Credit Quality Credit quality of the performing portfolio has been relatively stable at the 'B' rating level, as the Fitch-calculated weighted average rating factor (WARF) decreased to 23.5 from 24.3 at the last review. Fitch considered 0.9% of the portfolio as defaulted. Exposure to assets on Fitch's CLO watchlist decreased to 4.7% from 6.6% at the last review, while assets with a Negative Outlook increased to 15.9% from 15.4%. Updated Cash Flow Analysis Fitch conducted an updated cash flow analysis of the current portfolios and Fitch Stressed Portfolio (FSP) analysis, given the manager's ability to reinvest. The FSP adjusts the current portfolio, accounting for permissible concentration limits and certain collateral quality test limits. The FSP assumed a weighted average life of 4.0 years. Fitch affirmed the class B-R2 notes one notch below their model-implied ratings (MIRs) due to the limited BEDR cushion at the MIR level. However, the Positive Outlook on the class indicates upgrade potential if amortization continues and outweighs potential decline in portfolio credit quality. The rating actions for the class C, D, and E notes are in line with their MIRs. The Stable Outlooks on these classes reflect Fitch's expectation that the notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class's rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed; - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, may lead to downgrades of up to three notches based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, may lead to upgrades of up to three notches based on the MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Barings Loan Partners CLO Ltd. 3. 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. BATTALION CLO 17: Moody's Cuts Rating on $17MM Class E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by Battalion CLO 17 Ltd.: US$17M Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Mar 9, 2021 Definitive Rating Assigned Ba3 (sf) US$6.3M Class F Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa1 (sf); previously on Mar 9, 2021 Definitive Rating Assigned B1 (sf) Moody's have also affirmed the ratings on the following notes: US$244M Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 28, 2024 Assigned Aaa (sf) US$14M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Jun 28, 2024 Assigned Aaa (sf) US$46M Class B-R Senior Secured Floating Rate Notes, Affirmed Aa1 (sf); previously on Jun 28, 2024 Assigned Aa1 (sf) US$24M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed A2 (sf); previously on Jun 28, 2024 Assigned A2 (sf) US$21M Class D Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Mar 9, 2021 Definitive Rating Assigned Baa3 (sf) Battalion CLO 17 Ltd., issued in March 2021 and refinanced in June 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Brigade Capital Management, LP. The transaction's reinvestment period will end in April 2026. RATINGS RATIONALE The downgrade rating actions on the Class E and Class F notes reflect the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio over the last 12 months. The over-collateralisation ratio of the Class E notes has deteriorated over the last 12 months. According to the trustee report dated January 2026[1], the Class E OC ratio is reported at 104.97%, compared to January 2025[2] level of 106.70%. Based on Moody's calculation, the OC ratio for Class F is currently at 103.34%. Furthermore, the weighted average spread (WAS) has deteriorated over the last year. As reported in the January 2026[1] trustee report, the WAS decreased to 3.48%, compared to 3.75% in January 2025[2]. The affirmations on the ratings on the Class A-1-R, A-2-R, Class B-R, Class C-R and Class D 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. In light of reinvestment restrictions during the amortisation period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's analysed the deal assuming a higher likelihood that the collateral pool characteristics would maintain an adequate buffer relative to certain covenant requirements. Key model inputs: 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 its 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: USD383.0m Defaulted Securities: USD4.7m Diversity Score: 84 Weighted Average Rating Factor (WARF): 2827 Weighted Average Life (WAL): 4.56 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.48% Weighted Average Coupon (WAC): 2.97% Weighted Average Recovery Rate (WARR): 45.29% 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 its 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. -- 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. 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. BENCHMARK 2019-B11: Fitch Affirms 'Bsf' Rating on Class D Notes --------------------------------------------------------------- Fitch Ratings has affirmed 17 classes of Benchmark 2019-B11 Mortgage Trust (BMARK 2019-B11). The Rating Outlooks for classes A-S and X-A were revised to Stable from Negative. The Outlooks for classes B, C, D, and X-B remain Negative. In addition, Fitch has affirmed 15 classes of Benchmark 2019-B12 Mortgage Trust (BMARK 2019-B12). The Outlooks for classes A-S, B, and X-A were revised to Stable from Negative. The Outlooks for classes C, D, E, X-B, and X-D remain Negative. Fitch has also affirmed 15 classes of Benchmark 2019-B13 Mortgage Trust (BMARK 2019-B13). The Outlooks for classes A-M, B, C, X-A and X-B were revised to Stable from Negative. The Outlooks for classes D, E, and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- Benchmark 2019-B12 A-2 08162FAB9 LT AAAsf Affirmed AAAsf A-3 08162FAC7 LT AAAsf Affirmed AAAsf A-4 08162FAD5 LT AAAsf Affirmed AAAsf A-5 08162FAE3 LT AAAsf Affirmed AAAsf A-AB 08162FAF0 LT AAAsf Affirmed AAAsf A-S 08162FAG8 LT AAsf Affirmed AAsf B 08162FAH6 LT A-sf Affirmed A-sf C 08162FAJ2 LT BBsf Affirmed BBsf D 08162FAN3 LT B+sf Affirmed B+sf E 08162FAP8 LT B-sf Affirmed B-sf F-RR 08162FAQ6 LT CCCsf Affirmed CCCsf G-RR 08162FAR4 LT CCsf Affirmed CCsf X-A 08162FAK9 LT AAsf Affirmed AAsf X-B 08162FAL7 LT BBsf Affirmed BBsf X-D 08162FAM5 LT B-sf Affirmed B-sf BMARK 2019-B13 A-2 08162DAB4 LT AAAsf Affirmed AAAsf A-3 08162DAD0 LT AAAsf Affirmed AAAsf A-4 08162DAE8 LT AAAsf Affirmed AAAsf A-M 08162DAG3 LT AAsf Affirmed AAsf A-SB 08162DAC2 LT AAAsf Affirmed AAAsf B 08162DAH1 LT Asf Affirmed Asf C 08162DAJ7 LT BBB-sf Affirmed BBB-sf D 08162DAR9 LT BBsf Affirmed BBsf E 08162DAT5 LT Bsf Affirmed Bsf F 08162DAV0 LT CCCsf Affirmed CCCsf G-RR 08162DAX6 LT CCsf Affirmed CCsf X-A 08162DAF5 LT AAsf Affirmed AAsf X-B 08162DAK4 LT BBB-sf Affirmed BBB-sf X-D 08162DAM0 LT Bsf Affirmed Bsf X-F 08162DAP3 LT CCCsf Affirmed CCCsf Benchmark 2019-B11 A-2 08162BBB7 LT AAAsf Affirmed AAAsf A-3 08162BBC5 LT AAAsf Affirmed AAAsf A-4 08162BBD3 LT AAAsf Affirmed AAAsf A-5 08162BBE1 LT AAAsf Affirmed AAAsf A-S 08162BBJ0 LT AA-sf Affirmed AA-sf A-SB 08162BBF8 LT AAAsf Affirmed AAAsf B 08162BBK7 LT A-sf Affirmed A-sf C 08162BBL5 LT BBB-sf Affirmed BBB-sf D 08162BAJ1 LT Bsf Affirmed Bsf E 08162BAL6 LT CCCsf Affirmed CCCsf F 08162BAN2 LT CCsf Affirmed CCsf G 08162BAQ5 LT Csf Affirmed Csf X-A 08162BBG6 LT AA-sf Affirmed AA-sf X-B 08162BBH4 LT BBB-sf Affirmed BBB-sf X-D 08162BAA0 LT CCCsf Affirmed CCCsf X-F 08162BAC6 LT CCsf Affirmed CCsf X-G 08162BAE2 LT Csf Affirmed Csf KEY RATING DRIVERS Stable 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have been generally stable since Fitch's prior rating action: 7.8% for BMARK 2019-B11, 6.3% in BMARK 2019-B12 and 7.0% in BMARK 2019-B13 compared to 8.0%, 7.1% and 7.9%, respectively, at the last rating actions. The revision of certain class Outlooks to Stable from Negative reflects the overall stable performance. The BMARK 2019-B11 transaction includes eight Fitch Loans of Concern (FLOCs; 22.9% of the pool), including four specially serviced loans (10.5%). BMARK 2019-B12 has 10 FLOCs (26.4%), including five specially serviced loans (14.8%). BMARK 2019-B13 has seven FLOCs (27.9%), including three specially serviced loans (8.8%). BMARK 2019-B11: The affirmations reflect generally stable pool performance since the prior rating action. The Negative Outlooks reflect performance concerns regarding the specially serviced loans and FLOCs, particularly Central Tower Office (3.5%), Greenleaf at Howell (2.5%), 57 East 11th Street (2.0%) and Weston I & II (4.9%). In addition, the pool has a high exposure to office properties at 46.8%. BMARK 2019-B12: The affirmations reflect generally stable pool performance since the prior rating action. The Negative Outlooks consider a sensitivity scenario which assumes a higher expected loss on the specially serviced The Zappettini Portfolio (6.2%) loan, as well as the potential for a decline in performance in other specially serviced loans and FLOCs, particularly 250 Livingston (4.8%) and Oakbrook Terrace (1.6%). BMARK 2019-B13: The affirmations reflect generally stable pool performance since the prior rating action. The Negative Outlooks reflect performance concerns with the FLOCs and specially serviced loans, particularly Sunset North (8.4%), 900 & 990 Stewart Avenue (5.1%), Beverly Hills BMW (4.4%) and Northpoint Tower (2.8%). Largest Contributors to Loss: The largest contributor to overall loss expectations in the BMARK 2019-B11 transaction is the specially serviced Central Tower Office (3.5%) loan, which is secured by a 164,848-sf office property located in the Yerba Buena district of San Francisco, CA. The loan transferred to special servicing in September 2025 due to imminent monetary default. The property's former largest tenant, Unity Technologies (previously 51.8% of NRA), vacated its space at the property upon lease expiry in August 2025. Following the departure of Unity Technologies, occupancy declined to 30.5% from 82.3% as of June 2025, 73.8% at YE 2024, 67.8% at YE 2023, and 67.4% YE 2022. The loan reported $4.3 million or $26.3 psf in total reserves as of the January 2026 financial reporting. According to CoStar, the property lies within the Yerba Buena Office submarket of the San Francisco, CA market. As of 4Q25, submarket asking rents average $45.32 psf and submarket vacancy rate was 46.8%. Fitch's 'Bsf' ratings case loss of 42.8% (prior to a concentration adjustment) is based on a 9.25% cap rate and 30.0% stress to the YE 2024 NOI, and factors in an increased probability of default due to the loan's transfer to special servicing and weak submarket fundamentals. As of the January 2026 distribution date, the loan was reported as 30 days delinquent. The second largest contributor to expected losses in BMARK 2019-B11 is the specially serviced 57 East 11th Street (2.0%) asset, which is secured by a 64,460-sf office building located in the Greenwich Village neighborhood of New York City. The property was formerly 100% occupied by WeWork. The servicer noted that WeWork stopped paying rent in October 2023 and is no longer operating at the subject after rejecting the lease during bankruptcy proceedings. The loan transferred to special servicing in February 2024 due to payment default. As of June 2025, the property remained vacant. A foreclosure sale occurred in September 2025, and the asset is currently real estate owned (REO). Fitch's 'Bsf' rating case loss of 71% (prior to a concentration adjustment) reflects the most recent June 2025 appraisal value, which is equal to approximately $254 psf. The largest contributor and largest increase in overall loss expectations in the BMARK 2019-B12 transaction is the specially serviced 250 Livingston (4.8%) loan, which is secured by a mixed-use office and multifamily property located in downtown Brooklyn, NY. The loan recently transferred to the special servicer in December 2025 due to a payment default. The office portion of the mixed-use property is vacant as of the September 2025 rent roll after the sole tenant, the New York City Department of Citywide Administrative Services (DCAS), terminated its lease at the property in August 2025 ahead of the August 2030 lease expiry. At issuance, office and ground-level retail tenancy accounted for approximately 92% of rental income at the property. The loan was structured with a springing cash flow sweep if the NYC DCAS terminates its lease; there is a total reserve of $694,838 or $2.0 psf as of the January 2026 financial reporting. According to CoStar, the property lies within the downtown Brooklyn office submarket of the New York, NY market. As of 4Q25, submarket asking rents average $50.86 psf and submarket vacancy rate was 21.0%. Fitch's 'Bsf' ratings case loss of 42.0% (prior to a concentration adjustment) is based on a 9.25% cap rate and 30.0% stress to the YE 2024 NOI, and factors in an increased probability of default due to the loans transfer to special servicing and weak submarket fundamentals. As of the January 2026 distribution, the loan is categorized as 60+ days delinquent. The second largest contributor to overall loss expectations in BMARK 2019-B12 is the specially serviced The Zappettini Portfolio (6.2%) asset, which is secured by a portfolio of 10 office buildings totaling 251,716 sf in Mountain View, CA. The loan transferred to special servicing in June 2024 due to a maturity default. A foreclosure sale occurred in September 2025, and the asset is currently REO. Property occupancy declined to 68% as of October 2024 versus 88% in September 2023 and 88% at YE 2022. As of YE 2024, the servicer-reported NOI DSCR was 1.33x, compared to 1.71x as of September 2023 and 1.56x at YE 2022. Fitch requested updated financial statements, but they were not provided. Fitch's 'Bsf' rating case loss of 12.6% (prior to concentration adjustment) is based on a stress to the most recent July 2025 appraisal and reflects a stressed value of approximately $425.7 psf. In addition to its base case analysis, Fitch performed a sensitivity analysis that assumed an outsized loss of 25.0% to reflect a possible prolonged liquidation process and lower recovery prospects for the asset given upcoming rollover concerns (23.0% by YE 2026). The largest contributor to overall loss expectations in the BMARK 2019-B13 transaction is the Sunset North (8.4%) loan, which is secured by a 464,061-sf suburban office property located in Bellevue, WA. The property's largest tenants include, ArenaNet (20.9% of NRA; leased through May 2029), WeWork (16.9%; December 2031), and Farmers New World Life Insurance (13.0%; May 2029). Property occupancy declined to 65.9% as of the September 2025 servicer-provided rent roll versus 99% as of YE 2024 due to the former largest tenant, Intellectual Ventures (previously 32.9% of NRA), vacating upon lease expiry in May 2025. In addition, the third largest tenant, Farmers New World Life Insurance, has an option to terminate its lease at the property in June 2026. The loan reported total reserves of $4.8 million or $10.4 psf as of the January 2026 financial reporting. According to CoStar, the property lies within the I-90 Corridor Office submarket of the Seattle, WA market. As of 4Q25, submarket asking rents average $37.97 psf and submarket vacancy rate was 39.6%. Fitch's 'Bsf' ratings case loss of 23.5% (prior to a concentration adjustment) is based on a10.0% cap rate and 30.0% stress to the YE 2024 NOI, and factors in an increased probability of default due to weak submarket fundamentals and the loans heightened risk of a term default. The loan remains current. The second largest contributor to overall loss expectations in BMARK 2019-B13 is specially serviced the 900 & 990 Stewart Avenue (5.1%) loan, which is secured by a 462,615-sf suburban office property located in Garden City, NY. The loan transferred to special servicing in August 2024 due to maturity default. A loan modification has been conditionally approved, which includes a three-year maturity extension through August 2027. The property was 86.6% occupied as of the servicer-provided December 2025 rent roll and NOI DSCR was 1.54x as of the trailing nine months ended September 2025. Major tenants include Garfunkel Wild P.C. (10.2% of NRA; leased through June 2038), Wright Risk Management (8.5%; March 2029) and Meyer, Suozzi, English, and Klein (7.2%; March 2030). The loan reported total reserves of $4.9 million or $11.0 psf as of the January 2026 financial reporting. According to CoStar, the property lies within the central Nassau office submarket of the Long Island, NY market. As of 4Q25, submarket asking rents average $35.02 psf and submarket vacancy rate was 7.9%. Fitch's 'Bsf' rating case loss of 27.5% (prior to a concentration adjustment) reflects the most recent May 2025 appraisal value, which is equal to approximately $138 psf. Increase in Credit Enhancement (CE): As of the January 2026 distribution date, the aggregate pool balances of the BMARK 2019-B11, BMARK 2019-B12 and BMARK 2019-B13 transactions have been reduced by 13.7%, 14.6% and 6.4%, respectively, since issuance. Defeasance across BMARK 2019-B11, BMARK 2019-B12 and BMARK 2019-B13 includes three loans (3.6% of the pool), one loan (0.3%), and one loan (1.8%), respectively, since issuance. Realized principal losses and interest shortfalls totaling $5.2 million and $2.4 million, respectively, are impacting classes VRR, H, G and F in BMARK 2019-B11, $901,346 of interest shortfalls impacting classes VRR, JRR, non-rated WMRR and WM-C in BMARK 2019-B12, and $893,401 of interest shortfalls impacting classes VRR and HRR in BMARK 2019-B13. 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 position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. Downgrades for the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with lower-than-expected recoveries for the specially serviced loans and with higher-than-expected losses from continued underperformance of the FLOCs. The FLOCs include 57 East 11th Street, Central Tower Office and Weston I & II in BMARK 2019-B11, The Zappettini Portfolio, 250 Livingston, and Oakbrook Terrace in BMARK 2019-B12, and Sunset North, 900 & 990 Stewart Avenue, Northpoint Tower and in BMARK 2019-B13. Downgrades to distressed ratings would occur should additional loans be transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased credit enhancement (CE), coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' and 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there 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. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2026-B42: Fitch Assigns B-(EXP) Rating on Cl. G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2026-B42 Mortgage Trust commercial mortgage pass-through certificates, series 2026-B42 as follows: - $8,602,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $7,560,000 class A-2 'AAA(EXP)sf'; Outlook Stable; - $189,709,000a class A-4 'AAA(EXP)sf'; Outlook Stable; - $264,034,000a class A-5 'AAA(EXP)sf'; Outlook Stable; - $26,371,000 class A-SB 'AAA(EXP)sf'; Outlook Stable; - $496,276,000b class X-A 'AAA(EXP)sf'; Outlook Stable; - $86,848,000 class A-S 'AAA(EXP)sf'; Outlook Stable; - $86,848,000b class X-B 'AAA(EXP)sf'; Outlook Stable; - $31,904,000c class B 'AA-(EXP)sf'; Outlook Stable; - $24,814,000c class C 'A-(EXP)sf'; Outlook Stable; - $7,089,000c class D 'BBB+(EXP)sf'; Outlook Stable; - $12,407,000c class E 'BBB-(EXP)sf'; Outlook Stable; - $13,293,000c class F 'BB-(EXP)sf'; Outlook Stable; - $13,293,000bc class X-F 'BB-(EXP)sf'; Outlook Stable; - $7,976,000cd class G-RR 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $21,269,000cd class J-RR; - $7,090,365cd class K-RR; - $20,235,348e class V-RR. (a) The initial certificate balances of classes A-4 and A-5 are unknown and are expected to be $453,743,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0-$189,709,000, and the expected class A-5 balance range is $264,034,000-$453,743,000. Fitch's certificate balances for classes A-4 and A-5 are assumed to be the midpoint of each range, respectively. In the event class A-5 is issued with an initial certificate balance of $453,743,000, class A-4 will not be issued. (b) Notional amount and interest only. (c) Privately place and pursuant to Rule 144A. (d) Horizontal risk retention interest. e) Vertical risk retention interest The expected ratings are based on information provided by the issuer as of Feb. 17, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 62 loans secured by 123 commercial properties with an aggregate principal balance of $729,201,713 as of the cutoff date. The loans were contributed to the trust by German American Capital Corporation, Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, Barclays Capital Real Estate Inc., UBS AG, Bank of Montreal and National Cooperative Bank, N.A. The master servicers are expected to be Midland Loan Services, a Division of PNC Bank National Association and National Cooperative Bank, N.A., and the special servicers are expected to be K-Star Asset Management LLC and National Cooperative Bank, N.A. Computershare Trust Company, National Association is expected to act as the trustee and certificate administrator. The certificates are expected to follow a sequential paydown structure. See Fitch's presale report for further details KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 32 loans totaling 81.9% of the pool by balance, including the largest 20 loans and all pari passu loans in the pool. Fitch's resulting net cash flow (NCF) of approximately $107.3 million represents a 13.5% decline from the issuer's underwritten NCF of approximately $124.1 million. The NCF decline is in line with both the 2025 and 2024 10-year multiborrower transaction averages of 13.5% and 13.2%, respectively. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Lower Fitch Leverage: The pool's Fitch leverage is lower than recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 87.6% is lower than the 2025 10-year multiborrower transaction average of 88.4% and higher than the 2024 10-year multiborrower transaction average of 84.5%. The pool's Fitch NCF debt yield (DY) of 14.7% is higher than both the 2025 and 2024 10-year averages of 12.2% and 12.3%, respectively. Investment-Grade Credit Opinion Loan: One loans representing 1.8% of the pool by balance received an investment-grade credit opinion. BioMed MIT Portfolio (1.8% of pool) received an investment-grade credit opinion of 'A-sf*' on a standalone basis. The pool's total credit opinion percentage is significantly lower than the 2025 and the 2024 10-year multiborrower transaction averages of 21.4% and 21.4%, respectively. The pool also contains non-credit opinion co-op loans totaling 10.5% of the pool. Excluding the credit opinion and co-op loans, the pool's Fitch LTV and DY are 95.1% and 10.2%, respectively, compared with the equivalent 10-year 2025 LTV and DY averages of 98.1% and 10.0%, respectively. Lower Pool Concentration: The pool is less concentrated than in other recent Fitch-rated transactions. The top 10 loans represent 50.6% of the pool, which is less concentrated than both the 2025 and 2024 10-year multiborrower averages of 62.9% and 63.0%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 29.4. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf' / 'BBB-sf' / 'BB-sf'/ 'B-sf. - 10% NCF Decline: 'AAsf' / 'Asf' / 'BBBsf' / 'BBB-sf' / 'BBsf' / 'B-sf' / ' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: AAAsf' / 'AA-sf' / 'A-sf' / 'BBB+sf' / 'BBB-sf' / 'BB-sf'/ 'B-sf. - 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'Asf' / 'A-sf' / 'BBBsf' / 'BB+sf' / 'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2026-V20: Fitch Assigns 'B-sf' Rating on Cl. F-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2026-V20 Mortgage Trust commercial mortgage pass-through certificates, series 2026-V20 as follows: - $4,488,000 class A-1 'AAAsf'; Outlook Stable; - $150,000,000a class A-2 'AAAsf'; Outlook Stable; - $453,030,000a class A-3 'AAAsf'; Outlook Stable; - $85,704,000 class A-M 'AAAsf'; Outlook Stable; - $43,394,000 class B 'AA-sf'; Outlook Stable; - $33,630,000 class C 'A-sf'; Outlook Stable; - $29,291,000c class D 'BBB-sf'; Outlook Stable; - $18,443,000c class E 'BB-sf'; Outlook Stable; - $13,018,000cd class F-RR 'B-sf'; Outlook Stable; - $693,222,000b class X-A 'AAAsf'; Outlook Stable; - $77,024,000b class X-B 'A-sf'; Outlook Stable; - $29,291,000bc class X-D 'BBB-sf'; Outlook Stable; - $18,443,000bc class X-E 'BB-sf'; Outlook Stable. The following classes are not rated by Fitch: - $36,885,584cd class G-RR; - $18,978,856e class VRR interest. (a) Since Fitch published its expected ratings on Jan. 26, 2026, the balances for classes A-2 and A-3 were finalized. The initial certificate balance of class A-2 was expected to be in the range of $0 to $274,943,000, and the initial certificate balance of class A-3 was expected to be in the range of $328,087,000 to $603,030,000. The final class balances of classes A-2 and A-3 are $150,000,000 and $453,030,000, respectively. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention. (e) Vertical risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 34 loans secured by 59 commercial properties having an aggregate principal balance of $886,862,441 as of the cutoff date. The loans were contributed to the trust by German American Capital Corporation, Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, Barclays Capital Real Estate Inc. and Bank of Montreal. The master servicer is Midland Loan Services, a Division of PNC Bank National Association, and the special servicer is Rialto Capital Advisors LLC. Computershare Trust Company, National Association is the trustee and certificate administrator. The certificates follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 21 loans totaling 86.9% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $94.1 million represents a 14.1% decline from the issuer's underwritten NCF of $109.5 million. Aggregate cash flows include only the prorated trust portion of any pari passu loan. Fitch Leverage: The pool's Fitch leverage is in line with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 97.4% is lower than the 2025 five-year multiborrower average of 101.0% and higher than the 2024 five-year multiborrower average of 95.2%. The pool's Fitch NCF debt yield (DY) of 10.6% is slightly above the 2025 and 2024 averages of 9.7% and 10.2%, respectively. Investment Grade Credit Opinion Loans: Two loans representing 10.7% of the pool by balance received an investment grade credit opinion. CityCenter (Aria & Vdara; 9.0% of the pool) and Torrey Heights (2.3% of the pool) received an investment-grade credit opinion of 'AAAsf*' and 'BBBsf*'on a standalone basis, respectively. Higher Pool Concentration: The pool is more concentrated than recent five-year multiborrower transactions rated by Fitch. The top 10 loans represent 66.2% of the pool, which is higher than the 2025 and 2024 averages of 61.7% and 60.2%, respectively. Fitch measures loan concentration risk with an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 20.3. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. 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'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'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'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BMARK 2024-V5: Fitch Affirms B-sf Rating on Class G-RR Debt ----------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Benchmark 2024-V5 Mortgage Trust (BMARK 2024-V5). The Outlooks on classes F, X-F, and G-RR were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BENCHMARK 2024-V5 A-1 08163XAW3 LT AAAsf Affirmed AAAsf A-3 08163XAY9 LT AAAsf Affirmed AAAsf A-M 08163XBA0 LT AAAsf Affirmed AAAsf B 08163XBB8 LT AA-sf Affirmed AA-sf C 08163XBC6 LT A-sf Affirmed A-sf D 08163XAG8 LT BBBsf Affirmed BBBsf E 08163XAJ2 LT BBB-sf Affirmed BBB-sf F 08163XAL7 LT BB-sf Affirmed BB-sf G-RR 08163XAN3 LT B-sf Affirmed B-sf X-A 08163XAZ6 LT AAAsf Affirmed AAAsf X-B 08163XAA1 LT AA-sf Affirmed AA-sf X-D 08163XAC7 LT BBB-sf Affirmed BBB-sf X-F 08163XAE3 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Fitch's deal-level 'Bsf' rating case loss has increased to 4.2%, above Fitch's issuance expectations. Ten loans are designated as Fitch Loans of Concern (FLOCs; 15.3% of the pool), including two loans (2.3%) in special servicing. The Negative Outlooks reflect increasing pool loss expectations and the potential for downgrades should FLOC performance deteriorate further and specially serviced loans/assets are subject to prolonged workouts with lower than expected recoveries. Largest Contributors to Expected Loss: The largest contributor to overall pool loss expectations is the specially serviced 100 Valley Hill Road loan (1.3% of the pool), which is secured by a 91-unit multifamily complex located in Riverdale, GA. The loan transferred to special servicing in July 2025 due to imminent monetary default and is over 90 days delinquent. According to the servicer, property management was changed without lender's consent. As of December 2024, revenue declined 65% from issuance, resulting in negative cash flow and an NCF DSCR of -0.32x. Fitch's 'Bsf' rating case loss of approximately 46.6% (prior to a concentration adjustment) is based on a discount to a recent appraisal value reflecting a stressed value of $71,200 per unit. The second largest contributor is the real estate owned (REO) Meadowbrook Apartments (1.1% of the pool), which is a 200-unit garden style multifamily property in Baton Rouge, LA. The property transferred to special servicing in November 2024 for payment default and is REO as of November 2025. Per the most recent servicer update, occupancy is 55% as of January 2026, compared with occupancy of 93% at issuance. Fitch's 'Bsf' rating case loss of 44.8% (prior to a concentration adjustment) is based on a discount to a recent appraisal value reflecting a stressed value of $34,800 per unit. The next largest contributor is the Millennia Michigan Multi Portfolio loan (3.4% of the pool), which is secured by two multifamily properties located in Michigan: the 407-unit Davis Creek Apartments in Portage, MI, and the 152-unit Canterbury East Apartments in Mount Pleasant, MI. The borrower failed to establish a cash management agreement in accordance with the loan agreement resulting in an event of default and a cash trap. Performance has deteriorated with YE 2024 NOI falling 17% from the originator's underwritten NOI from issuance. As of September 2025, NCF DSCR is 0.86x. Per the servicer provided September 2025 rent roll, the property was 99.3% occupied. Fitch's 'Bsf' rating case loss of 12.6% (prior to a concentration adjustment) reflects an 8.75% cap rate and a 30% stress to the Fitch issuance NCF. Limited Change to Credit Enhancement (CE): As of the February 2026 remittance report, the balance of the BMARK 2024-V5 transaction has declined by 0.02% from issuance, with 47.3% of the pool interest-only for the respective loan term. In addition, there is $247,734 in interest shortfalls affecting the non-rated class J-RR and $7,465 in interest shortfalls affecting the non-rated class VRR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. - Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur should performance of the FLOCs deteriorate significantly and/or if more loans than expected default at or prior to maturity. - Downgrades for the 'BBBsf', 'BBsf', and 'Bsf' categories are likely with higher-than-expected losses from the FLOCs, particularly the 100 Valley Hill Road and Meadowbrook Apartments loans, and with greater certainty of losses on the specially serviced loans. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and better than expected resolutions for the specially serviced loans. - 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 the likelihood of interest shortfalls. - Upgrades to the 'BBsf' and 'Bsf' category rated classes and below are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRANT POINT 2024-3: Fitch Assigns 'BB-(EXP)sf' Rating on E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Brant Point CLO 2024-3, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Brant Point CLO 2024-3, Ltd. A-1R LT NR(EXP)sf Expected Rating A-2R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1R LT BBB-(EXP)sf Expected Rating D-2R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Transaction Summary Brant Point CLO 2024-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point CLO C-MOA, LLC. This is the first reset of the transaction (f/k/a Sound Point CLO 38, Ltd.) originally closed in March 2024 where the existing secured notes will be refinanced in whole on February 24, 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 21.67 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 94.68% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.46% 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 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and '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, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'Asf' for class D-2R, and 'BBBsf' 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 Brant Point CLO 2024-3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BRANT POINT 2024-3: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Brant Point CLO 2024-3, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Brant Point CLO 2024-3, Ltd. A-1R LT NRsf New Rating NR(EXP)sf A-2R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-R LT Asf New Rating A(EXP)sf D-1R LT BBB-sf New Rating BBB-(EXP)sf D-2R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary Brant Point CLO 2024-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point CLO C-MOA, LLC. This is the first reset of the transaction (f/k/a Sound Point CLO 38, Ltd.) originally closed in March 2024, where the existing secured notes will be refinanced in whole on Feb. 24, 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 21.67 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 94.68% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.46% 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 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 4.9-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'Asf' for class D-2R, and 'BBBsf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 19 February 2026 ESG Considerations Fitch does not provide ESG relevance scores for Brant Point CLO 2024-3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BSREP COMMERCIAL 2021-DC: Fitch Affirms BB- Rating on Two Tranches ------------------------------------------------------------------ Fitch Ratings has downgraded class A and affirmed classes B, C, D and X-EXT of BSREP Commercial Mortgage Trust 2021-DC (BSREP 2021-DC), Commercial Mortgage Pass-Through Certificates Series 2021-DC. Class A has been assigned a Negative Outlook following its downgrade. The Rating Outlooks for classes B, C, D and X-EXT remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BSREP 2021-DC A 05591UAA5 LT AAsf Downgrade AAAsf B 05591UAC1 LT A-sf Affirmed A-sf C 05591UAE7 LT BBB-sf Affirmed BBB-sf D 05591UAG2 LT BB-sf Affirmed BB-sf X-EXT 05591UAW7 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Continued Portfolio Performance Decline; Upcoming Final Extended Loan Maturity: The downgrade reflects Fitch's reassessment of a lower long-term sustainable net cash flow (NCF) since the last rating action due to limited property leasing activity, a decline in occupancy, and challenged submarket conditions. Fitch's updated NCF has declined to $25.2 million since the prior rating. The decline in NCF for the remaining six portfolio properties is driven by higher vacancy, due to recent rollover and higher reported expenses - most notably real estate taxes - in addition to challenging market conditions in the metro Washington, DC office market. The portfolio is generally underperforming similar quality properties in the respective property submarkets. The Negative Outlooks reflect the potential for further downgrades if market conditions and/or actual portfolio performance deteriorate beyond Fitch's current expectations of sustainable performance. They also reflect the potential for the loan to default at or before its August 2026 maturity. If the borrower is unable to repay the loan and a viable workout is not reached, further downgrades are possible. The borrower has yet to communicate their payoff plans or commitment to the properties. Fitch Net Cash Flow and Occupancy Decline: Fitch's reassessment of sustainable NCF assumed the leases in place inclusive of near-term rent steps and recoveries from the servicer provided rent rolls for the remaining six properties as of September 2025. The portfolio occupancy is approximately 71.1%, compared with 73.7% as of February 2025 for the same properties. Portfolio occupancy inclusive of released properties was 81.4% as of September 2023 and 77.3% at issuance. While income is relatively in-line with Fitch's last rating action, expenses have increased approximately 7.5%, mostly due to a $2.4 million, or nearly 25%, increase in real estate taxes, which was based on the annualized September 2024 financials. The current tax amount reflects both the YE 2024 and annualized Sept 2025 reporting. Fitch's comparable NCF at the last rating action was $26.6 million. High Fitch Stressed Leverage: The $377.6 million loan amounts to total debt of approximately $312 psf, which results in a Fitch stressed DSCR, loan-to-value (LTV) and debt yield (DY) of 0.67x, 134.8% and 6.7%, respectively. The loan's Fitch's DSCR, LTV and DY through the lowest Fitch-rated tranche, rated 'BB-sf', are 1.01x, 88.7% and 10.1%, respectively. Cumulative proceeds through 'BB-sf' are approximately $210 psf. At issuance, the loan's Fitch's DSCR, LTV and DY through the lowest Fitch-rated tranche, originally rated 'BBB-sf', were 1.27x, 70.5% and 12.1%, respectively. Fitch's analysis maintained its higher stressed capitalization rate of 9.0%, up from 8.5% at issuance, to factor in the decline in submarket performance, negative office sector outlook, as well as the property quality and granular tenancy. Well Located Properties: Four assets, representing 51% of the remaining allocated balance and 46.8% of remaining portfolio NRA are located in downtown Washington, D.C. between the White House and Dupont Circle, within two to four blocks from the nearest Metro station. The other two remaining assets, totaling 53.2% of portfolio NRA, are located in Arlington, VA, with the two buildings, Arlington Tower and 1600 Wilson, located near the Metro station in the Rosslyn neighborhood. Per CoStar as of February 2026, the subject properties are underperforming their submarkets: the Washington, DC and Rosslyn office submarkets have a weighted average vacancy and availability rate of approximately 21.8% and 26.6%, respectively, for similar quality properties. Rent Roll Diversity: As of the servicer provided September 2025 rent roll, Fitch's calculated portfolio occupancy is approximately 71.1% with space leased to over 100 tenants across six different properties in two submarkets of the metro Washington, D.C. office market. The largest tenants are Hughes Hubbard & Reed LLP (4.0% of the portfolio NRA, lease expiration in 2033) and RTX (Raytheon, 3.7%, 2030). Institutional Sponsorship: The portfolio was acquired by Brookfield Strategic Real Estate Partners IV, part of the Brookfield Property Partners L.P (BPY) global opportunistic real estate program that is controlled by Brookfield Asset Management, Inc. (BAM). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect the potential for further downgrades if market conditions and/or actual portfolio performance deteriorate beyond Fitch's current expectations of sustainable performance. If the borrower is unable to repay the loan at the August 2026 maturity and a viable workout is not reached, further downgrades are possible. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are unlikely given the upcoming final maturity risk and overall challenged office market in the Washington D.C. area but are possible with significant deleveraging and improved portfolio performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BSST 2022-1700: DBRS Confirms C Rating on 3 Cert. Classes --------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2022-1700 issued by BSST 2022-1700 Mortgage Trust as follows: -- Class A at A (sf) -- Class X-EXT at A (high) (sf) -- Class B at BBB (low) (sf) -- Class C at BB (low) (sf) -- Class D at CCC (sf) -- Class E at C (sf) -- Class F at C (sf) -- Class G at C (sf) Classes D, E, F, and G have credit ratings that does not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. All other classes have negative trends. Morningstar DBRS confirmed its credit ratings on all outstanding certificates based on a recoverability analysis of the collateral, 1700 Market Street. That analysis, as discussed further below, indicates that realized losses may run up through the Class D certificate, supporting the credit rating confirmations. The trends on Classes A, X-EXT, B, and C remain Negative because of the possibility that the value of the underlying collateral could further decline and the uncertainty around the ultimate resolution means the servicer takes a conservative approach to interest advancing over the remainder of the workout period. The collateral property, a 32-story, 850,723-square-foot (sf) office building in the central business district of Philadelphia, is in a soft submarket with minimal absorption observed in 2025. Both the occupancy rate and cash flows remain below issuance expectations, and the difficult market conditions suggest an extended stabilization timeline. The loan transferred to the special servicer in August 2023 at the borrower's request to engage in potential loan modification discussions ahead of the February 2024 loan maturity date. The loan is past its initial maturity date and a receiver motion was granted in September 2024 while foreclosure proceedings remain ongoing. According to a number of online news articles, the receiver is marketing the property for sale. The subject is two blocks from City Hall and Rittenhouse Square in the Market Street West/City Center submarket of Philadelphia. The transaction sponsor, Shorenstein Realty Investors Eleven L.P., acquired the collateral in January 2016 for $195.0 million. The loan had an initial term of 24 months with three one-year extension options for a fully extended maturity in February 2027. According to the December 2025 rent roll, the subject was 72.5% occupied, compared with 75.7% at January 2025, 80% at YE2022, and 88% at closing. The current largest tenants at the subject include Reliance Standard Life Insurance (Reliance; 17.9% of the net rentable area (NRA); lease expiry in December 2031), Deloitte & Touche (10.9% of NRA; lease expiry in June 2031), and OSISOFT LLC (7.1% of NRA; lease expiry in March 2030). Over the next 12 months, there is cumulative tenant rollover risk of 4.6% of the NRA. Jones Lang Lasalle's website is advertising approximately 4.6% of the NRA available immediately on a direct lease and 3.6% of the NRA available for sublease (the latter is a portion of Reliance's former space). According to Reis, the City Center submarket reported a vacancy rate of 15.4% as of Q4 2025 compared with 13.6% in Q4 2024, and this figure is expected to remain at around 14.5% throughout 2026. According to a Q4 2025 market report from CBRE, year-to-date net absorption in the downtown Philadelphia submarket was reported at -267,620 sf. The loan's debt service coverage ratio (DSCR) increased slightly to 0.72 times (x) as of the September 2025 reporting compared with the DSCR of 0.57x at YE2023. At issuance, the subject was valued at $244.5 million ($288 per sf (psf)). Since that time, three appraisals, conducted in April 2024, December 2024, and June 2025, yielded identical in-place valuations of $199 million ($234 psf). The June 2025 appraisal provided a projected stabilized property value of $247 million ($290 psf), which remains below the April and December 2024 figures of $254 million ($298 psf) and $248 million ($291 psf), respectively. The June 2025 as-is valuation equates to an updated loan-to-value ratio (LTV) of 94.5% compared with the issuance appraised LTV of 76.8% and implies an aggressive capitalization (cap) rate of 5.4% on the annualized September 2025 net cash flow (NCF) reported by the servicer. For the purpose of this credit rating action, Morningstar DBRS used a liquidation scenario based on the most recent appraised value to determine recoverability. Morningstar DBRS' liquidation scenario was based on a 40.0% haircut to the June 2025 appraised value, determined by applying a stressed cap rate to the annualized financials for the trailing nine-month period ended September 30, 2025, NCF of $10.7 million. The haircut to the most recent appraisal reflects Morningstar DBRS' expectation that the property's as-is appraised value will likely decline further over the remainder of the loan term given its location and the availability of similar collateral in the market, including the office building across the street at 1818 Market Street, owned by the subject's sponsor and also backing a defaulted CMBS loan in the Morningstar DBRS-rated BSST 2021-1818 Mortgage Trust transaction. The Morningstar DBRS analysis also considered outstanding and expected servicer expenses and shortfalls, which cumulatively totaled nearly $19 million. The resulting loss severity in excess of 47%, or approximately $89 million, is in line with the analyzed severity at the last credit rating action for the transaction. In addition, the resulting value psf of $140 psf is in line with the Morningstar DBRS value psf for the 1818 Market Street property, derived in the analysis for the January 2026 credit rating action for that transaction. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in U.S. dollars unless otherwise noted. BX COMMERCIAL 2026-VLT9: DBRS Assigns BB(low) Rating on Cl. E Certs ------------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-VLT9 (the Certificates) issued by BX Commercial Mortgage Trust 2026-VLT9 (BX 2026-VLT9): -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BB (low) (sf) -- Class HRR at B (high) (sf) All trends are Stable. BX 2026-VLT9 is a single-asset/single-borrower transaction collateralized by the borrower's fee-simple interests in three data center properties. Morningstar DBRS generally takes a positive view on the credit profile of the overall transaction based on the portfolio's favorable property quality, affordable power rates, institutional sponsorship and management, geographic diversity, and desirable efficiency metrics. QTS (or the Sponsor) is one of the largest data center owners globally with a portfolio of more than 75 data centers across 20 global markets, totaling more than 1,200 customers with 99% leased capacity, including the subject portfolio. Founded in 2003, with a single data center in Kansas, QTS continued acquiring data centers and by 2008 it had a presence in Georgia, California, and Florida. QTS' Sustainability Report and QTS' Freedom standard data center design, which standardizes every element of the data center, further supports QTS' advanced purchasing model. Using consistent equipment across its portfolio of Freedom Design facilities, QTS can forward purchase hundreds of megawatts (MW) worth of equipment. QTS' Freedom data center design includes a water-free cooling system that delivers a Water Usage Effectiveness of 0.0 for data center operations and electric vehicle charging stations. Morningstar DBRS' credit ratings on the Certificates reflect the moderate leverage of the transaction, the strong and stable cash flow performance, and a firm legal structure to protect certificate holders' interests. The credit ratings also reflect the high quality of service provided by QTS, the access to key fiber nodes, and the technology that can maintain the data centers' relevance into the future. The subject data centers received $682 million in capital investment (approximately $7.2 million per MW) across the portfolio over the last four years to double the total leasable capacity and benefit from Tier 1 market network densities. QTS is responsible for servicing a diverse tenant base, with more than 1,200 customers around the world. The well-seasoned QTS management team boasts at least 20 years of operating history in total and a relatively strong track record. Additionally, QTS is committed to providing an environment of sustainability within its operations. It has committed to designing 100% of its buildings to green building standards, recycling 90% of operational waste by 2025, and making 100% of new builds reliant on zero water for cooling. Data centers, which have existed in various forms for many years, have become a key component of the modern global technology industry. The advent of cloud computing, streaming media, file storage, and artificial intelligence (AI) applications has increased the need for these facilities over the last decade in order to manage, store, and transmit data globally. Both hyperscale and co-location data centers have a role in the existing data ecosystem. Hyperscale data centers are designed for large capacity storage and processing of information, whereas co-location centers act as an on-ramp for users to gain access to the wider network or for information from the network to be routed back to users. From the standpoint of the physical plants, the subject data center assets are adequately powered, with some assets in the portfolio exhibiting higher critical IT loads than others. Morningstar DBRS views the data center collateral as strong assets with a strong critical infrastructure, including power and redundancy, that is built to accommodate the technology needs of today and the future. Morningstar DBRS' credit ratings on Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Principal Distribution Amounts and Interest Distribution Amounts for Class A, Class B, Class C, Class D, Class E, and Principal Distribution Amount for Class HRR. Notes: All figures are in U.S. dollars unless otherwise noted. BX TRUST 2026-CART: Fitch Assigns 'BB-sf' Rating on Class E Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Ratings Outlooks to BX Trust 2026-CART, Commercial Mortgage Pass-Through Certificates, series 2026-CART: - $185,100,000 class A 'AAAsf'; Outlook Stable; - $31,200,000 class B 'AA-sf'; Outlook Stable; - $24,400,000 class C 'A-sf'; Outlook Stable; - $34,500,000 class D 'BBB-sf'; Outlook Stable; - $39,440,000 class E 'BB-sf'; Outlook Stable. The following class is not 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) represent the beneficial ownership interest in a trust that holds a $331.2 million, two-year, floating-rate, IO mortgage loan with three one-year extension options. The mortgage is secured by the borrower's fee simple interest in a portfolio of 16 grocery-anchored properties in Texas, across three metropolitan service areas (MSAs). The properties were acquired by affiliates of Blackstone Real Estate Partners X L.P., which serves 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, were used to purchase the portfolio for approximately $432.3 million and paid $9.2 million in closing costs. The certificates follow a pro-rata paydown for the initial 30% of the loan amount and a standard senior sequential paydown thereafter. The loan was originated by Morgan Stanley Mortgage Capital Holdings LLC. Trimont LLC will serve as the master servicer and Situs Holdings, LLC will serve at the special servicer. Deutsche Bank National Trust Company, National Association will act as the trustee and Computershare Trust Company, National Association is the certificate administrator. BellOak, LLC will act as operating advisor. The transaction closed on Feb. 18, 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 L.P., 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. BX TRUST 2026-OPTM: S&P Assigns Prelim BB (sf) Rating on HRR Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to BX Trust 2026-OPTM's commercial mortgage pass-through certificates. The certificate issuance is a CMBS transaction backed by the first-mortgage lien on the borrowers' fee-simple interests in nine multifamily properties comprising 2,936 units located in six states. The preliminary ratings are based on information as of March 4, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P Global Ratings' view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction structure. S&P determined that the mortgage loan has a beginning and ending loan-to-value ratio of 92.5%, based on S&P Global Ratings' value of the properties backing the transaction. Preliminary Ratings Assigned BX Trust 2026-OPTM(i) Class A, $343,400,000: AAA (sf) Class B, $88,600,000: AA- (sf) Class C, $66,700,000: A- (sf) Class D, $72,700,000: BBB- (sf) Class E, $14,750,000: BB+ (sf) Class HRR, $30,850,000: BB (sf) (i)Certificate balances are approximate, subject to a variance of plus or minus 5.0%. HRR--Horizontal residual interest certificate. CARLYLE US 2019-3: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2019-3, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2019-3, Ltd. A-1R3 LT NRsf New Rating A-2-RR 14314HBA1 LT PIFsf Paid In Full AAsf A-2F-R 14314HBG8 LT PIFsf Paid In Full AAsf A-2R3 LT AAAsf New Rating B-R3 LT AAsf New Rating B-RR 14314HBC7 LT PIFsf Paid In Full Asf C-1-RR 14314HBE3 LT PIFsf Paid In Full BBB+sf C-2-RR 14314HBJ2 LT PIFsf Paid In Full BBB-sf C-R3 LT Asf New Rating D-1R3 LT BBB+sf New Rating D-2R3 LT BBB-sf New Rating D-3R3 LT BBB-sf New Rating D-RR 14314KAJ6 LT PIFsf Paid In Full BB-sf E-R3 LT BB-sf New Rating Transaction Summary Carlyle US CLO 2019-3, Ltd. is an arbitrage cash flow collateralized loan obligation (CLO) managed by Carlyle CLO Management, LLC that originally closed in September 2019, refinanced in whole in December 2021 resulting in tighter spreads and some tranche consolidation, and further reset in February 2024 resulting in a maturity date of April 2037 (versus April 2032). The current transaction serves as the third re-financing (reset) and results in a maturity extension to April 2039 and some changes to the capital structure. Net proceeds from the issuance of the new secured notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.12 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 95.44% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.95% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43% of the portfolio balance in aggregate while the top five obligors can represent up to 10% 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 5.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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-2R3, between 'BB+sf' and 'A+sf' for class B-R3, between 'Bsf' and 'BBB+sf' for class C-R3, between less than 'B-sf' and 'BBB-sf' for class D-1R3, between less than 'B-sf' and 'BB+sf' for class D-2R3, between less than 'B-sf' and 'BB+sf' for class D-3R3, and between less than 'B-sf' and 'B+sf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R3 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AA+sf' for class C-R3, 'A+sf' for class D-1R3, 'Asf' for class D-2R3, 'A-sf' for class D-3R3, and 'BBB+sf' for class E-R3. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2019-3, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CARLYLE US 2022-3: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2022-3, LTD. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Carlyle US CLO 2022-3, Ltd. A-1-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating B-R 143111AN2 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-R 143111AQ5 LT PIFsf Paid In Full Asf C-R2 LT Asf New Rating D-1-R 143111AU6 LT PIFsf Paid In Full BBBsf D-1-R2 LT BBB-sf New Rating D-2-R 143111AS1 LT PIFsf Paid In Full BBB-sf D-2-R2 LT BBB-sf New Rating E-R 14317AAJ5 LT PIFsf Paid In Full BB-sf E-R2 LT BB-sf New Rating X-R2 LT AAAsf New Rating Transaction Summary Carlyle US CLO 2022-3, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C.. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.7, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.2% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.0% 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 5.1- year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio 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 'AAAsf' for class X-R2, between 'BBB+sf' and 'AA+sf' for class A-1-R2, between 'BBBsf' 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, 'AA+sf' for class C-R2, 'Asf' for class D-1-R2, 'A-sf' for class D-2-R2 and 'BBB+sf' for class E-R2. CRITERIA VARIATION There are no criteria variations. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2022-3, Ltd.. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. CARVANA AUTO 2026-P1: S&P Assigns Prelim BB-(sf) Rating on N Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Carvana Auto Receivables Trust 2026-P1's automobile asset-backed notes. The note issuance is an ABS securitization backed by prime auto loan receivables. The preliminary ratings are based on information as of March 4, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of 16.53%, 12.94%, 8.79%, 5.95%, and 5.78% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, A-3, and A-4, collectively), B, C, D, and N notes, respectively, based on stressed cash flow scenarios. These credit support levels provide over 5.00x, 4.00x, 3.00x, 2.00x, and 1.43x coverage of S&P's expected cumulative net loss of 2.85% for the class A, B, C, D, and N notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and N notes, respectively, are within its credit stability limits. -- The timely interest and principal payments by the designated legal final maturity dates under our stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' prime automobile loans, S&P's view of the credit risk of the collateral, and its updated U.S. macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Bridgecrest Credit Co. LLC as servicer, as well as the backup servicing agreement with Vervent Inc. -- 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(i)(ii) Carvana Auto Receivables Trust 2026-P1 Class A-1, $120.290 million: A-1+ (sf) Class A-2, $309.000 million: AAA (sf) Class A-3, $309.000 million: AAA (sf) Class A-4, $199.980 million: AAA (sf) Class B, $43.080 million: AA (sf) Class C, $47.280 million: A (sf) Class D, $22.070 million: BBB (sf) Class N(iii), $20.800 million: BB- (sf) (i)Class XS notes (unrated) will be issued at closing and may be retained or sold in one or more private placements. (ii)The actual interest rate and amount for each class will be determined on the pricing date. (iii)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. CEDAR CREST 2022-1: Fitch Affirms 'B-sf' Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has upgraded the class B and C notes and affirmed the class A-FL, A-FX, D, E and F notes of Cedar Crest 2022-1 LLC. The Outlooks for all classes are Stable. Entity/Debt Rating Prior ----------- ------ ----- Cedar Crest 2022-1 LLC A-FL 15018VAA7 LT AAAsf Affirmed AAAsf A-FX 15018VAC3 LT AAAsf Affirmed AAAsf B 15018VAE9 LT AAAsf Upgrade AAsf C 15018VAG4 LT A+sf Upgrade Asf D 15018VAJ8 LT BBB-sf Affirmed BBB-sf E 15018VAL3 LT BB-sf Affirmed BB-sf F 15018VAN9 LT B-sf Affirmed B-sf Transaction Summary Cedar Crest 2022-1 LLC is an arbitrage middle-market (MM) collateralized loan obligation (CLO) managed by Eldridge Structured Credit Advisers, LLC. The transaction originally closed in November 2022, and is secured primarily by first lien, senior secured leveraged loans. The reinvestment period was originally scheduled to end on Oct. 28, 2026. However, the manager declared an early termination that ended the reinvestment period on Dec. 10, 2025. KEY RATING DRIVERS Early Termination of Reinvestment Period and Note Amortization The upgrades and Positive Outlooks are driven by note amortization of the Class A-FL and A-FX (collectively, class A) notes after the early termination of the reinvestment period, which resulted in increased credit enhancement (CE) levels and break-even default rate cushions against their relevant rating stress default levels. Following the early termination, an off-cycle payment date occurred Dec. 19, 2025 for distribution of principal proceeds on deposit in the collection account. As of the January 2026 payment date, approximately 68% of the original class A note balance have amortized. Stable Portfolio Performance Amid Increasing Portfolio Concentration Based on the portfolio provided in the January 2026 report, the portfolio credit quality has remained stable at the 'B'/'B-' level, with Fitch's weighted average rating factor increasing slightly to 31.0 from 30.9 at the last review in September 2025. The Fitch weighted average recovery rate of the portfolio has also improved to 68.8% from 67.5%. However, the portfolio concentration has increased, with the total number of obligors decreasing to 48 from 60, increasing the concentration of the largest 10 obligors to 48.1% of the portfolio from 32.5% at last review. Updated Cash Flow Analysis Fitch conducted an updated cash flow analysis based on a stressed portfolio that assumed a one-notch downgrade on the Fitch Issuer Default Rating (IDR) Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. In addition, the weighted average life of the portfolio was extended to the maximum covenant level of 6.0 years for potential maturity amendments. The rating actions for the class A and B notes are in line with their model implied ratings (MIRs), as defined in Fitch's "CLOs and Corporate CDOs Rating Criteria". For all other rated classes, Fitch viewed the breakeven default cushions as insufficient at their MIRs given expected rising portfolio concentration and sensitivities to lower recoveries. As a result, Fitch upgraded the class C notes three notches below its MIR and affirmed the class D, E and F notes two notches below their respective MIRs. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in stresses scenarios commensurate with each class's ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed. - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades of at least one rating category for class F notes and up to one notch for all other rated notes, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance. - Except for the 'AAAsf' rated notes, which are at the highest level on Fitch's scale and cannot be upgraded, a 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of up to eight notches, based on the MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Cedar Crest 2022-1 LLC. 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. CHASE HOME 2026-2: DBRS Finalizes B(low) Rating on Class B5 Certs ----------------------------------------------------------------- DBRS, Inc. finalized the following provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2026-2 (the Certificates) issued by Chase Home Lending Mortgage Trust 2026-2: -- $439.3 million Class A-1 at AAA (sf) -- $392.4 million Class A-2 at AAA (sf) -- $274.7 million Class A-3 at AAA (sf) -- $274.7 million Class A-3-A at AAA (sf) -- $274.7 million Class A-3-B at AAA (sf) -- $274.7 million Class A-3-X1 at AAA (sf) -- $274.7 million Class A-3-X2 at AAA (sf) -- $274.7 million Class A-3-X3 at AAA (sf) -- $206.0 million Class A-4 at AAA (sf) -- $206.0 million Class A-4-A at AAA (sf) -- $206.0 million Class A-4-B at AAA (sf) -- $206.0 million Class A-4-X1 at AAA (sf) -- $206.0 million Class A-4-X2 at AAA (sf) -- $206.0 million Class A-4-X3 at AAA (sf) -- $68.7 million Class A-5 at AAA (sf) -- $68.7 million Class A-5-A at AAA (sf) -- $68.7 million Class A-5-B at AAA (sf) -- $68.7 million Class A-5-X1 at AAA (sf) -- $68.7 million Class A-5-X2 at AAA (sf) -- $68.7 million Class A-5-X3 at AAA (sf) -- $164.8 million Class A-6 at AAA (sf) -- $164.8 million Class A-6-A at AAA (sf) -- $164.8 million Class A-6-B at AAA (sf) -- $164.8 million Class A-6-X1 at AAA (sf) -- $164.8 million Class A-6-X2 at AAA (sf) -- $164.8 million Class A-6-X3 at AAA (sf) -- $109.9 million Class A-7 at AAA (sf) -- $109.9 million Class A-7-A at AAA (sf) -- $109.9 million Class A-7-B at AAA (sf) -- $109.9 million Class A-7-X1 at AAA (sf) -- $109.9 million Class A-7-X2 at AAA (sf) -- $109.9 million Class A-7-X3 at AAA (sf) -- $41.2 million Class A-8 at AAA (sf) -- $41.2 million Class A-8-A at AAA (sf) -- $41.2 million Class A-8-B at AAA (sf) -- $41.2 million Class A-8-X1 at AAA (sf) -- $41.2 million Class A-8-X2 at AAA (sf) -- $41.2 million Class A-8-X3 at AAA (sf) -- $46.9 million Class A-9 at AAA (sf) -- $46.9 million Class A-9-A at AAA (sf) -- $46.9 million Class A-9-B at AAA (sf) -- $46.9 million Class A-9-X1 at AAA (sf) -- $46.9 million Class A-9-X2 at AAA (sf) -- $46.9 million Class A-9-X3 at AAA (sf) -- $109.9 million Class A-10 at AAA (sf) -- $109.9 million Class A-10-A at AAA (sf) -- $109.9 million Class A-10-B at AAA (sf) -- $109.9 million Class A-10-X1 at AAA (sf) -- $109.9 million Class A-10-X2 at AAA (sf) -- $109.9 million Class A-10-X3 at AAA (sf) -- $117.7 million Class A-11 at AAA (sf) -- $117.7 million Class A-11-X at AAA (sf) -- $117.7 million Class A-12 at AAA (sf) -- $117.7 million Class A-13 at AAA (sf) -- $117.7 million Class A-13-X at AAA (sf) -- $117.7 million Class A-14 at AAA (sf) -- $117.7 million Class A-14-X at AAA (sf) -- $117.7 million Class A-14-X2 at AAA (sf) -- $117.7 million Class A-14-X3 at AAA (sf) -- $117.7 million Class A-14-X4 at AAA (sf) -- $54.9 million Class A-15 at AAA (sf) -- $54.9 million Class A-15-A at AAA (sf) -- $54.9 million Class A-15-B at AAA (sf) -- $54.9 million Class A-15-X1 at AAA (sf) -- $54.9 million Class A-15-X2 at AAA (sf) -- $54.9 million Class A-15-X3 at AAA (sf) -- $54.9 million Class A-16 at AAA (sf) -- $54.9 million Class A-16-A at AAA (sf) -- $54.9 million Class A-16-B at AAA (sf) -- $54.9 million Class A-16-X1 at AAA (sf) -- $54.9 million Class A-16-X2 at AAA (sf) -- $54.9 million Class A-16-X3 at AAA (sf) -- $54.9 million Class A-17 at AAA (sf) -- $54.9 million Class A-17-A at AAA (sf) -- $54.9 million Class A-17-B at AAA (sf) -- $54.9 million Class A-17-X1 at AAA (sf) -- $54.9 million Class A-17-X2 at AAA (sf) -- $54.9 million Class A-17-X3 at AAA (sf) -- $96.1 million Class A-18 at AAA (sf) -- $96.1 million Class A-18-A at AAA (sf) -- $96.1 million Class A-18-B at AAA (sf) -- $96.1 million Class A-18-X1 at AAA (sf) -- $96.1 million Class A-18-X2 at AAA (sf) -- $96.1 million Class A-18-X3 at AAA (sf) -- $439.3 million Class A-X-1 at AAA (sf) -- $9.2 million Class B-1 at AA (low) (sf) -- $9.2 million Class B-1-A at AA (low) (sf) -- $9.2 million Class B-1-X at AA (low) (sf) -- $5.3 million Class B-2 at A (low) (sf) -- $5.3 million Class B-2-A at A (low) (sf) -- $5.3 million Class B-2-X at A (low) (sf) -- $3.7 million Class B-3 at BBB (low) (sf) -- $2.1 million Class B-4 at BB (low) (sf) -- $923.4 thousand Class B-5 at B (low) (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-B, 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-2, A-3, A-3-A, A-3-B, 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 4.85% 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 2.85%, 1.70%, 0.90%, 0.45%, 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 385 loans with a total principal balance of $485,984,999 as of the Cut-Off Date (February 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 36.0% of the loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. JP Morgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of 100.0% of the pool. For this transaction, generally, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. U.S. Bank Trust Company, National Association, rated AA with a Stable trend by Morningstar DBRS, will act as the Securities Administrator. U.S. Bank Trust National Association will act as the Delaware Trustee. JPMCB will act as the Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The Sponsor (JPMCB) will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing not less than 5.0% of the initial Class Principal Amount of each class of Certificates (other than the Class A-R Certificates) to satisfy the EU/UK Risk Retention requirements under Article 6(3) of PRASR and Chapter 4 of SECN 5 of the UK Securitization Framework and Article 6(4) of the EU Securitization Regulation. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in U.S. dollars unless otherwise noted. CHASE HOME 2026-2: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Chase Home Lending Mortgage Trust 2026-2 (Chase 2026-2). Entity/Debt Rating ----------- ------ Chase 2026-2 A1 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A10A LT AAA(EXP)sf Expected Rating A10B LT AAA(EXP)sf Expected Rating A10X1 LT AAA(EXP)sf Expected Rating A10X2 LT AAA(EXP)sf Expected Rating A10X3 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A11X LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A13X LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A14X LT AAA(EXP)sf Expected Rating A14X2 LT AAA(EXP)sf Expected Rating A14X3 LT AAA(EXP)sf Expected Rating A14X4 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A15A LT AAA(EXP)sf Expected Rating A15B LT AAA(EXP)sf Expected Rating A15X1 LT AAA(EXP)sf Expected Rating A15X2 LT AAA(EXP)sf Expected Rating A15X3 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A16B LT AAA(EXP)sf Expected Rating A16X1 LT AAA(EXP)sf Expected Rating A16X2 LT AAA(EXP)sf Expected Rating A16X3 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A17A LT AAA(EXP)sf Expected Rating A17B LT AAA(EXP)sf Expected Rating A17X1 LT AAA(EXP)sf Expected Rating A17X2 LT AAA(EXP)sf Expected Rating A17X3 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A18A LT AAA(EXP)sf Expected Rating A18B LT AAA(EXP)sf Expected Rating A18X1 LT AAA(EXP)sf Expected Rating A18X2 LT AAA(EXP)sf Expected Rating A18X3 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A3A LT AAA(EXP)sf Expected Rating A3B LT AAA(EXP)sf Expected Rating A3X1 LT AAA(EXP)sf Expected Rating A3X2 LT AAA(EXP)sf Expected Rating A3X3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4B LT AAA(EXP)sf Expected Rating A4X1 LT AAA(EXP)sf Expected Rating A4X2 LT AAA(EXP)sf Expected Rating A4X3 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A5A LT AAA(EXP)sf Expected Rating A5B LT AAA(EXP)sf Expected Rating A5X1 LT AAA(EXP)sf Expected Rating A5X2 LT AAA(EXP)sf Expected Rating A5X3 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A6A LT AAA(EXP)sf Expected Rating A6B LT AAA(EXP)sf Expected Rating A6X1 LT AAA(EXP)sf Expected Rating A6X2 LT AAA(EXP)sf Expected Rating A6X3 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A7B LT AAA(EXP)sf Expected Rating A7X1 LT AAA(EXP)sf Expected Rating A7X2 LT AAA(EXP)sf Expected Rating A7X3 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A8A LT AAA(EXP)sf Expected Rating A8B LT AAA(EXP)sf Expected Rating A8X1 LT AAA(EXP)sf Expected Rating A8X2 LT AAA(EXP)sf Expected Rating A8X3 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A9A LT AAA(EXP)sf Expected Rating A9B LT AAA(EXP)sf Expected Rating A9X1 LT AAA(EXP)sf Expected Rating A9X2 LT AAA(EXP)sf Expected Rating A9X3 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating B1X LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating B2X LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating RR LT NR(EXP)sf Expected Rating Transaction Summary Fitch Ratings expects to rate the residential mortgage-backed certificates issued by Chase Home Lending Mortgage Trust 2026-2 (Chase 2026-2) as indicated above. The certificates are supported by 385 loans with a scheduled balance of $486 million as of the cutoff date. The closing date is Feb. 27, 2026. The pool consists of prime-quality, fixed-rate mortgages (FRMs) solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties (R&Ws) are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate, based off the SOFR index, and capped at the net WAC. KEY RATING DRIVERS Credit Risk of High-Quality Prime Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess credit risk and expected losses. The pool comprises high-quality prime loans with a weighted average (WA) FICO score of 773, a WA combined loan-to-value ratio (cLTV) of 72.2% and a WA debt-to-income ratio (DTI) of 33.81%. The WA liquid reserves amount to $803,066. These strong collateral attributes are reflected in Fitch's loss analysis. Chase 2026-2 has a final probability of default (PD) of 9.02% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 35.20%. The expected loss in the 'AAAsf' rating stress is 3.17%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in Chase 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. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The CE or senior subordination floor of 0.80% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 0.60% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the nonretained portion of the loans will be allocated, first, to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent principal and interest (P&I) until it is deemed nonrecoverable. As a result, the LS was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyzes the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating loss projections derived from Fitch's asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 61.89% of the loans in the transaction (60.26% by loan count). Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm that have a final grade of either "A" or "B." Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects Chase 2026-2 to be a fully de-linked and bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Positive): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Chase 2026-2, and, therefore, Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 37.60% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC. The third-party due diligence described in Form 15E focused on four areas: compliance review, credit review, valuation review and data integrity. The third-party review was conducted on 61.89% (by balance)/60.26% (by loan count) of the pool. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B." DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 61.89% (by balance)/60.26% (by loan count of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the Resi PLS data layout format, and the data provided was considered comprehensive. The data contained in the Resi PLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CIFC FUNDING 2014-IV-R: Moody's Cuts Rating on E-R Notes to Caa1 ---------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by CIFC Funding 2014-IV-R, Ltd.: US$7,875,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to Caa1 (sf); previously on December 30, 2021 Assigned B3 (sf) CIFC Funding 2014-IV-R, Ltd., originally issued in September 2014 and last partially refinanced in March 2025, 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 will end in January 2027. 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 Class E-R 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 total collateral balance, including principal collections and expected recoveries from defaulted securities, is $508.1 million, which is $3.5 million less than the amount in the February 2025. Furthermore, the weighted average spread (WAS) has been deteriorating, and based on Moody's calculations the current level is 3.09%, compared to 3.36% in February 2025. No actions were taken on the Class A-1a-RR, Class A-1b-RR, Class A-2a-RR, Class A-2b-R, Class B-RR, Class C-RR, and Class D-RR 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: $507,678,838 Defaulted par: $2,326,580 Diversity Score: 90 Weighted Average Rating Factor (WARF): 2794 Weighted Average Spread (WAS): 3.09% Weighted Average Recovery Rate (WARR): 45.95% Weighted Average Life (WAL): 4.76 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 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 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. CIFC FUNDING 2017-IV: Moody's Affirms Ba2 Rating on Class D Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by CIFC Funding 2017-IV, Ltd.: US$49.14M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Nov 24, 2025 Upgraded to Aa3 (sf) Moody's have also affirmed the ratings on the following notes: US$520M (Current outstanding balance US$5,863,685) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 24, 2025 Affirmed Aaa (sf) US$88M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 24, 2025 Affirmed Aaa (sf) US$44.57M Class B-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 24, 2025 Affirmed Aaa (sf) US$34.29M Class D Junior Secured Deferrable Floating Rate Notes, Affirmed Ba2 (sf); previously on Nov 24, 2025 Affirmed Ba2 (sf) CIFC Funding 2017-IV, Ltd., issued in September 2017 and 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 CIFC CLO Management LLC. The transaction's reinvestment period ended in October 2022. RATINGS RATIONALE The rating upgrade on the Class C-R Notes is 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 November 2025. The affirmations on the ratings on the Class A-1-R, Class A-2-R, Class B-R and Class D 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 USD75.1 million (14.4%) since the last rating action in November 2025 and USD514.1 million (98.9%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for Class C-R. According to the trustee report dated January 2026[1] the Class C OC ratio is reported at 122.56% compared to October 2025[2] levels of 120.04%. 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: USD247.9m Defaulted Securities: 0 Diversity Score: 44 Weighted Average Rating Factor (WARF): 2702 Weighted Average Life (WAL): 2.3 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.68% Weighted Average Recovery Rate (WARR): 46.84% 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: Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. CIFC FUNDING 2022-III: Moody's Assigns Ba3 Rating to Cl. E-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to two classes of CLO refinancing notes (collectively, the "Refinancing Notes") issued by CIFC Funding 2022-III, Ltd. (the "Issuer"). Moody's rating action is as follows: US$256,000,000 Class A-R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$16,000,000 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. CIFC Asset Management LLC (the "Manager") will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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 and the three other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period and changes to the collateral quality matrix and modifiers. 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: $396,669,961 Diversity Score: 87 Weighted Average Rating Factor (WARF): 2819 Weighted Average Spread (WAS): 3.10% Weighted Average Recovery Rate (WARR): 45.60% Weighted Average Life (WAL): 5.5 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. COMM 2013-CCRE13: Fitch Lowers Rating on Three Tranches to 'Dsf' ---------------------------------------------------------------- Fitch Ratings has downgraded six classes and affirmed three classes in Deutsche Bank Securities, Inc.'s COMM 2013-CCRE12 mortgage trust pass-through certificates (COMM 2013-CCRE12). Fitch has also downgraded three classes in COMM 2013-CCRE13 Mortgage Trust commercial mortgage pass-through certificates (COMM 2013-CCRE13). Entity/Debt Rating Prior ----------- ------ ----- COMM 2013-CCRE12 A-M 12591KAG0 LT CCCsf Downgrade B-sf B 12591KAH8 LT Dsf Downgrade CCsf C 12591KAK1 LT Dsf Downgrade Csf D 12624SAE9 LT Dsf Affirmed Dsf E 12624SAG4 LT Dsf Affirmed Dsf F 12624SAJ8 LT Dsf Affirmed Dsf PEZ 12591KAJ4 LT Dsf Downgrade Csf X-A 12591KAF2 LT CCCsf Downgrade B-sf X-B 12624SAA7 LT Dsf Downgrade CCsf COMM 2013-CCRE13 D 12630BAE8 LT Dsf Downgrade CCCsf E 12630BAG3 LT Dsf Downgrade Csf F 12630BAJ7 LT Dsf Downgrade Csf KEY RATING DRIVERS Realized Losses; Concentrated Pools/Adverse Selection: The downgrades of the distressed classes in COMM 2013-CCRE12 and COMM 2013-CCRE13 reflect realized losses applied to the trusts upon the disposition of the 175 West Jackson loan at the February 2026 payment date. The downgrades of classes A-M and X-A in COMM 2013-CCRE12 reflect the concentration of Fitch Loans of Concern (FLOCs), including specially serviced loans, and the classes' reliance on FLOCs to repay. The remaining FLOCs are Oglethorpe Mall, The MAve Hotel and The Crossings. Both transactions are concentrated with three remaining loans/assets each, with the loans all specially serviced loans or FLOCs. Due to these factors, in addition to the realized losses, Fitch conducted a look-through analysis to determine the loans' expected recoveries and losses to assess the outstanding classes' ratings relative to credit enhancement (CE). Oglethorpe Mall (63.3% of the pool) is the largest loan remaining in COMM 2013-CCRE12. The loan was previously in special servicing for maturity default in 2023 and has been subsequently modified and returned to the master servicer. The loan's extended maturity date is in July 2026. The loan is secured by a 627,618-sf enclosed mall located in Savannah, GA. As of the September 2025 servicer reporting, the property occupancy was 94.4% (post demised space) and a NCF DSCR of 1.24x. Park Plaza (48.4% of the pool) is the largest remaining loan in COMM 2013-CCRE13. The loan is specially serviced and in foreclosure. The collateral is a 210,774-sf suburban office building located in Naperville, IL. The servicer reported occupancy as of YE 2024 was 17%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to distressed ratings would occur as losses become more certain or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade For classes A-M and X-A in COMM 2013-CCRE12, given the significant pool concentration and/or adverse selection of these transactions, upgrades are not expected, but may occur with better-than-expected recoveries on specially serviced loans or significantly higher values or recovery expectations on the FLOCs. No further rating changes for classes rated 'Dsf' are expected as these bonds have realized principal losses. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2014-UBS5: Moody's Cuts Rating on Cl. C Certs to B3 -------------------------------------------------------- Moody's Ratings has downgraded the ratings on five classes in COMM 2014-UBS5 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2014-UBS5 as follows: Cl. A-M, Downgraded to A2 (sf); previously on Mar 6, 2025 Downgraded to Aa3 (sf) Cl. B, Downgraded to Baa3 (sf); previously on Mar 6, 2025 Downgraded to Baa1 (sf) Cl. C, Downgraded to B3 (sf); previously on Mar 6, 2025 Downgraded to B1 (sf) Cl. X-B-1*, Downgraded to Baa3 (sf); previously on Mar 6, 2025 Downgraded to Baa1 (sf) Cl. PEZ, Downgraded to Ba3 (sf); previously on Mar 6, 2025 Downgraded to Ba1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the P&I classes, Cl. A-M, Cl. B and Cl. C, were downgraded due to the potential for higher expected losses and risk of interest shortfalls from the significant exposure to specially serviced loans. Eight loans, representing 68% of the pool balance, are in special servicing and Moody's identified two additional troubled loans (29% of the pool) with significant single tenant concentrations. Seven of the specially serviced and troubled loans (74% of the pool) are secured by office properties which were unable to pay off at their initial maturity or anticipated repayment dates (ARD). Furthermore, five specially serviced loans (40% of the pool) have already been deemed non-recoverable as of the February 2026 remittance statement. All the remaining loans have now passed their initial maturity dates or anticipated repayment dates and the risk of interest shortfalls and potential for higher losses may increase if the outstanding loans become further delinquent or are unable to pay off at their extended or final maturity dates. The rating on the IO Class (Cl. X-B-1) was downgraded due to 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 41.2% of the current pooled balance, compared to 34.0% at Moody's 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 68% of the pool is in special servicing and Moody's have identified additional troubled loans representing 29% of the pool. 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 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 and troubled 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. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the February 2026 distribution date, the transaction's aggregate certificate balance has decreased by 79% to $299.4 million from $1.42 billion at securitization. The certificates are collateralized by 11 mortgage loans and all remaining loans are either in special servicing or have passed their original maturity dates. 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 nine, the same as at Moody's last review. One loan, constituting 2.5% of the pool, is 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. Four loans have been liquidated from the pool, contributing to an aggregate realized loss of $59.9 million (for an average loss severity of 76%). Eight loans, constituting 68% of the pool, are currently in special servicing. The largest specially serviced loan is the State Farm Portfolio loan ($39.0 million – 13.0% of the pool), which represents a pari passu portion of a $270 million mortgage loan. The loan was originally secured by fee simple interests in 14 suburban office properties across 11 states (12 properties remain currently as two properties were sold and released). At securitization, all properties were 100% leased and occupied by State Farm pursuant to individual leases executed by State Farm in November 2013. All leases have a 15-year term and run until November 2028, except the leases for Greeley South property and the Greeley North property. The loan passed its anticipated repayment date ("ARD") in April 2024 and as a result, all excess cash flow after debt service is swept and applied to pay down principal. The loan has a final maturity date in April 2029. It is reported that State Farm has vacated all of the properties and offered up many of the locations for sublease. State Farm has no lease termination rights and continues to pay rent and perform its obligations under the lease. The loan returned to special servicing in December 2025 due to non-monetary default. The loan will remain in a cash sweep through maturity with no possibility of cure. As of the February 2026 remittance, the loan was less than one month delinquent on debt service payments and had amortized almost 30% since securitization, mainly due to the paydown from the two property sales. Given the tenancy profile, the loan may face heightened refinance risk at its final maturity, however, the loan is expected to amortize further and may further paydown if there are additional asset sales. The second largest specially serviced loan is the Town Park Ravine I, II, III loan ($37.1 million – 12.4% of the pool), which is secured by a portfolio of three suburban office properties totaling 367,090 square feet (SF), located in Kennesaw, Georgia. The property's performance has declined in recent years due to lower occupancy and revenue. As of December 2025, the collateral was 47% leased. The loan transferred to special servicing in September 2024 after it failed to pay off at the August 2024 maturity date. A receiver was appointed in December 2024 and the property became REO in June 2025. All three properties have significant upcoming lease rollover within the next one, two and three years. The most recent appraisal from December 2025 valued the property 50% below the value at securitization. The loan has been deemed non-recoverable by the master servicer and was last paid through its October 2024 payment date. The third largest specially serviced loan is the Breakwater Hotel loan ($27.9 million – 9.3% of the pool), which is secured by a 99-room full-service hotel located in Miami Beach, Florida. The loan originally had an initial maturity date in September 2024, however it was modified and the loan term was increased by 12 months, with a maturity date in September 2025. The loan had previously transferred to special servicing in November 2022 due to a judgement lien being attached to the borrower and was subsequently transferred back to the master servicer in January 2025 after being resolved. The loan transferred to special servicing again in September 2025 due to imminent monetary default after it failed to pay off at the extended maturity date. The most recent appraisal from November 2025 valued the property 22% below the value at securitization but above the outstanding loan balance. The fourth largest specially serviced loan is the Harwood Center loan ($26.4 million – 8.8% of the pool), which represents a pari-passu portion of a $79.1 million mortgage loan. The loan is secured by a leasehold interest in a multi-tenant CBD office building containing 723,963 SF of office space constructed in 1982. The loan transferred to special servicing in May 2020 for imminent monetary default and became REO in November 2021. As of October 2025, the building was 45% occupied and the lender was working on various renovation and upgrade projects at the property. The most recent appraisal from November 2024 valued the property 59% below the value at securitization and the loan has been deemed non-recoverable by the master servicer. The remaining four specially serviced loans are secured by two office properties and two retail properties, comprising 24.5% of the pool balance. Moody's have also assumed a high default probability for two poorly performing loans, constituting 29.4% of the pool, and have estimated an aggregate loss of $123.5 million (a 42.3% expected loss on average) from these specially serviced and troubled loans. The troubled loans are discussed in detail further below. As of the February 2026 remittance statement cumulative interest shortfalls were $13.3 million and impact up to Cl. C. 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 non-specially serviced loans represent 32% of the pool balance. The largest loan is the Summit Rancho Bernardo loan ($47.6 million – 15.9% of the pool), which is secured by a five-story, 196,734 SF office property located within the Rancho San Bernardo master-planned community in San Diego, California. The asset is also encumbered with $10.0 million of mezzanine debt. The property is fully leased to Apple, Inc., with a lease expiration in January 2028. The loan originally had a maturity date in September 2024 however the loan was modified, and the loan term was increased by 24 months, with a maturity date in September 2026. In exchange for the extended maturity date, the borrower committed cash equity to pay down the loan, as well as agreed to hyper amortization. As of the February 2026 remittance, the loan remains current on debt service payments and has amortized 26% since securitization. The second largest loan is the Quakerbridge loan ($40.5 million – 13.5% of the pool), which is secured by a 425,859 SF office property located in Hamilton, New Jersey. As of September 2025, the property was 94% leased. The largest tenant is the State of New Jersey, occupying 332,494 SF (78% of the net rentable area (NRA)), with a lease expiration in June 2031. The loan transferred to special servicing in September 2024 for maturity default after the borrower failed to pay off the loan. The loan was modified in April 2025 and returned to the master servicer as a corrected loan with a new maturity date in September 2026. The property is generating sufficient cash flow to cover debt service, however, the property has significant tenant concentration risk. As of the February 2026 remittance, the loan has amortized approximately 16% since securitization. CSTL COMMERCIAL 2026-GATE3: Fitch Gives Bsf Rating to 2 Tranches ---------------------------------------------------------------- Fitch Ratings has assigned the final ratings and Rating Outlooks to CSTL Commercial Mortgage Trust 2026-GATE3, Commercial Mortgage Pass-Through Certificates, Series 2026-GATE3: - $302,900,000 class A 'AAAsf'; Outlook Stable; - $48,700,000 class B 'AAsf'; Outlook Stable; - $44,200,000 class C 'Asf'; Outlook Stable; - $82,500,000 class D 'BBB-sf'; Outlook Stable; - $92,300,000 class E 'BB-sf'; Outlook Stable; - $27,900,000 class F 'Bsf'; Outlook Stable; - $31,500,000(a) class HRR 'Bsf'; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Transaction Summary The certificates represent the beneficial interests in a trust that holds a five-year, fixed-rate, interest-only (IO) mortgage loan. The mortgage will be secured by the borrowers' fee simple interests in 13 multifamily properties with a total of 4,077 units located across five states. The portfolio is 92.8% leased as of the January 2026 rent rolls. Loan proceeds will be used to pay off $514.0 million in total debt on 13 uncrossed loans, fund an equity return of $151.2 million to the sponsor, pay prepayment penalties totaling $15.5 million and pay closing costs of $9.7 million. The loan was originated by Citi Real Estate Funding Inc. Trimont LLC is the servicer, and Situs Holdings, LLC is the special servicer. Wilmington Savings Fund Society, FSB is the trustee, and Citibank, National Association is the certificate administrator. Park Bridge Lender Services LLC is the operating advisor. The certificates will follow a standard senior-sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is estimated at $43.7 million, which is 9.2% lower than the issuer's NCF and 4.3% below the NCF for the trailing 12 months (TTM) ended December 2025. Fitch applied a 7.5% cap rate, resulting in a Fitch value of approximately $583.3 million. Fitch Leverage: The $630 million total mortgage loan ($154,525 per unit) has a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.82x, 108.0% and 7.5%, respectively. Based on total debt of $690.5 million ($169,365 per unit), inclusive of the $60.5 million mezzanine loan, the Fitch stressed DSCR, LTV and DY are 0.75x, 118.4% and 6.3%, respectively. The mortgage loan represents approximately 70.1% of the portfolio appraised value of $785.1 million. The total debt represents approximately 76.4% of the portfolio appraised value. Geographically Diverse Portfolio: The portfolio is secured by 4,077 units within 13 multifamily properties located in five states across nine markets. The largest property contains 16.1% of all units and 18.4% of the allocated loan amount (ALA). No other property constitutes more than 10.9% of all units or 10.6% of the ALA. The state of Florida comprises approximately 42.2% of the portfolio by ALA, and no other state or market represents more than 27.9% of the ALA. The portfolio's effective geographic count is 6.7. Institutional Sponsorship and Management: The loan sponsor and property manager, West Shore, is a real estate investment firm focused on acquiring and managing multifamily assets. West Shore currently owns and operates a portfolio comprising over 18,500 units across 54 multifamily properties. West Shore's portfolio spans the U.S., with a focus on the Sunbelt region. Led by Steve and Lee Rosenthal, West Shore has raised over $1.0 billion across six funds. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BB-sf'/'Bsf'/'Bsf'; - 10% NCF Decline: 'AA+sf'/'Asf'/'BBBsf'/'BBsf'/'Bsf'/'B-sf'/'CCC+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BB-sf'/'Bsf'/'Bsf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'BBBsf'/'BBsf'/'BB-sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. FS TRUST 2026-HULA: DBRS Gives Prov. BB Rating on Class JRR Certs ----------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-HULA (the Certificates) to be issued by FS Trust 2026-HULA (FS 2026-HULA): -- Class A at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (high) (sf) -- Class JRR at (P) BB (sf) -- Class KRR at (P) BB (low) (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The collateral for the FS 2026-HULA transaction is the borrower's fee-simple and leasehold interests in Four Seasons Resort Hualalai, a 249-key, full-service, luxury beachfront resort on the Island of Hawaii. The property is set along the scenic Kona-Kohala coast, which is known for its unique blend of exclusivity, scenic beaches, year-round appeal, and accessibility, making it a premier market for luxury oceanfront resorts. The Four Seasons Resort Hualalai is an ultra-luxury destination commanding significantly higher premiums on average daily rates than its competitors as it delivers an exceptionally refined and immersive experience, attracting repeat high-net-worth clientele. The hotel has won numerous accolades, including being recognized as the number one hotel in the U.S., the number one resort in the U.S., the best resort in Hawaii, and the best resort on Hawaii's Big Island, according to the "U.S. News & World Report" 2025 list of best hotels and resorts. Morningstar DBRS expects the hotel's competitive position to persist given the transformative capital improvements at the property. The high-end oceanfront resort, built in 1996, features 249 keys; approximately 37,000 sf of meeting space, including 10,400 sf of indoor meeting space and 26,600 sf of outdoor group space; and an extensive amenity package offering five restaurants, a bar and lounge, a cafe/grab-and-go option, eight outdoor pools, four outdoor whirlpools, a sports club and spa, four leased retail boutiques, a cultural center, a marine center, and two 18-hole golf courses. The property also includes the private, members-only Hualalai Club, which houses the Hualalai Canoe Club, Ke'olu Clubhouse, two outdoor pools, two outdoor whirlpools, and a fitness center. Other revenue-generating property operations include a realty company, which brokers the majority of residential sales, and utility companies (Kaupulehu Water Company, Kaupulehu Irrigation Company, and Kaupulehu Wastewater Company). The sponsor's unwavering commitment to conceptualizing the luxurious Hawaiian resort experience has earned the resort the only AAA Five Diamond and Forbes Five Star accolades on Big Island. The transaction sponsor is BDT & MSD Partners, LLC (BDT & MSD). Backed by Dell Technologies founder Michael Dell, BDT & MSD is a merchant bank that is currently invested in and managing more than $17 billion of real estate. Its real estate investments and managed properties mostly include top-tier luxury hotels such as the Four Seasons Resort Maui at Wailea and Four Seasons Resort Hualalai in Hawaii, Four Seasons Resort and Residences Vail, The Boca Raton, and the Waldorf Astoria Washington DC. The property is flagged as a Four Seasons hotel; Four Seasons Hotels and Resorts is a privately owned hotel management company that has been managing the resort since its inception in 1996. The management agreement expires in 2036 and has two 15-year renewal options remaining for a fully extended maturity date of 2065. The loan is a two-year, floating-rate, interest-only mortgage loan with three one-year extension options. The floating rate will be based on the one-month Secured Overnight Financing Rate (SOFR) plus the weighted-average mortgage loan component spread of 2.010%. The borrower will enter into an interest rate agreement with an assumed SOFR cap of 5.000% during the initial term. The subject was previously securitized in the Morningstar DBRS-rated FS Trust 2024-HULA transaction, from which $400.0 million of debt was refinanced in the FS 2026-HULA transaction. The transaction will be a cash-out financing with the sponsor cashing out approximately $4.5 million of equity. Since the loan was last securitized in 2024, the sponsor completed a $17.6 million renovation of the renowned `ULU restaurant; added a new second-floor sushi lounge and omakase restaurant, NOIO; bought out its previous joint venture partner; and purchased the fee-simple interest in the resort for $400.0 million. Based on the appraisal, 465.4 acres of the collateral site are encumbered by a ground lease; however, ownership controls both the leasehold and the leased fee interests and the borrower may terminate the ground lease at any time. Notes: All figures are in U.S. dollars unless otherwise noted. FS TRUST 2026-ORL: DBRS Finalizes BB(low) Rating on Class E Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-ORL (the Certificates) issued by FS Trust 2026-ORL (FS 2026-ORL, or the Trust): -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class HRR at B (high) (sf) All trends are Stable. FS 2026-ORL is a single-asset/single-borrower (SASB) transaction secured by the borrower's fee-simple interest in the Four Seasons Resort Orlando (Four Seasons Orlando). The Four Seasons Orlando is a 444-key, AAA Five Diamond hotel and club in Lake Buena Vista, Florida, in the Golden Oak neighborhood in close proximity to theme parks and surrounding amenities. The property boasts an extensive amenity package, including approximately seven food and beverage (F&B) outlets, an 18-hole golf course, a spa, a fitness center, various sport courts, retail shops, a pool complex, and approximately 55,000 square feet (sf) of indoor and outdoor meeting and event space. The Four Seasons Orlando comes with unique benefits not available at other properties, including early entry to the parks and an on-site character breakfast. Additionally, the Four Seasons Orlando is the most luxurious asset in the Orlando market, providing an edge over its competitive set for travelers seeking a true luxury experience. The $510.0 million loan will be used by the sponsor, BDT & MSD Partners, to acquire the property for $750.0 million (after netting out the approximately $20.0 million FF&E reserve that the borrower is purchasing as part of the acquisition), with the sponsor contributing $255.0 million of equity to the transaction. The loan has a two-year initial term with three one-year extension options with interest-only (IO) payments throughout. The seller purchased the property in 2021 and invested $39.4 million in capex during its ownership period. Built in 2014, the Four Seasons Orlando's guest rooms are divided into 376 standard rooms, 60 suites, and eight specialty suites. The only rooms that have been renovated since opening are the suites. The sponsor is planning to kick off a $63.9 million capex program (subject to change) post-acquisition, which will first focus on common areas and amenities before moving onto guest rooms in two to three years. Upgrades are planned for the membership club areas, F&B outlets, pool area, game room, lobby, and spa. The property is the dominant hotel of its competitive set, which includes Hard Rock Hotel Orlando; Grand Bohemian Orlando, Autograph Collection; Ritz-Carlton Orlando, Grande Lakes; and the Waldorf Astoria Orlando. Four Seasons Orlando had YE2025 occupancy of 63.0%, average daily rate (ADR) of $1,241.71, and revenue per available room (RevPAR) of $782.73, with penetration figures of 84.5%, 259.5%, and 219.3% in this period, respectively. The property's ADR for YE2025 was more than twice the ADR of the competitive set's ADR of $478.43, a variance of $763. While the occupancy rate lags the competitive set, the property's RevPAR is also more than double its competitive set RevPAR. The number of guest rooms at the resort allows the property to accommodate and capture a large number of guests for large conferences, weddings, and popular tourist events at nearby theme parks. The Four Seasons Orlando has strong group demand, with 40% of room nights coming from groups. The property is able to attract groups to the property given its proximity to the Orange County Convention Center, one of the largest convention centers in the country, as well as its large amount of on-site meeting and event spaces, totaling approximately 55,000 sf. The hotel saw approximately 41,600 group nights in the YE2025 period, which is an approximately 8.0% increase from the approximately 38,500 in 2024. The hotel has put a strong emphasis on retaining groups as well as booking groups to multiyear contracts, both of which have been successful and the sponsor plans to continue post-acquisition. The sponsor shared that it also hopes to build on this group travel by trying to get group guests to extend their stays. In addition to its offerings for hotel guests, the Four Seasons Orlando also caters to nearby residents through its membership club, which currently has approximately 330 members. There are three tiers of access: family, individual, and junior, all of which have an option to add pool access for an additional fee. Membership benefits include access to the sport courts throughout the resort, including golf, tennis, and pickleball; gym access; member-exclusive events; and discounts throughout the hotel. The hotel's golf facility, Tranquilo Golf Club, features an 18-hole course designed by Tom Fazio, a 16-acre practice facility, a driving range, chipping and pitching areas, and practice bunkers. Members accounted for 55.9% of gold rounds in the YE2025 period, which is fairly consistent with the YE2021 to YE2024 periods. The property's F&B offerings also drive non-hotel guests to the property, highlighted by Capa, a Michelin-star Spanish steakhouse, and Epilogue, a newly created, weekend-only speakeasy. Based on the property's excellent quality, various amenities, experienced sponsorship, and irreplaceable location, Morningstar DBRS has a favorable outlook on the property's continued performance during the loan term. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. GALAXY 32: S&P Assigns BB- (sf) Rating on Class E-R Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R loans and A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and new class X-R debt from Galaxy 32 CLO Ltd./Galaxy 32 CLO LLC, a CLO managed by PineBridge Investments LLC that was originally issued in November 2023. At the same time, S&P withdrew its ratings on the previous class A loans and A, B, C, D, and E debt following payment in full on the Feb. 27, 2026, refinancing date. The replacement and new debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The stated maturity and the reinvestment period were extended by 2.25 years. -- The non-call period will be extended to Jan. 20, 2028. -- The target initial par amount remained at $400 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 20, 2026. -- New class X-R debt was issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds beginning with the July 2026 payment date. -- The required minimum overcollateralization ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Galaxy 32 CLO Ltd./Galaxy 32 CLO LLC Class X-R, $2.50 million: AAA (sf) Class A-R, $182.59 million: AAA (sf) Class A-R loans (i), $69.41 million: AAA (sf) Class B-R, $52.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) (i)None of the class A-R loans may be converted into any other class. Ratings Withdrawn Galaxy 32 CLO Ltd./Galaxy 32 CLO LLC Class A loans to NR from 'AAA (sf)' Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt Galaxy 32 CLO Ltd./Galaxy 32 CLO LLC A subordinated notes, $40.60 million: NR B subordinated notes, $0.10 million: NR NR--Not rated. GCAT TRUST 2026-NQM1: Moody's Assigns Ba3 Rating to Cl. B-1 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 7 classes of residential mortgage-backed securities (RMBS) issued by GCAT 2026-NQM1 Trust, and sponsored by Blue River Mortgage V LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by GCAT 2024-31, LLC and GCAT 2025-33, LLC, and GCAT 2025-36, LLC originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing. The complete rating actions are as follows: Issuer: GCAT 2026-NQM1 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned Aa3 (sf) Cl. M-1, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Ba3 (sf) Moody's are withdrawing the provisional ratings for the Class A-1FCF and Class A-1LCF assigned on February 11, 2026, because the Class A-1FCF and Class A-1LCF Loans were not issued on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 1.40%, in a baseline scenario-median is 0.90% and reaches 15.31% 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. GLS AUTO 2026-1: DBRS Finalizes BB Rating on Class E Notes ---------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the classes of notes issued by GLS Auto Receivables Issuer Trust 2026-1 (the Issuer) as follows: -- $105,000,000 Class A-1 Notes at R-1 (high) (sf) -- $231,000,000 Class A-2 Notes at AAA (sf) -- $135,020,000 Class A-3 Notes at AAA (sf) -- $133,180,000 Class B Notes at AA (sf) -- $126,120,000 Class C Notes at A (sf) -- $112,930,000 Class D Notes at BBB (sf) -- $64,470,000 Class E Notes at BB (sf) The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the Morningstar DBRS-projected expected cumulative net loss (CNL) assumption under various stress scenarios. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the credit ratings address the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The quality and consistency of provided historical static pool data for Global Lending Services LLC (GLS or the Company) originations and performance of the GLS auto loan portfolio. (4) The credit quality of the collateral and performance of GLS' auto loan portfolio, as of the Statistical Calculation Date: -- The pool will include approximately 83.58% used and 16.42% new vehicles, 80.11% of which are from franchise dealers. -- The loans in the pool will have a weighted-average FICO of 574 and a weighted-average annual percentage rate of 20.66%. (5) The Morningstar DBRS CNL assumption is 16.90% based on the Cutoff Date pool composition. (6) The capabilities of GLS with regard to originations, underwriting, and servicing. -- Morningstar DBRS has performed an operational review of GLS and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. The transaction also has an acceptable backup servicer. (7) The consistent operational history of GLS and the overall strength of the Company and its management team. -- The GLS senior management team has considerable experience within the auto finance industry, with most of the executives having been with the Company for most of its 13-year history. (8) Morningstar DBRS used the static pool approach exclusively because GLS has enough data to generate a sufficient amount of static pool projected losses. -- Morningstar DBRS was conservative in the loss forecast analysis performed on the static pool data. (9) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2025 Update," published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (10) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with GLS, that the trust has a valid first-priority security interest in the assets, and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance." GLS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The credit ratings on the Class A-1, Class A-2, and Class A-3 Notes reflect 50.95% of initial hard credit enhancement provided by the subordinated notes in the pool (46.40%), the reserve account (1.00%), and OC (3.55%). The credit ratings on the Class B, C, D, and E Notes reflect 36.80%, 23.40%, 11.40%, and 4.55% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Monthly Interest Distributable Amount and the related Principal Amount. Notes: All figures are in US dollars unless otherwise noted. GOLDENTREE LOAN 19: Fitch Assigns 'B+sf' Rating on Class F-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 19, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- GoldenTree Loan Management US CLO 19, Ltd. X-R LT NRsf New Rating A-R LT NRsf New Rating A-J LT AAAsf New Rating B 38138WAE4 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 38138WAG9 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 38138WAJ3 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating D-J LT BBB-sf New Rating E 38138XAA0 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating F 38138XAC6 LT PIFsf Paid In Full B-sf F-R LT B+sf New Rating Transaction Summary GoldenTree Loan Management US CLO 19, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM III, LP and originally closed in 2024. This is the first reset transaction, which will refinance the existing secured notes in whole on Feb. 23, 2026. Net proceeds from the issuance of the secured notes and additional issuance from subordinated notes will provide financing on a portfolio of approximately $650 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.94, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.5% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 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 metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-J, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BB+sf' for class D-R, between less than 'B-sf' and 'BB+sf' for class D-J, between less than 'B-sf' and 'B+sf' for class E-R, and between less than 'B-sf' and 'B+sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-J 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-R, 'A-sf' for class D-J, 'BBB+sf' for class E-R, and 'BBB-sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for GoldenTree Loan Management US CLO 19, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. GS MORTGAGE 2026-NQM2: Moody's Assigns B2 Rating to Cl. B-2 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 10 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2026-NQM2, and sponsored by Goldman Sachs Mortgage Company. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by Goldman Sachs Mortgage Company, including loans aggregated by MAXEX Clearing LLC (MAXEX; 15.1% by loan balance) and originated by multiple entities and serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing and Select Portfolio Servicing, Inc. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2026-NQM2 Cl. A-1FCF, Definitive Rating Assigned Aaa (sf) Cl. A-1LCF, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A2 (sf) Cl. M1, Definitive Rating Assigned Baa3 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Cl. B-2, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 2.69%, in a baseline scenario-median is 1.95% and reaches 23.45% 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. GS MORTGAGE 2026-PJ2: DBRS Gives Prov. BB Rating on Class B4 Notes ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional credit ratings to the Mortgage-Backed Notes, Series 2026-PJ2 (the Notes) to be issued by GS Mortgage-Backed Securities Trust 2026-PJ2: -- $273.1 million Class A-1 at (P) AAA (sf) -- $273.1 million Class A-2 at (P) AAA (sf) -- $273.1 million Class A-3 at (P) AAA (sf) -- $204.8 million Class A-4 at (P) AAA (sf) -- $204.8 million Class A-5 at (P) AAA (sf) -- $204.8 million Class A-6 at (P) AAA (sf) -- $163.9 million Class A-7 at (P) AAA (sf) -- $163.9 million Class A-8 at (P) AAA (sf) -- $163.9 million Class A-9 at (P) AAA (sf) -- $41.0 million Class A-10 at (P) AAA (sf) -- $41.0 million Class A-11 at (P) AAA (sf) -- $41.0 million Class A-12 at (P) AAA (sf) -- $109.2 million Class A-13 at (P) AAA (sf) -- $109.2 million Class A-14 at (P) AAA (sf) -- $109.2 million Class A-15 at (P) AAA (sf) -- $68.3 million Class A-16 at (P) AAA (sf) -- $68.3 million Class A-17 at (P) AAA (sf) -- $68.3 million Class A-18 at (P) AAA (sf) -- $30.8 million Class A-19 at (P) AAA (sf) -- $30.8 million Class A-20 at (P) AAA (sf) -- $30.8 million Class A-21 at (P) AAA (sf) -- $303.9 million Class A-22 at (P) AAA (sf) -- $303.9 million Class A-23 at (P) AAA (sf) -- $303.9 million Class A-24 at (P) AAA (sf) -- $303.9 million Class A-25 at (P) AAA (sf) -- $54.6 million Class A-27 at (P) AAA (sf) -- $54.6 million Class A-28 at (P) AAA (sf) -- $54.6 million Class A-29 at (P) AAA (sf) -- $54.6 million Class A-30 at (P) AAA (sf) -- $54.6 million Class A-31 at (P) AAA (sf) -- $54.6 million Class A-32 at (P) AAA (sf) -- $54.6 million Class A-33 at (P) AAA (sf) -- $54.6 million Class A-34 at (P) AAA (sf) -- $54.6 million Class A-35 at (P) AAA (sf) -- $303.9 million Class A-X-1 at (P) AAA (sf) -- $273.1 million Class A-X-2 at (P) AAA (sf) -- $273.1 million Class A-X-3 at (P) AAA (sf) -- $273.1 million Class A-X-4 at (P) AAA (sf) -- $204.8 million Class A-X-5 at (P) AAA (sf) -- $204.8 million Class A-X-6 at (P) AAA (sf) -- $204.8 million Class A-X-7 at (P) AAA (sf) -- $163.9 million Class A-X-8 at (P) AAA (sf) -- $163.9 million Class A-X-9 at (P) AAA (sf) -- $163.9 million Class A-X-10 at (P) AAA (sf) -- $41.0 million Class A-X-11 at (P) AAA (sf) -- $41.0 million Class A-X-12 at (P) AAA (sf) -- $41.0 million Class A-X-13 at (P) AAA (sf) -- $109.2 million Class A-X-14 at (P) AAA (sf) -- $109.2 million Class A-X-15 at (P) AAA (sf) -- $109.2 million Class A-X-16 at (P) AAA (sf) -- $68.3 million Class A-X-17 at (P) AAA (sf) -- $68.3 million Class A-X-18 at (P) AAA (sf) -- $68.3 million Class A-X-19 at (P) AAA (sf) -- $30.8 million Class A-X-20 at (P) AAA (sf) -- $30.8 million Class A-X-21 at (P) AAA (sf) -- $30.8 million Class A-X-22 at (P) AAA (sf) -- $303.9 million Class A-X-23 at (P) AAA (sf) -- $303.9 million Class A-X-24 at (P) AAA (sf) -- $303.9 million Class A-X-25 at (P) AAA (sf) -- $303.9 million Class A-X-26 at (P) AAA (sf) -- $54.6 million Class A-X-27 at (P) AAA (sf) -- $54.6 million Class A-X-28 at (P) AAA (sf) -- $54.6 million Class A-X-30 at (P) AAA (sf) -- $54.6 million Class A-X-31 at (P) AAA (sf) -- $54.6 million Class A-X-33 at (P) AAA (sf) -- $54.6 million Class A-X-34 at (P) AAA (sf) -- $6.9 million Class B-1 at (P) AA (low) (sf) -- $6.9 million Class B-X-1 at (P) AA (low) (sf) -- $6.9 million Class B-1A at (P) AA (low) (sf) -- $4.7 million Class B-2 at (P) A (low) (sf) -- $4.7 million Class B-X-2 at (P) A (low) (sf) -- $4.7 million Class B-2A at (P) A (low) (sf) -- $2.7 million Class B-3 at (P) BBB (low) (sf) -- $1.4 million Class B-4 at (P) BB (sf) -- $803.0 thousand Class B-5 at (P) B (low) (sf) -- $273.1 million Class A-1L at (P) AAA (sf) -- $273.1 million Class A-2L at (P) AAA (sf) -- $273.1 million Class A-3L at (P) AAA (sf) Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-28, A-29, A-30, A-31, A-32, A-33, A-34, A-35, A-1L, A-2L, and A-3L are super-senior classes. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, A-X-27, A-X-28, A-X-30, A-X-31, A-X-33, A-X-34, B-X-1, and B-X-2 are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-28, A-29, A-31, A-32, A-34, A-35, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, B-1, B-X-1, B-2, B-X-2, A-1L, A-2L, and A-3L are exchangeable classes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Classes A-1L, A-2L, and A-3L are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 5.40% of credit enhancement provided by subordinated notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (sf), and (P) B (low) (sf) credit ratings reflect 3.25%, 1.80%, 0.95%, 0.50%, and 0.25% credit enhancement, respectively. The securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Notes. The Notes are backed by 255 loans with a total principal balance of $321,285,451 as of the Cut-Off Date. The collateral description and disclosure on the mortgage loans in the related presale report reflect the approximate aggregate characteristics as of the Cut-Off Date unless otherwise specified. The pool consists of first-lien, fully amortizing fixed-rate mortgages with original terms to maturity of 30 years. The weighted-average original combined loan-to-value ratio for the portfolio is 72.5%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage rule, subject to the average prime offer rate designation. The mortgage loans are originated by United Wholesale Mortgage, LLC (42.7%) and other originators, each comprising less than 10.0% of the pool. The mortgage loans will be serviced by United Wholesale Mortgage, LLC (46.5%), Newrez LLC d/b/a Shellpoint Mortgage Servicing (34.4%), and PennyMac Loan Services, LLC (19.1%). Nationstar Mortgage LLC d/b/a Mr. Cooper Master Servicing will act as the Master Servicer, and Computershare Trust Company, N.A. will act as Paying Agent, Loan Agent, Custodian, and Collateral Trustee. Pentalpha Surveillance LLC will serve as the File Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. This transaction allows for the issuance of the Class A-1L, A-2L, and A-3L loans, which are the equivalent of ownership of the Class A-1, A-2, and A-3 notes, respectively. These classes are issued in the form of loans made by the investor instead of notes purchased by the investor. If these loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding notes. There is no change to the structure if these classes are elected. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2026-PJ2: Fitch Assigns B(EXP) Rating on Class B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the notes issued by GS Mortgage-Backed Securities Trust 2026-PJ2 (GSMBS 2026-PJ2). Entity/Debt Rating ----------- ------ GSMBS 2026-PJ2 A1 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 A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A2 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 A27 LT AAA(EXP)sf Expected Rating A28 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A30 LT AAA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating A32 LT AAA(EXP)sf Expected Rating A33 LT AAA(EXP)sf Expected Rating A34 LT AAA(EXP)sf Expected Rating A35 LT AAA(EXP)sf Expected Rating 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 A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating AX10 LT AAA(EXP)sf Expected Rating AX11 LT AAA(EXP)sf Expected Rating AX12 LT AAA(EXP)sf Expected Rating AX13 LT AAA(EXP)sf Expected Rating AX14 LT AAA(EXP)sf Expected Rating AX15 LT AAA(EXP)sf Expected Rating AX16 LT AAA(EXP)sf Expected Rating AX17 LT AAA(EXP)sf Expected Rating AX18 LT AAA(EXP)sf Expected Rating AX19 LT AAA(EXP)sf Expected Rating AX2 LT AAA(EXP)sf Expected Rating AX20 LT AAA(EXP)sf Expected Rating AX21 LT AAA(EXP)sf Expected Rating AX22 LT AAA(EXP)sf Expected Rating AX23 LT AAA(EXP)sf Expected Rating AX24 LT AAA(EXP)sf Expected Rating AX25 LT AAA(EXP)sf Expected Rating AX26 LT AAA(EXP)sf Expected Rating AX27 LT AAA(EXP)sf Expected Rating AX28 LT AAA(EXP)sf Expected Rating AX3 LT AAA(EXP)sf Expected Rating AX30 LT AAA(EXP)sf Expected Rating AX31 LT AAA(EXP)sf Expected Rating AX33 LT AAA(EXP)sf Expected Rating AX34 LT AAA(EXP)sf Expected Rating AX4 LT AAA(EXP)sf Expected Rating AX5 LT AAA(EXP)sf Expected Rating AX6 LT AAA(EXP)sf Expected Rating AX7 LT AAA(EXP)sf Expected Rating AX8 LT AAA(EXP)sf Expected Rating AX9 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A 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 BX1 LT AA(EXP)sf Expected Rating BX2 LT A(EXP)sf Expected Rating Transaction Summary The GSMBS 2026-PJ2 certificates are supported by 255 prime, fixed-rate loans with a total balance of approximately $321.3 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. GSMBS 2026-PJ2 has a final probability of default (PD) of 10.31% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 33.42%. The expected loss in the 'AAAsf' rating stress is 3.45%. Structural Analysis: The mortgage cash flow and loss allocation in GSMBS 2026-PJ2 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The 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. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies an approximate 5% PD reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2026-PJ2 to be fully de-linked and serve as a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to GSMBS 2026-PJ2; 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 37.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Opus Capital Markets Consultants, LLC and Situs AMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applied an approximately 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE-BACKED 2026-DSC1: S&P Rates Class B-2 Certs 'B (sf)' ---------------------------------------------------------------- S&P Global Ratings assigned its 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 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 ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; -- 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. 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. GSF 2025-AXMF1: Fitch Affirms 'BB-(EXP)sf' Rating on Cl. E-RR Notes ------------------------------------------------------------------- Fitch Ratings has affirmed the expected ratings for classes A-1, A-2, A-S, B, C, D, E, and X of GSF 2025-AXMF1 Issuer LLC. This action is related to the latest ramp of GSF 2025-AXMF1 Issuer LLC. Entity/Debt Rating Prior ----------- ------ ----- GSF 2025-AXMF1 Issuer LLC A-1 36271EAA3 LT AAA(EXP)sf Affirmed AAA(EXP)sf A-2 36271EAC9 LT AAA(EXP)sf Affirmed AAA(EXP)sf A-S 36271EAE5 LT AAA(EXP)sf Affirmed AAA(EXP)sf B 36271EAG0 LT AA-(EXP)sf Affirmed AA-(EXP)sf C 36271EAJ4 LT A-(EXP)sf Affirmed A-(EXP)sf D 36271EAL9 LT BBB-(EXP)sf Affirmed BBB-(EXP)sf E-RR 36271EAP0 LT BB-(EXP)sf Affirmed BB-(EXP)sf F-RR 36271EAQ8 LT NR(EXP)sf Affirmed NR(EXP)sf X 36271EAN5 LT A-(EXP)sf Affirmed A-(EXP)sf Fitch expects to assign ratings and Rating Outlooks as follows: - $82,782,000a Class A-1 'AAA(EXP)sf': Outlook Stable; - $165,607,000a Class A-2 'AAA(EXP)sf'; Outlook Stable; - $33,266,000a Class A-S 'AAA(EXP)sf'; Outlook Stable; - $19,072,000a Class B 'AA-(EXP)sf'; Outlook Stable; - $13,750,000a Class C 'A-(EXP)sf'; Outlook Stable; - $0ab Class X Class X 'A-(EXP)sf'; Outlook Stable; - $11,532,000a Class D 'BBB-(EXP)sf'; Outlook Stable; - $7,096,000ac Class E-RR 'BB-(EXP)sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144a (b) The notional balance of class X is tied to the class A-1 though class C certificates. The rating of the IO class reflects that of the lowest tranche whose payable interest has an impact on the IO payments (class C). (c) Horizontal risk retention interest representing at least 8.1% of the fair value of all classes Fitch does not expect to rate the following classes: - $21,737,000ac Class F-RR. Transaction Summary Fitch assigned expected ratings to the transaction in January 2025 and July 2025. The first ramp occurred in July 2025 and included an initial pool of 10 identified loans totaling $72.2 million. Fitch lifted the rating cap of 'Asf' that was placed in January 2025 because only two loans closed. The purpose of this rating action to rate the penultimate ramp. The new CRE CLO pool contains 40 mortgage loans secured by 40 properties throughout the U.S. As of the cutoff date, the trust will have a collateral balance of $354,842,000. The pool does not feature any future funding. All loans are fixed rate. The mortgages are sourced solely by Axonic Capital, which is sponsoring the deal. The transaction has been arranged by Grant Street Funding. KEY RATING DRIVERS Leverage Compared to Recent Transactions: The pool's Fitch LTV is 109.4%, lower than GSF 2023-1 with a Fitch LTV of 106.0%, lower than the 2025 YTD CRE CLO Fitch LTV of 140.1% and higher than the 2025 Multiborrower Five-Year Fitch LTV average of 105.2%. Additionally, the pool's Fitch DY is 8.9%, higher than 2025 CRE CLO Fitch DY average of 5.9%, and lower than 2025 Multiborrower Five-Year Fitch DY average of 10.9%. Lower Interest Rates: The pool's weighted-average note rate is 6.4%, lower than the 2025 YTD CRE CLO average note rate of 7.5%, and lower than the 2025 Multiborrower Five-Year average of 6.5%. Additionally, the pool's Fitch Term DSCR is 1.06x, which is higher than 2025 CRE CLO Fitch Term DSCR average of 0.76x, and lower than the 2025 Multiborrower Five-Year Fitch Term DSCR average of 1.20x. Low Concentration by Loan Size: The pool carries 40 loans with an effective loan count of 29.4 and translates to a lower pool concentration compared to recent multiborrower transactions. The pool's effective loan count of 29.4 is higher than the 2025 CRE CLO average of 20.4 and 2025 Multiborrower Five-Year average of 21.6. Amortization: The pool is comprised of 100% of interest-only amortization loans and features 0.0% paydown from securitization to maturity. This is in line with the 2025 CRE CLO average of 0.5%, and lower than the 2025 Multiborrower Five-Year average of 0.9%. Higher Property-Type Concentration: GSF 2025-AXMF1 has an effective property count of 1.0, as the pool is fully collateralized by multifamily properties. The effective property count of 1.0 is lower than the 2025 CRE CLO average of 1.8, and the 2025 Multiborrower Five-Year average of 4.6. The 2025 CRE CLO and 2025 Multiborrower Five-Year reported multifamily exposures of 76.7% and 27.8%, respectively. Lower Geographic Concentration: GSF 2025-AXMF1 has an effective geographic count of 9.9, which is lower than the 2025 CRE CLO average of 12.1 and higher than the 2025 Multiborrower Five-Year average of 8.9. Loans located in the Dallas MSA account for 27.1% of the pool. When viewing other comparable transactions, BMARK 2025-V19 is the most geographically concentrated, with 18.3% of the pool located in the NYC MSA. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable. Fitch net cash flow (NCF): - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf' - 10% Decline to Fitch NCF: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-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 debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch net cash flow (NCF): - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf' - 10% Increase to Fitch NCF: 'AAAsf'/'AAAsf'/'AAsf'/'Asf/'BBBsf/'BB+sf' SUMMARY OF FINANCIAL ADJUSTMENTS There were no variances from Fitch criteria. Cash flow modeling was not used on this transaction. The deal does not employ CRE CLO features that would cause Fitch to apply a CF model. For example, the transaction's structure does not contain any note protection tests (interest coverage or overcollateralization) nor is there is an interest payment diversion feature within the retained classes (or anywhere in the structure). USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on comparison and re-computation of certain characteristics with respect to the each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. HOMES 2026-AFC1: S&P Assigns B (sf) Rating on Class B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to HOMES 2026-AFC1 Trust's mortgage-backed notes series 2026-AFC1. HOMES 2026-AFC1 Trust's issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers. The ratings reflect S&P's view of the transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration, among other factors. The note issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, townhomes, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 785 loans, which are primarily non-qualified mortgage/ability-to-repay (ATR) compliant, and ATR-exempt loans. S&P said, "After we assigned our preliminary ratings on Feb. 19, 2026, the issuer decided not to issue the class A-1FCF and A-1LCF notes on the closing date. As a result, the class A-1A and A-1B note amounts increased to $212.579 million and $32.015 million, respectively, from $106.289 million and $16.008 million. At the same time, the corresponding class A-1 note amount increased to $244.594 million from $122.297 million. However, the credit enhancement on the transaction did not change. After analyzing the final coupons and the updated structure, our ratings remain unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage originator, AmWest Funding Corp.; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's U.S. economic outlook, which considers its current projections for economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's economic outlook is updated, if necessary, when these projections change materially. Ratings Assigned(i) HOMES 2026-AFC1 Trust, series 2026-AFC1 Class A-1A, $212,579,000: AAA (sf) Class A-1B, $32,015,000: AAA (sf) Class A-1, $244,594,000: AAA (sf) Class A-2, $24,012,000: AA (sf) Class A-3, $29,934,000: A (sf) Class M-1, $8,964,000: BBB (sf) Class B-1, $5,923,000: BB (sf) Class B-2, $3,842,000: B (sf) Class B-3, $2,881,515: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. (ii)The notional amount is initially $320,150,515 and will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. HPS LOAN 11-2017: Moody's Cuts Rating on $21.5MM Cl. E Notes to B2 ------------------------------------------------------------------ Moody's Ratings has taken a variety of rating actions on the following notes issued by HPS Loan Management 11-2017, Ltd.: US$5M Class D-R Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Jul 8, 2025 Upgraded to A1 (sf) US$27.5M Class D-F Secured Deferrable Fixed Rate Notes, Upgraded to Aa1 (sf); previously on Jul 8, 2025 Upgraded to A1 (sf) US$21.5M Class E Secured Deferrable Floating Rate Notes, Downgraded to B2 (sf); previously on Jul 8, 2025 Affirmed B1 (sf) US$5.265M (Current outstanding amount US$5,697,299 incl. deferred interest amounts) Class F Secured Deferrable Floating Rate Notes, Downgraded to Ca (sf); previously on Jul 8, 2025 Affirmed Caa3 (sf) Moody's have also affirmed the rating on the following notes: US$28.5M (Current outstanding amount US$13,622,082) Class C-R Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Jul 8, 2025 Affirmed Aaa (sf) HPS Loan Management 11-2017, Ltd., originally issued in May 2017 and partially refinanced in February 2020, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by HPS Investment Partners CLO (US), LLC. The transaction's reinvestment period ended in May 2022. RATINGS RATIONALE The upgrades of the ratings on the Class D-R and D-F notes are primarily a result of the significant deleveraging of the Class B-R and C-R notes following amortisation of the underlying portfolio since the last rating action in July 2025. The downgrades of the ratings on the Class E and F notes are due to the deterioration in the credit quality of the underlying collateral pool and a loss of par since the last rating action. The affirmation of the rating on the Class C-R notes is primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class B-R notes have been paid down completely and the Class C-R notes have been paid down by approximately 52.2% or $14.9 million since the last rating action. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated January 2026[1] the Class C and Class D OC ratios are reported at 263.45% and 131.61% compared to May 2025[2] levels, on which the last rating action was based, of 180.79% and 125.18%, respectively. Moody's notes that the February 2026 principal payments are not reflected in the reported OC ratios. Nevertheless, the credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated January 2026[1], the WARF was 3951, compared with 3480 in the May 2025[2] report as of the last rating action. Securities with ratings of Caa1 or lower currently make up approximately 29.0% of the underlying portfolio, versus 15.9% at the last rating action. In addition, since August 2025 the Class F notes have been deferring interest payments due to the breach of the Class E OC test. 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: USD70,278,429.48 Defaulted Securities: USD4,275,976.23 Diversity Score: 25 Weighted Average Rating Factor (WARF): 3567 Weighted Average Life (WAL): 2.43 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.59% Weighted Average Recovery Rate (WARR): 46.11% Par haircut in OC tests and interest diversion test: 5.07% 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. 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. HUDSON'S BAY 2015-HBS: S&P Affirms CCC- (sf) Rating on E-10 Notes ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on nine classes and affirmed its ratings on two classes of commercial mortgage pass-through certificates from Hudson's Bay Simon JV Trust 2015-HBS, a U.S. CMBS transaction. At the same time, S&P placed seven of these ratings on CreditWatch with negative implications. This is a U.S. stand-alone (single-borrower) CMBS transaction backed by a componentized, fixed-rate, interest-only (IO) mortgage loan totaling $428.1 million as of the Feb. 5, 2026, trustee remittance report, down from $846.2 million at issuance. Following nine property releases and applying available excess cash flows, the loan was paid down by $418.1 million and currently consists of two promissory notes (down from three at issuance). One of the notes has a 5.167% annual fixed interest rate totaling $103.1 million, while the other pays a fixed interest rate of $5.455% per annum totaling $325.0 million. Both notes were modified and extended to March 1, 2026, via a forbearance agreement. The mortgage loan is currently secured by the borrower's fee-simple and leasehold interests in 25 remaining retail properties (comprising anchor or shadow anchor parcels at larger retail malls or freestanding retail stores) totaling 3.3 million sq ft in 14 U.S. states, down from 34 properties totaling 4.5 million sq ft in 15 U.S. states at issuance. Of the 25 remaining properties, 15 operate pursuant to the Lord & Taylor LLC master lease (which was recently rejected) and 10 are under the Saks & Company LLC master lease. Rating Actions The downgrades on the class A-10, B-10, C-10, D-7, and D-10 certificates and the affirmations on the class E-7 and E-10 certificates reflect: -- S&P's net recovery value of $97 per sq ft, which is based on its current dark value analysis of the 25 remaining properties. In its last review in September 2025, it derived a net recovery value of $179 per sq ft using a dark value approach on the former Lord & Taylor stores (tenant filed for bankruptcy in 2020 and subsequently closed all its stores) and an in-place analysis for the Saks Fifth Avenue stores. -- S&P's view that liquidity and net recoveries to the bondholders are likely to reduce because of the recent bankruptcy filings. Since then, one of the two master leases has been rejected, the existing forbearance agreement has been terminated, the potential take-out financing to fully pay off the trust loan has fallen through, and the master servicer is expected to start advancing on the loan because the sponsors are no longer paying the operating expenses on the former Lord & Taylor stores. In addition, S&P placed its ratings on the class A-10, B-10, C-10, D-7, D-10, X-A-10, and X-B-10 certificates on CreditWatch with negative implications due to its concerns that the uncertainty surrounding the bankruptcy proceedings regarding the Saks & Company LLC master lease, updated appraised values, resolution strategy and timing of the defaulted loan, and projected advance amounts may result in further reductions in liquidity and ultimate recoveries for the bondholders. The affirmations on classes E-7 and E-10 at 'CCC- (sf)' further reflect S&P's qualitative consideration that their repayments are dependent on favorable business, financial, and economic conditions and that the classes are vulnerable to default. S&P said, "The downgrades on classes F-7 and F-10 to 'D (sf)' reflect our expectation that the accumulated interest shortfalls (totaling $10,926 for class F-7 and $10,100 for class F-10 as of the February 2026 trustee remittance report) will remain outstanding for the foreseeable future. Our assessment also indicates that these classes may incur principal losses upon the eventual liquidation of the loan. "The downgrades on the class X-A-10 and X-B-10 IO certificates reflect our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-A-10 certificates references class A-10, while class X-B-10 references class B-10. "We discontinued our ratings on the class A-7 and B-7 certificates because the class balances were repaid in full as per the February 2026 trustee remittance report. We also discontinued our ratings on the class A-X-7 and s B-X-7 IO certificates due to our IO criteria. The notional amount of the class X-A-7 certificates referenced class A-7, while the class B-X-7 certificates referenced class B-7." The loan was transferred back to the special servicer on July 15, 2025, due to imminent maturity default (loan matured on Aug. 1, 2025). According to the special servicer, Green Loan Services LLC, it entered into a forbearance agreement through March 1, 2026, with the borrower to allow time for documentation and closing of take-out financing to fully pay off the trust loan. However, the forbearance agreement was terminated, the take-out financing fell through, and a notice of default was sent to the borrower after Saks Global Enterprises LLP (S&P downgraded to 'D' on Jan. 14, 2026, and withdrew it on Feb. 17, 2026), and its affiliates, including the guarantors of the two master leases, Saks Global Enterprises Holdings LLC (parent company of Saks Global Enterprises LLP) and HBC I L.P., filed for Chapter 11 bankruptcy on Jan. 14, 2026. In February 2026, the U.S. bankruptcy court approved Saks Global's debtor-in-possession financing, which provided about $1.75 billion in funding to pay its vendors, among others. Green Loan Services LLC stated that it is currently evaluating various legal strategies, and the timing of resolution is unknown. S&P said, "As part of the CreditWatch resolution, we will continue to monitor the transaction for any further developments including updated valuation points, information around the bankruptcy proceedings, master lease, loan resolution strategy and/or timing, budgeted advance amounts, and principal distribution priority to the bondholders following an event of default. We expect to resolve the CreditWatch placements upon the receipt of any material updates related to the aforementioned items." Property-Level Analysis Update S&P said, "Because of the recent bankruptcy filings, our current property-level analysis considers a dark value approach on the remaining 25 retail properties. We assume that the remaining collateral would each be leased to retailers at market rent and vacancy rates comparable with each property's respective submarket per CoStar. Consequently, we used an average gross rental rate of $38.15 per sq ft, an aggregate vacancy rate of 11.4%, an overall operating expense ratio of 40.0%, and higher tenant improvement and leasing commission (TI/LC) costs to arrive at our stabilized NCF of $62.1 million. Utilizing an S&P Global Ratings capitalization rate of 10.0% (which accounts for our perceived higher risk premium to stabilize the remaining properties) and deducting $300.6 million for carrying costs (assuming downtime between one to two years) and additional TI/LC costs to lease up the spaces at our assumed stabilized occupancy rate, we arrived at our dark value of $319.0 million, or $97 per sq ft, for the remaining 25 properties. The remaining properties were appraised at $1.1 billion at issuance. 