260329.mbx

260329.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 29, 2026, Vol. 30, No. 88 Headlines 1988 CLO 7: S&P Assigns Prelim BB- (sf) Rating on Class E Notes 720 EAST IX: S&P Assigns BB- (sf) Rating on Class E Notes AGL CLO 29: Fitch Assigns 'BB-sf' Rating on Class E-R Notes AMERICREDIT AUTOMOBILE 2026-1: Fitch Rates Cl. E Notes 'Bbsf' ANCHORAGE CAPITAL 37: Fitch Assigns 'BB-(EXP)sf' Rating on E Notes ARCHWEST MORTGAGE 2026-RTL1: DBRS Rates Cl. M2 Notes '(P)B(low)' AREIT 2024-CRE9: Fitch Affirms 'B-sf' Rating on Class G Debt ATLAS SENIOR XXII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes AVIS BUDGET 2024-1: Moody's Assigns (P)Ba1 Rating to Class D Notes BAIN CAPITAL 2024-1: Fitch Assigns BB-sf' Rating on Cl. E-2-R Notes BAIN CAPITAL 2026-1: Fitch Assigns 'BB-sf' Rating on Class E Notes BANK 2017-BNK6: Fitch Lowers Rating on Two Tranches to 'CCsf' BANK5 2026-5YR21: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches BARINGS CLO 2024-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes BATTALION CLO VIII: Moody's Affirms Ba2 Rating on 2 Tranches BATTALION CLO XII: Moody's Cuts Rating on $35.75MM E Notes to B1 BBCMS 2021-AGW: DBRS Lowers Rating on 2 Tranches to CCCsf BENCHMARK 2026-B42: Fitch Assigns 'B-sf' Final Rating on G-RR Certs BMO 2026-5C14: Fitch Assigns 'B-sf' Final Rating on Cl. J-RR Certs BOFAS RE-REMIC 2026-FRR8: DBRS Gives Prov. Ratings to 16 Tranches BRAVO RESIDENTIAL 2026-NQM3: Fitch Rates Cl. B-2 Notes 'B-(EXP)' BRYANT PARK 2026-29: S&P Assigns BB- (sf) Rating on Class E Notes BX TRUST 2026-OPTM: S&P Assigns BB (sf) Rating on Class HRR Certs BX TRUST 2026-RISE: Fitch Assigns 'B(EXP)sf' Rating on Cl. F Certs CAMB 2021-CX2: DBRS Confirms BB(high) Rating on Class HRR Certs CARMAX SELECT 2025-A: Fitch Affirms 'BBsf' Rating on Class E Notes CARVANA AUTO 2026-P1: Fitch Assigns 'BBsf' Rating on Class N Notes CF 2019-CF1: Fitch Affirms 'B-sf' Rating on Two Tranches CIFC FUNDING 2026-I: Fitch Assigns 'BB-sf' Rating on Class E Notes CITIGROUP 2016-GC37: Fitch Lowers Rating on Class F Certs to C COMM 2017-COR2: Fitch Affirms 'Bsf' Rating on Class F-RR Debt CQS US 6: Fitch Assigns BB-sf Rating on Cl. E Notes, Outlook Stable DBGS 2021-W52: DBRS Confirms B(high) Rating on Class F Certs DEEPHAVEN RESIDENTIAL 2026-INV2: S&P Rates (P)B Rating on B-2 Notes DIVERSIFIED ABS X: Fitch Affirms BB- Rating on Class B Notes EFMT 2026-NQM3: Fitch Assigns 'B-sf' Final Rating on Three Tranches EFMT 2026-NQM4: Fitch Assigns 'B-(EXP)sf' Rating on Three Tranches ELEVATION CLO 2021-15: Moody's Cuts Rating on $20MM E-R Notes to B1 FIDIUM LLC 2026-1: Fitch Assigns 'BB-sf' Rating on Class C Notes FIRST EAGLE 2016-1: S&P Lowers Class E-R Notes Rating to 'B- (sf)' FS TRUST 2026-HULA: DBRS Finalizes Bb(low) Rating on Cl. KRR Certs GLS AUTO 2025-1: S&P Affirms BB (sf) Rating on Class E Notes GREAT LAKES 2015-1: Moody's Ups Rating on $26.6MM E-R Notes to Ba1 GS MORTGAGE 2026-1: Fitch Assigns 'Bsf' Rating on Class B5 Notes GS MORTGAGE 2026-2: FITCH Assigns 'Bsf' Rating on Class B2 Notes GS MORTGAGE 2026-3: Fitch Rates Class B2 Notes 'Bsf' GS MORTGAGE 2026-PJ3: Fitch Assigns B(EXP) Rating on Class B5 Notes GS MORTGAGE 2026-PJ4: Fitch Assigns B(EXP) Rating on Cl. B5 Notes GS MORTGAGE 2026-R1: Fitch Assigns 'B(EXP)' Rating on Cl. B-2 Notes HECM BUYOUT 2026-HB1: DBRS Finalizes Bsf Rating on Class M5 Notes IVY HILL XXIII: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes JPMCC 2013-C16: Fitch Lowers Rating on Class F Debt to 'CCsf' JPMCC 2019-COR5: Fitch Affirms 'Bsf' Rating on Class E-RR Debt KKR CLO 62: Fitch Assigns 'BB-sf' Rating on Class E Notes KRR CLO 43: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes LEGACY BENEFITS 2004-1: Moody's Withdraws Ca Rating on Cl. B Notes LENDINGCLUB 2026-P2: Fitch Assigns 'Bsf' Rating on Class F Notes MAGNETITE LTD LV: Moody's Assigns (P)B3 Rating to $250,000 F Notes MENLO CLO IV: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes MENLO CLO IV: Fitch Assigns 'BB-sf' Final Rating on Class E Notes METRONET INFRASTRUCTURE 2025-4: Fitch Rates Cl. C Notes 'BB-sf' MFA 2026-NQMR1: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Notes MIDOCEAN CREDIT VII: Moody's Ups Rating on $28.5MM E Notes to Ba3 MIDOCEAN CREDIT XXII: Fitch Assigns 'BB-(EXP)sf' Rating on E Notes MORGAN STANLEY 2011-C2: Moody's Cuts Rating on Cl. X-B Certs to C MOUNTAIN POINT 1: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes MOUNTAIN POINT 1: Moody's Assigns (P)B3 Rating to $250,000 F Notes NAVESINK CLO 6: S&P Assigns Prelim BB-(sf) Rating on Class E Notes NEW RESIDENTIAL 2026-NQM4: Fitch Rates Cl. B2 Notes 'B-sf' NEWSTAR FAIRFIELD: Fitch Lowers Rating on Class D-N Notes to 'B-sf' NGC CLO 3: S&P Assigns Prelim BB- (sf) Rating on Class E Notes NLT 2026-NQM1: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes NORTHWOODS CAPITAL 22: Fitch Assigns BB-sf Rating on Cl. ER3 Notes NYMT LOAN 2026-INV2: S&P Assigns Prelim B-(sf) Rating on B-2 Notes PCY TRUST 2026-FCMT: Fitch Assigns 'BB(EXP)sf' Rating on HRR Certs PIKES PEAK 21 (2026): Fitch Assigns 'BB-sf' Rating on Cl. E Notes PMT LOAN 2026-CNF2: Moody's Assigns B3 Rating to Cl. B-5 Certs PMT LOAN 2026-CNF3: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs PMT LOAN 2026-INV3: Moody's Assigns B3 Rating to Cl. B-5 Certs PNW TRUST 2026-ARTE: Moody's Assigns (P)B2 Rating to Cl. F Certs PPM CLO 3: Moody's Lowers Rating on $20MM Class E-R Notes to B2 PROVIDENT BANK 1999-3: Moody's Cuts Rating on Cl. A-3 Certs to Caa3 PRPM 2026-CRE1: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes RCKT MORTGAGE 2026-CES3: Fitch Rates Five Tranches 'Bsf' RR 28: Fitch Assigns BB-sf Rating on Cl. D-R2 Notes, Outlook Stable RR 44: Fitch Assigns 'BB-sf' Rating on Cl. D Notes, Outlook Stable SAIF SECURITIZATION 2026-CES1: S&P Assigns (P) B-(sf) on B-2 Notes SANDSTONE PEAK: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes SANTANDER MORTGAGE 2026-NQM3: S&P Rates Class B-2 Notes 'B (sf)' SCF EQUIPMENT 2023-1: Moody's Ups Rating on Class F Notes to Ba3 SEQUOIA MORTGAGE 2026-HYB1: Fitch Rates Class B2 Certs 'Bsf' SEQUOIA MORTGAGE 2026-INV2: Fitch Rates Class B5 Certs 'B(EXP)' SEQUOIA MORTGAGE 2026-MED1: Fitch Rates Class B2 Certs 'B(EXP)' SG RESIDENTIAL 2026-2: S&P Assigns B- (sf) Rating on Cl. B-2 Certs SILVER POINT 16: Fitch Assigns 'BB+sf' Rating on Class E Notes SLG OFFICE 2026-OMA: Fitch Assigns 'B-(EXP)sf' Rating on HRR Certs STACR 2026-DNA2: DBRS Finalizes BB(low) Rating on 7 Tranches TROPIC CDO V: Moody's Ups Rating on $51MM Class A-2L Notes to Ba1 UPSTART SECURITIZATION 2022-4: Moody's Ups Rating on B Notes to Ba2 US BANK RVM: Fitch Rates Class E Notes 'Bsf' VENTURE CLO XXII: Moody's Cuts Rating on $30MM E-R Notes to Caa1 VERUS SECURITIZATION 2026-R2: Fitch Rates Class B2 Notes 'B(EXP)' VIBRANT CLO XI: Fitch Assigns 'BB-sf' Rating on Class D-R Notes VMC FINANCE 2021-FL4: DBRS Lowers Rating on Class F Notes to Csf WAMU MORTGAGE 2004-AR6: Moody's Ups Rating on Cl. X Certs to Caa1 WELLS FARGO 2026-C66: Fitch Assigns B-(EXP)sf Rating on G-RR Certs Z CAPITAL 2018-1: Moody's Cuts Rating on $25MM Cl. E Notes to Caa3 ZAIS CLO 7: Moody's Cuts Rating on $24.75MM Class E Notes to Caa3 [] DBRS Reviews 36 Classes on Eight U.S. RMBS Deals [] DBRS Reviews 97 Classes From Six U.S. RMBS Deals [] Fitch Affirms Ratings on Two 2025 SDART Deals [] S&P Takes Various Actions on 26 Classes From Five US RMBS Deals ********* 1988 CLO 7: S&P Assigns Prelim BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to 1988 CLO 7 Ltd./1988 CLO 7 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+' and lower) senior secured term loans. The transaction is managed by 1988 CLO L.P., a subsidiary of Muzinich & Co. The preliminary ratings are based on information as of March 20, 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. Preliminary Ratings Assigned 1988 CLO 7 Ltd./1988 CLO 7 LLC Class A-1, $202.0 million: AAA (sf) Class A-L, $50.0 million: AAA (sf) Class A-2, $12.0 million: AAA (sf) Class B, $40.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Subordinated notes, $38.9 million: NR NR--Not rated. 720 EAST IX: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its 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 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." 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. AGL CLO 29: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 29 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- AGL CLO 29 Ltd. X-R LT AAAsf New Rating A-1-R LT AAAsf New Rating A-1-R-L LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-1-R LT Asf New Rating C-2-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating A-1 00119BAA1 LT PIFsf Paid In Full AAAsf A-2 00119BAB9 LT PIFsf Paid In Full AAAsf B 00119BAC7 LT PIFsf Paid In Full AAsf C 00119BAD5 LT PIFsf Paid In Full Asf D 00119BAE3 LT PIFsf Paid In Full BBB-sf E 00120TAA9 LT PIFsf Paid In Full BB-sf Transaction Summary AGL CLO 29 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by AGL CLO Credit Management LLC. The transaction originally closed in February 2024 and is expected to complete its first reset on March 19, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.74 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.57% 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 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 is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'Asf' and 'AAAsf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BBB-sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and '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 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, 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. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AGL CLO 29 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. AMERICREDIT AUTOMOBILE 2026-1: Fitch Rates Cl. E Notes 'Bbsf' ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the notes issued by AmeriCredit Automobile Receivables Trust (AMCAR) 2026-1. Entity/Debt Rating Prior ----------- ------ ----- AmeriCredit Automobile Receivables Trust 2026-1 A1 ST F1+sf New Rating F1+(EXP)sf A2A LT AAAsf New Rating AAA(EXP)sf A2B LT WDsf Withdrawn AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf B LT AA+sf New Rating AA+(EXP)sf C LT A+sf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf Fitch is withdrawing the A-2-B expected rating of 'AAA(EXP)sf' as it is no longer being issued. KEY RATING DRIVERS Collateral and Concentration Risks — Consistent Credit Quality: The pool has consistent credit quality compared with recent pools based on the weighted average (WA) Fair Isaac Corp. (FICO) score of 588 and internal credit scores. Obligors with FICO scores of 600 and greater total 45.6%, down from 46.4% in 2025-1 (NR) but higher than 45.4% in 2024-1 (NR). Extended-term (61+ month) contracts total 95.4%, which is consistent with prior series' totals. 2026-1 is the 12th AMCAR transaction to include 76- to 84-month contracts, at 40.0% of the pool, up from 34.0% in 2025-1 (NR) and the highest to date. Performance data for these contracts are relatively limited due to lack of seasoning, especially for performance during an economic downturn. However, these longer-term loans have obligors with stronger credit metrics; given this and initial performance observations, Fitch did not apply an additional stress to these loans. Forward-Looking Approach to Derive Base Case Loss Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions in deriving the series loss proxy. Overall performance on GMF's managed portfolio and securitizations remains resilient but static pool loss levels have increased with each vintage, beginning in 2021. Fitch accounted for the weaker performance of recent vintages when deriving the rating case cumulative net loss (CNL) proxy of 10.00%, which is higher than 9.00% for the last AMCAR transaction Fitch rated, 2023-2. Payment Structure — Sufficient Credit Enhancement: Initial hard credit enhancement (CE) is slightly lower than 2025-1, totaling 32.09%, 25.59%, 17.45%, 9.60% and 6.75% for classes A, B, C, D and E, respectively. Excess spread is expected to be 9.47% per annum. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's base case CNL proxy. As excess spread increased at pricing, loss coverage for the notes improved. As such, Fitch has assigned a final rating of 'A+sf' to the class C notes, which is one notch higher than the 'A(EXP)sf' expected rating. Loss coverage for the class C notes is now above the 'AAsf' 2.75x multiple, though a higher rating was not assigned due to the subordination within the structure. Seller/Servicer Operational Review — Consistent Origination/Underwriting/Servicing: Fitch rates GM 'BBB'/ Positive. In addition, Fitch currently rates GMF 'BBB'/'F2' with a Positive Outlook. GMF demonstrates adequate abilities as originator, underwriter and servicer as evidenced by historical portfolio and securitization performance. Fitch deems GMF capable of adequately servicing this series. Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 9.00% based on its "Global Economic Outlook — March 2026" and transaction-based forecast loss projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce CNL levels higher than the base case and would likely result in declines of CE and remaining loss coverage levels available to the notes. In addition, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial base case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. In addition, Fitch conducts increases of 1.5x and 2.0x to the CNL proxy, which represent moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and the rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by stable delinquencies and defaults, would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the ratings for the subordinate notes could be upgraded by up to two categories. 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 recomputation of certain characteristics with respect to 185 randomly selected sample loan contracts. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The concentration of hybrid and electric vehicles of approximately 2.45% and 1.89%, respectively, did not have an impact on Fitch's ratings analysis or conclusion on this transaction, and has no impact on Fitch's ESG Relevance Score. 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 CAPITAL 37: Fitch Assigns 'BB-(EXP)sf' Rating on E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Anchorage Capital CLO 37, Ltd. Entity/Debt Rating ----------- ------ Anchorage Capital CLO 37, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Anchorage Capital CLO 37, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Capital CLO 37, Ltd.. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 100% first-lien senior secured loans and has a weighted average recovery assumption of 72.55%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% 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 5.0 year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, and between less than 'B-sf' and 'BB+sf' for class D and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, and 'Asf' for class D and 'BBB-sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Anchorage Capital CLO 37, 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. ARCHWEST MORTGAGE 2026-RTL1: DBRS Rates Cl. M2 Notes '(P)B(low)' ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-RTL1 (the Notes) to be issued by Archwest Mortgage Trust 2026-RTL1 (Archwest 2026-RTL1 or the Issuer) as follows: -- $216.2 million Class A1 at (P) A (low) (sf) -- $19.4 million Class A2 at (P) BBB (low) (sf) -- $20.6 million Class M1 at (P) BB (low) (sf) -- $18.8 million Class M2 at (P) B (low) (sf) The (P) A (low) (sf) credit rating reflects 25.30% of credit enhancement (CE) provided by the subordinated notes and overcollateralization. The (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 18.60%, 11.50%, and 5.00% of CE, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is securitization of a two-year revolving portfolio of residential transition loans (RTLs) funded by the issuance of the Notes. As of the Initial Cut-Off Date, the Notes are backed by: -- 267 mortgage loans with a total principal balance of approximately $201,603,927, -- Approximately $87,869,758 in the Accumulation Account, and -- Approximately $2,717,827 in the Pre-Funding Interest Account. Additional RTLs may be added to the revolving portfolio on future additional transfer dates, subject to the transaction's eligibility criteria. Archwest 2026-RTL1 represents the first RTL securitization issued by the Sponsor, Archwest Lending, LLC (Archwest Lending). Its parent company, Archwest Capital, LLC (Archwest Capital), is a national, direct, private nonbank lender specializing in financing solutions for residential real estate investors. Archwest Capital's family of companies includes six wholly owned subsidiaries that originate, provide loan administration services, or hold for investment business-purpose first-lien loans secured by residential and multifamily real estate nationwide. The revolving portfolio generally consists of first-lien, fixed-rate, interest-only (IO) balloon RTL with original terms to maturity of nine to 24 months. The loans may be extended, which can lengthen maturities beyond the original terms. The characteristics of the revolving pool will be subject to eligibility criteria specified in the transaction documents and include, but are not limited to: -- A minimum non-zero weighted-average (NZ WA) FICO score of 735. -- A maximum weighted-average loan-to-cost ratio of 85.0%. -- A maximum WA as repaired loan-to-value ratio of 70.0%. RTL FEATURES RTLs, also known as fix-and-flip mortgage loans, are short-term bridge, construction, or renovation loans designed to help real estate investors purchase and renovate residential or multifamily 5+ and mixed used properties (the latter is limited to 5.0% of the revolving portfolio), generally within 12 to 36 months. RTLs are similar to traditional mortgages in many aspects but may differ significantly in terms of initial property condition, construction draws, and the timing and incentives by which borrowers repay principal. For traditional residential mortgages, borrowers are generally incentivized to pay principal monthly, so they can occupy the properties while building equity in their homes. In the RTL space, borrowers repay their entire loan amount when they (1) sell the property with the goal to generate a profit or (2) refinance to a term loan and rent out the property to earn income. In general, RTLs are short-term IO balloon loans with the full amount of principal (balloon payment) due at maturity. The repayment of an RTL is mainly based on the ability to sell the related mortgaged property or to convert it into a rental property. In addition, many RTL lenders offer extension options, which provide additional time for borrowers to repay their mortgage beyond the original maturity date. For the loans in this transaction, such extensions may be granted, subject to certain conditions, at the direction of the Loan Administrator. In the Archwest 2026-RTL1 revolving portfolio, RTLs may be: Fully funded: -- With no obligation of further advances to the borrower, or -- With a portion of the loan proceeds allocated to a rehabilitation (rehab) escrow account for future disbursement to fund draw requests for construction, rehab, or repair on the mortgaged property (Rehabilitation Disbursement Requests) upon the satisfaction of certain conditions. Partially funded: -- With a commitment to fund borrower-requested draws for approved Rehabilitation Disbursement Requests upon the satisfaction of certain conditions. After completing certain construction/repairs using their own funds, the borrower usually seeks reimbursement by making draw requests. Generally, construction draws are disbursed only upon the completion of approved construction/repairs and after a satisfactory construction progress inspection. Based on the Archwest 2026-RTL1 eligibility criteria, unfunded commitments are limited to 60.0% of the assets of the issuer, which includes (1) the unpaid principal balance (UPB) of the mortgage loans and (2) amounts in the Accumulation Account and Payment Account. Cash Flow Structure and Draw Funding The transaction employs a sequential-pay cash flow structure. During the reinvestment period, the Notes will generally be IO. After the reinvestment period, principal will be applied to pay down the Notes, sequentially. If the Issuer does not redeem the Notes by the payment date in September 2028, the Class A1 and A2 fixed rates listed in the Credit Ratings table will step up by 1.000% the following month. There will be no advancing of delinquent (DQ) interest on any mortgage by the Servicer or any other party to the transaction. However, the Servicer is obligated to fund Servicing Advances which include taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The Servicer will be entitled to reimburse itself for Servicing Advances from available funds prior to any payments on the Notes. The Loan Administrator will satisfy Rehabilitation Disbursement Requests by, (1) for loans with funded commitments, releasing funds from the Rehab Escrow Account to the applicable borrower; or (2) for loans with unfunded commitments, either (A) directing the release of funds from the Accumulation Account or (B) advancing funds on behalf of the Issuer (Disbursement Request Advances). The Loan Administrator will be entitled to reimburse itself for Disbursement Request Advances from time to time from the Accumulation Account. The Accumulation Account is replenished from the transaction cash flow waterfall, after payment of interest to the Notes, to maintain a minimum required funding balance. During the reinvestment period, amounts held in the Accumulation Account, along with the mortgage collateral, must be sufficient to maintain a minimum credit enhancement (CE) of approximately 5.00% (the initial subordination) to the most subordinate rated class. The transaction incorporates this via a Maximum Effective Advance Rate Test during the reinvestment period, which if breached, redirects available funds to pay down the Notes, sequentially, prior to replenishing the Accumulation Account, to maintain CE for the rated Notes. The transaction also employs the Expense Reserve Account, which will be available to cover fees and expenses. The Expense Reserve Account is replenished from the transaction cash flow waterfall, before payment of interest to the Notes, to maintain a minimum reserve balance. A Pre-Funding Interest Account is in place to help cover two months of interest payments to the Notes. Such account is funded upfront in an amount equal to $2,717,827. On the payment dates occurring in April and May 2026, the Paying Agent will withdraw a specified amount to be included in available funds. Historically, RTL originations reviewed by Morningstar DBRS have generated robust mortgage repayments, which have been able to cover unfunded commitments in securitizations. In the RTL space, because of the lack of amortization and the short-term nature of the loans, mortgage repayments (paydowns and payoffs) tend to occur closer to or at the related maturity dates when compared with traditional residential mortgages. Morningstar DBRS considers paydowns to be unscheduled voluntary balance reductions (generally repayments in full) that occur prior to the maturity date of the loans, while payoffs are scheduled balance reductions that occur on the maturity or extended maturity date of the loans. In its cash flow analysis, Morningstar DBRS evaluated mortgage repayments relative to draw commitments for Archwest Lending's historical originations and incorporated several stress scenarios where paydowns may or may not sufficiently cover draw commitments. Please see the Cash Flow Analysis section of the related presale report for more details. OTHER TRANSACTION FEATURES Optional Redemption On any date on or after the earlier of (1) the Payment Date following the termination of the Reinvestment Period or (2) the date on which the aggregate Note Amount falls to 25% or less of the initial Closing Date Note Amount, the Issuer, at its option, may purchase all of the outstanding Notes at price equal to par plus interest and fees. Repurchase Option The Depositor will have the option to repurchase any DQ or defaulted mortgage loan at the Repurchase Price, which is equal to par plus interest and fees. However, such voluntary repurchases may not exceed 10.0% of the cumulative UPB of the mortgage loans as of the Initial Cut-Off Date. During the reinvestment period, if the Depositor repurchases DQ or defaulted loans, this could potentially delay the natural occurrence of an early amortization event based on the DQ or default trigger. Morningstar DBRS' revolving structure analysis assumes the repayment of Notes is reliant on the amortization of an adverse pool regardless of whether it occurs early or not. Repurchases A mortgage loan may be repurchased under the following circumstances: -- There is a material R&W breach, a material document defect, or a diligence defect that the Seller is unable to cure, -- The Depositor elects to exercise its Repurchase Option, or -- An optional redemption occurs. U.S. Credit Risk Retention As the Sponsor, Archwest Lending, through a majority-owned affiliate, will initially retain an eligible horizontal residual interest comprising at least 5% of the aggregate fair value of the securities (the Class XS Notes) to satisfy the credit risk retention requirements. Natural Disasters/Wildfires The pool may contain loans secured by properties that are located within certain disaster areas. Although many RTL already have a rehab component, the original scope of rehab may be affected by such disasters. After a disaster, the Servicer follows standard protocol, which includes a review of the impacted area, borrower outreach, and filing insurance claims as applicable. Moreover, additional loans added to the trust must comply with R&W specified in the transaction documents, including the damage R&W, as well as the transaction eligibility criteria. The credit ratings reflect transactional strengths that include the following: -- Robust pool composition defined by eligibility criteria. -- Historical paydowns and payoffs. -- Solid historical performance. -- Structural enhancements. -- Third-party due diligence review framework. The transaction also includes the following challenges: -- Funding of future construction draws. -- RTL loan characteristics. -- R&W framework. -- No advances of DQ interest. The full description of the strengths, challenges, and mitigating factors is detailed in the related presale report. 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 for each of the rated Notes are the related Note Interest Payment Amount, the Interest Carryforward Amount, and the Note Amount. Morningstar DBRS' credit ratings on the Class A1 and Class A2 Notes also address the credit risk associated with the increased rate of interest applicable to the Class A1 and Class A2 Notes if the Class A1 and Class A2 Notes are not redeemed by the payment date in October 2028 in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Notes: All figures are in U.S. dollars unless otherwise noted. AREIT 2024-CRE9: Fitch Affirms 'B-sf' Rating on Class G Debt ------------------------------------------------------------ Fitch Ratings has affirmed eight classes of AREIT 2024-CRE9 Ltd. All Rating Outlooks are Stable. Entity/Debt Rating Prior ----------- ------ ----- AREIT 2024-CRE9 A 00193AAA2 LT AAAsf Affirmed AAAsf A-S 00193AAC8 LT AAAsf Affirmed AAAsf B 00193AAE4 LT AA-sf Affirmed AA-sf C 00193AAG9 LT A-sf Affirmed A-sf D 00193AAJ3 LT BBBsf Affirmed BBBsf E 00193AAL8 LT BBB-sf Affirmed BBB-sf F 00192UAA9 LT BB-sf Affirmed BB-sf G 00192UAC5 LT B-sf Affirmed B-sf KEY RATING DRIVERS Increased Credit Enhancement (CE); Pool Concentration: The affirmations reflect increased CE from seven loan repayments since issuance and sponsors' business plan progression on most of the remaining loans in the pool. Fitch's current ratings incorporate a 'Bsf' rating case loss of 6.72%. As of the March 2026 remittance, the pool's aggregate balance has paid down by 48% to $351.3 million from $678.4 million at issuance. Additionally, $11.5 million is held as permitted principal proceeds. While the transaction is static, the collateral manager can utilize these proceeds until the October 2026 payment date to add companion participation interests of existing loans to the pool. Eight loans remain, with fully extended maturities in 2028 (46% of the pool) and 2029 (54%), comprising of industrial (three loans; 53%), multifamily (four; 41%) and retail (one; 6%). Due to the increasing concentration by loan count and maturities, and most loans have not fully stabilized according to the sponsors' business plans, Fitch performed a recovery and liquidation analysis that ranked them by their perceived likelihood of repayment, refinanceability and/or loss expectations. Transitional Business Plans; Performance Updates: Seven loans (84%) continue progressing through business plans. The largest loan, Boston Logistics (20.7%), is secured by an industrial property in Boston, MA. While occupancy increased from 80.2% at issuance, the pace has been slow in reaching the business plan's stabilized occupancy of 96.6%. Per the collateral manager 4Q25 quarterly reporting, and as of August 2025, the property was 82.6% occupied. Recent leasing activity includes Broderick Gymnasium (2.3% NRA) renewing for 10 years through March 2036; Catie's Closet (1.2%) renewing for seven years, and Boston Piano (1.6%) renewing for one year. The second largest loan, Triad Industrial (16.2%), is secured by a portfolio of 28 industrial buildings comprising approximately 1.4 million sf and located in Kernersville and Winston-Salem, NC. The portfolio was 90.7% occupied as of August 2025. The sponsor's business plan includes $6.2 million in capital improvements and rent increases to market levels. The capital improvement plan consists primarily composed of exterior repairs, including painting, pavement, roof and HVAC, and interior white boxing. Per the collateral manager 4Q25 quarterly reporting, 78% of capex was completed, with material progress on growing NOI to $8.1 million from $5.9 million at issuance. The third largest loan, The City (15.3%), is secured by a 266-unit multifamily building, including a 122,145-sf ground-floor retail space, and three outparcel pads, located in Columbus, OH. The sponsor's business plan includes leasing up the retail portion and subdividing vacant retail space into smaller units to attract higher rents. According to the collateral manager 4Q25 quarterly reporting, and as of August 2025, overall occupancy was 83.5%, while retail occupancy lagged at 44.7%. Crunch Fitness leased 36,620 sf of retail space for 10.5 years and is currently building out the space with a targeted 2026 opening. In June 2025, the special servicer modified the loan to waive cash management for the remainder of the loan term, provided the Shortfall Reserve balance remains at least $1.5 million; if it falls below this level, cash management would be implemented. One loan achieved its business plan. The 360 Independence loan (16%) is secured by a single tenant industrial property in Mechanicsburg, PA occupied by Reckitt Benckiser, which extended its lease for five years to April 2031. Fitch raised the cap rate and net cash flow to 9% and $5.9 million, respectively, from 8.25% and $3.2 million at issuance to reflect the achieved business plan of renewing the single tenant's lease at a higher rent. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to classes rated 'AAAsf', 'AA-sf', 'Asf', 'BBBsf', and 'BBB-sf' are not expected due to increasing CE from expected continued loan repayments, but may occur if deal-level losses increase significantly from lack of sponsor business plan progression and/or if interest shortfalls affect or are expected to affect 'AAAsf' rated classes. Downgrades to classes rated 'BB-sf' and 'B-sf' categories could occur with an increase in pool-level losses from stalled business plans, an outsized number of loans defaulting at or prior to maturity, or declining cash flow which decreases property value and capacity to meet its debt service obligations. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'AA-sf', 'A-sf', 'BBBsf', and 'BBB-sf' would be possible with further improvement in CE from loan repayments and with the stabilization of loan performance from successful execution of the sponsors' business plans. Upgrades to the 'BB-sf' and 'B-sf' category rated classes would be limited based on sensitivity to concentrations and the business plans not materializing. 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. ATLAS SENIOR XXII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Atlas Senior Loan Fund XXII, Ltd.'s reset transaction. Entity/Debt Rating ----------- ------ Atlas Senior Loan Fund XXII, Ltd. A-1R LT AAAsf New Rating A-JR LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1R LT BBB-sf New Rating D-JR LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating X-R LT AAAsf New Rating Transaction Summary Atlas Senior Loan Fund XXII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Crescent CLO Management LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $351 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 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 96.67% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.14% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'Asf' and 'AAAsf' for class A-1R, between 'BBB+sf' and 'AA+sf' for class A-JR, between 'BB+sf' and 'AA-sf' for class B-R, between 'B+sf' and 'BBB+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-JR, and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1R and class A-JR 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, 'A-sf' for class D-JR 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 Atlas Senior Loan Fund XXII, 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. AVIS BUDGET 2024-1: Moody's Assigns (P)Ba1 Rating to Class D Notes ------------------------------------------------------------------ Moody's Ratings has assigned a provisional rating of (P)Ba1 (sf) to the series 2024-1 class D rental car asset backed 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 2024-1 Series 2024-1 Rental Car Asset Backed Notes, Class D, Assigned (P)Ba1 (sf) RATINGS RATIONALE The provisional rating on the series 2024-1 class D 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. The class D notes benefit from dynamic credit enhancement primarily in the form of overcollateralization. The credit enhancement level for the 2024-1 class D note will fluctuate over time with changes in the fleet composition and will be 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) 14.25% minimum for non-program (risk) vehicles and (4) 35.90% for medium and heavy duty trucks, in each case, as a percentage of the aggregate outstanding balance of the class A, B, C and D notes net of the series allocated cash amount. PRINCIPAL METHODOLOGY The principal methodology used in this rating was "Rental Vehicle Securitizations" published in June 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Moody's could upgrade the ratings of the series 2024-1 class D 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 2024-1 class D 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 2024-1: Fitch Assigns BB-sf' Rating on Cl. E-2-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2024-1, Limited reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Bain Capital Credit CLO 2024-1, Limited X-R LT AAAsf New Rating AAA(EXP)sf A-1-R LT NRsf New Rating NR(EXP)sf A-2 056920AC5 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating AAA(EXP)sf B 056920AE1 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating AA(EXP)sf C 056920AG6 LT PIFsf Paid In Full Asf C-R LT Asf New Rating A(EXP)sf D-1 056920AJ0 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating BBB-(EXP)sf D-2 056920AL5 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating BBB-(EXP)sf D-3A-R LT BBB-sf New Rating D-3B-R LT BBB-sf New Rating E 05685TAA5 LT PIFsf Paid In Full BB-sf E-1-R LT BBsf New Rating E-2-R LT BB-sf New Rating BB-(EXP)sf The following changes have been made to Bain Capital Credit CLO 2024-1, Limited's capital structure post-pricing: - Floating rate D-2-R notes have been converted to fixed-rate, D-2-R notes. Fitch has assigned fixed-rate D-2-R notes a 'BBB-sf' rating with a Stable Outlook; - Floating rate D-3A-R and D-3B-R notes have been added. The new D-3A-R notes will be pari-passu with the D-1-R and D-2-R notes, with the new D-3B-R notes being subordinate to the D-3A-R notes. Fitch has assigned the D-3A-R and D-3B-R notes a 'BBB-sf' rating, each with Stable Outlooks; - Floating rate E-R notes have been split into two separate floating rate classes, E-1-R and E-2-R notes. Fitch has assigned the E-1-R notes a 'BBsf' rating and the E-2-R notes a 'BB-sf' rating. The Outlook for both classes is Stable . 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 18, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $497 million of primarily first lien senior secured leveraged loans (excluding defaulted assets). 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 23.19 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 73.42% 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 that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio 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 'BB-sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-3A-R, between less than 'B-sf' and 'BB+sf' for class D-1-R, D-2-R and D-3B-R, between less than 'B-sf' and 'BB-sf' for class E-1-R, and between less than 'B-sf' and 'B+sf' for class E-2-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-3A-R, 'A+sf' for class D-1-R, D-2-R and D-3B-R, 'BBB+sf' for class E-1-R, and 'BBBsf' for class E-2-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. BAIN CAPITAL 2026-1: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2026-1, Limited transaction. Entity/Debt Rating Prior ----------- ------ ----- Bain Capital Credit CLO 2026-1, Limited A-1 05686LAA1 LT AAAsf New Rating AAA(EXP)sf A-2 05686LAC7 LT AAAsf New Rating AAA(EXP)sf B 05686LAE3 LT AAsf New Rating AA(EXP)sf C 05686LAG8 LT Asf New Rating A(EXP)sf D-1 05686LAJ2 LT BBB-sf New Rating BBB-(EXP)sf D-2 05686LAL7 LT BBB-sf New Rating BBB-(EXP)sf E 05686MAA9 LT BB-sf New Rating BB-(EXP)sf Subordinated 05686MAC5 LT NRsf New Rating NR(EXP)sf Transaction Summary Bain Capital Credit CLO 2026-1, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Bain Capital Credit CLO Management III (DE), LP. Net proceeds from the issuance of the secured and subordinated 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 22.56 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.68% 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 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 'Asf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'BB-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA-sf' for class C, 'A-sf' for class D-1, 'BBB+sf' for class D-2, and 'BBB-sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2026-1, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BANK 2017-BNK6: Fitch Lowers Rating on Two Tranches to 'CCsf' ------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed 12 classes of BANK 2017-BNK6 Commercial Mortgage Pass-Through Certificates, series 2017-BNK6 (BANK 2017-BNK6). The Rating Outlooks for classes C and X-B were revised to Stable from Negative. The Rating Outlooks for classes D and X-D remain Negative. Fitch has also affirmed 14 classes of BANK 2017-BNK7 Commercial Mortgage Pass-Through Certificates series 2017-BNK7. The Rating Outlook for class A-S was revised to Stable from Negative. The Rating Outlook for classes B, C, D, E, X-B, X-D, and X-E remains Negative. Entity/Debt Rating Prior ----------- ------ ----- BANK 2017-BNK6 A-4 060352AE1 LT AAAsf Affirmed AAAsf A-5 060352AF8 LT AAAsf Affirmed AAAsf A-S 060352AJ0 LT AAAsf Affirmed AAAsf A-SB 060352AC5 LT AAAsf Affirmed AAAsf B 060352AK7 LT AA-sf Affirmed AA-sf C 060352AL5 LT A-sf Affirmed A-sf D 060352AV3 LT BB-sf Affirmed BB-sf E 060352AX9 LT CCCsf Affirmed CCCsf F 060352AZ4 LT CCsf Downgrade CCCsf X-A 060352AG6 LT AAAsf Affirmed AAAsf X-B 060352AH4 LT A-sf Affirmed A-sf X-D 060352AM3 LT BB-sf Affirmed BB-sf X-E 060352AP6 LT CCCsf Affirmed CCCsf X-F 060352AR2 LT CCsf Downgrade CCCsf BANK 2017-BNK7 A-4 06541XAE0 LT AAAsf Affirmed AAAsf A-5 06541XAF7 LT AAAsf Affirmed AAAsf A-S 06541XAJ9 LT AAAsf Affirmed AAAsf A-SB 06541XAD2 LT AAAsf Affirmed AAAsf B 06541XAK6 LT AA-sf Affirmed AA-sf C 06541XAL4 LT A-sf Affirmed A-sf D 06541XAV2 LT BBsf Affirmed BBsf E 06541XAX8 LT Bsf Affirmed Bsf F 06541XAZ3 LT CCCsf Affirmed CCCsf X-A 06541XAG5 LT AAAsf Affirmed AAAsf X-B 06541XAH3 LT AA-sf Affirmed AA-sf X-D 06541XAM2 LT BBsf Affirmed BBsf X-E 06541XAP5 LT Bsf Affirmed Bsf X-F 06541XAR1 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS 'B' Loss Expectations: Deal-level 'Bsf' rating case losses have decreased to 4.2% for BANK 2017-BNK6 compared to 7.0% at the prior rating action. For BANK 2017-BNK7, losses have remained stable at 4.2% compared to 4.4% at the prior rating action. The BANK 2017-BNK6 transaction includes eight loans (16.3% of the pool) that have been identified as Fitch Loans of Concern (FLOCs), including one specially serviced loan, Starwood Capital Hotel Portfolio (7.5%). The BANK 2017-BNK7 transaction has seven FLOCs (27.0%), including one loan, First Stamford Place (2.4%) in special servicing. Due to the near-term loan maturities and increasing pool concentrations, Fitch performed a look-through analysis including the likelihood of repayment to determine expected loan recoveries and losses, based on the current loan status, collateral quality and performance. The Negative Outlooks reflect this analysis and reliance on proceeds from FLOCs to repay these classes. The downgrades on classes F and X-F in the BANK 2017-BNK6 transaction reflect higher certainty of losses from the specially serviced Starwood Capital Group Hotel Portfolio loan. The Negative Outlooks in BANK 2017-BNK6 reflect the potential for future downgrades if performance of the FLOCs continues to deteriorate, particularly two office loans in the pool, Hall Office G4 (2.2%) and 1680 Duke Street (1.3%). Additionally, downgrades are possible if expected losses increase due to continued value declines or an increase in loan exposure due to higher expenses and fees on the specially serviced Starwood Capital Group Hotel Portfolio loan. The Outlook revision to Stable from Negative for classes C and X-B reflects the improvement in loss expectations and likelihood of repayment. The Outlook revision to Stable from Negative for class A-S in BANK 2017-BNK7 reflects increased likelihood of repayment from performing loans as they approach maturity. The Negative Outlooks in BANK 2017-BNK7 reflect possible downgrades if performance of the FLOCs, primarily two office loans in the pool, Corporate Woods (5.7%) and 411 East Wisconsin (3.2%), continue to deteriorate, submarket fundamentals for these office loans do not stabilize, and the loans default. In addition, downgrades are possible if there are lower recovery expectations upon liquidation of the REO First Stamford Place asset (2.4%). Largest Contributors to Loss: The largest contributor to overall loss expectations in BANK 2017-BNK6 is the specially serviced Starwood Capital Hotel Portfolio (7.5%) loan, which is secured by a portfolio comprised of 52 hotels totaling 5,225 keys, down from 65 hotels (6,370 keys) at issuance, and located across 21 states. Since issuance, 13 properties (1,145 keys) have been released from the portfolio leading to a principal paydown of $70 million. The loan transferred to the special servicer in February 2025 due to imminent monetary default and was modified in September 2025. Terms of the modification include provisions for an expedited sale of underperforming assets and cash-management terms to improve funding of operations at portfolio properties. Portfolio occupancy declined to 64.6% as of YE 2024, from 67.2% at YE 2023, 72.7% at YE 2022 and 66.1% at YE 2021. The servicer-reported portfolio NOI DSCR was 1.36x as of YE 2024, a decline from 1.72x at YE 2023, 1.98x at YE 2022 and 1.62x at YE 2021. Fitch's 'Bsf' case loss of 15.5% (prior to a concentration adjustment) is based on a stress to the most recent April 2025 appraisal valuation adjusted for property releases. The second-largest contributor to overall loss expectations in BANK 2017-BNK6 is the Hall Office G4 loan (2.2%), which is secured by a 121,630-sf suburban office property located in Frisco, TX. The property is currently dark. According to the servicer, the sole remaining tenant at the property, The University of North Texas (previously 16.0% of NRA), vacated in December 2025. Occupancy declined due to several major tenants vacating the property: Randstad (previously 34.9% of NRA) leased through April 2021, vacated the property in August 2021, and Schlumberger Technology Corp. (previously 33.4% of NRA) leased through February 2022. The servicer-reported NOI DSCR was -0.28x as of the trailing-nine-months ended September 2025, compared with 0.43x at YE 2024, -0.17x at YE 2023, -0.12x at YE 2022 compared with 1.45x at YE 2021 and 1.62x at issuance. The loan was reported as current as of the February 2026 financial reporting and reported $2.6 million or $21.8 psf in total reserves as of the January 2026 loan level reserve report. According to CoStar, the property lies within the Frisco/The Colony Office Submarket of the Dallas-Fort Worth, TX market area. As of 4Q25, average rental rates were $40.07 psf and $32.69 psf for the submarket and market, respectively. Vacancy for the submarket and market was 19.5% and 18.0%, respectively. Fitch's 'Bsf' case loss of 50.0% (prior to a concentration adjustment) is based on a 10.0% cap rate and factors in an outsized loss of 50.0% due to the deterioration in performance and the loan's heightened maturity default risk. The largest contributor to overall loss expectations in BANK 2017-BNK7 is the specially serviced First Stamford Place (2.3%), three office buildings totaling 810,475-sf and located in Stamford, CT. The loan transferred to the special servicer in December 2023 due to imminent monetary default and became REO in February 2025. The property's major tenants include Odyssey Reinsurance Company (11.7% of NRA, leased through September 2033), Franklin Templeton Companies, LLC (9.8%, September 2035), Partner Reinsurance Company (7.0%, January 2029) and United Rentals, Inc (5.8%, July 2030). The property was 75.8% occupied as of February 2026, compared to 77.0% as of February 2025, 74.8% as of January 2024, 71.4% at YE 2022, 75.3% at YE 2021 and 81.7% at YE 2020. The special servicer is projecting a disposition of the asset in early 2027. According to CoStar, the property lies within the Stamford Office Submarket of the Stamford, CT market area. As of 4Q25, average rental rates were $38.55 psf and $33.65 psf for the submarket and market, respectively. Vacancy for the submarket and market was 20.4% and 14.1%, respectively. Fitch's 'Bsf' case loss of 40.5% (prior to a concentration adjustment) is based on a 25.0% stress to the most recent January 2025 appraisal valuation. The second-largest contributor to overall loss expectations in BANK 2017-BNK7 is the Corporate Woods (5.7%) loan, which is secured by a portfolio of 16 suburban office properties and one unanchored retail property totaling approximately 2 million-sf located in Overland Park, KS. The portfolio was 73.3% occupied as of the September 2025 servicer-provided rent rolls, 72.4% at YE 2024, a decline from 83.3% at YE 2023, 82.2% at YE 2022, 80.9% at YE 2021, and 86.2% at YE 2020. Near-term lease rollover includes 12.0% of NRA in 2026, however, no single tenant scheduled to roll through YE 2026 represents greater than 5.0% of total portfolio NRA. The servicer-reported NOI DSCR was 1.17x as of the trailing nine-months ended September 2025, compared to 1.22x at YE 2024, 1.49x at YE 2023, 1.45x at YE 2022, 1.51x at YE 2021 and 1.68x at YE 2020. Fitch's 'Bsf' case loss of 14.1% (prior to a concentration adjustment) is based on a 10.0% cap rate and 20.0% stress to the YE 2024 NOI, and factors in an increased probability of default due to the loan's heightened maturity default risk. Fitch is also monitoring the performance of the 411 East Wisconsin (3.2%) loan, which is secured by a 678,839-sf office property located in downtown Milwaukee, WI. The property's major tenants include Quarles & Brady LLP (24.0% of NRA, leased through September 2028), Von Briesen & Roper SC (13.7% NRA, May 2028) and WAC Management (4.6% NRA, August 2028). The property was 76.1% occupied as of the December 2025 servicer-provided rent roll, compared to 73.1% at YE 2024, 73.4% at YE 2023, 74.1% at YE 2022 and 80.0% at YE 2021. The servicer-reported NOI DSCR was 1.55x as of the trailing-nine-months ended September 2025, compared to 1.49x at YE 2024, 1.65x at YE 2023, 1.63x at YE 2022, and 1.61x at YE 2021. Fitch's 'Bsf' case loss of 11.4% (prior to a concentration adjustment) is based on a 10.0% cap rate and 10.0% stress to the YE 2023 NOI, and factors in an increased probability of default due to the loan's heightened maturity default risk. Increase in Credit Enhancement (CE): As of the February 2026 distribution date, the aggregate pool balances of the BANK 2017-BNK6 and BANK 2017-BNK7 transactions have been reduced by 21.2% and 13.5%, respectively, since issuance. The BANK 2017-BNK6 transaction includes eight loans (7.6% of the pool) that have fully defeased. Four loans (1.3%) are fully defeased in BANK 2017-BNK7. Principal Loss and Interest Shortfalls: To date, the BANK 2017-BNK6 transaction has incurred $14.8 million in realized principal losses which have been absorbed by the non-rated class G. The BANK 2017-BNK7 transaction has not incurred any realized principal losses. Interest shortfalls totaling $2.1 million are impacting the non-rated class G, and risk retention class RRI in the BANK 2017-BNK6 transaction, and interest shortfalls totaling $147,439 are impacting the non-rated class G and risk retention class RRI in the BANK 2017-BNK7 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch does not expect downgrades to the senior 'AAAsf' rated classes due to their high CE, position in the capital structure and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly, or interest shortfalls 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 or if more loans than expected default at or prior to maturity. Downgrades are possible for BANK 2017-BNK7, if FLOC performance deteriorates further, particularly for the Corporate Woods, and 411 East Wisconsin loans, in addition, if the 222 Second Street office loan faces refinance challenges upon maturity. Key FLOCs in the BANK 2017-BNK6 transaction include Starwood Capital Hotel Portfolio, Hall Office G4 and 1680 Duke Street. Downgrades to classes with Negative Outlooks rated 'BBBsf', 'BBsf' and 'Bsf' are possible if FLOC performance deteriorates further, there are additional transfers to special servicing, or if certainty of losses on the specially serviced loans and/or FLOCs increases. Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur if additional loans transfer to special servicing or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'AAsf' and 'Asf' may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to '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. BANK5 2026-5YR21: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Ratings Outlooks to BANK5 2026-5YR21 Commercial Mortgage Pass-Through Certificates, Series 2026-5YR21 as follows: - $3,109,000 Class A-1 'AAA(EXP)sf'; Outlook Stable; - $225,000,000c Class A-2 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-2-1 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-2-2 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-2-X1 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-2-X2 'AAA(EXP)sf'; Outlook Stable; - $347,027,000c Class A-3 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-3-1 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-3-2 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-3-X1 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-3-X2 'AAA(EXP)sf'; Outlook Stable; - $575,136,000a Class X-A 'AAA(EXP)sf'; Outlook Stable; - $68,811,000 Class A-S 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-S-1 'AAA(EXP)sf'; Outlook Stable; - $0e Class A-S-2 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-S-X1 'AAA(EXP)sf'; Outlook Stable; - $0ae Class A-S-X2 'AAA(EXP)sf'; Outlook Stable; - $44,163,000 Class B 'AA-(EXP)sf'; Outlook Stable; - $0e Class B-1 'AA-(EXP)sf'; Outlook Stable; - $0e Class B-2 'AA-(EXP)sf'; Outlook Stable; - $0ae Class B-X1 'AA-(EXP)sf'; Outlook Stable; - $0ae Class B-X2 'AA-(EXP)sf'; Outlook Stable; - $33,892,000 Class C 'A-(EXP)sf'; Outlook Stable; - $0e Class C-1 'A-(EXP)sf'; Outlook Stable; - $0e Class C-2 'A-(EXP)sf'; Outlook Stable; - $0ae Class C-X1 'A-(EXP)sf'; Outlook Stable; - $0ae Class C-X2 'A-(EXP)sf'; Outlook Stable; - $146,866,000a Class X-B 'A-(EXP)sf'; Outlook Stable; - $28,757,000b Class D 'BBB-(EXP)sf'; Outlook Stable; - $28,757,000ab Class X-D 'BBB-(EXP)sf'; Outlook Stable; - $20,540,000b Class E 'BB-(EXP)sf'; Outlook Stable; - $20,540,000ab Class X-E 'BB-(EXP)sf'; Outlook Stable; - $12,325,000b Class F-RR 'B-(EXP)sf'; Outlook Stable; - $12,325,000ab Class X-FRR 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $38,000,198b Class G-RR 'NR(EXP)sf'; - $0ab Class X-GRR 'NR(EXP)sf'; - $11,093,121bd Class RR 'NR(EXP)sf; - $3,967,200bd Class RR Interest 'NR(EXP)sf. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) The initial certificate balances of classes A-2 and A-3 are unknown but expected to be $527,027,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those class certificates. The expected class A-2 range is $0-$225,000,000 (net of the vertical risk retention interest) and the expected class A-3 balance range is $347,027,000 - $572,027,000 (net of the vertical risk retention interest). Fitch's certificate balances for class A-2 reflect the highest reflective range and A-3 reflect the lowest reflective range. In the event the class A-3 certificates are issued at $527,027,000, class A-2 will not be issued. (d) Vertical risk retention. (e) Exchangeable certificates; classes A-2, A-3, A-S, B, and C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding class of exchangeable certificates and vice versa. The dollar denomination of each of the received certificates must equal the dollar denomination of each of the surrendered certificates. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 31 loans secured by 64 commercial properties, having an aggregate principal balance of $836,684,520 as of the cutoff date. The loans were contributed to the trust by JPMorgan Chase Bank, National Association, Bank of America, National Association, Wells Fargo Bank, National Association, and Morgan Stanley Mortgage Capital Holdings LLC. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is expected to LNR Partners, LLC. Computershare Trust Company, National Association will act as the trustee and certificate administrator. Pentalpha Surveillance LLC will be the operating advisor and asset representations reviewer. The certificates are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 24 loans totaling 94.8% of the pool by balance, including all of the largest 20 loans in the pool. Fitch's resulting NCF of $89,351,609 represents a 17.6% decline from the issuer's underwritten NCF of $108,374,018. Higher Fitch Leverage: The pool has higher leverage compared to recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 100.8% is comparable to the 2025 average of 101.0% but higher than 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 Loan Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 68.2% of the pool, higher than the 2025 five-year multiborrower and 2024 five-year multiborrower averages of 61.7% and 60.2%, respectively. The pool's effective loan count, at 19.6, is lower than the 2025 YTD and 2024 averages of 21.8 and 22.7, respectively. Investment Grade Credit Opinion Loans: Two loans, representing 12.2% of the pool, received an investment-grade credit opinion. CityCenter (Aria & Vdara) (8.2%) received a standalone credit opinion of 'AAAsf*' and Torrey Heights (3.9% of the pool) received a standalone credit opinion of 'BBBsf*'. The pool's total credit opinion percentage is higher than the 2025 average of 10.7% but lower than the 2024 average of 12.6% for five-year multiborrower transactions. Excluding credit opinion loans, the pool's Fitch LTV and DY are 106.7% and 9.8%, respectively, compared with the equivalent five-year multiborrower 2025 averages of 105.2% and 9.3%, respectively. Shorter Duration Loans: The pool is 100% composed of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. 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'/'AAsf'/'A-sf'/'BBBsf'/'BBsf'/'B-sf'/below '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'/'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 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. BARINGS CLO 2024-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2024-I reset transaction. Entity/Debt Rating ----------- ------ Barings CLO Ltd. 2024-I Class X-R LT AAAsf New Rating Class A-1-R LT NRsf New Rating Class A-2-R LT AAAsf New Rating Class B-R LT AAsf New Rating Class C-R LT Asf New Rating Class D-1-R LT BBB-sf New Rating Class D-1F-R LT BBB-sf New Rating Class D-2-R LT BBB-sf New Rating Class E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Barings CLO Ltd. 2024-I (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Barings LLC, which originally closed in 2024. On the first refinancing date, all notes except subordinated notes will be refinanced in whole. Net proceeds from the issuance of the secured, existing and additional subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.28 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.67% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.88% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. 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 4.8-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. 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 'BBB+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 '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, 'Asf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Barings CLO Ltd. 2024-I. 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 VIII: Moody's Affirms Ba2 Rating on 2 Tranches ------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by Battalion CLO VIII Ltd.: US$30.7 million Class C-R Senior Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Aug 22, 2025 Upgraded to Aa2 (sf) Moody's have also affirmed the ratings on the following notes: US$45 million (Current outstanding amount US$26,085,131) Class A-2-R3 Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 22, 2025 Assigned Aaa (sf) US$27.9 million Class B-R3 Senior Secured Deferrable Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 22, 2025 Assigned Aaa (sf) US$30.52 million Class D-1-R2 Secured Deferrable Floating Rate Notes, Affirmed Ba2 (sf); previously on Aug 28, 2020 Confirmed at Ba2 (sf) US$0.88 million Class D-2-R Secured Deferrable Floating Rate Notes, Affirmed Ba2 (sf); previously on Aug 28, 2020 Confirmed at Ba2 (sf) Battalion CLO VIII Ltd., originally issued in April 2015, refinanced in June 2017, and partially refinanced in February 2020 and August 2025, 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 ended in July 2022. RATINGS RATIONALE The rating upgrade on the Class C-R notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in August 2025. The affirmations on the ratings on the Class A-2-R3, B-R3, D-1-R2 and D-2-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-1-R3 notes have been redeemed in full and Class A-2-R3 notes have paid down by approximately USD18.9 million (42% of original balance) since the last rating action in August 2025. As a result of the deleveraging, over-collateralisation (OC) has increased for Classes A-2-R3, B-R3 and C-R. According to the trustee report dated February 2026 [1] the Class A, Class B and Class C OC ratios are reported at 474.21%, 229.14% and 146.07% compared to August 2025 [2] levels of 219.52%, 165.91% and 130.77%, respectively. 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: USD133.5m Defaulted Securities: USD4.7m Diversity Score: 37 Weighted Average Rating Factor (WARF): 3839 Weighted Average Life (WAL): 2.64 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 4.12% Weighted Average Recovery Rate (WARR): 46.10% Par haircut in OC tests and interest diversion test: 8.12% 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. -- 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. BATTALION CLO XII: Moody's Cuts Rating on $35.75MM E Notes to B1 ---------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Battalion CLO XII, Ltd: US$30.25M Class C-RR Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aaa (sf); previously on Feb 26, 2025 Assigned Aa1 (sf) US$37.5M Class D-RR Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to A1 (sf); previously on Feb 26, 2025 Assigned A3 (sf) US$35.75M Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to B1 (sf); previously on Oct 31, 2024 Affirmed Ba3 (sf) Moody's have also affirmed the ratings on the following debts: US$218.57633M (Current outstanding amount US$35,434,659) Class A-RR Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 26, 2025 Assigned Aaa (sf) US$64.5M Class B-RR Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 26, 2025 Assigned Aaa (sf) Battalion CLO XII Ltd., originally issued in May 2018 and partially refinanced in September 2020 and February 2025, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Brigade Capital Management, LP. The transaction's reinvestment period ended in May 2023. RATINGS RATIONALE The rating upgrades on the Class C-RR and Class D-RR are primarily a result of the deleveraging of the Class A-RR notes following amortisation of the underlying portfolio since the transaction's last refinancing in February 2025. The downgrade on the rating on the Class E notes is primarily a result of the deterioration in the credit quality of the underlying collateral pool since February 2025. The affirmations on the ratings on the Class A-RR and Class B-RR 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-RR notes have paid down by approximately US$183.1 million (83.8%) since the transaction's refinancing in February 2025. As a result of the deleveraging, the Class A/B, Class C, and Class D over-collateralisation (OC) have increased. According to the trustee note valuation report dated February 2026[1] the Class A/B, Class C and Class D OC ratios are reported at 160.78%, 136.92% and 115.65% compared to March 2025[2] levels of 142.70%, 128.92% and 115.14%, 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 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 February 2026[1], the WARF was 3377, compared with 3176 as of March 2025[2]. Securities with ratings of Caa1 or lower currently make up approximately 11.6% of the underlying portfolio in February 2026[1], versus 8.8% in March 2025[2]. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In its base case, Moody's used the following assumptions: Performing par and principal proceeds balance: US$212.11 million Defaulted Securities: US$8.3 million Diversity Score: 40 Weighted Average Rating Factor (WARF): 3344 Weighted Average Life (WAL): 2.57 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.81% Weighted Average Recovery Rate (WARR): 46.84% Par haircut in OC tests and interest diversion test: 3.4% 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. Moody's notes that the March 2026 trustee report was published at the time Moody's were completing Moody's analysis of the February 2026 data. Key portfolio metrics such as WARF, diversity score and weighted average spread and life 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: -- 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 Collateral administrator-reported defaulted assets and those Moody's assume 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 other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. BBCMS 2021-AGW: DBRS Lowers Rating on 2 Tranches to CCCsf --------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on seven classes of Commercial Pass-Through Certificates issued by BBCMS 2021-AGW Mortgage Trust: -- Class B to AA (low) (sf) from AAA (sf) -- Class C to A (low) (sf) from AA (high) (sf) -- Class X-NCP to BBB (low) (sf) from AA (low) (sf) -- Class D to BB (high) (sf) from A (high) (sf) -- Class E to B (low) (sf) from BB (high) (sf) -- Class F to CCC (sf) from B (high) (sf) -- Class G to CCC (sf) from B (low) (sf) Morningstar DBRS also confirmed Class A at AAA (sf) and placed the credit ratings for all classes Under Review with Negative Implications. With this credit rating action, these classes no longer carry trends, as applicable. The transaction is collateralized by the leasehold interest in 16 cross collateralized, suburban office buildings totaling approximately 2.0 million square feet on the North Shore of Long Island, New York. At issuance, Morningstar DBRS noted that the portfolio benefited from a significant concentration of medical tenants, which comprised more than 50.0% of the base rent with a weighted-average (WA) lease term of 16.3 years. However, despite these aspects, which Morningstar DBRS previously expected to contribute to cash flow stability over the loan term, operating performance across the collateral portfolio has consistently remained below issuance expectations. The credit rating downgrades reflect the downward pressure implied by the Loan-to-Value (LTV) Sizing Benchmarks following a revision to the Morningstar DBRS Value for the underlying collateral with this review. Additionally, the loan's upcoming maturity in June 2026 presents heightened refinance risk, particularly as declining cash flow -- driven by reduced revenues and increased operating expenses -- has likely contributed to a deterioration in the portfolio's value since issuance. Sponsorship is provided through a joint venture between Angelo Gordon and the WE'RE Group. Angelo Gordon purchased a 95.5% leasehold interest in the portfolio from the WE'RE Group, which retained the remaining 4.5% leasehold interest and 100.0% of the leased fee interest. Loan proceeds of $350.0 million were primarily used to refinance $234.6 million of existing debt, return $98.1 million of borrower equity, and fund upfront reserves. The $350.0 million interest-only (IO) floating-rate loan had an initial maturity date in June 2023 and three one-year extension options pushing the final maturity date to June 2026. The loan is currently on the servicer watchlist because of a low debt service coverage ratio (DSCR). According to the financial reporting for the trailing nine-month (T-9) period ended September 30, 2025, the portfolio generated an annualized net cash flow (NCF) of $21.3 million (a DSCR of 0.82 times (x)), lower than the YE2024 and issuance figures of $24.1 million (a DSCR of 0.83x) and $32.5 million (a DSCR of 3.10x), respectively. The low in-place DSCR is primarily attributable to the loan's floating-rate structure; however, Morningstar DBRS notes an interest rate cap with a 4.0% strike rate is in place, which would result in a DSCR above breakeven. The decline in cash flow is driven by both reduced revenue--primarily the result of decreasing occupancy--and higher operating expenses, most notably a 25.3% increase in real estate taxes in YE2024 compared with YE2023. According to the October 2025 rent roll, the consolidated occupancy rate across the portfolio was 75.8%, lower than the occupancy rate of 86.8% at issuance. The largest tenant in the portfolio is ProHealth Medical Management, LLC (17.4% of the NRA, leases expiring between August 2026 and August 2030). Several properties within the portfolio are materially underperforming relative to the rest of the assets. Buildings with the lowest occupancy rate include 8 Corporate Center Drive, 5 Dakota Drive, and 2 Huntington Quadrangle, which have reported occupancy rates below 55.0% for the office components. In addition, select properties within the portfolio are exposed to elevated rollover risk with tenant leases representing 97.9%, 66.7%, and 28.3% of the respective NRA at 2800 Marcus Avenue, 1 Delaware Drive, and 3000 Marcus Avenue, scheduled to expire prior to YE2028. Given the higher upfront tenant-improvement costs and longer build-out periods typically associated with medical office users, Morningstar DBRS expects backfilling vacant space at the underperforming properties and replacing tenants who vacate at lease expiration will present challenges, potentially limiting leasing momentum in the near to moderate term. Individual property releases are permitted at 105% to 115% of the allocated loan amount (ALA), subject to cumulative release thresholds. Within the Lake Success Quadrangle, seven properties (35.5% of the current pool balance) are subject to a 115% release price and four properties (19.1% of the current pool balance) to a 120% release price. Morningstar DBRS did not apply a penalty for release pricing because 63.5% of the portfolio by ALA is subject to release premiums of 115% or higher, which is considered credit neutral. However, a penalty was applied for the loan's allowance of pro rata paydowns for the first 20% of principal. No property releases have been reported as of the February 2026 remittance. Morningstar DBRS' analysis for this review considered a NCF $23.6 million, which was derived by applying a 2.0% haircut to the most recently reported full year (YE2024) NCF. This figure represents a -21.3% variance from the Morningstar DBRS NCF of $30.0 million derived at issuance. Morningstar DBRS maintained the capitalization rate of 9.25%, which had been increased by 77 basis points during the April 2024 credit rating action to reflect the transaction's leasehold structure and the portfolio's limited diversification. The resulting Morningstar DBRS Value of $255.2 million represents a -27.3% and -44.4% variance from the Morningstar DBRS Value at issuance and appraised value at issuance of $351.1 million and $458.7 million, respectively. The updated Morningstar DBRS Value implies an all-in LTV of 137.2%. Positive qualitative adjustments of 1.5% for cash flow volatility--reduced from 2.5% as part of the April 2024 credit rating action--and 1.0% for market fundamentals were maintained in the LTV Sizing Benchmarks for this review. Given the historical cash flow trends and Morningstar DBRS' review of the annualized T-9 financials for the period ended September 30, 2025 -- which indicate that cash flow may continue to decline -- Morningstar DBRS elected to place all classes Under Review with Negative Implications. Morningstar DBRS has requested additional information from the servicer, including a leasing update, the borrower's plans at maturity, and updated full-year 2025 financial reporting. The credit rating assigned to the Class E certificate is higher than the results implied by the LTV Sizing Benchmarks. The variance is warranted considering Morningstar DBRS' conservative analytical approach and the meaningful amount of cushion, exceeding $78.0 million, beneath Class E. However, Morningstar DBRS notes the potential for further value deterioration, should occupancy and cash flow continue to decline, indicating that additional credit rating downgrades may be warranted in the future, as reflected by the Under Review with Negative Implications designation assigned to all classes. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. Class X-NCP is an IO certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2026-B42: Fitch Assigns 'B-sf' Final Rating on G-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final 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 'AAAsf'; Outlook Stable; - $7,560,000 class A-2 'AAAsf'; Outlook Stable; - $95,000,000a class A-4 'AAAsf'; Outlook Stable; - $358,743,000a class A-5 'AAAsf'; Outlook Stable; - $26,371,000 class A-SB 'AAAsf'; Outlook Stable; - $496,276,000b class X-A 'AAAsf'; Outlook Stable; - $86,848,000 class A-S 'AAAsf'; Outlook Stable; - $86,848,000b class X-B 'AAAsf'; Outlook Stable; - $31,904,000c class B 'AA-sf'; Outlook Stable; - $24,814,000c class C 'A-sf'; Outlook Stable; - $7,089,000c class D 'BBB+sf'; Outlook Stable; - $12,407,000c class E 'BBB-sf'; Outlook Stable; - $13,293,000c class F 'BB-sf'; Outlook Stable; - $13,293,000bc class X-F 'BB-EXPsf'; Outlook Stable; - $7,976,000cd class G-RR 'B-EXPsf'; Outlook Stable. The following classes are not rated by Fitch: - $21,269,000cd class J-RR; - $7,090,365cd class K-RR; - $20,235,347e class VRR Interest. (a) The balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of the A-4 class was expected to be in the range of $0-$189,709,000, subject to a variance of plus or minus 5%. The final class balance for class A-4 is $95,000,000. The initial aggregate certificate balance of the A-5 class was expected to be in the range of $264,034,000-$453,743,000, subject to a variance of plus or minus 5%. The final class balance for class A-5 is $358,743,000. (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 ratings are based on information provided by the issuer as of March 11, 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 $729,201,712 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 Midland Loan Services, a Division of PNC Bank National Association and National Cooperative Bank, N.A., and the special servicers are K-Star Asset Management LLC and National Cooperative Bank, N.A. 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 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. BMO 2026-5C14: Fitch Assigns 'B-sf' Final Rating on Cl. J-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BMO 2026-5C14 Mortgage Trust commercial mortgage pass-through certificates, series 2026-5C14, as follows: - $7,717,000 class A-1 'AAAsf'; Outlook Stable; - $85,000,000 class A-2 'AAAsf'; Outlook Stable; - $443,939,000 class A-3 'AAAsf'; Outlook Stable; - $536,656,000a class X-A 'AAAsf'; Outlook Stable; - $91,998,000 class A-S 'AAAsf'; Outlook Stable; - $36,416,000 class B 'AA-sf'; Outlook Stable; - $23,613,000 class C 'A-sf'; Outlook Stable; - $152,027,000a class X-B 'A-sf'; Outlook Stable; - $7,666,000b class D 'BBB+sf'; Outlook Stable; - $7,666,000ab class X-D 'BBB+sf'; Outlook Stable; - $9,929,000bc class E-RR 'BBBsf'; Outlook Stable; - $7,666,000bc class F-RR 'BBB-sf'; Outlook Stable; - $14,375,000bc class G-RR 'BB-sf'; Outlook Stable; - $8,625,000bc class J-RR 'B-sf'; Outlook Stable. Fitch does not rate the following class: - $29,707,935bc class K-RR. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Classes E-RR, F-RR, G-RR J-RR and K-RR certificates comprise the transaction's horizontal risk retention interest. Since Fitch published its expected ratings on March 3, 2026, the following changes have occurred: The balances of 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-$250,000,000 and the initial certificate balance of class A-3 was expected to be in the range of $278,939,000-$528,939,000. The final balances of classes A-2 and A-3 are $85,000,000 and $443,939,000, respectively. The deal structure and ratings reflect information provided by the issuer as of March 25, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 33 loans secured by 95 commercial properties with an aggregate principal balance of $766.7 million as of the cutoff date. The loans were contributed to the trust by Bank of Montreal, Goldman Sachs Mortgage Company, German American Capital Corporation, BSPRT CMBS Finance, LLC, Citi Real Estate Funding Inc., Starwood Mortgage Capital LLC, Natixis Real Estate Capital LLC, UBS AG New York Branch and Societe Generale Financial Corporation. The master servicer is Midland Loan Services, and the special servicer is CWCapital Asset Management LLC. The trustee and certificate administrator is Computershare Trust Company, National Association. The certificates follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 22 loans totaling 83.6% of the pool by balance. Fitch's aggregate pool NCF of $81.8 million represents a 14.0% decline from the issuer's underwritten aggregate pool NCF of $95.1 million. Lower Fitch Leverage: The pool has lower leverage than recent U.S. private-label five-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 96.3% is below the 2025 average of 101.0% but slightly above 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. Investment-Grade Credit Opinion Loans: One loan, CityCenter (9.8% of the pool), received a standalone credit opinion of 'AAAsf*'. The pool's investment-grade credit opinion percentage is lower than the 2025 and 2024 averages of 10.7% and 12.6%, respectively. Excluding the credit opinion loan, the pool's Fitch LTV and DY are 101.3% and 9.7%, respectively, compared with the 2025 conduit LTV and DY averages of 105.2% and 9.3%, respectively. Lower Pool Concentration: The pool is less concentrated than recent Fitch-rated transactions. The top 10 loans make up 55.9% of the pool, which is lower than the 2025 YTD and 2024 averages of 61.7% and 60.2%, respectively. The pool's effective loan count of 24.0 is higher than the 2025 and 2024 averages of 21.6 and 22.7, respectively. 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'/'BBBsf'/'BBB-sf'/'BB-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-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'/'AAAsf'/'AA-sf'/'A-sf'/'BBB+sf'/'BBBsf'/'BBB-sf'/'BB-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'AAsf'/'A+sf'/'Asf'/'BBB+sf'/'BBBsf'/'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) 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. BOFAS RE-REMIC 2026-FRR8: DBRS Gives Prov. Ratings to 16 Tranches ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Multifamily Mortgage Certificate-Backed Certificates, Series 2026-FRR8 (the Certificates) to be issued by BOFAS Re-REMIC Trust 2026-FRR8 (the Issuing Trust): -- Class A124 at (P) BBB (high) (sf) -- Class B124 at (P) BBB (low) (sf) -- Class C124 at (P) BB (high) (sf) -- Class D124 at (P) BB (low) (sf) -- Class E124 at (P) B (high) (sf) -- Class F124 at (P) B (low) (sf) -- Class A129 at (P) BBB (high) (sf) -- Class B129 at (P) BBB (low) (sf) -- Class C129 at (P) BB (high) (sf) -- Class D129 at (P) BB (low) (sf) -- Class E129 at (P) B (high) (sf) -- Class F129 at (P) B (low) (sf) -- Class A746 at (P) BBB (low) (sf) -- Class B746 at (P) BB (high) (sf) -- Class C746 at (P) BB (low) (sf) -- Class D746 at (P) B (low) (sf) All trends are Stable. This transaction is a resecuritization collateralized by all or a portion of the beneficial interests in nine commercial mortgage-backed pass-through certificates from three underlying transactions: FREMF 2021-K124 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2021-K124 (FREMF 2021-K124); FREMF 2021-K129 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2021-K129 (FREMF 2021-K129); and FREMF 2021-K746 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2021-K746 (FREMF 2021-K746). Morningstar DBRS' credit ratings on the Certificates are dependent on the performance of the underlying transactions. The Class A124, Class B124, Class C124, Class D124, Class E124, and Class F124 certificates (Group 1 certificates) are collateralized by a portion of the beneficial interests in the Class D (principal only), Class X2-A (interest only (IO)), and Class X2-B (IO) multifamily mortgage-backed pass-through certificates issued by FREMF 2021-K124. The principal balances of the underlying certificates total approximately $90.1 million, all of which is being contributed to the Issuing Trust. The Class D certificate is the most subordinate principal-only class in the underlying transaction. The Class X2-A certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-1 and Class A-2 certificates in the underlying transaction. The Class X2-B certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-M and Class D certificates in the underlying transaction. The Class X2-A and Class X2-B certificates are subject to fluctuations based on principal repayments in the pool. The FREMF 2021-K124 underlying transaction collateral comprises 58 loans secured by 58 multifamily properties, including 41 garden-style multifamily properties, eight manufactured housing communities, five mid-rise apartment complexes, two townhome-style communities, one high-rise apartment complex, and one military-concentrated community. Morningstar DBRS rolled up two groups of loans in which the loans are cross-collateralized and cross-defaulted, including two separate groups of six loans. All commentary in this press release will refer to the pool as a 48-loan pool, as Morningstar DBRS treated each group of crossed loans as a single loan. No loans were defeased or paid off as of February 2026. All the loans in the pool are fixed-rate loans with a 10.0-year or 10.5-year loan term. Twenty-four loans (54.0% of the total current pool balance) are partial IO, 17 loans (41.9% of the total current pool balance) are full-term IO, and seven loans (4.0% of the total current pool balance) amortize on a 14-year or 30-year schedule. Morningstar DBRS analyzed the FREMF 2021-K124 underlying transaction to determine the provisional credit ratings for the Group 1 certificates, reflecting the long-term probability of loan default within the term and the liquidity at maturity. The Morningstar DBRS Weighted-Average (WA) Issuance Loan-to-Value Ratio (LTV) of the current pool was 70.3%, and the current pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 65.0% based on the A note balances at maturity. About 61.5% 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 made LTV adjustments to five loans, representing 17.6% of the current pool balance, to bring capitalization rates for the respective loans consistent with similar properties within the market. As of the February 2026 underlying monthly report, there were nine loans on Freddie Mac's watchlist, comprising 10.7% of the current pool balance. Morningstar DBRS applied additional stress to the default rate of one of the watchlist loans, comprising 1.9% of the current pool balance, in part because of a low debt service coverage ratio (DSCR). No loans were delinquent as of the February 2026 underlying monthly reports. The Class A129, Class B129, Class C129, Class D129, Class E129, and Class F29 certificates (Group 2 certificates) are collateralized by a portion of the beneficial interests in the Class D (principal only), Class X2-A (IO), and Class X2-B (IO) multifamily mortgage-backed pass-through certificates from the Morningstar DBRS-rated underlying transaction, FREMF 2021-K129 (see https://dbrs.morningstar.com/issuers/26796). The principal balances of the underlying certificates total approximately $85.7 million, all of which is being contributed to the Issuing Trust. The Class D certificate is the most subordinate principal-only class in the underlying transaction. The Class X2-A certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-1 and Class A-2 certificates in the underlying transaction. The Class X2-B certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-M and Class D certificates in the underlying transaction. The Class X2-A and Class X2-B certificates are subject to fluctuations based on principal repayments in the pool. The Class A746, Class B746, Class C746, and Class D746 certificates (Group 3 certificates) are collateralized by a portion of the beneficial interests in the Class D (principal only), Class X2-A (IO), and Class X2-B (IO) multifamily mortgage-backed pass-through certificates from the Morningstar DBRS-rated underlying transaction, FREMF 2021-K746 (see https://dbrs.morningstar.com/issuers/27886). The principal balances of the underlying certificates total approximately $49.1 million, all of which is being contributed to the Issuing Trust. The Class D certificate is the most subordinate principal-only class in the underlying transaction. The Class X2-A certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-1 and Class A-2 certificates in the underlying transaction. The Class X2-B certificate has a notional balance equal to the aggregate outstanding principal balance of the Class A-M and Class D certificates in the underlying transaction. The Class X2-A and Class X2-B certificates are subject to fluctuations based on principal repayments in the pool. 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. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Morningstar DBRS' credit ratings do not address nonpayment risk associated with Prepayment Premiums or Yield Maintenance Charges. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BRAVO RESIDENTIAL 2026-NQM3: Fitch Rates Cl. B-2 Notes 'B-(EXP)' ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2026-NQM3 (BRAVO 2026-NQM3). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2026-NQM3 A-1FCF LT AAAsf New Rating AAA(EXP)sf A-1LCF LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf FB LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary Following presale publication, the issuer provided an updated loan tape with an immaterial net balance change and an updated structure with final coupons and bond balances, resulting in slightly higher credit enhancement. Fitch re-ran the asset analysis and cash flow stress tests and confirmed that there was no change in the expected ratings for each class. The notes are supported by 987 loans with a total balance of approximately $490 million as of the cutoff date. Citadel Servicing Corporation (Citadel), d/b/a Acra Lending (Acra), OCMBC, Inc. (OCMBC) and AmWest Funding Corp (AmWest) originated approximately 27.2%, 18.2% and 14.3% of the pool, respectively. All are considered 'Acceptable' originators by Fitch. No other originator contributed more than 10% of the pool. Following servicing transfers after the closing date, Citadel, AmWest, Carrington Mortgage Services, LLC (Carrington) and Rocket Mortgage LLC, d/b/a Rushmore Servicing (Rushmore), will service 35.2%, 14.3%, 11.4% and 39.1% of the loans, respectively. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. BRAVO 2026-NQM3 has a final probability of default (PD) of 44.7% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 40.6%. The expected loss in the 'AAAsf' rating stress is 18.2%. The pool consists of 987 primarily newly originated non-qualified mortgage (non-QM or NQM) loans with a Fitch FICO of 744 and a weighted average (WA) original combined loan-to-value ratio of 69.6%. Fitch considers approximately 92% of the pool to be non-prime. About 10.1% of the loans in the pool are full documentation; the remaining loans are non-full documentation, including debt service coverage ratio (DSCR; 36.8%), bank statement (34.7%) and other program (8.7%) loans. DSCR loans receive a slight reduction in the non-full documentation PD penalty; however, the DSCR all-in treatment remains more punitive than for fully documented, borrower-underwritten loans. Roughly 50.0% of borrowers are self-employed or have unknown employment status. In addition, approximately 9.5% of the loans were originated to foreign nationals (including individual taxpayer identification number borrowers) and are therefore subject to a PD penalty due to the perceived weaker connection to the property. Structural Analysis (Positive): The mortgage cash flow and loss allocation in BRAVO 2026-NQM3 are based on a modified sequential structure, whereby the principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the senior notes until they are reduced to zero. Principal on the collective class A-1 notes (specifically, the A-1FCF, A-1LCF, A-1A and A-1B notes) will be allocated either pro rata or sequentially among themselves, as set out in the priority of payments. The structure includes a step-up coupon feature where the fixed interest rate for class A-1, A-2 and A-3 will increase by 100 bps, subject to the net WA coupon, starting on the March 2030 payment date. This reduces the modest excess spread available to repay losses. Starting on the March 2030 payment date, interest distribution amounts otherwise allocable to the unrated class B-3, to the extent available, may be used to reimburse any unpaid cap carryover amount for class A-1, A-2 and A-3 notes. Furthermore, the provision for principal amounts to pay any unpaid interest prior to principal distribution is highly supportive of timely interest payments to the notes in the absence of principal and interest advancing. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement 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 credit enhancement for all ratings was sufficient for the given rating levels. The credit enhancement for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers aggregator, originator and servicer capability, and the transaction-specific representation, warranty and enforcement framework as qualitative inputs to its RMBS ratings framework. These counterparty assessments are conducted and updated on a regular cadence independent of any specific RMBS rating, and Fitch uses a risk-based framework — considering contribution share and collateral profile — to determine which parties warrant review. The only consideration that has a direct impact on Fitch's loss expectations is the third-party due diligence results. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review firm deemed 'Acceptable' by Fitch and have a final grade of either A or B. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BRAVO 2026-NQM3 to be a fully de-linked and bankruptcy remote special purpose vehicle. All transaction parties and triggers align with Fitch expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.2% 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 the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: A 5% probability of default credit was applied at the loan level for all loans graded either A or B. DATA ADEQUACY Fitch relied on an independent third-party due diligence review covering 100% of the pool. The scope was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Loans reviewed under this engagement received compliance, credit, and valuation grades, with initial and final grades assigned for each subcategory. Exceptions and waivers were documented in the due diligence reports and incorporated into Fitch's analysis. Fitch also used data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information in ASF data layout format, which was considered comprehensive. The due diligence firms reviewed the ASF data tape and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRYANT PARK 2026-29: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Bryant Park Funding 2026-29 Ltd./Bryant Park Funding 2026-29 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Marathon Asset Management L.P. The preliminary ratings 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." Ratings Assigned Bryant Park Funding 2026-29 Ltd./ Bryant Park Funding 2026-29 LLC Class A, $248.0 million: AAA (sf) Class B, $56.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $24.0 million: BBB- (sf) Class D-2 (deferrable), $3.0 million: BBB- (sf) Class E (deferrable), $13.0 million: BB- (sf) Subordinated notes, $37.5 million: NR NR--Not rated. BX TRUST 2026-OPTM: S&P Assigns BB (sf) Rating on Class HRR Certs ----------------------------------------------------------------- S&P Global Ratings assigned 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 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. With the pricing of the certificates, the loan component spread was set at approximately 1.60%, which is slightly lower than the assumed component spread of 1.65% when S&P assigned its preliminary ratings. As a result, the debt service coverage ratio (DSCR), based on S&P Global Ratings' net cash flow and the interest rate cap of 4.50%, increased to 1.07x from 1.06x. Ratings Assigned BX Trust 2026-OPTM 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) HRR--Horizontal residual interest certificate. BX TRUST 2026-RISE: Fitch Assigns 'B(EXP)sf' Rating on Cl. F Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to BX Trust 2026-RISE commercial mortgage pass-through certificates, series 2026-RISE: - $415,330,000 class A at 'AAA(EXP)sf'; Outlook Stable; - $69,990,000 class B at 'AA-(EXP)sf'; Outlook Stable; - $60,740,000 class C at 'A-(EXP)sf'; Outlook Stable; - $70,230,000 class D at 'BBB-(EXP)sf'; Outlook Stable; - $122,430,000 class E at 'BB-(EXP)sf'; Outlook Stable; - $64,220,000 class F at 'B(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $22,538,668 class RR*; - $19,721,332 RR Interest*. *Vertical risk retention (VRR) interest representing approximately 5.0% of the estimated fair value of all the ABS interests, as defined in the U.S. credit risk retention rules. Transaction Summary The certificates represent beneficial interests in a trust that holds a two-year, floating-rate, interest-only (IO) mortgage loan with three one-year extension options. The mortgage will be secured by the borrowers' fee simple interest in a portfolio of 12 multifamily properties with a total of 4,922 units located across six states (Georgia, Florida, North Carolina, Texas, Colorado and Arizona). The properties were constructed between 1989 and 2018. Loan proceeds will be used to refinance approximately $924.5 million in prior debt and pay $14.8 million in closing costs. The sponsor acquired a 98% ownership stake in the portfolio from Cortland Sponsors, LLC (Cortland) at a reported cost basis of $1.21 billion through a series of transactions between May and September 2021. Cortland continues to retain a 2% minority interest in the portfolio and manages the properties. The certificates will follow a pro rata paydown structure for the initial 30% of the loan amount and a standard senior sequential paydown structure thereafter. The borrower has a one-time right to obtain a new mezzanine loan. To the extent the mezzanine loan is outstanding and no mortgage loan event of default (EOD) is continuing, voluntary prepayments would be applied pro rata between the mortgage and mezzanine loan. The loan is expected to be originated by Deutsche Bank AG, New York Branch, Societe Generale Financial Corporation, Bank of Montreal, and Nomura Corporate Funding Americas, LLC. KeyBank National Association will be both the master servicer and special servicer. Computershare Trust Company, N.A. will act as trustee and Deutsche Bank National Trust Company will act as certificate administrator and custodian. The transaction is expected to close on April 17, 2026. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch estimates stressed NCF for the portfolio at $56.2 million. Fitch applied a 7.25% cap rate, resulting in a Fitch value of approximately $775 million. High Fitch Leverage: The $845.2 million whole loan equates to debt of approximately $171,719 per unit, with a Fitch stressed loan-to-value ratio (LTV) and debt yield of 109.1% and 6.6%, respectively. Fitch increased the LTV hurdles by 1.25% to reflect the higher in-place leverage. Geographic Diversity: The portfolio is secured by 12 multifamily properties located in six states and nine MSAs. The three largest state concentrations by allocated loan amount (ALA) are Georgia (32.5% of ALA; three properties), Florida (21.9% of ALA; two properties) and North Carolina (16.1% of ALA; three properties). The three largest markets by ALA are Atlanta, GA (32.5% of ALA; 30.4% of all units), Tampa, FL (13.8% of ALA; 12.4% of all units) and Charlotte, NC (10.9% of ALA; 13.1% of all units). The portfolio has an effective MSA count of 13.9 and 38 unique tenants. Institutional Sponsorship: The loan is sponsored by BREIT Operating Partnership L.P., an affiliate of Blackstone Inc. Blackstone is one of the largest owners of CRE in the world and had approximately $1.3 trillion in assets under management as of Dec. 31, 2025, per its quarterly reporting. The sponsor has significant cash equity remaining in the transaction. Nine properties are managed by Cortland Management LLC and three properties are managed by Preferred Apartment Advisors, LLC. 