260705.mbx

260705.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, July 5, 2026, Vol. 30, No. 186 Headlines AB BSL CLO 6: S&P Assigns BB- (sf) Rating to Class E-R Notes ABRY LIQUID 2026-4: Fitch Assigns 'BB-sf' Rating on Class E Notes ACRA TRUST 2026-NQM1: Moody's Assigns (P)B2 Rating to Cl. B-2 Certs ACRA TRUST 2026-NQM1: Moody's Assigns B2 Rating to Cl. B-2 Certs ACREC 2026-FL5: Fitch Assigns 'B-sf' Final Rating on 3 Tranches AMAPS 3: Fitch Assigns 'BB' Rating on Class C Notes, Outlook Stable AMAPS 4: Fitch Assigns 'BB' Rating on Cl. C Notes, Outlook Stable AMAPS 5: Fitch Assigns 'BB' Rating on Class C Notes, Outlook Stable APIDOS CLO XXXV: Moody's Assigns B3 Rating to $550,000 F-R Notes AQUARIAN CLO 1: Fitch Assigns 'BB-sf' Rating on Class E Notes ARES XXXIX: Fitch Assigns 'BB-sf' Rating on Class E-R4 Notes ARINI US VII: S&P Assigns BB- (sf) Rating on Class E Notes BAIN CAPITAL 2024-2: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes BAIN CAPITAL 2026-3: Fitch Assigns 'BB-sf' Rating on Class E Notes BANK 2019-BNK17: Fitch Affirms 'CCCsf' Rating on Two Tranches BATTALION CLO XXXII: Fitch Assigns 'BB-sf' Rating on Two Tranches BAYVIEW OPPORTUNITY 2026-1: Fitch Rates Five Tranches 'B(EXP)sf' BCC MIDDLE 2026-2: S&P Assigns BB- (sf) Rating on Class E Notes BENEFIT STREET XXIV: S&P Assigns (P) BB- (sf) Rating on E-RR Notes BIRCH GROVE 14: Fitch Assigns 'BB-sf' Rating on Class E-R Notes BLUEMOUNTAIN CLO XXII: S&P Raises Class E Notes Rating to 'B+(sf)' BMO 2022-C3: Fitch Affirms 'B-sf' Rating on Class J-RR Certs BMO 2026-5C15: Fitch Assigns 'B-sf' Rating on Class G-RR Certs BRAVO RESIDENTIAL 2026-NQM6: Fitch Rates Cl. B-2 Notes 'B-(EXP)sf' BVINV TRUST 2026-A: Moody's Assigns B1 Rating to Cl. B3 Certs CANYON CLO 2020-2: S&P Lowers Class E-R2 Notes Rating to B+ (sf) CAPTREE PARK: S&P Affirms BB- (sf) Rating on Class E Notes CARRINGTON MORTGAGE 2007-FRE1: Moody's Ups A-3 Certs Rating Frm Ba1 CHASE HOME 2026-6: Fitch Assigns 'B-sf' Rating on Class B5 Debt CHASE HOME 2026-AGY1: Moody's Assigns B3 Rating to Cl. B-5 Certs CIFC FUNDING 2024-I: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes CITIGROUP MORTGAGE 2026-1: Fitch Rates Class B-3 Notes 'B-sf' COMM 2013-CCRE7: Moody's Cuts Rating on Cl. D Certs to B2 CQS US 7: Fitch Assigns BB-sf Rating on Cl. E Notes, Outlook Stable CROWN POINT 9: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes CSAIL 2020-C19: Fitch Lowers Rating on Two Tranches to 'B-sf' CVLR TRUST 2026-R3LX: Moody's Assigns B2 Rating to Cl. F Certs EFMT 2026-CES2: S&P Assigns B- (sf) Rating on Class B-2 Certs EXTENET ISSUER 2025-1: Fitch Puts 'BB-' on C Notes on Watch Neg. GALAXY 37: S&P Assigns Prelim BB- (sf) Rating on Class E Notes GOLDENTREE LOAN 21: Fitch Assigns 'B-sf' Rating on Class F-R Notes GOLDENTREE LOAN 30: Fitch Assigns 'B-sf' Rating on Class F Notes GOLUB CAPITAL 52(B): Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes GOLUB CAPITAL 74(B): Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes GS MORTGAGE 2016-GS3: S&P Lowers Cl. X-WM Certs Rating to 'B-(sf)' GS MORTGAGE 2026-PJ8: Fitch Assigns 'B-sf' Rating on Class B5 Notes GS MORTGAGE-BACKED 2026-DSC2: S&P Assigns 'B' Rating on B-2 Certs GS MORTGAGE-BACKED 2026-HLTV1: S&P Assigns 'B' Rating on B-2 Certs HOXTON CONSUMER 2026-1: S&P Assigns (P) BB+ (sf) Rating on E Notes HPS LOAN 2026-28: Fitch Assigns 'BB-sf' Rating on Class E Notes INCREF 2026-FL3: Fitch Assigns 'B-sf' Final Rating on Class G Notes INVESCO CLO 2022-1: Moody's Cuts Rating on $28.8MM E Notes to B1 JP MORGAN 2026-5: Fitch Assigns 'B-sf' Final Rating on Cl. B5 Certs JP MORGAN 2026-CES3: S&P Assigns B- (sf) Rating on Cl. B-2 Notes KRR CLO 32: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes KRR CLO 67: Fitch Assigns 'BB-sf' Rating on Class E Notes LONG TRUST 2026-ISL: Moody's Assigns B3 Rating to Cl. F Certs MIDOCEAN CREDIT XIX: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes MJX VENTURE II: Moody's Cuts Rating on Series I/Cl. E Notes to B1 MLTI TRUST 2026-MLTI: S&P Assigns BB (sf) Rating on HRR-10 Certs MORGAN STANLEY 2026-INV2: Moody's Assigns (P)B3 Rating to B-5 Certs MORGAN STANLEY 2026-INV2: Moody's Assigns B3 Rating to B-5 Certs MORGAN STANLEY 2026-NQM6: Moody's Assigns Ba3 Rating to B-1 Certs MORGAN STANLEY 2026-NQM7: Moody's Gives (P)Ba3 Rating to B-1 Certs NEUBERGER BERMAN XVII: Fitch Assigns BB-sf Rating on Cl. E-R4 Notes NYC COMMERCIAL 2026-31W: Fitch Rates Class F Certs 'B-(EXP)sf' OBX TRUST 2026-AHC2: Moody's Assigns B3 Rating to Cl. B-5 Certs OCTAGON INVESTMENT 29: Fitch Affirms BB- Rating on Class E-R2 Notes OHA CREDIT 26: Fitch Assigns 'BB-sf' Rating on Class E Notes PALMER SQUARE 2026-2: S&P Assigns BB- (sf) Rating on Class E Notes PARK BLUE 2026-XI: Fitch Assigns 'BB-sf' Rating on Class E Notes PIKES PEAK 16: Fitch Assigns 'BB-sf' Rating on Class E-R Notes PMT LOAN 2026-J4: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs POST CLO VIII: Fitch Assigns 'BB-sf' Rating on Class E Notes RAD CLO 23: Fitch Assigns 'BB-sf' Rating on Class D-R Notes REALT 2019-1: Fitch Lowers Rating on Two Tranches to 'Csf' REALT 2026-RONA2: Moody's Assigns Ba1 Rating to Cl. E Certs SANTANDER BANK 2026-A: Moody's Assigns B3 Rating to Class F Notes SANTANDER MORTGAGE 2026-NQM5: S&P Assigns 'B' Rating on B-2 Notes SCG 2026-PALM: Moody's Assigns (P)B2 Rating to Cl. F Certs SCULPTOR CLO XXXVIII: Fitch Assigns 'BB-sf' Rating on Class E Notes SILVER AIRCRAFT: Fitch Affirms 'B-sf' Rating on Class C Notes SIXTH STREET VI: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes SIXTH STREET VI: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R3 Notes SONA US 2: Fitch Assigns 'BB-sf' Rating on Class E Notes SYMPHONY CLO 54: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes VENTURE 32 CLO: Moody's Cuts Rating on $28.5MM Class E Notes to B3 VENTURE 38 CLO: Moody's Cuts Rating on $31.2MM Class E Notes to B1 VOYA CLO 2026-2: Fitch Assigns 'BB-sf' Rating on Class E Notes WELLS FARGO 2017-C42: Fitch Lowers Rating on Two Tranches to 'Csf' WELLS FARGO 2026-5C10: Fitch Assigns B-sf Rating on Cl. F-RR Certs WESTLAKE AUTOMOBILE 2025-1: S&P Assigns 'BB+' Rating on Cl E Notes WHITEBOX CLO IV: S&P Assigns Prelim BB- (sf) Rating on E-R2 Debt WINDHILL CLO 5: S&P Assigns BB- (sf) Rating on Class E Notes [] Fitch Affirms 31 Classes & Hikes 27 Classes From 11 CLOs [] S&P Takes Various Actions on 121 Classes From 18 US RMBS Deals ********* AB BSL CLO 6: S&P Assigns BB- (sf) Rating to Class E-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and class A-R loans from AB BSL CLO 6 Ltd./AB BSL CLO 6 LLC, a CLO managed by AB Broadly Syndicated Loan Manager LLC that was originally issued in June 2025. At the same time, S&P withdrew its ratings on the previous class A, B, C, D-1, D-2, and E debt following payment in full on the June 26, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement debt was issued at a lower weighted average cost of debt than the previous debt. -- The replacement class D-2-R debt was issued at a floating spread, replacing the previous fixed spread tranche. -- The non-call period was extended to June 26, 2028. -- The reinvestment period was extended to July 20, 2031. -- The legal final maturity dates for the replacement debt and the subordinated notes were extended to July 20, 2039. -- No additional assets were purchased on June 26, 2026, refinancing date, and the target initial par amount remains at $400.00 million. There is no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2026. -- The required minimum overcollateralization and interest coverage ratios were amended. -- Additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned AB BSL CLO 6 Ltd./AB BSL CLO 6 LLC Class A-R, $183.00 million: AAA (sf) Class A-R loans, $65.00 million: AAA (sf) Class B-R, $56.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB- (sf) Class D-2-R (deferrable), $4.00 million: BBB- (sf) Class E-R (deferrable), $12.00 million: BB- (sf) Ratings Withdrawn AB BSL CLO 6 Ltd./AB BSL CLO 6 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D-1 (deferrable) to NR from 'BBB- (sf)' Class D-2 (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt AB BSL CLO 6 Ltd./AB BSL CLO 6 LLC Subordinated notes, $35.73 million(i): NR (i)An additional $1.63 million in subordinated notes was issued as part of the transaction. NR--Not rated. ABRY LIQUID 2026-4: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Abry Liquid Credit CLO 2026-4, Ltd. Entity/Debt Rating ----------- ------ Abry Liquid Credit CLO 2026-4, Ltd. A-1 LT AAAsf New Rating A-1-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 LT NRsf New Rating Transaction Summary Abry Liquid Credit CLO 2026-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Abry Liquid Credit Management. 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 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 21.36, 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 100.0% first-lien senior secured loans. The weighted average recovery rate of the indicative portfolio is 74.1% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40.0% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 'A+sf' and 'AAAsf' for class A-1, between 'A+sf' and 'AAAsf' for class A-2, between 'BBB+sf' and 'AA+sf' for class B, between 'BB+sf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D-1, between less than 'B-sf' and 'BBB+sf' for class D-2 and between less than 'B-sf' and 'BB+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, '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 Abry 2026-4, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ACRA TRUST 2026-NQM1: Moody's Assigns (P)B2 Rating to Cl. B-2 Certs ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 12 classes of residential mortgage-backed securities (RMBS) to be issued by ACRA Trust 2026-NQM1, and sponsored by Citadel Servicing Corporation and BlackRock NQM Investments, LLC. The securities are backed by a pool of prime and non-prime quality, non-QM and investor residential mortgages aggregated by Citadel Servicing Corporation, originated by multiple entities and serviced by Citadel Servicing Corporation. The complete rating actions are as follows: Issuer: ACRA Trust 2026-NQM1 Cl. A-1FCF, Assigned (P)Aaa (sf) Cl. A-1LCF, Assigned (P)Aaa (sf) Cl. A-1F, Assigned (P)Aaa (sf) Cl. A-1IO*, Assigned (P)Aaa (sf) Cl. A-1A, Assigned (P)Aaa (sf) Cl. A-1B, Assigned (P)Aaa (sf) Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2 (sf) Cl. A-3, Assigned (P)A2 (sf) Cl. M-1, Assigned (P)Baa2 (sf) Cl. B-1, Assigned (P)Ba2 (sf) Cl. B-2, Assigned (P)B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 2.82%, in a baseline scenario-median is 2.05% and reaches 24.64% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ACRA TRUST 2026-NQM1: Moody's Assigns B2 Rating to Cl. B-2 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 10 classes of residential mortgage-backed securities (RMBS) issued by ACRA Trust 2026-NQM1, and sponsored by Citadel Servicing Corporation and BlackRock NQM Investments, LLC. The securities are backed by a pool of prime and non-prime quality, non-QM and investor residential mortgages aggregated by Citadel Servicing Corporation, originated by multiple entities and serviced by Citadel Servicing Corporation. The complete rating actions are as follows: Issuer: ACRA Trust 2026-NQM1 Cl. A-1FCF, Definitive Rating Assigned Aaa (sf) Cl. A-1LCF, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A2 (sf) Cl. M-1, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Cl. B-2, Definitive Rating Assigned B2 (sf) Moody's are withdrawing the provisional ratings for the Class A-1F and Class A-1IO assigned on June 25, 2026, because the Class A-1F and Class A-1IO were not issued on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 2.82%, in a baseline scenario-median is 2.05% and reaches 24.64% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. ACREC 2026-FL5: Fitch Assigns 'B-sf' Final Rating on 3 Tranches --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to ACREC 2026-FL5 LLC as follows: - $605,000,000a class A 'AAAsf'; Outlook Stable; - $152,625,000a class A-S 'AAAsf'; Outlook Stable; - $79,750,000a class B 'AA-sf'; Outlook Stable; - $63,250,000a class C 'A-sf'; Outlook Stable; - $38,500,000ab class D 'BBBsf'; Outlook Stable; - $0ab class D-E 'BBBsf'; Outlook Stable; - $0abc class D-X 'BBBsf'; Outlook Stable; - $19,250,000ab class E 'BBB-sf'; Outlook Stable; - $0ab class E-E 'BBB-sf'; Outlook Stable; - $0abc class E-X 'BBB-sf'; Outlook Stable; - $33,000,000bd class F 'BB-sf'; Outlook Stable; - $0bd class F-E 'BB-sf'; Outlook Stable; - $0bcd class F-X 'BB-sf'; Outlook Stable; - $23,375,000bd class G 'B-sf'; Outlook Stable; - $0bd class G-E 'B-sf'; Outlook Stable; - $0bcd class G-X 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $85,250,000d Income Notes. (a) Privately placed and pursuant to Rule 144A and Regulation S. (b) The class D, E, F and G notes are exchangeable notes. Each class of exchangeable notes may be exchanged for the corresponding classes of exchangeable notes, and vice versa. The dollar denomination of each of the received classes of notes must be equal to the dollar denomination of each of the surrendered classes of notes. (c) Notional amount and interest only. (d) Horizontal risk retention interest, estimated to be 12.875% of the aggregate principal balance of the notes. The approximate collateral interest balance as of the cutoff date is $1,100,000,000 and does not include future funding. Transaction Summary The notes are collateralized by 25 collateral interests consisting of loans, promissory notes and participations therein, which are secured by 36 commercial properties with an aggregate principal balance of $1,100,000,000 as of the cutoff date. The pool includes five delayed-close collateral interests totaling approximately $206.9 million, which are expected to close or be modified within 60 days of the settlement date. The pool does not include approximately $22.5 million of expected future funding. The loans were contributed to the trust by ACREC Loan Seller II LLC. The servicer is Situs Asset Management LLC, and the special servicer is Situs Holdings, LLC. The trustee is Wilmington Trust, National Association and the note administrator is Computershare Trust Company, National Association. The notes follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 25 loans in the pool (100.0% by balance). Fitch's resulting aggregate NCF of $36.6 million represents a 7.3% decline from the issuer's aggregate underwritten NCF of $39.5 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the prorated trust portion of any pari passu loan. Higher Fitch Leverage: The pool has higher leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value ratio of 146.8% is higher than both the 2026 YTD and 2025 CRE CLO averages of 139.0% and 139.6%, respectively. The pool's Fitch NCF debt yield of 5.71% is lower than both the 2026 YTD and 2025 CRE CLO averages of 6.50% and 6.47%, respectively. Better Pool Diversity: The pool diversity is in line with recent Fitch-rated CRE CLO transactions. The top 10 loans make up 60.0% of the pool, which is in line with the 2026 YTD of 60.1% and lower than the 2025 CRE CLO average 61.7%. 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 22.2. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Multifamily Concentration: The pool 100% comprises multifamily properties, compared with both the 2026 YTD and 2025 CRE CLO averages of 73.9% and 76.1%, respectively. The quality of the pool is comparable to that of Fitch-rated Freddie Mac transactions. Therefore, Fitch modeled the pool as such, removing the property type concentration adjustment similar to Freddie Mac and Fitch-rated MF1 CRE-CLO transactions. No Amortization: The pool is 100.0% comprised of interest-only loans, based on fully extended loan terms. This is worse than both the 2026 YTD and 2025 CRE CLO average of 73.6%. As a result, the pool is expected to have zero principal paydown by the fully extended maturity of the loans. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions for both 2026 YTD and 2025 were 0.5%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'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 to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement, then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate and Rating Recovery Rate, 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 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. AMAPS 3: Fitch Assigns 'BB' Rating on Class C Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has published ratings on the debt issued by AMAPS 3 LLC, as detailed below. Entity/Debt Rating ----------- ------ AMAPS 3 LLC Class A Notes 00165WAB6 LT A+ Publish Class B Notes 00165WAD2 LT BBB Publish Class C Notes 00165WAF7 LT BB Publish Transaction Summary AMAPS 3 LLC is a bankruptcy remote SPV which issued rated debt on Jan. 28, 2026 and is investing the proceeds in a highly diversified portfolio of underlying credit assets across a wide range of asset classes. These investments are made via commitments to funds managed by Apollo Capital Management, L.P. (Apollo), and via direct purchases of assets in a separately managed account (SMA). KEY RATING DRIVERS Asset Quality and Diversity: The underlying portfolio is diverse and of higher credit quality when compared with a collateralized loan obligation (CLO). The average credit quality in the Fitch Expected Portfolio (FEP) is around 'BB', and the manager targets a minimum investment grade share of 40%. The portfolio included more than 800 issuers initially, and the number of obligors has increased further as the underlying funds have deployed capital over time. Exposure to a single issuer is capped at 5%. Investments are made across a broad spectrum of asset classes, including middle market lending, investment-grade corporate debt, real estate debt and other asset backed debt (including securitization). Robust Structural Features: The transaction combines a higher rated and diversified portfolio with many of the structural protections commonly seen in CLO transactions. For example, there are separate interest and principal waterfalls, and loan-to-value (LTV) tests which allow cash to be diverted to debt redemption rather than being paid to equity holders. These features are reflected in Fitch's cash flow modeling and support the ratings on the debt. Ramp-Up and Reinvestment Risk: The transaction has a nine-month ramp-up period followed by a five-year reinvestment period. Fitch has incorporated the impact of the extended risk horizon by stressing the weighted-average life (WAL) of the portfolio in its asset modeling by the length of the reinvestment period. Fitch has also assessed the track record and strategy of the manager alongside the portfolio targets and eligibility criteria included in the investment management agreement (IMA). Fitch views the risk of material adverse portfolio migration limited. Sophisticated Asset Manager: Apollo is the manager for the transaction. Fitch rates Apollo Global Management, Inc. at 'A'. Fitch considered the significant experience, size, resources and track record of Apollo as a manager. Fitch also considered aligned incentives and harmonized management and governance across the different credit funds to which AMAPS 3 is exposed. The strength of the manager has a positive impact on the rating. FX and Interest Rate Risk: The debt is issued in USD, but the documents allow for up to 30% of the underlying assets to be denominated in other currencies. There is also an interest rate mismatch between assets and liabilities. A portion of the portfolio consists of fixed-rate assets, while the liabilities are floating rate. These risks are hedged by Apollo on a dynamic basis. Fitch believes this substantially reduces the exposure, but that some residual risk remains. Fitch has accounted for this in its Qualitative Assessment (QA; see below). Exposure to Internally Rated and Unrated Assets: Approximately 24% of the indicative portfolio consists of assets only rated internally by Apollo. An additional 6% consists of assets with no rating at all. There is no limit on internally rated assets and unrated assets are limited to 10%. Fitch does not expect a material increase in these buckets based on the manager's communicated strategy and the track record from prior funds. Fitch has accounted for these risks in its modeling by applying downward adjustments to internal ratings to account for the additional uncertainty and assigning minimal credit to unrated equity tranches and alternative investments. Fitch has also reviewed Apollo's internal rating methodology. Additional Rating Constraint: The highest achievable rating is 'A+'. This is primarily due to the broad investment guidelines, high levels of manager discretion and the eligibility of some alternative investments in the portfolio. QRI and QA: Fitch derived a Quantitative Rating Indication (QRI) of 'aa+', 'a-' and 'bbb-' for class A, B and C, respectively. This was primarily informed by its quantitative asset and liability modeling. Fitch made a Qualitative Assessment (QA) of two notches, to account for risks not directly accounted for in the quantitative analysis (e.g. residual FX and interest rate risk, potential for deviance in the fully ramped portfolio from its FEP). Bringing together the QRI, QA and rating cap results in a final rating determination of 'A+', 'BBB' and 'BB' for class A, B and C. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - A material deviance from communicated strategy of the manager. The investment guidelines leave room for the manager to exercise discretion. Fitch does not expect material deviance in the fully ramped portfolio from its FEP, noting the portfolio limits in place, Apollo's track record and the assets already within the relevant underlying funds. Moreover, the assigned ratings deliberately leave room for expected levels of portfolio fluctuation over time. Nevertheless, if the fully ramped portfolio ultimately has materially riskier characteristics than the FEP (e.g., lower credit quality, higher correlation, higher concentration, etc.), the ratings could be negatively affected. - Portfolio deterioration leading to sustained increase in LTV during the reinvestment period. However, the sensitivity of the rating to this factor is reduced by the adjustments Fitch has made to the risk horizon assumed in its analysis to account for the reinvestment period. - Lower-than-expected portfolio yield. The more junior tranches in particular show greater model-implied sensitivity to excess spread diverted under the LTV tests. The ratings are robust to moderate fluctuations in yield, especially because its analysis included sensitivity analysis around these assumptions. However, materially lower than expected portfolio yield could put pressure on the ratings, especially for mezzanine tranches. - Failure of the manager to manage interest rate and currency hedging. Fitch has given substantial credit to the manager's ability to hedge the various mismatches between the assets and liabilities. Fitch will monitor the performance of these hedges in its ongoing surveillance. Sustained losses on these hedges could lead to adjustments in its quantitative assumptions or QA adjustments. Fitch expects the more junior notes to be the most vulnerable to these factors given its subordinated position in the waterfall, greater reliance on excess spread and sub-investment grade rating. The most senior notes have the most resilience to portfolio deterioration and macroeconomic factors. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Sustained increases in net asset value during the reinvestment period. The manager has a long track record of generating positive returns on investment across numerous strategies and credit cycles. Fitch has assumed only downside stress scenarios in its rating analysis. Realized positive returns which build NAV over time would increase cushion at the assigned ratings and could eventually justify upgrades for the class B and C notes. - Benign reinvestment period. Fitch has extended the risk horizon assumed on corporate assets in the FEP to account for the reinvestment period. This stress will naturally taper down as the reinvestment period progresses. To the extent that significant stress hasn't materialized, this could put upward pressure on the ratings of the class B and C notes. CRITERIA VARIATION Fitch applied the following variations from the CLOs and Corporate CDOs Rating Criteria: Fitch gave partial credit to internal ratings assigned by Apollo to corporate debt, and full credit to ratings assigned by other NRSROs and the NAIC in its modeling (with only an adjustment to map instrument ratings to issuer ratings where applicable). The CLOs and Corporate CDOs Rating Criteria stipulate that Fitch uses Fitch ratings or the lowest of Moody's and S&P's ratings, or a 'CCC' rating if not rated by any of these agencies. The rationale for this variation is that the additional rating sources are a large and sophisticated asset manager with a proven track record of managing credit risk, NRSROs, or a regulatory support organization. Fitch applied the following variations from the Structured Finance CDO Rating Criteria: Fitch used two additional sub-sectors in PCM beyond the standard ones stipulated in the criteria. This was to adequately account for the breadth of asset classes in which AMAPS is expected to invest, and to avoid overstating the level of correlation between those asset classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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. AMAPS 4: Fitch Assigns 'BB' Rating on Cl. C Notes, Outlook Stable ----------------------------------------------------------------- Fitch Ratings has published ratings on the debt issued by AMAPS 4 LLC. Entity/Debt Rating ----------- ------ AMAPS 4 LLC Class A-1 Notes 02300CAB2 LT A+ Publish Class A-2 Notes 02300CAH9 LT A+ Publish Class B Notes 02300CAD8 LT BBB Publish Class C Notes 02300CAF3 LT BB Publish Transaction Summary AMAPS 4 LLC is a bankruptcy remote special-purpose vehicle (SPV) that issued debt on April 30, 2026, and invests the proceeds in a highly diversified portfolio of underlying credit assets across a wide range of asset classes. These investments are made through commitments to funds managed by Apollo Capital Management, L.P., and direct purchases of assets in a separately managed account (SMA). KEY RATING DRIVERS Asset Quality and Diversity: The underlying portfolio is diverse and of higher quality compared with a collateralized loan obligation (CLO). The average credit quality in the Fitch Expected Portfolio (FEP) is around 'BB', and the manager targets a minimum investment grade share of 40%. The portfolio initially included over 600 issuers, and the number of obligors has increased as the underlying funds have deployed capital over time. Exposure to a single issuer is capped at 5%. Investments are made across a broad spectrum of asset classes, including middle-market lending, investment-grade corporate debt, real estate debt and other asset backed loans. Robust Structural Features: The transaction combines a higher rated and diversified portfolio with many of the structural protections commonly seen in CLO transactions. For example, there are separate interest and principal waterfalls, and loan-to-value (LTV) tests that allow cash to be diverted to debt redemption rather than paid to equity holders. These features are reflected in Fitch's cash flow modeling and support the debt ratings. Ramp-Up and Reinvestment Risk: The transaction has a nine-month ramp-up period followed by a five-year reinvestment period. Fitch has incorporated the impact of the extended risk horizon by stressing the weighted-average life (WAL) of the portfolio in its asset modeling by the length of the reinvestment period. Fitch also assessed the track record and strategy of the manager alongside portfolio targets and eligibility criteria in the investment management agreement (IMA). The risk of material adverse portfolio migration is limited. Sophisticated Asset Manager: Apollo Capital Management, L.P. is the manager for the transaction. Fitch rates Apollo Global Management, Inc. 'A'. Fitch considered Apollo's significant experience, size, resources and track record as a manager. It also considered aligned incentives and harmonized management and governance across the different credit funds to which AMAPS 4 is exposed. The manager's strength has a positive impact on the rating. FX and Interest Rate Risk: The debt is issued in USD, but the documents allow for up to 30% of the underlying assets to be denominated in other currencies. There is also an interest rate mismatch between assets and liabilities. A portion of the portfolio consists of fixed rate assets, while the vast majority of the liabilities are floating rate. These risks are hedged by Apollo on a dynamic basis. This substantially reduces the exposure; however, residual risk remains. Fitch accounted for this in its Qualitative Assessment (QA; see below). Exposure to Internally Rated and Unrated Assets: Approximately 10% of the indicative portfolio consists of assets only rated internally by Apollo. An additional 5% consists of assets with no rating. There is no limit on internally rated assets and unrated assets are limited to 10%. Fitch does not expect a material increase in these buckets based on the manager's communicated strategy and the track record from prior funds. Fitch accounted for these risks in its modeling by applying downward adjustments to internal ratings to account for the additional uncertainty and assigning minimal credit to unrated equity tranches and alternative investments. Fitch also reviewed Apollo's internal rating methodology. Additional Rating Constraint: The highest achievable rating is 'A+'. This is primarily due to the broad investment guidelines, high levels of manager discretion and the eligibility of some alternative investments in the portfolio. QRI and QA: Fitch derived a Quantitative Rating Indication (QRI) of aa+, a- and bbb- for class A, B and C, respectively. This was primarily informed by quantitative asset and liability modeling. Fitch made a Qualitative Assessment (QA) of two notches to account for risks not directly accounted for in the quantitative analysis (e.g. residual FX and interest rate risk, potential for deviance in the fully ramped portfolio from its FEP). Bringing together the QRI, QA and rating cap results in a final rating of 'A+', 'BBB' and 'BB' for classes A, B and C. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - A material deviation from communicated strategy by the manager. The investment guidelines leave room for the manager to exercise discretion. Fitch does not expect material deviance in the fully ramped portfolio from its FEP, noting the portfolio limits in place, Apollo's track record and the assets already within the relevant underlying funds. The assigned ratings deliberately leave room for expected levels of portfolio fluctuation over time. However, if the fully ramped portfolio ultimately has materially riskier characteristics than the FEP (e.g. lower credit quality, higher correlation, higher concentration, etc.), the ratings could be negatively affected. - Portfolio deterioration leading to sustained increase in LTV during the reinvestment period. However, the sensitivity of the rating to this factor is reduced by the adjustments Fitch has made to the risk horizon assumed in its analysis to account for the reinvestment period. - Lower than expected portfolio yield. The more junior tranches in particular show greater model-implied sensitivity to excess spread diverted under the LTV tests. The ratings are robust to moderate fluctuations in yield, especially because Fitch's analysis included sensitivity analysis around these assumptions. However, materially lower than expected portfolio yield could put pressure on the ratings, especially for mezzanine tranches. - Failure of the manager to manage interest rate and currency hedging. Fitch has given substantial credit to the manager's ability to hedge the various mismatches between the assets and liabilities. Fitch will monitor the performance of these hedges in its ongoing surveillance. Sustained losses on these hedges could lead to adjustments in quantitative assumptions or QA adjustments. Fitch expects the more junior notes to be the most vulnerable to these factors given its subordinated position in the waterfall, greater reliance on excess spread and sub-investment grade rating. The most senior notes have the most resilience to portfolio deterioration and macroeconomic factors. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Sustained increases in net asset value during the reinvestment period. The manager has a long track record of generating positive returns on investment across numerous strategies and credit cycles. Fitch has assumed only downside stress scenarios in its rating analysis. Realized positive returns which build NAV over time would increase cushion at the assigned ratings and could eventually justify upgrades for the class B and C notes. - Benign reinvestment period. Fitch has extended the risk horizon assumed on corporate assets in the FEP to account for the reinvestment period. This stress will naturally taper down as the reinvestment period progresses. If significant stress hasn't materialized, this could put upward pressure on the ratings for the class B and C notes. CRITERIA VARIATION Fitch applied the following variations from the CLOs and Corporate CDOs Rating Criteria: Fitch gave partial credit to internal ratings assigned by Apollo to corporate debt, and full credit to ratings assigned by other NRSROs and the NAIC in its modeling (with only an adjustment to map instrument ratings to issuer ratings where applicable). The CLOs and Corporate CDOs Rating Criteria stipulate that Fitch uses Fitch ratings or the lowest of Moody's and S&P, or a 'CCC' rating if not rated by any of these agencies. The rationale for this variation is that the additional rating sources are a large and sophisticated asset manager with a proven track record of managing credit risk, NRSROs, or a regulatory support organization. Fitch applied the following variations from the Structured Finance CDO Rating Criteria: Fitch used two additional sub-sectors in PCM beyond the standard ones stipulated in the criteria. This was to adequately account for the breadth of asset classes in which AMAPS is expected to invest, and to avoid overstating the level of correlation between those asset classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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. AMAPS 5: Fitch Assigns 'BB' Rating on Class C Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to AMAPS 5 LLC's class A-1, A-2, B and C notes. Entity/Debt Rating Prior ----------- ------ ----- AMAPS 5 LLC Class A-1 Notes 022937AA4 LT A+ New Rating A+(EXP) Class A-2 Notes 022937AC0 LT A+ New Rating A+(EXP) Class A-3 Loans LT WD Withdrawn A+(EXP) Class B Notes 022937AE6 LT BB New Rating BBB(EXP) Class C Notes 022937AG1 LT BB New Rating BB(EXP) Equity LT NR New Rating NR(EXP) Transaction Summary AMAPS 5 LLC is a bankruptcy-remote special purpose vehicle (SPV) that issued rated debt and will invest the proceeds in a highly diversified portfolio of underlying credit assets across a wide range of asset classes. These investments will be made via commitments to funds managed by Apollo Capital Management, L.P., and through direct assets purchases in a separately managed account (SMA). Fitch has withdrawn the expected ratings assigned to the class A-3 loans. The debt was not issued. KEY RATING DRIVERS Asset Quality and Diversity: The underlying portfolio is diverse and of higher credit quality when compared with a collateralized loan obligation (CLO). The average credit quality in the Fitch Expected Portfolio (FEP) is around 'BB', and the manager targets a minimum investment grade share of 40%. The portfolio will initially include more than 500 issuers, and obligor count is likely increase as the underlying funds deploy capital over time. Exposure to any single issuer is capped at 5%. Investments are made across a broad spectrum of asset classes, including middle-market lending, investment-grade corporate debt, real estate debt and other asset-backed loans. Robust Structural Features: The transaction combines a higher rated and diversified portfolio with many of the structural protections seen in CLO transactions. For example, there are separate interest and principal waterfalls, and loan-to-value (LTV) tests, which allow cash to be diverted to note redemption rather than paid to equity holders. These features are reflected in Fitch's cash flow modeling and support the ratings on the debt. Ramp-Up and Reinvestment Risk: The transaction has a 10-month ramp-up period, followed by a five-year reinvestment period. Fitch has incorporated the impact of the extended risk horizon by stressing the weighted-average life (WAL) of the portfolio in its asset modeling by the length of the reinvestment period. Fitch has also assessed the track record and strategy of the manager alongside the portfolio targets and eligibility criteria included in the investment management agreement (IMA). Fitch considers the risk of material adverse portfolio migration limited. Sophisticated Asset Manager: Apollo Capital Management, L.P. is the manager for the transaction. Fitch rates Apollo Global Management, Inc. at 'A'. Fitch considered Apollo's significant experience, size, resources and track record as a manager. Fitch also considered aligned incentives and harmonized management and governance across the different credit funds to which AMAPS 5 is exposed. The strength of the manager supports the rating. FX and Interest Rate Risk: The debt is issued in USD, but the documents allow for up to 30% of the underlying assets to be denominated in other currencies. The transaction also has an interest rate mismatch between assets and liabilities. A portion of the portfolio consists of fixed-rate assets, while most of the liabilities are floating-rate. Apollo hedges these risks are hedged on a dynamic basis. Fitch believes this substantially reduces the exposure, but some residual risk remains. Fitch has accounted for this in its Qualitative Assessment. Exposure to Internally Rated and Unrated Assets: Approximately 27% of the indicative portfolio consists of assets rated only internally by Apollo. An additional 5% consists of assets with no rating. There is no limit on internally rated assets, and unrated assets are limited to 10%. Fitch does not expect a material increase in these buckets based on the manager's communicated strategy and the track record from prior funds. Fitch has accounted for these risks in its modeling by applying downward adjustments to internal ratings to account for the additional uncertainty and assigning minimal credit to unrated equity tranches and alternative investments. Fitch has also reviewed Apollo's internal rating methodology. Additional Rating Constraint: The highest achievable rating is 'A+'. This is primarily due to the broad investment guidelines, high levels of manager discretion and the eligibility of some alternative investments in the portfolio. QRI and QA: Fitch derived a Quantitative Rating Indication (QRI) of 'aa+', 'a-' and 'bbb-' for classes A, B and C, respectively. This was primarily informed by Fitch's quantitative asset and liability modeling. Fitch made a Qualitative Assessment of two notches, to account for risks not directly accounted for in the quantitative analysis, such as residual FX and interest rate risk and the potential for deviance in the fully ramped portfolio from Fitch's FEP. The QRI, QA and rating cap result in a final rating determination of 'A+', 'BBB' and 'BB' for classes A, B and C, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Material deviance from communicated strategy of the manager. The investment guidelines leave room for the manager to exercise discretion. Fitch does not expect material deviation in the fully ramped portfolio from its FEP, noting the portfolio limits in place, Apollo's track record and the assets already within the relevant underlying funds. Moreover, the assigned ratings deliberately leave room for expected levels of portfolio fluctuation over time. Nevertheless, if the fully ramped portfolio ultimately has materially riskier characteristics than the FEP, such as lower credit quality, higher correlation, higher concentration, the ratings could be negatively affected. - Portfolio deterioration leading to sustained increase in LTV during the reinvestment period. However, the rating's sensitivity to this factor is reduced by the adjustments Fitch has made to the risk horizon in its analysis to account for the reinvestment period. - Lower than expected portfolio yield. The more junior tranches, in particular show greater model-implied sensitivity to excess spread diverted under the LTV tests. The ratings are robust to moderate fluctuations in yield, especially because Fitch's analysis included sensitivity analysis around these assumptions. However, materially lower-than-expected portfolio yield could put pressure on the ratings, especially for mezzanine tranches. - Failure of the manager to manage interest rate and currency hedging. Fitch has given substantial credit to the manager's ability to hedge the various mismatches between the assets and liabilities. Fitch will monitor the performance of these hedges in its ongoing surveillance. Sustained losses on these hedges could lead to adjustments in Fitch's quantitative assumptions or QA adjustments. Fitch expects the more junior notes to be the most vulnerable to these factors given their subordinated position in the waterfall, greater reliance on excess spread and sub-investment grade rating. The most senior notes are the most resilient to portfolio deterioration and macroeconomic factors. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Sustained increases in net asset value during the reinvestment period. The manager has a long track record of generating positive returns on investment across numerous strategies and credit cycles. Fitch has assumed only downside stress scenarios in its rating analysis. Realized positive returns which build NAV over time would increase cushion at the assigned ratings and could eventually justify upgrades for the class B and class C notes. - Benign reinvestment period. Fitch has extended the risk horizon assumed for corporate assets in the FEP to account for the reinvestment period. This stress will naturally taper down as the reinvestment period progresses. To the extent that significant stress has not materialized, this could put upward pressure on the ratings of the class B and class C notes. CRITERIA VARIATION Fitch applied the following variations from the CLOs and Corporate CDOs Rating Criteria: Fitch gave partial credit to internal ratings assigned by Apollo to corporate debt, and full credit to ratings assigned by other NRSROs and the National Association of Insurance Commissioners (NAIC) in its modeling, with only an adjustment to map instrument ratings to issuer ratings where applicable. The CLOs and Corporate CDOs Rating Criteria stipulate that Fitch uses Fitch ratings or the lowest of Moody's and S&P, or a 'CCC' rating if the debt is not rated by any of these agencies. The rationale for this variation is that the additional rating sources are a large and sophisticated asset manager with a proven track record of managing credit risk, NRSROs or a regulatory support organization. Fitch applied the following variations from the Structured Finance CDO Rating Criteria: Fitch used two additional subsectors in PCM beyond the standard ones stipulated in the criteria. This adequately accounts for the breadth of asset classes in which AMAPS is expected to invest, and avoids overstating the level of correlation between those asset classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to or reviewed by Fitch in relation to this rating action. 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. Fitch's assessment of the asset pool information relied on 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 AMAPS 5 LLC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. APIDOS CLO XXXV: Moody's Assigns B3 Rating to $550,000 F-R Notes ---------------------------------------------------------------- Moody's Ratings has assigned ratings to three classes of CLO refinancing notes (the Refinancing Notes) issued by Apidos CLO XXXV, (the Issuer or Apidos XXXV): US$3,500,000 Class X-R Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$352,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2039, Assigned Aaa (sf) US$550,000 Class F-R Mezzanine Deferrable Floating Rate Notes due 2039, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the Refinancing Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. The issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets. CVC Credit Partners, LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $550,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2971 Weighted Average Spread (WAS): 2.88% Weighted Average Recovery Rate (WARR): 45.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. AQUARIAN CLO 1: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Aquarian CLO 1 Ltd. Entity/Debt Rating ----------- ------ Aquarian CLO 1 Ltd. A-1 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 Aquarian CLO 1 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Aquarian Liquid 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+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.61, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.92% 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 10% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 'A+sf' and 'AAAsf' for class A-1, between 'Asf' and 'AAAsf' for class A-2, between 'BBBsf' and 'A+sf' for class B, between 'BB-sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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. 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 Aquarian CLO 1 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ARES XXXIX: Fitch Assigns 'BB-sf' Rating on Class E-R4 Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Ares XXXIX CLO Ltd. reset transaction. Entity/Debt Rating ----------- ------ Ares XXXIX CLO Ltd._Reset 2026 A-R4 LT AAAsf New Rating B-R4 LT AAsf New Rating C-R4 LT Asf New Rating D-1-R4 LT BBB-sf New Rating D-2-R4 LT BBB-sf New Rating E-R4 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Ares XXXIX CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Ares CLO Management LLC. The transaction initially closed in July 2016 and was subsequently refinanced in April 2019, August 2021 and June 2024. It is expected to be fully refinanced for the fourth time on June 25, 2026. Net proceeds from the issuance of the secured notes and additional 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', in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.66 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.74% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.38% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with 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 weighted average life (WAL) used for the transaction stress portfolio and matrices is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-R4 notes, between 'BB+sf' and 'A+sf' for class B-R4 notes, between 'B+sf' and 'A-sf' for class C-R4 notes, between less than 'B-sf' and 'BBB-sf' for class D-1-R4 notes, between less than 'B-sf' and 'BBB-sf' for class D-2-R4 notes, and between less than 'B-sf' and 'B+sf' for class E-R4 notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R4 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-R4 notes, 'AAsf' for class C-R4 notes, 'A+sf' for class D-1-R4 notes, 'Asf' for class D-2-R4 notes, and 'BBB+sf' for class E-R4 notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Ares XXXIX CLO Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ARINI US VII: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to Arini US CLO VII Ltd./Arini US CLO VII 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 Arini Loan Management US 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 Arini US CLO VII Ltd./Arini US CLO VII LLC Class A, $256.