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 1.0." Table 1 S&P Global Ratings' key assumptions Current review Last review At issuance (March 2026)(i) (Sep 2025)(i) (Oct 2015)(i) No. of properties 25 28 34 Trust Balance (mil. $) 428.10 536.4 846.2 Occupancy rate (%) 88.60 90.0 90.0 Net cash flow (mil. $) 62.10 67.2 75.4 Capitalization rate (%) 10.03 8.5 8.0 Deduct to Value (mil. $) (iii)(300.6) (124.4) 0.0 Value (mil. $) 319.0 665.9 942.2 Value per sq ft ($) 97 179.0 208 Loan-to-value ratio (%) 134.2 80.6 89.8 (i)Review period. (ii)The deduction from value reflects the additional costs to lease up all the remaining properties (assumed in the March 2026 review) or former Lord & Taylor spaces (assumed in the September 2025 review) to our stabilized occupancy assumptions. Ratings Lowered and Placed on CreditWatch Negative Hudson's Bay Simon JV Trust 2015-HBS Class A-10 to 'A- (sf)/Watch neg' from 'AA (sf)' Class B-10 to 'BBB- (sf)/Watch neg' from 'BBB+ (sf)' Class C-10 to 'BB- (sf)/Watch neg' from 'BB (sf)' Class D-7 to 'B- (sf)/Watch neg' from 'B+ (sf)' Class D-10 to 'B- (sf)/Watch neg' from 'B+ (sf)' Class X-A-10 to 'A- (sf)/Watch neg' from 'AA (sf)' Class X-B-10 to 'BBB- (sf)/Watch neg' from 'BBB+ (sf)' Ratings Lowered Hudson's Bay Simon JV Trust 2015-HBS Class F-7 to 'D (sf)' from 'CCC- (sf)' Class F-10 to 'D (sf)' from 'CCC- (sf)' Ratings Affirmed Hudson's Bay Simon JV Trust 2015-HBS Class E-7: CCC- (sf) Class E-10: CCC- (sf) Ratings Discontinued Hudson's Bay Simon JV Trust 2015-HBS Class A-7 to NR from 'AA (sf)' Class B-7 to NR from 'BBB+ (sf)' Class X-A-7 to NR from 'AA (sf)' Class X-B-7 to NR from 'BBB+ (sf)' HUNTINGTON BANK 2026-1: Moody's Assigns (P)B3 Rating to D Notes --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to the Huntington Bank Auto Credit-Linked Notes, Series 2026-1 (HACLN 2026-1) notes to be issued by The Huntington National Bank. The credit-linked notes reference a pool of fixed rate auto installment contracts with prime-quality borrowers originated and serviced by The Huntington National Bank (HNB, senior unsecured A3). HACLN 2026-1 is the fifth credit linked notes transaction issued by HNB to transfer credit risk to noteholders through a hypothetical financial guaranty on a reference pool of auto loans originated and serviced by HNB. The complete rating actions are as follows: Issuer: Huntington Bank Auto Credit-Linked Notes, Series 2026-1 Class B-1 Notes, Assigned (P)A3 (sf) Class B-2 Notes, Assigned (P)A3 (sf) Class C Notes, Assigned (P)Ba2 (sf) Class D Notes, Assigned (P)B3 (sf) RATINGS RATIONALE The notes are floating-rate, with the exception of the Class B-1 notes which are fixed-rate. Unlike principal payment, interest payment to the notes is not dependent on the performance of the reference pool. This deal is unique in that the source of payments for the notes will be HNB's own funds, and not the collections on the loans or note proceeds held in a segregated trust account. Thus, the notes are unsecured obligations of HNB and Moody's capped the ratings of the notes at HNB's senior unsecured rating (A3 negative). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure seen in US auto loan securitizations. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience of HNB as the servicer, and the creditworthiness of HNB as reflected in its credit rating. Moody's median cumulative net loss expectation for the 2026-1 reference pool is 0.75% and the loss at a Aaa stress is 5.25%. Moody's based Moody's cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of HNB to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class B-1 notes, Class B-2 notes, Class C notes, and Class D notes are expected to benefit from 2.85%, 2.85%, 2.40%, and 1.35% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B-1, Class B-2, Class C, and Class D notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Moody's could also upgrade the Class B-1 and B-2 notes if HNB's senior unsecured rating is upgraded. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Moody's could also downgrade the notes if HNB's senior unsecured rating is downgraded. INVESCO US 2023-1: Fitch Assigns 'BB+sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Invesco U.S. CLO 2023-1, Ltd. refinancing notes. Fitch has also upgraded the class E-R notes and assigned a Stable Rating Outlook. Entity/Debt Rating Prior ----------- ------ ----- Invesco U.S. CLO 2023-1, Ltd. A-LR2 LT AAAsf New Rating A-R 46146GAQ5 LT PIFsf Paid In Full AAAsf A-R2 LT AAAsf New Rating B-R 46146GAS1 LT PIFsf Paid In Full AAsf B-R2 LT AA+sf New Rating C-R 46146GAU6 LT PIFsf Paid In Full Asf C-R2 LT A+sf New Rating D-R 46146GAW2 LT PIFsf Paid In Full BBB-sf D-R2 LT BBB+sf New Rating E-R 46146KAJ2 LT BB+sf Upgrade BB-sf Transaction Summary Invesco U.S. CLO 2023-1, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Invesco CLO Equity Fund 3 L.P. that originally closed in February 2023 and was first refinanced in February 2024. The class A-R, B-R, C-R and D-R notes will be refinanced on Feb. 23, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $587 million of primarily first lien senior secured leveraged loans (excluding defaults and principal cash). KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.04, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.8% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% 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 3.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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. Key Provision Changes The refinancing is being implemented via the third supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - The introduction of the class A-LR2 loans, which share the same economics as the class A-R2 notes. - The spreads for the class A-R2, B-R2, C-R2 and D-R2 notes are 1.11%, 1.50%, 1.75% and 3.0%, respectively, compared to the spreads of 1.57%, 2.05%, 2.40% and 3.85% for the class A-R, B-R, C-R and D-R classes, respectively. The spread for the class A-LR2 loans is 1.11% - The non-call period for the refinanced notes has been extended to Feb. 23, 2027. - Stated maturity and reinvestment period for the refinanced notes remain the same as the original notes. Fitch Analysis The portfolio includes 376 assets from 316 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $587 million. As of the latest trustee report prior to the refinance date the transaction was passing its collateral quality tests, coverage tests, and concentration limitations. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 40.3% of the current portfolio par balance; ratings for 58.6% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.1% 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: 2.3% each, for an aggregate of 11.5%; - Largest three industries: 15.0%, 12.0%, and 12.0%, respectively; - Assumed risk horizon: 6.11 years; - Minimum weighted average spread of 3.00%; - Minimum weighted average recovery rate of 72.50%; - Maximum weighted average rating factor of 25.00; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 7.00%; The transaction will exit its reinvestment period on 04-22-2029. Fitch Asset and Cash Flow Analysis The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-R2: 'AAAsf' / Default 43.20% / Recovery 39.58% / Cushion 13.50% - Class B-R2: 'AA+sf' / Default 42.20% / Recovery 48.58% / Cushion 10.30% - Class C-R2: 'A+sf' / Default 36.80% / Recovery 58.42% / Cushion 10.90% - Class D-R2: 'BBB+sf' / Default 30.90% / Recovery 67.96% / Cushion 8.20% - Class E-R: 'BB+sf' / Default 25.60% / Recovery 73.44% / Cushion 9.50% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-R2: 'AAAsf' / Default 49.80% / Recovery 38.60% / Cushion 6.20% - Class B-R2: 'AA+sf' / Default 48.50% / Recovery 46.35% / Cushion 2.70% - Class C-R2: 'A+sf' / Default 42.80% / Recovery 55.95% / Cushion 3.20% - Class D-R2: 'BBB+sf' / Default 36.60% / Recovery 65.25% / Cushion 1.70% - Class E-R: 'BB+sf' / Default 30.60% / Recovery 71.00% / Cushion 4.70% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AAAsf' for class A-R2, between 'BBB-sf' and 'AAsf' for class B-R2, between 'BB-sf' and 'Asf' for class C-R2, and between less than 'B-sf' and 'BBB-sf' for class D-R2 and between less than 'B-sf' and 'BBsf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 'AA+sf' for class C-R2, and 'A+sf' for class D-R2 and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Invesco U.S. CLO 2023-1, 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. JP MORGAN 2026-2: DBRS Finalizes BB Rating on Class B4 Certs ------------------------------------------------------------ DBRS, Inc. finalized the following provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2026-2 (the Certificates) issued by J.P. Morgan Mortgage Trust 2026-2: -- $381.3 million Class A-1 at AAA (sf) -- $343.1 million Class A-2 at AAA (sf) -- $223.0 million Class A-3 at AAA (sf) -- $223.0 million Class A-3-A at AAA (sf) -- $223.0 million Class A-3-B at AAA (sf) -- $223.0 million Class A-3-X1 at AAA (sf) -- $223.0 million Class A-3-X2 at AAA (sf) -- $223.0 million Class A-3-X3 at AAA (sf) -- $167.3 million Class A-4 at AAA (sf) -- $167.3 million Class A-4-A at AAA (sf) -- $167.3 million Class A-4-B at AAA (sf) -- $167.3 million Class A-4-X1 at AAA (sf) -- $167.3 million Class A-4-X2 at AAA (sf) -- $167.3 million Class A-4-X3 at AAA (sf) -- $55.8 million Class A-5 at AAA (sf) -- $55.8 million Class A-5-A at AAA (sf) -- $55.8 million Class A-5-B at AAA (sf) -- $55.8 million Class A-5-X1 at AAA (sf) -- $55.8 million Class A-5-X2 at AAA (sf) -- $55.8 million Class A-5-X3 at AAA (sf) -- $133.8 million Class A-6 at AAA (sf) -- $133.8 million Class A-6-A at AAA (sf) -- $133.8 million Class A-6-B at AAA (sf) -- $133.8 million Class A-6-X1 at AAA (sf) -- $133.8 million Class A-6-X2 at AAA (sf) -- $133.8 million Class A-6-X3 at AAA (sf) -- $89.2 million Class A-7 at AAA (sf) -- $89.2 million Class A-7-A at AAA (sf) -- $89.2 million Class A-7-B at AAA (sf) -- $89.2 million Class A-7-X1 at AAA (sf) -- $89.2 million Class A-7-X2 at AAA (sf) -- $89.2 million Class A-7-X3 at AAA (sf) -- $33.5 million Class A-8 at AAA (sf) -- $33.5 million Class A-8-A at AAA (sf) -- $33.5 million Class A-8-B at AAA (sf) -- $33.5 million Class A-8-X1 at AAA (sf) -- $33.5 million Class A-8-X2 at AAA (sf) -- $33.5 million Class A-8-X3 at AAA (sf) -- $38.2 million Class A-9 at AAA (sf) -- $38.2 million Class A-9-A at AAA (sf) -- $38.2 million Class A-9-B at AAA (sf) -- $38.2 million Class A-9-X1 at AAA (sf) -- $38.2 million Class A-9-X2 at AAA (sf) -- $38.2 million Class A-9-X3 at AAA (sf) -- $89.2 million Class A-10 at AAA (sf) -- $89.2 million Class A-10-A at AAA (sf) -- $89.2 million Class A-10-B at AAA (sf) -- $89.2 million Class A-10-X1 at AAA (sf) -- $89.2 million Class A-10-X2 at AAA (sf) -- $89.2 million Class A-10-X3 at AAA (sf) -- $120.1 million Class A-11 at AAA (sf) -- $120.1 million Class A-11-X at AAA (sf) -- $120.1 million Class A-12 at AAA (sf) -- $120.1 million Class A-13 at AAA (sf) -- $120.1 million Class A-13-X at AAA (sf) -- $120.1 million Class A-14 at AAA (sf) -- $120.1 million Class A-14-X at AAA (sf) -- $120.1 million Class A-14-X2 at AAA (sf) -- $120.1 million Class A-14-X3 at AAA (sf) -- $120.1 million Class A-14-X4 at AAA (sf) -- $44.6 million Class A-15 at AAA (sf) -- $44.6 million Class A-15-A at AAA (sf) -- $44.6 million Class A-15-B at AAA (sf) -- $44.6 million Class A-15-X1 at AAA (sf) -- $44.6 million Class A-15-X2 at AAA (sf) -- $44.6 million Class A-15-X3 at AAA (sf) -- $44.6 million Class A-16 at AAA (sf) -- $44.6 million Class A-16-A at AAA (sf) -- $44.6 million Class A-16-B at AAA (sf) -- $44.6 million Class A-16-X1 at AAA (sf) -- $44.6 million Class A-16-X2 at AAA (sf) -- $44.6 million Class A-16-X3 at AAA (sf) -- $44.6 million Class A-17 at AAA (sf) -- $44.6 million Class A-17-A at AAA (sf) -- $44.6 million Class A-17-B at AAA (sf) -- $44.6 million Class A-17-X1 at AAA (sf) -- $44.6 million Class A-17-X2 at AAA (sf) -- $44.6 million Class A-17-X3 at AAA (sf) -- $78.1 million Class A-18 at AAA (sf) -- $78.1 million Class A-18-A at AAA (sf) -- $78.1 million Class A-18-B at AAA (sf) -- $78.1 million Class A-18-X1 at AAA (sf) -- $78.1 million Class A-18-X2 at AAA (sf) -- $78.1 million Class A-18-X3 at AAA (sf) -- $381.3 million Class A-X-1 at AAA (sf) -- $7.7 million Class B-1 at AA (low) (sf) -- $7.7 million Class B-1-A at AA (low) (sf) -- $7.7 million Class B-1-X at AA (low) (sf) -- $6.3 million Class B-2 at A (low) (sf) -- $6.3 million Class B-2-A at A (low) (sf) -- $6.3 million Class B-2-X at A (low) (sf) -- $4.2 million Class B-3 at BBB (low) (sf) -- $2.2 million Class B-4 at BB (sf) -- $807.4 thousand Class B-5 at B (low) (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3A, A-3B, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12, A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17, A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-3A, A-3B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A, and A-18-B are super senior certificates. These classes benefit from additional protection from the senior support certificate (Class A-9-B) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 5.55% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (low) (sf) credit ratings reflect 3.65%, 2.10%, 1.05%, 0.50%, and 0.30% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Mortgage Pass-Through Certificates, Series 2026-2 (the Certificates). The Certificates are backed by 291 loans with a total principal balance of $403,703,278 as of the Cut-Off Date (February 01, 2026). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of four months. Approximately 89.5% of the loans are traditional, nonagency, prime jumbo mortgage loans. The remaining 10.5% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. CrossCountry Mortgage, LLC (CrossCountry), United Wholesale Mortgage, LLC (UWM) and Pennymac Loan Services, LLC (PennyMac) originated 33.2%, 16.5% and 16.2% of the pool, respectively. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced by JPMorgan Chase Bank, National Association (55.6%), United Wholesale Mortgage, LLC (24.4%), and PennyMac Loan Services, LLC (16.2%). For the UWM serviced loans, Cenlar will act as the subservicer. For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (June 1, 2026). For certain Servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Rocket Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (Computershare; rated BBB (high) with a Stable trend) will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2026-2: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage Trust 2026-2 (JPMMT 2026-2). Entity/Debt Rating ----------- ------ JPMMT 2026-2 A1 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A10A LT AAA(EXP)sf Expected Rating A10B LT AAA(EXP)sf Expected Rating A10X1 LT AAA(EXP)sf Expected Rating A10X2 LT AAA(EXP)sf Expected Rating A10X3 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A11X LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A13X LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A14X LT AAA(EXP)sf Expected Rating A14X2 LT AAA(EXP)sf Expected Rating A14X3 LT AAA(EXP)sf Expected Rating A14X4 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A15A LT AAA(EXP)sf Expected Rating A15B LT AAA(EXP)sf Expected Rating A15X1 LT AAA(EXP)sf Expected Rating A15X2 LT AAA(EXP)sf Expected Rating A15X3 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A16B LT AAA(EXP)sf Expected Rating A16X1 LT AAA(EXP)sf Expected Rating A16X2 LT AAA(EXP)sf Expected Rating A16X3 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A17A LT AAA(EXP)sf Expected Rating A17B LT AAA(EXP)sf Expected Rating A17X1 LT AAA(EXP)sf Expected Rating A17X2 LT AAA(EXP)sf Expected Rating A17X3 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A18A LT AAA(EXP)sf Expected Rating A18B LT AAA(EXP)sf Expected Rating A18X1 LT AAA(EXP)sf Expected Rating A18X2 LT AAA(EXP)sf Expected Rating A18X3 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A3A LT AAA(EXP)sf Expected Rating A3B LT AAA(EXP)sf Expected Rating A3X1 LT AAA(EXP)sf Expected Rating A3X2 LT AAA(EXP)sf Expected Rating A3X3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4B LT AAA(EXP)sf Expected Rating A4X1 LT AAA(EXP)sf Expected Rating A4X2 LT AAA(EXP)sf Expected Rating A4X3 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A5A LT AAA(EXP)sf Expected Rating A5B LT AAA(EXP)sf Expected Rating A5X1 LT AAA(EXP)sf Expected Rating A5X2 LT AAA(EXP)sf Expected Rating A5X3 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A6A LT AAA(EXP)sf Expected Rating A6B LT AAA(EXP)sf Expected Rating A6X1 LT AAA(EXP)sf Expected Rating A6X2 LT AAA(EXP)sf Expected Rating A6X3 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A7B LT AAA(EXP)sf Expected Rating A7X1 LT AAA(EXP)sf Expected Rating A7X2 LT AAA(EXP)sf Expected Rating A7X3 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A8A LT AAA(EXP)sf Expected Rating A8B LT AAA(EXP)sf Expected Rating A8X1 LT AAA(EXP)sf Expected Rating A8X2 LT AAA(EXP)sf Expected Rating A8X3 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A9A LT AAA(EXP)sf Expected Rating A9B LT AAA(EXP)sf Expected Rating A9X1 LT AAA(EXP)sf Expected Rating A9X2 LT AAA(EXP)sf Expected Rating A9X3 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating B1X LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating B2X LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating Transaction Summary Fitch Ratings expects to rate the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2026-2 (JPMMT 2026-2), as indicated above. The certificates are supported by 291 loans with a scheduled balance of $403.70 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages originated mainly by United Wholesale Mortgage, LLC, CrossCountry Mortgage LLC, PennyMac Loan Services LLC, and MAXEX Clearing LLC. The loan-level representations and warranties (R&Ws) are provided by the various sellers and originators. All mortgage loans in the pool will be serviced by JPMCB, PennyMac Loan Services, loanDepot.com and United Wholesale Mortgage. Cenlar FSB will subservice the loans for United Wholesale Mortgage. Rocket Mortgage LLC is the master servicer. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM) average prime offer rate (APOR) loans. The senior certificates are fixed rate or floating rate and capped at the net weighted average coupon (WAC) and the subordinate certificates are based on the net WAC. KEY RATING DRIVERS Credit Risk of Prime Credit Quality (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of fixed-rate, first lien residential mortgage loans with original terms to maturity of 30 years, and 66.3% of the loans are purchases, over 90% of the loans are single family/PUDs, and 100% of the loans are owner occupied or second homes. The loans are seasoned at an average of two months. The pool has a weighted average (WA) original FICO score of 773, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (cLTV) of 73.2%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 79.8%. This transaction has a final probability of default (PD) of 10.76% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 35.28%. The expected loss in the 'AAAsf' rating stress is 3.80%. Structural Analysis (Mixed): Senior/Subordinate Shifting-Interest Structure with Full Advancing The mortgage cash flow and loss allocation in JPMMT 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. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The CE or senior subordination floor of 1.05% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 0.75% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the loans will be allocated, first, to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent P&I until it is deemed nonrecoverable. As a result, the LS was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyzes the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating Fitch's loss projections as derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. See the Cash Flow Analysis section for more details. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm with a final grade of either "A" or "B." Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects JPMMT 2026-2 to be fully de-linked and the transaction will be structured with a bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to JPMMT 2026-2; therefore, Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 9.2%, in the 'Bsf' case. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) from SitiusAMC, Consolidated Analytics, Maxwell, and Opus, all assessed as 'Acceptable' TPR firms by Fitch. Fitch was proved Form 15E by the TPR firms. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. All the loans in the pool had a grade of 'A' or 'B'. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination z-score credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B." DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool by balance (100.0% by loan count). The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC, Maxwell, Opus, and Consolidated Analytics were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data provided was considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2026-ACES1: S&P Assigns Prelim. 'B-' Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to J.P. Morgan Mortgage Trust 2026-ACES1'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, condominiums, townhouses, and unknown housing properties. The pool has 73,912 loans and comprises qualified mortgage (QM)/non-higher-priced mortgage loan (HPML) (safe harbor), non-QM/compliant, and QM rebuttable presumption. The preliminary ratings are based on information as of March 4, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage originator; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) J.P. Morgan Mortgage Trust 2026-ACES1 Class A1, $3,054,566,000: AAA (sf) Class A1A, $4,363,666,000: AAA (sf) Class A1B, $3,054,566,000: AAA (sf) Class A1C, $1,309,100,000: AAA (sf) Class A1D, $3,054,566,000: AAA (sf) Class A1DX, Notional(ii): AAA (sf) Class A1E, $3,054,566,000: AAA (sf) Class A1EX, Notional(ii): AAA (sf) Class A1-IO, Notional(ii): AAA (sf) Class A1F, $1,309,100,000: AAA (sf) Class A1-X, Notional(ii): AAA (sf) Class A2, $203,239,000: AA- (sf) Class A2A, $290,342,000: AA- (sf) Class A2B, $203,239,000: AA- (sf) Class A2C, $87,103,000: AA- (sf) Class A2-IO, Notional(ii): AA- (sf) Class A2F, $87,103,000: AA- (sf) Class A2-X, Notional(ii): AA- (sf) Class A3, $191,283,000: A- (sf) Class A3A, $273,262,000: A- (sf) Class A3B, $191,283,000: A- (sf) Class A3C, $81,979,000: A- (sf) Class A3-IO, Notional(ii): A- (sf) Class A3F, $81,979,000: A- (sf) Class A3-X, Notional(ii): A- (sf) Class A4, $3,257,805,000: AA- (sf) Class A4A, $4,654,008,000: AA- (sf) Class A4B, $3,257,805,000: AA- (sf) Class A4C, $1,396,203,000: AA- (sf) Class A4-IO, Notional(ii): AA- (sf) Class A4F, $1,396,203,000: AA- (sf) Class A4-X, Notional(ii): AA- (sf) Class A5, $3,449,088,000: A- (sf) Class A5A, $4,927,270,000: A- (sf) Class A5B, $3,449,088,000: A- (sf) Class A5C, $1,478,182,000: A- (sf) Class A5-IO, Notional(ii): A- (sf) Class A5F, $1,478,182,000: A- (sf) Class A5-X, Notional(ii): A- (sf) Class A6, $3,702,426,000: BBB- (sf) Class A6A, $5,180,608,000: BBB- (sf) Class A6B, $3,702,426,000: BBB- (sf) Class A6C, $1,731,520,000: BBB- (sf) Class M-1, $253,338,000: BBB- (sf) Class B-1, $207,793,000: BB- (sf) Class B-2, $176,483,000: B- (sf) Class B-3, $128,092,183: Not rated Class A-IO-S, Notional(ii): Not rated Class XS, Notional(ii): Not rated Class A-R, N/A: Not rated (i)The preliminary ratings address the ultimate payment of interest and principal, and do not address payment of the cap carryover amounts. (ii)The notional amount of class A-1DX, A-1EX, and A1-IO equals to the class principal balance of the class A1; for class A1-X equals to the class principal balance of the class A1F; for class A2-IO equals to the class principal balance of the class A2; for class A2-X equals to the class principal balance of the class A2F; for class A3-IO equals to the class principal balance of the class A3; for class A3-X equals to the class principal balance of the class A3F; for class A4-IO equals to the aggregate class principal balance of classes A1 and A2; for class A4-X equals to the aggregate class principal balance of classes A1F and A2F; for class A5-IO equals to the aggregate class principal balance of classes A1, A2, and A3; for class A5-X equals to the aggregate class principal balance of classes A1F, A2F, and A3F. The notional amount of classes A-IO-S and XS equals to the sum of the aggregate unpaid principal balance of the mortgage loans as of the first day of the related collection period. IO--Interest only. N/A--Not applicable. JP MORGAN 2026-VIS1: S&P Assigns BB-(sf) Rating on Cl. B-1 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage Trust 2026-VIS1's mortgage-backed certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including loans with initial interest-only periods, to prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and five- to 10-family properties. The pool consists of 1,648 ability-to-repay-exempt business-purpose investment property loans. S&P said, "After we assigned our preliminary ratings on Feb. 24, 2026, the sponsor resized the class A-1FCF, A-1LCF, A-1A, and A-1B certificates and the associated exchangeable class A-1 certificates, keeping the subordination credit enhancement unchanged. Also, at pricing, class B-1 was priced to be a fixed-rate bond. After analyzing the final coupons and the updated structure, our assigned ratings are unchanged from the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and reviewed originators; and -- S&P's U.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. S&P's outlook is updated, if necessary, when these projections change materially. Ratings Assigned(i) J.P. Morgan Mortgage Trust 2026-VIS1 Class A-1FCF, $18,725,000: AAA (sf) Class A-1LCF, $6,242,000: AAA (sf) Class A-1A, $238,345,000: AAA (sf) Class A-1B, $41,564,000: AAA (sf) Class A-1, $280,345,000: AAA (sf) Class A-2, $39,606,000: AA- (sf) Class A-3, $50,471,000: A- (sf) Class M-1, $23,538,000: BBB- (sf) Class B-1, $16,974,000: BB- (sf) Class B-1A, $16,974,000: BB- (sf) Class B-1AX, $16,974,000: BB- (sf) Class B-1B, $16,974,000: BB- (sf) Class B-1BX, $16,974,000: BB- (sf) Class B-2, $11,090,000: B- (sf) Class B-2A, $11,090,000: B- (sf) Class B-2AX, $11,090,000: B- (sf) Class B-2B, $11,090,000: B- (sf) Class B-2BX, $11,090,000: B- (sf) Class B-3, $5,658,449: NR Class A-IO-S, notional(ii): NR Class XS, notional(iii): NR Class A-R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The notional amount equals the aggregate stated principal balance of the mortgage loans serviced by Newrez LLC (dba Shellpoint Mortgage Servicing) and Selene Finance L.P. as of the cutoff date. (iii)The notional amount equals the aggregate stated principal balance of loans in the pool as of the cutoff date. NR--Not rated. JPMBB 2014-C19: Fitch Hikes Rating on Class F Debt to 'Bsf' ----------------------------------------------------------- Fitch Ratings has affirmed six classes of JPMBB Commercial Mortgage Securities Trust 2014-C18 (JPMBB 2014-C18). The Outlook on Class B was revised to Stable from Negative while the Outlook for Classes C and EC remains Negative. Fitch has also upgraded one class of JPMBB Commercial Mortgage Securities Trust 2014-C19 (JPMBB 2014-C19). A Stable Outlook was assigned to the class following the upgrade. Entity/Debt Rating Prior ----------- ------ ----- JPMBB 2014-C19 F 46641WAL1 LT Bsf Upgrade CCCsf JPMBB 2014-C18 B 46641JBB1 LT BBBsf Affirmed BBBsf C 46641JBC9 LT BBsf Affirmed BBsf D 46641JAE6 LT CCCsf Affirmed CCCsf E 46641JAG1 LT CCsf Affirmed CCsf EC 46641JBD7 LT BBsf Affirmed BBsf F 46641JAJ5 LT Csf Affirmed Csf KEY RATING DRIVERS Pool Concentration; Adverse Selection: The ratings account for elevated pool concentration with five loans remaining in the JPMBB 2014-C18 transaction and two loans in the JPMBB 2014-C19 transaction. The upgrade and Stable Outlook in the JPMBB 2014-C19 transaction reflect expectations that the class is unlikely to incur a loss and is anticipated to repay in the near-term, supported by scheduled amortization from a fully amortizing loan with stable performance. The Outlook revision to Stable from Negative in the JPMBB 2014-C18 transaction reflects the high credit enhancement level of 79.8% and the expectation for repayment based on recovery estimates of remaining performing loans in the pool. The Negative Outlook in the JPMBB 2014-C18 transaction reflects adverse selection in the pool and downgrade potential if recovery expectations for the specially serviced loans/assets worsen due to ongoing performance declines, prolonged workouts, or increasing loan exposures. Fitch Loans of Concerns (FLOCs) comprise four loans in JPMBB 2014-C18 including three loans in special servicing (68.8%); and one loan (22%) in JPMBB 2014-C19 which is the only loan in special servicing. Due to the heightened concentration risk, Fitch conducted a recovery and liquidation analysis that categorized and ranked remaining loans based on their loan status, collateral quality, and repayment/loss expectations to assess outstanding class ratings in relation to available credit enhancement (CE). Largest Contributors to Loss Expectations: The largest contributor to loss in JPMBB 2014-C18 is the Miami International Mall, which is secured by the 306,855-sf collateral portion of a 1.1 million-sf regional mall located approximately 12 miles northwest of downtown Miami. Non-collateral anchors include Macy's, JCPenney, and a vacant Sears space that closed in November 2018. Major collateral tenants include H&M (7.4% of NRA; expired January 2025-MTM), Old Navy (5.5%; January 2027) and Victoria's Secret (3.7%; January 2035). The loan defaulted at maturity in February 2024 and transferred to special servicing. A forbearance agreement extended the loan term through February 2025 with a 12-month extension option, which the sponsor exercised. The sponsor contributed $2 million to principal paydown at the first extension and an additional $3 million paydown with the second extension. The loan is subject to reduced default interest of 3.5%, up from 2.5% for the 12 months of forbearance. A full cash sweep was in place during the forbearance period, with excess cash evenly distributed to a reserve account and to amortize the loan. As of January 2026, $2.27 million was collected into reserves. The borrower is in discussion with the servicer on a proposal to extend the forbearance. Total mall occupancy was stable at 93% as of September 2025 in-line with YE 2024 while collateral occupancy fell to 74%, down from 79% as of YE 2024. YE 2024 NOI declined 3.5% year-over-year and remains 16.7% below the originators underwritten NOI from issuance. As of September 2025, NOI DSCR was 2.39x which remains in line with YE 2024 NOI DSCR of 2.32x. As of the TTM June 2025 reporting, the mall reported in-line sales of $578 psf for tenants less than 10,000 sf. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) current loss of approximately 20% reflects a discount to the most recent reported appraisal value that is 63% below the appraisal reported at issuance. The second-largest contributor to loss in JPMBB 2014-C18 is the Meadows Mall, which is secured by the 308,190-sf collateral portion of a 945,043-sf regional mall located in Las Vegas, NV. The largest in-line tenants include Victoria's Secret (3.9% of NRA; January 2028), Shoe Palace (3.97%; June 2026 and January 2029), and Rainbow (2.5%; January 2029). Meadows Mall primarily serves the local community rather than tourists. The loan transferred to special servicing in October 2020 due to monetary default and extended its maturity to July 2026. Occupancy as of third quarter 2025 was 87%, compared to 91% at YE 2024, and 97% at issuance. Cash flow has been insufficient to cover debt service reporting an NOI DSCR of 0.94x as of September 2025 as compared to 1.03x at YE 2024. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 31% reflects a 7.5% stress to the YE 2024 NOI with a cap rate of 20.0% and factors an elevated probability of default due to deteriorating value and refinance concerns. Additional specially serviced assets in JPMBB 2014-C18 include Geneva Shopping Center (6.6%) and One Thorn Run Center (5.1%). Geneva Shopping Center is a 186,275-sf retail property located in Geneva, NY. Occupancy had declined to 44% as of YE 2024 primarily due to the largest tenant, Tops Grocery (28% of NRA) filing for bankruptcy and vacating. Occupancy is expected to improve with the signing of two new leases with Goodwill (20%) and Planet Fitness (6%). The property transferred to special servicing in December 2020 and is REO as of May 2023. One Thorn Run Center is a 102,041-sf Class-B office building located in Moon Township, PA. The loan transferred to special servicing in 2022 due to declines in collateral performance and is REO as of November 2023. The most recently reported occupancy was 53% as of September 2025. Both assets have updated appraisal values reflected in the analysis. The largest contributor to loss expectations in the JPMBB 2014-C19 transaction is the 450 H Street loan (22.1% of balance), which is secured by a 31,340-sf office building located in Washington DC. The property was occupied by a single tenant, District of Columbia - Department of Youth Rehabilitation on a lease through June 2025. The loan transferred to special servicing in May 2025 and subsequently defaulted at maturity in June 2025. The servicer reported that the tenant elected not to renew its lease and the borrower will be relinquishing control of the asset. Fitch's 'Bsf' rating case loss (prior to concentration adjustments) of 36% is based on a 20% stress to the YE 2024 NOI with a 10% cap rate and factors a higher probability of default due to the specially serviced and vacant status of the property. The largest loan in the JPMBB 2014-C19 is the Centreville Square loan (78% of balance) which is secured by a 311,989-sf retail property in Centreville, VA. The property is anchored by two grocery stores, a Lotte Plaza Market (14% of NRA) and a Lidl (9%) with leases expiring in 2029 and 2039, respectively. As of September 2025, the property was 99% occupied with NOI DSCR of 1.96x in-line with performance at YE 2024. The loan matures in 2034 and is a fully amortizing. Fitch's 'Bsf' rating case loss is minimal reflecting the stable performance and continued amortization. Changes in Credit Enhancement: As of the January 2026 distribution date, the aggregate balance for JPMBB 2014-C18 has been reduced by 82.7% to $165.9 million from $957.6 million at issuance. The aggregate balance for JPMBB 2014-C19 has been reduced by 98.6% to $20.2 million from $1.41 billion at issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated in the 'BBBsf' and 'BBsf' categories and distressed rated classes in the JPMBB 2014-C18 could occur with higher expected losses from specially serviced loans and/or as losses become realized or more certain. The largest loans of concern include the two regional malls, Miami International Mall and Meadows Mall, which could face higher losses if the sponsors are unable to successfully refinance the outstanding debt. Downgrade to the class rated in the 'Bsf' category in the JPMBB 2014-C19 is not likely due to continued amortization but is possible with a sudden and sharp decline in value and performance of the largest loan, Centreville Square. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'BBBsf', 'BBsf' and 'Bsf' categories in both transactions are not anticipated, given the elevated concentration, but may be possible with significantly better-than-expected recoveries on specially serviced loans upon disposition. Upgrades to distressed rated classes are not anticipated due to the adverse selection and concentration of defaulted loans. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. KKR CLO 17: Moody's Cuts Rating on $33.6MM Class E-R Notes to B1 ---------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by KKR CLO 17 Ltd.: US$33.6M Class E-R Senior Secured Deferrable Floating Rate Notes, Downgraded to B2 (sf); previously on Jul 23, 2025 Downgraded to B1 (sf) Moody's have also affirmed the ratings on the following notes: US$372M Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Mar 25, 2021 Assigned Aaa (sf) US$77.4M Class B-R Senior Secured Floating Rate Notes, Affirmed Aa2 (sf); previously on Mar 25, 2021 Assigned Aa2 (sf) US$24.15M Class C-1-R Senior Secured Deferrable Floating Rate Notes, Affirmed A2 (sf); previously on Mar 25, 2021 Assigned A2 (sf) US$7.05M Class C-2-R Senior Secured Deferrable Fixed Rate Notes, Affirmed A2 (sf); previously on Mar 25, 2021 Assigned A2 (sf) US$37.8M Class D-R Senior Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Mar 25, 2021 Assigned Baa3 (sf) KKR CLO 17 Ltd., originally issued in March 2017 and refinanced in March 2021, 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 will end in April 2026. RATINGS RATIONALE The rating downgrade on the Class E-R notes is primarily a result of the continued deterioration of the weighted average spread (WAS) of the portfolio since the last rating action in July 2025. The portfolio WAS has deteriorated since the last rating action in July 2025. According to the trustee report dated January 2026[1], the WAS is reported at 3.11% compared to June 2025[2] level of 3.37%. Moody's notes that the Minimum Floating Spread Test is currently failing. The affirmations on the ratings on the Class A-R, B-R, C-1-R, C-2-R and 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 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: USD579.24m Defaulted Securities: USD3.7m Diversity Score: 78 Weighted Average Rating Factor (WARF): 2956 Weighted Average Life (WAL): 4.5 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.85% Weighted Average Coupon (WAC): 4.38% Weighted Average Recovery Rate (WARR): 46.04% 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 Moody's are analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortization: Once reaching the end of the reinvestment period in April 2026, 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. -- 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. 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. KKR CLO 18: Fitch Affirms 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------ Fitch Ratings has affirmed the ratings on the class A-1-R2, A-2-R2, B-R2, C-R2, D-R2, and E-R2 notes of KKR CLO 18 Ltd. (KKR CLO 18). Fitch also revised the Rating Outlook on the class B-R2 notes to Positive from Stable, while the Outlooks on the other rated notes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- KKR CLO 18 Ltd._ Reset 2025 A-1-R2 48251JAS2 LT AAAsf Affirmed AAAsf A-2-R2 48251JAU7 LT AAAsf Affirmed AAAsf B-R2 48251JAW3 LT AAsf Affirmed AAsf C-R2 48251JAY9 LT Asf Affirmed Asf D-R2 48251JBA0 LT BBB-sf Affirmed BBB-sf E-R2 48251HAE7 LT BB-sf Affirmed BB-sf Transaction Summary KKR CLO 18 is an arbitrage cash flow collateralized loan obligation (CLO) managed by KKR Financial Advisors II, LLC. The transaction originally closed in July 2017, refinanced in October 2021 and underwent a second refinancing in September 2025. The transaction had exited its reinvestment period in July 2022. KEY RATING DRIVERS Increased Credit Enhancement from Note Amortization The Positive Outlook on the class B-R2 notes is mainly driven by note amortization of the class A-1-R2 notes. The A-1-R2, A-2-R2, B-R2, C-R2, D-R2, and E-R2 notes have seen increases in their credit enhancement and break-even default rate cushions. As of the January payment date, approximately 22.3% of the A-1-R2 notes have amortized since the September 2025 refinancing. The Positive Outlook indicates a potential upgrade if amortization continues and outweighs the potential decline in portfolio credit quality. Portfolio Credit Quality Improves with Par Loss Increases The portfolio's credit quality has improved slightly, with the Fitch weighted average rating factor at 25.9 (B/B- rating level) compared to 27.6 at the refinancing. As of the December 2025 trustee report, the portfolio balance adjusted for trustee-reported recoveries on defaulted assets was approximately 2.8% below the target initial par amount. Fitch calculated a Fitch weighted average recovery rate (WARR) of 72.9%, compared to 72.4% WARR at the refinancing. The current portfolio consists of 185 obligors, with the top 10 obligors comprising 15.7% of the portfolio (excluding cash). Cash Flow Analysis Reinvestment after the end of the reinvestment period remains limited and subject to certain conditions. As a result, Fitch conducted an updated cash flow analysis based on a stressed portfolio that assumed a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. The portfolio weighted average life was assumed at the test level of 4.5 years. The class A-1-R2 and A-2-R2 note ratings were affirmed in line with their model-implied ratings (MIRs), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria. Fitch affirmed the class B-R2, C-R2, D-R2 and E-R2 notes two notches below their respective MIRs, given the limited to modest cushions at higher rating stresses and the potential for amortization to slow if reinvestment continues to occur. The Stable Outlooks on the class A-1-R2, A-2-R2, C-R2, D-R2, and E-R2 notes reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class's rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed; - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, may lead to downgrades of up to one notch, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, may lead to upgrades of up to five notches, based on the MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for KKR CLO 18 Ltd._ Reset 2025. 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. KKR STATIC I: Fitch Affirms 'BB+sf' Rating on Class E-R2 Notes -------------------------------------------------------------- Fitch Ratings upgraded the class B-R2 notes and affirmed the class A-R2, C-R2, D-R2, and E-R2 notes of KKR Static CLO I Ltd. (KKR Static I). Fitch assigned a Stable Outlook to the class B-R2 notes and revised Outlooks from Stable to Positive for the class C-R2 and D-R2 notes. The Outlooks for the other rated notes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- KKR Static CLO I Ltd. A-R2 48255QAU7 LT AAAsf Affirmed AAAsf B-R2 48255QAW3 LT AAAsf Upgrade AA+sf C-R2 48255QAY9 LT A+sf Affirmed A+sf D-R2 48255QBA0 LT BBB+sf Affirmed BBB+sf E-R2 48255RAE1 LT BB+sf Affirmed BB+sf Transaction Summary KKR Static I is a static arbitrage cash flow collateralized loan obligation (CLO) that is managed by KKR Financial Advisors II, LLC. The transaction originally closed in July 2022 and subsequently refinanced twice, in January 2024 and January 2025. The transaction is secured primarily by first-lien senior secured leveraged loans. KEY RATING DRIVERS Increased Credit Enhancement from Note Amortization The upgrade on the class B-R2 notes and the Positive Outlook revisions on the class C-R2 and D-R2 notes are mainly driven by note amortization of the class A-R2 notes, which increased in credit enhancement and break-even default rate cushions for all classes of notes since the last review in October 2025. As of the January 2026 payment date, an additional 28.5% of the original class A-R2 note balance have amortized since the last review, with a cumulative amortization of 61%. Stable Portfolio Quality The overall portfolio quality has remained at the 'B/B-' level since last review, with a Fitch weighted average rating factor of 27.1. The Fitch weighted average recovery rate also increased slightly to 75.5% from 75. 