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 (MIR) sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf'; - 10% NCF Decrease: 'AAsf'/'A-sf'/'BBB-sf'/'BBsf'/'Bsf'/'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 MIR sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf'; - 10% NCF Decrease: 'AAAsf'/'AA+sf'/'A+sf'/'BBB+sf'/'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 PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison and re-calculation 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. CAMB 2021-CX2: DBRS Confirms BB(high) Rating on Class HRR Certs --------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates issued by CAMB 2021-CX2 Mortgage Trust as follows: -- Class A at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class HRR at BB (high) (sf) All trends are Stable. The credit rating confirmations reflect the overall stable performance of the transaction since the previous credit rating action in April 2025. The transaction continues to benefit from the collateral being fully leased to Aventis, Inc. (Aventis), a wholly owned subsidiary of the French healthcare conglomerate Sanofi, on long-term leases that run through 2036. The subject loan is secured by the borrower's simple interest in 350 Water Street and 450 Water Street, two recently constructed, Class A, LEED Gold certified, life-sciences office buildings totaling 916,233 square feet (sf) in Cambridge, Massachusetts. The collateral serves as the headquarters for Aventis, which fully occupies both buildings on two 15-year triple-net leases that are co-terminous with the loan's final maturity date in November 2036. The subject properties are also a part of the Cambridge Crossing Development, a large master-planned urban district developed by the sponsor, DivcoWest, which has delivered more than 2.1 million sf of science and technology space. The community also features a diverse range of retail space, restaurants, and residential space. The whole loan amount of $1.2 billion comprises $814.0 million of senior debt (with $285 million held in the subject transaction) and $411.0 million of junior debt fully secured in the transaction. The remaining $529.0 million of senior debt was placed across several commercial mortgage-backed securities transactions, including BANK 2022-BNK39, which is rated by Morningstar DBRS. The fixed rate interest-only (IO) loan is structured with an anticipated repayment date in November 2031 and final loan maturity date in November 2036. Based on September 2025 rent roll, the collateral properties remain fully to be occupied by Aventis, which is currently paying an average rental rate of $83.78 per square foot, subject to 2.5% annual rent escalations. Aventis has two 10-year renewal options that are exercisable at fair market value. Both leases are guaranteed by the parent company, Sanofi, which is rated investment grade by Moody's and S&P Global Ratings. The tenant has a termination option that is exercisable in the 14th lease year (2034) and is subject to a termination fee equal to 12 months of rent, operating expenses, and taxes. According to September 2025 financial reporting, the collateral generated an annualized net cash flow (NCF) for the trailing nine months ended September 30, 2025, of $80.7 million, corresponding to a debt service coverage ratio (DSCR) of 2.33 times (x), an improvement over YE2024 NCF of $78.7 million (DSCR of 2.26x) and Morningstar DBRS NCF of $77.6 million (DSCR of 2.24x) derived at issuance. The Morningstar DBRS NCF figure reflects the long-term credit tenant treatment for Aventis, with straight-lined rents reflecting rent steps over the loan term, and no leasing costs assumed for the space. The improved reported NCF growth over the Morningstar DBRS NCF figure is largely the result of a higher expense recovery ratio over the past few years. For the purposes of this credit rating action, Morningstar DBRS maintained its valuation approach from the April 2024 review, which was based on a capitalization rate of 6.75% applied to the issuance Morningstar DBRS NCF of $77.6 million. The resulting Morningstar DBRS value was $1.15 billion, representing a -41.18% variance from the issuance appraised value of $1.95 billion and corresponds to a whole loan-to-value ratio of 106.6%. Morningstar DBRS also maintained positive qualitative adjustments, totaling 9.5% to reflect the presence of a long-term tenant, strong property quality, and its location within a strong market. Overall, Morningstar DBRS anticipates a stable to improving performance of the transaction, given the stable tenancy and strong, experienced institutional sponsorship in the form of a joint venture partnership among DivcoWest, the California State Teachers Retirement System, and Teacher Retirement System of Texas. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. Class X is IO certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. CARMAX SELECT 2025-A: Fitch Affirms 'BBsf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has affirmed the ratings of six classes of notes in CarMax Select Receivables Trust 2025-A. Fitch has also upgraded class C and assigned it a Positive Outlook. The Rating Outlook on class B was also revised to Positive from Stable, and the Outlooks for all other classes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- CarMax Select Receivables Trust 2025-A A-2A 14319UAB6 LT AAAsf Affirmed AAAsf A-2B 14319UAG5 LT AAAsf Affirmed AAAsf A-3 14319UAC4 LT AAAsf Affirmed AAAsf B 14319UAD2 LT AA+sf Affirmed AA+sf C 14319UAE0 LT A+sf Upgrade Asf D 14319UAF7 LT BBBsf Affirmed BBBsf E 14319UAH3 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmations of the outstanding notes reflect available credit enhancement (CE) and cumulative net loss (CNL) performance to date. CNLs are tracking higher than the initial rating case proxy. However, hard CE levels have grown for all classes of notes in each transaction since close, based on the current collateral balance, providing adequate coverage over Fitch's revised loss expectation. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in credit quality of the portfolio in stress scenarios and that loss coverage will continue to increase as the transactions amortize. The Positive Outlooks on the applicable classes reflect the possibility for an upgrade in the next one to two years. As of the March 2026 servicer report, 60+ day delinquencies totaled 4.63%, and CNLs were 3.08%, compared to Fitch's initial rating case CNL proxy of 9.0%. Hard CE (of the current adjusted pool balance) has increased for all classes since close. The revised lifetime rating case CNL proxy consider the transaction's remaining pool factor, pool composition, and performance to date. Furthermore, they consider current and future macroeconomic conditions that drive loss frequency, along with the state of wholesale vehicle values, which affect recovery rates and ultimately transaction losses. To account for potential increases in delinquencies and losses and continued macroeconomic pressure for subprime borrowers, Fitch applied conservative assumptions in deriving the updated rating case loss proxy. The rating case loss proxy was increased from 9.00% at close to 10.00% and utilized loss projections based on performance to date. Fitch will continue to closely monitor performance of this transaction and any impact on loss expectations. Under the revised lifetime rating case loss proxies, cash flow modelling continues to support multiples consistent with or exceeding 3.25x for 'AAAsf', 2.75x for 'AAsf', 2.25x for 'Asf', 1.75x for 'BBBsf', and 1.50x for 'BBsf'. Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings is 9.00% based on Fitch's Global Economic Outlook — March 2026 report and forecasted projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxy and affect available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Lower loss coverage could affect ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's rating case loss expectation. To date, while the transaction has projected losses exceeding Fitch's initial expectations, hard credit enhancement has built to a degree that is supportive of adequate loss coverage and multiples at the current ratings. Therefore, further deterioration above Fitch's revised rating case loss assumption would have to occur within the asset collateral to have a potential negative impact on the outstanding ratings 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 projected rating case CNL proxy, the ratings could be maintained/upgraded. 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. CARVANA AUTO 2026-P1: Fitch Assigns 'BBsf' Rating on Class N Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Carvana Auto Receivables Trust 2026-P1 (CRVNA 2026-P1). Entity/Debt Rating Prior ----------- ------ ----- Carvana Auto Receivables Trust 2026-P1 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 A-4 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 N LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral — Prime Credit Quality: CRVNA 2026-P1 is backed by collateral that is consistent with that of prior prime securitizations issued by Carvana. The Carvana 2026-P1 pool has a weighted average FICO score of 713, which is on the lower end relative to peer prime issuers. However, FICO scores above 750 total 34.3% of the pool. The transaction's percentage of extended-term loans (61+ months) is elevated at 95.9% of the pool, and loans with terms of more than 72 months formed 75.2% of the pool, both higher than most comparable transactions. The pool is diversified by vehicle brand, model and geography. Used vehicles make up 97.4% of the pool. Forward-Looking Approach to Derive Rating-Case Loss Proxy: Carvana provided managed portfolio data beginning in 2015, which showed consistent performance for its prime originations between 2015 and the start of the pandemic. Post-pandemic performance was strong, owing to significant government stimulus and strong used-car prices, which had a positive impact on pre-pandemic vintages with loans outstanding and the 2020 vintage originations. Performance began to deteriorate with the 2021 vintage, with each subsequent vintage experiencing higher loss levels through 2023 due to higher defaults and lower recoveries as used-vehicle values declined. At this stage, the 2024 and 2025 vintages show improvement, with losses lower than the 2023 vintage. Without a full cycle of detailed historical performance data, Fitch supplemented Carvana's managed performance data with proxy data from a comparable auto loan platform to derive the credit loss expectation. Fitch used Carvana's 2021-2023 performance data and recessionary data from 2007-2008 from peer auto ABS issuers to determine the rating case loss proxy. In addition, Fitch considered potential risks in the current economic environment and the state of the auto industry and wholesale vehicle market (WVM), as well as future expectations and their potential impact on the pool in deriving the rating case loss proxy. Fitch's forward-looking rating case credit cumulative net loss (CNL) proxy is 3.00%, down from 3.50% in 2025-P2. Payment Structure — Adequate CE: Initial hard CE totals 11.20%, 7.10%, 2.60%, 0.50% and 0.25% for class A, B, C, D, and N, respectively. Initial expected excess spread is 5.19%. Initial CE is sufficient to withstand Fitch's rating case CNL proxy of 3.00% at the applicable rating loss multiples of 5.00x for 'AAAsf', 4.00x for 'AAsf', 3.00x for 'Asf', 2.00x for 'BBBsf', and 1.50x for 'BBsf'. Operational and Servicing Risks — Stable Origination, Underwriting and Servicing: Carvana demonstrates adequate abilities as an originator and underwriter, and Bridgecrest demonstrates adequate abilities as a servicer. This is evident from the performance history of Carvana's managed portfolio, and the prior Carvana and DriveTime securitizations where Bridgecrest was the servicer. In addition, Vervent Inc. serves as a backup servicer in case Bridgecrest is unable to perform. Fitch views Carvana as an adequate originator and Bridgecrest as an adequate servicer for this transaction Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 2.75% based on Fitch's "Global Economic Outlook - March 2026" report and historical managed and securitization performance and projections. 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 levels available to the notes. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. In addition, unanticipated declines in recoveries could result in lower net loss coverage, which may make certain note ratings susceptible to negative rating action, depending on the extent of the decline in coverage. Therefore, 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. Fitch increases the rating case CNL proxy by 1.5x and 2.0x to represent moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and the rating impact with a 50% haircut. These analyses aim to indicate the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by steady delinquencies and defaults, would increase CE levels and lead to consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings for the subordinate notes could be upgraded by up to four notches. The class N notes could be upgraded by only one notch due to the applicable rating cap applied to excess spread notes per Fitch's Global Structured Finance Rating criteria. 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 recomputing certain information with respect to 150 automobile receivables from the underlying asset pool. 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. CF 2019-CF1: Fitch Affirms 'B-sf' Rating on Two Tranches -------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed 16 classes of CF 2019-CF1. Fitch has assigned class D a Negative Rating Outlook following the downgrade and revised the Outlooks for classes C and X-B to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CF 2019-CF1 A-2 12529MAB4 LT AAAsf Affirmed AAAsf A-3 12529MAD0 LT AAAsf Affirmed AAAsf A-4 12529MAE8 LT AAAsf Affirmed AAAsf A-5 12529MAF5 LT AAAsf Affirmed AAAsf A-S 12529MAJ7 LT AAAsf Affirmed AAAsf A-SB 12529MAC2 LT AAAsf Affirmed AAAsf B 12529MAK4 LT AA-sf Affirmed AA-sf C 12529MAL2 LT A-sf Affirmed A-sf D 12529MCY2 LT BBB-sf Downgrade BBBsf E 12529MCZ9 LT BB-sf Affirmed BB-sf F 12529MDA3 LT B-sf Affirmed B-sf G 12529MDB1 LT CCCsf Affirmed CCCsf X-A 12529MAG3 LT AAAsf Affirmed AAAsf X-B 12529MAH1 LT A-sf Affirmed A-sf X-D 12529MCV8 LT BB-sf Affirmed BB-sf X-F 12529MCW6 LT B-sf Affirmed B-sf X-G 12529MCX4 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Increasing 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 5.8%, up from 5.4% at the prior rating action. Fitch Loans of Concerns (FLOCs) comprise seven loans (32.9%) in the pool, including two specially serviced assets (14.2%). The downgrade reflects increased pool loss expectations since Fitch's last rating action, primarily driven by continued performance deterioration and higher expected losses on the specially serviced 625 North Michigan Avenue loan (7.9%). The Negative Outlooks reflect the potential for additional downgrades due to the uncertainty related to the ultimate resolution of the 625 North Michigan Avenue (7.9%) loan and imminent loan maturity, as well as concerns with larger FLOCs AC by Mariott San Jose (5.5%) and 394 Broadway (2.9%). Largest Contributors to Loss Expectations: The primary driver of overall loss expectations and the largest increase from the prior review is the 625 North Michigan Avenue loan, which is secured by a 289,594 sf office portion of a 27-story mixed-use building located along the Magnificent Mile in Chicago, IL. The loan transferred to special servicing in November 2025 due to imminent default stemming from cash flow issues. As of June 2025, the property has a net operating income (NOI) debt service coverage ratio (DSCR) of 1.33x, down from 2.26x reported at issuance, with a reported occupancy of 64%. According to CoStar, 30% of the NRA in the building is listed as available, compared to the 80% occupancy reported at YE 2023 and 92% reported at issuance. The loan is scheduled to mature in March 2026 and a servicer update regarding repayment is pending. Fitch's 'Bsf' rating case loss of 22.7% (prior to concentration add-ons) reflects a 15% stress to the YE 2024 NOI and an increased probability of default due to the specially serviced status and expected default at maturity, as well as the uncertain resolution outcome. The Fitch value reflects $135 psf, which is in line with sales and recent appraised values of comparable properties in the submarket. An additional sensitivity analysis was conducted factoring additional value degradation, resulting in a 'Bsf' sensitivity case loss of 30%, which also contributed to the Negative Outlooks. The second largest contributor to overall loss expectations is the AC by Marriott San Jose (5.5%) loan, secured by a 210-room select-service hotel built in 2017 in San Jose, CA. The loan was modified in October 2022 and is a Fitch Loan of Concern due to low DSCR and sustained underperformance since the pandemic. Cashflow continues to deteriorate with September 2025 NOI DSCR falling to 1.04x from 1.28x as of YE 2024 and compares with NOI DSCR of 1.06x at YE 2023, 0.83x at YE 2022 and -0.19x at YE 2021. Fitch's 'Bsf' rating case loss of 26.2% (prior to concentration add-ons) reflects a 10% stress to the trailing-twelve-month September 2025 NOI and an 11.25% cap rate. The third largest contributor to overall loss expectations is the 394 Broadway loan, secured by a single six-story, mixed-use building with retail and office space, constructed in 1920, located in New York, NY. The reported NOI DSCR has fluctuated near 1.00x for the past several years, reporting 0.96x as of September 2025 and YE 2024, and 1.09x at YE 2023. According to CoStar, over 15% of the building's NRA is listed as available. Fitch's 'Bsf' rating case loss of 28.2% (prior to concentration add-ons) reflects a 25% stress to the YE 2024 NOI and an increased probability of default due to the high availability and poor operating performance. Fitch is also monitoring the largest loan in the transaction, 65 Broadway (5.5%), which transferred to the special servicer in February 2024. The loan is expected to return to the master servicer following a loan modification in which the B Note was bifurcated and the borrower provided new equity to repay outstanding advances, fund leasing and address property issues. The B Note secures the rake bonds which are not rated by Fitch. Based on the updated valuation, Fitch expects minimal losses to the A Note. Increased Credit Enhancement (CE): As of the February 2026 remittance, the aggregate pool balance has been reduced by 3.60% since issuance. Loan maturities are concentrated in 2029 (68.5% of the pool balance) with 24.6% maturing in 2028 and 6.9% in 2026. Cumulative interest shortfalls of $6.0 million are affecting the non-rated NR-RR and VRR classes as well as the non-pooled rake bonds tied to the 65 Broadway loan. Four loans representing 6.48% of the pool are defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible future downgrades stemming from concerns with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades to the 'AAAsf' rated classes are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories may occur with the failure of the 625 North Michigan Avenue loan to refinance, continued performance deterioration of FLOCs 625 North Michigan Avenue, AC by Mariott San Jose and 394 Broadway or if more loans than expected default during the term and/or at or prior to maturity. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, with Negative Outlooks, could occur with higher-than-expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with stable-to-improved pool-level loss expectations and performance stabilization of FLOCs, including 625 North Michigan Avenue, AC by Mariott San Jose and 394 Broadway. Potential upgrades of these classes to 'AAAsf' would also take into consideration the concentration of defeased loans in the transaction. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur with sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CIFC FUNDING 2026-I: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2026-I, Ltd. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2026-I, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-1L LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary The issuer is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.49 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.09% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.25% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BB+sf' and 'A+sf' for class B notes, between 'Bsf' and 'BBB+sf' for class C notes, between less than 'B-sf' and 'BB+sf' for class D-1 notes, between less than 'B-sf' and 'BB+sf' for class D-2 notes, and between less than 'B-sf' and 'B+sf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AA+sf' for class C notes, 'A+sf' for class D-1 notes, 'Asf' for class D-2 notes, and 'BBB+sf' for class E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee March 5, 2026 ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2026-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. CITIGROUP 2016-GC37: Fitch Lowers Rating on Class F Certs to C -------------------------------------------------------------- Fitch Ratings has affirmed 10 classes of Citigroup Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, series 2016-GC36 (CGCMT 2016-GC36). The Rating Outlooks for one of the affirmed classes was revised to Stable from Negative. The Outlooks on five of the affirmed classes are Negative. Fitch has also downgraded one and affirmed seven classes of Citigroup Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, series 2016-GC37 (CGCMT 2016-GC37). The Rating Outlooks for two of the affirmed classes was revised to Stable from Negative. The Outlooks on four of the affirmed classes are Negative. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2016-GC36 A-5 17324TAE9 LT AAAsf Affirmed AAAsf A-S 17324TAJ8 LT Asf Affirmed Asf B 17324TAK5 LT BBBsf Affirmed BBBsf C 17324TAM1 LT BB-sf Affirmed BB-sf D 17324TAN9 LT CCCsf Affirmed CCCsf E 17324TAQ2 LT CCsf Affirmed CCsf EC 17324TAL3 LT BB-sf Affirmed BB-sf F 17324TAS8 LT Csf Affirmed Csf X-A 17324TAG4 LT Asf Affirmed Asf X-D 17324TAY5 LT CCCsf Affirmed CCCsf CGCMT 2016-GC37 B 17290XAW0 LT AA-sf Affirmed AA-sf C 17290XAX8 LT BBB-sf Affirmed BBB-sf D 17290XAA8 LT Bsf Affirmed Bsf E 17290XAC4 LT CCCsf Affirmed CCCsf EC 17290XBA7 LT BBB-sf Affirmed BBB-sf F 17290XAE0 LT Csf Downgrade CCsf X-B 17290XAZ3 LT AA-sf Affirmed AA-sf X-D 17290XAL4 LT Bsf Affirmed Bsf KEY RATING DRIVERS 'Bsf' Loss Expectations; Increasing Adverse Selection: Since Fitch's prior rating action, the deal-level 'Bsf' rating case loss is 29.8% in CGCMT 2016-GC36 and 28.3% in CGCMT 2016-GC37. All of the remaining loans in both transactions are identified as Fitch Loans of Concern (FLOCs; 100% of the pool), which includes seven loans (45.2%) in special servicing in the CGCMT 2016-GC36 transaction and four loans (23.0%) in special servicing in CGCMT 2016-GC37. Due to the near-term loan maturities, increasing pool concentration and adverse selection, Fitch performed a recovery and liquidation analysis that categorized and ranked remaining loans based on their loan status, collateral quality, and repayment/loss expectations to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that are anticipated to default or have already defaulted at maturity due to performance declines and/or rollover concerns. The revised Outlook to Stable from Negative for Class A-5 in CGCMT 2016-GC36 and Class B in CGCMT 2016-GC37 reflect increased CE from loans repaying in full since the prior rating action in addition to modifications/loan extensions of four loans (61.0% of the pool) in CGCMT 2016-GC36 and one loan in (17.8%) in CGCMT 2016-GC37. As part of these modifications, the borrowers have committed additional equity to support the assets, with the Glenbrook Square loan in the CGCMT 2016-GC36 transaction receiving investment from new sponsorship. The affirmations in CGCMT 2016-GC36 reflect loss expectations relatively in line with the prior rating action. Four loans in the pool, 5 Penn Plaza (largest loan in the pool, 25.3% of the pool balance), Glenbrook Square (19.2%), 215 West 34th Street & 218 West 35th Street (9.9%) and South Plains Mall (6.6%) were modified and granted loan extensions. The Negative Outlooks reflect elevated loss expectations on FLOCs including 5 Penn Plaza, Glenbrook Square, Park Place (9.7%) and King of Prussia Hotel Portfolio (7.2%), along with other FLOCs past scheduled maturity dates. The Negative Outlooks also reflect the adversely selected pool, with 45.2% in special servicing and significant office exposure of over 50%. The downgrade of the distressed class in CGCMT 2016-GC37 reflects the increased concentration of loans in special servicing and refinance risk driving elevated loss expectations of FLOCs, which include 79 Madison Avenue (largest loan in the pool, 28.5% of the pool), Hotel on Rivington (23.9%), Park Place (12.5%), and 5 Penn Plaza (17.8%). Four loans accounting for 23.0% pool have transferred to special servicing since the prior rating action. Additionally, the pool exhibits significant office exposure of greater than 58%. Largest Contributors to Loss: The largest contributor to overall loss expectations in CGCMT 2016-GC36 is the Glenbrook Square loan, secured by 784,604-sf of a 1,005,604-sf super-regional mall in Fort Wayne, IN. The loan was previously in special servicing and returned to the master servicer in November 2025, after a loan assumption and modification closed in August 2025. The new sponsor acquired the property in August 2025 for an undisclosed amount and assumed the existing loan. Terms of the loan modification include an equity contribution of $10 million to bring the loan current, cover tax and insurance shortfalls, and pay associated fees and expenses. With the modification, the trust will receive excess cash and interest-only payments on the outstanding UPB through the extended maturity date in November 2030. Collateral anchors include Macy's (25% of NRA leased through January 2027) and JCPenney (19%; May 2028). Former collateral anchor Carson's (12.1%) and non-collateral anchor Sears both closed their stores at the property in 2018, and the Sears store has been demolished. Collateral occupancy was 81.0% as of the November 2025 rent roll, compared to 82.3% in April 2024 and 80.7% in September 2022. The Q4 2025 servicer-reported NOI DSCR was 1.65x, compared to 1.14x at YE 2022. Fitch's 'Bsf' rating case loss of 45.8% (prior to concentration add-ons) reflects a 21% cap rate, 7.5% stress to the YE 2024 NOI and factors an elevated probability of default due to near-term anchor tenant rollover concerns and related co-tenancy risk. The second largest contributor to overall loss expectations in CGCMT 2016-GC36 and the fourth largest loss contributor in CGCMT 2016-GC37 is the 5 Penn Plaza loan, secured by a 650,329-sf office property located in Midtown Manhattan. The loan transferred to special servicing in November 2024 due to Imminent Default. A loan modification was executed in October 2025 and the loan was subsequently returned to the master servicer in January 2026. The maturity date was extended two years to January 2028 (with an additional one-year extension option through 2029). As part of the modification, the sponsor contributed $10 million in new equity to establish reserves and fund tenant improvements, leasing costs, and capex. A cash management system will also be implemented to control the collection and use of operating cash flow. The largest tenant, Thomas Publishing Company (14.3% of NRA) had a lease expiration in December 2025 and was expected to vacate at the end of its term. The second largest tenant, Sirius XM Radio (13.2%; November 2029) utilizes the property as their corporate headquarters. The ground retail portion of the property is 100% occupied by CVS, TD Bank, CityMD, and Cafe Cinq. As of 3Q25, the property was 84% occupied, compared to 85% at YE 2024, 78% at YE 2023, 84% at YE 2022, and 93% at YE 2021. The servicer-reported NOI DSCR was 1.72x as of Q3 2025, compared to 1.56x at YE 2024, 0.86x at YE 2023, 1.52x at YE 2022, 1.81x at YE 2021, and 1.70x at YE 2020. Fitch's 'Bsf' rating case loss of 14.6% (prior to concentration add-ons) reflects a 9% cap rate and a 25% stress to the YE 2024 NOI to reflect concerns with upcoming rollover equating to a recovery of approximately $337 psf. The third largest contributor to overall loss expectations in CGCMT 2016-GC36 and the second largest loss contributor in CGCMT 2016-GC37 is the Park Place loan, secured by a 523,673-sf office park built between 2009 and 2015. The property is in the area known as the "Silicon Desert," comprising 9.7 million sf of office and industrial space on 3,200 acres in western Chandler, AZ. The loan transferred to special servicing in November 2025 ahead of its January 2026 maturity date. According to the servicer, the borrower is currently selling building 4 (100,622-sf, fully vacant) and will subsequently request a partial release and minor land division, which are under review. At issuance, the tenant, Keap, representing 50.4% of the NRA, reduced its total footprint at the property to 36.8% in September 2021 upon lease expiration. Keap further reduced its footprint to 17.6% after vacating part of its space in December 2024. The remaining Keap space expires in December 2026. Major tenants at the property include Aetna Life Insurance Company (19.1% of NRA leased through June 2027), Keap (17.6%; December 2026), and LoanDepot.com (10.4%; January 2028). The property was 60.3% occupied as of the September 2025 rent roll, compared to 78.2% in October 2024 and 81% at YE 2023. The servicer-reported NOI DSCR was 0.86x as of 2Q25, down from 1.47x at 3Q24 and below 1.59x as of YE 2023. Fitch's 'Bsf' rating case loss of 35.2% (prior to concentration add-ons) reflects a 10% cap rate and 15% stress to the annualized 2Q25 NOI. The largest contributor to overall loss expectations in CGCMT 2016-GC37 is the 79 Madison Avenue loan, secured by a 17-story, 274,084-sf office building with ground floor retail located on Madison Avenue in Manhattan. The loan has been flagged as a FLOC due to the large exposure to WeWork, along with declining occupancy since issuance. The loan failed to repay at its scheduled January 2026 maturity date, but has yet to transfer to special servicing. According to the October 2025 servicer commentary, the property was marketed for sale in early 2025. The borrower was in negotiations on a potential sale of the building prior to loan maturity, but a sale was not completed. As of 3Q25, the property was 42.0% occupied, unchanged from YE 2024, and below occupancy of 68% at YE 2023. The previous decline in occupancy seen in 2024 was attributed to Ted Moudis Associates Inc (13% NRA) vacating upon its July 2024 expiration and WeWork further reducing its space by another 14% of the NRA in the first half of 2024. Major tenants at the property include WeWork (35.2% of the NRA through July 2026) and Blu Dot Design & Manufacturer (6.5% NRA; September 2031). The servicer-reported NOI DSCR was -0.23x as of 3Q25, compared to 0.41x at YE 2024, and down from 1.26x at YE 2023. Fitch's 'Bsf' rating case loss of 34.7% (prior to concentration add-ons) reflects an 9% cap rate and a 40% stress to the YE 2023 NOI to account for the significant decline in occupancy since 2023, which equates to a stressed Fitch value of $126 psf, down 81.9% from the issuance appraisal value of $190 million ($693 psf). The third largest contributor to overall loss expectations in CGCMT 2016-GC37 is the Hotel on Rivington loan, secured by a 109-key full-service hotel located on the Lower East Side of Manhattan, at the cross streets of Rivington and Essex. The loan has a March 2026 loan maturity date with the borrower reporting active discussions with several banks to secure a new loan. An updated STR report has not been provided, however, the servicer reported TTM September 2025 occupancy of 74%, up from 68% at YE 2024 and 60% at YE 2023. According to the September 2023 STR report, the subject reported TTM occupancy, ADR and RevPAR of 57.1%, $277.68 and $158.67%, compared with 51.8%, $319.43 and $165.35, respectively, as of September 2022. The respective penetration rates with respect to occupancy, ADR, and RevPAR as of the TTM September 2023 STR report were 68.4%, 86.5% and 59.1%. In 2025, the hotel completed a renovation to update the property, which included a re-design of the restaurant, rooftop, nightclub and guest rooms. Post renovation, the servicer-reported NOI DSCR has improved to 1.68x as of 3Q25, up from 0.97x at YE 2024. Fitch's 'Bsf' rating case loss of 25.4% (prior to concentration add-ons) reflects an 11.25% cap rate, 15% stress to the TTM September 2025 NOI, and factors an increased probability of default given the imminent maturity date. Increased CE: As of the March 2026 distribution date, the pool's aggregate balance for CGCMT 2016-GC36 has been reduced by 60.7% to $454.7 million from $1.16 billion at issuance. Of the loans, five (68.2%) are full-term interest-only, and the remaining 31.8% of the pool is amortizing. Three remaining loans, 51.1% of the pool, have maturity dates beyond 2026. As of the March 2026 distribution date, the pool's aggregate balance for CGCMT 2016-GC37 has been reduced by 78.1% to $152.2 million from $694.7 million at issuance. Of the loans, two (46.2%) are full-term interest-only, and the remaining 53.8% of the pool is amortizing. Only one remaining loan in the pool, 5 Penn Plaza (17.8%) has a maturity date beyond 2026. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to 'AAAsf' rated classes are not likely due to the expected continued amortization and loan payoffs, and increasing CE relative to loss expectations, but may occur should interest shortfalls affect these classes; - Downgrades to the 'AAsf' and 'Asf' category rated classes, could occur if loss expectations increase significantly due to further performance declines on the FLOCs, particularly Glenbrook Square, 5 Penn Plaza, King of Prussia Hotel Portfolio, South Plains Mall, and Park Place in CGCMT 2016-GC36 and 79 Madison Avenue, Hotel on Rivington, 5 Penn Plaza, and Park Place in CGCMT 2016-GC37. Downgrades are also likely should more loans default at or prior to maturity than expected; - Downgrades to the 'BBBsf', 'BBsf', and 'Bsf' rated classes, which have Negative Outlooks, are possible with higher loss expectations from further performance declines of the aforementioned FLOCs and with greater certainty of losses to these classes; - Further downgrades to the distressed 'CCCsf', 'CCsf', and 'Csf' rated classes would occur as losses become more certain and/or as losses are incurred; Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to the 'Asf' and 'AAsf' rated classes are not expected, but may occur with significant improvement in CE and/or defeasance, as well as with the stabilization of performance on the FLOCs, specifically the Glenbrook Square, 5 Penn Plaza, King of Prussia Hotel Portfolio, South Plains Mall, and Park Place in CGCMT 2016-GC36 and 79 Madison Avenue, Hotel on Rivington, 5 Penn Plaza, and Park Place in CGCMT 2016-GC37; - Upgrades to the 'BBBsf', 'BBsf', and 'Bsf' 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 rating of 'CCCsf', 'CCsf', and 'Csf' classes are not expected but would be possible with better-than-expected recoveries or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2017-COR2: Fitch Affirms 'Bsf' Rating on Class F-RR Debt ------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of COMM 2016-COR1 Mortgage Trust. The Rating Outlooks for classes A-M, B, C, X-A and X-B remain Negative. Fitch has also affirmed 13 classes of COMM 2017-COR2 Mortgage Trust. The Outlooks for classes A-M and X-A were revised to Stable from Negative. The Outlooks for classes B, C, D, E-RR, F-RR, X-B, and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- COMM 2017-COR2 A-2 12595EAC9 LT AAAsf Affirmed AAAsf A-3 12595EAD7 LT AAAsf Affirmed AAAsf A-M 12595EAF2 LT AAAsf Affirmed AAAsf A-SB 12595EAB1 LT AAAsf Affirmed AAAsf B 12595EAG0 LT AA-sf Affirmed AA-sf C 12595EAH8 LT A-sf Affirmed A-sf D 12595EAN5 LT BBBsf Affirmed BBBsf E-RR 12595EAQ8 LT BBsf Affirmed BBsf F-RR 12595EAS4 LT Bsf Affirmed Bsf G-RR 12595EAU9 LT CCCsf Affirmed CCCsf X-A 12595EAE5 LT AAAsf Affirmed AAAsf X-B 12595EAJ4 LT AA-sf Affirmed AA-sf X-D 12595EAL9 LT BBBsf Affirmed BBBsf COMM 2016-COR1 A-3 12594MBB3 LT AAAsf Affirmed AAAsf A-4 12594MBC1 LT AAAsf Affirmed AAAsf A-M 12594MBG2 LT AA-sf Affirmed AA-sf A-SB 12594MBA5 LT AAAsf Affirmed AAAsf B 12594MBE7 LT BBB-sf Affirmed BBB-sf C 12594MBF4 LT BB-sf Affirmed BB-sf D 12594MAL2 LT CCCsf Affirmed CCCsf E 12594MAN8 LT CCsf Affirmed CCsf F 12594MAQ1 LT Csf Affirmed Csf X-A 12594MBD9 LT AA-sf Affirmed AA-sf X-B 12594MAA6 LT BBB-sf Affirmed BBB-sf X-C 12594MAC2 LT CCCsf Affirmed CCCsf X-E 12594MAE8 LT CCsf Affirmed CCsf X-F 12594MAG3 LT Csf Affirmed Csf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses have increased to 11.8% for COMM 2016-COR1 compared to 10.7% at the prior rating action. For COMM 2017-COR2, losses have remained stable at 5.2% compared to 5.3% at the prior rating action. The COMM 2016-COR1 transaction includes 11 loans (45.7% of the pool) that have been identified as Fitch Loans of Concern (FLOCs), including three specially serviced loans (7.4%). The COMM 2017-COR2 transaction has 13 FLOCs (35.3%), and there are no loans currently in special servicing. Due to the near-term loan maturities and increasing pool concentrations, Fitch performed a look-through analysis including the likelihood of repayment to determine expected loan recoveries and losses, based on the current loan status, collateral quality and performance. The Negative Outlooks reflect this analysis and reliance on proceeds from FLOCs to repay these classes. The Negative Outlooks in COMM 2016-COR1 reflect loss expectations from the specially serviced loans, which include the REO Westfield San Francisco Centre (3.3%) asset, Holiday Inn Resort Daytona Beach Oceanfront (2.2%) and Hagerstown Premium Outlets (2.0%). The Outlooks also reflect higher expected losses from loans that are likely to face refinancing challenges upon maturity. Future downgrades are possible if FLOC performance continues to deteriorate or if the FLOCs default at or prior to maturity, particularly three office loans in the pool, Champion Station (11.1%), 286 Madison Avenue (8.3%) and Comcast Place (3.9%). The COMM 2016-COR1 pool has elevated office exposure of 38.1%. The Outlook revision to Stable from Negative for classes A-M and X-A in COMM 2017-COR2 reflects overall stable performance and increased likelihood of repayment from performing loans as they approach maturity. The Negative Outlooks in COMM 2017-COR2 reflect possible downgrades if performance of the FLOCs continues to deteriorate, particularly 16027 Ventura Boulevard (3.0%), 592-594 Dean Street (1.6%), and Mall of Louisiana (5.5%). Downgrades are also possible if other loans experience performance declines and/or more loans than anticipated default at maturity. Largest Contributors to Loss: The largest contributor to overall loss expectations in COMM 2016-COR1 is the Westfield San Francisco Centre (3.3%) REO asset. It consists of a 553,366-sf retail and a 241,155-sf office portion of a 1,445,449-sf super regional mall located in San Francisco Union Square neighborhood. The loan transferred to special servicing in June 2023 due to imminent monetary default after the sponsors, Westfield and Brookfield, disclosed their intentions to return the keys to the lender. Foreclosure was completed in December 2025, and the asset is currently REO. According to the servicer, the asset is being marketed for sale, and a disposition is expected to be finalized towards the end of 2Q2026 or early 3Q2026. Various media outlets have reported that a sale is pending. Most tenants exercised co-tenancy termination rights after non-collateral anchor tenants Nordstrom and Bloomingdale's vacated. The asset has been decommissioned, and an on-site property manager is the only remaining occupant at the property. Fitch's 'Bsf' rating case loss of 90.0% (prior to concentration add-ons) reflects a recovery value of $70 psf and is consistent with Fitch's sensitivity scenario at the prior rating action. The elevated loss expectations reflect the asset's mostly vacant status and the likelihood that there will be a near-term distressed sale. The second largest contributor to overall loss expectations in COMM 2016-COR1 is the Champion Station loan (11.1%), which is secured by a 287,271-sf suburban office property located in San Jose, CA. The loan was identified as a FLOC due to major tenant Itron (66.7% of NRA) listing their space as available for sublease. The tenant continues to pay rent in accordance with their lease agreement, which expires in September 2026 and is coterminous with the August 2026 loan maturity. The other remaining tenant in the property is ForeScout Technologies (33.3% of NRA, leased through October 2026). Fitch requested an update on the status of the lease but did not receive a response. The loan reported total reserves of $1.4 million or $4.9 psf as of the February 2026 loan level reserve report. According to CoStar, the property lies within the North Santa Clara Office Submarket of the San Jose, CA market area. As of 4Q25, average rental rates were $48.99 psf and $58.14 psf for the submarket and market, respectively. Vacancy for the submarket and market was 18.8% and 15.4%, respectively. Fitch's 'Bsf' rating case loss of 24.6% (prior to concentration add-ons) is based on a 10% cap rate and a 15% stress to the annualized September 2024 NOI. It factors in an increased probability of default due to the loan's heightened maturity default concerns given upcoming rollover. The third largest contributor to overall loss expectations in COMM 2016-COR1 is the Hagerstown Premium Outlets loan (2.0%), which is secured by a 484,994-sf outlet center located in Hagerstown, MD. The loan recently transferred back to special servicing in February 2026 due to a maturity default. The loan returned to the master servicer in December 2025, after previously transferring to the special servicer in August 2023 due to delinquent payments. A modification agreement was executed in July 2025, with a conversion to an interest-only payment structure. The property was 50.2% occupied as of YE 2024. Since YE 2021, the NOI DSCR has remained at or below 1.00x, with a reported NOI DSCR of 0.77x as of December 2024, down from 0.99x as of June 2023, and 1.00x at YE 2022. Fitch requested but did not receive updated financial reports. Fitch's 'Bsf' rating loss of 61.4% (prior to concentration add-ons) is based on the most recent appraisal value. It is approximately 81.1% below the issuance appraisal value and equates to a stressed value of $58 psf. The largest contributor to overall loss expectations in COMM 2017-COR2 is the Ventura Boulevard loan (3.0% of the pool), which is secured by a 112,516-sf suburban office building located in Encino, CA. Property occupancy improved to 75% as of the servicer-reported September 2025 rent roll, compared with 63.9% as of September 2023, from 65% at YE 2022, 74% at YE 2021, and 87% at YE 2019. However, near-term lease rollover includes 8.0% of the NRA in 2026 across three tenants and seven tenants for 42.8% of NRA in 2027. The servicer-reported NOI DSCR was 0.84x as of the trailing-nine-months ended September 2025, down from 1.21x as of YE 2024, 0.66x at YE 2023 and 1.72x at YE 2022. The loan reported total reserves of $709,143 or $6.30 as of the February 2026 loan level reserve report. According to CoStar, the property lies within the Encino Office Submarket of the Los Angeles, CA market area. As of 4Q25, vacancy rates were 15.4% and 16.0%, respectively, and availability rates of 17.1% and 17.8%, respectively. Fitch's 'Bsf' ratings case loss of 32.5% (prior to concentration adjustments) is based on a 10% cap rate, a 20% stress to the YE 2022 NOI and factors in an increased probability of default to account for the loan's heightened term and maturity default concerns. The second largest contributor to overall loss expectations in COMM 2017-COR2 is the 592-594 Dean Street (1.6%) loan, which is secured by a 30,638-sf office property in downtown Brooklyn, NY. The property's largest tenants include Industrious Coworking (61.3%, February 2030) and USPS (38.7%, February 2030). Fitch's 'Bsf' ratings case loss of 32.7% (prior to concentration adjustments) is based on a 10% cap rate and a 15% stress to the YE 2024 NOI. It factors in an increased probability of default to account for the loan's maturity default concerns. Increase in Credit Enhancement (CE): As of the March 2026 distribution date, the aggregate pool balances of the COMM 2016-COR1 and COMM 2017-COR2 transactions have been reduced by 19.6% and 10.6%, respectively, since issuance. The COMM 2016-COR1 transaction includes seven loans (15.8% of the pool) that have fully defeased. Nine loans (21.9%) are fully defeased in COMM 2017-COR2. Principal Loss and Interest Shortfalls: To date, the COMM 2016-COR1 transaction has incurred $3.9 million in realized principal losses which have been absorbed by the non-rated class G. The COMM 2017-COR2 transaction has not incurred any realized principal losses. Interest shortfalls totaling $2.1 million are affecting the non-rated class G and class F in the COMM 2016-COR1 transaction, and interest shortfalls totaling $24,291 are affecting the non-rated class H-RR in the COMM 2017-COR2 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not likely due to their high CE, senior position in the capital structure and expected continued amortization and loan repayments. Downgrades could occur if deal-level losses increase significantly and/or interest shortfalls affect these classes. Downgrades to classes rated in the 'AAsf' and 'Asf' categories in the COMM 2016-COR1 transaction could occur with an increase in pool-level losses from further performance deterioration of FLOCs, namely Champion Station, 286 Madison, Comcast Place, Mt Diablo Terrace, and GM Office Building, and/or higher than expected losses from the specially serviced loans, Westfield San Francisco Centre and Hagerstown Premium Outlets. In the COMM 2017-COR2 transaction, downgrades to these classes could occur if performance of the FLOCs, most notably Mall of Louisiana, 16027 Ventura Boulevard, 592-594 Dean Street, and Spring River Business Park, deteriorate further or fail to stabilize. In addition, downgrades are possible if the Grand Hyatt Seattle and Renaissance Seattle loans face refinance challenges upon maturity. Downgrades to classes rated in the 'BBBsf', 'BBsf' and ' Bsf' categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. Downgrades to distressed classes are possible should additionally loans transfer to special servicing and as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'AAsf' and 'Asf' may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to '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. CQS US 6: Fitch Assigns BB-sf Rating on Cl. E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CQS US CLO 6, Ltd. Entity/Debt Rating ----------- ------ CQS US CLO 6, Ltd. A-1 LT NRsf New Rating A-1L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Sub Notes LT NRsf New Rating Transaction Summary CQS US CLO 6, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CQS (US), LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.81, and will be managed to a WARF covenant from a Fitch test matrix. Issuers 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 74.18% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CQS US CLO 6, 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. DBGS 2021-W52: DBRS Confirms B(high) Rating on Class F Certs ------------------------------------------------------------ DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the DBGS 2021-W52 Mortgage Trust Commercial Mortgage Pass-Through Certificates issued by DBGS 2021-W52 Mortgage Trust as