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $16.00 million: BB- (sf) Subordinated notes, $34.50 million: NR NR--Not rated. BAIN CAPITAL 2024-2: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2024-2, limited reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Bain Capital Credit CLO 2024-2, Limited X-R LT AAAsf New Rating A-1-R LT NRsf New Rating A-2 056921AC3 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 056921AE9 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 056921AG4 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 056921AJ8 LT PIFsf Paid In Full BBBsf D-1-R LT BBB+sf New Rating D-2 056921AL3 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating D-3-R LT BBB-sf New Rating E 056922AA5 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Bain Capital Credit CLO 2024-2, 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. It originally closed on May 10, 2024. This is the first refinancing in which the existing secured notes will be refinanced in whole, on June 29, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.55, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.58% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.51% 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 at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'A-sf' and 'AA+sf' for class A-2-R, between 'BBB-sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-1-R, between less than 'B-sf' and 'BBBsf' for class D-2-R, between less than 'B-sf' and 'BB+sf' for class D-3-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R,'BBB+sf' for class D-3-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Bain Capital Credit CLO 2024-2, limited reset transaction. 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. BAIN CAPITAL 2026-3: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2026-3. Entity/Debt Rating ----------- ------ Bain Capital Credit CLO 2026-3, Limited A1 LT AAAsf New Rating A2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D1 LT BBB-sf New Rating D2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Bain Capital Credit CLO 2026-3 (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 22.45, 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 72.95% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 9% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 'A+sf' and 'AAAsf' for class A1, between 'Asf' and 'AA+sf' for class A2, between 'BBBsf' and 'A+sf' for class B, between 'BB-sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBBsf' for class D1, and between less than 'B-sf' and 'BBB-sf' for class D2 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A1 and class A2 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 D1, and 'BBB+sf' for class D2 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 2026-3, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BANK 2019-BNK17: Fitch Affirms 'CCCsf' Rating on Two Tranches ------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of BANK 2019-BNK17 commercial mortgage pass-through certificates, series 2019-BNK17 (BANK 2019-BNK17). The Rating Outlooks were revised to Stable from Negative for three affirmed classes. The Rating Outlooks are Negative for four affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- BANK 2019-BNK17 A-3 065403BB2 LT AAAsf Affirmed AAAsf A-4 065403BC0 LT AAAsf Affirmed AAAsf A-S 065403BF3 LT AAAsf Affirmed AAAsf A-SB 065403BA4 LT AAAsf Affirmed AAAsf B 065403BG1 LT AA-sf Affirmed AA-sf C 065403BH9 LT A-sf Affirmed A-sf D 065403AJ6 LT BBBsf Affirmed BBBsf E 065403AL1 LT BBB-sf Affirmed BBB-sf F 065403AN7 LT B-sf Affirmed B-sf G 065403AQ0 LT CCCsf Affirmed CCCsf X-A 065403BD8 LT AAAsf Affirmed AAAsf X-B 065403BE6 LT AA-sf Affirmed AA-sf X-C 065403BJ5 LT A-sf Affirmed A-sf X-D 065403AA5 LT BBB-sf Affirmed BBB-sf X-F 065403AC1 LT B-sf Affirmed B-sf X-G 065403AE7 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The affirmations reflect the generally stable pool performance and improved loss expectations since the prior rating action. Deal-level 'Bsf' rating case loss has decreased since Fitch's prior rating action to 3.9% from 4.5%. The transaction has 47 remaining loans, six of which are Fitch Loans of Concern (FLOCs; 19.1% of the pool), with no loans in special servicing. The revision of the Outlook to Stable from Negative on class C, X-C, and D reflects sufficient credit enhancement and improved pool loss expectations, driven primarily by performance improvement of the second largest loan, 350 Rhode Island South (FLOC; 7.9%), which has experienced higher occupancy following recently executed leases. Despite the improved performance for 350 Rhode Island South, the Negative Outlooks for classes E, F, X-D and X-F reflect concerns with upcoming rollover of the property's two largest tenants by January 2029, which combined account for 45.3% of the NRA. The Negative Outlooks also reflect exposure to other FLOCs, including 5850 Hellyer Avenue (1.7%) and Grand Oaks Business Park (5.8%). Additionally, the Negative Outlooks reflect the pool's concentration of office loans, comprising 30% of the pool. Largest Loss Contributors: The largest contributor to overall pool loss expectations is the 350 Rhode Island South loan, which is secured by a 138,393-sf office building located in San Francisco, CA. The property's major tenants include Resolve AI Inc. (26.9% of NRA, leased through January 2029), Service Employees International Union (18.4%, March 2027), and Sutter Bay Medical Foundation (14.7%, August 2036). Fitch requested a leasing update for Service Employees International Union, which is pending. Resolve AI Inc. took over a portion of the previously largest tenant, Samsara's space, which went dark and did not renew its lease upon expiration in July 2025. According to the servicer, the fourth largest tenant, Gamma Tech Inc (12.2%, February 2031), signed a lease to expand into the remainder of the Samsara space in August 2026. As such, the property occupancy improved to 95.5% as of March 2026 from 70% at YE 2025. The loan reported $1.4 million ($9.83 psf) in total reserves as of June 2026. Per CoStar, the property lies within the Showplace Square office submarket of San Francisco, CA. As of 2Q26, submarket asking rents averaged $62.86 psf and the submarket vacancy rate was 21.6%. Fitch's 'Bsf' rating case loss of 13.4% (prior to concentration add-ons) is based on a 9.50% cap rate and 15% haircut to the YE 2024 NOI, and factors an increased probability of default due to the upcoming lease rollover, weak submarket fundamentals, and loan's heightened term default risk. The second largest contributor to overall pool loss expectations is the Grand Oaks Business Park loan, which is secured by a 551,551-sf suburban office property located in Eagan, MN. The loan was designated a FLOC due to declining occupancy and performance. The property's major tenants include Laurel Technologies Partnership (8.8%, March 2036), Sonex Health Inc (5.6%, February 2031), and Visn 23-Minneapolis (3.4%, September 2028). Former major tenants, Enclos Corp. (5.7%, March 2025), American Cancer Society (4.1%, July 2025), and Explore Information Services, LLC (3.9%, August 2024) vacated at their respective lease expirations. Occupancy and the servicer-reported NOI DSCR were 66% and 0.90x, as of March 2026, compared with 67% and 1.12x at YE 2025, and 69% and 1.45x at YE 2024, respectively. Upcoming lease rollover includes 3.2% of the NRA in 2026 and 4.1% of NRA in 2027. Fitch's 'Bsf' rating case loss of 14.4% (prior to concentration add-ons) is based on a 10.25% cap rate and 10% haircut to the YE 2025 NOI, and factors an increased probability of default due to low occupancy and performance. The fourth largest contributor to overall pool loss expectations is the 5850 Hellyer Avenue, which is secured by a 109,718-sf industrial property located in San Jose, CA. The loan was designated a FLOC due to upcoming rollover risk with the largest tenant. According to the March 2026 rent roll, the property's tenants include Ferrotec Corporation (39.5% of NRA, with 24.2% through August 2026 and 15.3% through May 2026), Sakuu (31.9%, June 2028), and CTT Inc. (29.0%, February 2029). According to the servicer, Ferrotec Corporation extended half of the space that expired in May 2026 through to August 2026. However, a leasing update is pending regarding the upcoming expiration in August 2026 with discussions ongoing. The tenant represents 39.6% of base rents. Occupancy and the servicer-reported NOI DSCR were 100% and 1.42x, as of YE 2025, compared with 100% and 1.59x at YE 2024, respectively. Fitch's 'Bsf' rating case loss of 14.2% (prior to concentration add-ons) is based on a 9.0% cap rate and 40% haircut to the YE 2024 NOI, and factors an increased probability of default due to the upcoming lease rollover.. Change in CE: As of the June 2026 distribution date, the pool's aggregate balance has been reduced by 5.1% to $790.4 million from $833.0 million at issuance. Five loans (12.0%) have been defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to 'AAAsf' rated classes are not expected due to their high CE, senior position in the capital structure and expected pay off from defeased loans and those expected to repay at maturity, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. - Downgrades to 'AAsf' and 'Asf' category rated classes could occur should performance and valuation of the FLOCs, most notably 350 Rhode Island South, Grand Oaks Business Park, and 5850 Hellyer Avenue, deteriorate further or if more loans than expected default at or prior to maturity. - Downgrades to the 'BBBsf' and 'Bsf' category rated class could occur with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on other FLOCs. Downgrades to these classes could also occur if the borrower is unable to address the upcoming rollover at the 350 Rhode Island South property. - Downgrades to 'CCCsf' rated classes would occur if additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, including 350 Rhode Island South, Grand Oaks Business Park, and 5850 Hellyer Avenue. - 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 were likelihood for interest shortfalls; - Upgrades to 'Bsf' category rated classes are not likely and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to 'CCCsf' rated classes are not likely, but may be possible with better-than-expected recoveries on 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. BATTALION CLO XXXII: Fitch Assigns 'BB-sf' Rating on Two Tranches ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Battalion CLO XXXII Ltd. Entity/Debt Rating Prior ----------- ------ ----- Battalion CLO XXXII Ltd. A LT NRsf New Rating NR(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-1 LT BB-sf New Rating BB-(EXP)sf E-2 LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Battalion CLO XXXII Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Brigade Capital Management, LP. 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 22.64 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.13% 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 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is 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 'BBBsf' and 'A+sf' for class B, between 'BB-sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'BB-sf' for class E-1, and between less than 'B-sf' and 'B+sf' for class E-2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA-sf' for class C, 'A-sf' for class D-1, 'BBB+sf' for class D-2, 'BBB+sf' for class E-1, and 'BBB+sf' for class E-2. 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 23-Jun-2026 ESG Considerations Fitch does not provide ESG relevance scores for Battalion CLO XXXII Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BAYVIEW OPPORTUNITY 2026-1: Fitch Rates Five Tranches 'B(EXP)sf' ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by Bayview Opportunity Master Fund VII Trust 2026-CES1 (BVCES 2026-1). Entity/Debt Rating ----------- ------ BVCES 2026-1 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1L LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating A4 LT AA(EXP)sf Expected Rating A5 LT A(EXP)sf Expected Rating A6 LT BBB-(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B1A LT BB(EXP)sf Expected Rating B1B LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B2A LT B(EXP)sf Expected Rating B2B LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating BX1A LT BB(EXP)sf Expected Rating BX1B LT BB(EXP)sf Expected Rating BX2A LT B(EXP)sf Expected Rating BX2B LT B(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 4,383 closed-end second lien (CES) loans with a total balance of approximately $411 million as of the cutoff date. The pool consists of CES mortgages from Rocket Mortgage, LLC. Distributions of principal and interest and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or cover net weighted average coupon (WAC) shortfalls. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. BVCES 2026-1 has a final probability of default (PD) of 18.4% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 98.2%. The expected loss in the 'AAAsf' rating stress is 18.1%. Structural Analysis: The mortgage cash flow and loss allocation in BVCES 2026-1 are based on a sequential-payment structure, where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. The approximate 300 bps of excess spread acts as additional credit enhancement to the subordination. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal, first, to repay any current or previously allocated cumulative applied realized losses, and then to repay potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings 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 39.3% of the loans in the transaction by loan count. Fitch applies a 5% probability of default reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BVCES 2026-1 to be fully de-linked and a bankruptcy-remote special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to BVCES 2026-1 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch received Form ABS Due Diligence-15E (Form 15E), prepared by SitusAMC and Consolidated Analytics. The third-party due diligence described in Form 15E covered credit, compliance, and property valuation reviews. Fitch considered the results of this review in its analysis and, accordingly, applied an approximately 5% origination PD credit to loans that were fully reviewed by the third-party review firm and assigned a final grade of A or B. Third-party due diligence was performed on 39.3% of the transaction's loans by loan count and all reviewed loans received a grade of A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BCC MIDDLE 2026-2: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to BCC Middle Market CLO 2026-2 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Bain Capital Credit OneIM LLC, an affiliate of Bain Capital Credit L.P. 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 BCC Middle Market CLO 2026-2 LLC Class A-1, $290.00 million: AAA (sf) Class A-2, $20.00 million: AAA (sf) Class B, $37.50 million: AA (sf) Class C (deferrable), $35.00 million: A (sf) Class D-1 (deferrable), $27.50 million: BBB (sf) Class D-2 (deferrable), $15.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $60.34 million: NR NR--Not rated. BENEFIT STREET XXIV: S&P Assigns (P) BB- (sf) Rating on E-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Benefit Street Partners CLO XXIV Ltd./Benefit Street Partners CLO XXIV 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. This is a reset of a transaction that was not previously rated by S&P Global Ratings. The transaction is managed by BSP CLO Management LLC. The preliminary ratings are based on information as of June 30, 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 Benefit Street Partners CLO XXIV Ltd./ Benefit Street Partners CLO XXIV LLC Class A-RR, $320.00 million: AAA (sf) Class B-RR, $60.00 million: AA (sf) Class C-1-RR (deferrable), $27.00 million: A (sf) Class C-2-RR (deferrable), $3.00 million: A (sf) Class D-1-RR (deferrable), $30.00 million: BBB- (sf) Class D-2-RR (deferrable), $5.00 million: BBB- (sf) Class E-RR (deferrable), $15.00 million: BB- (sf) Subordinated notes, $62.52 million: NR NR--Not rated. BIRCH GROVE 14: Fitch Assigns 'BB-sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Birch Grove CLO 14 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Birch Grove CLO 14 Ltd. X-R LT AAAsf New Rating A 09090RAA0 LT PIFsf Paid In Full AAAsf A-1-R LT AAAsf New Rating A-1-R Loans LT AAAsf New Rating A-2-R LT AAAsf New Rating A-L LT PIFsf Paid In Full AAAsf B 09090RAC6 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 09090RAE2 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 09090RAG7 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB-sf New Rating D-2 09090RAJ1 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating E 09090PAA4 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Birch Grove CLO 14 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Birch Grove Capital LP that originally closed in June 2025. This will be the first refinancing where the existing notes will be refinanced in whole in June 2026 from proceeds of the new secured notes. The 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 22.09 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 96.36% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.16% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 6% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-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, between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBB-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, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'Asf' for class D-2-R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Birch Grove CLO 14 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BLUEMOUNTAIN CLO XXII: S&P Raises Class E Notes Rating to 'B+(sf)' ------------------------------------------------------------------ S&P Global Ratings raised its ratings on the class C and D notes from BlueMountain CLO XXII Ltd. At the same time, S&P affirmed its ratings on the class A-1, B and E notes. Concurrently, S&P removed its ratings on the class C and E notes from CreditWatch, where they were placed with positive and negative implications, respectively, on May 6, 2026. The rating actions follow S&P's review of the transaction's performance using data from the May 2026 trustee report. The transaction has made $67.97million in collective paydowns to the class A-1 notes since our last rating action (LRA) in October 2025. The changes in the reported overcollateralization (O/C) ratios since the September 2025 trustee report (which S&P used for its LRA) include: -- The class A/B O/C ratio improved to 223.83% from 163.30%. -- The class C O/C ratio improved to 139.52% from 125.89%. -- The class D O/C ratio improved to 117.29% from 112.88%. -- The class E O/C ratio declined to 103.30% from 103.76%. While the senior O/C ratios experienced a positive movement due to the lower balances of the senior notes, the junior O/C ratios declined due to a combination of par losses, increase in defaults, and haircuts on the exposures in the 'CCC' rating category. According to the May 2026 trustee report, the 'CCC' exposures is 19.62% of the collateral portfolio compared with 13.20% at the LRA. Meanwhile, defaults increased to $3.45 million from $2.06 million, and the number of obligors declined to 172 from 224. Despite the larger concentrations of in assets in the 'CCC' rating category ('CCC' exposures) and defaulted collateral, the transaction, especially the senior tranches, has also benefited from a drop in the weighted average life, which declined to with 2.78 years from 3.12 years, due to underlying collateral's seasoning. The upgrades reflect the improved credit support available to the notes at the prior rating levels. Although the cash flows for classes C and D point to higher ratings, the upgrades reflect the high concentration of assets in the 'CCC' rating category as well as the higher-than-average exposure to assets with distressed prices. The affirmations reflect the adequate credit support at the current rating levels, though any deterioration in the credit support available to the notes could results in further ratings changes. Despite the cash flows for class E pointing to a higher rating, S&P affirmed the current rating due to the high concentration of 'CCC' exposures, the exposure to distressed assets, and the failing O/C tests at the current rating levels. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all 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 notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Rating Raised And Removed From CreditWatch BlueMountain CLO XXII Ltd./BlueMountain CLO XXII LLC Class C to 'AA+ (sf)' from 'AA- (sf)/Watch Pos' Rating Raised BlueMountain CLO XXII Ltd./BlueMountain CLO XXII LLC Class D to 'BBB (sf)' from 'BBB- (sf)' Rating Affirmed And Removed From CreditWatch BlueMountain CLO XXII Ltd./BlueMountain CLO XXII LLC Class E to 'B+ (sf)' from 'B+ (sf)/Watch Neg' Ratings Affirmed BlueMountain CLO XXII Ltd./BlueMountain CLO XXII LLC Class A-1: AAA (sf) Class B: AAA (sf) BMO 2022-C3: Fitch Affirms 'B-sf' Rating on Class J-RR Certs ------------------------------------------------------------ Fitch Ratings has affirmed 17 classes of BMO 2022-C3, commercial mortgage pass-through certificates series 2022-C3. The Outlooks for classes E, F-RR, G-RR, J-RR and X-E remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BMO 2022-C3 Mortgage Trust A-1 05602QAU7 LT AAAsf Affirmed AAAsf A-2 05602QAV5 LT AAAsf Affirmed AAAsf A-3 05602QAW3 LT AAAsf Affirmed AAAsf A-4 05602QAX1 LT AAAsf Affirmed AAAsf A-5 05602QAY9 LT AAAsf Affirmed AAAsf A-S 05602QBC6 LT AAAsf Affirmed AAAsf A-SB 05602QAZ6 LT AAAsf Affirmed AAAsf B 05602QBD4 LT AA-sf Affirmed AA-sf C 05602QBE2 LT A-sf Affirmed A-sf D 05602QAE3 LT BBBsf Affirmed BBBsf E 05602QAG8 LT BBB-sf Affirmed BBB-sf F-RR 05602QAJ2 LT BBsf Affirmed BBsf G-RR 05602QAL7 LT B+sf Affirmed B+sf J-RR 05602QAN3 LT B-sf Affirmed B-sf X-A 05602QBA0 LT AAAsf Affirmed AAAsf X-D 05602QAA1 LT BBBsf Affirmed BBBsf X-E 05602QAC7 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 4.6%, which are in line with Fitch's last rating action. Fitch Loans of Concerns (FLOCs) comprise eight loans (14.9%), including four specially serviced loans (5.6%). The affirmations reflect generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks indicate the potential for future downgrades if the performance of the Fitch Loans of Concern (FLOCs) deteriorates further, particularly for the specially serviced Saks Fulfillment Center (3.8%) and Central States Industrial Portfolio FLOC (2.8%), as well as the remaining specially serviced loans (1.7%). Largest Contributors to Loss: The Saks Fulfillment Center loan is largest contributor to overall pool loss expectations. It is secured by an 822,771 sf industrial property in Wilkes-Barre, PA. The loan transferred to special servicing in April 2026 due to imminent default after the bankruptcy filing of the Saks & Company, LLC's (Saks) parent company. The collateral property's sole tenant. Saks occupied 100.0% of the NRA under a lease scheduled to expire in August 2047. The property is now vacant. The loan was 60 days delinquent as of the June 2026 reporting period. The borrower and special servicer continue to negotiate a resolution, including a potential discounted payoff, while the lender simultaneously pursues foreclosure. Fitch's 'Bsf' case loss of 26% (prior to concentration add-ons) reflects an elevated probability of default given the Saks bankruptcy and delinquency status, and a Fitch stressed value of $45 psf. This value is based on a dark value analysis incorporating a market rental rate, stabilized market vacancy and assumptions for carrying costs and leasing expenses. The Negative Outlooks reflect the potential for downgrades given the uncertainty of the status of the lease in Saks bankruptcy and ultimate resolution. The second largest contributor to pool loss expectations is Lakes Medical Center (3.8%), which is secured by a 135,459 sf medical office building located in West Bloomfield, Michigan. The servicer reported YE 2025 NOI DSCR was 1.29x, down from 1.40x at YE 2024 and 1.39x at YE 2023 driven primarily by increased expenses. Occupancy has remained stable. As of December 2025, occupancy was 92%, which is in line with prior years. The largest tenant is Shores 3 Professional Building accounting for 22.86% of the NRA through August 2034. Fitch's 'Bsf' case loss of 10.4% (prior to concentration add-ons) reflects a 9.75% cap rate, and a 10% stress to the YE 2025 NOI. The third largest loan, Yorkshire & Lexington Towers (5.1%) has returned to the master servicer as of the June 2026 distribution. The other loans in special servicing are Sunset Apartment Portfolio (Bridgman, MI; 0.86%), which is secured by 122 units in Bridgman, MI and two loans with the same sponsor (Abe Cohen) - 561 Clinton Street (mixed-use; Brooklyn, NY; 0.49%) and 2015 Walnut Street (mixed-use; Philadelphia, PA; 0.38%). All loans are currently in foreclosure, and Fitch's loss expectations are based on the stress of updated values. Credit Enhancement: As of the May 2026 distribution date, the aggregate pool balance paid down to $719 million from $726.7 million at issuance. No realized losses have occurred to date. Interest shortfalls of approximately $305,000 are affecting the non-rated K-RR class. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not expected due to high credit enhancement (CE), the 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 should if the performance of the FLOCs deteriorate further or if more loans than expected default during the term and/or at or prior to maturity. Notable FLOCs include the Saks Fulfillment Center loan, Central States Industrial Portfolio and 561 Clinton Street. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particular those with Negative Outlooks, could occur with higher-than-expected losses from continued underperformance of the FLOCs. 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 improved pool-level loss expectations from stabilized performance of the FLOCs. 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 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 of the transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. 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. BMO 2026-5C15: Fitch Assigns 'B-sf' Rating on Class G-RR Certs -------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BMO 2026-5C15 Mortgage Trust commercial mortgage pass-through certificates, series 2026-5C15, as follows: - $1,257,000 class A-1 'AAAsf'; Outlook Stable; - $72,000,000 class A-2 'AAAsf'; Outlook Stable; - $365,047,000 class A-3 'AAAsf'; Outlook Stable; - $438,304,000a class X-A 'AAAsf'; Outlook Stable; - $60,267,000 class A-S 'AAAsf'; Outlook Stable; - $31,307,000 class B 'AA-sf'; Outlook Stable; - $23,481,000 class C 'A-sf'; Outlook Stable; - $115,055,000a class X-B 'A-sf'; Outlook Stable; - $16,123,000b class D 'BBB-sf'; Outlook Stable; - $16,123,000ab class X-D 'BBB-sf'; Outlook Stable; - $11,271,000bc class E-RR 'BB+sf'; Outlook Stable; - $8,610,000bc class F-RR 'BB-sf'; Outlook Stable; - $9,392,000bc class G-RR 'B-sf'; Outlook Stable. Fitch does not expect to rate the following class: - $27,394,447bc class J-RR. Notes: (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Classes E-RR, F-RR, G-RR and J-RR certificates comprise the transaction's horizontal risk retention interest. Since Fitch published its expected ratings on June 8, 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-$200,000,000 and the initial certificate balance of class A-3 was expected to be in the range of $237,047,000-$437,047,000. The final balances of classes A-2 and A-3 are $72,000,000 and $365,047,000, respectively. The deal structure and ratings reflect information provided by the issuer as of June 25, 2026. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 25 loans secured by 124 commercial properties having an aggregate principal balance of $626,149,447 as of the cut-off date. The loans were contributed to the trust by Bank of Montreal, UBS AG New York Branch, 3650 Capital SCF LOE I(A), LLC, Zions Bancorporation, N.A., Wells Fargo Bank, National Association, BSPRT CMBS Finance, LLC, Goldman Sachs Mortgage Company, Societe Generale Financial Corporation and Ladder Capital Finance LLC. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is 3650 REIT Loan Servicing LLC. The trustee and certificate administrator are Computershare Trust Company, National Association. The certificates follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 21 loans totaling 93.7% of the pool by balance. Fitch's aggregate pool net cash flow (NCF) of $68.8 million represents a 11.3% decline from the issuer's underwritten aggregate pool NCF of $77.6 million. Lower Fitch Leverage: The pool has lower leverage compared to recent U.S. private label five-year multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 93.4% is below both the 2026 YTD and 2025 multiborrower five-year averages of 98.1% and 101.0%, respectively. The pool's Fitch NCF debt yield (DY) of 11.0% is higher than both the 2026 YTD and 2025 multiborrower five-year averages of 10.6% and 9.7%, respectively. Investment-Grade Credit Opinion Loans: One loan, Mountain Industrial Portfolio (7.3% of the pool), received a standalone credit opinion of 'A-sf*'. The pool's investment-grade credit opinion percentage is lower than both the 2026 YTD and 2025 multiborrower five-year averages of 11.3% and 10.6%, respectively. Excluding the credit opinion loan, the pool's Fitch LTV and DY are 87.8% and 10.3%, respectively, compared with the 2025 conduit LTV and DY averages of 105.2% and 9.3%, respectively. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans in the pool make up 65.7% of the pool, which is higher than both the 2026 YTD and 2025 multiborrower five-year averages of 60.8% and 61.5%, respectively. The pool's effective loan count of 20.3 is lower than both the 2026 YTD and 2025 multiborrower five-year averages of 22.3 and 21.8, 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'/'BB+sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BB+sf'/'B+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'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BB-sf'/'B-sf'; - 10% NCF Improvement: '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 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. BRAVO RESIDENTIAL 2026-NQM6: Fitch Rates Cl. B-2 Notes 'B-(EXP)sf' ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to BRAVO Residential Funding Trust 2026-NQM6 (BRAVO 2026-NQM6). Entity/Debt Rating ----------- ------ BRAVO 2026-NQM6 A-1FCF LT AAA(EXP)sf Expected Rating A-1LCF LT AAA(EXP)sf Expected Rating A-1PT LT AAA(EXP)sf Expected Rating A-1F LT AAA(EXP)sf Expected Rating A-1IO 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-1 LT BB-(EXP)sf Expected Rating B-2 LT B-(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 934 loans with a total balance of approximately $556 million as of the cutoff date. Arc Home and Citadel Servicing Corporation (Citadel), d/b/a Acra Lending (Acra) originated approximately 37.5% and 17.6% of the pool, respectively, both assessed as 'Acceptable' originators by Fitch. No other originator contributed more than 10% of the pool. Following servicing transfers after the closing date, NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) and Citadel, will service 78.2% and 21.8% 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-NQM6 has a final probability of default (PD) of 42.4% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 39.9%. The expected loss in the 'AAAsf' rating stress is 16.9%. The pool consists of 934 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 (CLTV) of 70.6%. Fitch considers approximately 92.1% of the pool to be non-prime. About 11.7% of the loans in the pool are full documentation; the remaining loans are non-full documentation, including debt service coverage ratio (DSCR; 31.4%), bank statement (46.8%) and other program (10.1%) 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 81.5% of borrowers are self-employed or have unknown employment status. In addition, approximately 1.8% of the loans were originated to borrowers classified by Fitch as foreign nationals, including individual taxpayer identification number [ITIN] 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-NQM6 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 (DQ) 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 designated notes (specifically, the A-1FCF, A-1LCF, A-1F, A-1IO, 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 100bps, subject to the net WA coupon (WAC), starting on the June 2030 payment date. This reduces the modest excess spread available to repay losses. Starting on the June 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-1FCF, A-1LCF, A-1F, A-1IO, A-1A, A-1B, 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 (P&I) advancing. 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 CEfor all ratings were sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers aggregator, originator and servicer capability, and the transaction-specific representation, warranty and enforcement (RW&E) 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 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) 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. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BRAVO 2026-NQM6 to be fully de-linked and bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by 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. BVINV TRUST 2026-A: Moody's Assigns B1 Rating to Cl. B3 Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 9 classes of residential mortgage-backed securities (RMBS) issued by BVINV Trust 2026-A, and sponsored by Bayview Fund Management LLC (Bayview). Bayview Fund Management LLC will purchase a forward pool of GSE-eligible residential mortgages over a six-month prefunding period using noteholder commitments. The loans will be originated by various lending institutions and Bayview will select them for purchase by the Issuer during the prefunding period. Rocket Mortgage, LLC d/b/a Rushmore Servicing will service the loans, US Bank Trust Company, National Association will act as indenture trustee and paying agent, and Computershare Trust Company, N.A. will act as custodian for the loan documents. The complete rating actions are as follows: Issuer: BVINV Trust 2026-A Cl. A1, Definitive Rating Assigned Aaa (sf) Cl. A2, Definitive Rating Assigned Aa3 (sf) Cl. A3, Definitive Rating Assigned Aa1 (sf) Cl. AE1, Definitive Rating Assigned Aaa (sf) Cl. AE2, Definitive Rating Assigned Aa3 (sf) Cl. AE3, Definitive Rating Assigned Aa1 (sf) Cl. B1, Definitive Rating Assigned A3 (sf) Cl. B2, Definitive Rating Assigned Ba1 (sf) Cl. B3, Definitive Rating Assigned B1 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 2.14%, in a baseline scenario-median is 1.55% and reaches 17.29% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CANYON CLO 2020-2: S&P Lowers Class E-R2 Notes Rating to B+ (sf) ---------------------------------------------------------------- S&P Global Ratings lowered its rating on the class E-R2 debt from Canyon CLO 2020-2 Ltd., a U.S. CLO managed by Canyon CLO Advisors LLC, and removed it from CreditWatch with negative implications. S&P also affirmed its ratings on the class A-R2, B-R2, C-R2, and D-R2 debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from April 30, 2026, trustee report. The transaction, which was originally issued in October 2020, underwent a refinancing in January 2025 and will exit its reinvestment period in October 2026. S&P said, "On May 6, 2026, we had placed our ratings on the class E-R2 debt on CreditWatch negative primarily due to the declining credit support available to the class, the portfolio's par loss since the 2025 refinancing, and indicative cash flow results. Compared to the January 2025 initial post-refinancing trustee report, following are the changes to the reported April 2026 overcollateralization (O/C) ratios: -- The class A/B O/C ratio declined to 128.68% from 131.18%. -- The class C O/C ratio declined to 119.27% from 121.58%. -- The class D O/C ratio declined to 111.14% from 113.29%. -- The class E O/C ratio declined to 106.30% from 108.36%. The decline in the O/C ratios reflects the aggregate par loss the portfolio has sustained since the last rating actions in January 2025. The par losses, coupled with decline in the portfolio's weighted average spread, have weakened cash flow results, particularly at the junior level of capital structure. As a result, the class E-R2 debt was no longer passing cash flows at its previous rating level. Following the decline in credit support and indicative cash flow results, S&P lowered its rating on the class E-R2 debt to 'B+ (sf)'. S&P said, "While the results of our cash flow analysis also indicated a two-notch lower rating on the class E-R2 debt than the rating action reflects, we downgraded the rating for one-notch after considering the passing trustee O/C, current subordination level, solid portfolio quality, and the low exposure to 'CCC'/'CCC-' rated assets. Furthermore, the deal is expected to transition to amortization in October 2026, at which point the senior note paydowns should support improvements in both credit enhancement and the pure O/C metric. However, any deterioration and/or increase in defaults or par losses could lead to negative rating actions." The affirmed ratings on the class A-R2, B-R2, C-R2, and D-R2 debt reflect adequate credit support at the current rating levels and passing cash flows. S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Rating Lowered And Removed From CreditWatch Canyon CLO 2020-2 Ltd. Class E-R2, to B+ (sf) from BB- (sf)/Watch Neg Ratings Affirmed Canyon CLO 2020-2 Ltd. Class A-R2: AAA (sf) Class B-R2: AA (sf) Class C-R2: A (sf) Class D-R2: BBB- (sf) CAPTREE PARK: S&P Affirms BB- (sf) Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1R, B-R, and C-R debt from Captree Park CLO Ltd./Captree Park CLO LLC, a CLO managed by Blackstone CLO Management LLC that was originally issued in May 2024. At the same time, S&P withdrew its ratings on the previous class A-1, B-1, B-2, and C debt following payment in full on the June 26, 2026, refinancing date. S&P also affirmed its ratings on the class D and E debt, which were not refinanced. Captree Park CLO Ltd. refinanced its class A-1, B-1, B-2, and C debt on June 26, 2026, through an optional redemption and replacement debt issuance. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to June 26, 2027. -- The reinvestment period was not extended. -- The legal final maturity date for the replacement debt and the existing subordinated notes was not extended. -- No additional assets were purchased on the June 26, 2026, refinancing date, and the target initial par amount remains at $850 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 20, 2026. -- The previous class B-1 and B-2 debt were combined into the replacement class B-R debt. -- The required minimum overcollateralization and interest coverage ratios were not amended. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-1R, $522.75 million: Three-month CME term SOFR + 1.20% -- Class B-R, $76.50 million: Three-month CME term SOFR + 1.55% -- Class C-R (deferrable), $51.00 million: Three-month CME term SOFR + 1.95% Previous debt -- Class A-1, $522.75 million: Three-month CME term SOFR + 1.50% -- Class B-1, $59.50 million: Three-month CME term SOFR + 1.90% -- Class B-2, $17.00 million: 6.15% -- Class C (deferrable), $51.00 million: Three-month CME term SOFR + 2.30% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Captree Park CLO Ltd./Captree Park CLO LLC Class A-1R, $522.75 million: AAA (sf) Class B-R, $76.50 million: AA (sf) Class C-R, $51.00 million: A (sf) Ratings Withdrawn Captree Park CLO Ltd./Captree Park CLO LLC Class A-1 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Ratings Affirmed Captree Park CLO Ltd./Captree Park CLO LLC Class D: BBB- (sf) Class E: BB- (sf) Other Debt Captree Park CLO Ltd./Captree Park CLO LLC Class A-2, $46.75 million: NR Subordinated notes, $81.63 million: NR NR--Not rated. CARRINGTON MORTGAGE 2007-FRE1: Moody's Ups A-3 Certs Rating Frm Ba1 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings of two bonds issued by Carrington Mortgage Loan Trust, Series 2007-FRE1. 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 actions are as follows: Issuer: Carrington Mortgage Loan Trust, Series 2007-FRE1 Cl. A-3, Upgraded to Baa1 (sf); previously on Aug 28, 2025 Upgraded to Ba1 (sf) Cl. A-4, Upgraded to Baa3 (sf); previously on Aug 28, 2025 Upgraded to Ba3 (sf) RATINGS RATIONALE The rating actions reflect the current levels of credit enhancement available to the bonds, the recent performance, analysis of the transaction structure, Moody's updated loss expectations on the underlying pool and Moody's revised loss-given-default expectation on the bonds. The rating upgrades are a result of the improving performance of the related pool, and an increase in credit enhancement available to the bonds. Moody's analysis also reflects the potential for collateral volatility given the number of deal-level and macro factors that can impact collateral performance, the potential impact of any collateral volatility on the model output, and the ultimate size or any incurred and projected loss. No action was taken on the other rated class in this deal because its expected loss remains commensurate with its current rating, after taking into account the updated performance information, structural features and credit enhancement. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations: Surveillance" published in December 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CHASE HOME 2026-6: Fitch Assigns 'B-sf' Rating on Class B5 Debt --------------------------------------------------------------- Fitch Ratings has assigned final ratings to Chase Home Lending Mortgage Trust 2026-6 (Chase 2026-6). Entity/Debt Rating Prior ----------- ------ ----- Chase 2026-6 A1 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A10A LT AAAsf New Rating AAA(EXP)sf A10B LT AAAsf New Rating AAA(EXP)sf A10X1 LT AAAsf New Rating AAA(EXP)sf A10X2 LT AAAsf New Rating AAA(EXP)sf A10X3 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A11X LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A13X LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A14X LT AAAsf New Rating AAA(EXP)sf A14X2 LT AAAsf New Rating AAA(EXP)sf A14X3 LT AAAsf New Rating AAA(EXP)sf A14X4 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A15A LT AAAsf New Rating AAA(EXP)sf A15B LT AAAsf New Rating AAA(EXP)sf A15X1 LT AAAsf New Rating AAA(EXP)sf A15X2 LT AAAsf New Rating AAA(EXP)sf A15X3 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A16A LT AAAsf New Rating AAA(EXP)sf A16B LT AAAsf New Rating AAA(EXP)sf A16X1 LT AAAsf New Rating AAA(EXP)sf A16X2 LT AAAsf New Rating AAA(EXP)sf A16X3 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A17A LT AAAsf New Rating AAA(EXP)sf A17B LT AAAsf New Rating AAA(EXP)sf A17X1 LT AAAsf New Rating AAA(EXP)sf A17X2 LT AAAsf New Rating AAA(EXP)sf A17X3 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A18A LT AAAsf New Rating AAA(EXP)sf A18B LT AAAsf New Rating AAA(EXP)sf A18X1 LT AAAsf New Rating AAA(EXP)sf A18X2 LT AAAsf New Rating AAA(EXP)sf A18X3 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A3A LT AAAsf New Rating AAA(EXP)sf A3B LT AAAsf New Rating AAA(EXP)sf A3X1 LT AAAsf New Rating AAA(EXP)sf A3X2 LT AAAsf New Rating AAA(EXP)sf A3X3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A4A LT AAAsf New Rating AAA(EXP)sf A4B LT AAAsf New Rating AAA(EXP)sf A4X1 LT AAAsf New Rating AAA(EXP)sf A4X2 LT AAAsf New Rating AAA(EXP)sf A4X3 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A5A LT AAAsf New Rating AAA(EXP)sf A5B LT AAAsf New Rating AAA(EXP)sf A5X1 LT AAAsf New Rating AAA(EXP)sf A5X2 LT AAAsf New Rating AAA(EXP)sf A5X3 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A6A LT AAAsf New Rating AAA(EXP)sf A6B LT AAAsf New Rating AAA(EXP)sf A6X1 LT AAAsf New Rating AAA(EXP)sf A6X2 LT AAAsf New Rating AAA(EXP)sf A6X3 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7A LT AAAsf New Rating AAA(EXP)sf A7B LT AAAsf New Rating AAA(EXP)sf A7X1 LT AAAsf New Rating AAA(EXP)sf A7X2 LT AAAsf New Rating AAA(EXP)sf A7X3 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A8A LT AAAsf New Rating AAA(EXP)sf A8B LT AAAsf New Rating AAA(EXP)sf A8X1 LT AAAsf New Rating AAA(EXP)sf A8X2 LT AAAsf New Rating AAA(EXP)sf A8X3 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A9A LT AAAsf New Rating AAA(EXP)sf A9B LT AAAsf New Rating AAA(EXP)sf A9X1 LT AAAsf New Rating AAA(EXP)sf A9X2 LT AAAsf New Rating AAA(EXP)sf A9X3 LT AAAsf New Rating AAA(EXP)sf AX1 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B1A LT AA-sf New Rating AA-(EXP)sf B1X LT AA-sf New Rating AA-(EXP)sf B2 LT A-sf New Rating A-(EXP)sf B2A LT A-sf New Rating A-(EXP)sf B2X LT A-sf New Rating A-(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT BB-sf New Rating BB-(EXP)sf B5 LT B-sf New Rating B-(EXP)sf B6 LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 382 loans with a scheduled balance of $482.55 million as of the cutoff date. The closing date is June 29, 2026. The pool consists of prime-quality, fixed-rate mortgages solely originated by JPMorgan Chase Bank, National Association (JPMCB). The loan-level representations and warranties are provided by the originator, JPMCB. All mortgage loans in the pool will be serviced by JPMCB. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 99.95% are safe-harbor qualified mortgage average prime offer rate loans and 0.05% are qualified mortgage rebuttable presumption average prime offer rate loans. The collateral comprises 100% fixed-rate loans. The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC, or they are floating rate or inverse floating rate based off the SOFR index and capped at the net WAC. KEY RATING DRIVERS Credit Risk of High-Quality Prime Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess credit risk and expected losses. The collateral consists of 382 loans with a total unpaid balance of $482.55 million and an average size of $1.2 million. The pool is seasoned for three months, based on Fitch's analysis. The pool comprises high-quality prime loans with a weighted average (WA) FICO score of 772, a WA combined loan-to-value ratio of 74.44% (83.22% sustained loan to value) and a WA debt-to-income ratio of 33.44%. The WA liquid reserves amount to $858,428.20. These strong collateral attributes are reflected in Fitch's loss analysis. Chase 2026-6 has a final probability of default (PD) of 9.36% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 36.53%. The expected loss in the 'AAAsf' rating stress is 3.42%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in Chase 2026-6 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The CE or senior subordination floor of 0.85% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 0.60% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the non-retained portion of the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B, and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent principal and interest until it is deemed nonrecoverable. As a result, the LS was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyses the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating loss projections derived from Fitch's asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to derive a potential operational risk adjustment. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 61.3% of the loans by loan count based on Fitch's review of the due diligence. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review firm that have a final grade of either A or B. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects Chase 2026-6 to be a fully de-linked and bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to Chase 2026-6 and, therefore, Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 9.57%, at base case. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. In total 61.3% of the loans in the pool had a third-party review conducted. The third-party due diligence described in Form 15E focused on credit, compliance, and property value reviews. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: Fitch gave a 5-bps z-score reduction to the origination PD for each loan that has a due diligence grade of A or B. In this transaction, 61.3% of the loans had a due diligence review and all the loans reviewed received a final grade of A or B. As a result, losses were lowered based on the due diligence results. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 61.3% of the pool by loan count. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC was engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more details. Fitch also used data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the Resi PLS data layout format, and the data is considered to be comprehensive. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CHASE HOME 2026-AGY1: Moody's Assigns B3 Rating to Cl. B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 94 classes of residential mortgage-backed securities (RMBS) issued by Chase Home Lending Mortgage Trust 2026-AGY1, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of conforming residential mortgages originated and serviced by JPMorgan Chase Bank, N.A. The loans were GSE-eligible (100% by balance). The complete rating actions are as follows: Issuer: Chase Home Lending Mortgage Trust 2026-AGY1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-3-A, Definitive Rating Assigned Aaa (sf) Cl. A-3-B, Definitive Rating Assigned Aaa (sf) Cl. A-3-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-3-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-3-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-4-A, Definitive Rating Assigned Aaa (sf) Cl. A-4-B, Definitive Rating Assigned Aaa (sf) Cl. A-4-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-4-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-4-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-5-A, Definitive Rating Assigned Aaa (sf) Cl. A-5-B, Definitive Rating Assigned Aaa (sf) Cl. A-5-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-5-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-5-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-6-A, Definitive Rating Assigned Aaa (sf) Cl. A-6-B, Definitive Rating Assigned Aaa (sf) Cl. A-6-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-6-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-6-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-7-A, Definitive Rating Assigned Aaa (sf) Cl. A-7-B, Definitive Rating Assigned Aaa (sf) Cl. A-7-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-7-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-7-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-8-A, Definitive Rating Assigned Aaa (sf) Cl. A-8-B, Definitive Rating Assigned Aaa (sf) Cl. A-8-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-8-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-8-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aa1 (sf) Cl. A-9-A, Definitive Rating Assigned Aa1 (sf) Cl. A-9-B, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X2*, Definitive Rating Assigned Aa1 (sf) Cl. A-9-X3*, Definitive Rating Assigned Aa1 (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-10-A, Definitive Rating Assigned Aaa (sf) Cl. A-10-B, Definitive Rating Assigned Aaa (sf) Cl. A-10-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-10-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-10-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-11-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-13-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-14-X*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-14-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-15-A, Definitive Rating Assigned Aaa (sf) Cl. A-15-B, Definitive Rating Assigned Aaa (sf) Cl. A-15-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-15-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-15-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-16-A, Definitive Rating Assigned Aaa (sf) Cl. A-16-B, Definitive Rating Assigned Aaa (sf) Cl. A-16-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-16-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-16-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-17-A, Definitive Rating Assigned Aaa (sf) Cl. A-17-B, Definitive Rating Assigned Aaa (sf) Cl. A-17-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-17-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-17-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-18-A, Definitive Rating Assigned Aaa (sf) Cl. A-18-B, Definitive Rating Assigned Aaa (sf) Cl. A-18-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-18-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-18-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2-A, Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.47%, in a baseline scenario-median is 0.22% and reaches 7.27% 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 May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CIFC FUNDING 2024-I: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2024-I, Ltd.'s refinancing note classes. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2024-I, Ltd. A-R LT NRsf New Rating B 12570XAC6 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 12570XAE2 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 12570XAG7 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating E 12570YAA8 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary CIFC Funding 2024-I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CIFC Asset Management LLC. The transaction originally closed in April 2024 and is expected to undergo its first refinancing on July 1, 2026. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $498.37 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 96.14% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.61% 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 6.25% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 2.8-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. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - Spreads have been reduced for all classes of refinanced notes. - The non-call period for the refinanced notes is extended to April 20, 2027. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. - The Fitch recovery rate definition, Fitch industry definition and matrices have been amended to conform with Fitch's new criteria. FITCH ANALYSIS The portfolio includes 587 assets from 508 primarily high yield obligors. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Floating Spread and Weighted Average Rating Factor tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B+/B'. Fitch has an explicit rating, credit opinion or private rating for 44.4% of the current portfolio par balance; ratings for 55.5% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.1% were unrated. As per Fitch's criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and on the indicative portfolio for the non-refinanced notes, if any. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 1.25% each, for an aggregate of 6.25%; - Largest three industries: 17.0%, 14.0%, and 14.0%, respectively; - Assumed risk horizon: 5.46 years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 60.20%; - Maximum weighted average rating factor of 23.00; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 5.75%; The transaction will exit its reinvestment period on 04-18-2029. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class B-R: 'AAsf' / Default 39.00% / Recovery 48.46% / Cushion 13.00% - Class C-R: 'Asf' / Default 34.50% / Recovery 58.26% / Cushion 17.20% - Class D-R: 'BBB-sf' / Default 26.40% / Recovery 68.18% / Cushion 19.70% - Class E-R: 'BB-sf' / Default 21.90% / Recovery 73.06% / Cushion 13.90% Fitch Stress Portfolio (FSP) Model Outputs: - Class B-R: 'AAsf' / Default 42.80% / Recovery 35.20% / Cushion 0.00% - Class C-R: 'Asf' / Default 37.90% / Recovery 45.20% / Cushion 2.10% - Class D-R: 'BBB-sf' / Default 29.20% / Recovery 55.20% / Cushion 6.60% - Class E-R: 'BB-sf' / Default 24.30% / Recovery 60.20% / Cushion 2.30% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'A+sf' for class B-R, between 'BBsf' and 'A-sf' for class C-R, and between less than 'B-sf' and 'BBB-sf' for class D-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA-sf' for class C-R, and 'A-sf' for class D-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 CIFC Funding 2024-I, 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. CITIGROUP MORTGAGE 2026-1: Fitch Rates Class B-3 Notes 'B-sf' ------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2026-1 (CMLTI 2026-1). Entity/Debt Rating Prior ----------- ------ ----- CMLTI 2026-1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT AAsf New Rating AA(EXP)sf A-4 LT Asf New Rating A(EXP)sf A-5 LT BBBsf New Rating BBB(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT B-sf New Rating B-(EXP)sf B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf B LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf PT-1 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 849 seasoned prime loans with a total balance of about $299.47 million. The borrowers have a weighted-average (WA) Fitch FICO of 766, and a current mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 55.9%. All the loans in the transaction were originated in 2023 or earlier, all loans are seasoned at least 24 months and an updated broker price opinion (BPO) or appraiser reconciled BPO (ARBPO) was provided. Of the pool, all of the loans have had a clean payment history over the past 12 months, and no loans are currently delinquent. Distributions of principal and interest (P&I) and loss allocations are based on a traditional, senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not advance delinquent monthly payments of P&I. There have been no changes to the collateral or structure since the publication of the presale. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. CMLTI 2026-1 has a final probability of default (PD) of 16.6% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 26.2%. The expected loss in the 'AAAsf' rating stress is 4.3%. Structural Analysis: The mortgage cash flow and loss allocation in CMLTI 2026-1 is based on a sequential-pay structure, whereby the subordinated classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments in the absence of servicer advancing. Interest and interest shortfalls are paid sequentially. Fitch 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 was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction by loan count. Fitch primarily receives a regulatory compliance review to ensure loans were originated in accordance with predatory lending regulations. Fitch's review of the operational risk for this transaction did not have an impact on the analysis. Counterparty and Legal Analysis: Fitch confirms all relevant transaction parties conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements have been satisfied to fully de-link the transaction from any other entities. CMLTI 2026-1 is fully de-linked and a bankruptcy-remote, special-purpose vehicle (SPV) at closing. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to CMLTI 2026-1, and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.6% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence review was completed on 100% of the loans in this transaction. The scope of the due diligence review was consistent with Fitch criteria for seasoned collateral. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments: increased the LS due to HUD-1 issues, missing modification agreements, as well as delinquent taxes and outstanding liens. ESG Considerations Fitch does not provide ESG relevance scores for CMLTI 2026-1. 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. COMM 2013-CCRE7: Moody's Cuts Rating on Cl. D Certs to B2 --------------------------------------------------------- Moody's Ratings has affirmed the rating on one class and downgraded the ratings on three classes in COMM 2013-CCRE7 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE7 as follows: Cl. D, Downgraded to B2 (sf); previously on Jun 26, 2023 Downgraded to B1 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Jun 26, 2023 Downgraded to Caa2 (sf) Cl. F, Downgraded to C (sf); previously on Jun 26, 2023 Downgraded to Caa3 (sf) Cl. G, Affirmed C (sf); previously on Jun 26, 2023 Downgraded to C (sf) RATINGS RATIONALE The ratings on three P&I classes, Cl. D, Cl. E and Cl. F, were downgraded due to higher expected losses resulting from the exposure to two remaining loans, both of which are in special servicing. The largest specially serviced loan, Lakeland Square Mall (68% of the pool) is already real estate owned (REO) and the second specially serviced loan, 20 Church Street (32% of the pool), has been deemed non-recoverable and is nearly two years delinquent on its debt service payments. Given the performance trends of the remaining loans, there is risk of higher potential losses if property performance does not substantially improve or declines further. The rating on one P&I class, Cl. G, was affirmed because its rating is consistent with v expected loss. Social risk for this transaction is high (IPS S-4). Moody's regards e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 56.4% of the current pooled balance, compared to 49.8% at Moody's last review. Moody's base expected loss plus realized losses is now 5.8% of the original pooled balance, compared to 5.6% at the last review. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in May 2026. 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 class(es) and the recovery as a pay down of principal to the most senior class(es). Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. DEAL PERFORMANCE As of the June 12, 2026 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $73.6 million from $936.2 million at securitization. The certificates are collateralized by two mortgage loans, both of which are in special servicing. As of the June 2026 remittance statement cumulative interest shortfalls were $3.9 million and impact up to Cl. G. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), non-recoverable determinations, loan modifications and extraordinary trust expenses. Two loans have been liquidated from the pool, contributing to an aggregate realized loss of $12.8 million (for an average loss severity of 27%). The largest specially serviced loan is the Lakeland Square Mall Loan ($50.1 million -- 68.1% of the pool), which is secured by a 551,031 square feet (SF) component of an 898,384 SF regional mall located in Lakeland, Florida, approximately 35 miles east of Tampa. At securitization, the property was anchored by Dillard's (non-collateral), J.C. Penney, Macy's (non-collateral), and Sears (non-collateral). Macy's and Sears closed their stores at this location in 2017 and 2018, respectively. One of the junior anchors, Sports Authority, vacated its space in late 2016, but was subsequently backfilled by a 42,000 SF Urban Air Adventure Park. Another junior anchor, Burlington Stores, relocated to a shopping center nearby in Fall 2022. As of April 2026, the collateral was 93.4% leased (total mall was 67.3% occupied including the vacant non-collateral anchor spaces) with an inline occupancy of 88.7% (75% excluding temporary tenants) compared to 87% in April 2023. Property performance was declining prior to 2020 and the mall's reported 2020 and 2021 NOI saw a decrease of 6% and 14%, respectively, from the 2019 NOI. While the 2022 NOI bounced back to 2019 levels, the loan was unable to payoff at its April 06, 2023 maturity date and transferred to special servicing in April 2023, and NOI has since declined again, with 2025 NOI being 22% below 2019. The loan recently became REO in April 2026 and the property's cash flow remains sufficient to cover its in-place debt service obligations and the 2025 NOI DSCR was 1.28X based on amortizing payments and a 4.2% interest rate. As of the June 2026 remittance statement, the loan has amortized 28% since securitization. The special servicer plans to work on leasing up the property and then take it to market once stabilized. The most recent appraisal value from October 2025 remains above the current outstanding loan balance. The second largest specially serviced loan is the 20 Church Street Loan ($23.5 million -- 31.9% of the pool), which is secured by a 418,807 SF office tower located in the CBD of Hartford, Connecticut. As of Q1 2026, the Hartford CBD office vacancy rate was 23% according to CBRE Econometric Advisors. The loan transferred to special servicing in March 2022 due to payment default. As of December 2025, the property was 56% leased compared to 77% in March 2023 and 87% in December 2020. A March 2023 appraisal valued the property 50% below the securitization value. As of the June 2026 remittance date, the loan has amortized 23.6% since securitization and was last paid through its July 2024 payment date. Special servicer commentary indicates a receiver is operating the property and a discounted purchase option (DPO) is being executed with the borrower. Moody's expects a significant loss from this loan. Moody's estimates an aggregate $41.5 million loss for the specially serviced loans (56% expected loss on average). CQS US 7: Fitch Assigns BB-sf Rating on Cl. E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CQS US CLO 7, Ltd. Entity/Debt Rating ----------- ------ CQS US CLO 7 A-1 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 X LT AAAsf New Rating Transaction Summary CQS US CLO 7, 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 22.43 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.49% 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 at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'Bsf' and 'A-sf' for class C, between less than 'B-sf' and 'BBBsf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'BB+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. 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 7, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CROWN POINT 9: Fitch Assigns 'BB-sf' Rating on Class E-RR Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Crown Point CLO 9 Ltd. Entity/Debt Rating Prior ----------- ------ ----- Crown Point CLO 9 Ltd. A-1-RR LT NRsf New Rating NR(EXP)sf A-2-RR LT AAAsf New Rating AAA(EXP)sf B-RR LT AAsf New Rating AA(EXP)sf C-RR LT Asf New Rating A(EXP)sf D-RR LT BBB-sf New Rating BBB-(EXP)sf E-RR LT BB-sf New Rating BB-(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated LT NRsf New Rating Transaction Summary Crown Point CLO 9 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Pretium Credit CLO Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $300 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 99.99% first lien senior secured loans and has a weighted average recovery assumption of 73.78%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting 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 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-RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'A-sf' for class C-RR, between less than 'B-sf' and 'BBB-sf' for class D-RR, and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AA+sf' for class C-RR, 'A+sf' for class D-RR, and 'BBB+sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 18 June 2026 ESG Considerations Fitch does not provide ESG relevance scores for Crown Point CLO 9 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CSAIL 2020-C19: Fitch Lowers Rating on Two Tranches to 'B-sf' ------------------------------------------------------------- Fitch Ratings has downgraded 10 classes and affirmed four classes of CSAIL 2020-C19 Commercial Mortgage Trust. Negative Outlooks were assigned for classes A-S, X-A, B, C, D, E, X-B and X-D following the downgrades. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2020-C19 A-1 12597NAQ6 LT AAAsf Affirmed AAAsf A-2 12597NAR4 LT AAAsf Affirmed AAAsf A-3 12597NAS2 LT AAAsf Affirmed AAAsf A-S 12597NAW3 LT AA-sf Downgrade AAAsf A-SB 12597NAT0 LT AAAsf Affirmed AAAsf B 12597NAX1 LT A-sf Downgrade Asf C 12597NAY9 LT BBB-sf Downgrade BBBsf D 12597NAC7 LT BB-sf Downgrade BBsf E 12597NAE3 LT B-sf Downgrade Bsf F-RR 12597NAG8 LT CCsf Downgrade CCCsf G-RR 12597NAJ2 LT Csf Downgrade CCsf X-A 12597NAU7 LT AA-sf Downgrade AAAsf X-B 12597NAV5 LT A-sf Downgrade Asf X-D 12597NAA1 LT B-sf Downgrade Bsf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have increased since Fitch's prior rating action to 9.5% from 8.8%. There are six Fitch Loans of Concern (FLOCs; 28.5%), including three loans (22.6% of the pool) in special servicing. The downgrades reflect higher pool loss expectations, driven primarily by the increase in loss expectations on the second-largest loan in the pool, the specially serviced Peach Office Towers (8%). The loan remains delinquent, and a workout resolution is still pending. The Negative Outlooks reflect the potential for downgrades if performance of the FLOCs — which include Peachtree Office Towers, Selig Office Portfolio (7.5%), Arciterra Portfolio (7.1%), and APX Morristown (3.2%) — deteriorates beyond current expectations. This could include worsened recovery and/or prolonged workout on the specially serviced loans/assets, and/or more loans than anticipated failing to refinance. Notably, the largest specially serviced loans, Peachtree Office Towers and Selig Office Portfolio, totaling 15.4% of the pool, could continue to experience value deterioration, and their ultimate resolutions remain uncertain. Largest Contributors to Loss: The largest contributor to overall loss expectations is the Selig Office Portfolio, which is securitized by an urban office portfolio consisting of three properties all located in downtown Seattle, WA. The loan transferred to special servicing in February 2025 due to payment default and the borrower indicated that they will not be able to cover future debt service shortfalls. The loan remains 90+ days delinquent. Occupancy has continued to decline and was most recently reported at 57% in December 2025, down from 61% at YE 2024, 70% at YE 2023, 65% at YE 2022, 79% at YE 2021, and 99% at YE 2019. Near-term tenant rollover includes 0.4% of the NRA in 2026 and 1.6% in 2027, and 13.4% in 2028. According to the servicer, a recently appointed receiver is now working toward renewing expiring leases; however, no new leases have been signed recently. The servicer-reported NOI debt service coverage ratio (DSCR) was 1.19x as of YE 2025 compared to 1.38x at YE 2024, 1.25x at YE 2023, 1.32x at YE 2022, 1.58x at YE 2021, and 1.76x at YE 2020. Fitch's 'Bsf' rating case loss of approximately 50% (prior to concentration adjustments) is based upon a discount to the most recent appraisal value, reflecting a stressed value of $184 psf. The second-largest contributor to overall loss expectations and largest increase in expected loss since the prior rating action is the Peachtree Office Towers, which is securitized by a 619,732 sf office building located in the CBD of Atlanta, GA. The loan transferred to special servicing in October 2025 due to payment default, and the loan remains 90+ days delinquent. The largest tenant, the State Board of Workers Compensation (11.5% of NRA), had a lease expiration at the end of September 2025 which it extended until September 2026. However, occupancy has continued to decline and was most recently reported at 67.1% in March 2026, down from 75% in September 2024, and 82% in December 2021. Occupancy will decline to approximately 55.6% if the largest tenant vacates at the September 2026 extended lease expiration. Tenant lease rollover is 18% in 2026 (including the largest tenant) and 3.7% in 2027. The NOI DSCR has been declining and is 1.52x as of TTM June 2025 compared to 2.09x at YE 2024, and 3.42x at YE 2023. Additionally, the loans' five-year interest-only period expired in January 2025. The special servicer and borrower continue discussions to explore a potential workout including a loan modification or forbearance, and cash flow continues to be swept. The current reserve balance is $4.2 million. Fitch's 'Bsf' rating case loss of 25% (prior to concentration adjustments) is based on a Fitch valuation that is in line with a 10% cap rate to the annualized June 2025 NOI and equates to stressed value of $75 psf. Fitch's analysis also incorporates an increased probability of default to account for the specially serviced status, continued delinquency and uncertainty of the ultimate workout resolution. The third-largest contributor to overall pool loss expectations is APX Morristown, secured by a 486,742 SF suburban office property located in Morristown, NJ. The loan transferred to special servicing in July 2023 due to imminent monetary default and transferred back to the master servicer in August 2025. The mezzanine lender was the winning bidder at the June 2024 UCC Foreclosure sale, and they finalized a loan modification in May 2025 before transferring back to the master servicer. Occupancy has continued to decline, reaching 62.8% in January 2026 compared to 58% in June 2025, 60.6% in June 2024, 64% at YE 2022, and 92% at YE 2021. The largest tenant, Louis Berger (22.3%), which was acquired by WSP Global, Inc. in late 2018, vacated in 2022 ahead of its lease expiration in 2026. Fitch's 'Bsf' rating case loss of 21% (prior to concentration adjustments) reflects a stressed cap rate of 10% to account for the office property quality and suburban location and no additional stress to the YE 2024 NOI. The stressed value is approximately $75 psf. Changes to Credit Enhancement: As of the June 2026 distribution date, the pool's aggregate principal balance has paid down by 3.2% to $802.3 million from $828.9 million at issuance. One loan is defeased (5.3%). Cumulative interest shortfalls totaling $2.45 million are affecting classes F-RR, G-RR, NR-RR, and VRR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not expected due to high CE and expected continued amortization, 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 'AA-sf' rated classes could occur with prolonged workouts and/or continued value declines of the specially serviced assets — specifically Peachtree Office Towers and Selig Office Portfolio — significantly increased pool expected losses and limited to no improvement on the class CE. Downgrades to classes rated 'A-sf' and 'BBB-sf' will occur if deal-level losses increase significantly from outsized losses on larger office FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity. These FLOCs include Peachtree Office Towers, Selig Office Portfolio, Arciterra Portfolio, APX Morristown, and DDC4 Portfolio. Downgrades to classes rated 'BB-sf' and 'B-sf' are possible with higher-than-expected losses from continued underperformance of the FLOCs and/or lack of resolution and increased exposures on the specially serviced loans. Downgrades to the distressed classes would occur if additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'A-sf' and 'BBB-sf' may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs, including Peachtree Office Towers, Selig Office Portfolio, Arciterra Portfolio, APX Morristown, and DDC4 Portfolio. Classes would not be upgraded above 'AA+sf' if there is likelihood of interest shortfalls. Upgrades to the classes rated 'BB-sf' and 'B-sf' 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 distressed ratings are not expected, but would be possible with better-than-expected recoveries on specially serviced loans or significantly higher values on the 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. CVLR TRUST 2026-R3LX: Moody's Assigns B2 Rating to Cl. F Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to seven classes of CMBS securities, issued by CVLR Trust 2026-R3LX, Commercial Mortgage Pass-Through Certificates, Series 2026-R3LX: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B2 (sf) Cl. HRR, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The certificates are collateralized by a first lien mortgage on the borrower's fee simple interests in a portfolio of three full-service, upper-upscale oceanfront hotel resorts consisting of 547 keys and an associated offsite laundry facility located in Virginia Beach, VA. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The Portfolio is comprised of three hotels totaling 547 guestrooms located in Virginia Beach, VA. The properties operate under two globally recognized brand families: Marriott International (two properties, 79.6% of in-place NCF, 78.4% of ALA) and Hilton Worldwide (one property, 20.4% of in-place NCF, 21.6% of ALA). All three franchise agreements expire in 2046. The Portfolio also includes a central laundry facility located approximately five miles from the hotels, built in 2005, which processes over 2,000 pounds of laundry per hour and services the Portfolio and eight other hotels in the market. The Marriott Virginia Beach Oceanfront Resort (58.8% of in-place NCF; 60.2% of ALA) The Marriott is a 305-guestroom, upper-upscale, full-service resort located on the north end of the Virginia Beach boardwalk. It was completed in 2020. All guestrooms have ocean views and most include private balconies. The property offers approximately 36,600 SF of meeting and event space across 11 venues, including an 11K SF oceanfront ballroom with capacity for up to 1,080 attendees. On-site F&B options include Orion's Roof, Tulu Seaside Bar & Grill, The Deck Seagrill & Bar, and Moody's Scream Ice Cream & Starbucks. Amenities include direct beach access, indoor and outdoor pools, a fitness center, and a 556-space attached parking garage. The Embassy Suites Virginia Beach Oceanfront Resort (20.4% of in-place NCF; 21.6% of ALA) The Embassy Suites Virginia Beach Oceanfront Resort (20.4% of in-place NCF; 21.6% of ALA): The Embassy Suites is a 157-guestroom, all-suite, full-service oceanfront hotel. It was recently completed in 2023. All guestrooms are ocean-view suites and many include private balconies. The property offers approximately 9,100 SF of ocean-view indoor/outdoor meeting space, including a 2,600-SF ballroom. On-site F&B options include Arbuckle's Bar & Grill and the seasonal Tacos-N-Tequila. Amenities include direct beach access, indoor and outdoor pools, a fitness center, and complimentary made-to-order breakfast. The Historic Cavalier and Beach Club, Autograph Collection (20.8% of in-place NCF; 18.3% of ALA) The Cavalier is an 85-guestroom luxury hotel located behind the Marriott and Embassy Suites offerings. The property offers approximately 25,300 SF of indoor and outdoor meeting and event space across eight venues, including the 2,500-SF Crystal Ballroom. Guestrooms preserve historic features with modern finishes, including 23 suites with expanded layouts. Guests also have access to the Beach Club, a private members-only beachfront amenity with approximately 7,700 SF of indoor conditioned space, an oceanfront bar, outdoor pool and hot tub, cabanas, and beach service. On-site F&B options include Becca, the Hunt Room, and the Raleigh Room. Additional amenities include the SeaHill Spa, a whiskey distillery, and an indoor pool and fitness center. Of note, the hotel underwent an extensive renovation costing $85.0M ($1.0M per key) from 2014 to 2018. Upgrades were made to guestrooms, F&B outlets, meeting and event space, and spa and wellness facilities. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.43X and Moody's first mortgage actual stressed DSCR is 0.95X. Moody's DSCR is based on Moody's stabilized net cash flow. The whole loan first mortgage balance of $250,000,000 represents a Moody's LTV ratio of 116.8% based on Moody's value. Moody's did not adjust Moody's Value to reflect the current interest rate environment as part of Moody's analysis for this transaction. 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 collateral's overall quality grade is 1.75. Notable strengths of the transaction include: high-quality assets with market outperformance, beachfront real estate in a high barrier-to-entry market, brand affiliation, multiple-property pooling, experienced sponsorship, acquisition financing, and multiple property pooling. Notable concerns of the transaction include: high F&B share, TDFP bond obligations, management transition risk, seasonality, floating-rate interest-only loan profile, volatile asset class, and certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in May 2026. 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. With respect to classes with ratings above the applicable sovereign rating, significant exposure to defeasance may also lead to a downgrade. EFMT 2026-CES2: S&P Assigns B- (sf) Rating on Class B-2 Certs ------------------------------------------------------------- S&P Global Ratings assigned its ratings to EFMT 2026-CES2's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by closed-end, second lien, fixed-rate, and fully amortizing mortgage loans (and one loan with an interest-only term) secured primarily by single-family residential properties, as well as townhouses, planned-unit developments, condominiums, condotels, and two- to four-unit multifamily residential properties to both prime and nonprime borrowers. The pool consists of 3,911 loans and comprises qualified mortgage (QM)/non-higher-priced mortgage loan (safe harbor), QM rebuttable presumption, non-QM/ability-to-repay (ATR)-compliant and ATR-exempt mortgage loans. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Ellington Financial Inc.; -- Sample due diligence results consistent with represented loan characteristics; and -- S&P said, "Our macroeconomic and sector outlook, which 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(i) EFMT 2026-CES2 Class A-1, $305,882,000: AAA (sf) Class A-1A, $294,826,000: AAA (sf) Class A-1B, $11,056,000: AAA (sf) Class A-2, $16,031,000: AA- (sf) Class A-3, $13,820,000: A- (sf) Class M-1, $12,714,000: BBB- (sf) Class B-1, $8,292,000: BB- (sf) Class B-2, $6,265,000: B- (sf) Class B-3, $5,528,894: NR Class XS, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. N/A--Not applicable. NR--Not rated. EXTENET ISSUER 2025-1: Fitch Puts 'BB-' on C Notes on Watch Neg. ---------------------------------------------------------------- Fitch Ratings has placed the ratings of ExteNet Issuer, LLC, Secured Distributed Network Revenue Notes, Series 2024-1 & 2025-1 on Rating Watch Negative (RWN). Entity/Debt Rating Prior ----------- ------ ----- ExteNet Issuer, LLC, Secured Distributed Network Revenue Notes, Series 2025-1 A-2 30227XAN1 LT A-sf Rating Watch On A-sf B 30227XAQ4 LT BBB-sf Rating Watch On BBB-sf C 30227XAS0 LT BB-sf Rating Watch On BB-sf ExteNet Issuer, LLC, Secured Distributed Network Revenue Notes, Series 2024-1 A-2 30227XAG6 LT A-sf Rating Watch On A-sf B 30227XAJ0 LT BBB-sf Rating Watch On BBB-sf C 30227XAL5 LT BB-sf Rating Watch On BB-sf KEY RATING DRIVERS ExteNet Systems, LLC (the manager) has been facing liquidity issues, resulting in potential liquidity stresses for the securitization. The transaction also benefits from servicer advances provided by the servicer (Midland Loan Services; A+/F1/Stable). Fitch will continue to monitor the transaction and resolve the RWN as additional details become available about the liquidity and cash management of the manager, and the transaction overall. 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 ExteNet Issuer, LLC, Secured Distributed Network Revenue Notes, Series 2024-1 has an ESG Relevance Score of '4' for Transaction & Collateral Structure due to several factors including the issuer's ability to issue additional notes, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. ExteNet Issuer, LLC, Secured Distributed Network Revenue Notes, Series 2025-1 has an ESG Relevance Score of '4' for Transaction & Collateral Structure due to several factors including the issuer's ability to issue additional notes, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. 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. GALAXY 37: S&P Assigns Prelim BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Galaxy 37 CLO Ltd./Galaxy 37 CLO 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 PineBridge Investments LLC. The preliminary ratings are based on information as of June 30, 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 Galaxy 37 CLO Ltd./Galaxy 37 CLO LLC Class X, $1.00 million: AAA (sf) Class A, $252.00 million: AAA (sf) Class B, $52.00 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, $33.85 million: NR NR--Not rated. GOLDENTREE LOAN 21: Fitch Assigns 'B-sf' Rating on Class F-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 21, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- GoldenTree Loan Management US CLO 21, Ltd. X-R LT NRsf New Rating A 38139AAC5 LT PIFsf Paid In Full AAAsf A-R LT NRsf New Rating A-J 38139AAE1 LT PIFsf Paid In Full AAAsf A-J-R LT AAAsf New Rating B-1 38139AAG6 LT PIFsf Paid In Full AAsf B-2 38139AAJ0 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 38139AAL5 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 38139AAN1 LT PIFsf Paid In Full BBB-sf D-R LT BBB-sf New Rating D-J 38139AAQ4 LT PIFsf Paid In Full BBB-sf D-J-R LT BBB-sf New Rating E 38139DAA3 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating F 38139DAC9 LT PIFsf Paid In Full B-sf F-R LT B-sf New Rating Transaction Summary GoldenTree Loan Management US CLO 21, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM III, LP that originally closed in December 2020. On June 26, 2026 (the refinancing date), the CLO's secured notes will be refinanced in whole from refinancing proceeds. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $700 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 22.65, 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 72.72% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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-J-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBBsf' for class D-R, between less than 'B-sf' and 'BBB-sf' for class D-J-R, and between less than 'B-sf' and 'BBsf' for class E-R and between less than 'B-sf' and 'B+sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-J-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-R, 'A+sf' for class D-J-R, and 'BBB+sf' for class E-R and 'BBB+sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for GoldenTree Loan Management US CLO 21, 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. GOLDENTREE LOAN 30: Fitch Assigns 'B-sf' Rating on Class F Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 30, Ltd: Entity/Debt Rating Prior ----------- ------ ----- GoldenTree Loan Management US CLO 30, Ltd. X 38140GAA3 LT NRsf New Rating NR(EXP)sf A 38140GAC9 LT NRsf New Rating NR(EXP)sf A-J 38140GAE5 LT AAAsf New Rating AAA(EXP)sf B 38140GAG0 LT AAsf New Rating AA(EXP)sf C 38140GAJ4 LT Asf New Rating A(EXP)sf D 38140GAL9 LT BBB-sf New Rating BBB-(EXP)sf D-J 38140GAN5 LT BBB-sf New Rating BBB-(EXP)sf E 38140JAA7 LT BB-sf New Rating BB-(EXP)sf F 38140JAC3 LT B-sf New Rating B-(EXP)sf Subordinated 38140JAE9 LT NRsf New Rating NR(EXP)sf Transaction Summary GoldenTree Asset Management LP (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM III, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $725 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 23.02 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 72.68% 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 weighted average life (WAL) used for the transaction stress portfolio is reduced by 12 months for the WAL covenants that are greater than six years, to account for the structural and reinvestment conditions after the reinvestment 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-J, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D, between less than 'B-sf' and 'BBB-sf' for class D-J, between less than 'B-sf' and 'BBsf' for class E and between less than 'B-sf' and 'B+sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-J notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D, 'A+sf' for class D-J, 'BBB+sf' for class E and 'BBB+sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 17 June 2026 ESG Considerations Fitch does not provide ESG relevance scores for GoldenTree Loan Management US CLO 30, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. GOLUB CAPITAL 52(B): Fitch Assigns 'BB-sf' Rating on Cl. E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Golub Capital Partners CLO 52(B)-R2, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 52(B)-R2, Ltd. A-LR2 LT NRsf New Rating A-R2 LT NRsf New Rating B-R 381945AC8 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-R 381945AE4 LT PIFsf Paid In Full Asf C-R2 LT Asf New Rating D-1R2 LT BBBsf New Rating D-2R2 LT BBB-sf New Rating D-R 381945AG9 LT PIFsf Paid In Full BBB-sf E-R 381946AA0 LT PIFsf Paid In Full BB-sf E-R2 LT BB-sf New Rating Fitch is comfortable with a 'AAsf' rating for the Class B-R2 notes despite a marginal 0.10% model failure due to the following: - There is substantial cushion provided to the Class B-R2 notes in the indicative portfolio analysis. - The failure level is considered marginal given the significant number and range of analytical assumptions used. - When analyzing the notes in a 'AA-sf', one notch below the recommended rating, the Class B-R2 notes pass the Fitch stressed portfolio in all nine cash flow modelling scenarios with a minimum cushion of 1.80%. - Class B-R2 notes pass in all nine modelling scenarios when analyzing the 100% floating-rate Fitch stressed portfolio, which is representative of the expected initial portfolio. - Performance of the Class B-R2 notes in the rating sensitivities is consistent with other Fitch rated 'AA' CLO notes. Transaction Summary Golub Capital Partners CLO 52(B), Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by OPAL BSL LLC that originally closed in December 2020 and completed its first refinancing in April 2024. On June 25, 2026 (the refinancing date), the CLO's secured notes will be refinanced in whole from refinancing proceeds, and the issuer will change its name to Golub Capital Partners CLO 52(B)-R2, Ltd. 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 25.2, 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 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.47% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-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 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'A-sf' for class C-R2, between less than 'B-sf' and 'BBB+sf' for class D-1R2, and between less than 'B-sf' and 'BBB-sf' for class D-2R2 and between less than 'B-sf' and 'BB-sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-1R2, and 'A+sf' for class D-2R2 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 Golub Capital Partners CLO 52(B)-R2, 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. GOLUB CAPITAL 74(B): Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the Golub Capital Partners CLO 74(B), Ltd. (the issuer) refinancing classes A-R, B-R, C-R, D-2R, and E-R notes, each with a Stable Rating Outlook. Fitch has also affirmed the ratings of classes D-1 with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Golub Capital Partners CLO 74(B), Ltd. A 38190BAA3 LT PIFsf Paid In Full AAAsf A-R LT AAAsf New Rating B 38190BAC9 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 38190BAE5 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 38190BAG0 LT BBB-sf Affirmed BBB-sf D-2 38190BAJ4 LT PIFsf Paid In Full BBB-sf D-2R LT BBB-sf New Rating E 38190CAA1 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Golub Capital Partners CLO 74(B), Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by OPAL BSL 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'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.33 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 99.59% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.47% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 57% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - Spreads have been reduced for all classes of refinanced notes. - The non-call period for the refinanced notes is extended to Jan. 25, 2028. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. - The Fitch recovery rate definition, Fitch industry definition and matrices have been amended to conform with Fitch's new criteria. FITCH ANALYSIS The portfolio includes 261 assets from 231 primarily high yield obligors. In Fitch's view, 0.9% of the portfolio consists of assets that are rated 'CC' or below. The portfolio balance (excluding defaults and including principal cash) is approximately $600 million. As of the latest trustee report prior to the refinance date, the transaction was passing all collateral quality tests, coverage tests, and concentration limitations. The weighted average rating of the current portfolio is 'B'/'B-'. Fitch has an explicit rating, credit opinion or private rating for 37.5% of the current portfolio par balance; ratings for 62.3% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.2% were unrated. As per Fitch's criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and on the indicative portfolio for the non-refinanced notes, if any. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 25.0%, 19.0%, and 13.0%, respectively; - Assumed risk horizon: 6.15 years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 74.30%; - Maximum weighted average rating factor of 27.00; - Fixed-rate assets: 5.00%; - Minimum weighted average coupon of 7.00%. The transaction will exit its reinvestment period on July 25, 2029. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. Each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-R: 'AAAsf' / Default 47.60% / Recovery 39.92% / Cushion 11.10% - Class B-R: 'AAsf' / Default 44.60% / Recovery 49.55% / Cushion 8.40% - Class C-R: 'Asf' / Default 39.30% / Recovery 59.54% / Cushion 14.00% - Class D-1: 'BBB-sf' / Default 30.00% / Recovery 69.67% / Cushion 18.60% - Class D-2R: 'BBB-sf' / Default 30.00% / Recovery 69.67% / Cushion 16.10% - Class E-R: 'BB-sf' / Default 24.90% / Recovery 74.70% / Cushion 14.40% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-R: 'AAAsf' / Default 57.10% / Recovery 39.65% / Cushion 0.30% - Class B-R: 'AAsf' / Default 53.50% / Recovery 49.30% / Cushion 0.00% - Class C-R: 'Asf' / Default 47.70% / Recovery 59.30% / Cushion 6.50% - Class D-1: 'BBB-sf' / Default 37.50% / Recovery 69.30% / Cushion 13.80% - Class D-2R: 'BBB-sf' / Default 37.50% / Recovery 69.30% / Cushion 10.90% - Class E-R: 'BB-sf' / Default 31.50% / Recovery 74.30% / Cushion 10.00% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'Asf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-1, between less than 'B-sf' and 'BBB+sf' for class D-2R and between less than 'B-sf' and 'BB+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1, 'A+sf' for class D-2R 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 Golub Capital Partners CLO 74(B), Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. GS MORTGAGE 2016-GS3: S&P Lowers Cl. X-WM Certs Rating to 'B-(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class WM-A, WM-B, and X-WM loan-specific (nonpooled) commercial mortgage pass-through certificates (collectively, the WM certificates) from GS Mortgage Securities Trust 2016-GS3, a U.S. CMBS transaction. The WM certificates are backed by a senior subordinate nonpooled trust component (with a balance of $54.2 million, according to the June 12, 2026, trustee remittance report) of a $325.0 million, 3.98% per annum weighted average fixed-rate interest-only (IO) mortgage whole loan. The whole loan is secured by the borrower's fee-simple interest in a 31-story, 1.1 million-sq.