1%. The portfolio incurred total losses of 2.7% of the original target par balance due to defaulted assets, compared to 2.2% loss at last review. The portfolio is composed of 110 obligors, with the largest 10 obligors making up 16.1% of the portfolio (excluding cash), compared to 122 obligors with the largest 10 comprising 15.0% at last review. Exposure to obligors on Fitch's CLO watchlist and those with a Negative Outlook are 15.2% and 14.7%, respectively. All coverage tests remain in compliance. Cash Flow Analysis Fitch conducted an updated cash flow analysis based on a stressed portfolio that assumed a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor and extended the weighted average life to 5.0 years for potential for maturity amendments. Fitch affirmed all the notes' ratings in line with their model implied ratings (MIRs), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria, except for the class C-R2 and D-R2 notes. While the model implied ratings (MIR) of the class C-R2 and D-R2 notes are three notches higher for each respective class, the cushions were limited at the higher rating levels, which could be sensitive to tail risks. The Positive Outlooks on the class C-R2 and D-R2 notes indicate potential upgrades with the expectation that future note amortization outweighs increasing portfolio concentration and potential portfolio deterioration. The Stable Outlooks on the class A-R2, B-R2 and E-R2 notes reflect Fitch's expectation that the notes have sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with each class's rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed; A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, may lead to downgrades of up to three notches for the class E-R2 notes and no rating impact on the other rated classes, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, may lead to upgrades of up to four notches for the class C-R2 and E-R2 notes and six notches for the class D-R2 notes, based on the MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Most of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied on for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for KKR Static CLO I Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. LENDINGCLUB 2026-P1: Fitch Assigns 'B+sf' Rating on Class F Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by LendingClub Rated Notes Issuer Trust, Series 2026-P1 (LENDR 2026-P1). Entity/Debt Rating ----------- ------ LENDR 2026-P1 A LT AAAsf New Rating B LT AAsf New Rating C LT A-sf New Rating D LT BBB-sf New Rating E LT BB+sf New Rating F LT B+sf New Rating KEY RATING DRIVERS Strong Receivable Quality: The LENDR 2026-P1 pool comprises entirely prime loans assigned the lowest internal risk grades: P1 (59.39%) and P2 (40.61%). P1 represents the highest credit quality/lowest risk, followed by P2. The LENDR 2026-P1 pool has a weighted average (WA) FICO score of 731; 17.79% of the pool has a FICO below 700, with a minimum FICO of 662. The obligors in the pool have a WA debt-to-income ratio (DTI) of 19.04%. The WA interest rate of the pool is 11.13%, and the pool has a WA remaining term of 51.37 months with close to negligible seasoning. Stabilizing Default Rate Trends: LendingClub's go-forward approved default rates for its prime loan portfolio, which collateralizes the capital structure, began to increase early in vintage year 2021 and saw a notable rise by vintage year 2022 which continued the into first half of 2023. However, since initiating corrective measures that included cutting originations to higher-risk grades, performance in subsequent 2024 vintage is seeing improvement. Fitch's WA base case default assumption (the default assumption) for LENDR 2026-P1 is 10.08%. The default assumption was established based on data stratified by LendingClub's proprietary risk grade and loan term. In setting the expected case, Fitch considered performance trends from vintage year 2021 and 2022 and recognized the improving default curves in later half of vintage year 2023 and in vintage year 2024. Credit Enhancement Mitigates Stressed Losses: Credit enhancement (CE) consists of overcollateralization (OC) and subordination for the senior tranche. Initial hard CE totals 45.63%, 32.23%, 19.37%, 10.38%, 5.92% and 1.38% for the class A, B, C, D, E and F notes, respectively. Although the transaction does not have a reserve account, initial CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes. Fitch applied a 'AAAsf' rating stress of 4.25x the base case default rate for prime loans. The stress multiples decrease for lower rating levels, according to Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for the loans, WA borrower FICO scores and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Adequate Servicing Capabilities: LendingClub has a strong track record of servicing consumer loans since launching its online lending marketplace platform in 2007. LendingClub performs pre-charge-off loan servicing activities in-house, along with outsourcing post-charge-off activities to third parties. The bank is the lead servicer on all of its securitization transactions. The trust has assigned CardWorks Servicing, LLC as the backup servicer. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating Sensitivity to Increased Defaults: Original Ratings: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB+sf'/'B+sf' Base case defaults increase 10%: 'AA+sf'/'AA-sf'/'BBB+sf'/'BB+sf'/'BBsf'/'B-sf' Base case defaults increase 25%: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BB-sf'/'NRsf' Base case defaults increase 50%: 'A+sf'/'A-sf'/'BBB-sf'/'BB-sf'/'CCCsf'/'NRsf' Rating Sensitivity to Reduced Recoveries: Original Ratings: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB+sf'/'B+sf' Base case recoveries decrease 10%: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'Bsf' Base case recoveries decrease 25%: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'Bsf' Base case recoveries decrease 50%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'B-sf' Rating sensitivities to increased defaults and reduced recoveries: Original Ratings: 'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'/'BB+sf'/'B+sf' Base case defaults increase 10%/ base case recoveries decrease 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BB+sf'/'BBsf'/'B-sf' Base case defaults increase 25%/base case recoveries decrease 25%: 'AAsf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'/'NRsf' Base case defaults increase 50%/base case recoveries decrease 50%: 'A+sf'/'BBB+sf'/'BB+sf'/'B+sf'/'NRsf'/'NRsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating Sensitivity to Decreased Defaults: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case defaults decrease 20%: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'BBB-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 PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison of certain characteristics with respect to 100 randomly selected sample loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. LEX TRUST 2026-450: Moody's Assigns Ba2 Rating to Cl. E Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by LEX Trust 2026-450, Commercial Mortgage Pass-Through Certificates, Series 2026-450: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba2 (sf) Cl. HRR, Definitive Rating Assigned 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 sustainables 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 1.47X, compared to 1.45x at provisional ratings, 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. 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. MFA 2026-NQM1: Fitch Assigns 'B-(EXP)sf' Rating on Class B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to MFA 2026-NQM1 Trust. Entity/Debt Rating ----------- ------ MFA 2026-NQM1 A-1FCX LT AAA(EXP)sf Expected Rating A-1LCF LT AAA(EXP)sf Expected Rating A-1FCF LT AAA(EXP)sf Expected Rating A-1A LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-1F 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 A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 572 nonprime loans with a total balance of around $344.7 million as of the cutoff date. Loans in the pool were originated by multiple originators and are currently serviced by Planet Home Lending, LLC and Citadel Servicing Corporation (Citadel). All Citadel loans are subserviced by ServiceMac, LLC. MFA 2026-NQM1 has a weighted average (WA) Fitch FICO of 739 and a mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 69.2%. The pool consists of 55.1% of loans where the borrower maintains a primary residence, while 44.9% constitute a second home or investor property. Of the pool, 81.2% were underwritten to less than full documentation. Within this, 36.1% were underwritten to a 12- or 24-month bank statement program, 26.8% used debt service coverage ratio (DSCR) or DSCR no-ratio product, 13.1% were CPA P&L product, and 5.2% were underwritten to an asset depletion or written verification of employment (WVOE) product. Of the pool, 58.5% are nonqualified mortgages (non-QM, or NQM). Distributions of principal and interest (P&I) and loss allocations are based on a modified-sequential payment structure with limited advancing. 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. MFA 2026-NQM1 has a final probability of default (PD) of 45.0% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 37.9%. The expected loss in the 'AAAsf' rating stress is 17.0%. Structural Analysis: The mortgage cash flow and loss allocation in MFA 2026-NQM1 are based on a modified sequential-payment structure, 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 analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on all loans in the transaction. Fitch applies a 5bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements as described in its "Global Structured Finance Rating Criteria". Relevant parties are those whose failure to perform could have a material impact on transaction performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects MFA 2026-NQM1 to be fully de-linked and to serve as a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to MFA 2026-NQM1; as such, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch's sensitivity analysis provides three levels of rating sensitivities to demonstrate how the ratings would react to steeper MVDs than those assumed at issuance. The various rating sensitivities include defined stresses and defined sensitivities. The implied rating sensitivities only indicate some of the potential outcomes and do not consider other risk factors to which the transaction is exposed or are considered during the surveillance process. Furthermore, the sensitivity analyses are calculated based on pool-level WA attributes and may differ from a loan-level re-analysis of the pool at the additional stress levels. The defined stresses show the impact of three defined stress assumptions where the SHP level is 10, 20 and 30 percentage points lower than that derived at transaction issuance. These assumptions result in higher sLTVs and steeper sMVDs, the most significant drivers of PD and loss severity in Fitch's loss model. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton, Consolidated Analytics, Opus, Evolve, Maxwell, Clarifii, Selene, Infinity. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. Date of Relevant Committee 19 February 2026 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. MLTI TRUST 2026-SF75: Fitch Assigns 'B(EXP)sf' Rating on HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to MLTI Trust 2026-SF75, commercial mortgage pass-through certificates, series 2026-SF75. Fitch expects to rate the following classes: - $291,400,000 class A 'AAA(EXP)sf'; Outlook Stable; - $54,400,000 class B 'AA-(EXP)sf'; Outlook Stable; - $42,700,000 class C 'A-(EXP)sf'; Outlook Stable. - $60,200,000 class D 'BBB-(EXP)sf'; Outlook Stable. - $92,300,000 class E 'BB-(EXP)sf'; Outlook Stable. - $14,750,000 class F 'B+(EXP)sf'; Outlook Stable. - $29,250,000 class HRR(a) 'B(EXP)sf'; Outlook Stable. (a) Horizontal risk retention. Transaction Summary The MLTI Trust 2026-SF75, Commercial Mortgage Pass-Through Certificates, (MLTI 2026-SF75), represent the beneficial interests in a trust that holds a five-year, fully extended, floating-rate, IO mortgage loan with an original principal balance of $585.0 million ($272,727 per unit). The loan is secured by the borrower's fee simple interest in a portfolio of 75 multifamily properties located across San Francisco, with a total of 2,145 units all built prior to 1979 and thus subject to San Francisco's rent control ordinances. The properties are owned by a joint venture between affiliates of Brookfield Asset Management and Ballast Investments. Mortgage loan proceeds along with $65.0 million of mezzanine financing are being used to refinance the existing $410.0 million mortgage, pay expected closing costs of $15.0 million, fund an upfront line of credit (LOC) of $10.0 million and return approximately $215.0 million of equity to the borrower sponsor. The borrower is required to provide a $10.0 million LOC, to be used for future building systems improvements and select unit interior upgrades across the portfolio. The loan is expected to be co-originated by Goldman Sachs Bank USA, Bank of America, N.A., Citi Real Estate Funding Inc. and German American Capital Corporation. The mortgage loan sellers are Goldman Sachs Mortgage Company (which will acquire Goldman Sachs Bank USA's interest in the mortgage loan on or prior to the closing date), Bank of America, N.A., Citi Real Estate Funding Inc. and German American Capital Corporation. Trimont LLC will act as the servicer with Torchlight Loan Services, LLC as special servicer. Computershare Trust Company, N.A. will act as trustee and certificate administrator. BellOak, LLC will act as operating advisor. The loan will have an initial term of two years followed by three one-year extension options. The borrower is required to purchase an interest rate cap with a notional amount equal to the full loan amount and a strike rate based on the one-month term SOFR. The certificates will follow a pro rata paydown with respect to prepayments of up to 30% of the initial loan balance and a standard senior-sequential paydown thereafter. The initial 30% of the original loan balance ($175.5 million) is freely prepayable with no spread maintenance premium. The transaction is scheduled to close on March 16, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings estimates stressed net cash flow (NCF) for the portfolio at $42.3 million. This is 10.2% lower than the issuer's underwritten NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of approximately $585.0 million. High Overall Fitch Leverage: The $585.0 million trust loan equates to total debt of $272,727 per unit with a Fitch debt service coverage ratio (DSCR) of 0.88x, loan-to-value ratio (LTV) of 100.4% and debt yield of 7.2%. The loan represents 72.5% of the appraised value of $807.0 million. The Fitch market LTV, at 'Bsf' (the lowest Fitch-rated, non-investment grade tranche), is 89.9%. The Fitch market LTV is based on a blend of the Fitch cap rate and the portfolio's implied market cap rate of 5.74%. Improved Performance: The sponsor has significantly enhanced portfolio performance, with collections rising from 70% shortly after acquisition in January 2024 to 98% overall as of January 2026. Residential occupancy increased from 68% at acquisition to approximately 96% as per the most recent rent roll. Concessions have also been eliminated, with the last 430 leases signing without any form of leasing concession. The number of units enrolled in ratio utility billing system (RUBS) programs has increased from 969 at acquisition to 1,546 units as of January 2026, further increasing the borrower's ability to recoup expenses. The sponsor reports receiving an average rent premium of 25% on units as they are traded out. Institutional Sponsorship: Brookfield is a globally recognized alternative asset manager headquartered in New York City with over $1 trillion in assets spanning infrastructure, renewable energy, private equity, real estate and credit. In multifamily real estate, Brookfield manages over 47,000 units in five countries, with more than 15,000 units in development, and owns/operates approximately 239 properties (about 62,000 units) in the U.S. through private funds and sponsored investments. Ballast, the co-sponsor, is a vertically integrated real estate investment and management firm specializing in multifamily, student housing and single-family rentals across the western U.S., with $3.0 billion in assets under management and hands-on operational capabilities. Ballast currently operates more than 7,100 rent-controlled units in the San Francisco Bay Area, focusing on affordable and workforce housing solutions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BB-sf'/'B+sf'/'Bsf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf'/ 'BBsf'/'Bsf'/'B-sf'/'CCC+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/ 'BBB-sf'/'BB-sf'/'B+sf'/'Bsf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'A+sf'/ 'BBBsf'/'BBsf'/'BBsf'/'BB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MORGAN STANLEY 2014-C18: DBRS Confirms C Rating on Class F Certs ---------------------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-C18 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 as follows: -- Class E at CCC (sf) -- Class F at C (sf) Both classes have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS) credit ratings. Since Morningstar DBRS' last review in April 2025, one loan, Turnpike Shopping Center (Prospectus ID#9), was paid in full, resulting in the repayment of Classes D and X-B. The credit rating confirmations reflect Morningstar DBRS' loss expectations for the two remaining loans in the pool, both of which are in special servicing. To date, the trust has incurred losses of $29.7 million, eroding over 95.0% of the unrated Class G certificate balance. Morningstar DBRS analyzed the pool's two specially serviced loans with liquidation scenarios, resulting in a projected cumulative loss amount of $14.8 million. The projected liquidated losses would erode the remainder of the unrated Class G certificate and most of the Class F certificate, supporting the C (sf) and CCC (sf) credit ratings. In addition to the implied reduction in credit support, the CCC (sf) credit rating on Class E reflects accruing interest shortfalls that, as of the January 2026 remittance, total $7.1 million. Following the repayment of the Turnpike Shopping Center loan in September 2025, all accrued interest on the Class E certificate was repaid. However, because of the nonrecoverable determination made to the largest loan in the pool, 25 Taylor (Prospectus ID#16, 70.6% of the pool; see details below), Class E is no longer receiving any interest, resulting in shortfalls of $46,000 as of the January 2026 remittance. 25 Taylor is secured by an office property in San Francisco. The property has been just 3.0% occupied since 2021 following WeWork's early departure and has been specially serviced since February 2023. According to servicer commentary, an offer to purchase the property has been received and the special servicer has received approval to proceed with the sale. In the analysis for this review, Morningstar DBRS applied a 20.0% haircut to the property's November 2025 appraised value of $7.4 million, resulting in implied losses of $13.2 million (loss severity of 78.0%). Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2026-INV1: Moody's Assigns B3 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 24 classes of residential mortgage-backed securities (RMBS) 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, Definitive Rating Assigned Aaa (sf) Cl. A-1-X*, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-2-X*, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aa1 (sf) Cl. A-7-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-8, Definitive Rating Assigned Aa1 (sf) Cl. A-8-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-9-X*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, 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 Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.69%, 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. MOUNTAIN VIEW 2016-1: S&P Assigns CCC+(sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R3, B-1-R3, C-R3, and D-R3 debt from Mountain View CLO 2016-1 Ltd./Mountain View CLO 2016-1 LLC, a CLO managed by Seix CLO Management LLC that was originally issued in December 2016 and last underwent a partial refinancing in October 2024. At the same time, S&P withdrew its ratings on the previous class A-R2, B-1-R2, C-R2, and D-R debt following payment in full on the March 3, 2026, refinancing date. S&P also affirmed its ratings on the class B-2-R and E-R 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 is extended to Dec. 3, 2026. -- No additional assets were purchased on the March 3, 2026, refinancing date. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is April 14, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-R3, $179.48 million: Three-month CME term SOFR + 0.88% -- Class B-1-R3, $33.00 million: Three-month CME term SOFR + 1.30% -- Class C-R3 (deferrable), $24.00 million: Three-month CME term SOFR + 1.65% -- Class D-R3 (deferrable), $19.00 million: Three-month CME term SOFR + 3.50% Previous debt -- Class A-R2, $179.48 million: Three-month CME term SOFR + 1.26% -- Class B-1-R2, $33.00 million: Three-month CME term SOFR + 1.80% -- Class C-R2 (deferrable), $24.00 million: Three-month CME term SOFR + 2.35% -- Class D-R (deferrable), $19.00 million: Three-month CME term SOFR + 3.96% + CSA(i) (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 of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the newly rated classes have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned (class B-1-R3, B-2-R, C-R3, and D-R3). However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that CLOs typically become concentrated with weaker collateral with senior note paydowns, we may assign lower ratings to the debt than what our model results suggest to maintain rating cushion. "On a standalone basis, our cash flow analysis indicated a lower rating on the class E-R debt (which was not refinanced). However, we affirmed our 'CCC+ (sf)' 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 the senior note paydowns that have occurred. 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. We believe the payment of principal or interest on the class E-R debt when due continues to depend on favorable business, financial, or economic conditions. "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 Mountain View CLO 2016-1 Ltd./Mountain View CLO 2016-1 LLC Class A-R3, $179.48 million: AAA (sf) Class B-1-R3, $33.00 million: AA (sf) Class C-R3, $24.00 million: A (sf) Class D-R3, $19.00 million: BBB (sf) Ratings Withdrawn Mountain View CLO 2016-1 Ltd. Mountain View CLO 2016-1 LLC Class A-R2 to NR from 'AAA (sf)' Class B-1-R2 to NR from 'AA (sf)' Class C-R2 to NR from 'A (sf)' Class D-R to NR from 'BBB (sf)' Ratings Affirmed Mountain View CLO 2016-1 Ltd./Mountain View CLO 2016-1 LLC Class B-2-R: AA (sf) Class E-R: CCC+ (sf) Other Debt Mountain View CLO 2016-1 Ltd./Mountain View CLO 2016-1 LLC Subordimated notes, $46 million: NR NR--Not rated. MOUNTAIN VIEW XIV: Moody's Cuts Rating on $3MM F-R Notes to Caa1 ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Mountain View CLO XIV Ltd.: US$46,000,000 Class B-R Senior Secured Floating Rate Notes due 2034, Upgraded to Aa1 (sf); previously on Oct 15, 2021 Assigned Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$3,000,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2034, Downgraded to Caa1 (sf); previously on Oct 15, 2021 Assigned B3 (sf) Mountain View CLO XIV Ltd., originally issued in March 2019 and refinanced in October 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in October 2026. 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 an improvement in the credit quality of the portfolio. Based on the trustee's January 2026[1] report, the weighted average rating factor (WARF) is currently 2445, compared to 2576 in January 2025[2]. The downgrade rating action on the Class F-R notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the Moody's calculations, the total collateral par balance, including recoveries from defaulted securities, is $385.8 million, or $14.2 million less than the initial par amount targeted during the deal's ramp-up. No actions were taken on the Class A-1R, Class A-2R, Class C-R, Class D-R and Class E-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $385,767,888 Defaulted par: $980,666 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2603 Weighted Average Spread (WAS): 3.00% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 4.87 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 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. MSRW 2026-CHICOS: DBRS Finalizes B Rating on Class HRR Certs ------------------------------------------------------------ DBRS, Inc. finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series MSRW 2026-CHICOS (the Certificates) issued by MSRW 2026-CHICOS Pass-Through Trust (MRSW 2026-CHICOS): -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at B (high) (sf) -- Class HRR at B (sf) All trends are Stable. The MSRW 2026-CHICOS single-asset/single-borrower transaction is collateralized by the borrower's fee-simple interest in a 510,962-square-foot (sf) office campus in Fort Myers, Florida, approximately six miles south of downtown Fort Myers and 11 miles north of Southwest Florida International Airport. The campus was purpose-built for Chico's Folk Art Specialties (Chico's) in multiple phases between 1985 and 2013. Chico's has occupied 100% of the property since 1994, gradually increasing its footprint to 10 buildings in 2013. However, Chico's entered into four separate subleases for 49,770 sf, or 9.7% of the net rentable area (NRA), and currently occupies eight of the 10 buildings. The campus serves as Chico's headquarters and can accommodate 700 employees. The campus was renovated in 2006 and 2012, and approximately $4.5 million was invested into the property since 2020. In order to acquire the property, the sponsor obtained a second mortgage at a premium. The loan is structured with a $70.0 million second mortgage of which only $38.3 million of proceeds will be given to the sponsor at the closing of the loan. Because of neutering provisions in the subordination and intercreditor agreement, the second mortgage will act as subordinate debt to the senior loan and not have a claim on the collateral until the senior loan is completely paid off. The senior loan is expected to fully amortize over the 10-year term with no interest-only period. During this period, the second mortgage will be accruing at a rate where the outstanding principal and interest balance will reach $100.1 million at the end of Year 10. Sycamore Partners Management L.P. (Sycamore) closed a take-private transaction in January 2024, resulting in the integration of Chico's into Sycamore's KnitWell brand. KnitWell generated sales of approximately $5.0 billion in 2024 operating multiple brands such as Ann Taylor, Loft, and Talbot across 3,000 stores in North America. Sycamore boasts approximately $11 billion in aggregate committed capital, which is deployed across approximately 23 companies. The sponsor for this transaction is 271 Realty Capital LLC (271 Realty). Founded in 2018 by brothers Michael Marcus and David Marcus, 271 Realty is an investment management company that primarily focuses on investing in single-tenant net lease properties. Since its inception, 271 Realty has purchased 12 single-tenant distribution warehouses totaling more than 60 million sf and $6.0 billion in value. Notable transactions include the $675 million sale leaseback of Verizon Wireless' headquarters in New Jersey, and the $165.0 million purchase of UnitedHealthcare's headquarters in Minnesota. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and Interest Distribution Amounts for the rated classes. Notes: All figures are in U.S. dollars unless otherwise noted. NATIXIS COMMERCIAL 2017-75B: DBRS Cuts Rating on 2 Tranches to B ---------------------------------------------------------------- DBRS, Inc. downgraded its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-75B issued by Natixis Commercial Mortgage Securities Trust 2017-75B as follows: -- Class XA to BBB (low) (sf) from A (low) (sf) -- Class A to BB (high) (sf) from BBB (high) (sf) -- Class V1A to BB (high) (sf) from BBB (high) (sf) -- Class B to B (sf) from BB (low) (sf) -- Class V1B to B (sf) from BB (low) (sf) -- Class V1XB to CCC (sf) from B (sf) -- Class XB to CCC (sf) from B (sf) -- Class C to CCC (sf) from B (low) (sf) -- Class V1C to CCC (sf) from B (low) (sf) -- Class D to C (sf) from CCC (sf) -- Class E to C (sf) from CCC (sf) -- Class V1D to C (sf) from CCC (sf) -- Class V1E to C (sf) from CCC (sf) -- Class V2 to C (sf) from CCC (sf) In addition, Morningstar DBRS changed the trends on Classes A, B, XA, V1A, and V1B to Negative from Stable. There are no trends on the remaining classes, which have credit ratings that do not typically carry trends in commercial mortgage-backed securities (CMBS). CREDIT RATING RATIONALE The credit rating downgrades are a result of the collateral's declining year-over-year performance and Morningstar DBRS' expectation that the value of the collateral has declined significantly from closing. Additionally, Morningstar DBRS notes the increased refinance risk on the loan as the borrower is likely to have difficulty executing a successful exit strategy by the April 2027 loan maturity date. The Negative trends on Classes A, B, XA, V1A, and V1B reflect the uncertainty surrounding the resolution strategy and timing given the loan secured by the collateral is in special servicing. The transaction is secured by 75 Broad Street, a 35-story Class B office tower in Lower Manhattan. Morningstar DBRS completed an updated property value analysis for this review, concluding to a valuation of $95.3 million. Morningstar DBRS determined the valuation by applying an 8.5% capitalization rate to the estimated YE2025 net cash flow (NCF) figure of $8.1 million. Morningstar DBRS received a YE2025 financial statement from the servicer noting net operating income of $9.2 million. Morningstar DBRS incorporated normalized below-the-line expenses of $1.1 million, sourced from historical servicer reporting. The property has not been reappraised since closing in 2017 when the appraiser determined a valuation of $403.0 million. At closing, the property was 86.0% occupied and the Issuer determined an NCF of $15.9 million. The Morningstar DBRS Value is reflective of a value per square foot (psf) of $143 with a loan-to-value ratio (LTV) of 241.4% on the total mortgage debt of $230.0 million, an LTV of 184.8% on the trust loan and accompanying pari passu A note of $176.0 million, and an LTV of 96.6% on the senior mortgage debt amount of $92.0 million. The Morningstar DBRS Value is 76.4% lower than the issuance appraised value of $403.0 million and suggests losses to the Class D and Class E certificates with potential losses to the Class C and Class B certificates is possible. The loan sponsor, JEMB Realty Corporation (JEMB Realty), is headquartered in New York City at 150 Broadway, one half mile north of the subject property. The full leverage on the asset of $250.0 million includes $92.0 million in senior A note debt split pari passu between the transaction and the UBSCM 2017-C1 CMBS multi-borrower transaction (not rated by Morningstar DBRS); $138.0 million of subordinate B note debt ($84.0 million of which is in the subject trust with the remaining $54.0 million not securitized); and $20.0 million in mezzanine debt, which is also not securitized. The fixed-rate mortgage loan has a 10-year term scheduled to mature in April 2027 and is interest only (IO) throughout. The loan transferred to special servicing in April 2025 after the borrower notified the servicer it would no longer be able to keep the loan current from property cash flow and requested relief. The loan was ultimately modified in August 2025 with terms including a seven-month deferral period whereby the borrower would be able to defer debt service on the non-securitized $54.0 million B note and mezzanine debt through January 2026 with all deferred amounts due at that time. According to the servicer, the deferral period was extended an additional 90 days to April 2026. A full cash sweep remains in effect during the deferral period. According to the special servicer, the borrower is expected to continue to pay debt service on the securitized A and B notes through March 2026; however, the forbearance agreement can be terminated by the servicer at any time if the borrower does not comply with the terms. According to the August 2025 Loan Modification Report provided by the servicer, JEMB Realty has partnered with local firm GFP Real Estate to pursue a potential redevelopment of the property, which would center on converting the office space across the collateral to multifamily use. There is also space leased to the Board of Education of the City School District of the City of New York (NYC School District), which operates Floors 11 through 14 as a high school. That space would not be considered for conversion. GFP Real Estate reportedly has experience executing similar property conversions in New York City. The report notes the sponsor budgeted over $4.0 million for demolition and soft costs related to site surveys, architectural drawings, and other preliminary work. According to an update from the servicer, the sponsor has spent approximately $1.0 million on soft costs. Morningstar DBRS notes the likely best outcome for the subject transaction is a redevelopment of the property; however, the likely severe as-is value decline suggests a loss would be realized upon final resolution as Morningstar DBRS expects the borrower may not be willing to fund the equity likely required to make the subject trust whole. There are also factors including the timing and the ability of the sponsor to obtain all necessary approvals, including a New York City tax abatement agreement, which is critical to secure take-out construction financing. Property NCF has declined significantly since loan closing in 2017 when the property was 86.0% occupied and the Issuer concluded to an NCF figure of $15.9 million. The property has not reported an occupancy rate above 80.0% since YE2019 with year-over-year NCF declines reported since YE2022. Given the potential strategy to convert the property, occupancy is expected to continue to decline. The Morningstar DBRS concluded YE2025 NCF figure of $8.1 million represents a -31.5% variance from the YE2024 and YE2023 NCF figure for both years of $11.8 million. As of the September 2025 rent roll, the property was 65.9% occupied; however, the servicer has confirmed that an additional three tenants (5.4% of the net rentable area (NRA)) have vacated at lease expiration and one additional tenant (1.4% of the NRA) will vacate at lease expiration in April 2026. Combined, these four tenants contributed $1.1 million in base rental revenue. Remaining tenant rollover risk through YE2026 includes eight tenants, which cumulatively occupy 5.1% of the NRA and pay $1.3 million in base rent. The largest tenant at the property remains the NYC School District, which maintains multiple leases totaling 15.9% of the NRA. The tenant has a separate building entrance off Broad Street with leases scheduled to expire in September 2033 (11.9% of the NRA) and January 2035 (approximately 4.0% of the NRA). The subject is within the Financial East submarket of downtown Manhattan as defined by the Cushman & Wakefield Marketbeat Manhattan Office Q4 2025 report. According to the report, submarket performance continues to struggle as the overall vacancy rate was 26.0% with an average asking rental rate of $52.62 psf across all building classes. Class A properties, which do not include the subject, have a slightly higher average asking rental rate of $54.66 psf. According to the September 2025 rent roll, the property had an average rental rate of $47.88 psf. Downtown Manhattan continues to struggle in comparison with Midtown with vacancy rates for the Financial West and Insurance submarkets reported at 28.2% and 29.5%, respectively. Over the next 12 months, Morningstar DBRS expects either the borrower and servicer to make material progress toward the potential redevelopment of the property or for the performance of the property to continue to decline if it remains operated as a traditional office property. Notes: All figures are in U.S. dollars unless otherwise noted. NEUBERGER BERMAN 50: Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Neuberger Berman Loan Advisers NBLA CLO 50, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers NBLA CLO 50, Ltd. A-R 64134VAQ9 LT PIFsf Paid In Full AAAsf A-R2 LT AAAsf New Rating B-R 64134VAS5 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-R 64134VAU0 LT PIFsf Paid In Full Asf C-R2 LT Asf New Rating D-R 64134VAW6 LT PIFsf Paid In Full BBB-sf D-R2 LT BBB-sf New Rating E-R 64134WAL8 LT PIFsf Paid In Full BB-sf E-R2 LT BB-sf New Rating Transaction Summary Neuberger Berman Loan Advisers NBLA CLO 50, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Neuberger Berman Loan Advisers II LLC that originally closed in July 2022 and was reset in July 2024. All the secured notes will be refinanced on Feb. 18, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $498 million of primarily first lien senior secured leveraged loans (including defaults and including principal cash). KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.25, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.34% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.89% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% 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 1.4-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 nine 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-R2, B-R2, C-R2, D-R2 and E-R2 notes are 1.04%, 1.35%, 1.55%, 2.5% and 5.0% compared to the spreads of 1.25%, 1.65%, 1.90%, 2.85%, and 5.5% for the A-R, B-R,C-R, D--R, and E-R classes. - The non-call for the refinanced notes is extended to Aug. 18, 2026. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. FITCH ANALYSIS The portfolio includes 448 assets from 385 primarily high yield obligors. The portfolio balance (including defaults and including principal cash) is approximately $498 million. As of the latest trustee report prior to the refinance date the transaction was passing its Minimum Floating Spread and Weighted Average Rating Factor tests. All other collateral quality tests, coverage tests, and concentration limitations were also passing. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 43.9% of the current portfolio par balance; ratings for 55.7% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.3% 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: for an aggregate of 11.5% (basis Fitch Test Matrix conditions); - Largest three industries: 15.0%, 13.0%, and 12.0%, respectively; - Assumed risk horizon: 6 years; - Minimum weighted average spread of 3.00%; - Minimum weighted average recovery rate of 64.50%; - Maximum weighted average rating factor of 25.00; - Fixed rate Assets: 7.50%; - Minimum weighted average coupon of 4.00%; The transaction will exit its reinvestment period on 07-23-2027. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-R2: 'AAAsf' / Default 42.10% / Recovery 38.48% / Cushion 13.40% - Class B-R2: 'AAsf' / Default 39.40% / Recovery 47.21% / Cushion 11.90% - Class C-R2: 'Asf' / Default 34.90% / Recovery 57.02% / Cushion 11.40% - Class D-R2: 'BBB-sf' / Default 26.90% / Recovery 66.17% / Cushion 10.70% - Class E-R2: 'BB-sf' / Default 22.50% / Recovery 72.00% / Cushion 12.30% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-R2: 'AAAsf' / Default 49.70% / Recovery 33.05% / Cushion 2.40% - Class B-R2: 'AAsf' / Default 46.30% / Recovery 39.00% / Cushion 0.00% - Class C-R2: 'Asf' / Default 41.30% / Recovery 48.90% / Cushion 0.00% - Class D-R2: 'BBB-sf' / Default 32.50% / Recovery 57.85% / Cushion 1.60% - Class E-R2: 'BB-sf' / Default 27.30% / Recovery 63.29% / Cushion 0.40% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'BB-sf' and 'BBB+sf' for class C-R2, and between less than 'B-sf' and 'BB+sf' for class D-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 A-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA-sf' for class C-R2, and 'A-sf' for class D-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. NEWARK BSL 2: Moody's Affirms Ba3 Rating on $20MM Class D Notes --------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Newark BSL CLO 2, Ltd.: US$30M Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to A2 (sf); previously on Oct 24, 2025 Upgraded to Baa1 (sf) Moody's have also affirmed the ratings on the following notes: US$320M (Current outstanding amount US$24,682,120) Class A-1-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 24, 2025 Affirmed Aaa (sf) US$56M Class A-2-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 24, 2025 Affirmed Aaa (sf) US$34M Class B-R Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Oct 24, 2025 Upgraded to Aaa (sf) US$20M Class D Senior Secured Deferrable Floating Rate Notes, Affirmed Ba3 (sf); previously on Oct 24, 2025 Affirmed Ba3 (sf) Newark BSL CLO 2, Ltd., issued in July 2017 and later refinanced in March 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by PGIM, Inc.. The transaction's reinvestment period ended in July 2022. RATINGS RATIONALE The rating upgrade on the Class C-R notes is 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 October 2025. The affirmations on the ratings on the Class A-1-R, A-2-R, B-R and D 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 USD88.3 million (27.6%) since the last rating action in October 2025 and USD295.3 million (92.3%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased. According to the trustee report dated January 2026[1] the Class A, Class B, Class C and Class D OC ratios are reported at 181.49%, 139.87%, 116.33% and 104.6% compared to September 2025[2] levels of 158.14%, 131.66%, 114.71% and 105.64%, 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: USD175.6m Defaulted Securities: USD2.43m Diversity Score: 59 Weighted Average Rating Factor (WARF): 2802 Weighted Average Life (WAL): 2.91 years Weighted Average Spread (WAS): 3.08% Weighted Average Recovery Rate (WARR): 47.06% Par haircut in OC tests and interest diversion test: 1.44% 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. NMEF FUNDING 2026-A: Fitch Assigns 'BBsf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the NMEF Funding 2026-A, LLC (NMEF 2026-A) notes. The transaction is a securitization of small- and mid-ticket commercial equipment leases and loans originated or acquired by North Mill Equipment Finance, LLC (NMEF). It is the second Fitch-rated transaction of the equipment contract backed notes issued under the NMEF platform. Entity/Debt Rating Prior ----------- ------ ----- NMEF Funding 2026-A, LLC A-1 ST F1+sf New Rating F1+(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral Performance — Diverse Segment Mix: The 2026-A transaction consists primarily of contracts secured by the following equipment types: medical (21.45%), services/retail (18.52%), vocational (12.31%), construction/agriculture (11.71%), and transportation (8.07%). The medical equipment segment was first included in the 2019-A transaction and is the strongest-performing segment to date. Similarly, 2026-A has experienced a positive shift in credit tiers, with approximately 78.37% in the best credits, tiers 1 and 2, compared with 74.09%-82.84% in transactions since 2024-A. The weighted average (WA) FICO score is 737, the second-highest to date for the platform, after 746 in 2025-B. Given the generally low obligor concentrations, the stress loss approach is the primary rating driver. Forward-Looking Approach to Derive Rating Case Loss Proxy: While default performance has been volatile historically for North Mill's managed portfolio and securitizations, net losses have largely improved due to shifts in collateral mix and improved credit tiering. Recent vintages have experienced marginally higher losses, attributable to the recent stress in the transportation sector. Fitch accounted for this volatility by assuming a stressed recovery rate and incorporating the performance of recent 2019-2021 vintages in its forward-looking rating case cumulative net loss (CNL) proxy derivation of 7.25%. Concentration Risk — Concentrated Transportation Collateral, but Obligor Concentration Low: The pool has 23.27% exposure to the transportation sector (vocational, transportation and trailer equipment types), higher than 18.87% for 2025-B, which has been under stress for over a year. The top 10 obligors represent 5.55% of the 2026-A pool, down from 8.48% in 2025-B; no single obligor represents more than 1.06% of the pool. Initial credit enhancement (CE) to class A through E notes is adequate to support the default of the top 20, 17, 14, 11 and eight obligors, respectively, on a net coverage basis at close, under Fitch's modeling scenario. Structural Analysis — Sufficient Credit Enhancement: CE for 2026-A is down for all classes compared to 2025-B, but the second highest since 2019-A. Total initial hard CE for NMEF 2026-A class A, B, C, D and E notes is 38.15%, 31.05%, 24.35%, 16.65% and 11.90%, respectively, comprising subordination, a non-declining reserve account funded at 1.00% of the initial adjusted discounted pool balance and initial overcollateralization (OC) equal to 10.90% of the initial discounted pool balance. Additionally, all classes benefit from 0.44% per annum of excess spread. At a 7.25% rating case CNL proxy, the transaction structure can support 5.0x, 4.0x, 3.0x, 2.0x and 1.5x loss multiples for class A, B, C, D and E notes, respectively. Operational and Servicing Risks — Stable Origination, Underwriting and Servicing: Fitch believes North Mill has demonstrated adequate abilities as originator, underwriter and servicer, as evidenced by historical delinquency and loss performance of securitized term ABS transactions and the managed portfolio. Fitch's base case CNL expectation, which does not include a margin of safety and is not used in its quantitative analysis to assign ratings, is 6.00%, based on its global economic outlook, sector outlook and North Mill's managed pool and historical securitization performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage available to the notes. Unanticipated decreases in recoveries could also result in a decline in net loss coverage. Decreased net loss coverage may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Hence, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. Additionally, Fitch increases the rating case CNL proxy by 1.5x and 2.0x, representing moderate and severe stresses, respectively. These analyses are intended to indicate the rating sensitivity of notes to an unexpected deterioration in a transaction's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the ratings could be maintained for class A and D notes and upgraded by one rating category for class B, C, and E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or re-computing certain information with respect to 100 equipment contracts from the statistical asset pool for the transaction. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. A copy of the Form-15E received by Fitch in connection with this transaction may be obtained through 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. NXPA RE-REMIC 2026-FRR1: DBRS Gives Prov. B(low) Rating on D Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following classes of Multifamily Mortgage Certificate-Backed Certificates, Series 2026-FRR1 (the Certificates) to be issued by NXPA Re-REMIC Trust 2026-FRR1 (the Issuing Trust): -- Class A at (P) A (low) (sf) -- Class B at (P) BBB (low) (sf) -- Class C at (P) BB (low) (sf) -- Class D at (P) B (low) (sf) All trends are Stable. This transaction is a re-securitization collateralized by all or a portion of the beneficial interests in one class of commercial mortgage-backed pass-through certificates from one underlying transaction: FREMF 2017-K62 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2017-K62 (FREMF 2017-K62). Morningstar DBRS' credit ratings on the Certificates are dependent on the performance of the underlying transactions. The Certificates are collateralized by the beneficial interests in the Class D (principal-only) multifamily mortgage-backed pass-through certificates issued by FREMF 2017-K62. The principal balances of the underlying certificates total approximately $108.3 million, all of which is being contributed to the Trust. The Class D certificate is the most subordinate rated principal-only class in the underlying transaction. The FREMF 2017-K62 underlying transaction collateral currently comprises 66 loans secured by 66 multifamily properties, including 47 garden-style properties, five age-restricted properties, four mid-rise apartment complexes, four student housing properties, three manufactured housing communities, two independent-living properties, and one townhome-style community. Seventeen loans, comprising 24.3% of the current pool balance, are defeased as of January 2026. One additional loan was securitized as part of the underlying transaction but paid off prior to January 2026. All the loans in the pool are fixed-rate with a 10- or 11-year term. Of the nondefeased loans, 38 loans (67.0% of the total current pool balance) are partial interest only (IO), seven loans (9.2% of the total current pool balance) are full-term IO, and four loans (6.4% of the total current pool balance) amortize on a 30-year schedule. Morningstar DBRS analyzed the FREMF 2017-K62 underlying transaction to determine the provisional credit ratings, reflecting the long-term probability of loan default within the term and the liquidity at maturity. The Morningstar DBRS WA Issuance Loan-to-Value Ratio (LTV) of the current pool (excluding defeased and paid-off loans) was 72.9%, and the current pool is scheduled to amortize to a Morningstar DBRS Weighted-Average (WA) Balloon LTV of 65.4% based on the A note balances at maturity. About 81.5% of the total initial principal balance of the current pool exhibits a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold generally indicative of above-average default frequency. Morningstar DBRS applied additional stress to the default rate of three loans that are on Freddie Mac's watchlist as of the January 2026 underlying monthly reports due to a decrease in debt service coverage ratio (DSCR), comprising 3.3% of the current pool balance. No loans are delinquent as of the January 2026 underlying monthly reports. Notes: All figures are in U.S. dollars unless otherwise noted. OBX TRUST 2026-HE1: DBRS Gives Prov. B(low) Rating on Cl. B2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the following Mortgage-Backed Notes, Series 2026-HE1 (the Notes) to be issued by OBX 2026-HE1 Trust (OBX 2026-HE1 or the Trust): -- $198.1 million Class A-1A at (P) AAA (sf) -- $7.1 million Class A-1B at (P) AAA (sf) -- $205.1 million Class A-1 at (P) AAA (sf) -- $6.6 million Class M-1 at (P) AA (sf) -- $8.4 million Class M-2 at (P) A (sf) -- $12.8 million Class M-3 at (P) BBB (low) (sf) -- $7.9 million Class B-1 at (P) BB (low) (sf) -- $4.6 million Class B-2 at (P) B (low) (sf) The (P) AAA (sf) credit ratings on the Notes reflect 17.15% of credit enhancement provided by subordinate notes. The (P) AA (sf), (P) A (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 14.50%, 11.10%, 5.95%, 2.75% and 0.90% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of mortgage-backed securities (the Notes). The Notes are backed by 1,952 loans with a total unpaid principal balance (UPB) of $247,572,000 and a total current credit limit of $294,090,147 as of the Cut-Off Date (January 31, 2026). The portfolio, on average, is three months seasoned, though seasoning ranges from zero to 19 months. 100% of the loans are current. All loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. OBX 2026-HE1 represents the third securitization of 100.0% HELOCs by the Sponsor, Onslow Bay Financial LLC. HELOC Features In this transaction, all loans are open-HELOCs that have a draw period of three, five, or 10 years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances.* Post the draw term and IO period, HELOC borrowers have a repayment period and are no longer allowed to draw. *The temporary freeze of the credit line may happen for a few reasons, including, but not limited to, a decrease in value of the related mortgaged property, a material change in a borrower's financial circumstances, a default by the related borrower under the related line of credit agreement, or a change in delinquency status. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. While these HELOCs do not need to be fully drawn at origination, the weighted-average (WA) utilization rate is approximately 93.0% after three months of seasoning on average. Transaction and Other Counterparties The mortgages were originated by Homebridge Financial Services, Inc. (35.4%), United Wholesale Mortgage, LLC (25.8%), Better Mortgage Corporation (14.7%) and loanDepot.com, LLC (11.3%), as well as other originators each comprising less than 10.0% of the pool by balance. Shellpoint and loanDepot will service loans within the pool for a servicing fee of 0.50% per year. Wilmington Savings Fund Society, FSB will serve as the Indenture Trustee, Owner Trustee, Paying Agent, Note Registrar, Certificate Registrar and Custodian. Computershare Trust Company, N.A. will serve as a Custodian. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicers will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class G Certificates. If the aggregate draws exceed the principal collections (Net Draw), the related Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class G Certificate holder after the Closing Date). The Reserve Account is funded at closing initially with a balance of $2,000,000. Prior to the payment date in March 2031, the Reserve Account Required Amount will be $2,000,000. On and after the payment date in March 2031 (after the draw period ends for 98.0% of the HELOCs), the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available interest collections remaining after paying transaction parties' fees and expenses, reimbursing the Servicers for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. To the extent the Reserve Account is not funded up to its required amount from the interest collections, the Class G Certificate holders will be required to use its own funds to reimburse the related Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the related Servicer will be reimbursed on subsequent payment dates from amounts on deposit in the Reserve Account (subject to the deposited funds). The Sponsor, as the initial holder of the Class G Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class G Certificates' balance will be increased by the amount of any Net Draws funded by the Class G Certificate holders. The Reserve Account's required amount will become $0 on the payment date in March 2031, at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of the Servicers or the Sponsor. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method will be charged off. Transaction Structure This transaction incorporates a pro-rata cash flow structure; however, principal payment will be distributed sequentially so long as none of the Class M-1, M-2, or M-3 Notes is a Locked Out Class, as described in the related report under Cashflow Structure and Features. On the first Payment Date, each of the Class M-1, M-2, and M-3 Notes will be locked out from receiving principal payments. Additionally, the pro rata cash flow structure is subject to a Trigger Event, which is based on certain performance trigger events related to cumulative losses and delinquencies. If a Trigger Event is in effect, principal distributions are made sequentially. Cumulative Loss and Delinquency Trigger Events are applicable immediately after the Closing Date. Relative to a sequential pay structure, a pro rata structure subject to a sequential trigger (Trigger Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Other Transaction Features The Sponsor will acquire and intends to retain an eligible vertical interest consisting of 5% of each class of Notes to satisfy the credit risk-retention requirements. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable. On any payment date on or after three years after the closing date or the first payment date when the unpaid principal balance falls to or below 30% of the Cut-Off Date UPB, the Controlling Holder, may exercise a call and purchase all of the outstanding Notes at the redemption price (Optional Redemption) described in the transaction documents. Notes: All figures are in U.S. dollars unless otherwise noted. OCEANVIEW MORTGAGE 2026-INV1: DBRS Gives B(low) Rating on B5 Notes ------------------------------------------------------------------ DBRS, Inc. finalized the following provisional credit ratings on the Mortgage-Backed Securities, Series 2026-INV1 (the Notes) issued by Oceanview Mortgage Trust 2026-INV1. -- $290.6 million Class A-1 at AAA (sf) -- $290.6 million Class A-2 at AAA (sf) -- $290.6 million Class A-3 at AAA (sf) -- $107.4 million Class A-4 at AAA (sf) -- $107.4 million Class A-5 at AAA (sf) -- $107.4 million Class A-6 at AAA (sf) -- $183.1 million Class A-7 at AAA (sf) -- $183.1 million Class A-8 at AAA (sf) -- $183.1 million Class A-9 at AAA (sf) -- $192.2 million Class A-10 at AAA (sf) -- $192.2 million Class A-11 at AAA (sf) -- $192.2 million Class A-12 at AAA (sf) -- $44.2 million Class A-13 at AAA (sf) -- $44.2 million Class A-14 at AAA (sf) -- $44.2 million Class A-15 at AAA (sf) -- $84.8 million Class A-16 at AAA (sf) -- $84.8 million Class A-17 at AAA (sf) -- $84.8 million Class A-18 at AAA (sf) -- $99.2 million Class A-F1 at AAA (sf) -- $8.3 million Class A-X1 at AAA (sf) -- $169.0 million Class A-F2 at AAA (sf) -- $14.1 million Class A-X2 at AAA (sf) -- $10.7 million Class A-F3 at AAA (sf) -- $895.0 thousand Class A-X3 at AAA (sf) -- $179.8 million Class A-F4 at AAA (sf) -- $15.0 million Class A-X4 at AAA (sf) -- $78.2 million Class A-F5 at AAA (sf) -- $6.5 million Class A-X5 at AAA (sf) -- $40.8 million Class A-F6 at AAA (sf) -- $3.4 million Class A-X6 at AAA (sf) -- $50.0 million Class A-F7 at AAA (sf) -- $4.2 million Class A-X7 at AAA (sf) -- $101.5 million Class A-F8 at AAA (sf) -- $8.5 million Class A-X8 at AAA (sf) -- $60.7 million Class A-F9 at AAA (sf) -- $5.1 million Class A-X9 at AAA (sf) -- $268.2 million Class A-F at AAA (sf) -- $22.4 million Class A-X at AAA (sf) -- $22.4 million Class A-WX1 at AAA (sf) -- $8.3 million Class A-WX2 at AAA (sf) -- $14.1 million Class A-WX3 at AAA (sf) -- $895.0 thousand Class A-WX5 at AAA (sf) -- $6.5 million Class A-WX6 at AAA (sf) -- $3.4 million Class A-WX7 at AAA (sf) -- $4.2 million Class A-WX8 at AAA (sf) -- $8.5 million Class A-WX9 at AAA (sf) -- $5.1 million Class A-WX at AAA (sf) -- $107.4 million Class A-W1 at AAA (sf) -- $183.1 million Class A-W2 at AAA (sf) -- $11.6 million Class A-W3 at AAA (sf) -- $194.8 million Class A-W4 at AAA (sf) -- $84.8 million Class A-W5 at AAA (sf) -- $44.2 million Class A-W6 at AAA (sf) -- $54.2 million Class A-W7 at AAA (sf) -- $110.0 million Class A-W8 at AAA (sf) -- $65.8 million Class A-W9 at AAA (sf) -- $11.6 million Class A-19 at AAA (sf) -- $11.6 million Class A-20 at AAA (sf) -- $11.6 million Class A-21 at AAA (sf) -- $302.2 million Class A-22 at AAA (sf) -- $54.2 million Class A-23 at AAA (sf) -- $302.2 million Class A-24 at AAA (sf) -- $302.2 million Class A-IO1 at AAA (sf) -- $290.6 million Class A-IO2 at AAA (sf) -- $290.6 million Class A-IO3 at AAA (sf) -- $290.6 million Class A-IO4 at AAA (sf) -- $107.4 million Class A-IO5 at AAA (sf) -- $107.4 million Class A-IO6 at AAA (sf) -- $107.4 million Class A-IO7 at AAA (sf) -- $107.4 million Class A-IO8 at AAA (sf) -- $183.1 million Class A-IO9 at AAA (sf) -- $183.1 million Class A-IO10 at AAA (sf) -- $183.1 million Class A-IO11 at AAA (sf) -- $192.2 million Class A-IO12 at AAA (sf) -- $192.2 million Class A-IO13 at AAA (sf) -- $192.2 million Class A-IO14 at AAA (sf) -- $44.2 million Class A-IO15 at AAA (sf) -- $44.2 million Class A-IO16 at AAA (sf) -- $44.2 million Class A-IO17 at AAA (sf) -- $44.2 million Class A-IO18 at AAA (sf) -- $84.8 million Class A-IO19 at AAA (sf) -- $84.8 million Class A-IO20 at AAA (sf) -- $84.8 million Class A-IO21 at AAA (sf) -- $84.8 million Class A-IO22 at AAA (sf) -- $11.6 million Class A-IO23 at AAA (sf) -- $11.6 million Class A-IO24 at AAA (sf) -- $11.6 million Class A-IO25 at AAA (sf) -- $11.6 million Class A-IO26 at AAA (sf) -- $183.1 million Class A-IO27 at AAA (sf) -- $54.2 million Class A-IO28 at AAA (sf) -- $54.2 million Class A-IO29 at AAA (sf) -- $54.2 million Class A-IO30 at AAA (sf) -- $54.2 million Class A-IO31 at AAA (sf) -- $302.2 million Class A-IO32 at AAA (sf) -- $290.6 million Class A-IO33 at AAA (sf) -- $11.6 million Class A-IO34 at AAA (sf) -- $19.1 million Class B-1 at AA (low) (sf) -- $6.8 million Class B-2 at A (low) (sf) -- $5.3 million Class B-3 at BBB (low) (sf) -- $4.1 million Class B-4 at BB (low) (sf) -- $1.7 million Class B-5 at B (low) (sf) Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8, A-IO9, A-IO10, A-IO11, A-IO12, A-IO13, A-IO14, A-IO15, A-IO16, A-IO17, A-IO18, A-IO19, A-IO20, A-IO21, A-IO22, A-IO23, A-IO24, A-IO25, A-IO26, A-IO27, A-IO28, A-IO29, A-IO30, A-IO31, A-IO32, A-IO33, and A-IO34 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-16, A-17, A-F1, A-X1, A-F2, A-X2, A-F3, A-X3, A-F4, A-X4, A-F5, A-X5, A-F6, A-X6, A-F7, A-X7, A-F8, A-X8, A-F9, A-X9, A-F, A-X, A-WX1, A-WX2, A-WX3, A-WX5, A-WX6, A-WX7, A-WX8, A-WX9, A-WX, A-W1, A-W2, A-W3, A-W4, A-W5, A-W6, A-W7, A-W8, A-W9, A-19, A-20, A-22, A-IO1, A-IO2, A-IO3, A-IO4, A-IO6, A-IO9, A-IO10, A-IO11, A-IO12, A-IO13, A-IO14, A-IO16, A-IO20, A-IO24, A-IO27, A-IO29, A-IO32, A-IO33, and A-IO34 are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-F1, A-X1, A-F2, A-X2, A-X3, A-F5, A-X5, A-F6, A-X6, A-F7, A-X7, A-WX1, A-WX2, A-WX5, A-WX6, A-WX7, A-W1, A-W2, A-W5, A-W6, A-W7, and A-23 are super-senior notes. These classes benefit from additional protection from the senior support notes with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 11.60% 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 6.00%, 4.00%, 2.45%, 1.25%, and 0.75% of credit enhancement, respectively. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of four months. All of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 37.1% of the loans in the pool are designated as QM Safe Harbor and 0.9% of the loans are QM Rebuttable Presumption. Approximately 62.0% 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. The pool was originated by various originators, each comprising less than 10% of loans in the pool. All of the mortgage loans will be serviced by Rocket Mortgage LLC d/b/a Rushmore Servicing (Rushmore). Oceanview U.S. Holding Corp. (Oceanview) will act as the Responsible Party and Servicing Administrator. Computershare Trust Company, N.A. (Computershare; rated BBB (high) with a Stable trend) will act as Custodian. U.S. Bank Trust Company, National Association (U.S. Bank; rated AA with a Stable trend) will act as the Collateral Trustee, Paying Agent, and Note Registrar. Oceanview, as the Servicing Administrator, will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or Servicing Administrator (Stop-Advance Loan). The Servicing Administrator will also fund or reimburse the Servicer for advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties 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. OPORTUN ISSUANCE 2021-C: DBRS Confirms BB(high) Rating on D Notes ----------------------------------------------------------------- DBRS, Inc. confirmed four credit ratings and upgraded four credit ratings from two Oportun Issuance Trust transactions. Debt Rating Action ---- ------ ------ Oportun Issuance Trust 2021-B Class A Notes AAA (sf) Upgraded Class B Notes AA (low) (sf) Upgraded Class C Notes A (low) (sf) Upgraded Class D Notes BBB (low) (sf) Upgraded Oportun Issuance Trust 2021-C Class A Notes AA (low) (sf) Confirmed Class B Notes A (low) (sf) Confirmed Class C Notes BBB (low) (sf) Confirmed Class D Notes BB (high) (sf) Confirmed The rationale for the rating recommendation considers the following factors: -- For Oportun Issuance Trust 2021-B and Oportun Issuance Trust 2021-C, although losses are currently tracking above the Morningstar DBRS initial base-case cumulative net loss (CNL) expectations, the current levels of hard credit enhancement (CE) and estimated excess spread are sufficient to support the Morningstar DBRS projected remaining CNL assumptions at multiples of coverage commensurate with the credit ratings. -- The credit rating actions are the result of collateral performance to date and Morningstar DBRS' assessment of future performance assumptions. -- Current CE levels have increased in each transaction compared to initial levels. -- As a percentage of the current collateral balances, total delinquencies have increased in recent months. -- Transaction capital structure and the form and sufficiency of available CE. -- The transaction parties' capabilities with regard to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: December 2025 Update," published on December 19, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Notes: The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (June 17, 2025). PMT LOAN 2026-CNF2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 44 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2026-CNF2, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages aggregated by PennyMac Corp., originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-CNF2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-23X*, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-24X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aaa (sf) Cl. A-X2*, Assigned (P)Aaa (sf) Cl. A-X4*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X8*, Assigned (P)Aaa (sf) Cl. A-X10*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X14*, Assigned (P)Aaa (sf) Cl. A-X16*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X20*, Assigned (P)Aaa (sf) Cl. A-X22*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.50%, in a baseline scenario-median is 0.25% and reaches 6.78% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in August 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PMT LOAN 2026-J2: DBRS Gives Prov. B(low) Rating on B5 Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-J2 (the Notes) to be issued by PMT Loan Trust 2026-J2 (PMTLT 2026-J2 or the Trust) as follows: -- $264.1 million Class A1 at (P) AAA (sf) -- $264.1 million Class A-1A Loans at (P) AAA (sf) -- $264.1 million Class A-2 at (P) AAA (sf) -- $158.5 million Class A-3 at (P) AAA (sf) -- $158.5 million Class A-4 at (P) AAA (sf) -- $198.1 million Class A-5 at (P) AAA (sf) -- $198.1 million Class A-6 at (P) AAA (sf) -- $66.0 million Class A-7 at (P) AAA (sf) -- $66.0 million Class A-8 at (P) AAA (sf) -- $211.3 million Class A-9 at (P) AAA (sf) -- $211.3 million Class A-10 at (P) AAA (sf) -- $39.6 million Class A-11 at (P) AAA (sf) -- $39.6 million Class A-12 at (P) AAA (sf) -- $13.2 million Class A-13 at (P) AAA (sf) -- $13.2 million Class A-14 at (P) AAA (sf) -- $52.8 million Class A-15 at (P) AAA (sf) -- $52.8 million Class A-16 at (P) AAA (sf) -- $105.6 million Class A-17 at (P) AAA (sf) -- $105.6 million Class A-18 at (P) AAA (sf) -- $22.1 million Class A-19 at (P) AAA (sf) -- $22.1 million Class A-20 at (P) AAA (sf) -- $286.2 million Class A-21 at (P) AAA (sf) -- $286.2 million Class A-22 at (P) AAA (sf) -- $132.0 million Class A-23 at (P) AAA (sf) -- $132.0 million Class A-23X at (P) AAA (sf) -- $198.1 million Class A-24 at (P) AAA (sf) -- $198.1 million Class A-24X at (P) AAA (sf) -- $286.2 million Class A-X1 at (P) AAA (sf) -- $264.1 million Class A-X2 at (P) AAA (sf) -- $158.5 million Class A-X4 at (P) AAA (sf) -- $198.1 million Class A-X6 at (P) AAA (sf) -- $66.0 million Class A-X8 at (P) AAA (sf) -- $211.3 million Class A-X10 at (P) AAA (sf) -- $39.6 million Class A-X12 at (P) AAA (sf) -- $13.2 million Class A-X14 at (P) AAA (sf) -- $52.8 million Class A-X16 at (P) AAA (sf) -- $105.6 million Class A-X18 at (P) AAA (sf) -- $22.1 million Class A-X20 at (P) AAA (sf) -- $286.2 million Class A-X22 at (P) AAA (sf) -- $14.8 million Class B-1 at (P) AA (sf) -- $4.0 million Class B-2 at (P) A (sf) -- $2.5 million Class B-3 at (P) BBB (high) (sf) -- $1.7 million Class B-4 at (P) BB (low) (sf) -- $466.0 thousand Class B-5 at (P) B (low) (sf) Classes A-X1, A-X2, A-X4, A-X6, A-X8, A-X10, A-X12, A-X14, A-X16, A-X18, A-X20, A-X22, A-23X, and A-24X are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-13, A-15, A-17, A-18, A-19, A-21, A-22, A-23, A-24, A-X2, A-X6, A-X8, A-X10, A-X18, A-X22, A-23X, A-24X, and A-1A Loans are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-23, A-24, and A-1A Loans are super-senior tranches. These classes benefit from additional protection from the senior support notes (Class A-20) with respect to loss allocation. The Class A-1A Loans are loans that may be funded at the Closing Date as specified in the offering documents. The (P) AAA (sf) credit ratings on the Notes reflect 15.00% of credit enhancement provided by subordinated Notes. The (P) AA (sf), (P) A (sf), (P) BBB (high) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 3.15%, 1.85%, 1.05%, 0.50%, and 0.35% of credit enhancement, respectively Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. The weighted-average (WA) original combined loan-to-value (CLTV) for the portfolio is 72.8%. In addition, all the loans in the pool were originated in accordance with the general Qualified Mortgage (QM) rule subject to the average prime offer rate designation. All of the mortgage loans were originated by and will be serviced by PennyMac Corp. (PennyMac). Citibank, N.A. (Citibank) will act as the Paying Agent, Note Registrar, Certificate Registrar, Securities Intermediary, and Fiscal Agent. Deutsche Bank National Trust Company will act as the Custodian, and Wilmington Savings Fund Society, FSB will serve as Owner Trustee and Collateral Trustee. The Servicer will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or Fiscal Agent (Stop-Advance Loan). The Servicer will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. Citibank, N.A. (Citibank, N.A.; rated AA (low) with a Stable trend), as the Fiscal Agent will be obligated to fund any P&I advances that the Servicer is required to make if the Servicer fails in its obligation to do so. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-global financial crisis (GFC) structure. This transaction allows for the issuance of the Class A-1A Loans, which are the equivalent of ownership of the Class A-1 Notes. This class is issued in the form of a loan made by the investor instead of a note purchased by the investor. If Class A-1A Loans are funded at closing, the holder may convert such class into an equal aggregate debt amount of the corresponding Note. There is no change to the structure if this Class is elected. Notes: All figures are in U.S. dollars unless otherwise noted. POINT SECURITIZATION 2026-1: DBRS Finalizes B Rating on B2 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional credit ratings on the Option-Backed Notes (the Notes) issued by Point Securitization Trust 2026-1 as follows: -- $254.7 million Class A-1 at A (low) (sf) -- $54.2 million Class A-2 at BBB (low) (sf) -- $37.5 million Class B-1 at BB (low) (sf) -- $28.4 million Class B-2 at B (sf) The A (low) (sf) credit rating reflects a cumulative advance rate of 67.9% for the Class A-1 Notes, the BBB (low) (sf) credit rating reflects a cumulative advance rate of 82.4% for the Class A-2 Notes, the BB (low) (sf) credit rating reflects a cumulative advance rate of 92.4% for the Class B-1 Notes, and the B (sf) credit rating reflects a cumulative advance rate of 100.0% for the Class B-2 Notes. Other than the specified classes above, Morningstar DBRS did not rate any other classes in this transaction. Home Equity Investments (HEIs) allow homeowners access to the equity in their homes without having to sell their homes or make monthly mortgage payments. HEIs provide homeowners with an alternative to borrowing and are available to homeowners of any age (unlike reverse mortgage loans, for example, for which there is often a minimum age requirement). A homeowner receives an upfront cash payment (an Advance or an Investment Amount) in exchange for giving an Investor (i.e., an Originator) a stake in their property. The homeowner retains sole right of occupancy of the property and pays all upkeep and expenses during the term of the HEI, but the Originator earns an investment return based on the future value of the property, typically subject to a returns cap. Like reverse mortgage loans, the HEI underwriting approach is asset based, meaning there is greater emphasis placed on the value of the underlying property and the amount of home equity than on the credit quality of the homeowner. The property value is the main focus for predicting investment return because it is the primary source of funds to satisfy the obligation. HEIs are nonrecourse; in a default situation a homeowner is not required to provide additional funds when the HEI settlement amount exceeds the remaining equity value in the property (after accounting for any other obligations such as senior liens, if applicable). Recovery of the Advance and any Originator return is primarily subject to the amount of appreciation/depreciation on the property, the amount of debt that may be senior to the HEI, and the cap on investor return. As of the cut-off date, 451 contracts in the transaction are first-lien contracts, representing roughly $41.97 million in current intrinsic value; 3,108 are second-lien contracts, representing roughly $311.14 million in current intrinsic value; and 259 are third-lien contracts, representing roughly $21.79 million in current intrinsic value. Of the pool, 11.19% of the contracts are first lien and have a weighted-average (WA) HEI percentage of 59.39%, 82.99% are second-lien contracts and have a WA HEI percentage of 56.43%, and the remaining 5.81% of the pool are third-lien contracts with a WA HEI percentage of 57.61%. This brings the entire transaction's WA HEI percentage to 56.83%. To better understand the contract math, please see the example in the Contract Mechanics-Worked Example section of the accompanying deal report. The current unadjusted loan-to-value ratio (LTV) of the pool is 35.35% (i.e., of senior liens ahead of the contracts). At cut-off, the pool had a WA HEI thickness of 16.55%, and a current WA combined loan-to-value ratio (CLTV) of 51.97%. The transaction uses a sequential structure. For cash distributions that are paid prior to the occurrence of a Credit Event, payments are first made to the Interest Amounts and any Interest Carryover on the Class A-1, Class A-2, Class B-1 (prior to the occurrence of a Class B-1 payment-in-kind (PIK) Date), and Class B-2 (prior to the occurrence of a Class B-2 PIK Date) Notes. Payments are then made to the Note Amount of Class A-1 until such notes are paid off. With respect to Class A-2, B-1, and B-2 Notes, payments are then made to Note Amount until Note Amount of the Class A-2, Class B-1, and Class B-2 Notes are paid off with an amount up to the amount of Net Sale Proceeds (if any) that was included in the total Available Funds on such Payment Date in sequential order. If a Class B-1 PIK Date or Class B-2 PIK Date occurs, then payments of interest that would go to the Class B-1 and B-2 Notes will instead be redirected first to the Advance Facility Provider, followed by principal to the Class A-1 Notes until reduced to zero. For cash distributions that are paid post the occurrence of a Credit Event, payments are first made to the Interest Amounts and any Interest Carryover on Class A-1 Notes. In the event that the Class A-1 Notes have not been redeemed or paid in full, on or after the Expected Redemption Date, the A-2 Notes Accrual Amount would be paid first to Class A-1 Notes until its paid off and then as Additional Accrued Amounts to Class A-1 Notes, until such amounts have been reduced to zero. If the Class A-1 Notes have been redeemed or paid in full prior to the Redemption Date, payments are made to the Interest Amounts and any unpaid Interest Carryover on Class A-2 Notes. The Class B-1 and B-2 Notes are accrual notes and will not be entitled to any payments of principal until Classes A-1 and A-2 are paid down along with their respective Additional Accrued Amounts that have accrued but were previously unpaid. With respect to the Class A-1 Notes, payments are first made to the Note Amount until such amounts are reduced to zero and then to the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until such amounts are reduced to zero on Class A-1 Notes. The Class A-2 Notes are then paid their respective Note Amount until it's paid off and the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until it's reduced to zero. The Class B-1 Notes are then paid their respective Note Amount until it's paid off and the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until reduced to zero. Lastly, the B-2 Notes are then paid their respective Note Amount until it's paid off and the Additional Accrued Amounts including any unpaid Additional Accrued Amounts until reduced to zero. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Note Amount, Interest Amount, and Cap Carryover. Notes: All figures are in U.S. dollars unless otherwise noted. PRET 2026-RPL1: Fitch Assigns 'B(EXP)sf' Rating on Class B2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to PRET 2026-RPL1 Trust. Entity/Debt Rating ----------- ------ PRET 2026-RPL1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT AA(EXP)sf Expected Rating A4 LT A(EXP)sf Expected Rating A5 LT BBB(EXP)sf Expected Rating M1 LT A(EXP)sf Expected Rating M2 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating B4 LT NR(EXP)sf Expected Rating B5 LT NR(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 1,827 seasoned performing loans (SPLs) and reperforming loans (RPLs) with a balance of $401.35 million, including deferred balances, as of the cutoff date. The transaction is expected to close on Feb. 27, 2026. The notes are secured by a pool of fixed-rate, step-rate and adjustable-rate mortgage (ARM) loans, some of which have an initial interest-only (IO) period, that are primarily fully amortizing with original terms to maturity of 30 years. The loans are secured by first and second liens, primarily on single-family residential properties, planned unit developments (PUDs), townhouses, condominiums, co-ops, manufactured housing, land and multifamily homes. All of the loans are SPLs or RPLs. Selene Finance LP (Selene) will service 66.09% of the loans in the pool and NewRez LLC (dba Shellpoint Mortgage Servicing) will service 33.91% of the loans in the pool. A majority of the loans in the collateral pool comprise fixed-rate mortgages, although 5.8% are step-rate loans or loans with an adjustable rate. KEY RATING DRIVERS Credit Risk of Seasoned and Reperforming Mortgage Assets (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The borrowers in this pool have relatively strong credit profiles, with a Fitch-determined weighted average (WA) FICO score of 718, and a 38.8% Fitch-determined debt-to-income ratio (DTI). The borrowers also have relatively low leverage, consistent with seasoned transactions: an original combined loan-to-value ratio (CLTV), as determined by Fitch, of 75.5% and a current mark-to-market LTV of 54.9%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 60.8%. Of the loans, 43.8% have been modified. The vast majority of the loans are performing, with 87.1% being current and 12.9% being 30-day delinquent as of the cut-off date. In all, 54% of the loans have been paying for at least the past 12 months with 40.6% of the pool paying continuously for the past 24 months. PRET 2026-RPL1 has a final PD of 52.95% in the 'AAA' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 31.98%. The expected loss in the 'AAAsf' rating stress is 16.93%. Structural Analysis (Mixed): Sequential Mortgage Cash Flow in PRET 2026-RPL1 with No DQ P and I Advancing The transaction utilizes a sequential payment structure with no advancing of delinquent P&I payments. The transaction is structured with subordination to protect more senior classes from losses and has a minimal amount of excess interest, which can be used to repay current or previously allocated realized losses and cap carryover shortfall amounts. The interest and principal waterfalls prioritize payment of interest to the A-1 class, which is supportive of class A-1 receiving timely interest. Fitch considers timely interest for 'AAAsf' rated classes and ultimate interest for 'AAsf' to 'Bsf' category rated classes. The note rate for each of the class A-1, class A-2, class M-1 and class M-2 Notes on any payment date up to but excluding the payment date in March 2030 and for the related accrual period will be a per annum rate equal to the lesser of (i) the fixed rate for such class set forth in the table above and (ii) the net WAC rate (as defined herein) for such payment date. Beginning on the payment date in March 2030 and for the related accrual period, and on each payment date thereafter and for each related accrual period, the note rate for each of the class A-1, class A-2, class M-1 and class M-2 notes will be a per annum rate equal to the lesser of (a) the net WAC rate for such notes and (ii) 1.000%. The unpaid interest shortfall amount payments on the class A and M notes are prioritized over the payment of the B-3, B-4 and B-5 interest in both the interest and principal waterfall. Once interest is paid to all classes, principal is paid sequentially to the classes starting with A-1. The note rates for the B classes are based on the least of the net WAC rate; such interest accrual period and payment date. Losses are allocated to classes in reverse-sequential order, starting with class B-5. Classes will be written down if the transaction is undercollateralized. Excess spread is available to absorb losses. The servicer will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAAsf' rated classes and ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for additional credit enhancement (CE) compared to a pool with limited advancing. These structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' rated classes. Operational Risk Analysis (Negative): Fitch considers originator and servicer capability, third-party due diligence results and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. For RPL transactions, credit is not given to loans with a due diligence grade of A or B. The loans are penalized for having C and D grades. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects PRET 2026-RPL1 to be a fully de-linked and bankruptcy remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to PRET 2026-RPL1 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.5%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by ProTitle, Consolidated Analytics, Opus, Selene, and AMC. The third-party due diligence described in Form 15E focused on the following areas: compliance review, data integrity, servicing review and title review. The scope of the review was consistent with Fitch's criteria. Fitch considered this information in its analysis. Based on the results of the 100% due diligence performed on the pool, Fitch adjusted the expected losses. A portion of the loans received 'C' or 'D' grades, mainly due to missing documentation that resulted in the ability to test for certain compliance issues, potential high-cost issues, or ATR Risk/Fail issues. As a result, Fitch applied negative loan level adjustments, which increased the 'AAAsf' losses. A ProTitle search found outstanding liens that predate the mortgage. It was confirmed that a majority of these liens are retired and nothing is owed. There were 59 loans with a clean title search, for which potentially superior post-origination liens/judgments were found totaling $281,548.45. In addition, 105 mortgage loans indicated potentially superior post-origination liens/judgments totaling $2,336,751.58. Based on the transaction documents, the trust will be responsible for $840,000 in these liens. As a result, Fitch increased the LS by this amount since the trust would be responsible for reimbursing the servicer for this amount. The amount of the adjustment was not material and had no impact on the expected losses. The ProTitle search noted less than 10 loans not in a first lien position. Fitch received confirmation from the servicer that these loans are in a first lien position. The servicer is monitoring for liens that could take priority over the first lien status of the mortgages in the pool and will advance, per standard servicing practices, to maintain the first lien position of the mortgages in the pool. As a result, Fitch considered 100% of the loans in the pool to be in the first lien position. Fitch received confirmation from the servicer on the current lien status of the loans in the pool. The servicer regularly orders these searches as part of its normal business practice and resolves issues as they arise. No additional adjustment was made as a result. As a result of the valid title policy and the servicer monitoring the lien status, Fitch treated 100% of the pool as first liens or second liens as stated in the tape. The custodian is actively tracking down missing documents. In the event a missing document materially delays or prevents a foreclosure, the sponsor will have 90 days to find the document or cure the issue. If the loan seller cannot cure the issue or find the missing documents, they will repurchase the loan at the repurchase price. As a result, Fitch only extended timelines for missing documents. A pay history review was conducted on a sample set of loans by AMC. The review confirmed the pay strings are accurate, and the servicer confirmed the payment history was accurate for all the loans. As a result, 100% of the pool's payment history was confirmed. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged ProTitle and AMC, Opus, Selene, and Consolidated Analytics to perform the review. Loans reviewed under this engagement were given initial and final compliance grades. A portion of the loans in the pool received a credit or valuation review. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers materially affect the overall credit risk of the loans. Please refer to the Third-Party Due Diligence section of the presale report for more details. Fitch also received confirmation from the servicer that the lien status and payment history provided in the tape is accurate per its records. Fitch took this information into consideration in its analysis. Fitch utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RCKT MORTGAGE 2026-CES2: Fitch Gives 'B(EXP)' Rating on 5 Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by RCKT Mortgage Trust 2026-CES2 (RCKT 2026-CES2). Entity/Debt Rating ----------- ------ RCKT 2026-CES2 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating A4 LT AA(EXP)sf Expected Rating A5 LT A(EXP)sf Expected Rating A6 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B1A LT BB(EXP)sf Expected Rating B1B LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B2A LT B(EXP)sf Expected Rating B2B LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating BX1A LT BB(EXP)sf Expected Rating BX1B LT BB(EXP)sf Expected Rating BX2A LT B(EXP)sf Expected Rating BX2B LT B(EXP)sf Expected Rating M1A LT BBB(EXP)sf Expected Rating M1B LT BBB-(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by RCKT 2026-CES2 as indicated above. The notes are supported by 5,867 closed-end second lien (CES) loans, with a total balance of approximately $550 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or cover net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RCKT 2026-CES2 has a final probability of default (PD) of 18.8% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 98.2%. The expected loss in the 'AAAsf' rating stress is 18.54%. Structural Analysis: The mortgage cash flow and loss allocation in RCKT 2026-CES2 are based on a sequential-payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal, first, to repay any current or previously allocated cumulative applied realized losses, and then to repay potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 25.2% of the loans in the transaction by loan count. Fitch applies a 5% probability of default reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects RCKT 2026-CES2 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 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. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC and 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 origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. REALT 2025-1: DBRS Confirms B Rating on Class G Certs ----------------------------------------------------- DBRS Limited confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2025-1 issued by Real Estate Asset Liquidity Trust (REALT) Series 2025-1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class X at AA (high) (sf) -- Class C at A (sf) -- Class D-1 at BBB (sf) -- Class D-2 at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. The credit rating confirmations reflect the transaction's overall stable performance, which remains in line with Morningstar DBRS' issuance expectations. As of the February 2026 remittance, 63 of the original 70 loans remain in the pool with an aggregate principal balance of $440.6 million, representing a collateral reduction of 13.2% since issuance as a result of scheduled loan amortization, loan repayments, and prepayment penalties. There are no loans on the servicer's watchlist or in special servicing, and no loans have been defeased. The pool is predominantly composed of retail- and multifamily-backed loans, collectively representing 59.6% of the pool, while no loans are secured by office-backed collateral. The largest loan in the pool, Sheraton Gateway Hotel Toronto A2 (Prospectus ID#1, 10.7% of the pool), is secured by the leasehold interest in a 484-room, full-service hotel connected to Toronto's Pearson International Airport in Mississauga, Ontario. The hotel is managed under the Marriott International, Inc. (Marriot) brand. Whole loan proceeds of $100.0 million along with $65.0 million of borrower equity were used to finance the acquisition of the property in 2019 and fund an upfront property improvement program (PIP) reserve of $15.0 million of the total PIP cost of $35.0 million. The trust debt of $56.0 million is pari passu with the A-1 note of $44.0 million contributed to the REAL-T 2020-1 transaction, which Morningstar DBRS also rates. The sponsor completed the PIP program to modernize the hotel in line with brand standards in April 2022, and the holdback was subsequently released. Since the securitization of the A-1 note in 2020, Morningstar DBRS updated its net cash flow (NCF), resulting in a Morningstar DBRS NCF of $17.6 million, representing a minimal variance of -2.4% from the Issuer's updated NCF of $18.0 million. An updated appraisal completed in 2021 valued the property at $168.0 million, up 20.8% over the 2019 as-is value of $133.0 million, representing a 51.1% cut-off loan-to-value ratio. No updated financials or performance metrics have been provided since closing; however, the asset has historically seen strong performance, rebounding well from the COVID-19 pandemic with NCF steadily exceeding pre-pandemic levels. The credit ratings assigned to Classes C, D-1, D-2, E, F, and G materially deviate from the credit ratings implied by the predictive model. Morningstar DBRS typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more deviation from the credit rating stress implied by the predictive model to be a significant factor in evaluating the credit ratings. The rationale for the material deviations is that the sustainability of loan performance trends has not been demonstrated, as the transaction is still early in its lifecycle and the majority of the loans have not yet reported full-year historical figures. Notes: All figures are in Canadian dollars unless otherwise noted. RKTL 2026-1: Fitch Assigns 'BBsf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by RKTL 2026-1. Entity/Debt Rating Prior ----------- ------ ----- RKTL 2026-1 A LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Solid Receivables Quality: The RKTL 2026-1 pool consists of unsecured consumer loans made to obligors with strong credit scores. The weighted average (WA) credit score is 741 and the WA income is $144,921. The pool consists of amortizing loans with a WA net interest rate of 13.44% and a WA original term of 52 months, averaging two months of seasoning. Of the loans, 91.6% are originated to borrowers who own a home. Base Case Default Reflects Recent Performance Trends: Rocket Loans' managed default rates increased in 2022 and 2023. The cumulative gross default (CGD) rate in vintage 1Q22 was approximately 10.4% and peaked at 13.5% in vintage 4Q22. However, since initiating corrective measures that included tightening credit standards, performance in the 2H23 and 2024 vintages improved quarter over quarter (qoq). Fitch's WA base case gross default assumption (the default assumption) for RKTL 206-1 is 10.59%. The default assumption was established based on data stratified by Rocket Loans' default probability score band and loan term. In setting the expected case (default assumption), Fitch considered performance trends from vintage year 2020 and considered early trends of default curves in vintage year 2025. Credit Enhancement Mitigates Stressed Losses: Initial hard credit enhancement (CE) totals 41.87%, 26.97%, 17.52%, 9.97% and 6.47% of the initial pool balance for class A, B, C, D and E notes, respectively. The transaction amortizes the notes sequentially and excess cash is not released before the specified overcollateralization (OC) amount of 11.00% is met. Fitch tested the initial CE under stressed cash flow assumptions for all classes and found that the classes pass all stresses at the rating level assigned to the respective class of notes. Fitch applied a 'AAAsf' rating stress of 4.5x the base case default rate for consumer loans. The stress multiples decrease for lower rating levels according to the higher prescribed multiples described in Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for the loans, the WA FICO score of the borrowers and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Assurance for True Lender Status for Partner Bank-Loan Origination: Rocket Loans' securitization transactions comprise consumer loans originated by Cross River Bank, a New Jersey state-chartered commercial bank. The bank's true lender status in the context of Rocket Loans' loan acquisition is subject to legal and regulatory uncertainty, especially if the loans' interest rates exceeded those allowed by the borrowers' state usury laws. If a court ruling or regulatory action deems that Rocket Loans, rather than Cross River Bank, is the true lender, loans could be declared unenforceable, void or subject to interest rate reductions and other penalties. This would increase negative rating pressure. Fitch's analysis and ratings reflect a review of the transaction's eligibility criteria for selecting the receivables for RKTL 2026-1, which reduces exposure to loans with interest rates above usury caps. Fitch also performed an operational risk review and deemed Rocket Loans' compliance, legal and operational capabilities as acceptable to meet consumer protection regulations. Adequate Servicing Capabilities with Removal Risk: Rocket Loans has a strong record of servicing consumer loans. Since the launching of the RockLoans Platform in 2016, Rocket Loans has acted as a subservicer for the consumer loans originated by Cross River Bank. Starting in May 2025, Rocket Loans became the sole servicer of certain personal loans originated through the RockLoans Platform. The entity's credit risk profile is mitigated by backup servicing provided by Systems & Services Technologies, Inc. Fitch considers all parties to be adequate servicers for this pool at their rating levels. The class R-1 certificate holder may remove Rocket Loans as servicer at any time without cause and without controlling noteholders' approval, and with no obligation to consider noteholders' interests when selecting a successor servicer. While this provision did not impact Fitch's analysis because its effect is limited to servicing operations, the servicer replacement right granted to the subordinated class R-1 certificate holder is not typically seen in comparable public structured finance transactions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased defaults (class A/B/C/D/E): Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf ' - Increased default base case by 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'; - Increased default base case by 25%: 'AAsf'/'Asf'/'BBB+sf'/'BB+sf'/'B+sf'; - Increased default base case by 50%: 'A+sf'/'A-sf'/'BBB-sf'/'BBsf'/'CCCsf'; - Increased default base case by 10% and reduced recovery base case by 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BB+sf'/'BB-sf'; - Increased default base case by 25% and reduced recovery base case by 25%: 'AAsf'/'Asf'/'BBBsf'/'BBsf'/'B-sf'; - Increased default base case by 50% and reduced recovery base case by 50%: 'A+sf'/'BBB+sf'/'BBB-sf'/'B+sf'/'NRsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity from decreased defaults (class A/B/C/D/E): Current Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf' - Decreased default base case by 10%: 'AAAsf'/'AA+sf'/'A+sf'/'BBBsf'/'BBsf'; - Decreased default base case by 25%: 'AAAsf'/'AAAsf'/'AAsf'/'A-sf'/'BBB-sf'; - Decreased default base case by 50%: 'AAAsf'/'AAAsf'/'AAAsf'/'AA-sf'/'BBB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison of certain characteristics with respect to 150 randomly selected preliminary portfolio loans. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. 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. SCULPTPOR CLO XXVII: Fitch Assigns 'BB-sf' Rating on Cl. E-RR Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Sculptor CLO XXVII, Ltd. Reset Transaction. Entity/Debt Rating ----------- ------ Sculptor CLO XXVII, Ltd. X-RR LT NRsf New Rating A-1RR LT NRsf New Rating A-2RR LT AAAsf New Rating B-RR LT AAsf New Rating C-RR LT Asf New Rating D-1A-RR LT BBB-sf New Rating D-1B-RR LT BBB-sf New Rating D-2RR LT BBB-sf New Rating E-RR LT BB-sf New Rating Subordinated B LT NRsf New Rating Transaction Summary Sculptor CLO XXVII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sculptor CLO Advisors LLC. The transaction originally closed in July 2021 and was refinanced in January 2025. On Feb. 18, 2026, all existing secured notes will be redeemed in full using net proceeds from the issuance of the new secured notes and subordinated notes. The transaction will finance a portfolio of approximately $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 21.14, 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 94.05% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.29% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 3.2-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-2RR, between 'BBB-sf' and 'A+sf' for class B-RR, between 'BB+sf' and 'A-sf' for class C-RR, between less than 'B-sf' and 'BB+sf' for class D-1RR, between less than 'B-sf' and 'BB+sf' for class D-2RR, and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AAsf' for class C-RR, 'A-sf' for class D-1RR, 'BBB+sf' for class D-2RR, and 'BBB-sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Sculptor CLO XXVII, 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. SEQUOIA MORTGAGE 2026-2: Fitch Assigns 'Bsf' Rating on Cl. B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-2 (SEMT 2026-2). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2026-2 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7A LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A16A LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf A26F LT AAAsf New Rating AAA(EXP)sf A27 LT AAAsf New Rating AAA(EXP)sf A28 LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf ACH4 LT AAAsf New Rating AAA(EXP)sf A31 LT AAAsf New Rating AAA(EXP)sf A32 LT AAAsf New Rating AAA(EXP)sf ACH67 LT AAAsf New Rating AAA(EXP)sf A33 LT AAAsf New Rating AAA(EXP)sf A34 LT AAAsf New Rating AAA(EXP)sf A35 LT AAAsf New Rating AAA(EXP)sf A36 LT AAAsf New Rating AAA(EXP)sf A37 LT AAAsf New Rating AAA(EXP)sf A38 LT AAAsf New Rating AAA(EXP)sf A39 LT AAAsf New Rating AAA(EXP)sf A40 LT AAAsf New Rating AAA(EXP)sf A41 LT AAAsf New Rating AAA(EXP)sf A42 LT AAAsf New Rating AAA(EXP)sf A43 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf AIO27 LT AAAsf New Rating AAA(EXP)sf AIO27F LT AAAsf New Rating AAA(EXP)sf AIO28 LT AAAsf New Rating AAA(EXP)sf AIO29 LT AAAsf New Rating AAA(EXP)sf AIO30 LT AAAsf New Rating AAA(EXP)sf AIO36 LT AAAsf New Rating AAA(EXP)sf AIO37 LT AAAsf New Rating AAA(EXP)sf AIO38 LT AAAsf New Rating AAA(EXP)sf AIO39 LT AAAsf New Rating AAA(EXP)sf AIO40 LT AAAsf New Rating AAA(EXP)sf AIO41 LT AAAsf New Rating AAA(EXP)sf AIO42 LT AAAsf New Rating AAA(EXP)sf AIO43 LT AAAsf New Rating AAA(EXP)sf AIO44 LT AAAsf New Rating AAA(EXP)sf AIO67 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BBsf New Rating BB(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 617 loans with a total balance of approximately $788.41 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, 91.8% of the pool loans are for primary residences, while the remainder are second homes. Additionally, 100% of the loans were underwritten to full documentation. Following the publication of the presale and expected ratings, the issuer provided an updated tape consisting of three loan drops and updated balances. The issuer also provided a corresponding updated structure. Fitch re-ran its asset and cash flow analysis and confirmed there were no changes to its previous expected ratings. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-2 has a final probability of default (PD) of 9.77% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 36.27%. The expected loss in the 'AAAsf' rating stress is 3.54%. 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. SEMT 2026-2 is fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-2, 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. SEQUOIA MORTGAGE 2026-3: Fitch Rates Class B4 Certs 'BB+sf' ----------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-3 (SEMT 2026-3). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2026-3 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7A LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A16A LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A25 LT AAAsf New Rating AAA(EXP)sf A26F LT AAAsf New Rating AAA(EXP)sf A27 LT AAAsf New Rating AAA(EXP)sf A28 LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf ACH4 LT AAAsf New Rating AAA(EXP)sf A31 LT AAAsf New Rating AAA(EXP)sf A32 LT AAAsf New Rating AAA(EXP)sf ACH67 LT AAAsf New Rating AAA(EXP)sf A33 LT AAAsf New Rating AAA(EXP)sf A34 LT AAAsf New Rating AAA(EXP)sf A35 LT AAAsf New Rating AAA(EXP)sf A36 LT AAAsf New Rating AAA(EXP)sf A37 LT AAAsf New Rating AAA(EXP)sf A38 LT AAAsf New Rating AAA(EXP)sf A39 LT AAAsf New Rating AAA(EXP)sf A40 LT AAAsf New Rating AAA(EXP)sf A41 LT AAAsf New Rating AAA(EXP)sf A42 LT AAAsf New Rating AAA(EXP)sf A43 LT AAAsf New Rating AAA(EXP)sf A44 LT AAAsf New Rating AAA(EXP)sf A45 LT AAAsf New Rating AAA(EXP)sf A46 LT AAAsf New Rating AAA(EXP)sf AIO1 LT AAAsf New Rating AAA(EXP)sf AIO2 LT AAAsf New Rating AAA(EXP)sf AIO3 LT AAAsf New Rating AAA(EXP)sf AIO4 LT AAAsf New Rating AAA(EXP)sf AIO5 LT AAAsf New Rating AAA(EXP)sf AIO6 LT AAAsf New Rating AAA(EXP)sf AIO7 LT AAAsf New Rating AAA(EXP)sf AIO8 LT AAAsf New Rating AAA(EXP)sf AIO9 LT AAAsf New Rating AAA(EXP)sf AIO10 LT AAAsf New Rating AAA(EXP)sf AIO11 LT AAAsf New Rating AAA(EXP)sf AIO12 LT AAAsf New Rating AAA(EXP)sf AIO13 LT AAAsf New Rating AAA(EXP)sf AIO14 LT AAAsf New Rating AAA(EXP)sf AIO15 LT AAAsf New Rating AAA(EXP)sf AIO16 LT AAAsf New Rating AAA(EXP)sf AIO17 LT AAAsf New Rating AAA(EXP)sf AIO18 LT AAAsf New Rating AAA(EXP)sf AIO19 LT AAAsf New Rating AAA(EXP)sf AIO20 LT AAAsf New Rating AAA(EXP)sf AIO21 LT AAAsf New Rating AAA(EXP)sf AIO22 LT AAAsf New Rating AAA(EXP)sf AIO23 LT AAAsf New Rating AAA(EXP)sf AIO24 LT AAAsf New Rating AAA(EXP)sf AIO25 LT AAAsf New Rating AAA(EXP)sf AIO26 LT AAAsf New Rating AAA(EXP)sf AIO27 LT AAAsf New Rating AAA(EXP)sf AIO27F LT AAAsf New Rating AAA(EXP)sf AIO28 LT AAAsf New Rating AAA(EXP)sf AIO29 LT AAAsf New Rating AAA(EXP)sf AIO30 LT AAAsf New Rating AAA(EXP)sf AIO36 LT AAAsf New Rating AAA(EXP)sf AIO37 LT AAAsf New Rating AAA(EXP)sf AIO38 LT AAAsf New Rating AAA(EXP)sf AIO39 LT AAAsf New Rating AAA(EXP)sf AIO40 LT AAAsf New Rating AAA(EXP)sf AIO41 LT AAAsf New Rating AAA(EXP)sf AIO42 LT AAAsf New Rating AAA(EXP)sf AIO43 LT AAAsf New Rating AAA(EXP)sf AIO44 LT AAAsf New Rating AAA(EXP)sf AIO45 LT AAAsf New Rating AAA(EXP)sf AIO46 LT AAAsf New Rating AAA(EXP)sf AIO47 LT AAAsf New Rating AAA(EXP)sf AIO67 LT AAAsf New Rating AAA(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B1A LT AAsf New Rating AA(EXP)sf B1X LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B2A LT Asf New Rating A(EXP)sf B2X LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BB+sf New Rating BB+(EXP)sf B5 LT Bsf New Rating B(EXP)sf B6 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 305 loans with a total balance of approximately $384.7 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 780 and 35.8% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 71.6% mark-to-market combined LTV (cLTV). Overall, 92.1% 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 2026-3 has a final probability of default (PD) of 9.40% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 34.91%. The final loss in the 'AAAsf' rating stress is 3.28%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-3 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 credit CE or a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 99.3% of the loans in the transaction by loan count. Fitch applies a 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria". Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. SEMT 2026-3 is fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-3, 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 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. SFO COMMERCIAL 2021-555: DBRS Confirms B(low) Rating on Cl. E Certs ------------------------------------------------------------------- DBRS Limited confirmed its credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-555 issued by SFO Commercial Mortgage Trust 2021-555: -- Class A at AA (sf) -- Class B at A (high) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at B (low) (sf) -- Class F at CCC (sf) -- Class HRR at CCC (sf) All trends are Stable with the exception of Classes F and HRR, which have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The credit rating confirmations and Stable trends reflect that the performance of the underlying collateral remains in line with Morningstar DBRS' expectations since the previous credit rating action in March 2025. The transaction is collateralized by 555 California Street Campus (The Campus), a 1.8 million-square-foot (sf) Class A office complex in San Francisco's North Financial District. The Campus comprises three LEED Gold-certified and Energy Star-rated office buildings: 555 California Street, 345 Montgomery Street, and 315 Montgomery Street. The loan is sponsored by a 70/30 joint venture between Vornado Realty L.P. (Vornado) and Donald J. Trump. Vornado acquired the Campus in 2007 and has invested $164.8 million ($90.63 per sf (psf)) into the Campus since 2016. The $1.2 billion floating-rate loan had an initial maturity date in May 2023; however, the borrower has exercised three of up to five one-year extension options to date, with the most recent maturity date in May 2026. With each extension, the borrower is required to purchase a new interest rate cap agreement with a strike rate at the greater of 4.00% and the benchmark rate, which, when added to the sum of the spread and, if applicable, the alternative rate spread adjustment, would result in a debt service coverage ratio (DSCR) equal to or greater than 1.10 times (x). According to an article published by CRE Daily on August 7, 2025, Vornado is open to the idea of selling the subject property as the company continues to focus on its New York properties, which represent 90% of Vornado's portfolio. Morningstar DBRS has requested an update from the servicer on whether the fourth extension option will be exercised, and a response is pending as of the date of this press release. According to the December 2025 rent roll, the property was 85.8% occupied, a decline from the October 2024 occupancy rate of 96.2%. The drop in occupancy was primarily due to the former largest tenant, Bank of America (BofA), reducing its footprint at the subject and other smaller tenants rolling upon their lease expirations. At issuance, BofA represented 18.1% of the net rentable area (NRA) on separate leases at the 315 Montgomery Street and 555 California Street properties. One of the leases at 315 Montgomery Street was tied to a 55,940-sf unit, which rolled at the September 2025 lease expiration. In addition, BofA exercised its termination option and vacated the 11th floor at 555 California Street, bringing its collateral footprint to 13.8% of NRA (leases expiring in February 2031 or September 2035) as per the December 2025 rent roll. The tenant also has a termination option for the 44th floor at 555 California Street (11,542 sf of space) that is subject to a fee of $403,970 ($35 psf), and the borrower must provide 18 months' notice. Currently, the largest tenant is Kirkland & Ellis LLP, which occupies 14.3% of NRA on several leases expiring in September 2030 or September 2036. The 345 Montgomery Street property is now 59.6% occupied (2.4% of the total NRA) by the Institute of Contemporary Art San Francisco, but its lease is scheduled to expire in September 2026 and the tenant will be vacating. However, The Wharton School of the University of Pennsylvania will occupy the entire building starting in January 2027 on a lease through June 2039 with a rental rate of $53.52 psf. This is a positive development considering the Institute of Contemporary Art San Francisco was not paying rent. The new lease is structured with a rental abatement period as well as annual rent escalations of about 3.0%. Overall, there is moderate tenant rollover risk as 13.7% of NRA has leases expiring in 2026, including Fenwick & West LLP and Sidley Austin LLP (collectively representing approximately 7.5% of NRA), which were planning to vacate upon their Q1 2026 lease expirations, as reported by CoStar. However, tenants representing approximately 18.0% of NRA recently executed new leases/renewed existing leases in 2025. In total, 435,377 sf (22.2% of NRA) across the three properties were listed as available for lease as per online listings from LoopNet and CBRE. According to Reis, office properties within the North Financial District submarket reported a vacancy rate of 23.0% as of Q4 2025, an increase from 22.5% in Q4 2024; however, the five-year forecast vacancy rate is expected to decrease to 14.1%. As per the financials for the trailing-nine-month period (T-9) ended September 30, 2025, the annualized DSCR was 1.11x, compared with the YE2024 DSCR of 0.99x, YE2023 of 1.18x, and Morningstar DBRS DSCR of 3.37x derived at issuance. This variance is primarily attributable to the loan's floating interest rate, which has resulted in a 256.1% increase in the annual debt service obligation, raising it to $87.2 million in 2024 from $24.7 million in 2021. According to the financial statement for the T-9 period ended September 30, 2025, the annualized net cash flow (NCF) was $86.0 million, slightly below the YE2024 figure of $87.2 million and Morningstar DBRS NCF of $86.4 million. Despite the dip in NCF, the December 2025 rent roll reported $44.3 million of rental abatements (nearly half of which amount is attributed to BofA), which is expected to burn off by March 2026. Morningstar DBRS had accounted for this in the NCF at issuance and gave straight-line credit over the loan term. As the rental abatements continue to burn off, NCF should improve. For this review, Morningstar DBRS maintained the valuation approach from the April 2024 review, which was based on a capitalization rate of 7.75% applied to the Morningstar DBRS NCF of $86.4 million. Morningstar DBRS also maintained positive qualitative adjustments to the loan-to-value ratio sizing benchmarks totaling 4.25% to reflect the significant capital expenditure projects at the subject properties and the investment-grade tenants' long-term in-place tenancy. The Morningstar DBRS-concluded value of $1.1 billion represents a variance of -45.6% from the issuance appraised value of $2.0 billion. Notes: All figures are in U.S. dollars unless otherwise noted. SHACKLETON CLO 2014-V-R: Moody's Cuts $9.5MM F Notes Rating to Ca ----------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Shackleton 2014-V-R CLO, Ltd.: US$33.5M Class D Mezzanine Deferrable Floating Rate Notes Due 2031, Upgraded to A1 (sf); previously on Nov 7, 2025 Upgraded to A3 (sf) US$31.25M Class E Junior Deferrable Floating Rate Notes Due 2031, Downgraded to B3 (sf); previously on Nov 7, 2025 Affirmed B1 (sf) US$9.5M (Current outstanding amount US$10,444,990) Class F Junior Deferrable Floating Rate Notes Due 2031, Downgraded to Ca (sf); previously on Nov 7, 2025 Affirmed Caa3 (sf) Moody's have also affirmed the ratings on the following notes: US$65.5M (Current outstanding amount US$59,146,044) Class B Senior Floating Rate Notes Due 2031, Affirmed Aaa (sf); previously on Nov 7, 2025 Affirmed Aaa (sf) US$29.75M Class C Mezzanine Deferrable Floating Rate Notes Due 2031, Affirmed Aaa (sf); previously on Nov 7, 2025 Upgraded to Aaa (sf) Shackleton 2014-V-R CLO, Ltd., issued in May 2018 is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Alcentra NY, LLC. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The upgrade to the rating of the Class D notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in November 2025; the downgrades to the ratings of the Class E and F notes are a result of the deterioration of the key credit metrics of the underlying pool since the last rating action in November 2025. The affirmations on the ratings of the Class B and C notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have now been fully redeemed, receiving approximately USD49.2 million (12.8%) since the last rating action in November 2025 and the Class B notes have also started to amortise, receiving USD6.4 million (9.7%) on the February 2026 payment date. As a result of the deleveraging, over-collateralisation (OC) has increased for the more senior notes. However, par losses have had a negative impact on OC for the more junior notes. 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 225.91%, 162.03%, 122.89% and 100.30% compared to September 2025[2] levels of 185.80%, 147.53%, 119.76% and 101.87%, respectively. Moody's notes that the February 2026 principal payments are not reflected in the reported OC ratios. The credit quality has deteriorated as reflected in an increase in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated January 2026[1], Securities with ratings of Caa1 or lower currently make up approximately 25.32% of the underlying portfolio, versus 21.65% in September 2025[2]. Key model inputs: 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: USD162.01 million Defaulted Securities: USD7.43 million Diversity Score: 42 Weighted Average Rating Factor (WARF): 3765 Weighted Average Life (WAL): 2.7 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.10% Weighted Average Recovery Rate (WARR): 46.44% Par haircut in OC tests and interest diversion test: 6.17% 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 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. -- 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. SOUND POINT XXI: Moody's Cuts Rating on $22.5MM Cl. D Notes to B2 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Sound Point CLO XXI, Ltd.: US$22.5M Class D Junior Secured Deferrable Floating Rate Notes, Downgraded to B2 (sf); previously on Nov 14, 2025 Affirmed B1 (sf) Moody's have also affirmed the ratings on the following notes: US$315M (Current outstanding amount US$93,460,848) Class A-1A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 14, 2025 Affirmed Aaa (sf) US$55M Class A-2 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Nov 14, 2025 Affirmed Aaa (sf) US$30M Class B Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Aa3 (sf); previously on Nov 14, 2025 Upgraded to Aa3 (sf) US$27.5M Class C Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Nov 14, 2025 Affirmed Baa3 (sf) Sound Point CLO XXI, Ltd., issued in October 2018 and refinanced in May 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in October 2023. RATINGS RATIONALE The rating downgrade on the Class D notes is primarily a result of the deterioration in the credit quality of the underlying collateral pool and the deterioration in over-collateralisation ratios since the last rating action in November 2025. The affirmations on the ratings on the Class A-1A-R, Class A-2, Class B and Class C notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The credit quality has deteriorated as reflected in the deterioration in the average credit rating of the portfolio (measured by the weighted average rating factor, or WARF) and a decrease in the proportion of securities from issuers with ratings of Caa1 or lower. According to the trustee report dated January 2026[1], the WARF was 3802, compared with 3680 the October 2025[2] report as of the last rating action. Securities with ratings of Caa1 or lower currently [1] make up approximately 26.56% of the underlying portfolio, versus 20.48% in October 2025[2]. The over-collateralisation ratios of the rated notes have deteriorated since the rating action in November 2025. According to the trustee report dated January 2026[1], the Class D OC ratios are reported at 98.43%, compared to October 2025[2] levels of 99.57% 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: USD251m Defaulted Securities: USD2.1m Diversity Score: 58 Weighted Average Rating Factor (WARF): 3606 Weighted Average Life (WAL): 2.88 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.54% Weighted Average Recovery Rate (WARR): 45.98% Par haircut in OC tests and interest diversion test: 6.31% 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. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. 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. SPGN TRUST 2026-TFLM: Fitch Assigns 'BB-sf' Rating on Cl. HRR Certs ------------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to SPGN Trust 2026-TFLM commercial mortgage pass-through certificates, series 2026-TFLM: - $335,600,000a class A 'AAAsf'/Outlook Stable; - $65,300,000a class B 'AA-sf'/Outlook Stable; - $51,300,000a class C 'A-sf'/Outlook Stable; - $72,200,000a class D 'BBB-sf'/Outlook Stable; - $59,850,000a class E 'BBsf'/Outlook Stable; - $30,750,000ab class HRR 'BB-sf'/Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest. Transaction Summary The certificates represent the beneficial interest in a trust that holds a $615.0 million two-year, floating rate, interest only mortgage loan with three, one-year extension options. The loan is secured by a first-lien deed of trust on the borrower's fee simple interest in The Florida Mall, a super-regional mall located in Orlando, FL. The mall is owned by a special purpose entity comprising a joint venture between affiliates of Simon Property Group, L.P., and TIAA Florida Mall, LLC, a wholly owned subsidiary of Teachers Insurance and Annuity Association of America, for the benefit of TIAA REA. The Florida Mall is a trophy super-regional mall located in the Central Park submarket of Orlando. The mall has over 1.7 million square feet of space, of which 1.1 million square feet of space is part of the collateral. The property is the largest shopping center in Central Florida and is among the nation's largest and most productive retail centers. Mortgage loan proceeds are being used to refinance approximately $603.0 million in existing CMBS debt securitized in SPGN 2022-TFLM, fund outstanding landlord obligations in the amount of approximately $2.2 million, return equity to the sponsor and pay closing-related costs. The mortgage loan is co-originated by Bank of America, N.A, German American Capital Corporation, Societe Generale Financial Corporation, BNP Paribas US Wholesale Holdings, Corp., and PNC Bank, National Association who will act as mortgage loan sellers. Midland Loan Services, a Division of PNC Bank, National Association will act as servicer. Torchlight Loan Services, LLC will act as special servicer. Computershare Trust Company, National Association will act as both the trustee and certificate administrator. Park Bridge Lender Services LLC will act as operating advisor. The certificates will follow a sequential-pay structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) is estimated at $59.4 million. This is 16.8% lower than the issuer's NCF of $71.5 million and 13.4% lower than the TTM ended October 2025 NCF. Fitch applied an 8.5% cap rate to derive a Fitch value of $699.2 million. High Fitch Total Leverage: The $615 million whole loan ($555 psf) has a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 1.02x, 88.0% and 9.7%, respectively. The loan represents approximately 58.7% of the appraised value of approximately $1.05 billion. Fitch reduced its LTV hurdles by 2.5% to account for the higher total leverage. Collateral Quality: The Florida Mall has benefited from sponsor reinvestment over the past decade, including the redevelopment of three former anchor spaces into updated retail wings and new entertainment uses. Additions include an outdoor lifestyle area, Crayola Experience, Dick's Clothing & Sporting Goods, and a 16-unit Food Pavilion with a mix of national and local tenants. The outdoor lifestyle area includes American Girl, H&M, Zara, and Primark, which opened a nearly 50,000-sf space in 2024 and is leased through August 2034. Fitch toured the property and assigned a property quality grade of B+. Strong Sales Performance: Comparable TTM in-line sales as of October 2025 were reported at approximately $1,390 psf with an in-line occupancy cost of approximately 11.1%, while comparable in-line sales and occupancy costs, excluding Apple, were approximately $689 psf and 20.0%, respectively. For the year end 2024 period, the four department store anchors achieved over an estimated $88.5 million in sales, with Dillard's registering approximately $23.0 million in sales, Macy's at approximately $42.5 million, J.C. Penney at $14 million, and Sears at approximately $9 million. Institutional Sponsor and Experienced Operator: Simon Property Group, Inc. is a self-administered and self-managed real estate investment trust. Simon owns, develops and manages premier shopping, dining, entertainment and mixed-use destinations which consist primarily of malls, premium outlets, and the mills. As of Sept. 30, 2025, Simon owned or held an interest in 194 income-producing properties comprising 183 million square feet in the United States. Nuveen Real Estate is a global real estate investment manager and a wholly owned subsidiary of TIAA, a Fortune 100 financial services organization and one of the largest managers of institutional capital in the world. Founded in 1898 and headquartered in Chicago, IL, Nuveen acts as TIAA REA's asset manager with approximately $141 billion in real estate assets under management as of June 30, 2025, according to the issuer. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf;' - 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf'/'BBsf'/'B+sf'/'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf;' - 10% NCF Increase: 'AAAsf'/'AAsf'/'A+sf'/'BBBsf'/'BB+sf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. TOWD POINT 2026-CES2: DBRS Finalizes B(high) Rating on 5 Classes ---------------------------------------------------------------- DBRS, Inc. finalized the provisional credit ratings on the following Asset-Backed Securities, Series 2026-CES2 (the Notes) issued by Towd Point Mortgage Trust 2026-CES2 (TPMT 2026-CES2 or the Trust): -- $311.5 million Class A1A at AAA (sf) -- $12.5 million Class A1B at AAA (sf) -- $324.0 million Class A1 at AAA (sf) -- $16.9 million Class A2 at AA (low) (sf) -- $14.4 million Class M1 at A (low) (sf) -- $13.6 million Class M2 at BBB (low) (sf) -- $8.4 million Class B1 at BB (high) (sf) -- $6.4 million Class B2 at B (high) (sf) -- $16.9 million Class A2A at AA (low) (sf) -- $16.9 million Class A2AX at AA (low) (sf) -- $16.9 million Class A2B at AA (low) (sf) -- $16.9 million Class A2BX at AA (low) (sf) -- $16.9 million Class A2C at AA (low) (sf) -- $16.9 million Class A2CX at AA (low) (sf) -- $16.9 million Class A2D at AA (low) (sf) -- $16.9 million Class A2DX at AA (low) (sf) -- $14.4 million Class M1A at A (low) (sf) -- $14.4 million Class M1AX at A (low) (sf) -- $14.4 million Class M1B at A (low) (sf) -- $14.4 million Class M1BX at A (low) (sf) -- $14.4 million Class M1C at A (low) (sf) -- $14.4 million Class M1CX at A (low) (sf) -- $14.4 million Class M1D at A (low) (sf) -- $14.4 million Class M1DX at A (low) (sf) -- $13.6 million Class M2A at BBB (low) (sf) -- $13.6 million Class M2AX at BBB (low) (sf) -- $13.6 million Class M2B at BBB (low) (sf) -- $13.6 million Class M2BX at BBB (low) (sf) -- $13.6 million Class M2C at BBB (low) (sf) -- $13.6 million Class M2CX at BBB (low) (sf) -- $13.6 million Class M2D at BBB (low) (sf) -- $13.6 million Class M2DX at BBB (low) (sf) -- $8.4 million Class B1A at BB (high) (sf) -- $8.4 million Class B1AX at BB (high) (sf) -- $8.4 million Class B1B at BB (high) (sf) -- $8.4 million Class B1BX at BB (high) (sf) -- $6.4 million Class B2A at B (high) (sf) -- $6.4 million Class B2AX at B (high) (sf) -- $6.4 million Class B2B at B (high) (sf) -- $6.4 million Class B2BX at B (high) (sf) The AAA (sf) credit rating on the Notes reflects 16.80% of credit enhancement provided by subordinated notes. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (high) (sf), and B (high) (sf) credit ratings reflect 12.45%, 8.75%, 5.25%, 3.10%, and 1.45% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. TPMT 2026-CES2 is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Asset-Backed Securities, Series 2026-CES2 (the Notes). The Notes are backed by 3,602 mortgage loans with a total principal balance of $389,381,088 as of the Cut-Off Date. The portfolio, on average, is three months seasoned, though seasoning ranges from one to 42 months. Borrowers in the pool represent prime and near-prime credit quality with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 736 and a Morningstar DBRS-calculated original combined loan-to-value ratio (CLTV) of 74.0%, and all loans were originated with Issuer-defined full documentation. As of cut-off date all the loans are current. Approximately 99.3% of the mortgage pool has been clean for the last 24 months or since origination, after accounting for temporary delinquency related to servicing transfer or borrower confusion. Additionally, one loan (0.1% of the pool balance) in the pool is in bankruptcy. TPMT 2026-CES2 represents the 14th CES securitization by FirstKey Mortgage, LLC (FirstKey) and first by CRM 3 Sponsor, LLC (CRM). Spring EQ, LLC (Spring EQ; 58.8%) and Newrez, LLC (Newrez; 21.1%) are the originators for the mortgage pool. Approximately 41.2% of the mortgage loans (loans other than Spring EQ) are acquired by Redwood (Redwood Residential Acquisition Corporation (RRAC) and RRAC-NY Holdings, Inc.). Redwood will provide R&W for these loans. Newrez, LLC dba Shellpoint Mortgage Servicing (Shellpoint; 73.2%) and Select Portfolio Servicing, Inc. (SPS; 26.8%) are the Servicers of the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee and Administrator. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Custodian. CRM will acquire the loans from various transferring trusts on the Closing Date. The transferring trusts acquired the mortgage loans from the Originators. CRM and the transferring trusts are beneficially owned by funds and accounts managed by affiliates of Cerberus Capital Management, L.P. (CCM). Upon acquiring the loans from the transferring trusts, CRM will transfer the loans to CRM 3 Depositor, LLC (the Depositor). The Depositor in turn will transfer the loans to the Issuer. As a Co-Sponsor, CRM, through one or more majority-owned affiliates, will acquire and retain a 5% eligible vertical interest in each class of securities (excluding the Class R Certificates) to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label non-agency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 9.5% of the loans are designated as non-QM, 8.3% are designated as QM Rebuttable Presumption, and 80.9% are designated as QM Safe Harbor. Approximately 1.3% of the mortgages are loans made to investors for business purposes and were not subject to the QM/ATR rules. The Servicer will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 60 days delinquent under the Office of Thrift Supervision (OTS) delinquency method (equivalent to 90 days delinquent under the Mortgage Bankers Association (MBA) delinquency method), contingent upon recoverability determination. However, the applicable Servicer will stop advancing delinquent P&I if the aggregate amount of unreimbursed P&I advances owed to a Servicer exceeds 90.0% of the amounts on deposit in the custodial account maintained by such Servicer. In addition, the applicable Servicer is obligated to make advances in respect of homeowner's association fees, taxes, and insurance, installment payments on energy improvement liens, and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will not be material recoveries. For this transaction, any loan that is 150 days delinquent under the OTS delinquency method (equivalent to 180 days delinquent under the MBA delinquency method), upon review by each related Servicer, may be considered a Charged Off Loan. With respect to a Charged Off Loan, the total unpaid principal balance (UPB) will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure with a pro rata principal distribution among the Class A1A and A1B Notes. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class A2 and subordinate bonds will not be paid from principal proceeds until the Class A1A and A1B Notes are retired. The FKM Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 30 or more days delinquent within 90 days of the Closing Date at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. On or after (1) the payment date in February 2029 or (2) the first payment date when the aggregate pool balance of the mortgage loans (other than the Charged Off Loans and the real estate owned (REO) properties) is reduced to less than 30.0% of the Cut-Off Date balance, the call option holder may, at its option, cause the Issuer to redeem the Notes and Certificates by selling all of the loans so long as the aggregate proceeds from such purchase exceeds the minimum price (Optional Redemption). Minimum price will at least equal sum of (1) class balances of the Notes plus the accrued interest and unpaid interest, (2) any fees, expenses and indemnification amounts, and (3) accrued and unpaid amounts owed to the Class X, Class XS1, and Class XS2 Certificates. On or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the call option holder will have the option to redeem all the Notes and Certificates at the minimum price (Optional Clean-Up Call). Notes: All figures are in U.S. dollars unless otherwise noted. TPR FUNDING 2022-1: DBRS Confirms B(low) Rating on E Advances ------------------------------------------------------------- DBRS, Inc. confirmed the following credit ratings on the Class A-1 Advances, the Class A-2 Advances, the Class B Advances, the Class C Advances, the Class D Advances, and the Class E Advances (together, the Advances) issued by TPR Funding 2022-1, LLC pursuant to the Loan, Security and Servicing Agreement, dated December 15, 2022 (the Loan Agreement), as Amended by the First Amendment to Loan, Security, and Servicing Agreement, dated as of March 21, 2025 (the Amendment), entered into by and among TPR Funding 2022-1, LLC as the Borrower; Delaware Life Insurance Company as the Servicer; Capital One, National Association (rated A with a Stable trend by Morningstar DBRS) as the Administrative Agent, Hedge Counterparty and Arranger; Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) as Collateral Custodian and Document Custodian; Virtus Group, LP as Collateral Administrator; and each of the Lenders and Subordinated Lenders from time to time party thereto: -- Class A-1 Advances at AA (sf) -- Class A-2 Advances at AA (low) (sf) -- Class B Advances at A (low) (sf) -- Class C Advances at BBB (low) (sf) -- Class D Advances at BB (low) (sf) -- Class E Advances at B (low) (sf) The credit rating on the Class A-1 Advances addresses the timely payment of interest (other than Interest attributable to Excess Interest Amounts, as defined in the Loan Agreement) and the ultimate payment of principal on or before the Facility Maturity Date (as defined in the Loan Agreement). The credit ratings on the Class A-2 Advances, the Class B Advances, the Class C Advances, the Class D Advances, and the Class E Advances address the ultimate payment of interest (other than Interest attributable to Excess Interest Amounts, as defined in the Loan Agreement) and the ultimate payment of principal on or before the Facility Maturity Date (as defined in the Loan Agreement). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; November 10, 2025 https://dbrs.morningstar.com/research/466921). The Scheduled Revolving Period End Date is March 21, 2028. The Facility Maturity Date is March 21, 2035. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of December 15, 2025, the transaction is in compliance with all performance metrics. In its surveillance review, Morningstar DBRS applied the Level I approach, as described in the Global Methodology for Rating CLOs and Corporate CDOs. No model was applied in this review. In its analysis, Morningstar DBRS also considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Advances to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of Delaware Life Insurance Company. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology. The coverage and collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows: Collateral Quality Tests Minimum Weighted Average Spread Test: Subject to Collateral Quality Matrix (CQM); threshold 4.75%; current 5.06% Minimum Weighted Average Fixed Coupon Test: threshold 6.00%; current 11.00% Minimum Weighted Average Recovery Rate Test: threshold 51.90%; current 53.41% Coverage Tests Total Interest Coverage Ratio Test: threshold 150.00%; current 225.95% Class A-1 Overcollateralization Ratio Test: threshold 142.86%; current 148.72% Class A-2 Overcollateralization Ratio Test: threshold 138.15%; current 148.82% Class B Overcollateralization Ratio Test: threshold 118.21%; current 128.78% Class C Overcollateralization Ratio Test: threshold 113.21%; current 121.76% Class D Overcollateralization Ratio Test: threshold 106.68%; current 113.18% Class E Overcollateralization Ratio Test: threshold 103.70%; current 109.18% Some particular strengths of the transaction are (1) the collateral quality, which consists of mostly senior-secured middle-market loans (minimum 95%; currently 100%), and (2) the adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven, currently 23.87; threshold of 23). Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Advances in an Event of Default. As of the most recent trustee report on December 15, 2025, the transaction is performing according to the contractual requirements of the Loan Agreement, and there were no defaults registered in the underlying portfolio. The current transaction performance is within Morningstar DBRS's expectations, which supports the credit rating confirmations on the Advances. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Advances. Notes: All figures are in U.S. dollars unless otherwise noted. TRINITAS CLO XXXV: Moody's Assigns (P)B3 Rating to $312,500 F Notes ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of notes to be issued by Trinitas CLO XXXV, Ltd. (the Issuer or Trinitas CLO XXXV): US$310,000,000 Class A-1 Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$312,500 Class F Deferrable Floating Rate Notes due 2039, Assigned (P)B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Trinitas CLO XXXV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. Moody's expects the portfolio to be approximately 90% ramped as of the closing date. Trinitas Capital Management, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3050 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 46.