follows: -- Class A at AAA (sf) -- Class X-EXT at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at BBB (sf) -- Class E at BB (sf) -- Class F at B (high) (sf) Morningstar DBRS changed the trends on Classes B, C, D, E, and F to Negative from Stable. All remaining classes have Stable trends. Morningstar DBRS also discontinued and withdrew its credit rating on Class X-CP as the certificate exceeded its stated maturity of October 2024 and is no longer receiving interest payments. The Negative trends reflect Morningstar DBRS' concerns with the continued lag in cash flows from issuance expectations, particularly ahead of the upcoming loan maturity. However, given the collateral office property's desirable location, extensive capital improvements completed by the sponsor in 2024, and the significant equity investment contributed at close, Morningstar DBRS believes the property remains well positioned. The sponsor is expected to have significant incentive to secure replacement financing or to exercise the final structured extension option through 2027. The loan is collateralized by 51 West 52nd Street (also known as the Black Rock Building or the CBS Building), a Class A, office high-rise property in Midtown Manhattan with approximately 880,000 square feet (sf) of leasable space. The property was nearly fully occupied at issuance, but there was a known pending departure for the former largest tenant, the CBS Corporation (CBS; just more than 32.0% of the net rentable area (NRA)), in 2023. Since CBS' departure, cash flows have reported below breakeven on the actual floating-rate debt service, and, as of December 2025, the occupancy rate was 86.2%, with concentrated rollover scheduled over the next two years. The loan sponsor, Harbor Group International, LLC, (Harbor), executed an extensive $128.0 million renovation in 2024. The subject also benefits from a prime location, within proximity to dozens of major corporate headquarters, the Rockefeller Center, Bryant Park, and Grand Central Terminal, and the loan's low going-in loan-to-value ratio (LTV) of approximately 53.8% based on the issuance appraised value and the current loan balance. The $420.0 million mortgage loan, along with $378.1 million in borrower equity, was used to acquire the property for $760.0 million, pay $32.6 million in closing costs, and fund $5.5 million in an upfront tax reserve. At issuance, there was additional mezzanine financing of $25.0 million providing additional upfront reserves for tenant improvement, leasing costs, and capital expenditures. The associated mezzanine loan provides for up to $113.4 million in future advances that would be reserved for additional future leasing costs ($87.9 million), additional capital improvement ($15.0 million), and future shortfalls ($10.5 million). At issuance, Harbor noted the future advances would fund planned renovations to reposition the collateral and achieve higher rental rates that are in line with some of Midtown Manhattan's premier trophy assets. As per the servicer commentary, the balance on the mezzanine loan was reported at $64.9 million as of August 2025. The interest-only (IO) floating-rate loan had an initial maturity of October 2024; however, the borrower exercised the second of three one-year extension options available, and the loan is now scheduled to mature in October 2026. There are no performance triggers, financial covenants, or fees required for the borrower to exercise any of the extension options; however, the execution of each option is conditional upon, among other things, no events of default and the borrower's purchase of an interest rate cap agreement with a strike rate at 3.5% for each extension term. The loan has been on the servicer's watchlist since November 2022 for a low debt service coverage ratio (DSCR) and the commencement of the additional reserve sweep period. As per the most recently reported financial statement, the YE2025 net cash flow (NCF) was $19.8 million (a DSCR of 0.54 times(x)), an improvement compared with the YE2024 NCF of $15.5 million (a DSCR of 0.40x) but ultimately below Morningstar DBRS' NCF of $33.8 million derived at issuance. The cash sweep fund is capped at $25.0 million, with 40.0% allocated to a shortfall reserve, 45.0% to leasing cost reserve, and 15.0% to a capital improvement reserve. In addition, the lease sweep trigger also commenced in March 2023 after CBS began vacating its space. Per the loan agreement, excess cash flow will be swept up to $150 per square foot (psf). Morningstar DBRS requested confirmation of the reserve balance on the cash management account but did not receive a response as of the date of this press release. However, there was $6.8 million held across tenant, capital improvement, and leasing reserves as per the February 2026 remittance report. According to the most recent rent roll, the property was 86.2% occupied as of December 2025, compared with YE2024 and YE2023 occupancy figures of 77.0% and 80.8%, respectively. The increase in occupancy is attributable to newly signed leases for Brightstar (3.8% of the NRA) and Computershare (3.0% of the NRA). The largest tenant, Orrick Herring (Orrick; 29.8% of the NRA) also signed a lease through August 2026 for an additional 5.6% of the NRA. However, Orrick is also reducing its footprint by 117,460 sf (or 39.2% of its current space) at various upcoming lease expiry dates in 2026. Moreover, the third-largest tenant, Dorsey & Whitney (7.9% of the NRA) is also vacating upon its lease expiration in July 2026. However, offsetting some of the upcoming departures, the borrower has noted that Kroll Bond Rating Agency (KBRA) will occupy 121,260 sf of space (13.7% of the NRA) beginning in the fall of 2026; several media outlets have reported this represents a move of KBRA's headquarters from its current location. Given these developments, Morningstar DBRS estimates a leased rate of around 80.0%. According to Reis, Inc., the Plaza submarket reported a Q4 2025 vacancy rate of 11.2% and average effective rental rate of $83.99 psf, slightly more than the average rental rate of $83.81 psf at the property as reported in the most recent rent roll. Morningstar DBRS notes that the newly signed leases have been executed at market rates that are above the in-place rental rates, indicating the potential for further improvements in cash flow. In the analysis for this review, the Morningstar DBRS Value for the property was updated based on a 2.0% haircut to the YE2023 NCF of $28.6 million, with a year-end occupancy rate of 81.0% reported by the servicer, in line with Morningstar DBRS' estimated leased rate as of March 2026. The revenue figure reported in 2023 is comparable to the figure derived by Morningstar DBRS based on an analysis of the December 2025 rent roll and estimated upside in a lease up to market occupancy rates. The capitalization rate of 7.5% was maintained from the previous analysis, resulting in a Morningstar DBRS Value of $373.4 million, which is a variance of 17.1% and 28.2% from the Morningstar DBRS Values derived in April 2024 and at issuance, respectively, and is 52.1% below the appraised value of $780.0 million at issuance. The resulting Morningstar DBRS Value implies an LTV of 112.5%, and Morningstar DBRS maintained positive qualitative adjustments of 4.0% in the LTV Sizing analysis to reflect the recent renovations and desirable location. The resulting LTV Sizing Benchmarks suggested negative credit ratings pressure across the capital stack, supporting the Negative trends with this review. The credit ratings assigned to Classes A, B, C, D, E, and F are higher than the results implied by the LTV Sizing Benchmarks by three or more notches. The variances are warranted given the property's desirable location near demand drivers such as Rockefeller Center and Grand Central Terminal in Midtown Manhattan, the sponsor's commitment to the property as demonstrated by the recent renovations totaling $128.0 million completed in 2024, and the property's above-market rental rates. If the borrower is unable to achieve meaningful leasing momentum and the property's performance further declines, credit rating downgrades may be warranted, as signaled by the Negative trends. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Class X-EXT is an IO certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. DEEPHAVEN RESIDENTIAL 2026-INV2: S&P Rates (P)B Rating on B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Deephaven Residential Mortgage Trust 2026-INV2's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans to both prime and nonprime borrowers (some with initial interest-only periods) with a weighted average seasoning of two months. The mortgage loans have primarily 30-year maturities, and some have 15- and 40-year maturities. The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, and a condotel. The pool has 1,130 loans, backed by 1,137 properties, which are all ability-to-repay exempt. The preliminary ratings are based on information as of March 24, 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 provided, associated structural mechanics, and representation and warranty framework; -- The mortgage originators and aggregator; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned Deephaven Residential Mortgage Trust 2026-INV2(i) Class A-1, $147,170,000: AAA (sf) Class A-1A, $125,055,000: AAA (sf) Class A-1B, $22,115,000: AAA (sf) Class A-1FCF, $37,500,000: AAA (sf) Class A-1LCF, $12,500,000: AAA (sf) Class A-2, $20,591,000: AA (sf) Class A-3, $35,405,000: A (sf) Class M-1, $15,702,000: BBB (sf) Class B-1, $11,407,000: BB (sf) Class B-2, $8,888,000: B (sf) Class B-3, $7,111,268: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, not applicable: NR (i)The collateral and structural information reflect the term sheet dated March 19, 2026. The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the loans' aggregate stated principal balance. NR--Not rated. DIVERSIFIED ABS X: Fitch Affirms BB- Rating on Class B Notes ------------------------------------------------------------ Fitch Ratings has affirmed the current ratings on Diversified ABS X LLC, revising the Outlook on the class B notes to Positive from Stable. The Rating Outlook is Stable for the class A-1 and A-2 notes. The ratings are as follows: - $200,000,000, series 2025-1 class A-1 notes, 'A-'; Outlook Stable; - $240,000,000, series 2025-1 class A-2 notes, 'BBB'; Outlook Stable; - $90,000,000, series 2025-1 class B notes, 'BB-'; Outlook Positive. Entity/Debt Rating Prior ----------- ------ ----- Diversified ABS 10 Series 2025-1 Class A-1 255126A*5 LT A- Affirmed A- Series 2025-1 Class A-2 255126A@3 LT BBB Affirmed BBB Series 2025-1 Class B 255126A#1 LT BB- Affirmed BB- Transaction Summary The notes are backed by oil and gas proved, developed and producing (PDP) assets with a full-life PV-10 value of approximately $920.5 million (20-year PV-10 value of $850.1 million) operated and managed by a wholly owned subsidiary of Diversified Energy Company PLC (DEC). The current valuation is based on strip pricing for oil and gas as of March 13, 2026. The estimated advance rate for the class A notes is 43.2% of the full-life PV-10 (46.8% of the 20-year PV-10), and in aggregate is 52.1% of the full-life PV-10 (56.4% of the 20-year PV10). Fitch's ratings address the likelihood of timely payment of interest on a monthly basis and ultimate payment of principal by the legal final maturity in February 2045 for the class A notes, and ultimate payment of interest and principal by February 2045 for the class B notes. This transaction is a Master Trust with a portion of DEC's Appalachia assets. Since closing, production volumes and expenses have been consistent with Fitch's base case assumptions. Securitized net cash flow (SNCF) has been slightly better than closing expectations, which combined with additional protection from hydrocarbon price hedges, has contributed to healthy amortization of the notes within expectations. KEY RATING DRIVERS Rating Threshold (Neutral): The future generation of the flows is expected to continue with limited disruption in the event of an operator bankruptcy. Therefore, Fitch has not directly linked the transaction rating to DEC's credit quality. However, although PDP production is not dependent on any future development capex, operational risk remains present in the transaction given the continued reliance on the operator for maintenance of the wells to adequately maintain production. This exposure to the operational risk present in PDP transactions limits the rating of the notes to the 'A' category. Asset Quality (Positive): The transaction portfolio consists of over 57,000 wells located in the Appalachian Basin that have a weighted average life/seasoning of approximately 21 years, which greatly mitigates event risk at any given well having detrimental impact on transaction cash flows. Natural gas makes up approximately 87% of the expected hydrocarbon production, with the remainder of production from natural gas liquids (NGLs) and oil. The decline profile has historically been stable, and Fitch expects it to remain stable over the life of the transaction. Asset Stresses (Neutral): The continuous generation of the securitized revenue stream depends on net cash flows (NCFs) related to each well. These NCFs relate to production levels and the price at the wellhead, minus all expenses. Fitch's base case (FBC) production levels have been informed by DEC's projections and historical asset performance to determine production levels based on the existing PDP reserves. DEC's reserves are evaluated by a third-party independent engineer (IE) at the corporate level. Since the transaction's inception, production has been slightly below initial IE base case expectations and near FBC projections. Given the stability of asset production performance to date, production levels are stressed 1.0% above IE base case expectations in FBC scenarios, and 12.25%, 10.00% and 5.50% in Fitch's 'A-', 'BBB' and 'BB-' stressed scenarios, respectively. While operating costs for each well may experience some volatility, the overall operating costs of the portfolio are deemed to be stable. Since closing, expenses have varied monthly. However, overall transaction expense levels have been slightly higher than closing IE base case projections and approximately 1% lower than FBC assumptions. Fitch's expense projections assume the transaction will not be charged for midstream on DEC-owned midstream infrastructure. Fitch stressed other fixed and variable costs to absorb potential future volatility at 2.0% in the FBC while increasing these stresses to 12.00%, 10.00% and 6.00% in Fitch's 'A-', 'BBB' and 'BB-' stressed scenarios, respectively. Leverage and Coverage Levels (Positive): Fitch expects future cash flows generated from the assets to be sufficient to meet debt service payments during the life of the transaction and ultimately repay principal by legal final maturity. Fitch's evaluation is primarily through a measurement of debt service coverage ratio (DSCR) and the loan life coverage ratio (LLCR) measuring future securitized net cash flows against outstanding loan balances. The average DSCRs through the anticipated repayment date are 4.45x, 2.60x and 2.16x for the class A-1, class A-2 and class B notes, respectively, in the IE base case. After applying simultaneous stresses to production, expenses, prices and differentials in the FBC, DSCRs are 4.22x, 2.47x and 2.06x, respectively, which is well above the 1.3x DSCR coverage expected to achieve investment grade ratings for transactions of this nature. The LLCRs are 7.13x, 2.53x and 1.83x, respectively, for the class A-1, class A-2 and class B notes, in the IE base case. In the FBC, LLCRs are 6.03x, 2.15x and 1.60x, respectively, which are comfortably above the 1.3x to 1.4x LLCR expected in Fitch's base case to achieve investment-grade ratings. Further, Fitch also ran temporary shock scenarios, consistent with its criteria for ongoing surveillance of transactions of this nature, in which there were approximately two years of FBC conditions, followed by two years of stressed-level conditions, followed by a return to FBC conditions. In this shock scenario, which is the primary scenario Fitch used to determine ratings on the notes, the LLCRs are 5.86x, 2.11x and 1.56x, respectively, for the class A-1, class A-2 and class B notes, which is well above the 1.0x LLCR level expected to ensure repayment under stress tests. In the stressed scenario, the class A-1, class A-2 and class B notes paid in full in month 73, 96 and 109, respectively, and prior to the legal final maturity date. The loan-to-value (LTV) is an important supplemental metric when analyzing leverage. The FBC full-life LTVs are approximately 51.1% for the senior class A notes and 61.5% in aggregate. Financial Structure (Neutral): The transaction benefits from significant structural protections, including (i) backward-looking cash sweep mechanisms based on DSCR and production tracking levels, which allow the notes to de-lever on an accelerated basis if the performance of the transaction is not in line with DEC base case expectations, (ii) liquidity reserves sized to cover six months of monthly interest payments and senior expenses, and (iii) financial hedges intended to mitigate the majority of price risk. The notes in this transaction pay down through a combination of scheduled amortization and a 32.5% variable sweep. The transaction mitigates the majority of price risk through hedges covering approximately 80%-95% of natural gas volumes through June 2034. Natural gas hedges will be rolled on 80%-95% of projected production for 8.5 years following each annual determination date. After the fourth anniversary of closing, the rolling hedge requirement drops to five years if the aggregate LTV is less than 45%. Natural gas basis is hedged on approximately 80%-95% of projected production through December 2030 and will continue to do so on a two-year rolling basis. NGLs and oil are hedged through swaps through December 2030 covering approximately 80%-95% of volumes. Hedges will be rolled for 80%-95% of projected production for the five years following each annual determination date. After the fourth anniversary of closing, the rolling hedge requirement decreases to three years if the aggregate LTV is less than 45%. Counterparty Risks (Neutral): Fitch analyzed the transaction's exposure to counterparty risk in line with its "Structured Finance and Covered Bonds Counterparty Rating Criteria." Eligibility thresholds for the hedge counterparties are 'BBB' and/or 'F3' or higher for two of the existing hedge counterparties, and 'BBB-' or 'F3' for one of the hedge counterparties, which is in line with Fitch's criteria for the 'BBB' category level. However, these thresholds are below the 'BBB' or 'F2' standard for the 'A' category level. As such, Fitch performed a materiality assessment for the hedge counterparties as it relates to the class A-1 note and deemed the counterparties in the transaction to be sufficient to support the ratings of the notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The credit strength of the transaction is linked to the production levels of the portfolio of assets as well as fluctuations in overall expenses, which may ultimately reduce the securitized net cash flow. Significant decreases in production relative to projections will have a negative impact on the rating. Although the transaction will hedge the majority of price risk related to oil, natural gas liquids, natural gas, and natural gas basis for portions of time during the life of the transaction, a significant change in basis or a long-term reduction in commodity prices may have a negative impact if the transaction goes beyond the expected maturity of the notes. A significant portion of amortization in this transaction is a variable percentage of transaction cash flows, and lower than expected transaction cash flows and amortization may have a negative impact on the rating. Any changes in these variables will be analyzed in a rating committee to assess the possible impact on the transaction ratings. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The class A-1 notes are capped in line with the criteria, and the transaction will continue to be capped unless there are changes within the current criteria. Upgrades are limited given the Master Trust structure and provision to issue additional debt. The class A-2 notes and class B notes are limited by leverage and their partial subordinated position to the A-1 notes. While the hedges add significant protection to the transaction against price risk, they also limit the potential for upgrades unless Fitch believes overall prices will increase over a long-term horizon. 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. EFMT 2026-NQM3: Fitch Assigns 'B-sf' Final Rating on Three Tranches ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to EFMT 2026-NQM3 mortgage pass-through certificates, series 2026-NQM3 (EFMT 2026-NQM3). Entity/Debt Rating Prior ----------- ------ ----- EFMT 2026-NQM3 A-1 LT AAAsf New Rating AAA(EXP)sf A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-2 LT AA-sf New Rating AA-(EXP)sf A-3 LT A-sf New Rating A-(EXP)sf A1F LT WDsf Withdrawn AAA(EXP)sf A1FCF LT WDsf Withdrawn AAA(EXP)sf A1FCX LT WDsf Withdrawn AAA(EXP)sf A1IO LT WDsf Withdrawn AAA(EXP)sf A1LCF LT WDsf Withdrawn AAA(EXP)sf M-1 LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BB-sf New Rating BB-(EXP)sf B-1A LT BB-sf New Rating BB-(EXP)sf B-X1A LT BB-sf New Rating BB-(EXP)sf B-2 LT B-sf New Rating B-(EXP)sf B-2A LT B-sf New Rating B-X2A LT B-sf New Rating B-3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 1,188 loans with a balance totaling $508,501,078.36 as of the closing date. This will be the 17th EFMT transaction rated by Fitch and the second non-qualified mortgage (non-QM or NQM) EFMT transaction in 2026 that has a Fitch rating. The certificates are secured mainly by non-QM loans, as defined by the Ability to Repay Rule (the Rule), and include investment properties and other loans that are not subject to the Rule. The loans were originated by The Loan Store, Inc. (TLS; 11.11%), LendSure Mortgage Corp. (LendSure; 30.63%) and American Heritage (14.80%), with the remaining 43.43% originated by various third-party originators who also contributed. Cornerstone Home Lending, Inc., Rocket Mortgage LLC (d/b/a Rushmore) and PennyMac Loan Services, LLC will service the loans. Rocket Mortgage LLC will be the master servicer for the transaction. While a majority of the loans in the collateral pool comprise fixed-rate mortgages, 4.83% of the pool loans have an adjustable rate. All ARM loans are based on the 30-day secured overnight financing rate. Classes A-1A, A-1B, A-2 and A-3 are fixed rate with a step-up coupon on or after April 2030 and are capped at the net weighted average coupon (WAC). Classes M-1 and B-1 are fixed rated and capped at the net WAC. Classes B-2 and B-3 will have an interest rate equal to the net WAC. After the presale was published, the issuer decided to create exchangeable classes off of the B-2 class. As a result, Fitch assigned a 'B-sf' rating to B-2A and B-X-2A. B-2A and B-X-2A have a Stable Rating Outlook. In addition, the collateral pool was updated to reflect loans that paid off and updated balances. The changes to the collateral were not material and did not impact the losses that were previously assigned. The outstanding Fitch rated classes still have sufficient credit enhancement to pass their previously assigned rating stresses. After the presale was published, the issuer decided to no longer offer the following classes due to market demand: A-1FCF, A-1FCX, A-1LCF, A-1F, and A-1IO. As a result of the classes no longer being offered, Fitch has withdrawn the ratings for these classes that previously held expected ratings of 'AAAsf' with a Stable Rating Outlook. 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 1,188 performing, fixed-rate and adjustable-rate loans secured by loans on primarily one- to four-family residential properties (including attached and detached single family homes, planned unit developments [PUDs]), condos/condotels, townhouses, two- to four-unit multifamily properties and five- to 10-unit multifamily properties) totaling $508,501,078.36. The pool does include cross-collateralized loans, and fewer than 0.5% of loans are to foreign nationals. The loans are mainly exempt from QM or are NQM loans, with the majority of being underwritten to 12- to 24-month bank statement or debt service coverage ratio (DSCR) underwriting guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned four months on average. The pool has a weighted average (WA) original FICO score of 743, indicating very high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 73.10%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 80.95%. This transaction has a final probability of default (PD) of 42.13 at the 'AAA' rating stress. Fitch's final loss severity at the 'AAAsf' rating stress is 45.85. The expected loss at the 'AAAsf' rating stress is 19.31. Structural Analysis (Mixed): EFMT 2026-NQM3 has a modified-sequential structure with limited advancing of delinquent principal and interest (P&I) and excess spread. The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1A, A-1B, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially: first, to classes A-1A and A-1B, and then to A-2 and A-3 until they are reduced to zero. 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 April 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, and A-2 and A-3 classes on and after April 2030. Specifically, on any distribution date occurring on or after the distribution date in April 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 and A-1B certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after April 2030 given that classes A-1A, A-1B, 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 P&I. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is there is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. In addition to subordination, the transaction has excess spread to protect the classes from losses should they occur. Losses are allocated reverse sequentially, starting with the B-3 class. Once the A-2 class is written off, losses will be allocated on a pro rata basis based on the aggregate class balance of the class A-1A and A-1B certificates, sequentially, to the class A-1B and A-1A certificates, in that order, until their respective class balances have been reduced to zero. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to arrive at a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans that have been fully reviewed by the third-party review (TPR) firm and that have a final grade of either A or B. All of the loans had a due diligence review conducted; however, only 99.9% of the loans in the pool received the 5-bps z-score credit, while the single C grade loan did not receive the credit. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform to the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects EFMT 2026-NQM3 to be fully de-linked and have a bankruptcy-remote SPV transaction structure. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to EFMT 2026-NQM3; therefore, Fitch is comfortable rating the transaction at the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.7%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) from the TPR firms which are all assessed as 'Acceptable' TPR firms by Fitch. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. 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 that have a final grade of either A or B. One loan graded C did not receive the PD credit. DATA ADEQUACY Fitch was provided with Form ABS Due Diligence-15E (Form 15E) from the TPR firms, all of which Fitch assesses as 'Acceptable'. The third-party due diligence described in Form 15E focused on three areas: compliance, credit, and valuation review. Fitch received a loan tape in the ASF format and used it for its analysis. Fitch considers the data provided robust for 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. EFMT 2026-NQM4: Fitch Assigns 'B-(EXP)sf' Rating on Three Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected rating to EFMT 2026-NQM4 mortgage pass-through certificates, series 2026-NQM4 (EFMT 2026-NQM4). Entity/Debt Rating ----------- ------ EFMT 2026-NQM4 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1F LT AAA(EXP)sf Expected Rating A1FCF LT AAA(EXP)sf Expected Rating A1FCX LT AAA(EXP)sf Expected Rating A1IO 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 B1A LT BB-(EXP)sf Expected Rating BX1A LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B2A LT B-(EXP)sf Expected Rating BX2A LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating Transaction Summary Fitch expects to rate the residential mortgage-backed certificates to be issued by EFMT 2026-NQM4, Mortgage Pass-Through Certificates, Series 2026-NQM4 (EFMT 2026-NQM4) as indicated above. The certificates are supported by 1,380 loans with a balance of $546,798,068.03 as of the cutoff date. This will be the 18th EFMT transaction rated by Fitch and the third non-qualified mortgage (non-QM, or NQM) EFMT transaction in 2026 rated by Fitch. The certificates are secured mainly by non-QMs, as defined by the Ability to Repay (ATR) Rule (the Rule), and include investment properties and other loans that are not subject to the Rule. The loans were originated by The Loan Store, Inc. (TLS; 24.83%) and Champions Funding LLC (14.16%), with the remaining 61.01% originated by various third-party originators who contributed. Cornerstone Home Lending, Inc., will service the loans. Rocket Mortgage LLC will be the master servicer for the transaction. While a majority of the loans in the collateral pool comprise fixed-rate mortgages, 3.97% of the pool loans have an adjustable rate. All ARM loans are based on the 30-day Secured Overnight Financing Rate (SOFR). Classes A-1FCF, A-1LCF, A-1A, A-1B, A-2 and A-3 are fixed rate with a step-up coupon on or after April 2030, and are capped at the net weighted average coupon (WAC). Class A-1F will be a floating-rate class and the A-1IO will be an inverse floating-rate class. Classes M-1 is fixed rated and capped at the net WAC. Class B-1A will have a per annum rate equal to the excess, if any, of (i) the Net WAC Rate for such Distribution Date over (ii) 1.0000%. Class B-2A will be a per annum rate equal to the excess, if any, of (i) the Net WAC Rate for such Distribution Date over (ii) 2.0000. Classe B-3 will have an interest rate equal to the net WAC. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of 1,380 performing, fixed-rate and adjustable-rate loans secured by loans on primarily one- to four-family residential properties (including attached and detached single family homes, planned unit developments [PUDs]), condos/condotels, townhouses, 2-4 unit multifamily properties and 5-10 unit multifamily properties) totaling $546,798,068.03. The pool does include cross-collateralized loans (0.48%), and fewer than 1.97% of loans are to foreign nationals. The loans are mainly exempt from QM or are NQM loans, with the majority of the loans underwritten to 12-24 months bank statement or debt service coverage ratio (DSCR) underwriting guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned on average three months. The pool has a weighted average (WA) original FICO score of 743, indicating very high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 74.42%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 82.67%. This transaction has a final probability of default (PD) of 45.22 at the 'AAA' rating stress. Fitch's final loss severity at the 'AAAsf' rating stress is 47.08. The expected loss at the 'AAAsf' rating stress is 21.29. See Highlights and Asset Analysis sections for more details. Structural Analysis (Mixed): EFMT 2026-NQM4 has a modified-sequential structure with limited advancing of delinquent principal and interest (P&I) and excess spread. The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1A, A-1B, A-1FCF, A-1LCF, A-1F, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially, first, to classes A-1A, A-1B, A-1FCF, A-1LCF and A-1F, and then to A-2 and A-3 until they are reduced to zero. 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 April 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1A, A-1B, A-1F, A-1FCF, A-1FCX, A-1LCF, A-1IO, A-2 and A-3 classes on and after April 2030. Specifically, on any distribution date occurring on or after the distribution date in April 2030 on which the aggregate unpaid cap carryover amount for class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1A, A-1B, A-1FCF, A-1LCF, A-1IO, and A-1F certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after April 2030, since classes A-1A, A-1B, A-1F, A-1FCF, A-1LCF, A-1IO, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent 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. In addition to subordination, the transaction has excess spread to protect the classes from losses, should they occur. Losses are allocated reverse sequentially, starting with the B-3 class. Once the A-2 class is written off, losses will be allocated on a pro-rata basis (based on the aggregate class balance of (i) the class A-1A and A-1B certificates, (ii) the class A-1FCF and A-1LCF certificates, and (iii) the class A-1F certificates, in each case, on such distribution date), (i) sequentially, to the class A-1B and A-1A certificates, in that order, until their respective class balances have been reduced to zero, (ii) concurrently, to the class A-1FCF and A-1LCF certificates, pro rata (based on the respective class balance of each such class of certificates), until their respective class balances have been reduced to zero, and (iii) to the class A-1F certificates, until the class balance thereof has been reduced to zero. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to arrive at a potential operational risk adjustment. The only consideration with a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans that have been fully reviewed by the third-party review (TPR) firm and that have a final grade of either "A" or "B". All of the loans underwent a due diligence review; 100% of the loans in the pool received the 5-bp z-score credit. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform to the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects EFMT 2026-NQM4 to be fully de-linked and have a bankruptcy-remote SPV transaction structure. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to EFMT 2026-NQM4; therefore, Fitch rates the transaction at the highest possible 'AAAsf' rating without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.7%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) from the TPR firms which are all assessed as 'Acceptable' TPR firms by Fitch. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. All loans in the pool received final grades of 'A' or 'B'. 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 that have a final grade of either A or B. As a result, the losses on the pool were lowered. 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, EFMT Sponsor LLC, engaged several TPRs, 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 that 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 a FICO above guideline requirements or LTVs or DTIs below guideline requirements. 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 were populated by the due diligence company and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ELEVATION CLO 2021-15: Moody's Cuts Rating on $20MM E-R Notes to B1 ------------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by Elevation CLO 2021-15, Ltd.: US$20,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2035, Downgraded to B1 (sf); previously on December 23, 2021 Assigned Ba3 (sf) Elevation CLO 2021-15, Ltd., originally issued in December 2021 and partially refinanced in October 2024, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period 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 the trustee's February 2026 report[1], the OC ratio for the Class E-R notes is reported at 104.86% versus February 2025[2] level of 106.01%. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level[3] is 3.08% compared to 3.29% in February 2025[4]. No actions were taken on the Class A-1-R2, Class A-2-R2, Class B-R2, Class C-R2 and Class D-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $385,133,354 Defaulted par: $2,359,553 Diversity Score: 78 Weighted Average Rating Factor (WARF): 2795 Weighted Average Spread (WAS): 3.07% Weighted Average Recovery Rate (WARR): 46.1% Weighted Average Life (WAL): 5 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology 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. FIDIUM LLC 2026-1: Fitch Assigns 'BB-sf' Rating on Class C Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to Fidium, LLC's Secured Fiber Network Revenue Notes, Series 2026-1. Additionally, Fitch has affirmed the ratings of Fidium, LLC's Secured Fiber Network Revenue Notes, Series 2025-4 and Consolidated Communications, LLC, Secured Fiber Network Revenue Notes, Series 2025-1, 2025-2, and 2025-3: Entity/Debt Rating Prior ----------- ------ ----- Consolidated Communications, LLC, Secured Fiber Network Revenue Notes, Series 2025-1, Series 2025-2, and Series 2025-3 2025-1 A-1-L LT Asf Affirmed Asf 2025-1 A-1-V LT A-sf Affirmed A-sf 2025-1 A-2 209031AA1 LT A-sf Affirmed A-sf 2025-1 B 209031AB9 LT BBB-sf Affirmed BBB-sf 2025-1 C 209031AC7 LT BB-sf Affirmed BB-sf 2025-2 A-2 LT A-sf Affirmed A-sf 2025-2 B LT BBB-sf Affirmed BBB-sf 2025-3 A-2 LT A-sf Affirmed A-sf 2025-3 B LT BBB-sf Affirmed BBB-sf Fidium LLC, Secured Fiber Network Revenue Notes, Series 2025-4 2025-4 A-2 315961AA0 LT A-sf Affirmed A-sf 2025-4 B 315961AC6 LT BBB-sf Affirmed BBB-sf 2025-4 C 315961AE2 LT BB-sf Affirmed BB-sf Fidium LLC, Secured Fiber Network Revenue Notes, Series 2026-1 2026-1 A2 315961AG7 LT A-sf New Rating A-(EXP)sf 2026-1 B LT BBB-sf New Rating BBB-(EXP)sf 2026-1 C LT BB-sf New Rating BB-(EXP)sf Transaction Summary The Fidium, LLC, Secured Fiber Network Revenue Notes, Series 2026-1 is a securitization managed by Fidium, LLC (Fidium) and Fidium Fiber Finance Holdco LLC under the master trust and follows the 2025-1, 2025-2, 2025-3, and 2025-4 issuances in 2025. The transaction is a securitization of subscription and contract payments derived from an existing enterprise and fiber-to-the-premises (FTTP) network. Collateral assets include conduits, cables, network-level equipment, access rights, customer agreements, transaction accounts and a pledge of equity from the asset entities. The notes are serviced by fiber revenue generated from the operation of the collateral assets. The collateral consists of high-quality fiber lines that support the provision of data (97.1% of monthly recurring revenue [MRR]) and voice (2.9%) services to residential (43.5%), commercial (29.4%) and wireless, wireline carrier (27.1%) customers. The fiber network serves 351,000 residential fiber broadband subscribers, passing approximately 1.5 million households. The company's operations extend across 21 states, with the largest markets in Maine (23.4% of MRR), New Hampshire (22.5%), Texas (11.3%) and Vermont (10.5%). These assets represented about 68% of the asset entities' revenue as of the month ended December 2025. The collateral does not include Fidium's copper assets. With the 2026-1 issuance, Fidium will contribute collateral assets from Minnesota and Illinois (representing a combined 13% of MRR), including 57,000 consumer fiber passings and approximately 20,000 subscribers. The ratings reflect Fitch's structured finance analysis of cash flow from the collateral assets, rather than an assessment of the corporate default risk of the ultimate parent, Condor Holdings LLC. KEY RATING DRIVERS Net Cash Flow and Leverage: Fitch's base case net cash flow (NCF) on the pool is $362.3 million, implying a 17.0% haircut to issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.9x, versus the debt-to-issuer NCF leverage of 8.5x. Inclusive of the future cash flow required to draw upon the initial maximum (VFN) balance of $500 million, Fitch's NCF would be $416.6 million, implying a 18.1% haircut to the implied issuer NCF. The debt multiple relative to Fitch's NCF on the rated classes is 9.7x, compared with the debt-to-issuer NCF leverage of 7.7x. Based on the Fitch NCF and no additional revenue growth, and following the transaction's ARD, the notes would be repaid in 18.0 years from the closing date. Credit Risk Factors: Fitch's cash flow and maximum potential leverage assessments reflect several factors: the high quality of the underlying collateral networks, which are 100% fiber; low historical churn rates compared to peers; geographic diversification of the collateral and low customer concentration; strong competitive positioning; seasoned markets with adequate operating history; operator capability; lower penetration than peers; and transaction structure. Technology-Dependent Credit: This transaction's senior classes do not achieve ratings above 'Asf' due to the specialized nature of the collateral and the potential for changes in technology to affect net revenue from the collateral assets. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will render the current transmission of data through fiber optic cables obsolete. That said, data providers continue to invest in and utilize this technology, given that fiber optic cable networks are currently the fastest, highest capacity and most reliable means to transmit information. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Declining cash flow as a result of higher expenses, customer churn, declining contract rates, contract amendments or the development of an alternative technology for the transmission of data could lead to downgrades. - Fitch's base case NCF was 17.0% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'A-sf' to 'BBBsf'; class B from 'BBB-sf' to 'BBsf'; class C from 'BB-sf' to 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Increasing cash flow from rate increases, additional customers, contract amendments, or lower expenses could lead to upgrades. - A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: Class A-2 from 'A-sf' to 'Asf'; class B from 'BBB-sf' to 'BBB+sf'; class C from 'BB-sf' to 'BBsf'. - Upgrades are unlikely, given the issuer's ability to issue additional pari passu notes. In addition, the senior classes are capped in the 'Asf' category. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. FIRST EAGLE 2016-1: S&P Lowers Class E-R Notes Rating to 'B- (sf)' ------------------------------------------------------------------ S&P Global Ratings raised its ratings on the class C-R and D-R debt from First Eagle Commercial Loan Funding 2016-1 LLC and removed them from CreditWatch, where it had placed them with positive implications on Feb. 5, 2026. At the same time, S&P lowered its rating on the class E-R debt. Although the same portfolio backs all of the tranches, there can be circumstances, such as this one, where the ratings on the tranches may move in opposite directions due to changes in credit support and in the portfolio. This transaction is experiencing opposing rating movements because principal paydowns improved the senior credit support, while an increase in defaults and a decline in credit quality reduced the junior credit support. This transaction was originally issued in 2016 and rated by S&P Global Ratings in December 2019 when the deal was reset. The transaction exited its reinvestment period in January 2022 and was last reviewed in March 2024. The rating actions follow S&P's review of the transaction's performance using data from the Jan. 26, 2026, note payment report and the Feb. 17, 2026, monthly report. Since S&P's March 2024 rating action, the classes A-1a-R, A-1b-R, A-2-R, and B-R were fully paid down, and the class C-R debt outstanding balance was reduced to 60.63% of the original. While the senior tranche balance has reduced, the junior class E-R debt began to defer interest from the October 2025 payment report due to lack of sufficient interest proceeds and is currently at 100.49% of its original balance. Following are the changes in the reported overcollateralization (O/C) ratios since the February 2024 trustee report, which S&P used for its last rating actions: -- The class C O/C ratio improved to 319.08% from 147.67%. -- The class D O/C ratio improved to 159.51% from 128.19%. -- The class E O/C ratio declined to 107.12% from 113.61%. The transaction has also benefited from a drop in weighted average life driven by the underlying collateral's seasoning, with 1.65 years reported as of the February 2025 trustee report, compared with 2.65 years reported in February 2024. The rating upgrades reflect the improved credit support at the prior rating level for the class C-R and D-R debt. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class D-R debt. S&P said, "However, because the transaction currently has high exposure to 'CCC' rated collateral obligations, as well as increased exposure to defaulted assets and assets currently priced at distressed levels, our rating actions reflect additional sensitivity runs that considered the CLO's exposure to these lower-quality assets and to those trading at low prices, our preference for more cushion to offset any future potential negative credit migration in the underlying collateral, and the increasing concentration risk in the portfolio." While the senior debt paydowns improved the senior and mezzanine O/C ratios, the class E O/C ratio declined and is currently failing its minimum requirement by 1.28%. The decline in class E O/C ratio is primarily driven by an increase in the O/C haircut due to excess exposure to 'CCC' assets, increase in level of defaulted assets, and par loss since the last rating action--factors that outweighed the benefit of the senior debt paydowns at this tranche level. As the deal continues to unwind, the collateral has become increasingly concentrated, with the number of unique obligors declining to 35 compared with 72 in March 2024, according to our internal calculations. On a percentage basis, this increased the exposure to 'CCC' rated collateral obligations and defaulted assets, contributing to the deterioration in the collateral portfolio's credit quality since S&P's last rating action. Collateral obligations with ratings from S&P Global Ratings in the 'CCC' category increased to 48.70% as per the February 2026 trustee report from 19.8%, although S&P notes that in absolute terms, concentration decreased to $31.69 million from $36.45 million. The scenario mentioned above has affected the largest obligor test for the class E debt, which now has started to fail at its current rating category. Though the results of our largest obligor test for the class E debt pointed to a lower category, S&P lowered its rating to 'B- (sf)' based on its passing cash flows, its current subordination, and relatively large presence of 'CCC+' assets in the portfolio. However, any continued deterioration in credit quality or par losses could lead to additional negative rating actions in the future. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Positive First Eagle Commercial Loan Funding 2016-1 LLC Class C-R to 'AAA (sf)' from 'AA- (sf)/Watch Pos' Class D-R to 'A+ (sf)' from 'BBB- (sf)/Watch Pos' Rating Lowered First Eagle Commercial Loan Funding 2016-1 LLC Class E-R to 'B- (sf)' from 'BB- (sf)' FS TRUST 2026-HULA: DBRS Finalizes Bb(low) Rating on Cl. KRR Certs ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-HULA (the Certificates) issued by FS Trust 2026-HULA (FS 2026-HULA): -- 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 (high) (sf) -- Class JRR at BB (sf) -- Class KRR at BB (low) (sf) All trends are Stable. 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. Morningstar DBRS' credit rating on the Certificates addresses 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. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, Spread Maintenance Premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS ESG Considerations had a relevant effect on the credit analysis. Environmental (E) Factors The Emissions, Effluents, and Waste factor had a relevant effect on the credit analysis. The environmental site assessments identified three Recognized Environmental Conditions (RECs) and an additional historical REC. First, an REC related to a perchloroethylene solvent dry-cleaning machine was identified in the footprint of the existing petroleum-distillate dry-cleaning machine from 1996 to 2007. Second, an REC associated with a small gasoline station adjacent to the Hualalai Trading Company was identified. The station is equipped with two 5,000-gallon underground storage tanks designed to store gasoline containing ethanol. Third, an REC related to a vehicle wash rack next to the automotive repair building within the golf maintenance area was identified. The wash water containing oils, solvents, detergents, and other potential contaminants is discharged to an onsite leach field bordered by vehicle storage buildings, a golf course, and greenhouse facilities, posing a risk of impact to surrounding soil and groundwater. A historical REC was identified related to a wash rack's oil water separator malfunctioning, causing washdown water to overflow onto the ground. A subsequent Phase II investigation confirmed petroleum affected soil in the area. The contaminated soil was overexcavated and resampled, with all results showing concentrations below Tier 1 Environmental Action Levels or no evidence of contamination. In 2014, the Hawaii Department of Health issued a No Further Action determination for the release. There were no Social or Governance factors that had a significant or relevant effect on the credit analysis. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. GLS AUTO 2025-1: S&P Affirms BB (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings raised its ratings on seven classes of notes and affirmed its ratings on three classes of notes from GLS Auto Receivables Issuer Trust (GCAR) 2022-2, 2022-3, and 2025-1. These ABS transactions are backed by subprime retail auto loan receivables originated and serviced by Global Lending Services LLC. The rating actions reflect: -- Each transaction's collateral performance to date and S&P's expectations regarding future collateral performance; -- S&P's revised cumulative net loss (CNL) expectations and the transactions' structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. Considering all of these factors, S&P believes the creditworthiness of each class of notes remains consistent with the rating actions. The GCAR 2022-2 and 2022-3 transactions are performing marginally worse than our prior CNL expectations. S&P said, "As a result, we revised and increased our expected CNLs for these transactions. While early, 2025-1 transaction is performing better than initial expectations. As a result, we decreased our expected CNL for this transaction." Table 1 Collateral performance (%)(i) Pool 60+ day Series Month Factor(%) CGL(%) CNL(%) delinq.(%) Ext.(%) 2022-2 45 18.21 30.71 19.88 9.78 4.00 2022-3 42 21.29 30.96 20.51 9.35 4.28 2025-1 13 71.77 6.60 3.79 4.76 3.05 (i)As of the March 2026 distribution date. CGL--Cumulative gross loss. CNL--Cumulative net loss. Delinq.--Delinquencies. Ext.--Extensions. Table 2 CNL expectations (%) Original Prior revised Current Series lifetime CNL exp. lifetime CNL exp.(i) CNL exp. 2022-2 16.75 20.50 23.00 2022-3 16.75 21.25 24.50 2025-1 17.50 N/A 17.25 (i)Revised in March 2025. CNL exp.--Cumulative net loss expectations. Each transaction has a sequential principal payment structure, in which the notes are paid principal by seniority, that will increase the credit enhancement for the senior notes as the pool amortizes. Each transaction also has credit enhancement consisting of a non-amortizing reserve account, overcollateralization, subordination for the more senior classes, and excess spread. As of the March 2026 distribution date, each transaction is at its specified reserve and overcollateralization targets. Table 3 Hard credit enhancement(i) Total Hard CE Current Total at Issuance Hard CE Series Class (% of initial) (% of current) 2022-2 D 17.20 66.03 2022-2 E 9.95 26.23 2022-3 D 15.30 59.14 2022-3 E 7.40 22.04 2025-1 A 54.35 80.02 2025-1 B 40.00 60.02 2025-1 C 26.55 41.28 2025-1 D 13.25 22.75 2025-1 E 6.60 13.48 (i)As of the March 2025 distribution date. Consists of overcollateralization and a reserve account, and if applicable, subordination. Excludes excess spread, which can also provide additional enhancement. CE--Credit enhancement. S&P said, "We incorporated an analysis of the current hard credit enhancement compared to the remaining expected CNLs for those classes in which hard credit enhancement alone--without credit to the stressed excess spread--was sufficient, in our view, to raise or affirm the ratings on the notes. For the other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate, given each transaction's performance to date. "In addition to our break-even cash flow analysis, we also conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectations. "In our view, the cash flow results demonstrated that the classes have adequate credit enhancement at the raised and affirmed rating levels, which is based on our analysis as of the collection period ended February 2026 (the March 2026 distribution date). "We will continue to monitor the performance of each transaction to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." Ratings Raised GLS Auto Receivables Issuer Trust 2022-2 Class D to 'AAA (sf)'from 'AA+ (sf)' Class E to 'BBB (sf)' from 'BB- (sf)' GLS Auto Receivables Issuer Trust 2022-3 Class D to 'AAA (sf)'from 'A+ (sf)' Class E to 'BB (sf)' from 'BB- (sf)' GLS Auto Receivables Issuer Trust 2025-1 Class B to 'AAA (sf)' from 'AA (sf)' Class C to 'AA- (sf)' from 'A (sf)' Class D to 'BBB+ (sf)' from 'BBB (sf)' Ratings Affirmed GLS Auto Receivables Issuer Trust 2025-1 Class A-2: AAA (sf) Class A-3: AAA (sf) Class E: BB (sf) GREAT LAKES 2015-1: Moody's Ups Rating on $26.6MM E-R Notes to Ba1 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by Great Lakes CLO 2015-1, Ltd.: US$26,600,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2030 (the "Class E-R Notes"), Upgraded to Ba1 (sf); previously on January 16, 2018 Assigned Ba3 (sf) Great Lakes CLO 2015-1, Ltd., originally issued in July 2015 and refinanced in January 2018, is a managed cashflow SME CLO. The notes are collateralized primarily by a portfolio of small and medium enterprise loans. The transaction's reinvestment period ended in January 2022. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2025. The Class C-R notes have been paid down by approximately 89.4% or $22.8 million since then. Based on Moody's calculations, the OC ratio for the Class E-R notes is currently 129.66% versus May 2025 level of 122.47%. No actions were taken on the Class C-R, Class D-R and Class F-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: $58,224,003 Defaulted par: $26,164,005 Diversity Score: 13 Weighted Average Rating Factor (WARF): 5714 Weighted Average Spread (WAS): 4.95% Weighted Average Recovery Rate (WARR): 46.05% Weighted Average Life (WAL): 1.64 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. GS MORTGAGE 2026-1: Fitch Assigns 'Bsf' Rating on Class B5 Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to the notes issued by GS Mortgage-Backed Securities Trust 2026-1 (GSMBS 2026-1). Entity/Debt Rating ----------- ------ GSMBS 2026-1 A1 LT AAAsf New Rating A2 LT AAAsf New Rating A3 LT AAAsf New Rating A4 LT AAAsf New Rating A5 LT AAAsf New Rating A6 LT AAAsf New Rating A7 LT AAAsf New Rating A8 LT AAAsf New Rating A9 LT AAAsf New Rating A10 LT AAAsf New Rating A11 LT AAAsf New Rating A12 LT AAAsf New Rating A13 LT AAAsf New Rating A14 LT AAAsf New Rating A15 LT AAAsf New Rating A16 LT AAAsf New Rating A17 LT AAAsf New Rating A18 LT AAAsf New Rating A19 LT AAAsf New Rating A20 LT AAAsf New Rating A21 LT AAAsf New Rating A22 LT AAAsf New Rating A23 LT AAAsf New Rating A24 LT AAAsf New Rating A25 LT AAAsf New Rating A27 LT AAAsf New Rating A28 LT AAAsf New Rating A29 LT AAAsf New Rating A30 LT AAAsf New Rating A31 LT AAAsf New Rating A32 LT AAAsf New Rating A33 LT AAAsf New Rating A34 LT AAAsf New Rating A35 LT AAAsf New Rating AX1 LT AAAsf New Rating AX2 LT AAAsf New Rating AX3 LT AAAsf New Rating AX4 LT AAAsf New Rating AX5 LT AAAsf New Rating AX6 LT AAAsf New Rating AX7 LT AAAsf New Rating AX8 LT AAAsf New Rating AX9 LT AAAsf New Rating AX10 LT AAAsf New Rating AX11 LT AAAsf New Rating AX12 LT AAAsf New Rating AX13 LT AAAsf New Rating AX14 LT AAAsf New Rating AX15 LT AAAsf New Rating AX16 LT AAAsf New Rating AX17 LT AAAsf New Rating AX18 LT AAAsf New Rating X19 LT AAAsf New Rating AX20 LT AAAsf New Rating AX21 LT AAAsf New Rating AX22 LT AAAsf New Rating AX23 LT AAAsf New Rating AX24 LT AAAsf New Rating AX25 LT AAAsf New Rating AX26 LT AAAsf New Rating AX27 LT AAAsf New Rating AX28 LT AAAsf New Rating AX30 LT AAAsf New Rating AX31 LT AAAsf New Rating AX33 LT AAAsf New Rating AX34 LT AAAsf New Rating B1 LT AAsf New Rating B1A LT AAsf New Rating BX1 LT AAsf New Rating B2 LT Asf New Rating B2A LT Asf New Rating BX2 LT Asf New Rating B3 LT BBBsf New Rating B4 LT BBsf New Rating B5 LT Bsf New Rating B6 LT NRsf New Rating SA LT NRsf New Rating X LT NRsf New Rating FB LT NRsf New Rating Transaction Summary The classes are supported by 649 prime loans with a total balance of approximately $507.01 million as of the cut-off date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. GSMBS 2026-1 has a Final PD of 12.2% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 26.0%. The expected loss in the 'AAAsf' rating stress is 3.2%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in GSMBS 2026-1 are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch 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 credit enhancement 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. To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a senior subordination floor of 0.58% and a junior subordination floor of 0.4% have been considered. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction, however none received the 5% PD reduction due to the high seasoning. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2026-1 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to GSMBS 2026-1 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.6% 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 SitusAMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch did not apply any PD adjustments for loans that received an 'A' or 'B' grade due to the high seasoning of the loans. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2026-2: FITCH Assigns 'Bsf' Rating on Class B2 Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to the notes issued by GS Mortgage-Backed Securities Trust 2026-2 (GSMBS 2026-2). Entity/Debt Rating ----------- ------ GSMBS 2026-2 A1 LT AAAsf New Rating A2 LT AAsf New Rating A3 LT Asf New Rating M1 LT BBBsf New Rating B1 LT BBsf New Rating B2 LT Bsf New Rating B3 LT NRsf New Rating X LT NRsf New Rating SA LT NRsf New Rating PT LT NRsf New Rating R LT NRsf New Rating Transaction Summary The classes are supported by 738 prime loans with a total balance of approximately $766.5 million as of the cut-off date. KEY RATING DRIVERS 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 2026-2 has a Final PD of 16.0% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 27.9%. The expected loss in the 'AAAsf' rating stress is 4.5%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in GSMBS 2026-2 are based on a sequential payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. 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, then to repay potential net WAC shortfalls. 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 credit enhancement for all ratings were sufficient for the given rating levels. The credit enhancement for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction, however none received the 5% PD reduction due to the high seasoning. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. Fitch expects GSMBS 2026-2 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to GSMBS 2026-2 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch did not apply any PD adjustments for loans that received an 'A' or 'B' grade, due to the high seasoning of the loans. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2026-3: Fitch Rates Class B2 Notes 'Bsf' ---------------------------------------------------- Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by GS Mortgage-Backed Securities Trust 2026-3 (GSMBS 2026-3). Entity/Debt Rating ----------- ------ GSMBS 2026-3 A1 LT AAAsf New Rating A2 LT AAsf New Rating A3 LT Asf New Rating M1 LT BBBsf New Rating B1 LT BBsf New Rating B2 LT Bsf New Rating B3 LT NRsf New Rating X LT NRsf New Rating SA LT NRsf New Rating FB LT NRsf New Rating PT LT NRsf New Rating RISKRETEN LT NRsf New Rating Transaction Summary The notes are supported by 732 seasoned non-QM loans totaling approximately $546.0 million. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. GSMBS 2026-3 has a Final PD of 18.90% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 22.73%. The expected loss in the 'AAAsf' rating stress is 4.30%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in GSMBS 2026-3 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 to repay previously applied realized losses. 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 credit enhancement for all ratings was sufficient for the given rating levels. The credit enhancement for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch did not apply the 5-bps score reduction due to the high seasoning. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. Fitch expects GSMBS 2026-3 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B." ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2026-PJ3: Fitch Assigns B(EXP) Rating on Class B5 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the notes issued by GS Mortgage-Backed Securities Trust 2026-PJ3 (GSMBS 2026-PJ3). Entity/Debt Rating ----------- ------ GSMBS 2026-PJ3 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A28 LT AAA(EXP)sf Expected Rating A29 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 AX1 LT AAA(EXP)sf Expected Rating AX2 LT AAA(EXP)sf Expected Rating AX3 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 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 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 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 B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating BX1 LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating BX2 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 A1L Loans LT AAA(EXP)sf Expected Rating A2L Loans LT AAA(EXP)sf Expected Rating A3L Loans LT AAA(EXP)sf Expected Rating Transaction Summary The GSMBS 2026-PJ3 certificates are supported by 255 prime, fixed-rate loans with a total balance of approximately $322.8 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-PJ3 has a final probability of default (PD) of 10.731% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 33.942%. The expected loss in the 'AAAsf' rating stress is 3.645%. Structural Analysis: The mortgage cash flow and loss allocation in GSMBS 2026-PJ3 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 (see Highlights and Cash Flow Analysis sections for more details). 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-PJ3 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-PJ3; 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 sensitivy analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all 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 2026-PJ4: Fitch Assigns B(EXP) Rating on Cl. B5 Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the notes issued by GS Mortgage-Backed Securities Trust 2026-PJ4 (GSMBS 2026-PJ4). Entity/Debt Rating ----------- ------ GSMBS 2026-PJ4 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 A1L Loans 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 A2L Loans 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 A3L Loans 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 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-PJ4 has a final probability of default (PD) of 10.18% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 34.21%. The expected loss in the 'AAAsf' rating stress is 3.48%. Structural Analysis: The mortgage cash flow and loss allocation in GSMBS 2026-PJ4 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 was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. 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 entity. Fitch expects GSMBS 2026-PJ4 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-PJ4; 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 37.5% 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 2026-R1: Fitch Assigns 'B(EXP)' Rating on Cl. B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the notes issued by GS Mortgage-Backed Securities Trust 2026-R1 (GSMBS 2026-R1). Entity/Debt Rating ----------- ------ GSMBS 2026-R1 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating FB LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating RISKRETEN LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating Transaction Summary The transaction is expected to close on March 31, 2026. The certificates are supported by 911 seasoned nonqualified mortgage (NQM) loans with a total balance of approximately $359.4 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. GSMBS 2026-R1 has a final probability of default (PD) of 45.7% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 34.0%. The expected loss in the 'AAAsf' rating stress is 15.5%. Structural Analysis (Positive): The structure distributes principal pro rata among the senior certificates 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 to the class A-1, A-2 and A-3 certificates until they are reduced to zero. The structure has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lower of a 100-bps increase to the fixed coupon or the net weighted average coupon (WAC) rate. The unrated class B-3 interest allocation goes toward the senior cap carryover amount on any date for as long as there is an unpaid cap carryover amount for any of the senior classes. This increases the principal and interest (P&I) allocation for the senior classes provided that the B-3 class is not written down. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to the more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a roughly 5% reduction to the PD for loans fully reviewed by a 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 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 GSMBS 2026-R1 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 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 38.3%, at 'AAA'. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. CRITERIA VARIATION Cross Collateralized Percent The pool is made up of 22.93% cross collateralized loans. Per its "U.S. RMBS Rating Criteria," Fitch looks for this amount to be limited to less than or equal to 10%. Fitch was comfortable with going over the 10% threshold given the diversity among borrowers (i.e., no loan makes up more than 0.5% of the pool), the high DSCR value on these loans, and the seasoning and clean performance history. Performance has shown that cross-collateralized loans perform well since the borrower can use income from other properties to pay the mortgage if needed versus only having one income generating home. There was no rating impact due to this variation. PD Adjustment Scale Down Currently, additional PD adjustments are applied to the final PD using a Z-score adjustment. These adjustments are static in both weight and application over time, regardless of loan seasoning. Many of these adjustments are designed to capture risk factors not present in the historical dataset and not included in the origination PD regression, such as penalties for limited income documentation or buydown loans. While these risk factors were present at origination, their relevance diminishes as the loan seasons and more performance data becomes available. This analysis scaled down the Z-score adjustment over a five-year seasoning period, starting after year two which is when Fitch believes loans are considered seasoned loans. This approach ensures that as more performance history becomes available, the seasoned loan PD becomes the primary driver of expected default rates. Ratings were roughly one notch lower as a result of this variation. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) from AMC, Selene, Clayton and Consolidated Analytics all assessed as 'Acceptable' TPR firms by Fitch. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. 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 that have a final grade of either A or B. Loans graded C or D did not receive the PD credit. 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. HECM BUYOUT 2026-HB1: DBRS Finalizes Bsf Rating on Class M5 Notes ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Asset-Backed Notes, Series 2026-HB1 (the Notes) issued by Finance of America HECM Buyout 2026-HB1 as follows: -- $308.2 million Class A at AAA (sf) -- $28.7 million Class M1 at AA (low) (sf) -- $20.9 million Class M2 at A (low) (sf) -- $19.5 million Class M3 at BBB (low) (sf) -- $19.0 million Class M4 at BB (low) (sf) -- $12.9 million Class M5 at B (sf) The AAA (sf) credit rating reflects 21.7% of credit enhancement. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) credit ratings reflect 14.4%, 9.1%, 4.2%, -0.7%, and -3.9% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes that may be issued in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowners association (HOA) dues if applicable. Reverse mortgages are typically nonrecourse; borrowers do not have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the Cut-Off Date, January 31, 2026, the collateral consisted of approximately $393.67 million in unpaid principal balance (UPB) from 1,100 performing and nonperforming HECM reverse mortgage loans secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, and planned unit developments. Of the total loans, 801 have a fixed-rate interest (75.70% of the balance) with a weighted-average coupon (WAC) of 5.042%. The remaining 299 loans are adjustable rate (24.30% of the balance) with a WAC of 6.732%, bringing the entire collateral pool to a WAC of 5.453%. As of the Cut-Off Date, the loans in this transaction are both performing and nonperforming (i.e., inactive). There are 427 performing loans comprising 39.93% of the total UPB. As for the 673 nonperforming loans (NPLs), 273 loans are referred for foreclosure (29.40% of the balance), 57 are in bankruptcy status (4.32%), 128 are called due and payable following recent maturity (11.02%), 84 are real estate owned (7.36%), and the remaining 131 are in default (7.98%). However, all these loans are insured by the United States Department of Housing and Urban Development (HUD), which mitigates losses in regard to uninsured loans. Because HUD insurance supplements the home value, the industry metric for this collateral is not the loan-to-value ratio (LTV) but rather the weighted-average (WA) effective LTV adjusted for HUD insurance, which is 57.98% for the loans in this pool. To calculate the WA LTV, Morningstar DBRS divides the UPB by the maximum claim amount (MCA) and the asset value. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available funds caps. The Class M Notes are not entitled to any payments of principal prior to the earlier of any Redemption Date (including an Auction Proceeds Redemption Date) and the next succeeding Payment Date following the date on which an Acceleration Event occurs. Prior to the earlier of any Redemption Date (including an Auction Proceeds Redemption Date) and the next succeeding Payment Date following the date on which an Acceleration Event, if any, has occurred, Available Funds that would otherwise be available to pay principal on the Class M Notes after the Class A Notes have been paid in full will instead be deposited into the Redemption Account, until the amount on deposit therein is equal to the Redemption Account Required Amount. Amounts will be deposited to and withdrawn from the Redemption Account and paid in accordance with the priority described in the definition of Redemption Account in the offering documents and in the Priority of Payments. 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 Interest Payment Amount, Cap Carryover Amount, and Note Amount. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Notes: All figures are in U.S. dollars unless otherwise noted. IVY HILL XXIII: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ivy Hill Middle Market Credit Fund Ltd./Ivy Hill Middle Market Credit Fund LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Ivy Hill Asset Management L.P., a subsidiary of Ares Capital Corp. The preliminary ratings are based on information as of March 24, 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 Ivy Hill Middle Market Credit Fund Ltd./ Ivy Hill Middle Market Credit Fund LLC Class A-1, $165.00 million: AAA (sf) Class A-1L-A loans, $75.00 million: AAA (sf) Class A-1L-B loans, $50.00 million: AAA (sf) Class A-2, $20.00 million: AAA (sf) Class B, $30.00 million: AA (sf) Class C (deferrable), $40.00 million: A (sf) Class D-1-A (deferrable), $14.00 million: BBB- (sf) Class D-1-B (deferrable), $16.00 million: BBB- (sf) Class D-2 (deferrable), $10.00 million: BBB- (sf) Class E (deferrable), $20.00 million: BB- (sf) Subordinated notes, $62.25 million: NR NR--Not rated. JPMCC 2013-C16: Fitch Lowers Rating on Class F Debt to 'CCsf' ------------------------------------------------------------- Fitch Ratings has downgraded two classes of JPMCC Commercial Mortgage Securities Trust 2013-C16 (JPMCC 2013-C16). Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2013-C16 D 46641BAP8 LT PIFsf Paid In Full BBsf E 46641BAR4 LT CCCsf Downgrade Bsf F 46641BAT0 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Pool Concentration; Higher Certainty of Loss: The downgrades reflect the high expected losses of the two remaining distressed assets, both of which are in special servicing. The ratings reflect that losses are expected to impact both remaining rated classes. As of the March 2026 distribution date, the former largest loan, Energy Centre, $51.4 million, prepaid prior to the extended maturity date. The loan, collateralized by a 757,000-sqf office property in New Orleans, LA, was modified in October 2024 and the maturity date was extended to October 2026. The payoff resulted in a full payoff of class D and partial paydown of class E. Both remaining loans have appraisal reductions resulting in limited to no principal and interest advancing. As a result, interest distributions to the trust are expected to be minimal. The ratings of classes E and F reflect expectations of both principal and interest losses. The repayment of these classes is dependent on recoveries from the remaining defaulted assets. Two Remaining Assets: The largest contributor to overall loss expectations in JPMCC 2013-C16 is the 1615 L Street loan, which is secured by a 429,000-sqf, class-A office property located in downtown Washington, D.C., constructed in 1984 and renovated in 2018. The loan transferred to special servicing in August 2023 for imminent maturity default. The property is reported as 31.6% leased as of January 2026, compared to 67.6% leased as of December 2024. The drop in occupancy is due to a two-floor tenant vacating in January 2025, a full floor tenant vacating in April 2025, and another full floor tenant vacating in August 2025. Per the special servicer, the asset was marketed for sale in late 2024 and a potential sale will be revisited. As of March 2026, there is a $21.1 million reported appraisal reduction and a non-recoverable advance determination. The loan is categorized as in foreclosure. Fitch's 'Bsf' rating case loss expectation of approximately 85% (prior to concentration add-ons) reflects a 30% stress to the most recent appraisal value reflecting the depressed occupancy and the challenging DC office market, resulting in a stressed value of $83 psf. The other remaining asset is the 121 Champion Way loan, which is secured by an 84,000-sqf suburban office building located in Canonsburg, PA, with fee simple ownership. The loan transferred to special servicing in August 2023 for imminent maturity default. A foreclosure sale occurred in October 2024, and the asset is now REO. The special servicer is pursuing a leasing strategy to increase the value of the asset. The occupancy was reported at 83.8% as of January 2025. The reported NCF DSCR as of March 2024 was 0.62x. Fitch's 'Bsf' rating case loss expectation of approximately 31% (prior to concentration add-ons) reflects a 30% stress to the most recent appraisal value reflecting the challenging suburban office market resulting in a stressed value of $82 PSF. Changes in Credit Enhancement: As of the March 2026 distribution date, the aggregate balance for JPMCC 2013-C16 has been reduced by 96% to $43.9 million from $1.14 billion at issuance. Class NR has incurred a total of $28.3 million in realized losses to date; $1.1 million was incurred in March 2026 as a portion of principal paid on Energy Centre was redirected towards interest. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the distressed rated classes will occur with higher expected losses from specially serviced loans and/or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to the distressed rated classes are not anticipated given the recoveries are reliant on defaulted loans and losses are expected. 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. JPMCC 2019-COR5: Fitch Affirms 'Bsf' Rating on Class E-RR Debt -------------------------------------------------------------- Fitch Ratings has affirmed 14 classes in the JPMCC Commercial Mortgage Securities Trust 2019-COR5 (JPMCC 2019-COR5) transaction. The Outlooks for five of the affirmed classes were revised to Stable from Negative. Fitch has also affirmed 12 classes of JPMDB Commercial Mortgage Securities Trust 2019-COR6 (JPMDB 2019-COR6). The Outlooks for four of the affirmed classes were revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2019-COR5 A-2 46591EAR8 LT AAAsf Affirmed AAAsf A-3 46591EAS6 LT AAAsf Affirmed AAAsf A-4 46591EAT4 LT AAAsf Affirmed AAAsf A-S 46591EAV9 LT AAsf Affirmed AAsf A-SB 46591EAU1 LT AAAsf Affirmed AAAsf B 46591EAW7 LT Asf Affirmed Asf C 46591EAX5 LT BBBsf Affirmed BBBsf D 46591EAC1 LT BBsf Affirmed BBsf E-RR 46591EAE7 LT Bsf Affirmed Bsf F-RR 46591EAG2 LT CCCsf Affirmed CCCsf G-RR 46591EAJ6 LT CCsf Affirmed CCsf X-A 46591EAY3 LT AAsf Affirmed AAsf X-B 46591EAZ0 LT BBBsf Affirmed BBBsf X-D 46591EAA5 LT BBsf Affirmed BBsf JPMDB 2019-COR6 A2 48129RAV7 LT AAAsf Affirmed AAAsf A3 48129RAW5 LT AAAsf Affirmed AAAsf A4 48129RAX3 LT AAAsf Affirmed AAAsf AS 48129RAY1 LT AA-sf Affirmed AA-sf ASB 48129RAZ8 LT AAAsf Affirmed AAAsf B 48129RBA2 LT A-sf Affirmed A-sf C 48129RBB0 LT BBB-sf Affirmed BBB-sf D 48129RAA3 LT BB-sf Affirmed BB-sf E 48129RAE5 LT B-sf Affirmed B-sf XA 48129RBC8 LT AA-sf Affirmed AA-sf XB 48129RBD6 LT A-sf Affirmed A-sf XD 48129RAC9 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are in line with Fitch's prior rating action at 6.6% for JPMCC 2019-COR5 and 10.1% for JPMDB 2019-COR6, compared to 7.0% and 9.6%, respectively at the last rating actions. There are eight Fitch Loans of Concern (FLOCs) (25.6%) in JPMCC 2019-COR5, including four loans (9.1% of the pool) in special servicing, and 12 FLOCs (44.3% of the pool) in JPMDB 2019-COR6, including one loan (2.1%) in special servicing. The affirmations and Stable Outlooks reflect the generally stable pool performance and loss expectations since Fitch's prior rating action. The Outlook revisions to Stable from Negative in both transactions reflect the return of Hampton Roads Office Portfolio (6.6% in JPMCC 2019-COR5 and 4.3% in JPMDB 2019-COR6) to the master servicer. The Negative Outlooks reflect the potential for a future downgrade if the FLOCs' performance continue to deteriorate, primarily Hampton Road Office Portfolio and Gateway Center (4.6%) in JPMCC 2019-COR5 and Innovation Park (7.2%), 12555 & 12655 Jefferson (7%), and Sunset North (4.3%) in JPMDB 2019-COR6. Both pools have a high concentration of office properties at 40.4% of the pool balance for JPMCC 2019-COR5 and 56.8% for JPMDB 2019-COR6. Largest Contributors to Loss: The largest decrease in loss expectations since the prior rating action in both transactions and the second largest loss contributor in JPMCC 2019-COR5 is the Hampton Roads Office Portfolio loan, which is secured by a portfolio of 16 office buildings totaling 1.32 million sf in Chesapeake, Virginia Beach, and Hampton, VA. The loan was modified and transferred back to the master servicer in August 2025 after originally transferring to the special servicer in November 2023 for imminent monetary default. The portfolio was 73% occupied as of September 2025, down from 90.5% at issuance. The portfolio reported an NOI DSCR of 1.17x as of September 2025 compared to 1.25x as of YE 2024, 1.32x as of YE 2023 and 1.24x as of YE 2022. The YE 2024 NOI remains 17% below Fitch's NOI from issuance. Fitch's 'Bsf' ratings case loss of 11% (prior to concentration add-ons) reflects a 10% stress to the YE 2024 NOI with a cap rate of 10.5% for the portfolio. The largest overall contributor to loss in JPMCC 2019-COR5 is the Gateway Center loan, which is secured by a 310,475-sf office building located in the CBD of Charlotte, North Carolina. The loan transferred to the special servicer in June 2024 for imminent monetary default prior to Bank of America vacating 78.1% of NRA at their September 2024 lease expiration. Per the September 2024 rent roll the property had an occupancy of 9% after Bank of America vacated. As of February 2026, a purchase contract is being negotiated with a prospective buyer with an estimated closing in second quarter 2026. Fitch's 'Bsf' ratings case loss of 41.5% (prior to concentration add-ons) reflects a stress to the most recent appraisal value reflecting a value of approximately $56 per SF. The largest increase in loss expectations since the prior review and largest overall contributor to loss in JPMDB 2019-COR6 is the 12555 & 12655 Jefferson loan, which is secured by two office buildings totaling 194,180-sf located in the Playa Vista neighborhood of Los Angeles, CA. The loan has been designated a FLOC due to a decline in occupancy after WeWork (43% of NRA) vacated prior to its 2028 lease expiration. As a result, occupancy declined to 27.6% as of September 2025 from 80% at YE 2021. Servicer reported NOI DSCR was 0.27x as of YE 2024 from 1.52x at YE 2021. Fitch's 'Bsf' ratings case loss of 47.1% (prior to concentration add-ons) reflects a 9.5% cap rate to the YE 2023 NOI and factors a higher probability of default to account for the anticipated challenges in stabilizing performance of the property given the low occupancy. The second largest contributor to overall loss expectations in the JPMDB 2019-COR6 transaction is the Sunset North 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 23.9% (prior to a concentration add-ons) is based on a 10.0% 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 third largest contributor to overall loss expectations in JPMDB 2019-COR6 is the Hilton Cincinnati Netherland Plaza loan, secured by a 29-story 561 room full-service hotel located in the CBD of Cincinnati, OH. The loan transferred to special servicing in February 2021 for imminent payment default. A receiver was appointed in November 2022. A recent effort to sell the hotel was unsuccessful after the purchase contract fell through. The receiver is preparing to remarket the property. Property performance has failed to recover from impact from the pandemic and continues to deteriorate. As of TTM June 2025, Net Operating Income was negative with an NOI DSCR of -0.30x. Fitch's 'Bsf' rating case loss of 51.1% (prior to concentration add-ons) reflects a discount to the most recent appraisal value reflecting a stressed value of $76,337 per room. The fourth largest contributor to overall loss expectations in JPMDB 2019-COR6 is the Innovation Park loan, which is secured by a 1.74 million sf office property located in Charlotte, NC. Performance of the office complex continues to deteriorate with occupancy declining to 48.3% as of December 2025, down from 75% at YE 2022. The decline in occupancy was compounded by the departure of the fourth largest tenant, Wells Fargo (11.1% of NRA) which vacated at lease expiration in March 2025. Consequently, the NOI DSCR has decreased to 1.25x at YE 2025, down from 2.17x at YE 2024, 2.52x at YE 2024, and 3.34x at YE 2022. Fitch's 'Bsf' rating case loss expectations of 14.7% (prior to concentration add-ons) reflects a 10% stress to the YE 2024 NOI and factors an increased probability of default to account for near-term rollover, high availability and weak submarket conditions. Dark Single-tenant Exposure: In addition to the FLOCs, two loans within both transactions have exposure to dark single-tenant office properties where the tenant does not occupy the premises but continues to pay rent. The dark properties include 600 & 620 National Avenue in the JPMDB 2019-COR6 transaction and the NOV Headquarters with companion pieces in the JPMCC 2019-COR5 and JPMDB 2019-COR6 transactions. The 600 & 620 National Avenue loan is secured by a 151,064-sf office property in Mountain View, CA with Google as the tenant on a lease through May 2029. The NOV Headquarters loan is secured by a 337,019-sf office property in Houston, TX with NOV (formally, National OilWell Varco) on a lease through November 2033. Increased Credit Enhancement (CE): As of the March 2026 distribution date, the aggregate balances of the JPMCC 2019-COR5 and JPMDB 2019-COR6 transactions have been reduced by 12.1% and 5.1%, respectively, since issuance. One loan (1.4%) is defeased in JPMCC 2019-COR5 and no loans in JPMDB 2019-COR6. Cumulative interest shortfalls of $927,352 are affecting the non-rated class H-RR in the JPMCC 2019-COR5 transaction, and $1,902,375 are affecting the non-rated class NR-RR in the JPMDB 2019-COR6 transaction. 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 high CE and expected continued amortization and loan repayments and dispositions but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. - Downgrades to the sub-senior classes currently rated in the 'AAsf' category are possible with lower-than-expected recoveries for the specially serviced loans and/or continued performance declines of the office FLOCs. These FLOCs include Hampton Roads Office Portfolio and Gateway Center in JPMCC 2019-COR5 and Innovation Park, 12555 & 12655 Jefferson, Hampton Roads Office Portfolio, and Sunset North in JPMDB 2019-COR6. - Downgrades to the 'Asf' and 'BBBsf' rated categories could occur should the performance of the FLOCs and specially serviced loans deteriorate further or fail to stabilize. - Downgrades to the 'BBsf', and 'Bsf' rated categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and/or with greater certainty of losses on the specially serviced loans, or with prolonged workouts of the loans in special servicing. - 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 the 'AAsf' and 'Asf' rated categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance or valuations on the FLOCs. These FLOCs include Hampton Roads Office Portfolio and Gateway Center in JPMCC 2019-COR5 and Innovation Park, 12555 & 12655 Jefferson, Hampton Roads Office Portfolio, and Sunset North in JPMDB 2019-COR6. - Upgrades to the 'BBBsf' rated categories would be limited based on sensitivity to concentrations, including the exposure to underperforming office properties, or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there were likelihood for interest shortfalls. - Upgrades to the 'BBsf' and 'Bsf' rated categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. - Upgrades to the distressed ratings are not expected, but possible with better-than-expected recoveries on specially serviced loans or improved performance 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. KKR CLO 62: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 62 Ltd. Entity/Debt Rating ----------- ------ KKR CLO 62 Ltd. A-L LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary KKR CLO 62 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.81 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.8% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 10.0% 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 between 'BBB+sf' and 'AA+sf' for class A-L, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-L and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D-1, 'BBB+sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for KKR CLO 62 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. KRR CLO 43: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the KKR CLO 43 Ltd reset transaction. Entity/Debt Rating Prior ----------- ------ ----- KKR CLO 43 Ltd. X-R LT AAAsf New Rating A-1-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating B-R 48255UAN4 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-R 48255UAQ7 LT PIFsf Paid In Full Asf C-R2 LT Asf New Rating D-1-R2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating D-R 48255UAS3 LT PIFsf Paid In Full BBB-sf E-R 48256BAD7 LT PIFsf Paid In Full BBsf E-R2 LT BB-sf New Rating Transaction Summary KKR CLO 43 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is being managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $385 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 23.2 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 95.11% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.42% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. 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 3.1-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 is reduced by up to 12 months for the WAL covenants that are greater than 6 years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'A-sf' and 'AA+sf' for class A-1-R2, between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-1-R2, and between less than 'B-sf' and 'BB+sf' for class D-2-R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, '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 KKR CLO 43 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. LEGACY BENEFITS 2004-1: Moody's Withdraws Ca Rating on Cl. B Notes ------------------------------------------------------------------ Moody's Ratings withdrew its rating of the Class B notes issued by Legacy Benefits Life Insurance Settlements 2004-1 LLC. Issuer: Legacy Benefits Life Insurance Settlements 2004-1 LLC Cl. B, Withdrawn (sf); previously on Jun 24, 2025 Downgraded to Ca (sf) RATINGS RATIONALE Moody's have decided to withdraw the rating(s) following a review of the issuer's request to withdraw its rating(s). LENDINGCLUB 2026-P2: Fitch Assigns 'Bsf' 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-P2 (LENDR 2026-P2). Entity/Debt Rating ----------- ------ LENDR 2026-P2 Class A 525947AA5 LT AAAsf New Rating Class B 525947AB3 LT AAsf New Rating Class C 525947AC1 LT Asf New Rating Class D 525947AD9 LT BBBsf New Rating Class E 525947AE7 LT BBsf New Rating Class F 525947AF4 LT Bsf New Rating KEY RATING DRIVERS Strong Receivable Quality: The LENDR 2026-P2 pool comprises entirely prime loans assigned the lowest internal risk grades: P1 (60.62%) and P2 (39.38%). P1 represents the highest credit quality/lowest risk, followed by P2. The LENDR 2026-P2 pool has a weighted average (WA) FICO score of 732; 17.71% 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 19.46%. The WA interest rate of the pool is 11.18%, and the pool has a WA remaining term of 51.27 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 rose notably by vintage year 2022, which continued into the first half of 2023. However, since initiating corrective measures that included cutting originations to higher-risk grades, performance in the subsequent 2024 vintage has improved. Fitch's WA base case default assumption (the default assumption) for LENDR 2026-P2 is 10.02%. 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 years 2021 and 2022 and recognized the improving default curves in the latter 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 43.69%, 33.40%, 20.89%, 11.78%, 6.01% and 1.98% 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'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case defaults increase 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; Base case defaults increase 25%: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'B+sf'/'NRsf'; Base case defaults increase 50%: 'A+sf'/'A-sf'/'BBB-sf'/'BBsf'/'CCCsf'/'NRsf'. Rating Sensitivity to Reduced Recoveries: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case recoveries decrease 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf'; Base case recoveries decrease 25%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf'; Base case recoveries decrease 50%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'B+sf'/'CCCsf'. Rating sensitivities to increased defaults and reduced recoveries: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case defaults increase 10%/ base case recoveries decrease 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBB-sf'/'B+sf'/'CCCsf' Base case defaults increase 25%/base case recoveries decrease 25%: 'AA-sf'/'Asf'/'BBBsf'/'BB+sf'/'CCCsf'/'NRsf' Base case defaults increase 50%/base case recoveries decrease 50%: 'Asf'/'BBB+sf'/'BB+sf'/'B+sf'/'NRsf'/'NRsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case defaults decrease 20%: 'AAAsf'/'AA+sf'/'AA-sf'/'BBB+sf'/'BB+sf'/'BBsf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. MAGNETITE LTD LV: Moody's Assigns (P)B3 Rating to $250,000 F Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to two classes of notes to be issued by Magnetite LV, Limited (the Issuer or Magnetite LV): US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$250,000 Class F Deferrable Mezzanine 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. Magnetite LV 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 and bonds. Moody's expects the portfolio to be approximately 80% ramped as of the closing date. BlackRock Financial Management, Inc. (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 five 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: 65 Weighted Average Rating Factor (WARF): 2985 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 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. MENLO CLO IV: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to MENLO CLO IV LIMITED. Entity/Debt Rating ----------- ------ MENLO CLO IV LIMITED A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating SUB LT NR(EXP)sf Expected Rating Transaction Summary MENLO CLO IV LIMITED (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Permira US CLO Manager LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.44% first-lien senior secured loans and has a weighted average recovery assumption of 73.48%. 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 41% 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 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 0 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, and between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, and 'A-sf' for class D-2 and 'BBB+sf' for class E. 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 Menlo IV LIMITED. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. MENLO CLO IV: Fitch Assigns 'BB-sf' Final Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to MENLO CLO IV LIMITED. Entity/Debt Rating Prior ----------- ------ ----- MENLO CLO IV LIMITED A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT NRsf New Rating NR(EXP)sf SUB LT NRsf New Rating NR(EXP)sf Transaction Summary MENLO CLO IV LIMITED (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Permira US CLO Manager LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.44% first-lien senior secured loans and has a weighted average recovery assumption of 73.48%. 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 41% 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 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 12 March 2026 ESG Considerations Fitch does not provide ESG relevance scores for MENLO CLO IV LIMITED. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. METRONET INFRASTRUCTURE 2025-4: Fitch Rates Cl. C Notes 'BB-sf' --------------------------------------------------------------- Fitch Ratings has assigned final ratings to Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes Series 2026-1 as follows: - $628,300,000 Series 2026-1 Class A-2, 'A-sf'; Outlook Stable; - $275,100,000 Series 2026-1 Class C 'BB-sf'; Outlook Stable. Additionally, Fitch has affirmed the ratings of Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-1, 2025-2, 2025-3, and 2025-4 as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-4 A-2 59170JBD9 LT A-sf Affirmed A-sf B 59170JBF4 LT BBBsf Affirmed BBBsf C 59170JBH0 LT BB-sf Affirmed BB-sf Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2026-1 A-2 LT A-sf New Rating A-(EXP)sf C LT BB-sf New Rating BB-(EXP)sf Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-1 A-2 59170JAR9 LT A-sf Affirmed A-sf B 59170JAS7 LT BBBsf Affirmed BBBsf C 59170JAT5 LT BB-sf Affirmed BB-sf Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-2 Class A-2 59170JAX6 LT A-sf Affirmed A-sf Class B 59170JAZ1 LT BBBsf Affirmed BBBsf Class C 59170JBB3 LT BB-sf Affirmed BB-sf Metronet Infrastructure Issuer LLC, Secured Fiber Network Revenue Notes, Series 2025-3 A-1 LT A-sf Affirmed A-sf Transaction Summary The transaction is a securitization of Metronet's fiber infrastructure under a wholesale framework and the associated issuance of USD903.4 million of notes. These notes will be refinancing additional assets from the warehouse and will represent the fifth issuance under the master trust established under an amended and restated indenture to be executed in March 2026. Fitch's ratings on the notes address the likelihood of timely payment of monthly interest and ultimate payment of principal by the legal final maturity of the notes. As with the other notes issued under the 2025 base indenture, the transaction is backed by a first security interest in the underlying fiber network, current or future customer contracts, transaction accounts, a pledge of equity in the asset entities, the wholesale and related agreements with T-Mobile US, Inc. (Long-Term Issuer Default Rating: 'BBB+'/Stable) and a shared infrastructure service agreement for common assets. The assets in the master trust represent about 60% of Metronet's total passes. The assets being contributed for the 2026-1 issuance are in line with the quality and composition of the assets currently in the master trust. Contributed assets will be in existing states and are seasoned with average operating history in the markets of 4.8 years. The weighted average penetration rate will remain unchanged at ~38%. The revenue composition of the newly contributed assets of 69% residential and 31% commercial will be substantially similar to the composition of the other assets in the master trust. Additionally, the contributed assets add an incremental 12% gross revenue to the master trust. The transaction amends the Variable Funding Note (VFN) pro forma the Class A Leverage Ratio draw condition from 7.0x to 7.5x. The Class A Leverage Ratio is 7.31x. The transaction also includes an amendment that would condition any VFN draw on the B note leverage not exceeding 8.75x, which is its expected value at the close of 2026-1. The Senior DSCR draw condition for VFN has decreased from 1.85x to 1.70x. In a high interest rate environment, it is possible the lower senior DSCR draw condition would result in incremental borrows that would not otherwise have been possible. However, Fitch believes the leverage-based draw conditions are the most effective constraints on borrowings, and Fitch's risk analysis incorporates a scenario with a fully-funded VFN in a high interest rate environment. This transaction also introduces an option for the issuer to establish Liquidity Funding Notes (LFNs), which may be issued only after the 2025-1, 2025-2, 2025-3 and 2025-4 notes have been paid in full or with the consent of 50% of the holders of the 2025-1, 2025-2, 2025-3 and 2025-4 notes. The LFNs would be designated as class A-1-L. Interest on and repayment of these notes would take priority over all other notes and advances are expected to be made at the direction of the issuer solely to fund the liquidity reserve, up to a maximum of 50% of the required liquidity reserve balance. The 50% of required liquidity reserve balance must be held in cash. LFN can spring prior to payment in full of pre 2026-1 notes if 50% of existing noteholder consent. The LFN will not be issued at closing, and the issuance of the LFN would be subject to rating confirmation of any other outstanding notes in the master trust. Fitch is not a transaction party and has no obligation to provide rating confirmations. Therefore, LFN note purchase agreement, which will include the terms governing the LFNs, has not been drafted and Fitch's review and assessment of the terms would occur as part of the rating agency confirmation process. Currently, the notes feature a liquidity reserve sized to six months of interest, direct costs, and certain fees. Regarding seniority, if there is no event of default, the A-1 notes will receive accrued interest prior to the A-2 notes. However, in the event of default, the class A-1 and A-2 notes enjoy the same priority as each other with respect to distribution of collateral proceeds. Otherwise, seniority follows alphanumerical designation. Fitch's analysis and rating recommendations are based on an analysis of cash flows and debt encompassing all of the assets that will be in the master trust and related cash flows, debt, and repayment, giving effect to priority of payments and transaction structure. Therefore, the analysis of the 2026-1 A-2 and C notes is also applicable to prior issued notes in these series. Triggers are the same as those of the other series of notes, which Fitch evaluated in prior issuances. Fitch has affirmed all other existing ratings issued by the master trust. KEY RATING DRIVERS Fitch Net Cash Flow and Leverage Multiples: Fitch Net Cash Flow (FNCF) in its central scenario is $344.3 million, representing an approximately 15.3% haircut compared to the issuer's modelled cash flow of $406.5 million. FNCF represents a margin of 57.5% of modelled gross revenue compared to an issuer margin of 72.4% of gross revenue. The debt multiples at close, applying FNCF are as follows: 8.63x for the A notes (versus 7.31x on issuer net cash flow); 10.33x for the B notes (versus 8.75x on issuer net cash flow), and 12.10x on the C notes (versus 10.25x on issuer net cash flow.) With the subject issuance, the debt multiple on issuer net cash flow is increasing for the A notes and C notes while B note leverage remains unchanged. In evaluating the current transaction, Fitch reviewed updated historical financial data, actual ABS cash flows reported in Monthly Noteholder Reports, re-assessed prior haircuts and assumptions, and discussed data and performance with Metronet. The lower haircut versus Issuer Cash Flow in the subject transaction is largely driven by observed improvements in operating metrics, as well as review of data covering periods under which the business was operating under the MFA with T-Mobile. As such, the updated FNCF appropriately reflects both benefits of scale and market penetration and emerging track record of performance under the MFA. FNCF incorporated more conservative capex assumptions based on trend analysis; however, this increase was offset by expense reductions in other categories. Credit Risk Factors: The major factors impacting Fitch's determination of cash flow and maximum potential leverage (MPL) include the high quality of the underlying collateral networks, scale and diversity of the underlying customer base, strong branding support and reputation of T-Mobile, strong market position and penetration, capability and track record of the operator, increased durability of cash flow as a result of the MFA, and the strength of the transaction structure. In the repayment analysis, the A notes are paid in full prior to year 15. The B notes are not paid in full by year 15, but the combined outstanding principal balance of class B and C at year 15 is 16.5% of the balance of all of the notes in the master trust at inception. Fitch considered some of the risk related to non-renewal or termination of the MFA to be mitigated if the notes paid in full prior to this 15-year period, or if there is substantial paydown of principal by this time. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology — rendering obsolete the current transmission of data through fiber optic cables — will be developed. Fiber optic cable networks are currently the fastest and most reliable means to transmit information and data providers continue to invest in and utilize this technology. T-Mobile Sensitivity: Fitch's assessment of MPL reflects the transaction's exposure to durable cash flows derived from the T-Mobile wholesale agreement. The ratings issued by Fitch, along with the potential for the class A notes to attain credit ratings above T-Mobile's 'BBB+' Long-Term IDR, is based on a thorough analysis of the underlying collateral network and the transaction's capability to perform independently of the agreement. In addition, the evaluation considers the sufficiency of transaction triggers to mitigate a potential decline in T-Mobile's creditworthiness. In its analysis following T-Mobile's downgrade to below investment grade, Fitch conducted stress scenarios to evaluate the adequacy of the 75% cash sweep trigger and to assess the timeliness of class A-2 deleveraging to a 6.0x debt-to-issuer SNCF leverage ratio and the likelihood of ultimate repayment of the note following the transaction's anticipated repayment date (ARD). Fitch assumed the cash sweep trigger occurs as of the closing date and stressed closing date revenues by 0%, 15% and 20%. The results of these scenarios are as follows: - No Revenue Stress: class A-2 leverage ratio equals 6.0x in 5.4 years and is repaid in full in 12.4 years following the transaction closing date. - 10% Revenue Stress: class A-2 leverage ratio equals 6.0x in 6.5 years and is repaid in full in 13.6 years following the transaction closing date. - 15% Revenue Stress: class A-2 leverage ratio equals 6.0x in 6.7 years and is repaid in full in 14.1 years following the transaction closing date. - 20% Revenue Stress: class A-2 leverage ratio equals 6.0x in 7.1 years and is repaid in full in 14.4 years following the transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow as a result of higher expenses, contract churn, or lower market penetration and the development of an alternative technology for the transmission of wireless signal could lead to downgrades. For the 2025-3 issuance, Fitch performed interest rate sensitivities associated with the VFN, which modelled higher SOFR rates. Two such sensitivities were performed for the two scenarios presented above regarding the low and high revenue growth cases. Neither sensitivity resulted in a material deterioration in repayment analysis that would constitute a downgrade. Fitch's base case NCF was 15.3% below the issuer's underwritten cash flow. A further 10% decline in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A-2 from 'A-sf' to 'BBBsf'; class C from 'BB-sf' to 'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing cash flow without an increase in corresponding debt, from rate increases, additional contracts, or contract amendments could lead to upgrades. A 10% increase in Fitch's NCF indicates the following ratings based on Fitch's determination of MPL: class A from 'A-sf' to 'Asf'; class C from 'BB-sf' to 'BBsf'. Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MFA 2026-NQMR1: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by MFA 2026-NQMR1 Trust (MFA 2026-NQMR1). Entity/Debt Rating ----------- ------ MFA 2026-NQMR1 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-1B LT AAA(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1A LT BB+(EXP)sf Expected Rating B-1B LT BB-(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The MFA 2026-NQMR1 notes are supported by 810 loans, with a balance of $412.3 million as of March 1, 2026 (the cutoff date). The transaction is scheduled to close on March 27, 2026. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential payment structure. All loans in the pool are seasoned for more than 24 months and were included in prior MFA securitizations. MFA 2026-NQMR1 has a mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 60.8%. About 87.5% of the loans have a clean payment history and are current, 3.7% of the pool is delinquent and 90.2% were underwritten to less-than-full documentation. In addition, 40.6% were underwritten to a 12- or 24-month bank statement program, 42.6% were debt service coverage ratio (DSCR) or DSCR no-ratio products, about 2.1% were certified public accountant (CPA) profit-and-loss (P&L) products, and 4.9% were underwritten to an asset depletion or written verification of employment (WVOE) products. 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 48.8% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 32.1%. The expected loss in the 'AAAsf' rating stress is 15.7% Structural Analysis: The mortgage cash flow and loss allocation in MFA 2026-NQMR1 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 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements as described in its "Global Structured Finance Rating Criteria". Relevant parties are those whose failure to perform could have a material impact on transaction performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects MFA 2026-NQMR1 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-NQMR1; 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 The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 36.7% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% increase in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. CRITERIA VARIATION Fitch used a custom model and applied a variation to Fitch's U.S. RMBS Ratings Model to scale down the Z-score adjustment 33% starting after year two and 100% removal by end of year five. Currently, additional PD adjustments are applied to the final PD using a z-score adjustment that is static in both weight and application over time, regardless of seasoning. Many of these adjustments are designed to capture risk factors not present in the historical dataset and not included in the origination PD regression. While these risk factors were present at origination, their relevance diminishes as the loans seasoned and more performance data becomes available. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple TPR firms. The due diligence was performed at the respective prior issuance and was not updated with the exception of updated property valuations. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MIDOCEAN CREDIT VII: Moody's Ups Rating on $28.5MM E Notes to Ba3 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by MidOcean Credit CLO VII: US$28,5000,000 Class E Deferrable Floating Rate Notes due 2029 (current balance of $14,840,750.36), Upgraded to Ba3 (sf); previously on Feb 26, 2025 Downgraded to Caa2 (sf) MidOcean Credit CLO VII, originally issued in July 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 transaction's reinvestment period ended in July 2021. A comprehensive review of all credit ratings for the respective transaction(s) have been conducted during a rating committee. RATINGS RATIONALE The rating action is primarily a result of deleveraging of the senior notes since February 2025. The Class B-R, C-R, and D notes have been fully paid down, and Class E notes have been paid down by approximately 48% or $13.7 million since then. Based on Moody's calculations, the OC ratio for the Class E notes is currently 112.66%, versus February 2025 level of 100.91%. Nevertheless, the credit quality of the portfolio has deteriorated since February 2025. Based on Moody's calculations, the weighted average rating factor (WARF) is currently 4812 compared to 3172 in February 2025. No action was taken on the Class F notes because its expected loss remain commensurate with its current rating, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. In addition, because of the collateral pool's low diversity, Moody's used CDOROM™ to simulate a default distribution that it then used as an input in the cash flow model. 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: $17,881,701 Diversity Score: 3 Weighted Average Rating Factor (WARF): 4812 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.62% Weighted Average Recovery Rate (WARR): 47.45% Weighted Average Life (WAL): 2.2 years Par haircut in OC tests and interest diversion test: 6.50% 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. MIDOCEAN CREDIT XXII: Fitch Assigns 'BB-(EXP)sf' Rating on E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to MidOcean Credit CLO XXII. Entity/Debt Rating ----------- ------ MidOcean Credit CLO XXII A-1 LT NR(EXP)sf Expected Rating A-1 Loans LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary MidOcean Credit CLO XXII (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by MidOcean Credit RR Manager LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23 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 95.67% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.88% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'BB-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D-1, 'BBB+sf' for class D-2, and 'BBBsf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for MidOcean Credit CLO XXII. 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. MORGAN STANLEY 2011-C2: Moody's Cuts Rating on Cl. X-B Certs to C ----------------------------------------------------------------- Moody's Ratings has affirmed the ratings on three classes and downgraded the rating on one class in Morgan Stanley Capital I Trust 2011-C2 ("MSC 2011-C2"), Commercial Mortgage Pass-Through Certificates, Series 2011-C2 as follows: Cl. D, Affirmed B3 (sf); previously on Sep 8, 2021 Downgraded to B3 (sf) Cl. E, Affirmed Caa3 (sf); previously on Sep 8, 2021 Affirmed Caa3 (sf) Cl. F, Affirmed C (sf); previously on Sep 8, 2021 Affirmed C (sf) Cl. X-B*, Downgraded to C (sf); previously on Sep 8, 2021 Downgraded to Ca (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the three P&I classes were affirmed due to the credit support of each class in connection with Moody's expectations of principal paydowns and losses from the remaining loan in the pool. The sole remaining loan, Ingram Park Mall (100% of the pool), is real estate owned ("REO") and has been in special servicing since April 2021. While Cl. D has already paid down 73% from securitization and benefits from significant credit support, the exposure to the distressed loan in special servicing increases the potential for interest shortfalls to impact this class. The rating on one IO Class, Cl. X-B, was downgraded based on paydowns of higher rated referenced classes. Cl. X-B originally referenced Cl. B through Cl. J, however, Cl. B and Cl. C have now paid off in full, and Cl. D has paid down over 73%. Moody's rating action reflects a base expected loss of 55.5% of the current pooled balance. Moody's base expected loss plus realized losses is now 7.4% of the original pooled balance, compared to 7.3% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then apply the aggregate loss from specially serviced 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 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 18, 2026 distribution date, the transaction's aggregate certificate balance has decreased by 91% to $104 million from $1.2 billion at securitization and the certificates are collateralized by one remaining specially serviced loan. Four loans have been liquidated from the pool, contributing to an aggregate realized loss of $32 million (for a weighted average loss severity of approximately 15%). As of the February 2026 remittance statement cumulative interest shortfalls were $858,850 and impacted Cl. J. The sole remaining loan, Ingram Park Mall, is secured by a 375,000 SF portion of a 1.1 million SF regional mall located in San Antonio, Texas. The inline occupancy, including temporary tenants, was 92% as of December 2025. The property's net operating income (NOI) has declined annually since 2015 and the 2025 reported NOI of $9.6 million was 14% below the NOI reported in 2024. The loan was current on debt service payment as of the February 2026 remittance date and has amortized 28.3% since securitization, however, the loan has been in special servicing since April 2021 and has been REO since the July 2021 foreclosure sale. Servicer commentary has indicated prior marketing attempts to sell the property have failed to produce an acceptable bid and the property is continuing to be leased and will be placed back on the market at an appropriate time. MOUNTAIN POINT 1: Fitch Assigns 'BB(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Mountain Point CLO 1 Ltd. Entity/Debt Rating ----------- ------ Mountain Point CLO 1 Ltd A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA+(EXP)sf Expected Rating C LT A+(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Mountain Point CLO 1 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Mountain Point Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. 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 100% first lien senior secured loans and has a weighted average recovery assumption of 74.74%. 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 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentration is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Mountain Point CLO 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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MOUNTAIN POINT 1: Moody's Assigns (P)B3 Rating to $250,000 F Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to two classes of notes to be issued by Mountain Point CLO 1 Ltd (the Issuer): US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$250,000 Class F Junior Secured 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. The Issuer is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans. Moody's expects the portfolio to be approximately 90% ramped as of the closing date. Mountain Point Credit 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, the Manager may not reinvest and all proceeds received will be used to amortize the notes in sequential order. This is the Manager's first CLO. 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: 100 Weighted Average Rating Factor (WARF): 3053 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 9.0 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. NAVESINK CLO 6: S&P Assigns Prelim BB-(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Navesink CLO 6 Ltd./Navesink CLO 6 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by ZAIS Leveraged Loan Master Manager LLC, a subsidiary of Zais Group LLC. The preliminary ratings are based on information as of March 24, 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 Navesink CLO 6 Ltd./Navesink CLO 6 LLC Class A-1, $252.0 million: AAA (sf) Class A-2, $16.0 million: AAA (sf) Class B, $36.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D-1 (deferrable), $19.0 million: BBB- (sf) Class D-1F (deferrable), $5.0 million: BBB- (sf) Class D-2 (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $12.0 million: BB- (sf) Senior subordinated notes, $7.5 million: NR Junior subordinated notes, $22.5 million: NR NR--Not rated. NEW RESIDENTIAL 2026-NQM4: Fitch Rates Cl. B2 Notes 'B-sf' ---------------------------------------------------------- Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust 2026-NQM4 (NRMLT 2026-NQM4). Entity/Debt Rating Prior ----------- ------ ----- NRMLT 2026-NQM4 A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1FCF LT AAAsf New Rating AAA(EXP)sf A1LCF LT AAAsf New Rating AAA(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 916 nonprime loans that were primarily originated by NewRez LLC and Champions Funding LLC, with a total balance of approximately $496.3 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. NRMLT 2026-NQM4 has a Final PD of 39.37% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 42.82%. The expected loss in the 'AAAsf' rating stress is 16.81%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM4 are based on a modified sequential structure whereby the principal is distributed pro rata among the senior certificates while subordinate bonds are shut out from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the collective class A-1 notes (namely, the A-1FCF, A-1LCF, A-1A and A-1B notes), class A-2, and class A-3 notes until they are reduced to zero. Among the collective class A-1 notes, interest and principal payments will be made either pro rata or sequentially depending on which class A-1 notes are outstanding at the time of distribution. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 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: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects NRMLT 2026-NQM4 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2026-NQM4, and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by several firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NEWSTAR FAIRFIELD: Fitch Lowers Rating on Class D-N Notes to 'B-sf' ------------------------------------------------------------------- Fitch Ratings has downgraded the class D-N notes of Newstar Fairfield Fund CLO, Ltd. (Newstar Fairfield) to 'B-sf' from 'B+sf' and assigned a Negative Rating Outlook. Fitch affirmed the ratings on all other classes and the Rating Outlooks remained unchanged as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Newstar Fairfield Fund CLO, Ltd. (F/K/A Fifth Street SLF II, Ltd.) A-2-N 65252BAC7 LT AAAsf Affirmed AAAsf B-1-N 65252BAE3 LT A+sf Affirmed A+sf B-2-N 65252BAJ2 LT A+sf Affirmed A+sf C-N 65252BAG8 LT BBB+sf Affirmed BBB+sf D-N 65252CAA9 LT B-sf Downgrade B+sf Transaction Summary Newstar Fairfield is a middle-market (MM) collateralized loan obligation (CLO) managed by First Eagle Alternative Credit, LLC. Newstar Fairfield was a reset transaction in April 2018 and exited its reinvestment period in April 2023. This CLO is secured primarily by first lien senior secured loans. KEY RATING DRIVERS Increased Portfolio Losses and Rising Concentration Risk The downgrade of class D-N notes reflects growing obligor concentration and continuing par erosion, which together outweigh the benefit of higher credit enhancement from senior note amortization. The Negative Outlook on class D-N notes reflects their heightened exposure to tail risk and rising cost of funding as the transaction continues to deleverage. Cumulative par losses rose to 7.7% from 5.6% at the October 2025 review, primarily driven by credit risk sales and haircuts on defaulted assets. As of March 2026, Fitch classified six obligors totaling 15.0% of portfolio notional, as defaulted, up from 8.2% at the last review. Fitch also considered 46.2% of the total portfolio to be in the 'CCC' category (including non-rated issuers), compared to 43.1% at the last review, mainly driven by the increased concentration of the portfolio. The portfolio now comprises 46 obligors, down from 56 at the previous review. The top 10 obligors represent 41.7% of the performing portfolio (excluding cash), compared to 35.9% previously. Issuers above 2.0% exposure total 67.0% of the portfolio, up from 51.4%, further highlighting concentration risks. Note Amortization and Limited Excess Spread Following the January payment date, class A-2-N notes have amortized 56.6% of their original balance, compared to 28.1% at last review, increasing credit enhancement across the capital structure, except for class D-N notes. Interest proceeds have been diverted to cure class D-N coverage test failures since the April 2024 payment date. However, the benefit of interest diversion is expected to diminish over time, as continuing deleveraging will result in higher funding costs, further limiting available excess spread. Updated Cash Flow Analysis Fitch conducted an updated cash flow analysis of the current portfolio. In line with Fitch's CLOs and Corporate CDOs Rating Criteria, the methodology applies additional stresses, called the obligor concentration uplift (OCU) for portfolios with a small number of assets that increase correlation stresses and haircut recoveries for the largest risk contributors. The OCU was applied to six obligors comprising 23.5% of the portfolio. Fitch has downgraded the class D-N notes to 'B-sf' from 'B+sf', based on the limited margin of safety that remains on the notes. Fitch assigned a Negative Outlook as par coverage is still positive but vulnerable to the projected losses in the portfolio. There was no Model-Implied Rating (MIR) for the notes, as Fitch's cash flow analysis indicated no breakeven default rates for the current portfolio, as excess spread and principal proceeds may not be sufficient to redeem the class by its maturity date. Fitch also evaluated the class B-1-N and B-2-N notes (collectively, the class B-N notes), which passed at higher rating levels in the analysis, based on the current portfolio. Fitch then considered the notes' performance under a stressed portfolio analysis, which applied a one-notch downgrade to 6.5% of the portfolio for issuers with a Negative Outlook and applied a minimum weighted-average life assumption of 4.0 years to address increasing portfolio concentration and loan refinancing risks. Fitch has affirmed the ratings for class B-N notes at two notches below their respective MIRs. Fitch considered the cushions at higher rating levels to be limited, given the elevated tail risks that could result in material par losses. The Positive Outlooks on class B-N notes reflect its expectation that continued note redemption will offset increasing concentration risk and deterioration in the remaining portfolio. Rating actions on all other classes of notes are consistent with their respective MIRs. The Stable Outlooks on class A-2-N and C-N notes reflect Fitch's view that current credit enhancement levels and further deleveraging provide sufficient protection against the aforementioned risks. 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 does not compensate for the higher loss expectation than initially assumed. A 25% increase in the mean default rate across all ratings, along with a 25% decrease in the recovery rate at all rating levels for the current portfolio, would lead to downgrades of up to two notches for the class C-N notes and no rating impact on all other notes (except for class D-N notes), based on MIRs. Class D-N notes may be downgraded by at least one rating category. 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 four rating categories, 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 Newstar Fairfield Fund CLO, Ltd. (F/K/A Fifth Street SLF II, Ltd.). In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. NGC CLO 3: S&P Assigns Prelim BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to NGC CLO 3 Ltd./NGC CLO 3 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by NGC CLO Manager LLC, a subsidiary of the Nassau Financial Group. The preliminary ratings are based on information as of March 25, 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 NGC CLO 3 Ltd./NGC CLO 3 LLC Class X(i), $4.00 million: AAA (sf) Class A, $240.00 million: AAA (sf) Class B, $64.00 million: AA (sf) Class C-1 (deferrable), $21.00 million: A (sf) Class C-2 (deferrable), $3.00 million: A (sf) Class D-1 (deferrable), $17.00 million: BBB (sf) Class D-2 (deferrable), $1.00 million: BBB (sf) Class D-J (deferrable), $8.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $33.96 million: NR (i)The class X debt is expected to be paid down using interest proceeds in equal installments from the second payment date to the 13th payment date. NR--Not rated. NLT 2026-NQM1: S&P Assigns Prelim B (sf) Rating on Class B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to NLT 2026-NQM1's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, two- to four family units, condominiums, manufactured housing, five-to-10 unit multi-family, and 11-20 unit multi-family residential properties. The pool has 895 residential mortgage loans, including 41 loans that are cross-collateralized loans backed by 304 properties for a total property count of 1,158. The loans are QM safe harbor (APOR), QM rebuttable presumption (APOR), non-QM/ATR-compliant, or ATR-exempt. The preliminary ratings are based on information as of March 23, 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 credit enhancement provided in the transaction; -- The representation and warranty framework; -- The pool's geographic concentration; -- The transaction's associated structural mechanics; and -- The transaction's mortgage loan originators/aggregator. S&P said, "Our U.S. economic outlook, which that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned NLT 2026-NQM1 Trust(i) Class A-1, $277,340,000: AAA (sf) Class A-2, $29,130,000: AA (sf) Class A-3, $43,690,000: A (sf) Class M-1, $17,960,000: BBB (sf) Class B-1, $12,970,000: BB (sf) Class B-2, $10,380,000: B (sf) Class B-3, $7,582,949: NR Class XS, notional(ii): NR Class PT, $399,052,949: NR Class A-IO-S, notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal and do not address payment of cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $399,052,949. N/A--Not applicable. NR--Not rated. NORTHWOODS CAPITAL 22: Fitch Assigns BB-sf Rating on Cl. ER3 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Northwoods Capital 22, Limited reset transaction. Entity/Debt Rating ----------- ------ Northwoods Capital 22, Limited XR3 LT NRsf New Rating A1R3 LT NRsf New Rating A2R3 LT AAAsf New Rating BR3 LT AAsf New Rating C1R3 LT Asf New Rating C2R3 LT Asf New Rating D1R3 LT BBB+sf New Rating D2R3 LT BBB-sf New Rating ER3 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Northwoods Capital 22, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by TPG Credit. The transaction originally closed in August 2020 and refinanced twice in May 2022 and March 2024, respectively. This will be the third refinancing. The CLO's existing notes will be refinanced in whole from proceeds of the new secured notes on March 16, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $499 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+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.89, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.82% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.72% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio 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 A2R3, between 'BB+sf' and 'A+sf' for class BR3, between 'Bsf' and 'BBB+sf' for class CR3, between less than 'B-sf' and 'BBB-sf' for class D1R3, and between less than 'B-sf' and 'BB+sf' for class D2R3 and between less than 'B-sf' and 'B+sf' for class ER3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A2R3 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 BR3, 'AAsf' for class CR3, 'A+sf' for class D1R3, and 'A-sf' for class D2R3 and 'BBB+sf' for class ER3. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Northwoods Capital 22, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. NYMT LOAN 2026-INV2: S&P Assigns Prelim B-(sf) Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to NYMT Loan Trust 2026-INV2's mortgage-backed notes. The note issuance is an RMBS securitization backed by first‑lien, fixed‑ and adjustable‑rate, fully amortizing residential mortgage loans to both prime and nonprime borrowers (some with interest‑only periods). The loans are secured by single‑family residential properties, townhomes, planned‑unit developments, condominiums, two‑ to four‑family residential properties, and multifamily properties. The pool consists of 1,489 business‑purpose investment property loans (including 30 cross‑collateralized loans backed by 170 properties) which are all ability-to-repay exempt. The preliminary ratings are based on information as of March 25, 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, and representation and warranty framework; -- The mortgage aggregator and reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P's outlook that considers its current projections for U.S. economic growth, unemployment rates, and interest rates, as well as its view of housing fundamentals. S&P's outlook is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i)(ii) NYMT Loan Trust 2026-INV2 Class A-1, $89,820,000: AAA (sf) Class A-1A, $76,054,000: AAA (sf) Class A-1B, $13,766,000: AAA (sf) Class A-1FCF, $67,366,000: AAA (sf) Class A-1LCF, $22,455,000: AAA (sf) Class A-2, $20,098,000: AA (sf) Class A-3, $34,139,000: A (sf) Class M-1, $15,418,000: BBB (sf) Class B-1, $12,251,000: BB- (sf) Class B-2, $9,085,000: B- (sf) Class B-3, $4,681,155: NR Class A-IO-S, notional(iii): NR Class XS, notional(iii): NR Class R, not applicable: NR (i)The initial note balance of the class A-1LCF, A-1FCF, A-1A, and A-1B notes are subject to change and will be determined at the time of pricing provided that the aggregate initial note amount of the class A-1LCF, A-1FCF, A-1A, and A-1B notes will be equal to $179,641,000. (ii)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (iii)The notional amount will equal the aggregate state principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. PCY TRUST 2026-FCMT: Fitch Assigns 'BB(EXP)sf' Rating on HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to PCY Trust 2026-FCMT, Commercial Mortgage Pass-Through Certificates, series 2026-FCMT (PCY 2026-FCMT) as follows: - $284,300,000a class A 'AAA(EXP)sf'; Outlook Stable; - $48,900,000a class B 'AA-(EXP)sf'; Outlook Stable; - $38,400,000a class C 'A-(EXP)sf'; Outlook Stable; - $54,200,000a class D 'BBB-(EXP)sf'; Outlook Stable; - $15,950,000a class E 'BB+(EXP)sf'; Outlook Stable; - $23,250,000ab class HRR 'BB(EXP)sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. The expected ratings are based on information provided by the issuer as of March 23, 2026. Transaction Summary PCY 2026-FCMT is expected to represent the beneficial interest in a trust that holds a five-year, fixed-rate, interest-only (IO) $465.0 million mortgage loan. The loan will be secured by the fee simple interest in the 866,315-sf (646,900 collateral sf) Fashion Centre Mall, a super-regional mall; the 12-story (168,356 sf) Metro Tower at Pentagon City, an office building; and the leased fee interest in the Ritz-Carlton Pentagon City, located in Arlington, VA. The loan has not yet closed, and loan proceeds, along with an approximately $29.9 million of sponsor equity, will be used to refinance $455.0 million of existing debt; fund about $26.6 million of outstanding tenant improvements and leasing commissions (TI/LCs) and approximately $3.3 million of gap/free rent; and pay closing costs. The loan is sponsored by Simon Property Group L.P. (Simon) and Institutional Mall Investors LLC (IMI). The loan is expected to be co-originated by Goldman Sachs Bank USA, Wells Fargo Bank, National Association and Barclays Capital Real Estate Inc. Midland Loan Services, a Division of PNC Bank, National Association, is expected to be the servicer, and Situs Holdings LLC is expected to be the special servicer. Computershare Trust Company, National Association is expected to be the trustee, certificate administrator and custodian. Park Bridge Lender Services LLC is expected to be the operating advisor. The certificates are expected to follow a sequential-pay structure. The transaction is scheduled to close on April 10, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the property is estimated at $40.6 million after deducting for the portion of Fitch's NCF attributable to Macy's, which is subject to a free release. Fitch applied a 7.75% cap rate to derive a Fitch value of $524.1 million. Fitch's unadjusted NCF is $40.8 million. This is 12.5% lower than the issuer's NCF of $46.7 million. Moderate Fitch Stressed Leverage: The $465.0 million mortgage loan equates to total senior debt of $570 psf, with a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 1.00x, 88.7% and 8.7%, respectively. The mortgage loan represents 59.8% of the property's "as-is" appraised value of $777.7 million. Strong Competitive Position: The collateral comprises a super-regional mall, an office tower and the ground beneath a Ritz-Carlton hotel in Arlington, VA, situated at the confluence of I-395 and US-1, just south of Washington, D.C. The mall hosts a tenancy lineup that includes Macy's (leased fee), Nordstrom (noncollateral), Zara, Primark, Uniqlo and Apple. It operates within a primary trade area (five mile radius) that includes approximately 820,000 residents with an average household income of roughly $150,000. Nearby malls include Ballston Quarter (three miles), Tanger Outlets (six miles), Springfield Town Center (nine miles) and The Mall at Prince Georges (nine miles). Strong Sales Performance: The property, excluding the Ritz-Carlton and noncollateral anchor Nordstrom, reported strong overall sales of about $270.5 million in 2023, $283.5 million in 2024, and $285.7 million in 2025. The Fitch-comparable in-line sales for 2023 through 2025 were $1,014 psf ($783 psf excluding Apple), $1,015 psf ($823 psf) and $1,024 psf ($832 psf), respectively. The Fitch-comparable in-line occupancy cost was 16.8% (20.0% excluding Apple) as of YE 2025. Fashion Centre Mall's Fitch comparable 2025 in-line sales of $832 psf (ex. Apple) are significantly higher than its competitive set's average sales of $500 psf, per Green Street as of March 2026. Institutional Sponsorship and Management: The loan is sponsored by Simon and IMI. Simon (NYSE: SPG), an S&P 100 company, is a fully integrated real estate company that owns shopping, dining, entertainment and mixed-use destinations across North America, Europe and Asia. Its portfolio spans 212 income-producing properties spanning 188.4 million sf across 37 states and Puerto Rico. IMI is a co-investment venture owned by California Public Employees' Retirement System (CalPERS), the nation's largest public pension fund, and an affiliate of Miller Capital Advisory, which serves as investment manager for CalPERS. The IMI portfolio features some of the most dominant super-regional malls in the U.S., including but not limited to Houston Galleria, Oakbrook Center and Scottsdale Fashion Square. 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' / 'BBsf'; - 10% NCF Decline: 'AAsf' / 'A-sf' / 'BBB-sf' / 'BBsf' / '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 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' / 'BBsf'; - 10% NCF Increase: 'AAAsf' / 'AAsf' / 'A+sf' / 'BBBsf' / 'BBB-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 PricewaterhouseCoopers 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. PIKES PEAK 21 (2026): Fitch Assigns 'BB-sf' Rating on Cl. E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Pikes Peak CLO 21 (2026). Entity/Debt Rating ----------- ------ Pikes Peak CLO 21 (2026) A-1 LT NRsf New Rating A-1L LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C-1 LT Asf New Rating C-2 LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Pikes Peak CLO 21 (2026) (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Partners Group CLO Advisers LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.3 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.67% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.08% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43% of the portfolio balance in aggregate while the top five obligors can represent up to 12% 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 between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'Asf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Pikes Peak CLO 21 (2026). In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. PMT LOAN 2026-CNF2: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 43 classes of residential mortgage-backed securities (RMBS) 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, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-23X*, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-24X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X10*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X16*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X20*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned on February 26, 2026, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.49%, in a baseline scenario-median is 0.25% and reaches 6.79% 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-CNF3: 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-CNF3, 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-CNF3 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)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aa1 (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)Aa1 (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)Aa1 (sf) Cl. A-X22*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.50%, in a baseline scenario-median is 0.25% and reaches 6.89% 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-INV3: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 56 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2026-INV3, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages aggregated, originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-INV3 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-34, Definitive Rating Assigned Aaa (sf) Cl. A-34X*, Definitive Rating Assigned Aaa (sf) Cl. A-35, Definitive Rating Assigned Aaa (sf) Cl. A-35X*, Definitive Rating Assigned Aaa (sf) Cl. A-36, Definitive Rating Assigned Aaa (sf) Cl. A-36X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned on March 04, 2026, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.73%, in a baseline scenario-median is 0.44% and reaches 7.32% 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. PNW TRUST 2026-ARTE: Moody's Assigns (P)B2 Rating to Cl. F Certs ---------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to seven classes of CMBS securities, to be issued by PNW Trust 2026-ARTE, Commercial Mortgage Pass-Through Certificates, Series 2026-ARTE: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. F, Assigned (P)B2 (sf) Cl. HRR, Assigned (P)B3 (sf) RATINGS RATIONALE The certificates are collateralized by a first-lien mortgage on the borrower's fee simple interest in 788 106th Ave (the "Property"), a Class A office building located in downtown Bellevue, WA. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The Artise is a 25-story, Class A office tower located at the corner of NE 8th Avenue and 106th Avenue in downtown Bellevue, WA. The tower was developed in 2024 encompassing 606,583 SF of premium office space and 5,282 SF of ground floor retail space. The Property is 99.1% leased to Amazon, who executed a long-term lease prior to the groundbreaking of its construction. Amazon is still completing its interior buildout with a targeted occupancy date for later this year. The Property was developed to align with Amazon's broader corporate strategy of expanded headcount in Bellevue. Over 3,000 employees are expected to work out of the tower five days a week. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 0.99X and Moody's first mortgage actual stressed DSCR is 0.67X. Moody's DSCR is based on Moody's stabilized net cash flow. The fully funded whole loan first mortgage balance of $525,000,000 represents a Moody's LTV ratio of 124.3% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 124.9% 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 0.25. Notable strengths of the transaction include: superior asset quality, long-term investment-grade tenancy, Amazon's commitment to the market, location, below-market rent, and experienced sponsorship with deep market knowledge. Notable concerns of the transaction include: single tenancy, Amazon's corporate layoffs planned, soft market fundamentals, high MLTV, full-term IO, single asset transaction, and legal considerations. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in January 2025. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. PPM CLO 3: Moody's Lowers Rating on $20MM Class E-R Notes to B2 --------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by PPM CLO 3 Ltd.: US$20,000,000 Class E-R Deferrable Floating Rate Notes due 2034, Downgraded to B2 (sf); previously on July 21, 2025 Downgraded to B1 (sf) PPM CLO 3 Ltd., originally issued in June 2019 and last partially refinanced in December 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 April 2026. 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 observed in the underlying CLO portfolio and its Over-Collateralization (OC) ratios. Based on Moody's calculation, the OC ratio for the Class E-R notes is at 103.71% versus December 2025 level of 104.55%. No actions were taken on the Class A-1R2, Class A-2R2, Class B-R2, Class C-R2 and Class D-R notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in October 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $380,948,130 Defaulted par: $1,418,884 Diversity Score: 78 Weighted Average Rating Factor (WARF): 2840 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.97% Weighted Average Coupon (WAC): 3.37% Weighted Average Recovery Rate (WARR): 46.09% Weighted Average Life (WAL): 4.5 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology 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. PROVIDENT BANK 1999-3: Moody's Cuts Rating on Cl. A-3 Certs to Caa3 ------------------------------------------------------------------- Moody's Ratings has downgraded the rating of Class A-3 issued by Provident Bank Home Equity Loan Trust 1999-3. The collateral backing this deal consists of subprime mortgages. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating action is as follows: Issuer: Provident Bank Home Equity Loan Trust 1999-3 Cl. A-3, Downgraded to Caa3 (sf); previously on Mar 18, 2025 Upgraded to Caa1 (sf) Financial Guarantor: MBIA Insurance Corporation (Downgraded to Caa3, Outlook Stable on October 09, 2025) RATINGS RATIONALE The rating action is driven by the fact the collateral pool backing Class A-3 has decreased to an effective number below the threshold established in the US Residential Mortgage-backed Securitizations: Surveillance methodology. Moody's do not maintain ratings on US RMBS securities in a structure where the effective number of borrowers has reduced below the threshold. However, Class A-3 has the benefit of support provided by a certificate guarantee. For structured finance securities with third party support, the rating applied is the higher of the support provider's rating and the rating without any consideration of the third party support. The rating downgrade for Class A-3 reflects the rating of the support provider, MBIA Insurance Corporation. No action was taken on the other rated class in this deal because the expected loss remains commensurate with the current rating, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodology The principal methodology used in this rating was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PRPM 2026-CRE1: Fitch Assigns 'B-(EXP)sf' Rating on Class G Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to PRPM 2026-CRE1 Issuer, LLC as follows: - $350,830,000a class A 'AAA(EXP)sf'; Outlook Stable; - $43,850,000a class A-S 'AAA(EXP)sf'; Outlook Stable; - $47,710,000a class B 'AA-(EXP)sf'; Outlook Stable; - $38,460,000a class C 'A-(EXP)sf'; Outlook Stable; - $23,860,000a class D 'BBB(EXP)sf'; Outlook Stable; - $18,460,000a class E 'BBB-(EXP)sf'; Outlook Stable; - $17,700,000b class F 'BB-(EXP)sf'; Outlook Stable; - $16,150,000b class G 'B-(EXP)sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: - $0b class OC; - $58,480,000b income notes. (a) Privately place and pursuant to Rule 144A. (b) Retained notes. (c) Horizontal risk retention interest, estimated to be 9.5% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $515,577,503 and does not include future funding. The expected ratings are based on information provided by the issuer as of March 2, 2026. Transaction Summary The notes are collateralized by 19 loans secured by 20 commercial properties with an aggregate principal balance of $515,577,503 as of the cut-off date. The pool also includes ramp cash of approximately $99,922,497 for the purchase of ramp-up collateral interests during the 120 days following the closing date. The loans and participation interests in the loans will be owned by PRPM 2026-CRE1 Issuer, LLC, as issuer of the notes. The aggregate principal balance does not include $5.3 million of expected future funding. KeyBank National Association is expected to be the servicer and the special servicer. The trustee is expected to be Wilmington Trust, National Association, and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on all 19 loans totaling 100.0% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $18.7 million represents an 8.5% decline from the issuer's aggregate underwritten NCF of $20.4 million. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan and exclude loans for which Fitch conducted an alternative value analysis. Higher Fitch Leverage: The pool has higher leverage compared to recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value ratio (LTV) of 154.0% is higher than the 2025 and 2024 CRE CLO averages of 140.1% and 140.7%, respectively. The pool's Fitch NCF debt yield (DY) of 5.4% is lower than the 2025 and 2024 CRE CLO averages of 6.4% and 6.5%, respectively. Higher Pool Concentration: The pool is more concentrated compared to recently rated Fitch CRE CLO transactions. The top 10 loans in the pool make up 68.8% of the pool, which is higher than the 2025 CRE CLO average of 61.6% but lower than the 2024 CRE CLO average of 70.5%, 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 21.7. Fitch views diversity as a key mitigator to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: The pool is 96.2% comprised of IO loans, which is higher than the 2025 and 2024 CRE CLO averages of 72.7% and 56.8%, respectively, based on the fully extended loan terms. As a result, the pool is expected to have 0.1% principal paydown at the end of the fully extended loan term, which is worse than the 2025 and 2024 CRE CLO average scheduled paydowns for Fitch-rated U.S. CRE CLO transactions of 0.5% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The model-implied rating sensitivity to changes in one variable, Fitch NCF, are as follows: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf' /'BBBsf'/'BB+sf'/'BB-sf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF, are as follows: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf' /'Asf'/'BBB+sf'/'BBB-sf'/'BBsf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Fitch has assigned an overcollateralization (OC) credit of 1.0% at the 'BBB-sf' level and 0.250% at the 'BB+sf' level, based on the weighted-average spread (WAS) on the assets and liabilities. This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade note holders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria, "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. 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 [insert a brief description of the type of work undertaken by the third-party due diligence provider and any significant findings]. 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. RCKT MORTGAGE 2026-CES3: Fitch Rates Five Tranches 'Bsf' -------------------------------------------------------- Fitch Ratings has assigned final ratings to the mortgage-backed notes issues by RCKT Mortgage Trust 2026-CES3 (RCKT 2026-CES3). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2026-CES3 A-1A LT AAAsf New Rating AAA(EXP)sf A1-B LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1A LT BBBsf New Rating BBB(EXP)sf M-1B LT BBB-sf New Rating BBB-(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAsf New Rating AA(EXP)sf A-5 LT Asf New Rating A(EXP)sf A-6 LT BBBsf New Rating BBB(EXP)sf B-1A LT BBsf New Rating BB(EXP)sf B-X-1A LT BBsf New Rating BB(EXP)sf B-1B LT BBsf New Rating BB(EXP)sf B-X-1B LT BBsf New Rating BB(EXP)sf B-2A LT Bsf New Rating B(EXP)sf B-X-2A LT Bsf New Rating B(EXP)sf B-2B LT Bsf New Rating B(EXP)sf B-X-2B LT Bsf New Rating B(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf Transaction Summary Fitch expects to rate the residential mortgage-backed notes issued by RCKT Mortgage-Backed Notes, series 2026-CES3 (RCKT 2026-CES3), as indicated above. The notes are supported by 5,715 closed-end second-lien (CES) loans with a total balance of approximately $547.3 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. Fitch has withdrawn the expected rating of 'AAAsf' for the previous class A-1L notes, as these were not funded at close and are not being offered. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RCKT 2026-CES3 has a final probability of default (PD) of 18.6% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 98.1%. The expected loss in the 'AAAsf' rating stress is 18.3%. Structural Analysis: The mortgage cash flow and loss allocation in RCKT 2026-CES3 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 25.0% 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 entity. Fitch expects RCKT 2026-CES3 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'. 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% 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. RR 28: Fitch Assigns BB-sf Rating on Cl. D-R2 Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the RR 28 LTD reset transaction. Entity/Debt Rating ----------- ------ RR 28 LTD X-R2 LT NRsf New Rating A-1a-R2 LT NRsf New Rating A-1a Loans LT NRsf New Rating A-1b-R2 LT AAAsf New Rating A-2-R2 LT AAsf New Rating B-R2 LT Asf New Rating C-1-R2 LT BBB-sf New Rating C-2-R2 LT BBB-sf New Rating D-R2 LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary RR 28 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.38 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 98.31% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.63% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 32% of the portfolio balance in aggregate while the top five obligors can represent up to 6.25% 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 six 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-1b-R2, between 'BB+sf' and 'A+sf' for class A-2-R2, between 'B-sf' and 'BBB+sf' for class B-R2, between less than 'B-sf' and 'BB+sf' for class C-1-R2, between less than 'B-sf' and 'BB+sf' for class C-2-R2, and between less than 'B-sf' and 'B+sf' for class D-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b-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 A-2-R2, 'AA+sf' for class B-R2, 'Asf' for class C-1-R2, 'A-sf' for class C-2-R2, and 'BBB+sf' for class D-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 RR 28 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. RR 44: Fitch Assigns 'BB-sf' Rating on Cl. D Notes, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to RR 44 Ltd. Entity/Debt Rating ----------- ------ RR 44 Ltd. A-1a LT AAAsf New Rating A-1b LT AAAsf New Rating A-2 LT AAsf New Rating B-1 LT Asf New Rating B-2 LT Asf New Rating C-1 LT BBB-sf New Rating C-2 LT BBB-sf New Rating D LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary RR 44 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.42 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.87% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.65% 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 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 twelve 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-1a, between 'BBB+sf' and 'AA+sf' for class A-1b, between 'BB+sf' and 'A+sf' for class A-2, between 'Bsf' and 'BBB+sf' for class B, between less than 'B-sf' and 'BB+sf' for class C-1, between less than 'B-sf' and 'BB+sf' for class C-2, and between less than 'B-sf' and 'B+sf' for class D. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1a and class A-1b notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2, 'AA+sf' for class B, 'A+sf' for class C-1, 'Asf' for class C-2, and 'BBB+sf' for class D. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for RR 44 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. SAIF SECURITIZATION 2026-CES1: S&P Assigns (P) B-(sf) on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to SAIF Securitization Trust 2026-CES1's mortgage-backed notes. The note issuance is an RMBS securitization backed by closed-end, second-lien, fixed-rate, fully amortizing residential mortgage loans, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, and manufactured-housing residential properties. The pool has 3,454 loans and comprises qualified mortgage (QM)/non-higher-priced mortgage loan (safe harbor), non-QM/compliant and QM rebuttable presumption loans. The preliminary ratings are based on information as of March 19, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and originators; and -- S&P said, "Our U.S. 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) SAIF Securitization Trust 2026-CES1 Class A-1A, $185,915,000: AAA (sf) Class A-1B, $13,138,000: AAA (sf) Class A-1, $199,053,000: AAA (sf) Class A-2, $12,890,000: AA- (sf) Class A-3, $10,535,000: A- (sf) Class M-1, $9,544,000: BBB- (sf) Class B-1, $7,188,000: BB- (sf) Class B-2, $4,958,000: B- (sf) Class B-3, $3,718,897: NR Class A-IO-S, notional(ii): NR Class XS, notional(iii): NR Class R, not applicable(iv): NR (i)The preliminary ratings address the ultimate payment of interest and principal, and do not address payment of the cap carryover amounts. (ii)On any payment date, the class A-IO-S notes will have a notional amount equal to the aggregate unpaid principal balance of the mortgage loans as of the first day of the related due period. The class A-IO-S will not be entitled to payments of principal. (iii)The notional amount equals the aggregate unpaid principal balance of the mortgage loans as of the first day of the related due period. (iv)The class R notes will not have a class principal amount and are the class of notes representing the residual interest in the issuer. The class R notes are not expected to receive payments. SANDSTONE PEAK: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Sandstone Peak Ltd. reset transaction. Entity/Debt Rating ----------- ------ Sandstone Peak, Ltd. - Reset A-1-R2 LT AAAsf New Rating A-1L-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-1-R2 LT Asf New Rating C-2-R2 LT Asf New Rating D-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating F-R2 LT B-sf New Rating Subordinated LT NRsf New Rating X-R2 LT AAAsf New Rating Transaction Summary Sandstone Peak Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Beach Point CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.69, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.04% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.41% 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 3.1-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 'A-sf' and 'AAAsf' for class A-1-R2, between 'BBB+sf' and 'AA+sf' for class A-2-R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'B+sf' and 'BBB+sf' for class C-R2, between less than 'B-sf' and 'BB+sf' for class D-R2, and between less than 'B-sf' and 'B+sf' for class E-R2 and less than 'B-sf' for class F-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2, class A-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A-sf' for class D-R2, and 'BBB+sf' for class E-R2 and 'BB+sf' for class F-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 Sandstone Peak, 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. SANTANDER MORTGAGE 2026-NQM3: S&P Rates Class B-2 Notes 'B (sf)' ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Santander Mortgage Asset Receivable Trust 2026-NQM3's mortgage-backed notes. The note issuance is an RMBS securitization backed first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, two- to four-family units, condominiums, townhouses, and manufactured housing properties. The pool consists of 767 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-repay (ATR)-compliant, and ATR-exempt loans. S&P said, "Following our preliminary ratings assignment on March 12, 2026, the sponsor resized the class A-1FCF, A-1LCF, A-1A, and A-1B notes and reallocated balances from the class A-1FCF and A-1LCF notes to the class A-1A and A-1B notes, maintaining the subordination credit enhancement. The class B-1 notes were priced at a net weighted average coupon (WAC) rate. After analyzing the final coupons and updated structure, our ratings remain unchanged from the preliminary assignment." 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, Santander Bank N.A., and originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Santander Mortgage Asset Receivable Trust 2026-NQM3 Class A-1, $205,542,000: AAA (sf) Class A-1A, $176,448,000: AAA (sf) Class A-1B, $29,094,000: AAA (sf) Class A-1FCF, $26,400,000: AAA (sf) Class A-1LCF, $6,600,000: AAA (sf) Class A-2, $22,453,000: AA (sf) Class A-3, $34,439,000: A (sf) Class M-1, $15,701,000: BBB (sf) Class B-1, $11,311,000: BB (sf) Class B-2, $9,453,000: B (sf) Class B-3, $5,740,829: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class PT, $337,639,829: NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the net WAC shortfall amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. WAC--Weighted average coupon. N/A--Not applicable. NR--Not rated. SCF EQUIPMENT 2023-1: Moody's Ups Rating on Class F Notes to Ba3 ---------------------------------------------------------------- Moody's Ratings has upgraded 8 classes of notes issued by SCF Equipment Leasing 2023-1 LLC/SCF Equipment Leasing Canada 2023-1 Limited Partnership (SCF 2023-1) and Granite Park Equipment Leasing 2023-1 LLC (GP 2023-1). These transactions are backed by equipment loans and leases and serviced by Stonebriar Commercial Finance LLC (Stonebriar). The complete rating actions are as follows: Issuer: Granite Park Equipment Leasing 2023-1 LLC Class B Notes, Upgraded to Aaa (sf); previously on Aug 14, 2025 Upgraded to Aa1 (sf) Class C Notes, Upgraded to Aa1 (sf); previously on Aug 14, 2025 Upgraded to Aa2 (sf) Class D Notes, Upgraded to Aa3 (sf); previously on Aug 14, 2025 Upgraded to A3 (sf) Class E Notes, Upgraded to Baa3 (sf); previously on Aug 14, 2025 Upgraded to Ba2 (sf) Issuer: SCF Equipment Leasing 2023-1 LLC/SCF Equipment Leasing Canada 2023-1 Limited Partnership Class C Notes, Upgraded to Aaa (sf); previously on Aug 14, 2025 Upgraded to Aa1 (sf) Class D Notes, Upgraded to A1 (sf); previously on Aug 14, 2025 Upgraded to A3 (sf) Class E Notes, Upgraded to Baa3 (sf); previously on Aug 14, 2025 Upgraded to Ba1 (sf) Class F Notes, Upgraded to Ba3 (sf); previously on Aug 14, 2025 Upgraded to B1 (sf) A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions primarily reflect build-up in credit enhancement levels in the transactions due to deleveraging from sequential pay structures and steady performance with no cumulative net losses since their closing. Additionally, the increase in credit enhancement has been further supported by prepayment activity, which has contributed to the strengthening of the overall transaction structures. Other considerations include the specific concentrations and residual risks associated with the transactions, inclusion of participation agreements, volatility in recoveries and projected asset values, and macroeconomic outlooks. The transactions are also supported by overcollateralization (OC) that builds to a target and reserve accounts. High level of pool concentrations in the transactions to large obligors poses potentially higher performance volatility because any default of a large obligor could have a material impact on expected losses to noteholders. The top obligor concentration in the pools ranges from approximately 16% to 22% and top 10 obligor concentration in the pools ranges from 88% to 94%. Securitized residuals currently account for about 5% to 6% of the pools. Moody's analyzed the concentration risk by applying stresses to the default probability and recovery rate of the contracts associated with top obligors. Over time, the age of the asset valuations may lead to volatility in the determination of recovery values of the loans and leases backing the transaction. To take this into consideration, Moody's performed sensitivity analysis on the projected future asset values received at the closing of the transaction. Certain contracts in the pools are participation agreements which are ownership interests in the cash flows and therefore noteholders will, for the most part, not have control over the underlying contracts. Furthermore, collections of the cash flows from participations may be commingled with Stonebriar before being remitted to the lockbox account for the benefit of the issuers. Moody's analyzed this risk mainly by applying stresses to the recovery rate and default probability, if applicable, of these contracts. No action was taken on the remaining rated classes in the deals as credit enhancements for these classes remains commensurate with the current rating for the respective notes. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's updated expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or lower than expected depreciation in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors where the obligors operate could also affect the ratings. In addition, faster than expected reduction in residual value exposure could prompt upgrade of ratings. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or greater than expected deterioration in the value of the equipment that secure the obligor's promise of payment. Transaction performance also depends greatly on the US macro economy. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. SEQUOIA MORTGAGE 2026-HYB1: Fitch Rates Class B2 Certs 'Bsf' ------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-HYB1 (SEMT 2026-HYB1). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2026-HYB1 A1 LT AAAsf New Rating AAA(EXP)sf A1AF LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1AIO LT AAAsf New Rating AAA(EXP)sf A1BF LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1BIO LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A2IO LT AAsf New Rating A2F LT AAsf New Rating M1 LT Asf New Rating A(EXP)sf M2 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 467 loans with a total balance of approximately $532.19 million as of the cutoff date. The pool consists of prime jumbo adjustable-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a sequential-pay structure with full advancing. The borrowers in the pool show strong credit profiles, with a weighted-average (WA) Fitch FICO of 780 and 35.7% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 68.4% mark-to-market combined LTV (cLTV). Overall, 93.1% of the pool loans are for primary residences, while the remainder are second homes. In addition, 100% of the loans were underwritten to full documentation. Following the publication of the expected ratings and Fitch's presale report, the issuer dropped nine loans from the transaction, which resulted in 2bps lower-than-expected losses in the 'AAAsf' rating stress. Fitch also analyzed an updated structure that included the addition of the A-2IO and A-2F classes, which are floater and inverse IO combinations of the A-2 bond. Fitch re-ran its asset and cashflow analysis and confirmed no changes to the credit enhancement levels and expected ratings of the existing bonds. Fitch also assigned final new ratings of 'AAsf' with Stable Outlooks to classes A-2IO and A-2F. 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-HYB1 had a final probability of default (PD) of 9.91% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress was 32.93%. The expected loss in the 'AAAsf' rating stress was 3.26%. Structural Analysis: The mortgage cash flow and loss allocation were based on a sequential-pay structure.I Interest and principal are paid pro rata to classes A-1A and A-1B, with classes A-1AIO and A-1BIO receiving their respective interest allocations. Payments then flow sequentially to classes A-2 through B-3. Realized losses will be allocated in reverse-sequential order, beginning with class B-3. SEMT 2026-HYB1 will feature the servicing administrator (RRAC) that, after initial reductions in the class A-IO-S strip and servicing administrator fees, is obligated to advance delinquent (DQ) P&I to the trust for the servicing-released mortgage loans until it deems the advances nonrecoverable. Full advancing of P&I is a common feature in prime transactions that provides liquidity to the certificates. Without full advancing, the bonds may miss payments during periods of weaker performance and higher delinquencies. Due to the sequential structure and full advancing, the credit enhancement (CE) levels were equivalent to Fitch's expected losses at each rating category, except for the 'AAAsf' notes, due to limited principal leakage from pro-rata allocations between classes A-1A and A-1B. Fitch analyzed the capital structure to determine whether the transaction's credit enhancement (CE) is adequate to support payments on the securities under multiple scenarios that incorporate Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The credit CE for a given rating exceeded the expected losses under that rating stress to address the structure's advance recoupment and principal leakage to more subordinate classes. Operational Risk Analysis: Fitch considered originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that had a direct impact on Fitch's loss expectations is due diligence. Third party due diligence was performed on 100.0% of the loans in the transaction by loan count. Fitch applied 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 are satisfied to fully de-link the transaction from any other entities. SEMT 2026-HYB1 was fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers aligned with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations did not apply to SEMT 2026-HYB1, and therefore, Fitch was comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.6% 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-INV2: Fitch Rates Class B5 Certs 'B(EXP)' --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2026-INV2 (SEMT 2026-INV2). Entity/Debt Rating ----------- ------ SEMT 2026-INV2 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AA+(EXP)sf Expected Rating A20 LT AA+(EXP)sf Expected Rating A21 LT AA+(EXP)sf Expected Rating A22 LT AA+(EXP)sf Expected Rating A23 LT AA+(EXP)sf Expected Rating A24 LT AA+(EXP)sf Expected Rating A25 LT AA+(EXP)sf Expected Rating A26F LT AAA(EXP)sf Expected Rating ACH4 LT AAA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating ACH67 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 AIO1 LT AA+(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AA+(EXP)sf Expected Rating AIO21 LT AA+(EXP)sf Expected Rating AIO22 LT AA+(EXP)sf Expected Rating AIO23 LT AA+(EXP)sf Expected Rating AIO24 LT AA+(EXP)sf Expected Rating AIO25 LT AA+(EXP)sf Expected Rating AIO26 LT AA+(EXP)sf Expected Rating AIO27F LT AAA(EXP)sf Expected Rating AIO29 LT AAA(EXP)sf Expected Rating AIO33 LT AAA(EXP)sf Expected Rating AIO67 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating LTR LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary SEMT 2026-INV2 features entirely fixed-rate prime investor and second-occupancy loans acquired by Redwood from Rocket Mortgage and various other mortgage originators. The certificates are supported by 1,118 loans with a total balance of approximately $438.42 million as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a senior-subordinate, shifting-interest structure. 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-INV2 has a final probability of default (PD) of 20.1% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 45.9%. The expected loss in the 'AAAsf' rating stress is 9.2%. Structural Analysis: The mortgage cash flow and loss allocation in SEMT 2026-INV2 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 structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entity. Fitch expects SEMT 2026-INV2 to be fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-INV2, 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 37.9% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, Opus, Digital Risk, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation and the diligence review was conducted on 100% of the pool. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA MORTGAGE 2026-MED1: Fitch Rates Class B2 Certs 'B(EXP)' --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2026-MED1 (SEMT 2026-MED1). Entity/Debt Rating ----------- ------ SEMT 2026-MED1 A1 LT AAA(EXP)sf Expected Rating A1AF LT AAA(EXP)sf Expected Rating A1BF LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1A1 LT AAA(EXP)sf Expected Rating A1B1 LT AAA(EXP)sf Expected Rating A1A2 LT AAA(EXP)sf Expected Rating A1B2 LT AAA(EXP)sf Expected Rating A1AX1 LT AAA(EXP)sf Expected Rating A1BX1 LT AAA(EXP)sf Expected Rating A1AX2 LT AAA(EXP)sf Expected Rating A1BX2 LT AAA(EXP)sf Expected Rating A1AX3 LT AAA(EXP)sf Expected Rating A1BX3 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A2X LT AA(EXP)sf Expected Rating M1 LT A(EXP)sf Expected Rating M1X 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 AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 607 loans with a total balance of approximately $428.25 million as of the cutoff date. The pool consists of primarily new-origination, adjustable-rate mortgage loans backed by medical professionals and subsequently acquired by Redwood Residential Acquisition Corp. (RRAC) from Huntington Bank and various other originators. All loans were originated to the Sequoia Medical Professionals program and eligible borrowers include those who have the following professional designations: medical doctor (MD), doctor of osteopathy (DO), doctor of dental medicine or science (DMD/DDS), doctor of pharmacy (PharmD), doctor of veterinary medicine (MVM) or certified registered nurse anesthetist (CRNA), along with medical residents and fellows who are in enrolled in such programs and have an active employment contract. Distributions of principal and interest (P&I) and loss allocations are based on a sequential-pay structure. The prime borrowers in the pool exhibit strong credit profiles, with a weighted-average (WA) Fitch FICO of 768 and 37.2% debt-to-income (DTI) ratio. The borrowers have a significant amount of leverage, with a 93.1% mark-to-market combined LTV (cLTV). Overall, 100% of the pool loans are for primary residences. In addition, 100% of the loans were underwritten to full documentation. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-MED1 has a final probability of default (PD) of 20.80% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 51.35%. The expected loss in the 'AAAsf' rating stress is 10.68%. Structural Analysis: The mortgage cash flow and loss allocation are based on a sequential-pay structure, whereby interest and principal are paid pro rata amongst classes A-1A and A-1B (with classes A-1AX1 and A-1BX1 receiving their respective interest allocation), followed by classes A-2 to B-3 sequentially. Realized losses will be allocated in reverse-sequential order, beginning with class B-3. The A and M classes pay the NWAC minus a fixed amount, while featuring IO classes that pay the fixed difference. SEMT 2026-MED1 will feature the servicing administrator (RRAC), following initial reductions in the class A-IO-S strip and servicing administrator fees, obligated to advance delinquent P&I to the trust until deemed nonrecoverable for the servicing-released mortgage loans. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates. Due to the sequential structure and full advancing, the credit enhancement (CE) levels are equivalent to Fitch's expected losses at each rating category, except the 'AAAsf' notes, due to the limited principal leakage as a result of the pro rata allocations between the class A-1A and A-1B notes. Fitch analyses the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch 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 100.0 % of the loans in the transaction. Fitch applies a 5-bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either A or B. Fitch may apply additional penalties to loans with unresolved exceptions. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SEMT 2026-MED1 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-MED1 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 (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. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 38.0% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either A or B. Three loans received a 5% loss severity add-on penalty due to significantly understated finance charges on their closing disclosures, and one loan received a 12-month foreclosure extension due to missing certification of compliance in Illinois. None of C-graded loans receive a credit in the 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. SG RESIDENTIAL 2026-2: S&P Assigns B- (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to SG Residential Mortgage Trust 2026-2's residential mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed-rate, fully amortizing residential mortgage loans secured primarily by single-family residential properties, planned-unit developments, condominiums, cooperatives, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 637 loans. S&P said, "After we assigned our preliminary ratings on March 13, 2026, the sponsor resized the class A-1A, class A-1B, and the associated exchangeable class A-1 certificates, as well as the class A-1FCF, the associated interest-only class A-1FCX, and class A-1LCF certificates keeping the subordination credit enhancement the same. Also, the class B-1 note rate was priced at the net weighted average coupon rate. 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, SG Capital Partners LLC, and the mortgage originator ClearEdge Lending; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially." Ratings Assigned SG Residential Mortgage Trust 2026-2 Class A-1A, $265,745,000: AAA (sf) Class A-1B, $39,546,276: AAA (sf) Class A-1, $305,291,276: AAA (sf) Class A-1FCF, $26,315,793: AAA (sf) Class A-1FCX, $26,315,793(i): AAA (sf) Class A-1LCF, $8,771,931: AAA (sf) Class A-2, $20,723,000: AA (sf) Class A-3, $41,225,000: A (sf) Class M-1, $17,636,000: BBB- (sf) Class B-1, $9,920,000: BB- (sf) Class B-2, $6,614,000: B- (sf) Class B-3, $4,409,350: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class R, N/A: NR (i)The class A-1FCX have a notional amount equal to the certificate amount of the class A-1FCF certificates and are not entitled to payments of principal. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. SILVER POINT 16: Fitch Assigns 'BB+sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Silver Point CLO 16, Ltd. Entity/Debt Rating ----------- ------ Silver Point CLO 16, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB+sf New Rating F LT NRsf New Rating Transaction Summary Silver Point CLO 16, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silver Point Select C CLO Manager, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.4% first-lien senior secured loans and has a weighted average recovery assumption of 73.16%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BB+sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A-sf' for class D-1, 'A-sf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Silver Point CLO 16, 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. SLG OFFICE 2026-OMA: Fitch Assigns 'B-(EXP)sf' Rating on HRR Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to SLG Office Trust 2026-OMA commercial mortgage pass-through certificates, series 2026-OMA: - $809,400,000 class A 'AAA(EXP)sf'; Outlook Stable; - $127,600,000 class B 'AA-(EXP)sf'; Outlook Stable; - $110,300,000 class C 'A-(EXP)sf'; Outlook Stable; - $155,300,000 class D 'BBB-(EXP)sf'; Outlook Stable; - $238,000,000 class E 'BB-(EXP)sf'; Outlook Stable; - $126,900,000 class F 'B(EXP)sf'; Outlook Stable; - $82,500,000(a) class HRR 'B-(EXP)sf'; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Transaction Summary The certificates represent the beneficial ownership interest in a trust expected to comprise a $1.65 billion, five-year, fixed-rate, interest-only commercial mortgage loan. The mortgage loan will be secured by the borrower's fee simple interest in One Madison Avenue (One Madison), a 1.37 million-sf, 27-story, class A office tower located in the Flatiron District of Manhattan. Mortgage loan proceeds will be used to refinance $1.18 billion of existing debt, fund $136.0 million of upfront reserves related to ongoing landlord obligations and free rent, fund $11.1 million of ICAP reserve, return $307.9 million of equity, and pay $15.0 million in closing costs. The sponsor is a joint venture (JV) between National Pension Service of Korea, Mastern Investment Management, SL Green Realty Corp. and Hines Interests Limited Partnership (Hines). The loan is expected to be co-originated by Wells Fargo Bank, National Association, Goldman Sachs Mortgage Company, JPMorgan Chase Bank, National Association, Bank of America, N.A. and German American Capital Corporation. Trimont LLC will serve as the master servicer, and Argentic Services Company LP will serve as the special servicer. Computershare Trust Company, National Association will act as trustee and certificate administrator; Park Bridge Lender Services LLC will act as operating advisor. The certificates will follow a sequential-pay structure. Senior trust notes are pari passu in right of payment with each other, and senior in right of payment with the junior trust notes. The transaction is scheduled to close on April 7, 2026. KEY RATING DRIVERS Net Cash Flow (NCF): Fitch's NCF for the property is estimated at $109.0 million, 17.9% lower than the issuer's NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of $1.5 billion for the property. The Fitch cap rate is among the lowest applied to an office building given the recent redevelopment, along with its location and tenancy. High Fitch Leverage: The total $1.65 billion mortgage loan equates to total senior debt of approximately $1,205 psf, with a Fitch stressed loan-to-value ratio (LTV), debt service coverage ratio (DSCR) and debt yield (DY) of 109.8%, 0.80x and 6.6%, respectively. Trophy Quality Asset; Strong Manhattan Location: The loan is secured by the One Madison Avenue property, a 1,369,463-sf, 27-story, class A office tower located in the Gramercy Park submarket of Midtown Manhattan. The property is located directly on Madison Square Park in the Flatiron District of Manhattan and can easily accessed via the MTA's R, W and 6 subway lines. The property has received a LEED-Gold certification and features high-end finishes. The sponsors invested approximately $2.3 billion in 2020 to redevelop the property by adding a new 18-story tower with average 35,000-sf floorplates, 60-foot column-free clear spans, and approximately 14 feet ceiling heights to the original nine-story base building (the Podium). Fitch assigned One Madison Avenue a property quality grade of A-. Long-Term Investment-Grade/Creditworthy Tenancy with Limited Rollover: The property is currently 98.9% physically occupied by 16 office and retail tenants and has a weighted average remaining lease term (WARLT) of 12.2 years. Two long-term, investment-grade/creditworthy tenants represent 52.3% of the NRA and 55.0% of Fitch's base rent. The largest tenant is Franklin Templeton, which is considered creditworthy; it consolidated seven of its previous New York City offices into one location, occupying 354,603 sf (25.9% of NRA and 30.6% of Fitch's base rent).The second largest tenant, IBM (A-/Stable), leased 362,092 sf (26.4% of NRA and 24.4% of Fitch's base rent). Other notable tenants include Coinbase and Chelsea Piers. Given the new construction and long-term leases signed by several of the major tenants, no tenant leases expire before 2031. However, both Franklin Templeton and IBM each have contraction options to reduce their NRA by 35,898 sf (effective June 2032, the earliest option date) and 43,560 sf (effective December 2029), respectively. Institutional Sponsorship: The sponsor is a JV between National Pension Service of Korea, Mastern Investment Management, SL Green Realty Corp. and Hines. These companies also represent the JV for One Vanderbilt. SL Green is an institutional sponsor rated 'BB+' by Fitch and Manhattan's largest office landlord. The company is a fully integrated REIT focused on acquiring, managing and maximizing the value of Manhattan commercial properties. As of Sept. 30, 2025, it held interests in 53 buildings totaling 30.7 million sf, including ownership interests in 27.1 million sf of Manhattan properties, and 2.7 million sf securing debt and preferred equity investments. The National Pension Service of Korea is one of the largest pension funds in the world with approximately $900 billion in assets as of July 31, 2025. Mastern Investment Management, founded in 2009, is a South Korea-based global real estate investment manager with more than $24.4 billion in assets under management. Founded in 1957, Hines Interests Limited Partnership is a privately held real estate investment and development company that has developed, redeveloped or acquired 1,857 properties totaling more than 636 million sf. 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'/'Bsf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBB-sf'/'BBsf'/ 'Bsf'/'CCC+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'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AA+sf'/'A+sf'/'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 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. STACR 2026-DNA2: DBRS Finalizes BB(low) Rating on 7 Tranches ------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized the following provisional credit ratings on the Structured Agency Credit Risk (STACR) REMIC 2026-DNA2 Notes (the Notes) issued by Freddie Mac STACR REMIC Trust 2026-DNA2 (STACR 2026-DNA2 or the Trust): -- $253.6 million Class M-1 at BBB (sf) -- $57.1 million Class M-2A at BBB (low) (sf) -- $57.1 million Class M-2B at BB (high) (sf) -- $69.8 million Class B-1A at BB (high) (sf) -- $69.8 million Class B-1B at BB (low) (sf) -- $114.1 million Class M-2 at BB (high) (sf) -- $114.1 million Class M-2R at BB (high) (sf) -- $114.1 million Class M-2S at BB (high) (sf) -- $114.1 million Class M-2T at BB (high) (sf) -- $114.1 million Class M-2U at BB (high) (sf) -- $114.1 million Class M-2I at BB (high) (sf) -- $57.1 million Class M-2AR at BBB (low) (sf) -- $57.1 million Class M-2AS at BBB (low) (sf) -- $57.1 million Class M-2AT at BBB (low) (sf) -- $57.1 million Class M-2AU at BBB (low) (sf) -- $57.1 million Class M-2AI at BBB (low) (sf) -- $57.1 million Class M-2BR at BB (high) (sf) -- $57.1 million Class M-2BS at BB (high) (sf) -- $57.1 million Class M-2BT at BB (high) (sf) -- $57.1 million Class M-2BU at BB (high) (sf) -- $57.1 million Class M-2BI at BB (high) (sf) -- $57.1 million Class M-2RB at BB (high) (sf) -- $57.1 million Class M-2SB at BB (high) (sf) -- $57.1 million Class M-2TB at BB (high) (sf) -- $57.1 million Class M-2UB at BB (high) (sf) -- $139.5 million Class B-1 at BB (low) (sf) -- $139.5 million Class B-1R at BB (low) (sf) -- $139.5 million Class B-1S at BB (low) (sf) -- $139.5 million Class B-1T at BB (low) (sf) -- $139.5 million Class B-1U at BB (low) (sf) -- $139.5 million Class B-1I at BB (low) (sf) -- $69.8 million Class B-1AR at BB (high) (sf) -- $69.8 million Class B-1AI at BB (high) (sf) Classes M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2AR, M-2AS, M-2AT, M-2AU, M-2AI, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB, M-2TB, M-2UB, B-1, B-1R, B-1S, B-1T, B-1U, B-1I, B-1AR, and B-1AI are Modifiable and Combinable Notes (MACR Notes). Classes M-2A, M-2B, B-1A, and B-1B are Exchangeable Notes. Classes M-2I, M-2AI, M-2BI, B-1I, and B-1AI are interest-only (IO) MACR Notes. The BBB (sf), BBB (low) (sf), BB (high) (sf), and BB (low) (sf) ratings on the Notes reflect 2.000%, 1.775%, 1.550%, and 1.0000% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The Notes are subject to the credit and principal payment risk of a certain reference pool (the Reference Pool) of residential mortgage loans held in various Federal Home Loan Mortgage Corporation (Freddie Mac or the Company)-guaranteed mortgage-backed securities (MBS). As of the Cut-Off Date, the Reference Pool consists of 73,437 greater-than-20-year fully amortizing first-lien fixed-rate mortgage loans underwritten to a full documentation standard, with original loan-to-value (LTV) ratios greater than 60% and less than or equal to 80%. The mortgage loans were securitized by Freddie Mac between April 1, 2025, and June 30, 2025, were originated on or after January 1, 2025, and were acquired on or after January 1, 2025. On the Closing Date, the Trust will enter into a Collateral Administration Agreement (CAA) with Freddie Mac. Freddie Mac, as the credit protection buyer, will be required to make transfer amount payments. The Trust is expected to use the aggregate proceeds realized from the sale of the Notes to purchase certain eligible investments to be held in a custodian account. The eligible investments are restricted to highly rated, short-term investments. Cash flow from the Reference Pool will not be used to make any payments; instead, a portion of the eligible investments held in the custodian account will be liquidated to make principal payments to the Noteholders and return amounts, if any, to Freddie Mac upon the occurrence of certain specified credit events and modification events. The coupon rates for the Notes are based on the Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available; please see the Private Placement Memorandum (PPM) for more details. Morningstar DBRS did not run interest rate stresses for this transaction, as the interest is not linked to the performance of the reference obligations. Instead, the trust will use the net investment earnings on the eligible investments together with Freddie's transfer amount payments to pay interest to the Noteholders. In this transaction, approximately 23.5% of the loans were originated using property values determined by using Freddie Mac's automated collateral evaluation (ACE) assessment or ACE with Property Data Report rather than a traditional full appraisal. Loans where the property values were determined by using ACE assessments generally have better credit scores and lower original LTV. Please see the PPM for more details about the ACE assessment. The minimum credit enhancement test -- one of the three performance tests -- for STACR 2026-DNA2 is set to pass at the Closing Date. Additionally, the nonsenior tranches are also entitled to supplemental reduction amount if the offered reference tranche percentage increases above 5.50%. The Notes are scheduled to mature on the payment date in March 2046 but are also subject to a mandatory redemption prior to the scheduled maturity date in the case of a termination of the CAA. Freddie Mac is the Sponsor, Aggregator, and Master Servicer of the transaction. Morningstar DBRS performed an operational risk review of Freddie Mac and believes the Company has robust seller and servicer approval and oversight processes and deems it to be an acceptable mortgage loan aggregator and master servicer for Morningstar DBRS-rated transactions. Citibank, N.A. (rated AA (low) with a Stable trend and R-1 (middle) with a Stable trend by Morningstar DBRS) will act as the Indenture Trustee and Exchange Administrator. The Bank of New York Mellon (rated AA (high) with a Stable trend and R-1 (high) with a Stable trend by Morningstar DBRS) will act as the Custodian. Wilmington Trust National Association (rated A (high) with a Stable trend and R-1 (middle) with a Stable trend by Morningstar DBRS) will act as the Owner Trustee. The Reference Pool consists of approximately 6.0% of loans originated under the Home Possible® program. Home Possible® is Freddie Mac's affordable mortgage product designed to expand the availability of mortgage financing to creditworthy low- to moderate-income borrowers. In addition, twelve loans ( TROPIC CDO V: Moody's Ups Rating on $51MM Class A-2L Notes to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Tropic CDO V Ltd.: US$220,000,000 Class A-1L2 Floating Rate Notes due 2036 (current outstanding balance $84,075,347), Upgraded to Aaa (sf); previously on May 30, 2025 Upgraded to Aa1 (sf) US$51,000,000 Class A-2L Deferrable Floating Rate Notes due 2036, Upgraded to Ba1 (sf); previously on May 30, 2025 Upgraded to Ba2 (sf) US$94,000,000 Class A-1LB Floating Rate Notes due 2036, Upgraded to Aa3 (sf); previously on May 30, 2025 Upgraded to A1 (sf) Tropic CDO V Ltd., issued in August 2006, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank, REIT and insurance trust preferred securities (TruPS). A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the ongoing deleveraging of the Class A-1L1 and Class A-1L2 notes, and the resulting increase in the transaction's over-collateralization (OC) ratios. The Class A-1L1 and Class A-1L2 notes have paid down by approximately 7.22% or $4.19 million and 3.92% or $3.43 million, respectively, since May 2025, using principal proceeds from the redemption of the underlying assets and defaulted recoveries. Based on Moody's calculations, the OC ratios for the combined Class A-1L1 and Class A-1L2 notes, for the Class A-1LB notes, and for the Class A-2L notes have improved to 243.66%, 144.91%, and 118.79%, respectively, from May 2025 levels of 235.66%, 143.20% and 118.06%, respectively. The Class A-1L1 and Class A-1L2 notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, 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: $336.1 million Defaulted/deferring par: $176.5 million Weighted average default probability: 7.89% (implying a WARF of 929) Weighted average recovery rate upon default of 10% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. No actions were taken on the Class A-1L1, Class A-3L, Class A-3F, Class B-1L and Class B-2L notes because their expected losses remain commensurate with their current ratings, after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for 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. UPSTART SECURITIZATION 2022-4: Moody's Ups Rating on B Notes to Ba2 ------------------------------------------------------------------- Moody's Ratings has upgraded two classes of notes issued by Upstart Securitization Trust 2022-4 and Upstart Securitization Trust 2024-1. These transactions are backed by pools of unsecured consumer installment loan contracts serviced by Upstart Network, Inc. (Upstart). 