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in 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. TRUPS FINANCIALS 2026-1: Moody's Assigns Ba2 Rating to Cl. D Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to eight classes of notes issued by TruPS Financials Note Securitization 2026-1 (the Issuer or TFNS 2026-1): US$174,000,000 Class A-1 Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$34,000,000 Class A-2a Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aa2 (sf) US$18,000,000 Class A-2b Senior Secured Fixed Rate Notes due 2038, Definitive Rating Assigned Aa2 (sf) US$5,000,000 Class B-1 Mezzanine Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned A2 (sf) US$13,250,000 Class B-2 Mezzanine Deferrable Fixed/Floating Rate Notes due 2038, Definitive Rating Assigned A2 (sf) US$8,500,000 Class C-1 Mezzanine Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned Baa3 (sf) US$9,750,000 Class C-2 Mezzanine Deferrable Fixed/Floating Rate Notes due 2038, Definitive Rating Assigned Baa3 (sf) US$15,250,000 Class D Mezzanine Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned Ba2 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CDO's portfolio and structure. TFNS 2026-1 is a static cash flow CDO. The issued notes will be collateralized primarily by trust preferred securities ("TruPS"), subordinated notes, surplus notes and senior unsecured notes issued by US community banks and their holding companies and insurance companies. The portfolio is expected to be 100% ramped as of the closing date. EJF CDO Manager LLC (the Manager), an affiliate of EJF Capital LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, credit risk securities, certain securities whose issuer has been acquired, or merged with another institution ("APAI securities"). Subject to certain reinvestment criteria, the Manager may reinvest proceeds from sales of APAI securities or from the repayments of substitutable securities. Substitutable security is any bank subordinated note issued after January 01, 2012 that either (a) has a stated maturity that is prior to the second anniversary of the closing date of the transaction or (b) initially bears interest at a floating rate and is scheduled to convert to a floating rate instrument prior to the second anniversary of the closing date of the transaction. In addition to the Rated Notes, the Issuer issued one class of preferred shares. The portfolio of this CDO consists of TruPS, subordinated debt, surplus notes and senior unsecured notes issued by 58 US community banks and 9 insurance companies, the majority of which Moody's do not rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM), an econometric model developed by Moody's Analytics. Moody's evaluations of the credit risk of the bank obligors in the pool relies on FDIC Q3-2025 financial data. Moody's assesses the default probability of insurance company obligors that do not have public ratings through credit assessments provided by Moody's insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Par amount and principal proceeds balance: $305,442,000 Weighted Average Rating Factor (WARF): 720 Weighted Average Spread (WAS) Float only: 3.32% Weighted Average Coupon (WAC) Fixed only: 7.52% Weighted Average Coupon (WAC) Fixed to float: 6.98% Weighted Average Spread (WAS) Fixed to float: 4.14% Weighted Average Life (WAL): 7.4 years In addition to the quantitative factors that Moody's explicitly model, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. TSTAT 2022-1: Fitch Assigns 'BB+sf' Rating on Class E-R-3 Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to TSTAT 2022-1, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- TSTAT 2022-1, Ltd. A-2-RR 872899BA6 LT PIFsf Paid In Full AAAsf A-R-3 LT AAAsf New Rating B-R-3 LT AAsf New Rating B-RR 872899BC2 LT PIFsf Paid In Full AAAsf C-R-3 LT Asf New Rating C-RR 872899BE8 LT PIFsf Paid In Full AA+sf D-1-RR 872899BG3 LT PIFsf Paid In Full Asf D-2-R 872899BJ7 LT PIFsf Paid In Full A-sf D-R-3 LT BBB+sf New Rating E-R 87289RAG4 LT PIFsf Paid In Full BB+sf E-R-3 LT BB+sf New Rating F-R 87289RAJ8 LT PIFsf Paid In Full BB-sf Transaction Summary TSTAT 2022-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Trinitas Capital Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $112 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 98.71% first-lien senior secured loans and has a weighted average recovery assumption of 74.6%. Portfolio Composition: The largest three industries comprise 43.3% of the portfolio balance in aggregate while the top five obligors represent 13.54% 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 does not have a reinvestment period; however, the issuer has the ability to extend the weighted average life of the portfolio as a result of maturity amendments. Fitch's analysis was based on a stressed portfolio incorporating potential maturity amendments on the underlying loans as well as a one-notch downgrade on the Fitch Issuer Default Rating (IDR) Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. The shorter risk horizon means the transaction is less vulnerable to underlying price movements, economic conditions and asset performance. 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 ratings for class B-R-3 and C-R-3 notes are one notch below their respective model-implied ratings (MIRs), due to an insufficient break-even default rate cushion of such class of notes in the Fitch-stressed portfolio at the MIR, which can be eroded with near-term performance volatility. KEY PROVISIONAL CHANGES This refinancing is being implemented via the third supplemental indenture, which amended certain provisions of the transaction. These changes include but are not limited to: - Class A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, D-2R, E-R and F-R notes are being refinanced to new class A-R-3, B-R-3, C-R-3, D-R-3, E-R-3 notes; - The spreads for classes A-1-RR, A-2-RR, B-RR, C-RR, D-1-RR, D-2R, E-R and F-R notes are 1.15%, 1.40%, 1.55%, 1.85%, 2.75%, 3.75%, 5.95%, and 8.69% respectively, compared to the spreads of 0.94%,1.35%, 1.55%, 2.25% and 6.75% for classes A-R-3, B-R-3, C-R-3, D-R-3, E-R-3 notes, respectively; - Non-call period of four months for the refinanced notes; - Stated maturity extended from July of 2031 to January of 2032. FITCH ANALYSIS The portfolio includes 84 assets from 77 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $112 million. The weighted average rating of the current portfolio is 'B/B-'. Fitch has an explicit rating, credit opinion or private rating for 39.6% of the current portfolio par balance; ratings for 59.6% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.8% 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: - One-notch downgrade on the Fitch IDR Equivalency Rating for assets with a Negative Outlook represented 15.9%; - Largest five obligors comprise an aggregate of 13.5%; - Largest three industries: 24.0%, 11.4%, and 7.9%, respectively; - Assumed risk horizon: 4 years; - Minimum weighted average spread of 3.14%; - 'CCC' obligors as defined by Fitch's ratings: 19.2%; - Minimum weighted average coupon of 4.25%. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-R-3: 'AAAsf' / Default 46.90% / Recovery 38.38% / Cushion 4.00% - Class B-R-3: 'AAsf' / Default 44.10% / Recovery 47.17% / Cushion 5.00% - Class C-R-3: 'Asf' / Default 39.00% / Recovery 56.92% / Cushion 5.50% - Class D-R-3: 'BBB+sf' / Default 33.40% / Recovery 66.17% / Cushion 7.50% - Class E-R-3: 'BB+sf' / Default 27.20% / Recovery 71.32% / Cushion 6.00% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-R-3: 'AAAsf' / Default 51.80% / Recovery 38.61% / Cushion 1.40% - Class B-R-3: 'AAsf' / Default 48.60% / Recovery 47.74% / Cushion 3.00% - Class C-R-3: 'Asf' / Default 43.40% / Recovery 57.14% / Cushion 3.40% - Class D-R-3: 'BBB+sf' / Default 37.90% / Recovery 66.75% / Cushion 5.40% - Class E-R-3: 'BB+sf' / Default 31.40% / Recovery 71.66% / Cushion 4.40% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-R-3, between 'BBB-sf' and 'AA-sf' for class B-R-3, between 'BB-sf' and 'A-sf' for class C-R-3, and between less than 'B-sf' and 'BBB+sf' for class D-R-3 and between less than 'B-sf' and 'BB+sf' for class E-R-3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R-3 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-3, 'AA+sf' for class C-R-3, and 'A+sf' for class D-R-3 and 'BBB+sf' for class E-R-3. 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 TSTAT 2022-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. VISTA POINT 2026-CES1: DBRS Gives Prov. B Rating on B-2 Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional credit ratings to the following Asset-Backed Securities, Series 2026-CES1 (the Notes) to be issued by Vista Point Securitization Trust 2026-CES1 (VSTA 2026-CES1 or the Trust): -- $244.4 million Class A-1 at (P) AAA (sf) -- $16.6 million Class A-2 at (P) AA (sf) -- $17.3 million Class A-3 at (P) A (sf) -- $17.8 million Class M-1 at (P) BBB (sf) -- $17.3 million Class B-1 at (P) BB (sf) -- $11.7 million Class B-2 at (P) B (sf) Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The (P) AAA (sf) credit rating on the Notes reflects 27.90% of credit enhancement provided by subordinate Notes. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 23.00%, 17.90%, 12.65%, 7.55%, and 4.10% of credit enhancement, respectively. VSTA 2026-CES1 is a securitization of a portfolio of fixed, prime, expanded-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,398 mortgage loans with a total principal balance of $338,908,330 as of the Cut-Off Date (January 31, 2026). As of the cut-off date, all but 13 loans (1.1% of the pool), were current. Since then, four loans (0.4%) that were 30 days delinquent have self-cured, leaving 0.7% of the pool 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. None of the borrowers are in active bankruptcy. VSTA 2026-CES1 represents the seventh CES securitization by Vista Point Mortgage, LLC (Vista Point). Vista Point with approximately 17.2% is the top originator for the mortgage pool. The remaining originators each comprise less than 10.0% of the mortgage loans. Carrington Mortgage Services, LLC (Carrington; 100.0%) is the Servicer of all the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee, Paying Agent, Note Registrar, and Certificate Registrar. U.S. Bank National Association will act as the Custodian. U.S. Bank Trust National Association will act as the Delaware Trustee. On or after the earlier of (1) the payment date occurring in February 2029 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the cut-off date balance, the Controlling Holder (majority holder of the Class XS Notes; initially expected to be affiliate of the Sponsor), may terminate the Issuer at a price equal to the greater of (1) the class balances of the related Notes plus accrued and unpaid interest, including any cap carryover amounts and (2) the principal balances of the mortgage loans plus accrued and unpaid interest, including fees, expenses, and indemnification amounts. The Controlling Holder must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Controlling Holder will have the option, but not the obligation, to repurchase any mortgage loan (other than loans under forbearance plan as of the closing date) that becomes 90 or more days delinquent at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the cut-off date. Although the majority of the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 72.1% of the loans are designated as non-QM, 8.5% are designated as QM Safe Harbor, and 0.1% are designated as QM Rebuttable Presumption. Approximately 19.2% of the mortgages are loans that are not subject to the QM/ATR rules as they are made to investors for business purposes. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction. In addition, the related servicer is not obligated to make advances in respect of homeowner association fees, taxes, and insurance; installment payments on energy improvement liens; and reasonable costs and expenses incurred in the course of servicing and disposing of properties unless a determination is made that there will be material recoveries. For this transaction, any loan that is 180 days delinquent under the MBA delinquency method, upon review by the related Servicer, may be considered a charged-off loan. With respect to a charged-off loan, the total unpaid principal balance will be considered a realized loss and will be allocated reverse sequentially to the Noteholders. If there are any subsequent recoveries for such charged-off loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Notes that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default of loans in this pool. This transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full (IPIP). Notes: All figures are in U.S. dollars unless otherwise noted. VOYA CLO 2014-1: S&P Lowers Class E-R2 Notes Rating to 'D' (sf) --------------------------------------------------------------- S&P Global Ratings lowered its ratings on four classes of notes from AMMC CLO XII Ltd., Dryden XXVI Senior Loan Fund, Tralee CLO IV Ltd., and Voya CLO 2014-1 Ltd., all U.S. broadly syndicated CLO transactions, to 'D (sf)'. The rating actions follow S&P's review of the respective transaction's redemption reports, notices of optional redemptions provided, and/or note valuation reports. S&P said, "Noteholders' voluntary agreement to receive less than the outstanding amount due on their issuance does not affect how we apply our ratings definitions. Most CLOs provide noteholders with the ability, when voting unanimously, to accept less than the outstanding amount due to them in an optional redemption, and this may not trigger an event of default as defined in the transaction's indenture. However, exercising this option would generally constitute a default under our ratings definitions." Though the class noteholders agreed to receive a lower amount from AMMC CLO XII Ltd., Dryden XXVI Senior Loan Fund, Tralee CLO IV Ltd., and Voya CLO 2014-1 Ltd., our ratings address the likelihood that securities receive their timely interest and full principal by their legal final maturity date. S&P lowered the rating on the respective junior-most notes to 'D (sf)' as a reflection of these rated balances not being fully repaid. In all four of these cases, the respective portfolios have been liquidated, and no collateral remains to generate proceeds to pay interest and/or principal on these notes. In S&P's view, these redemption dates became the new legal final maturity of the debt and they each have remaining unpaid amounts. Ratings List Rating Issuer Class CUSIP To From AMMC CLO XII Ltd. F-R 00176EAJ6 D (sf) CCC+ (sf) Dryden XXVI Senior Loan Fund F-R 26250UBA2 D (sf) CCC (sf) Tralee CLO IV Ltd. F 89300FAL0 D (sf) CCC- (sf) Voya CLO 2014-1 Ltd. E-R2 92917EAC2 D (sf) CCC+ (sf) WELLS FARGO 2025-VTT: DBRS Confirms B Rating on Class HRR Certs --------------------------------------------------------------- DBRS, Inc. confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates issued by Wells Fargo Commercial Mortgage Trust 2025-VTT as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (high) (sf) -- Class HRR at B (sf) All trends are Stable. The credit rating confirmations and Stable trends reflect the overall stable performance and limited seasoning of the transaction as it is early in its early life cycle, having closed in March 2025. The transaction is secured by the borrower's fee-simple interest in a portfolio of six Class A market-rate rental apartment buildings, totaling 1,642 units across the Charleston, South Carolina, metropolitan area. The loan is sponsored by VTT Management, a local multifamily investment firm with more than 60 properties nationwide. Since acquiring the portfolio, the borrower has invested more than $11.7 million, $7,135 per unit, in capital improvements, including unit upgrades, common area renovations, and enhancements to amenities such as the clubhouse and fitness center. The $351.5 million, interest-only (IO), fixed-rate loan has a three-year term with a maturity date of March 2028 and offers no extension options. Loan proceeds were used to refinance the existing debt of $346.0 million, cover financing costs, and fund reserves totaling $1.5 million. The transaction is structured with a prepayment premium (release price) of 115% of the allocated loan amount (ALA) for the first 30% of the loan amount, should the borrower release the individual properties, and 120% of the ALA thereafter. According to the September 2025 rent roll, the portfolio reported an occupancy rate of 93.9%, which remains in line with the issuance figure of 93.6%. The properties also saw a substantial increase in rental rates, with an average rise of 15.3% since December 2022. The improvement is primarily attributed to the new ownership, which began increasing rents across the portfolio to market levels shortly after acquiring the portfolio in 2022. For the trailing nine-month period ended September 30, 2025, the property generated an annualized net cash flow (NCF) of $26.2 million compared with the Morningstar DBRS NCF of $24.5 million and the Issuer's NCF of $26.4 million. As the loan continues to season, Morningstar DBRS expects reported NCF figures to stabilize. In the analysis for this review, Morningstar DBRS maintained the value derived at issuance, based on a 6.7% capitalization rate and the Morningstar DBRS NCF, as noted above. The Morningstar DBRS Value of $366.3 million yielded a loan-to-value ratio (LTV) of 67.4%, resulting in a variance of -29.7% relative to the issuance appraised value of $521.4 million. Morningstar DBRS also maintained a total positive qualitative adjustment of 6.0% to the LTV Sizing Benchmark to reflect collateral's premium quality, low cash flow volatility, and healthy market fundamentals. Notes: All figures are in U.S. dollars unless otherwise noted. WISE CLO 2023-2: Moody's Assigns Ba1 Rating to $250,000 D-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to two classes of refinancing notes issued by Wise CLO 2023-2 Ltd. (the Issuer): US$240,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$250,000 Class D-R Junior Secured Deferrable Floating Rate Notes due 2039, Assigned Ba1 (sf) The notes listed are referred to herein, collectively, as the Refinancing Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, permitted non-loan assets, senior unsecured loans, and first-lien last out loans. OCIC SLF LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes and the other classes of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par (including any principal proceeds): $400,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3177 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. [] Fitch Takes Actions on 11 Pre-2009 SLM & 2 Navient Trusts ------------------------------------------------------------ Fitch Ratings has affirmed 21 tranches and downgraded 10 tranches across two Navient Private Education Loan Trusts (Navient Trusts) sponsored by Navient Corp. (Navient) and 11 SLM Private Credit Student Loan Trusts (SLM-Navient Trusts) issued pre-2008 and subsequently managed by Navient Corp. (Navient) after the split of SLM Corporation (SLM) into two separate entities in 2014. The class A notes of the SLM-Navient 2003 transactions have been assigned Negative Rating Outlooks following their downgrades. The Outlook for the 2006-C class B notes has been revised to Positive from Stable. The Outlooks for all other classes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- SLM Private Credit Student Loan Trust 2004-A A-3 78443CBH6 LT AAAsf Affirmed AAAsf SLM Private Credit Student Loan Trust 2003-B A-3 78443CAN4 LT B-sf Downgrade B+sf A-4 78443CAP9 LT B-sf Downgrade B+sf B 78443CAQ7 LT CCCsf Downgrade Bsf C 78443CAR5 LT CCsf Affirmed CCsf SLM Private Credit Student Loan Trust 2003-A A-3 78443CAJ3 LT B-sf Downgrade B+sf A-4 78443CAK0 LT B-sf Downgrade B+sf B 78443CAG9 LT CCCsf Downgrade Bsf C 78443CAH7 LT CCsf Affirmed CCsf SLM Private Credit Student Loan Trust 2003-C A-3 78443CBA1 LT B-sf Downgrade B+sf A-4 78443CBB9 LT B-sf Downgrade B+sf A-5 78443CBC7 LT B-sf Downgrade B+sf B 78443CBD5 LT CCCsf Downgrade Bsf C 78443CBE3 LT CCsf Affirmed CCsf SLM Private Credit Student Loan Trust 2006-B A-5 78443CCU6 LT Asf Affirmed Asf A-5W 78443CCY8 LT Asf Affirmed Asf Navient Private Education Loan Trust 2015-A B 63939EAE3 LT AAsf Affirmed AAsf Navient Private Education Loan Trust 2016-A A-2A 63939NAB9 LT AAAsf Affirmed AAAsf A-2B 63939NAC7 LT AAAsf Affirmed AAAsf B 63939NAD5 LT AAsf Affirmed AAsf SLM Private Credit Student Loan Trust 2004-B A-4 78443CBP8 LT AAsf Affirmed AAsf SLM Private Credit Student Loan Trust 2007-A A-4 78443DAD4 LT AAsf Affirmed AAsf B 78443DAF9 LT Asf Affirmed Asf C-1 78443DAH5 LT BB+sf Affirmed BB+sf C-2 78443DAJ1 LT BB+sf Affirmed BB+sf SLM Private Credit Student Loan Trust 2006-C A-5 78443JAE9 LT AA-sf Affirmed AA-sf B 78443JAF6 LT Asf Affirmed Asf C 78443JAG4 LT BBBsf Affirmed BBBsf SLM Private Credit Student Loan Trust 2005-A A-4 78443CBV5 LT A+sf Affirmed A+sf SLM Private Credit Student Loan Trust 2006-A A-5 78443CCL6 LT A+sf Affirmed A+sf SLM Private Credit Student Loan Trust 2005-B A-4 78443CCB8 LT A+sf Affirmed A+sf Transaction Summary The affirmations reflect Fitch's assessment of the available credit enhancement (CE) appropriate for each note's rating level, while considering both heightened credit and maturity risk. CE has been increasing for all notes except the subordinate notes of the SLM-Navient 2003 transactions; however, asset performance for all transactions has been deteriorating with increasing defaults and delinquencies. The downgrades to the SLM-Navient 2003 transactions mainly reflect increasing maturity risk and a continued decrease in parity for the trusts. The legal final maturity dates of all outstanding classes are in either 2032 or 2033, and none pass the maturity scenario for Fitch's PSLCFM model, which effectively lengthens the repayment period of the student loans by assuming no voluntary prepayments. As of November 2025, total parity for all SLM-Navient trusts has been decreasing: 2003-A, 2003-B, and 2003-C total parity was 74.7%, 65.8%, and 60.1%, respectively, down from 75.4%, 70.4%, and 66.6%, respectively, one year prior. KEY RATING DRIVERS Collateral Performance: All SLM-Navient Trusts are collateralized by private student loans that were originally originated by SLM before the split of SLM into two separate entities in 2014. All the loans in the Navient Trusts were originated by Navient Corp. (BB-/Stable). Loans in the SLM-Navient trusts were originated under the Signature Education Loan Program, LAWLOANS program, MBA Loans program, and MEDLOANS program. The SLM-Navient 2007-A and Navient trusts also included loans originated under the Direct to Consumer and Private Credit Consolidation programs. The Navient Trusts also comprise Navient's Smart Option program, launched in 2009. For transactions modeled for this surveillance review, Fitch's remaining cumulative default assumptions (as a percentage of the outstanding non-defaulted pool balance as of the most recent reporting date) are as follows: - SLM-Navient 2003-A: 15.15%; - SLM-Navient 2003-B: 16.45%; - SLM-Navient 2003-C: 11.30%; - SLM-Navient 2004-A: 11.30%; - SLM-Navient 2004-B: 12.08%; - SLM-Navient 2005-A: 14.83%; - SLM-Navient 2005-B: 14.58%; - SLM-Navient 2006-A: 15.42%; - SLM-Navient 2006-B: 16.50%; - SLM-Navient 2006-C: 17.04%; - SLM-Navient 2007-A: 17.27%; - Navient 2015-A: 19.31%; - Navient 2016-A: 18.31%. The recovery assumption is 18.0% of defaulted amounts for all transactions, based on observed recovery data in the transactions and unchanged from previous reviews. Fitch has increased the CDR assumption for all SLM-Navient transactions to 3.50% based on heighted defaults and delinquencies over the past year. The three-month CDR for SLM-Navient transactions ranged from 2.47% and 3.25% in 2024 and from 3.15% to 4.49% in 2025. Fitch recommends maintaining the CDR assumption for Navient 2015-A and Navient 2016-A at 3.50% due to continued elevated defaults over the past year. For SLM-Navient 2003-A, SLM-Navient 2003-B, SLM-Navient 2003-C, SLM-Navient 2004-A, SLM-Navient 2005-A, and SLM-Navient 2005-B, Fitch applied a 'Low' default stress multiple in the multiple range from Fitch's "U.S. Private Student Loan ABS Rating Criteria," resulting in a 3.5x multiple at 'AAAsf'. Rating stress multiples at other rating levels are in line with 'Low' multiples for the relevant rating level in accordance with Fitch's "U.S. Private Student Loan ABS Rating Criteria." For SLM-Navient 2006-A, SLM-Navient 2006-B, SLM-Navient 2006-C, 2007-A, Navient 2015-A, and Navient 2016-A Fitch applied a 'Median-Low' default stress multiple of 3.75x multiple at 'AAAsf'. The assumed multiples are unchanged from the previous surveillance review. Rating stress multiples at other rating levels are in line with 'Median-Low' multiples for the relevant rating level in accordance with Fitch's "U.S. Private Student Loan ABS Rating Criteria." Payment Structure: For all transactions, available CE is sufficient to provide loss coverage in line with the assigned rating category. CE is provided by a combination of overcollateralization (OC; the excess of the trust's asset balance over the bond balance), excess spread, and subordination of more junior notes. As reflected in the assigned ratings, the class C notes for SLM-Navient 2003-A, SLM-Navient 2003-B and SLM-Navient 2003-C are currently under-collateralized. As of November 2025, OC for SLM-Navient 2004-A was $41.62 million versus a floor of $26.86 million, SLM-Navient 2004-B was $39.45 million versus a floor of $30.30 million, SLM-Navient 2005-A was $44.42 million versus a floor of $33.18 million, SLM-Navient 2005-B was $40.49 million versus a floor of $34.20 million, SLM-Navient 2006-B was $45.78 million versus a floor of $44.99 million, and SLM-Navient 2006-C was 25.67 million versus a floor of $24.12 million. All other deals are at their OC floor level. Operational Capabilities: MOHELA is the servicer for all SLM-Navient and Navient trusts. Fitch has reviewed the servicing operations of MOHELA and considers them to be an adequate private student loan servicer for the transactions based on their historical performance servicing student loan collateral. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade SLM-Navient 2003-A Current Ratings: 'B-sf'/'CCCsf'/'CCsf'. - Increase base case defaults by 10%: Class A 'CCCsf'; - Increase base case defaults by 10%: Class B 'CCCsf'; - Increase base case defaults by 10%: Class C 'CCCsf'; - Increase base case defaults by 25%: Class A 'CCCsf'; - Increase base case defaults by 25%: Class B 'CCCsf'; - Increase base case defaults by 25%: Class C 'CCCsf'; - Increase base case defaults by 50%: Class A 'CCCsf'; - Increase base case defaults by 50%: Class B 'CCCsf'; - Increase base case defaults by 50%: Class C 'CCCsf'; - Reduce base case recoveries by 10%: Class A 'CCCsf'; - Reduce base case recoveries by 10%: Class B' CCCsf'; - Reduce base case recoveries by 10%: Class C 'CCCsf'; - Reduce base case recoveries by 20%: Class A 'CCCsf'; - Reduce base case recoveries by 20%: Class B 'CCCsf'; - Reduce base case recoveries by 20%: Class C 'CCCsf'; - Reduce base case recoveries by 30%: Class A 'CCCsf'; - Reduce base case recoveries by 30%: Class B 'CCCsf'; - Reduce base case recoveries by 30%: Class C 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class A 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class B 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class C 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class A 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class B 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class C 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 50%: Class A 'CCCsf'. - Increase base case defaults and reduce base case recoveries each by 50%: Class B 'CCCsf'. - Increase base case defaults and reduce base case recoveries each by 50%: Class C 'CCCsf'. SLM-Navient 2003-B Current Ratings: 'B-sf'/'CCCsf'/'CCsf'. - Increase base case defaults by 10%: Class A 'CCCsf'; - Increase base case defaults by 10%: Class B 'CCCsf'; - Increase base case defaults by 10%: Class C 'CCCsf'; - Increase base case defaults by 25%: Class A 'CCCsf'; - Increase base case defaults by 25%: Class B 'CCCsf'; - Increase base case defaults by 25%: Class C 'CCCsf'; - Increase base case defaults by 50%: Class A 'CCCsf'; - Increase base case defaults by 50%: Class B 'CCCsf'; - Increase base case defaults by 50%: Class C 'CCCsf'; - Reduce base case recoveries by 10%: Class A 'CCCsf'; - Reduce base case recoveries by 10%: Class B' CCCsf'; - Reduce base case recoveries by 10%: Class C 'CCCsf'; - Reduce base case recoveries by 20%: Class A 'CCCsf'; - Reduce base case recoveries by 20%: Class B 'CCCsf'; - Reduce base case recoveries by 20%: Class C 'CCCsf'; - Reduce base case recoveries by 30%: Class A 'CCCsf'; - Reduce base case recoveries by 30%: Class B 'CCCsf'; - Reduce base case recoveries by 30%: Class C 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class A 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class B 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class C 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class A 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class B 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class C 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 50%: Class A 'CCCsf'. - Increase base case defaults and reduce base case recoveries each by 50%: Class B 'CCCsf'. - Increase base case defaults and reduce base case recoveries each by 50%: Class C 'CCCsf'. SLM-Navient 2003-C Current Ratings: 'B-sf'/'CCCsf'/'CCsf'. - Increase base case defaults by 10%: Class A 'CCCsf'; - Increase base case defaults by 10%: Class B 'CCCsf'; - Increase base case defaults by 10%: Class C 'CCCsf'; - Increase base case defaults by 25%: Class A 'CCCsf'; - Increase base case defaults by 25%: Class B 'CCCsf'; - Increase base case defaults by 25%: Class C 'CCCsf'; - Increase base case defaults by 50%: Class A 'CCCsf'; - Increase base case defaults by 50%: Class B 'CCCsf'; - Increase base case defaults by 50%: Class C 'CCCsf'; - Reduce base case recoveries by 10%: Class A 'CCCsf'; - Reduce base case recoveries by 10%: Class B' CCCsf'; - Reduce base case recoveries by 10%: Class C 'CCCsf'; - Reduce base case recoveries by 20%: Class A 'CCCsf'; - Reduce base case recoveries by 20%: Class B 'CCCsf'; - Reduce base case recoveries by 20%: Class C 'CCCsf'; - Reduce base case recoveries by 30%: Class A 'CCCsf'; - Reduce base case recoveries by 30%: Class B 'CCCsf'; - Reduce base case recoveries by 30%: Class C 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class A 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class B 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class C 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class A 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class B 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class C 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 50%: Class A 'CCCsf'. - Increase base case defaults and reduce base case recoveries each by 50%: Class B 'CCCsf'. - Increase base case defaults and reduce base case recoveries each by 50%: Class C 'CCCsf'. SLM-Navient 2004-A Current Rating: 'AAAsf' - Increase base case defaults by 10%: Class A 'AAAsf'; - Increase base case defaults by 25%: Class A 'AAAsf; - Increase base case defaults by 50%: Class A 'AAAsf'; - Reduce base case recoveries by 10%: Class A 'AAAsf'; - Reduce base case recoveries by 20%: Class A 'AAAsf'; - Reduce base case recoveries by 30%: Class A 'AAAsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class A 'AAAsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class A 'AAAsf'; - Increase base case defaults and reduce base case recoveries each by 50%: Class A 'AAAsf'. Stable-to-improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels. However, improved performance on the underlying collateral would not necessarily result in positive rating action, depending on the maturity risk present in the transaction. SLM-Navient 2004-B Current Rating: 'AAsf' - Increase base case defaults by 10%: Class A 'AA+sf'; - Increase base case defaults by 25%: Class A 'AA+sf; - Increase base case defaults by 50%: Class A 'AA-sf'; - Reduce base case recoveries by 10%: Class A 'AAAsf'; - Reduce base case recoveries by 20%: Class A 'AAAsf'; - Reduce base case recoveries by 30%: Class A 'AAAsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class A 'AA+sf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class A 'AAsf'; - Increase base case defaults and reduce base case recoveries each by 50%: Class A 'A+sf'. 2005-A Current Rating: 'A+sf' - Increase base case defaults by 10%: Class A 'A+sf'; - Increase base case defaults by 25%: Class A 'Asf; - Increase base case defaults by 50%: Class A 'BBB+sf'; - Reduce base case recoveries by 10%: Class A 'AA-sf'; - Reduce base case recoveries by 20%: Class A 'A+sf'; - Reduce base case recoveries by 30%: Class A 'A+sf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class A 'A+sf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class A 'Asf'; - Increase base case defaults and reduce base case recoveries each by 50%: Class A 'BBBsf'. 2005-B Current Rating: 'A+sf' - Increase base case defaults by 10%: Class A 'BBB+sf'; - Increase base case defaults by 25%: Class A 'BBBsf; - Increase base case defaults by 50%: Class A 'BB+sf'; - Reduce base case recoveries by 10%: Class A 'A-sf'; - Reduce base case recoveries by 20%: Class A 'A-sf'; - Reduce base case recoveries by 30%: Class A 'A-sf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class A 'BBB+sf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class A 'BBBsf'; - Increase base case defaults and reduce base case recoveries each by 50%: Class A 'BBsf'. 2006-A Current Rating: 'A+sf' - Increase base case defaults by 10%: Class A 'Bsf'; - Increase base case defaults by 25%: Class A 'CCCsf; - Increase base case defaults by 50%: Class A 'CCCsf'; - Reduce base case recoveries by 10%: Class A 'CCCsf'; - Reduce base case recoveries by 20%: Class A 'B+sf'; - Reduce base case recoveries by 30%: Class A 'B+sf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class A 'B+sf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class A 'Bsf'; - Increase base case defaults and reduce base case recoveries each by 50%: Class A 'CCCsf'. 2006-B Current Rating: 'Asf' - Increase base case defaults by 10%: Class A 'BBsf'; - Increase base case defaults by 25%: Class A 'Bsf; - Increase base case defaults by 50%: Class A 'CCCsf'; - Reduce base case recoveries by 10%: Class A 'BBsf'; - Reduce base case recoveries by 20%: Class A 'BBsf'; - Reduce base case recoveries by 30%: Class A 'BBsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class A 'BB-sf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class A 'Bsf'; 2006-C Current Rating: 'AA-sf'/'Asf'/'BBBsf' - Increase base case defaults by 10%: Class A 'AA-sf'; - Increase base case defaults by 10%: Class B 'Asf'; - Increase base case defaults by 10%: Class C 'BBsf'; - Increase base case defaults by 25%: Class A 'AA-sf'; - Increase base case defaults by 25%: Class B 'Asf'; - Increase base case defaults by 25%: Class C 'B+sf'; - Increase base case defaults by 50%: Class A 'AA-sf'; - Increase base case defaults by 50%: Class B 'Asf'; - Increase base case defaults by 50%: Class C 'CCCsf'; - Reduce base case recoveries by 10%: Class A 'AA-sf'; - Reduce base case recoveries by 10%: Class B 'Asf'; - Reduce base case recoveries by 10%: Class C 'BB+sf'; - Reduce base case recoveries by 20%: Class A 'AA-sf'; - Reduce base case recoveries by 20%: Class B 'Asf'; - Reduce base case recoveries by 20%: Class C 'BB+sf'; - Reduce base case recoveries by 30%: Class A 'AA-sf'; - Reduce base case recoveries by 30%: Class B 'Asf'; - Reduce base case recoveries by 30%: Class C 'BB+sf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class A 'AA-sf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class B 'Asf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class C 'BBsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class A 'AA-sf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class B 'Asf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class C 'B+sf'; - Increase base case defaults and reduce base case recoveries each by 50%: Class A 'AA-sf'. - Increase base case defaults and reduce base case recoveries each by 50%: Class B 'Asf'. - Increase base case defaults and reduce base case recoveries each by 50%: Class C 'CCCsf'. 2007-A Current Ratings: 'AAsf'/'Asf'/'BB+sf' - Increase base case defaults by 10%: Class A 'A-sf'; - Increase base case defaults by 10%: Class B 'BBsf'; - Increase base case defaults by 10%: Class C 'CCCsf'; - Increase base case defaults by 25%: Class A 'BBB+sf'; - Increase base case defaults by 25%: Class B 'BB-sf'; - Increase base case defaults by 25%: Class C 'CCCsf'; - Increase base case defaults by 50%: Class A 'BBB-sf'; - Increase base case defaults by 50%: Class B 'B-sf'; - Increase base case defaults by 50%: Class C 'CCCsf'; - Reduce base case recoveries by 10%: Class A 'Asf'; - Reduce base case recoveries by 10%: Class B 'BB+sf'; - Reduce base case recoveries by 10%: Class C 'CCCsf'; - Reduce base case recoveries by 20%: Class A 'Asf'; - Reduce base case recoveries by 20%: Class B 'BB+sf'; - Reduce base case recoveries by 20%: Class C 'CCCsf'; - Reduce base case recoveries by 30%: Class A 'Asf'; - Reduce base case recoveries by 30%: Class B 'BB+sf'; - Reduce base case recoveries by 30%: Class C 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class A 'A-sf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class B 'BBsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class C 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class A 'BBBsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class B 'BB-sf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class C 'CCCsf'; - Increase base case defaults and reduce base case recoveries each by 50%: Class A 'BB+sf'. - Increase base case defaults and reduce base case recoveries each by 50%: Class B 'CCCsf'. - Increase base case defaults and reduce base case recoveries each by 50%: Class C 'CCCsf'. Navient 2015-A Current Rating: 'AAsf' - Increase base case defaults by 10%: Class B 'AAsf'; - Increase base case defaults by 25%: Class B 'AAsf; - Increase base case defaults by 50%: Class B 'A+sf'; - Reduce base case recoveries by 10%: Class B 'AAsf'; - Reduce base case recoveries by 20%: Class B 'AAsf'; - Reduce base case recoveries by 30%: Class B 'AAsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class B 'AAsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class B 'AAsf'; - Increase base case defaults and reduce base case recoveries each by 50%: Class B 'A+sf'. Navient 2016-A Current Rating: 'AAAsf'/'AAsf' - Increase base case defaults by 10%: Class A 'AAAsf'; - Increase base case defaults by 10%: Class B 'AAsf; - Increase base case defaults by 25%: Class A 'AAAsf'; - Increase base case defaults by 25%: Class B 'AAsf; - Increase base case defaults by 50%: Class A 'AAAsf'; - Increase base case defaults by 50%: Class B 'A+sf'; - Reduce base case recoveries by 10%: Class A 'AAAsf'; - Reduce base case recoveries by 10%: Class B 'AAsf'; - Reduce base case recoveries by 20%: Class A 'AAAsf'; - Reduce base case recoveries by 20%: Class B 'AAsf'; - Reduce base case recoveries by 30%: Class A 'AAAsf'; - Reduce base case recoveries by 30%: Class B 'AAsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class A 'AAAsf'; - Increase base case defaults and reduce base case recoveries each by 10%: Class B 'AAsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class A 'AAAsf'; - Increase base case defaults and reduce base case recoveries each by 25%: Class B 'AAsf'; - Increase base case defaults and reduce base case recoveries each by 50%: Class A 'AAAsf'. - Increase base case defaults and reduce base case recoveries each by 50%: Class B 'Asf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable-to-improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels. However, improved performance on the underlying collateral would not necessarily result in positive rating action, depending on the maturity risk present in the transaction. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Moody's Hikes Ratings on 28 Bonds From 4 US RMBS Deals --------------------------------------------------------- Moody's Ratings has upgraded the ratings of 28 bonds from four US residential mortgage-backed transactions (RMBS). The collateral backing these deals consists of prime jumbo and agency eligible mortgage loans issued by J.P. Morgan Mortgage Trust. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2023-1 Cl. A-14, Upgraded to Aaa (sf); previously on Nov 17, 2023 Upgraded to Aa1 (sf) Cl. A-14-A, Upgraded to Aaa (sf); previously on Nov 17, 2023 Upgraded to Aa1 (sf) Cl. A-14-B, Upgraded to Aaa (sf); previously on Nov 17, 2023 Upgraded to Aa1 (sf) Cl. A-14-C, Upgraded to Aaa (sf); previously on Nov 17, 2023 Upgraded to Aa1 (sf) Cl. A-14-X*, Upgraded to Aaa (sf); previously on Nov 17, 2023 Upgraded to Aa1 (sf) Cl. A-15-X*, Upgraded to Aaa (sf); previously on Nov 17, 2023 Upgraded to Aa1 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-7 Cl. B-3, Upgraded to Baa2 (sf); previously on Aug 9, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Jun 12, 2025 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Jun 12, 2025 Upgraded to B2 (sf) Issuer: J.P. Morgan Mortgage Trust 2024-8 Cl. A-9, Upgraded to Aaa (sf); previously on Aug 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Upgraded to Aaa (sf); previously on Aug 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-9-X*, Upgraded to Aaa (sf); previously on Aug 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Upgraded to Aaa (sf); previously on Aug 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Upgraded to Aaa (sf); previously on Aug 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-3*, Upgraded to Aaa (sf); previously on Aug 30, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 30, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Aug 30, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Aug 30, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 12, 2025 Upgraded to A1 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Jun 12, 2025 Upgraded to A1 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Jun 12, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jun 12, 2025 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jun 12, 2025 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jun 12, 2025 Upgraded to B1 (sf) Issuer: J.P. Morgan Mortgage Trust 2025-INV1 Cl. B-2, Upgraded to A2 (sf); previously on Jun 30, 2025 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A2 (sf); previously on Jun 30, 2025 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A2 (sf); previously on Jun 30, 2025 Definitive Rating Assigned A3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Jun 30, 2025 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 no or minimal cumulative losses under 0.02% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown, as the pools amortize. The credit enhancement since closing has grown, on average, by 1.5x for the non-exchangeable tranches upgraded. Moody's analysis on Class B-3 from J.P. Morgan Mortgage Trust 2024-8 included an assessment of the existing credit enhancement floor, in place to mitigate the potential default of a small number of loans at the tail end of a transaction. 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, and credit enhancement. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in 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. [] Moody's Takes Rating Action on 3 Bonds from 3 US RMBS Deals -------------------------------------------------------------- Moody's Ratings has upgraded the ratings of two bonds and downgraded the rating of one bond from three US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A List of Affected Credit Ratings is available at https://urlcurt.com/u?l=I3MKPw 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: Credit Suisse First Boston Mortgage Securities Corp. Series 2002-4 Cl. M-2, Upgraded to Baa1 (sf); previously on May 13, 2025 Upgraded to Ba1 (sf) Issuer: MASTR Asset Securitization Trust 2003-NC1 Cl. M-3, Downgraded to Caa1 (sf); previously on June 9, 2020 Downgraded to B1 (sf) Issuer: Saxon Asset Securities Trust 2004-2 Cl. MF-5, Upgraded to Caa3 (sf); previously on May 21, 2025 Upgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structures, Moody's updated loss expectations on the underlying pools, and Moody's revised loss-given-default expectation for each bond. Some of the bonds experiencing a rating change has either incurred a missed or delayed disbursement of an interest payment or is currently, or expected to become, undercollateralized, which may sometimes be reflected by a reduction in principal (a write-down). Moody's expectations of loss-given-default assesses losses experienced and expected future losses as a percent of the original bond balance. The rating upgrade of Cl. M-2 from Credit Suisse First Boston Mortgage Securities Corp. Series 2002-4 is a result of the increase in credit enhancement available to the bond. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. The rating downgrade of Cl. M-3 issued by MASTR Asset Securitization Trust 2003-NC1 is due to outstanding credit interest shortfalls on the bond that are not expected to be recouped. This bond has weak interest recoupment mechanism where missed interest payments will likely result in a permanent interest loss. Unpaid interest owed to bonds with weak interest recoupment mechanisms are reimbursed sequentially based on bond priority, from excess interest, if available, and often only after the overcollateralization has built to a pre-specified target amount. In transactions where overcollateralization has already been reduced or depleted due to poor performance, any such missed interest payments to these bonds is unlikely to be repaid. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] S&P Takes Various Actions on 74 Classes From 12 US RMBS Deals ---------------------------------------------------------------- S&P Global Ratings completed its review of 74 classes from 12 U.S. RMBS transactions issued between 2021 and 2023. The review yielded 23 upgrades and 51 affirmations. A list of Affected Ratings can be viewed at: https://tinyurl.com/y8a8wdds Analytical Considerations S&P said, "For each transaction, we performed a credit analysis using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at the prior review. Our geographic concentration factors were based on the transactions' current pool composition. "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." Some of these considerations may include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Expected duration; and -- Available subordination, credit enhancement floors, and/or excess spread (where available). Rating Actions The upgrades primarily reflect continued deleveraging since the respective transactions benefit from low accumulated losses to date and a growing percentage of credit support to the rated classes. The affirmations reflect its projected credit support on these classes, which S&P believes are sufficient to cover its projected losses for those rating scenarios. ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. 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