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: Upstart Securitization Trust 2022-4 Class B Notes, Upgraded to Ba2 (sf); previously on Jun 5, 2025 Downgraded to B2 (sf) Issuer: Upstart Securitization Trust 2024-1 Class B Notes, Upgraded to Baa1 (sf); previously on Nov 4, 2024 Definitive Rating Assigned Baa2 (sf) RATINGS RATIONALE The upgrade actions are primarily driven by recent performance trends on the underlying pool and buildup of credit enhancement due to structural features including sequential pay structures, subordination, non-declining reserve accounts and overcollateralization. The rating actions also consider the experience of Upstart as a servicer and regulatory risk due to the partner-bank arrangement through which the loans were originated. The rating actions reflect recent performance and Moody's loss assumptions on the underlying collateral of these transactions. Moody's lifetime cumulative gross loss expectations are noted below for the transaction pools. Upstart Securitization Trust 2022-4: 34.50% Upstart Securitization Trust 2024-1: 30.00% No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement, and other qualitative considerations. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating Consumer Loan-Backed ABS" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to offset current expectations of loss could drive the ratings up. Losses could decline below Moody's expectations as a result of a lower-than-expected cumulative charge-offs. Favorable regulatory policies and legal actions could also move the ratings up. Down Levels of credit protection that are lower than necessary to offset current expectations of loss could drive the ratings down. Losses could increase above Moody's expectations as a result of higher-than-expected cumulative charge-offs. Adverse regulatory and legal risks, specifically legal issues stemming from the origination model and whether interest rates charged on some loans could violate usury laws, could also move the ratings down. US BANK RVM: Fitch Rates Class E Notes 'Bsf' -------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued under U.S. Bank RVM Credit-Linked Notes, Series 2026-1 (USCLN 2026-RVM1), which is a synthetic credit-linked note transaction referencing an asset pool of recreational vehicles (RVs) and marine product loans originated or acquired by U.S. Bank. The transaction is issued by U.S. Bank National Association (U.S. Bank; A+/F1/Stable) with the notes representing general obligations of U.S. Bank. Entity/Debt Rating Prior ----------- ------ ----- U.S. Bank RVM Credit-Linked Notes, Series 2026-1 A LT NRsf New Rating NR(EXP)sf B-1 LT Asf New Rating A(EXP)sf B-2 LT Asf New Rating A(EXP)sf C LT BBBsf New Rating BBB(EXP)sf D LT BBsf New Rating BB(EXP)sf E LT Bsf New Rating B(EXP)sf F LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf KEY RATING DRIVERS Unique Credit Risks of RV and Marine Product Loans: Both RVs and marine products represent discretionary, non-essential purchases that rank lower in the obligors' personal priority of payments than other products, such as auto loans, in Fitch's view. As a result, Fitch rates ABS backed by RV or marine product loans under its Consumer ABS Rating Criteria. For more information, see "U.S. Recreational Vehicle ABS Credit Risks Distinct from Auto ABS.". As of the cutoff date, the reference pool has a weighted average (WA) principal balance of $46,153 and a WA annual percentage rate (APR) of 6.45%. The WA original loan term is 208 months, with 55% of loans having an original term over 180 months. The pool is positively selected, featuring a minimum FICO score of 780 and a maximum LTV of 120.0%. The WA FICO is 830 across both RV and marine product segments. Asset Pool Assumptions: Fitch derives asset assumptions separately for RV and marine product segments to reflect each asset type's different risk profile. Fitch's WA lifetime base case default rate assumptions (BCDR) are 1.62% and 1.42% for RV and marine product segments, respectively, determined by loan buckets categorized by loan term bands. The WA BCDR for the total reference pool is 1.52%, weighted by segment composition. The rating case default multiples (RDM) are primarily based on the originator's 15-year static performance data, which is shorter than the maximum loan term of 20 years. For the RV segment, Fitch applied RDM of 3.30x, 2.40x, 1.65x, and 1.25x at the 'Asf', 'BBBsf', 'BBsf', and 'Bsf' rating levels, respectively. For the marine product segment, Fitch applied higher RDMs of 3.90x, 2.80x, 1.95x, and 1.35x at 'Asf', 'BBBsf', 'BBsf', and 'Bsf', reflecting additional volatility in asset performance expected for marine product loans and the low absolute level of base case defaults assumed in Fitch's analysis. As a result, the assumed WA lifetime default rates for the aggregated reference pool (RV and marine products) are 5.44%, 3.93%, 2.72%, and 1.97% at the 'Asf', 'BBBsf', 'BBsf', and 'Bsf' rating levels, respectively. Fitch applied 30.0% and 40.0% base case recovery rates on defaulted RV and marine product loans, respectively, based on historical recoveries and Fitch's forward-looking expectations. Fitch applies a rating-dependent recovery haircut at the higher end of the range provided by Fitch's consumer ABS rating criteria for both RV and marine product segments. For example, at the 'Asf' rating level, a 36.0% haircut is applied, resulting in assumed recovery rates of 19.2% for RV loans and 25.6% for marine product loans. In Fitch's analysis, a flat annual prepayment rate of 17.0% was applied for both RV and marine product loans. All other asset pool and cash flow modeling assumptions are as described in Fitch's applicable rating criteria and throughout this report. Transaction Structure: Initial hard credit enhancement (CE) totals 4.80%, 3.35%, 2.25% and 1.75% for classes B, C, D, and E, respectively, consisting entirely of subordinated note balances, including the additional class F notes and class R certificates. There is no additional enhancement provided, including no excess spread. Principal is allocated to the subordinate notes pro rata on each payment date unless a Cumulative Net Loss (CNL) trigger event occurs or a pool factor trigger is in effect. When either trigger has occurred, allocations switch to sequential pay. Both triggers are evaluated monthly and the CNL trigger event is curable. In addition, the class R certificates will be locked out of principal payment entirely for 15 months after closing. Initial CE is sufficient to withstand Fitch's BCDR of 1.52% at the applicable rating case multiples. Stable Origination/Underwriting/Servicing: U.S. Bank demonstrates adequate abilities as originator and servicer, as evidenced by historical portfolio delinquency, loss experience and prior securitization performance. Fitch deems U.S. Bank capable of servicing the reference obligations in this series. Excessive Counterparty Exposure: The excessive exposure in the transaction arises from U.S. Bank's role in providing the transaction a material degree of credit support. Noteholders will not have recourse to the reference asset pool or to the cash generated by the assets. Instead, the transaction relies on U.S. Bank to make interest payments based on the note rate and principal payments based on the performance of the reference pool. The monthly payment due will be deposited by U.S. Bank no later than one business day prior to the payment date into a segregated trust account held at U.S. Bank Trust Company, National Association's (A+/F1/Stable) affiliate for the benefit of the notes. If U.S. Bank fails to make a payment to noteholders, it will be deemed an event of default. U.S. Bank is also the servicer for the reference portfolio and will retain the class A and class R certificates. Given this dependence on the bank, ratings on the notes are directly linked to, and capped by, the IDR of the counterparty, U.S. Bank. Fitch's highest assigned rating on the notes, 'Asf', is below the bank's IDR and reflects Fitch's review of the CE available to the notes. The CE would support required payments from U.S. Bank that are commensurate with default rates on the reference asset pool at the 'Asf' level. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - For its sensitivity analysis, Fitch examined the magnitude of the multiplier compression by projecting expected cash flows and loss coverage levels over the life of investments under default assumptions that are higher than, and recovery assumptions that are lower than, the initial base case. - An increase in base case defaults by 50% may lead to downgrades up to one category for class B, class C, class D, and class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Stable to improved asset performance driven by reduced delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. - A decrease in base case defaults by 50% may lead to upgrades up to one category for class C, class D, and class E notes. Ratings are capped at the rating of the issuer, U.S. Bank National Association (A+/F1/Stable). 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. VENTURE CLO XXII: Moody's Cuts Rating on $30MM E-R Notes to Caa1 ---------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Venture XXII CLO, Limited: US$37,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2031, Upgraded to Aaa (sf); previously on September 17, 2025 Upgraded to Aa1 (sf) US$33,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Upgraded to Baa1 (sf); previously on November 13, 2023 Upgraded to Baa2 (sf) Moody's have also downgraded the rating on the following notes: US$30,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2031, Downgraded to Caa1 (sf); previously on September 17, 2025 Downgraded to B2 (sf) Venture XXII CLO, Limited, originally issued in January 2016 and refinanced in February 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since September 2025. The Class A-R notes have been paid down by approximately 83.12% or $94.7 million since then. Based on Moody's calculation, the OC ratios for the Class C-R and Class D-R notes are currently 144.11% and 113.51%, respectively, versus September 2025 levels of 129.18% and 112.04%, respectively. 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 calculation, the OC ratio for the Class E-R notes is currently 95.37% versus September 2025 level of 100.50%, and failing the test level of 104.30%. Furthermore, Moody's calculated weighted average rating factor (WARF) has been deteriorating and the current level is 3956 compared to 3416 in September 2025, failing the triggers of 2940. No actions were taken on the Class A-R and Class B-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: $194,367,989 Defaulted par: $6,009,447 Diversity Score: 54 Weighted Average Rating Factor (WARF): 3956 Weighted Average Spread (WAS): 3.50% Weighted Average Recovery Rate (WARR): 45.48% Weighted Average Life (WAL): 2.72 years Par haircut in OC tests and interest diversion test: 7.22% 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. VERUS SECURITIZATION 2026-R2: Fitch Rates Class B2 Notes 'B(EXP)' ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the residential mortgage-backed notes issued by Verus Securitization Trust 2026-R2 (Verus 2026-R2). Entity/Debt Rating ----------- ------ VERUS 2026-R2 A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1 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 B1A LT BB+(EXP)sf Expected Rating B1B LT BB-(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating DA LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The Verus 2026-R2 notes are supported by 690 loans with a balance of $383.2 million as of March 1, 2026 (the cutoff date). The transaction is scheduled to close on March 27, 2026. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential-payment structure. The transaction has a stop advance feature for first lien loans whereby the P&I advancing party will advance delinquent P&I for up to 90 days. All loans in the pool are seasoned more than 24 months. Primary residence loans comprise 37.3% of the Verus 2026-R2 transaction pool, followed by second home and investor loans at 62.7%. In terms of documentation type, the transaction consists predominantly of debt service coverage ratio (DSCR) loans at 54.0%, and 24.6% were originated to a bank statement program. The remaining 21.4% of the population was underwritten to either a CPA P&L, asset underwriting, foreign national, full or written verification of employment product. KEY RATING DRIVERS Credit Risk of Mortgage Assets: The performance of underlying residential mortgages or mortgage-related assets directly affects RMBS transactions. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. Verus 2026-R2 has a final probability of default (PD) of 48.0% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 33.3%. The expected loss in the 'AAAsf' rating stress is 16.0%. Structural Analysis: Verus 2026-R2 bases its mortgage cash flow and loss allocation on a modified sequential-payment structure with limited advancing, whereby principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings 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 5-bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects Verus 2026-R2 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Verus 2026-R2; 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 the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. CRITERIA VARIATION Fitch used a custom model and applied a variation to Fitch's "U.S. RMBS Ratings Model" to scale down the Z-score adjustment 20% starting after year two and 100% removal by end of year five. Currently, additional PD adjustments are applied to the final PD using a z-score adjustment that is static in both weight and application over time, regardless of seasoning. Many of these adjustments are designed to capture risk factors not present in the historical dataset and not included in the origination PD regression. While these risk factors were present at origination, their relevance diminishes as the loans seasoned and more performance data becomes available. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple TPR firms. The due diligence was performed at the respective prior issuance and was not updated with the exception of updated property valuations. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. VIBRANT CLO XI: Fitch Assigns 'BB-sf' Rating on Class D-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Vibrant CLO XI, Ltd reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Vibrant CLO XI, Ltd. X LT AAAsf New Rating AAA(EXP)sf A-1RR LT NRsf New Rating NR(EXP)sf A-2RR LT AAAsf New Rating AAA(EXP)sf A-2R2 LT AAsf New Rating AA(EXP)sf B-RR LT Asf New Rating A(EXP)sf C-1RR LT BBB-sf New Rating BBB-(EXP)sf C-2RR LT BBB-sf New Rating BBB-(EXP)sf D-R LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Vibrant CLO XI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Vibrant Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.34, 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 75.02% 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 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, between 'BBB+sf' and 'AA+sf' for class A-2RR, between 'BB+sf' and 'A+sf' for class A-2R2, between 'B+sf' and 'BBB+sf' for class B-RR, between less than 'B-sf' and 'BB+sf' for class C-1RR, and between less than 'B-sf' and 'BB+sf' for class C-2RR and between less than 'B-sf' and 'B+sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X and class A-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 A-2R2, 'AA+sf' for class B-RR, 'A+sf' for class C-1RR, and 'A-sf' for class C-2RR and 'BBB+sf' for class D-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 Vibrant CLO XI, 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. VMC FINANCE 2021-FL4: DBRS Lowers Rating on Class F Notes to Csf ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) downgraded its credit ratings on one class of notes issued by VMC Finance 2021-FL4 LLC (the Issuer) as follows: -- Class F Notes to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class C Notes at A (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BB (high) (sf) -- Class G Notes at C (sf) With this credit rating action, Morningstar DBRS also changed the trend on Class E to Negative from Stable. Classes F and G have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) credit ratings. The trends on all remaining classes are Stable. The credit rating confirmations and Stable trends on Classes C and D reflect Morningstar DBRS' current recovery expectations for the remaining six loans in the pool, all of which are secured by office collateral. Among the six remaining loans in the transaction, three loans, representing 54.1% of the current pool balance, are in special servicing and are real estate owned (REO). Additionally, the largest loan in the pool, Brookwood Portfolio (Prospectus ID#1; 29.8% of the current pool balance), has an upcoming final maturity date in March 2026 and the collateral manager has advised a payoff is not expected as the borrower's efforts to sell the three collateral properties have not been successful to date. The remaining borrowers have largely been unable to execute the respective business plans as stated at issuance to increase sustained property occupancy rates, net cash flow (NCF) and asset values. Despite the increased uncertainty regarding the resolution timing of the distressed assets as well as the exit strategy for the borrowers of the three current loans, the current credit ratings on Classes C, D and E sufficiently reflect the outstanding credit risks of the pool. Morningstar DBRS changed the trend on Class E to Negative from Stable, reflective of the possibility elongated resolution strategies could result in an increase in servicer advances and/or as-is values continue to deteriorate, resulting in increased losses at resolution. Morningstar DBRS downgraded Class F given the increased risk of principal loss when factoring in the projected realized losses for the REO assets, the outstanding interest shortfalls impacting the capital stack, and the expectation that interest shortfalls will continue to accumulate. Morningstar DBRS assumed each REO loan would ultimately resolve with a realized loss to the trust, with individual loan loss severities ranging between approximately 20.0% to 65.0%. As of February 2026, there are cumulative outstanding interest shortfalls totaling $17.0 million impacting the Class F notes ($9.1 million) and the Class G notes ($7.8 million). Morningstar DBRS' liquidation scenarios for the REO loans reflected the full trust exposure, inclusive of the outstanding shortfalls attributed to each loan. These classes are owned by an affiliate of the Issuer and the outstanding shortfall amounts have been added to the original principal balances of the respective classes. Since issuance, there has been collateral reduction of 70.0%, including an additional 8.8% since the previous Morningstar DBRS credit rating action in April 2025, inclusive of the full repayment of the Courtyard NoMa loan and the liquidation of the Shafer Court loan, which reduced the balance of the unrated Class H notes to $49.6 million. The largest specially serviced loan, One Financial Plaza (Prospectus ID#4; 20.5% of the current pool balance), is secured by a 28-story, Class A office tower in downtown Fort Lauderdale, Florida. The loan transferred to special servicing for maturity default in February 2024 and became REO in July 2025 after the lender executed a Uniform Commercial Code foreclosure. The loan has a current balance of $59.2 million with a trust component of $58.1 million. There is also $7.7 million in debt service advances outstanding on the loan. According to the collateral manager, the resolution strategy is to hold the asset for 24 to 36 months in an attempt to stabilize the occupancy rate and NCF. The updated business plan contemplates a capital expenditure (capex) budget of $4.6 million to improve the property's façade, common areas, and amenities in addition to adding 20,000 square feet (sf) of speculative suite space. The costs will reportedly be funded from property cash flow. The February 2026 update noted the exterior envelope repairs and wet seal have been completed with the remaining upgrades forecasted to be complete by Q3 2026. According to the December 2025 rent roll, the property was 81.4% occupied; however, occupancy is expected to decline throughout 2026 as 13 tenants, occupying 28.5% of the NRA have scheduled lease expirations throughout the year. This includes Regions Bank, which is confirmed to be vacating at lease expiry in June 2026 and currently represents 9.2% of the NRA and pays $1.8 million in rental revenue including expense reimbursements. In May 2025, the property was reappraised at a value of $58.5 million, a 4.9% decline from the March 2024 value of $61.5 million. Based on the YE2025 NOI figure of $3.5 million, the implied cap rate based on the updated $58.5 million valuation is 6.0%. Morningstar DBRS determined the implied cap rate to be aggressive and applied a 15.0% haircut to the value in its analysis, resulting in a stressed property value of $49.7 million ($192 psf). Morningstar DBRS also incorporated $1.0 million of leasing cost expenses in its current analysis, resulting in a trust loan expected loss of approximately 20.0% or $12.0 million when giving credit to the outstanding $6.8 million of lender held reserves. The BMO Plaza loan (Prospectus ID#8; 17.9% of the current pool balance), is secured by a 28-story, Class A office tower in downtown Indianapolis, Indiana. The loan transferred to special servicing for maturity default in February 2024 and became REO in August 2024 after the original borrower executed a deed-in-lieu of foreclosure resolution. The loan has a current balance of $51.4 million with a trust component of $50.8 million. There is also $9.7 million in debt service advances outstanding on the loan. According to the collateral manager, the resolution strategy is also to hold the asset for 24 to 36 months as part of an attempt to stabilize the occupancy rate and NCF. The updated business plan contemplates capex budgeted at $1.8 million to improve the property's common areas and lobby in addition to adding 13,000 sf in the first phase of new speculative suite space. The costs will also reportedly be funded from property cash flow. The February 2026 update noted the bathroom upgrades and white boxing of select space has been completed, with the remaining upgrades expected to be complete by Q2 2026. According to the December 2025 rent roll, the property was 54.2% occupied, relatively unchanged from the December 2024 occupancy rate of 52.8%. The occupancy rate and NCF could be further stressed as five tenants, occupying 11.1% of the NRA have scheduled lease expirations in 2026. In June 2025, the property was reappraised at as-is value of $38.3 million, a 6.1% decline from the May 2024 value of $40.8 million. The appraiser also provided a forward looking as-stabilized value of $53.0 million by June 2030. Based on the YE2025 NOI figure of $1.8 million, the implied cap rate based on the updated as-is $38.3 million valuation is 4.8%. Morningstar DBRS determined this cap rate to be aggressive and applied a 20.0% haircut to the value, resulting in a stressed property value of $30.6 million ($69 psf). Morningstar DBRS also incorporated leasing cost expenses of $0.9 million, resulting in a trust loan expected loss of approximately 60.0% or $30.0 million when giving credit to the outstanding $1.0 million of lender held reserves. All remaining loans in the transaction have been modified over the respective loan terms. Modifications were largely utilized to allow borrowers to exercise loan maturity extension options and required additional equity commitments from the borrowers. The three performing loans all have final maturity dates throughout 2026; as previously noted, these borrowers have not met their original business plans and performance has not stabilized. As such, Morningstar DBRS expects maturity defaults will occur and concluded to conservative property value estimates in the analysis for this review to identify which classes could be subject to increased stress. Loan future funding of $1.5 million remains available to two outstanding borrowers; however, it is unclear whether these funds will be advanced prior to loan maturity. The largest portion ($1.1 million) is available to the borrower of the One Lincoln Center loan (Prospectus ID#15; 11.4% of the current pool balance), which is secured by an office property in the Chicago suburb of Oakbrook Terrace, Illinois. The funds are available to fund accretive leasing costs. Since closing, the lender has advanced $6.2 million of funding to the borrower; however, as of December 2025, the property was only 76.2% occupied and the YE2025 NOI was $2.2 million, indicative of an aggressive cap rate of 4.8% based on the original as-is appraised value of $46.1 million. Morningstar DBRS believes the current market value may have fallen by as much as 50.0%, indicating the LTV is well above 100.0%. The loan matures in December 2026. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. WAMU MORTGAGE 2004-AR6: Moody's Ups Rating on Cl. X Certs to Caa1 ----------------------------------------------------------------- Moody's Ratings has upgraded the rating of Class X issued by WaMu Mortgage Pass-Through Certificates Series 2004-AR6 Trust. The collateral backing this deal consists of option ARM mortgages. The complete rating action is as follows: Issuer: WaMu Mortgage Pass-Through Certificates Series 2004-AR6 Trust Cl. X*, Upgraded to Caa1 (sf); previously on Jul 18, 2024 Downgraded to Caa3 (sf) *Reflects Interest-Only Classes A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. RATINGS RATIONALE The rating action reflects the correction of an error, as well as the current level of credit enhancement available to the bond, the recent collateral performance, analysis of the transaction structure, and Moody's updated loss expectations on the underlying pool. The rating upgrade on WaMu Mortgage Pass-Through Certificates Series 2004-AR6 Trust Class X is primarily driven by a correction to the loss expectation allocated to the bond. In Moody's prior analysis in 2025, an inaccurate level of principal loss was allocated to the bond, resulting in no action to the rating at that time. The correction of this error resulted in a lower principal loss allocation to the bond, supporting an upgrade of the rating to Caa1. No actions were taken on the other rated classes in this deal because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations The methodologies used in this rating were 'US Residential Mortgage-backed Securitizations: Surveillance' published in December 2024. Factors that would lead to an upgrade or downgrade of the rating: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. WELLS FARGO 2026-C66: Fitch Assigns B-(EXP)sf Rating on G-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2026-C66 commercial mortgage pass-through certificates, series 2026-C66, as follows: - $15,260,000 class A-1 'AAAsf'; Outlook Stable; - $20,154,000 class A-SB 'AAAsf'; Outlook Stable; - $150,000,000a class A-4 'AAAsf'; Outlook Stable; - $225,033,000a class A-5 'AAAsf'; Outlook Stable; - $410,447,000b class X-A 'AAAsf'; Outlook Stable; - $44,709,000 class A-S 'AAAsf'; Outlook Stable; - $30,783,000 class B 'AA-sf'; Outlook Stable; - $24,188,000 class C 'A-sf'; Outlook Stable; - $99,680,000b class X-B 'A-sf'; Outlook Stable; - $17,707,000bc class X-D 'BBB-sf'; Outlook Stable; - $17,707,000c class D 'BBB-sf'; Outlook Stable; - $11,610,000cd class E-RR 'BB+sf'; Outlook Stable; - $8,795,000cd class F-RR 'BB-sf'; Outlook Stable; - $10,262,000cd class G-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $27,851,904cd class H-RR. (a) The initial certificate balances of classes A-4 and A-5 are unknown but are expected to be $375,033,000 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-$150,000,000, and the expected class A-5 balance range is $225,033,000-$375,033,000. Fitch's certificate balances for classes A-4 and A-5 are assumed at the top and bottom of each range, respectively. In the event class A-5 is issued with an initial certificate balance of $375,033,000, class A-4 will not be issued. (b) Notional amount and IO. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention interest. The expected ratings are based on information provided by the issuer as of March 23, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 29 loans secured by 49 properties having an aggregate principal balance of $586,352,904 as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Societe Generale Financial Corporation, JPMorgan Chase Bank, National Association, Citi Real Estate Funding Inc., UBS AG New York Branch, Bank of Montreal, BSPRT CMBS Finance, LLC, LMF Commercial, LLC, Starwood Mortgage Capital LLC, and Natixis Real Estate Capital LLC. The master servicer is expected to be Trimont LLC, and the special servicer is expected to be LNR Partners, LLC. Midland Loan Services, a Division of PNC Bank, N.A. acts as primary servicer for certain mortgage loans and as master servicer for certain non-serviced whole loans in the transaction. Deutsche Bank National Trust Company is expected to be the trustee and Computershare Trust Company, National Association is expected to be the certificate administrator. BellOak, LLC is expected to be the operating advisor and asset representations reviewer. The certificates are expected to follow a standard sequential paydown structure. The transaction is expected to close on April 14, 2026. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 22 loans totaling 91.7% of the pool by balance. Fitch's resulting aggregate NCF of $57.5 million represents a 12.4% decline from the issuer's aggregate underwritten NCF of $65.6 million. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool has higher leverage compared to recent 10-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 98.6% is worse than both the 2025 and 2024 averages of 88.4% and 84.5%, respectively. The pool's Fitch NCF debt yield (DY) of 9.8% is worse than both the 2025 and 2024 averages of 12.2% and 12.3%, respectively. No Investment-Grade Credit Opinion Loans: No loans in the pool received a standalone credit opinion. The pool's investment-grade credit opinion percentage is below the 2025 and 2024 averages of 21.4%. The pool's Fitch loan-to value (LTV) and debt yield (DY) are 98.6% and 9.8%, respectively, compared with 2025 conduit averages of 98.1% and 10.0% (excluding credit opinion and co-op loans), respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans make up 67.0% of the pool, which is worse than both the 2025 and 2024 averages of 62.9% and 63.0%, respectively. The pool's effective loan count is 18.0, which is worse than both the 2025 and 2024 averages of 20.8. 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'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'B+sf'/'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'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBB-sf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with third-party due diligence information from Deloitte & Touche LLP. The third-party due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and recomputation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and the findings did not have an impact on the 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. Z CAPITAL 2018-1: Moody's Cuts Rating on $25MM Cl. E Notes to Caa3 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following note issued by Z Capital Credit Partners CLO 2018-1 Ltd.: US$28,000,000 Class D Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Upgraded to A3 (sf); previously on May 21, 2025 Upgraded to Baa1 (sf) Moody's have also downgraded the rating on the following note: US$25,000,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes") (current outstanding balance $26,953,929.21), Downgraded to Caa3 (sf); previously on May 21, 2025 Downgraded to Caa1 (sf) Z Capital Credit Partners CLO 2018-1 Ltd., issued in January 2019, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2025. The Class B notes have been paid down by approximately 49% or $13.7 million since May 2025. Based on Moody's calculations, the OC ratios for the Class D notes are currently 145.24% versus May 2025 levels of 137.93%. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the OC ratio for the Class E notes has fallen to 100.63% from 108.89% in May 2025. Furthermore, Moody's calculated weighted average rating factor (WARF) has been deteriorating and the current level is 4243 compared to 3939 in May 2025. No actions were taken on the Class B and Class C 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: $86,692,452 Defaulted par: $11,910,389 Diversity Score: 26 Weighted Average Rating Factor (WARF): 4243 Weighted Average Spread (WAS): 3.91% Weighted Average Recovery Rate (WARR): 43.81% Weighted Average Life (WAL): 2.76 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 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. ZAIS CLO 7: Moody's Cuts Rating on $24.75MM Class E Notes to Caa3 ----------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by ZAIS CLO 7, Limited: US$24.75M (Current outstanding amount US$26M) Class E Deferrable Mezzanine Floating Rate Notes, Downgraded to Caa3 (sf); previously on Oct 14, 2025 Downgraded to Caa2 (sf) Moody's have also affirmed the ratings on the following notes: US$33M (Current outstanding amount US$24.18M) Class C Deferrable Mezzanine Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 11, 2025 Upgraded to Aaa (sf) US$30.25M Class D Deferrable Mezzanine Floating Rate Notes, Affirmed Baa1 (sf); previously on Aug 11, 2025 Upgraded to Baa1 (sf) ZAIS CLO 7, Limited, issued in October 2017, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by ZAIS Leveraged Loan Master Manager, LLC. The transaction's reinvestment period ended in April 2022. RATINGS RATIONALE The rating downgrade on the Class E notes is primarily a result of the deterioration of the key credit metrics of the underlying pool since the last rating action in October 2025. Over this period, according to the trustee reports dated February 2026[1] and September 2025[2], the Class E over-collateralization ratio (EOC) has declined to 87.19% from 93.26%. The average credit quality also worsened (measured by the weighted average rating factor), or WARF, which increased to 4500 from 4014, this was driven by an increase in the proportion of securities from issuers with ratings of Caa1 or lower, which increased to 45.9% from 31.6%. The affirmations on the ratings on the Class C 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 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: USD79.3m Defaulted Securities: USD1.2m Diversity Score: 25 Weighted Average Rating Factor (WARF): 4105 Weighted Average Life (WAL): 2.4 years Weighted Average Spread (WAS): 4.20% Weighted Average Recovery Rate (WARR): 47.43% Par haircut in OC tests and interest diversion test: 13.1% 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 followings: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. [] DBRS Reviews 36 Classes on Eight U.S. RMBS Deals --------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed 36 classes across eight U.S. residential mortgage-backed securities (RMBS) transactions. Of the eight transactions reviewed, five are classified as reverse mortgage transactions and three are classified as home equity investment transactions. Morningstar DBRS confirmed its credit ratings on all 36 classes. The Issuers are: - HTAP 2024-1 - Unison Trust 2024-1 - HTAP Issuer Trust 2025-1 - CFMT 2025-HB16, LLC - CFMT 2024-HB14, LLC - CFMT 2024-HB13, LLC - Ocwen Loan Investment Trust 2023-HB1 - Finance of America Structured Securities Trust 2022-S4 CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis. Notes: All figures are in US Dollars unless otherwise noted. Ratings CFMT 2024-HB13, LLC Asset-Backed Notes, Series 2024-1 Class A AAA (sf) Confirmed Class M1 AA (low) (sf) Confirmed Class M2 A (low) (sf) Confirmed Class M3 BBB (low) (sf) Confirmed Class M4 BB (low) (sf) Confirmed Class M5 B (sf) Confirmed CFMT 2024-HB14, LLC Asset-Backed Notes, Series 2024-2, Class A AAA (sf) Confirmed Class M1 AA (low) (sf) Confirmed Class M2 A (low) (sf) Confirmed Class M3 BBB (low) (sf) Confirmed Class M4 BB (low) (sf) Confirmed Class M5 B (high) (sf) Confirmed Class M6 B (sf) Confirmed CFMT 2025-HB16, LLC Asset-Backed Notes, Series 2025-1 Class A AAA (sf) Confirmed Class M1 AA (low) (sf) Confirmed Class M2 A (low) (sf) Confirmed Class M3 BBB (low) (sf) Confirmed Class M4 BB (low) (sf) Confirmed Class M5 B (high) (sf) Confirmed Finance of America Structured Securities Trust 2022-S4 Class A1A AAA(sf) Confirmed Class A1B AAA(sf) Confirmed Class A2A AAA(sf) Confirmed Class A2B AA (high) (sf) Confirmed Class M A (high) (sf) Confirmed HTAP 2024-1 Asset-Backed Securities, Series 2024-1 Class A BBB (high) Confirmed Class B BBB (low) (sf) Confirmed HTAP Issuer Trust 2025-1 Asset-Backed Securities, Series 2025-1 Class A BBB (sf) Confirmed Class B BBB (low) (sf) Confirmed Ocwen Loan Investment Trust 2023-HB1 Asset-Backed Notes, Series 2023-HB1 Class A AAA (sf) Confirmed Class M1 AAA (sf) Confirmed Class M2 AA (sf) Confirmed Class M3 A (low) (sf) Confirmed Class M4 BB (sf) Confirmed Class M5 B (sf) Confirmed Unison Trust 2024-1 Class A Notes BBB (sf) Confirmed Class B Notes BB (sf) Confirmed [] DBRS Reviews 97 Classes From Six U.S. RMBS Deals --------------------------------------------------- DBRS, Inc. (Morningstar DBRS) reviewed 97 classes from six U.S. residential mortgage-backed securities (RMBS) transactions. Of the 6 transactions reviewed, one is classified as securitization of a revolving portfolio of residential transition loans (RTLs), and the remaining 5 deals are classified as small-balance commercial mortgage transactions collateralized by various types of commercial, multifamily rental, and mixed-use properties. Morningstar DBRS confirmed its credit ratings on all the 97 classes. The Issuers are: - Velocity Commercial Capital Loan Trust 2022-5 - Velocity Commercial Capital Loan Trust 2022-2 - Velocity Commercial Capital Loan Trust 2024-2 - Velocity Commercial Capital Loan Trust 2021-1 - Velocity Commercial Capital Loan Trust 2024-3 - New Residential Mortgage Loan Trust 2024-RTL1 A list of the ratings is available at https://tinyurl.com/3kxut4ar CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings. The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. Notes: All figures are in U.S. dollars unless otherwise noted. [] Fitch Affirms Ratings on Two 2025 SDART Deals ------------------------------------------------ Fitch Ratings has affirmed 12 classes and revised six classes to Positive from Stable across two Santander Drive Auto Receivables Trusts (SDART). Entity/Debt Rating Prior ----------- ------ ----- Santander Drive Auto Receivables Trust 2025-3 A2 80288JAB9 LT AAAsf Affirmed AAAsf A3 80288JAC7 LT AAAsf Affirmed AAAsf B 80288JAD5 LT AAsf Affirmed AAsf C 80288JAE3 LT Asf Affirmed Asf D 80288JAF0 LT BBBsf Affirmed BBBsf E 80288JAG8 LT BBsf Affirmed BBsf Santander Drive Auto Receivables Trust 2025-2 A-2 80287NAB1 LT AAAsf Affirmed AAAsf A-3 80287NAC9 LT AAAsf Affirmed AAAsf B 80287NAD7 LT AAsf Affirmed AAsf C 80287NAE5 LT Asf Affirmed Asf D 80287NAF2 LT BBBsf Affirmed BBBsf E 80287NAG0 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmations of the outstanding notes reflect available credit enhancement (CE) and loss performance to date. CNLs are tracking inside the initial rating case proxies and hard CE levels have grown for all classes in each transaction since close. The Stable Outlooks for the rated notes reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in credit quality of the portfolio in stress scenarios and that loss coverage will continue to increase as the transactions amortize. The Positive Outlooks on the applicable classes reflect the possibility for an upgrade in the next one to two years. As of the January 2026 collection period, 61+ day delinquencies were 6.19% and 5.04% for 2025-2 and 2025-3, respectively. In the same period, Cumulative net losses (CNL) were 3.72% and 1.70%, respectively, tracking below Fitch's initial rating cases of 15.00% and 15.00%. The lifetime CNL proxies consider the transactions' remaining pool factors, pool compositions, and performance to date. Furthermore, they consider current and future macro-economic conditions that drive loss frequency, along with the state of wholesale vehicle values, which affect recovery rates and ultimately transaction losses. To account for potential increases in delinquencies and losses, Fitch applied conservative assumptions its rating case proxies by using projections based on performance to date. Fitch maintained the proxies for 2025-2 and 2025-3 at 15.00%. Under the revised lifetime CNL loss proxies, cash flow modelling continues to support multiples consistent with or in excess of 3.00x for 'AAAsf', 2.50x for 'AAsf', 2.00x for 'Asf', 1.50x for 'BBBsf', and 1.25x for 'BBsf'. Conversely, Fitch's base case credit loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, are 13.00% for 2025-2 and 2025-3 respectively, based on Fitch's "Global Economic Outlook - March 2026," historical performance and projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxy, and impact available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively impact CE levels. Lower loss coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's rating case loss expectation for each transaction. To date, the transactions have exhibited loss performance within Fitch's initial expectations with adequate loss coverage and multiple levels. Therefore, 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 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 projected rating case CNL proxy, the ratings for the subordinated notes could be upgraded one to two categories while the 'AAAsf' rated notes would be maintained at stronger multiples. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] S&P Takes Various Actions on 26 Classes From Five US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 26 classes from five U.S. RMBS issued between 2019 and 2024. The review yielded seven upgrades and 19 affirmations. Analytical Considerations S&P said, "For each transaction, we performed a credit analysis using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at the prior review. Our geographic concentration factors were based on the transactions' current pool composition. "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." Some of these considerations may include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Expected duration; and -- Available subordination, credit enhancement floors, and/or excess spread (where available). Rating Actions The upgrades primarily reflect continued deleveraging since the respective transactions benefit from low accumulated losses to date and a growing percentage of credit support to the rated classes. The affirmations reflect its projected credit support on these classes, which S&P believes are sufficient to cover its projected losses for those rating scenarios. Ratings list Rating Issuer Series Class CUSIP To From Barclays Mortgage Loan Trust 2021-NQM1 Series 2021-NQM1 A-1 06744UAA9 AAA (sf) AAA (sf) Barclays Mortgage Loan Trust 2021-NQM1 Series 2021-NQM1 A-2 06744UAC5 AA+ (sf) AA+ (sf) Barclays Mortgage Loan Trust 2021-NQM1 Series 2021-NQM1 A-3 06744UAD3 AA (sf) AA (sf) Barclays Mortgage Loan Trust 2021-NQM1 Series 2021-NQM1 B-1 06744UAF8 BBB (sf) BBB (sf) Barclays Mortgage Loan Trust 2021-NQM1 Series 2021-NQM1 B-2 06744UAG6 BB- (sf) B+ (sf) Rationale: Increased credit support. Barclays Mortgage Loan Trust 2021-NQM1 Series 2021-NQM1 M-1 06744UAE1 A+ (sf) A+ (sf) HOMES 2024-AFC2 Trust 2024-AFC2 A-1 437920AC5 AAA (sf) AAA (sf) HOMES 2024-AFC2 Trust 2024-AFC2 A-1A 437920AA9 AAA (sf) AAA (sf) HOMES 2024-AFC2 Trust 2024-AFC2 A-1B 437920AB7 AAA (sf) AAA (sf) HOMES 2024-AFC2 Trust 2024-AFC2 A-2 437920AD3 AA+ (sf) AA (sf) Rationale: Increased credit support. HOMES 2024-AFC2 Trust 2024-AFC2 A-3 437920AE1 A+ (sf) A (sf) Rationale: Increased credit support. HOMES 2024-AFC2 Trust 2024-AFC2 B-1 437920AG6 BB (sf) BB (sf) HOMES 2024-AFC2 Trust 2024-AFC2 B-2 437920AH4 B (sf) B (sf) HOMES 2024-AFC2 Trust 2024-AFC2 M-1 437920AF8 BBB (sf) BBB (sf) SG Residential Mortgage Trust 2019-3 2019-3 B-1 78432BAE9 AA- (sf) A+ (sf) Rationale: Increased credit support. SG Residential Mortgage Trust 2019-3 2019-3 B-2 78432BAF6 BBB (sf) BBB (sf) SG Residential Mortgage Trust 2019-3 2019-3 M-1 78432BAD1 AA+ (sf) AA- (sf) Rationale: Increased credit support. SG Residential Mortgage Trust 2022-1 2022-1 A-1 78433QAA3 AAA (sf) AAA (sf) SG Residential Mortgage Trust 2022-1 2022-1 A-2 78433QAB1 AA+ (sf) AA+ (sf) SG Residential Mortgage Trust 2022-1 2022-1 A-3 78433QAC9 AA (sf) AA- (sf) Rationale: Increased credit support. SG Residential Mortgage Trust 2022-1 2022-1 B-1 78433QAE5 BBB- (sf) BBB- (sf) SG Residential Mortgage Trust 2022-1 2022-1 B-2 78433QAF2 B (sf) B (sf) SG Residential Mortgage Trust 2022-1 2022-1 M-1 78433QAD7 A- (sf) A- (sf) Spruce Hill Mortgage Loan Trust 2020-SH1 2020-SH1 B-1 85209FAE6 AA+ (sf) AA+ (sf) Spruce Hill Mortgage Loan Trust 2020-SH1 2020-SH1 B-2 85209FAF3 A (sf) A- (sf) Rationale: Increased credit support. Spruce Hill Mortgage Loan Trust 2020-SH1 2020-SH1 M-1 85209FAD8 AAA (sf) AAA (sf) ********* 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. 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