-ft., 2003-built, office building located at 540 West Madison St. in Chicago's West Loop submarket. Rating Actions The downgrades on the class WM-A and WM-B nonpooled certificates primarily reflect that: -- After adjusting for known tenant movements, occupancy has declined since S&P's last review, in September 2025, falling to 75.5% as of the Dec. 31, 2025, rent roll, from its assumed 81.6%. In addition, the property faces concentrated tenant rollover in 2029 and 2032. -- The property has had minimal new leasing activity, partly because four- and five-star properties in the office submarket continue to experience elevated vacancy and availability rates (over 20%), with negative net absorption in each year since 2021. S&P believes the property's performance is not likely to improve to historical levels in the near term without significant capital investments. -- S&P's revised net recovery value, which included increasing its capitalization rate assumption to reflect potential additional volatility in net cash flows (NCFs) and occupancy at the property, is 30.9% lower than the valuation S&P derived in its September 2025 review. -- The loan transferred to special servicing on Aug. 6, 2025, due to a nonmonetary default. The loan has a current payment status and matures on Sept. 6, 2026. The current special servicer, Green Loan Services LLC, is currently awaiting information from the borrower on its refinancing plans. -- The downgrade on the class X-WM IO certificates reflects our criteria for rating IO securities, under which the rating on the IO securities cannot be higher than that of the lowest-rated reference class. The notional amount of the class X-WM certificates references classes WM-A and WM-B. -- S&P said, "We will continue to monitor the performance of the collateral property and loan, as well as the borrower's efforts to pay it off timely. If we receive information that differs materially from our expectations, we may revisit our analysis and take additional rating actions as we deem necessary." Property-Level Analysis Update As of the Dec. 31, 2025, rent roll, the property was 75.5% leased (after adjusting for known tenant movements), down from S&P's assumed 81.6% in its last review. Further, the property faces elevated tenant rollover in 2029 (21.8% of net rentable area; 30.0% of S&P Global Ratings' in-place gross rent) and 2032 (31.6%; 42.6%). According to CoStar, vacancy and availability rates remain high for four- and five-star properties in Chicago's West Loop office submarket, where the subject property is situated. As of year-to-date June 2026, the average vacancy rate in the submarket was 20.0%, the availability rate was 25.0%, and the rental rate was $42.67 per sq. ft. According to the December 2025 rent roll, the property had a vacancy rate of 24.5% and a gross rent of $70.34 per sq. ft., as calculated by S&P Global Ratings. S&P said, "In our current analysis, given the reported declines in occupancy and NCF, as well as a still-weak office submarket, we revised our NCF, capitalization rate, and valuation assumptions. This yielded an S&P Global Ratings' value of $185 per sq. ft., which is 65.5% below the issuance appraised value. The resulting S&P Global Ratings' loan-to-value ratio is 106.3% on the $216.5 million trust whole loan (comprising the senior A and subordinate B notes) and 159.5% on the $325.0 million whole loan (inclusive of the $108.5 million nontrust junior subordinate C notes). Based on our analysis, the S&P Global Ratings asset quality score is 3.5, and the S&P Global Ratings income stability score is 3.0." Table 1 Servicer-reported performance 2025(i) 2024(i) 2023(i) Occupancy rate (%) 81.4 79.4 92.4 Net cash flow (mil. $) 18.4 25.0 4.7 Debt service coverage (x) 2.52 3.43 0.65 Appraisal value (mil. $)(ii) 591.0 591.0 591.0 (i)Reporting period. (ii)Received at issuance as of August 2016. Table 2 S&P Global Ratings' key assumptions Current review Last review At issuance (June 2026)(i) (Sep 2025)(i) (Oct 2016)(i) Occupancy rate (%) 75.5 81.6 87.4 Net cash flow (mil. $) 16.3 20.6 22.4 Capitalization rate (%) 8.00 7.00 7.00 Value (mil. $) 203.8 294.7 324.6 Value per sq. ft. ($) 185 268 295 Loan-to-value ratio (%)(ii) 106.3 73.5 66.7 (i)Review period. (ii)Comprising the $162.3 million senior A notes and $54.2 million subordinate B notes totaling $216.5 million. Including the nontrust junior subordinate C notes, the whole loan balance totals $325.0 million. S&P's loan-to-value ratio increases to 159.5%, 110.3%,and 100.1%, respectively. Ratings Lowered GS Mortgage Securities Trust 2016-GS3 Class WM-A to 'B+ (sf)' from 'BBB- (sf)' Class WM-B to 'B- (sf)' from 'BB (sf)' Class X-WM to 'B- (sf)' from 'BB (sf)' GS MORTGAGE 2026-PJ8: Fitch Assigns 'B-sf' Rating on Class B5 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by GS Mortgage-Backed Securities Trust 2026-PJ8 (GSMBS 2026-PJ8). Entity/Debt Rating Prior ----------- ------ ----- GSMBS 2026-PJ8 A-1L Loans LT WDsf Withdrawn AAA(EXP)sf A-2L Loans LT WDsf Withdrawn AAA(EXP)sf A-3L Loans LT WDsf Withdrawn AAA(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AAAsf New Rating AAA(EXP)sf A24 LT AAAsf New Rating AAA(EXP)sf A27 LT AAAsf New Rating AAA(EXP)sf A29 LT AAAsf New Rating AAA(EXP)sf A30 LT AAAsf New Rating AAA(EXP)sf A31 LT AAAsf New Rating AAA(EXP)sf AX1 LT AAAsf New Rating AAA(EXP)sf AX2 LT AAAsf New Rating AAA(EXP)sf AX3 LT AAAsf New Rating AAA(EXP)sf AX4 LT AAAsf New Rating AAA(EXP)sf AX5 LT AAAsf New Rating AAA(EXP)sf AX6 LT AAAsf New Rating AAA(EXP)sf AX7 LT AAAsf New Rating AAA(EXP)sf AX8 LT AAAsf New Rating AAA(EXP)sf AX9 LT AAAsf New Rating AAA(EXP)sf AX10 LT AAAsf New Rating AAA(EXP)sf AX11 LT AAAsf New Rating AAA(EXP)sf AX12 LT AAAsf New Rating AAA(EXP)sf AX13 LT AAAsf New Rating AAA(EXP)sf AX14 LT AAAsf New Rating AAA(EXP)sf AX15 LT AAAsf New Rating AAA(EXP)sf AX16 LT AAAsf New Rating AAA(EXP)sf AX17 LT AAAsf New Rating AAA(EXP)sf AX18 LT AAAsf New Rating AAA(EXP)sf AX19 LT AAAsf New Rating AAA(EXP)sf AX20 LT AAAsf New Rating AAA(EXP)sf AX21 LT AAAsf New Rating AAA(EXP)sf AX22 LT AAAsf New Rating AAA(EXP)sf AX23 LT AAAsf New Rating AAA(EXP)sf AX24 LT AAAsf New Rating AAA(EXP)sf AX25 LT AAAsf New Rating AAA(EXP)sf AX27 LT AAAsf New Rating AAA(EXP)sf AX28 LT AAAsf New Rating AAA(EXP)sf AX29 LT AAAsf New Rating AAA(EXP)sf AX30 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B1A LT AA-sf New Rating AA-(EXP)sf BX1 LT AA-sf New Rating AA-(EXP)sf B2 LT A-sf New Rating A-(EXP)sf B2A LT A-sf New Rating A-(EXP)sf BX2 LT A-sf New Rating A-(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT BB-sf New Rating BB-(EXP)sf B5 LT B-sf New Rating B-(EXP)sf B6 LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 319 prime, fixed-rate loans with a total balance of approximately $367.8 million as of the cutoff date. Fitch has withdrawn the previously assigned 'AAAsf' expected ratings on the class A-1L, A-2L, and A-3L loans because these classes are not being issued at closing. 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-PJ8 has a Final PD of 11.6% in the 'AAA' rating stress. Fitch's Final Loss Severity in the 'AAAsf' rating stress is 35.4%. The expected loss in the 'AAAsf' rating stress is 4.1%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in GSMBS 2026-PJ8 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. 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 an approximate 5% PD reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2026-PJ8 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-PJ8 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 37.5% 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 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 Clayton Services, Consolidated Analytics, Inc, Opus Capital Market Consultants, and Situs AMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applied an approximately 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE-BACKED 2026-DSC2: S&P Assigns 'B' Rating on B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to GS Mortgage-Backed Securities Trust 2026-DSC2's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. These loans are secured by single-family residential properties, planned-unit developments, condominiums, two- to four-family residential properties, and a cooperative. The pool consists of 1,373 business-purpose investment property loans (backed by 1,384 properties), that are all ability-to-repay-exempt. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially." Ratings Assigned GS Mortgage-Backed Securities Trust 2026-DSC2 Class A-1, $200,796,000: AAA (sf) Class A-2, $19,357,000: AA (sf) Class A-3, $31,492,000: A (sf) Class M-1, $14,012,000: BBB (sf) Class B-1, $10,113,000: BB (sf) Class B-2, $7,078,000: B (sf) Class B-3, $6,067,700: Not rated Class X, $288,915,700(i): Not rated Class SA, $ 32,733(ii): Not rated Class PT, $ 288,915,700(iii): Not rated Class R, not applicable: Not rated (i)The notional amount will equal the non-retained interest percentage of the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. (ii)The balance is equal to the non-retained interest percentage of the amount of pre-existing servicing advances as of the closing date. The class is entitled to the class SA monthly remittance amount, if any. (iii)The balance of the class PT certificates on any distribution date will equal the aggregate class principal balance of the class A-1, A-2, A-3, M-1, B-1, B-2, and B-3 certificates. GS MORTGAGE-BACKED 2026-HLTV1: S&P Assigns 'B' Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to GS Mortgage-Backed Securities Trust 2026-HLTV1's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed and adjustable-rate, high LTV, amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and cooperatives. The pool has 417 loans comprising qualified mortgage (QM) safe harbor, non-QM/ability-to-repay (ATR)-compliant, and not covered/ATR-exempt loans. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; and -- S&P said, "Our economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) GS Mortgage-Backed Securities Trust 2026-HLTV1 Class A-1A, $197,193,000: AAA (sf) Class A-1B, $28,332,000: AAA (sf) Class A-1, $225,525,000: AAA (sf) Class A-2, $11,758,000: AA (sf) Class A-3, $13,883,000: A (sf) Class M-1, $10,625,000: BBB (sf) Class B-1, $9,491,000: BB (sf) Class B-2, $7,225,000: B (sf) Class B-3, $4,817,058: NR Class X, notional(ii): NR Class SA(iii): NR Class PT, $283,324,058: NR Class R(iv), N/A: NR (i)The ratings address the ultimate payment of interest and principal; they do not address payment of the cap carryover amounts. (ii)The notional amount for the class XS certificates equals the non-retained interest percentage (95%) of the loans' aggregate unpaid principal balance and is initially $283,324,058. (iii)The class SA initial balance will equal the non-retained interest percentage of the pre-existing servicing advances as of the closing date, initially $15,203. (iv)The class R certificates will not have a principal amount and are the class of certificates representing residual interest in the issuing entity. The class R certificates are not expected to receive distributions. NR--Not rated. N/A--Not applicable. HOXTON CONSUMER 2026-1: S&P Assigns (P) BB+ (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its credit ratings to Hoxton Consumer Loan Funding 2026-1 DAC's class A, B-Dfrd, C-Dfrd, D-Dfrd, and E-Dfrd notes. At closing, the issuer will also issue unrated class F-Dfrd and X-Dfrd notes. Hoxton Consumer Loan Funding 2026-1 is the first public securitization of a portfolio of unsecured consumer loans originated and serviced by Lendable Ltd. in the U.K. rated by S&P Global Ratings. Previously, S&P rated Lendable Ltd.'s unsecured consumer loans as part of prior warehouse securitization transactions. The issuer will use the proceeds of the notes to purchase a portfolio of unsecured consumer loans, to fund the reserve account, and to pay certain issuer expenses and fees. The transaction will amortize from the first interest payment date (IPD). Collections will be distributed monthly according to a split waterfall, separate for interest and principal collections. Initially, principal payments will be applied sequentially until the class A notes' support ratio reaches 27%. At that point, the transaction will switch to pro rata amortization until a sequential amortization event occurs. The transaction benefits from an amortizing reserve fund, which will be sized at closing at 1.25% of the aggregate principal amount outstanding of the class A to E-Dfrd notes. This reserve will amortize in line with the outstanding balance on these notes, subject to a floor 0.25% of the outstanding balance of the class A to E-Dfrd notes at closing. This reserve is split into senior and junior reserve fund components, on an 80%/20% basis. The senior reserve will be available to cover interest shortfalls on the class A and B-Dfrd notes as well as senior items in the interest waterfall. The junior reserve will be available to cover interest shortfalls on the rated notes and senior items. The excess of the reserve fund above its required amounts following reserve amortization to its required level will be released in the interest priority of payment and may be used to cure the principal deficiency ledgers (PDL). Both reserves provide credit support for the respective notes on the date on which such notes can be amortized. A combination of note subordination, excess spread, and the reserve fund will provide credit enhancement for the rated notes. Considering the collections' sweeping frequency, payments are expected to be remitted to the transaction account within two business days of receipt, we consider commingling risk to be immaterial in this transaction. Notwithstanding this assessment, the transaction structure incorporates a declaration of trust over Lendable's collection account as an additional layer of protection. Lendable is not a deposit-taking institution. Moreover, Lendable's employees are excluded from the securitized pool through specific eligibility criteria, and there is no insurance attached to the loans. Therefore, we concluded that the transaction is not exposed to setoff risk. The rated notes pay a daily compounded Sterling Overnight Index Average (SONIA) rate plus a margin subject to a floor of zero, while the assets pay a monthly fixed interest rate. To mitigate fixed-float interest rate risk, the notes benefit from an interest rate swap. The swap notional amount is based on a predetermined notional schedule based on a 20% prepayment rate. Interest due on all classes of notes other than the most senior tranche outstanding is deferrable under the transaction documents. Nonpayment of interest on the junior notes does not constitute an event of default. Once a class becomes the most senior, current interest is due on a timely basis, while any outstanding deferred interest is due immediately once this note becomes the most senior or at the maturity date. The preliminary ratings are not constrained by counterparty, operational, or sovereign risks. S&P expects to assign final credit ratings on the closing date, subject to a satisfactory review of the transaction documents, legal opinions, and positive assessment of the issuer's bankruptcy remoteness. Preliminary ratings Class Prelim. rating* Prelim. class size (%) A AAA (sf) 78.50 B-Dfrd AA (sf) 5.50 C-Dfrd A (sf) 4.00 D-Dfrd BBB (sf) 3.75 E-Dfrd BB+ (sf) 3.25 F-Dfrd NR 5.00 X-Dfrd§ NR 1.95 *S&P said, "Our preliminary rating on the class A notes addresses timely payment of interest and ultimate payment of principal. Our preliminary ratings on the class B-Dfrd, C-Dfrd, D-Dfrd, and E-Dfrd notes address the ultimate payment of both interest and principal, and consider the timely payment of interest, including any previously deferred amounts, once the class is the most senior." §The class X-Dfrd notes are not asset-backed. Their proceeds will be used to fund the reserve account and to pay certain issuer expenses and fees. NR--Not rated. N/A--Not applicable. HPS LOAN 2026-28: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to HPS Loan Management 2026-28, Ltd. Entity/Debt Rating ----------- ------ HPS Loan Management 2026-28, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary HPS Loan Management 2026-28, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by HPS Investment Partners, 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 21.63 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 99.58% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.55% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-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 'A-sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, and between less than 'B-sf' and 'BBB-sf' for class D-2 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, and 'Asf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. 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 HPS Loan Management 2026-28, 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. INCREF 2026-FL3: Fitch Assigns 'B-sf' Final Rating on Class G Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to INCREF 2026-FL3 LLC as follows: - $720,000,000a class A 'AAAsf'; Outlook Stable; - $115,500,000a class A-S 'AAAsf'; Outlook Stable; - $90,000,000a class B 'AA-sf'; Outlook Stable; - $69,000,000a class C 'A-sf'; Outlook Stable; - $40,500,000a class D 'BBBsf'; Outlook Stable; - $21,000,000a class E 'BBB-sf'; Outlook Stable; - $39,000,000b class F 'BB-sf'; Outlook Stable; - $25,500,000b class G 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $79,500,000b,c Income Notes. (a) Privately placed and pursuant to Rule 144A or Regulation S. (b) Retained notes. (c) Horizontal risk retention interest, estimated to be 6.6% of the principal amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,051,050,629 and does not include future funding. The pool also includes ramp-up collateral interests of $148.9 million. The ratings are based on information provided by the issuer as of June 30, 2026. Transaction Summary The notes are collateralized by 23 collateral interests secured by 62 commercial properties with an aggregate principal balance of$1,051,050,629 as of the cutoff date and $148.9 million held in cash to be used during the ramp-up acquisition period. The pool does not include $112.5 million of expected future funding. The loans were contributed to the trust by INVCMI CLO Seller LLC. The servicer is KeyBank National Association, and the special servicer is Bellwether Asset Services, LLC. The trustee is Wilmington Trust, National Association and the note administrator is Computershare Trust Company, National Association. The notes follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on all 23 loans totaling 100.0% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $47.9 million represents a 5.3% decline from the issuer's aggregate underwritten NCF of $50.6 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Fitch Leverage: The pool's Fitch loan‐to‐value ratio (LTV) of 138.3% is slightly lower than both the 2026 YTD and 2025 CRE CLO averages of 139.0% and 139.6%, respectively. The pool's Fitch NCF debt yield (DY) of 6.28% is lower than both the 2026 YTD and 2025 CRE CLO averages of 6.50% and 6.47%, respectively. Pool Concentration: The pool concentration is in line with recently rated Fitch transactions. The top 10 loans make up 59.3%, which is slightly below 2026 YTD and 2025 CRE CLO averages of 60.1% and 61.7%, respectively. The pool's effective loan count of 20.2 is in line with the 2026 YTD and 2025 CRE CLO averages of 21.1 and 20.4, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. No Amortization: The pool is 100% comprised of IO loans, which is higher than the 2026 YTD and 2025 CRE CLO averages of 73.6% and 73.6%, respectively, based on the fully extended loan terms. As a result, the pool is expected to have zero principal paydown at the end of the fully extended loan term. The pool's percentage paydown of 0.0% is worse than the 2026 YTD and 2025 CRE CLO averages of 0.5% and 0.5%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/lower 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: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BBsf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including the 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 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. INVESCO CLO 2022-1: Moody's Cuts Rating on $28.8MM E Notes to B1 ---------------------------------------------------------------- Moody's Ratings has upgraded the rating on the following notes issued by Invesco CLO 2022-1, Ltd.: US$72,000,000 Class B Senior Secured Floating Rate Notes due 2035, Upgraded to Aa1 (sf); previously on March 9, 2022 Assigned Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$28,800,000 Class E Deferrable Junior Secured Floating Rate Notes due 2035, Downgraded to B1 (sf); previously on March 9, 2022 Assigned Ba3 (sf) Invesco CLO 2022-1, Ltd., issued in March 2022, 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 2027. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Class B notes is a result of the improvement in the credit quality of the portfolio. Based on the trustee's June 2026 report, the weighted average rating factor (WARF) is currently 2737[1] compared to 2819[2] in January 2026. The downgrade rating action on the Class E notes reflects the specific risks to the more junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's June 2026 report, the OC ratio for the CLO Class E notes was 104.12%[3] versus 105.13%[4] in January 2026. No actions were taken on the Class A, Class C, and Class D notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in April 2026. 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: $576,318,494 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2755 Weighted Average Spread (WAS): 3.02% Weighted Average Recovery Rate (WARR): 46.20% Weighted Average Life (WAL): 4.9 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 April 2026. 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. JP MORGAN 2026-5: Fitch Assigns 'B-sf' Final Rating on Cl. B5 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to J.P. Morgan Mortgage Trust 2026-5 (JPMMT 2026-5). Entity/Debt Rating Prior ----------- ------ ----- JPMMT 2026-5 A1 LT AAAsf New Rating AAA(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A10A LT AAAsf New Rating AAA(EXP)sf A10B LT AAAsf New Rating AAA(EXP)sf A10X1 LT AAAsf New Rating AAA(EXP)sf A10X2 LT AAAsf New Rating AAA(EXP)sf A10X3 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A11X LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A13X LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A14X LT AAAsf New Rating AAA(EXP)sf A14X2 LT AAAsf New Rating AAA(EXP)sf A14X3 LT AAAsf New Rating AAA(EXP)sf A14X4 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A15A LT AAAsf New Rating AAA(EXP)sf A15B LT AAAsf New Rating AAA(EXP)sf A15X1 LT AAAsf New Rating AAA(EXP)sf A15X2 LT AAAsf New Rating AAA(EXP)sf A15X3 LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A16A LT AAAsf New Rating AAA(EXP)sf A16B LT AAAsf New Rating AAA(EXP)sf A16X1 LT AAAsf New Rating AAA(EXP)sf A16X2 LT AAAsf New Rating AAA(EXP)sf A16X3 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A17A LT AAAsf New Rating AAA(EXP)sf A17B LT AAAsf New Rating AAA(EXP)sf A17X1 LT AAAsf New Rating AAA(EXP)sf A17X2 LT AAAsf New Rating AAA(EXP)sf A17X3 LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A18A LT AAAsf New Rating AAA(EXP)sf A18B LT AAAsf New Rating AAA(EXP)sf A18X1 LT AAAsf New Rating AAA(EXP)sf A18X2 LT AAAsf New Rating AAA(EXP)sf A18X3 LT AAAsf New Rating AAA(EXP)sf A2 LT AAAsf New Rating AAA(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A3A LT AAAsf New Rating AAA(EXP)sf A3B LT AAAsf New Rating AAA(EXP)sf A3X1 LT AAAsf New Rating AAA(EXP)sf A3X2 LT AAAsf New Rating AAA(EXP)sf A3X3 LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A4A LT AAAsf New Rating AAA(EXP)sf A4B LT AAAsf New Rating AAA(EXP)sf A4X1 LT AAAsf New Rating AAA(EXP)sf A4X2 LT AAAsf New Rating AAA(EXP)sf A4X3 LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A5A LT AAAsf New Rating AAA(EXP)sf A5B LT AAAsf New Rating AAA(EXP)sf A5X1 LT AAAsf New Rating AAA(EXP)sf A5X2 LT AAAsf New Rating AAA(EXP)sf A5X3 LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A6A LT AAAsf New Rating AAA(EXP)sf A6B LT AAAsf New Rating AAA(EXP)sf A6X1 LT AAAsf New Rating AAA(EXP)sf A6X2 LT AAAsf New Rating AAA(EXP)sf A6X3 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7A LT AAAsf New Rating AAA(EXP)sf A7B LT AAAsf New Rating AAA(EXP)sf A7X1 LT AAAsf New Rating AAA(EXP)sf A7X2 LT AAAsf New Rating AAA(EXP)sf A7X3 LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A8A LT AAAsf New Rating AAA(EXP)sf A8B LT AAAsf New Rating AAA(EXP)sf A8X1 LT AAAsf New Rating AAA(EXP)sf A8X2 LT AAAsf New Rating AAA(EXP)sf A8X3 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A9A LT AAAsf New Rating AAA(EXP)sf A9B LT AAAsf New Rating AAA(EXP)sf A9X1 LT AAAsf New Rating AAA(EXP)sf A9X2 LT AAAsf New Rating AAA(EXP)sf A9X3 LT AAAsf New Rating AAA(EXP)sf AX1 LT AAAsf New Rating AAA(EXP)sf B1 LT AA-sf New Rating AA-(EXP)sf B1A LT AA-sf New Rating AA-(EXP)sf B1X LT AA-sf New Rating AA-(EXP)sf B2 LT A-sf New Rating A-(EXP)sf B2A LT A-sf New Rating A-(EXP)sf B2X LT A-sf New Rating A-(EXP)sf B3 LT BBB-sf New Rating BBB-(EXP)sf B4 LT BB-sf New Rating BB-(EXP)sf B5 LT B-sf New Rating B-(EXP)sf B6 LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 256 loans with a scheduled balance of $342.12 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages originated mainly by PennyMac Loan Services LLC (43.4%). All other originators contributed less than 15% to the transactions. The loan-level representations and warranties (R&Ws) are provided by the various sellers and originators. All mortgage loans in the pool will be serviced by JPMCB, PennyMac Loan Services, loanDepot.com and United Wholesale Mortgage. Cenlar FSB will subservice the loans for United Wholesale Mortgage. Rocket Mortgage LLC is the master servicer. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM), average prime offer rate (APOR) loans. The senior certificates are fixed rate or floating rate and capped at the net weighted average coupon (WAC). The B-1A and B-2A certificates' pass-through rates are based off of the net WAC minus a spread, and the B3, B-4, B-5 and B-6 certificates are based on the net WAC. KEY RATING DRIVERS Credit Risk of Prime Credit Quality (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of fixed-rate, first lien residential mortgage loans with original terms to maturity of up to 30 years. Purchase loans represent 66.6% of the pool, while more than 90% of the properties are single-family homes or PUDs. All properties are owner-occupied or second homes, and about 37.7% of the loans are in California. The loans are seasoned at an average of two months. The pool has a weighted average (WA) original FICO score of 769, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (cLTV) of 74.0%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 81.3%. The weighted average DTI is 35.8% and the weighted average liquid reserve amount is $702,657.52. This transaction has a final probability of default (PD) of 12.16% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 36.69%. The expected loss in the 'AAAsf' rating stress is 4.46%. Structural Analysis (Mixed) - Senior/Subordinate Shifting-Interest Structure with Full Advancing: The mortgage cash flow and loss allocation in JPMMT 2026-5 are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The CE or senior subordination floor of 1.45% mitigates potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 1.05% mitigates potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent P&I until it is deemed non-recoverable. As a result, the LS was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyzes the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating Fitch's loss projections as derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. See the Cash Flow Analysis section for more details. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5 bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm with a final grade of either "A" or "B". Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects JPMMT 2026-5 to be fully de-linked, and the transaction will be structured with a bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to JPMMT 2026-5; therefore, Fitch rates to the highest possible rating at 'AAAsf' without rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 8.96%, at 'base case'. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned 'AAAsf' ratings. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Opus, Clarifii, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property value reviews. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: Fitch gives a 5bps z-score reduction to the origination PD for each loan that has a due diligence grade of "A" or "B." In this transaction, 100% of the loans had a due diligence review and all the loans reviewed received a final grade of "A" or "B". As a result, losses were lowered based on the due diligence results. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool by balance. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC, Opus, Clariffi, and Consolidated Analytics were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also used data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the Resi PLS data layout format and considers the data comprehensive ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2026-CES3: S&P Assigns B- (sf) Rating on Cl. B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage Trust 2026-CES3's mortgage-backed notes. The note issuance is an RMBS transaction backed by fixed-rate and fully amortizing closed-end second-lien residential mortgage loans. The loans are secured by single-family residences, planned-unit developments, condominiums, two- to four-unit multifamily homes, and three condotel properties to prime and nonprime borrowers. The pool has 3,340 qualified mortgage (QM)/non-higher-priced mortgage loans (non-HPML; safe harbor), QM rebuttable presumption, non-QM/compliant, and ability-to-repay (ATR)-exempt loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage 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 economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) J.P. Morgan Mortgage Trust 2026-CES3 Class A-1A, $292,431,00: AAA (sf) Class A-1B, $13,525,000: AAA (sf) Class A-1, $305,956,000: AAA (sf) Class A-2, $15,718,000: AA- (sf) Class A-3, $13,525,000: A- (sf) Class M-1, $11,880,000: BBB- (sf) Class B-1, $7,494,000: BB- (sf) Class B-2, $5,848,000: B- (sf) Class B-3, $5,118,419: NR Class A-IO-S, notional(ii): NR Class XS, notional(iii): NR Class PT, N/A: NR Class A-R, N/A(iv): NR (i)The ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The notional amount equals the aggregate stated principal balance of the mortgage loans serviced by Shellpoint Mortgage Servicing. (iii)The notional amount equals the aggregate unpaid principal balance of loans in the pool as of the cutoff date. (iv)The class A-R notes represent the residual interest in the issuer, and they will not have a class principal amount and are not expected to receive payments. WAC--Weighted average coupon. IO--Interest only. NR--Not rated. N/A--Not applicable. KRR CLO 32: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 32 Ltd. reset. Entity/Debt Rating ----------- ------ KKR CLO 32 Ltd. X-R2 LT NRsf New Rating A-1-R2 LT NRsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-1-R2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary KKR CLO 32 Ltd. (the issuer) reset is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. The transaction was originally closed in 2020, and this is the second refinancing of the deal where all the existing notes would be refinanced in whole. 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 22.65 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 95.65% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.57% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47.5% of the portfolio balance in aggregate while the top five obligors can represent up to 10% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 'A-sf' and 'AA+sf' for class A-2-R2, between 'BBB-sf' and 'A+sf' for class B-R2, between 'B+sf' and 'A-sf' for class C-R2, between less than 'B-sf' and 'BBB-sf' for class D1-R2, between less than 'B-sf' and 'BB+sf' for class D2-R2, and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'Asf' for class D1-R2, 'BBB+sf' for class D2-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 32 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. KRR CLO 67: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR CLO 67, Ltd. Entity/Debt Rating ----------- ------ KKR CLO 67 Ltd. A-1 LT AAAsf 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 BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary KKR CLO 67, 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 $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.85, 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 96.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.61% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47.5% of the portfolio balance in aggregate while the top five obligors can represent up to 10% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-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 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-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2 and 'BBB+sf' for class E. 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 67, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. LONG TRUST 2026-ISL: Moody's Assigns B3 Rating to Cl. F Certs ------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by LONG Trust 2026-ISL, Commercial Mortgage Pass-Through Certificates, Series 2026-ISL Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The certificates are collateralized by a single, floating rate loan, secured by a leasehold mortgage on 14 medical and traditional office properties located across three submarkets of Long Island, NY (collectively, the "Portfolio"). Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The Portfolio's 14 medical and traditional office properties total 1,511,878 SF and are located across three office parks in Lake Success, Jericho, and Melville in New York State. The Lake Success properties represent approximately 80% of the in-place rent and are part of the Western Nassau submarket. The Portfolio features a concentration of healthcare-oriented tenants which account for 60.5% of the Portfolio's base rent. The largest healthcare-oriented occupant is ProHealth (23.4% of NRA, 31.7% of base rent; subsidiary of UnitedHealth Group Inc.; A2, senior unsecured). The second largest tenant, Newsday LLC, represents only 8.6% of NRA and 7.9% of in-place base rent. No other tenant occupants represent more than 4.0% of NRA or 4.9% of base rent. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.00x, compared to 1.02x at provisional. Moody's Stressed DSCR of 0.79x. Moody's DSCR is based on Moody's stabilized net cash flow. The trust loan balance of $280,000,000 represents a Moody's LTV ratio of 134%. Moody's did not adjust Moody's MLTV in consideration of the prevailing interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The portfolio's average property quality grade is 2.19. Notable strengths of the transaction include: (i) Location and accessibility: The properties are located across three office parks in Lake Success, Jericho, and Melville in New York State. Access to the properties is considered strong as they are just off the Long Island Expressway (I-495). Additionally, the Long Island Rail Road provides access from Lakes Success properties to Grand Central Terminal and New York Penn Station in approximately 45 minutes to one hour, respectively. (ii) Lake Success submarket and demographics: The Lake Success properties represent approximately 80% of the in-place rent are part of the Western Nassau submarket. Appraiser notes, the Western Nassau submarket has no new construction, has a declining vacancy trend with stable asking rents. (iii) Multiple-property pooling: A loan secured by multiple properties benefits from lower cash flow volatility as excess cash flow from well performing properties can augment cash flows of poor performing properties to meet debt service requirements. Notable concerns of the transaction include: (i) High MLTV: The mortgage loan has a high MLTV ratio of 134.0%. (iv) Floating-rate profile: The initial two-year loan accrues interest at one-month Term SOFR plus an estimated spread of 3.5% subject to pricing, exposing the loan to variable debt service payments. (v) Early lease termination options at 6 & 8 Corporate Center Drive: The property has two tenants that operate subject to lease termination options The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in May 2026. 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. With respect to classes with ratings above the applicable sovereign rating, significant exposure to defeasance may also lead to a downgrade. MIDOCEAN CREDIT XIX: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the MidOcean Credit CLO XIX reset transaction. Entity/Debt Rating Prior ----------- ------ ----- MidOcean Credit CLO XIX X-R LT NRsf New Rating A-1-R LT NRsf New Rating A-2 59803HAC1 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 59803HAE7 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 59803HAG2 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 59803HAJ6 LT PIFsf Paid In Full BBB+sf D-1A-R LT BBB+sf New Rating D-1B-R LT BBB-sf New Rating D-2 59803HAL1 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating E 59803JAA1 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary MidOcean Credit CLO XIX (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by MidOcean Credit RR Manager LLC which originally closed in June 2025. The transaction will be refinanced in whole on June 26, 2026, with net proceeds from the issuance of the secured and subordinated notes providing 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 22.61 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 95.18% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.51% 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 5.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices analysis is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-2-R, between 'BBB-sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-1A-R, between less than 'B-sf' and 'BBB-sf' for class D-1B-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 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-1A-R, 'Asf' for class D-1B-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 MidOcean Credit CLO XIX. 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. MJX VENTURE II: Moody's Cuts Rating on Series I/Cl. E Notes to B1 ----------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by MJX Venture Management II LLC (the "Issuer" or "MJX VM II") and collateralized by Venture 32 CLO, Limited ("Underlying CLO"): US$1,712,500 Series I/Class D Notes due 2031, Upgraded to A2 (sf); previously on December 12, 2023 Upgraded to A3(sf) Moody's have also downgraded the rating on the following notes: US$1,425,000 Series I/Class E Notes due 2031 (the "Class E Notes"), Downgraded to B1 (sf); previously on February 10, 2026 Downgraded to Ba3 (sf) The Series I/Class D Notes and the Series I/Class E Notes, together with the other notes issued by the Issuer (the "Rated Notes"), are collateralized primarily by 5% of certain rated notes (the "Underlying CLO Notes") issued by Venture 32 CLO, Limited (the "Underlying CLO"). The Rated Notes were originally issued in July 2018 in order to comply with the retention requirements of both the US and EU Risk Retention Rules. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade rating action on the Series I/Class D notes is primarily a result of deleveraging of the senior notes of the Underlying CLO and an increase in the Underlying CLO's over-collateralization (OC) ratios since January 2026. Since the last rating action, the Class A-2A notes of the Underlying CLO have been paid down completely, the Class A-1 and the Class A-FR notes of the Underlying CLO have been paid down by approximately 39.4% and the class A-2BR notes of the Underlying CLO have been paid down by approximately 5.52%. The downgrade rating action on the Series I/Class E notes reflects the specific risks to the Underlying CLO's Class E notes posed by par loss and credit deterioration observed in the Underlying CLO portfolio. Based on the trustee's June 2026 report[1], the OC ratio for the Underlying CLO Class E notes is reported at 96.96% versus January 2026[2] level of 99.91%. Furthermore, the trustee-reported weighted average rating factor (WARF) observed in the Underlying CLO portfolio have been deteriorating and the current level is 3671[3], compared to 3432 in January 2026[4]. No actions were taken on the Series I/Class A-1, Series I/Class A-F, Series I/Class A-2BF, Series I/Class B and Series I/Class C Notes because their expected losses remain commensurate with their current ratings, after taking into account the Underlying CLO's and the Issuer's latest portfolio information, their relevant structural features and their 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 April 2026. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions for the Underlying CLO: Performing par and principal proceeds balance: $211,981,097 Defaulted par: $10,821,361 Diversity Score: 53 Weighted Average Rating Factor (WARF): 3455 Weighted Average Spread (WAS): 3.78% Weighted Average Recovery Rate (WARR): 44.47% Weighted Average Life (WAL): 2.95 years Par haircut in OC tests and interest diversion test: 7.53% 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 April 2026. 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 CLO 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. MLTI TRUST 2026-MLTI: S&P Assigns BB (sf) Rating on HRR-10 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-10, B-10, C-10, D-10, E-10, HRR-10, A-2, B-2, C-2, D-2, and HRR-2 certificates. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loans' terms, and the transaction structure, among other factors. S&P Global Ratings assigned its ratings to MLTI Trust 2026-MLTI's commercial mortgage pass-through certificates, series 2026-MLTI. The certificate issuance is U.S. CMBS securitization backed by two separate portfolio mortgage loans: (a) the 10-Pack loan, which is a three-year, floating-rate, interest-only first mortgage loan secured by the borrowers' fee simple interests in eight multifamily properties and two commercial properties located in Jersey City, N.J.; Weehawken, N.J.; and Malden, Mass.; and (b) the 2-Pack loan, which is a two-year, floating-rate, interest-only first mortgage loan secured by the borrowers' leasehold interests in two multifamily properties located in Boston, Mass. The loans are not cross-collateralized or cross-defaulted. The 10-Pack loan supports only the 10-Pack certificates, and the 2-Pack loan supports only the 2-Pack certificates. S&P said, "The ratings reflect our view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loans' terms, and the transaction structure. We determined that the 10-Pack mortgage loan has a beginning and ending loan-to-value (LTV) ratio of 98.0%, and that the 2-Pack loan has a beginning and ending LTV ratio of 92.9%, based on S&P Global Ratings' value of the properties backing each loan. Since the preliminary ratings were issued, the interest rate spread for the 10-Pack loan increased to 1.77% from 1.75%. The borrowers also purchased a three-year, floating-to-fixed interest rate swap agreement with a strike rate of 3.82%, below the 4.00% assumed when the preliminary ratings were issued. The debt service coverage ratio (DSCR), based on S&P Global Ratings' net cash flow (NCF) and the actual debt service based on a one-month term SOFR of 3.62% plus the 1.77% spread, remains unchanged at 1.15x. The DSCR, based on the interest rate swap strike rate of 3.82% plus the 1.77% spread, increased to 1.11x from 1.08x. Given the lower strike rate, our estimates of pari passu swap break costs decreased slightly at each rating category; however, there is no impact on our ratings." For the 2-Pack, the loan's interest rate spread increased to 2.03% from 1.90%. The DSCR, based on S&P Global Ratings' NCF and the actual debt service based on one-month term SOFR of 3.62% plus the 2.03% spread, decreased to 1.23x from 1.26x. The DSCR, based on the two-year interest rate cap strike rate of 4.50% plus the 2.03% spread, decreased to 1.07x from 1.09x. Ratings Assigned MLTI Trust 2026-MLTI 10-Pack certificates(i) Class A-10, $1,101,900,000: AAA (sf) Class B-10, $216,700,000: AA- (sf) Class C-10, $244,000,000: A- (sf) Class D-10, $215,300,000: BBB- (sf) Class E-10, $56,550,000: BB+ (sf) Class HRR-10(ii), $96,550,000: BB (sf) 2-Pack certificates(i) Class A-2, $102,500,000: AAA (sf) Class B-2, $24,400,000: AA- (sf) Class C-2, $18,300,000: A- (sf) Class D-2, $16,490,000: BBB- (sf) Class HRR-2(ii), $8,510,000: BB+ (sf) (i)Certificate balances are approximate, subject to a variance of plus or minus 5.0%. (ii)Eligible horizontal residual interest. MORGAN STANLEY 2026-INV2: Moody's Assigns (P)B3 Rating to B-5 Certs ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 28 classes of residential mortgage-backed securities (RMBS) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-INV2, and sponsored by Morgan Stanley Mortgage Capital Holdings LLC. The securities are backed by a pool of GSE eligible (84.6% by balance) and prime jumbo (15.4% by balance) residential mortgages aggregated by Morgan Stanley, including loans aggregated by PennyMac Loan Services, LLC (47.1% by loan balance) and Rocket Mortgage, LLC (46.8% by loan balance), and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Morgan Stanley Residential Mortgage Loan Trust 2026-INV2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aa1 (sf) Cl. A-12, Assigned (P)Aa1 (sf) Cl. A-13, Assigned (P)Aa1 (sf) Cl. A-2-X*, Assigned (P)Aaa (sf) Cl. A-3-X*, Assigned (P)Aaa (sf) Cl. A-5-X*, Assigned (P)Aaa (sf) Cl. A-6-X*, Assigned (P)Aaa (sf) Cl. A-8-X*, Assigned (P)Aaa (sf) Cl. A-9-X*, Assigned (P)Aaa (sf) Cl. A-10-X*, Assigned (P)Aaa (sf) Cl. A-12-X*, Assigned (P)Aa1 (sf) Cl. A-13-X*, Assigned (P)Aa1 (sf) Cl. A-X-1*, 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) *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 0.89%, in a baseline scenario-median is 0.56% and reaches 8.61% 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 May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. MORGAN STANLEY 2026-INV2: Moody's Assigns B3 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 28 classes of residential mortgage-backed securities (RMBS) issued by Morgan Stanley Residential Mortgage Loan Trust 2026-INV2, and sponsored by Morgan Stanley Mortgage Capital Holdings LLC. The securities are backed by a pool of GSE eligible (84.7% by balance) and prime jumbo (15.3% by balance) residential mortgages aggregated by Morgan Stanley, including loans aggregated by PennyMac Loan Services, LLC (47.0% by loan balance) and Rocket Mortgage, LLC (46.9% by loan balance), and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Morgan Stanley Residential Mortgage Loan Trust 2026-INV2 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 Aa1 (sf) Cl. A-12, Definitive Rating Assigned Aa1 (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-2-X*, Definitive Rating Assigned Aaa (sf) Cl. A-3-X*, Definitive Rating Assigned Aaa (sf) Cl. A-5-X*, Definitive Rating Assigned Aaa (sf) Cl. A-6-X*, Definitive Rating Assigned Aaa (sf) Cl. A-8-X*, Definitive Rating Assigned Aaa (sf) Cl. A-9-X*, Definitive Rating Assigned Aaa (sf) Cl. A-10-X*, Definitive Rating Assigned Aaa (sf) Cl. A-12-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-13-X*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, 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 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 0.89%, in a baseline scenario-median is 0.56% and reaches 8.59% 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 May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. MORGAN STANLEY 2026-NQM6: Moody's Assigns Ba3 Rating to B-1 Certs ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 7 classes of residential mortgage-backed securities (RMBS) issued by Morgan Stanley Residential Mortgage Loan Trust 2026-NQM6, and sponsored by Morgan Stanley Mortgage Capital Holdings LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by Morgan Stanley, and originated and serviced by multiple entities, including NQM Funding LLC, OCMBC, Inc., and Hometown Equity Mortgage, LLC. The complete rating actions are as follows: Issuer: Morgan Stanley Residential Mortgage Loan Trust 2026-NQM6 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1FCF, Definitive Rating Assigned Aaa (sf) Cl. A-1LCF, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A2 (sf) Cl. B-1, Definitive Rating Assigned Ba3 (sf) Cl. M-1, Definitive Rating Assigned Baa3 (sf) Moody's are withdrawing the provisional ratings for Class A-1-A and A-1-B Certificates, assigned on June 08, 2026, because the Class A-1-A Certificates and Class A-1-B Certificates were not issued on the Closing Date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 2.74%, in a baseline scenario-median is 2.03% and reaches 21.24% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. MORGAN STANLEY 2026-NQM7: Moody's Gives (P)Ba3 Rating to B-1 Certs ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to 9 classes of residential mortgage-backed securities (RMBS) to be issued by Morgan Stanley Residential Mortgage Loan Trust 2026-NQM7, and sponsored by Morgan Stanley Mortgage Capital Holdings LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages aggregated by Morgan Stanley, including loans aggregated by United Wholesale Mortgage, LLC, HomeXpress Mortgage Corp. and other entities, and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Morgan Stanley Residential Mortgage Loan Trust 2026-NQM7 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1-A, Assigned (P)Aaa (sf) Cl. A-1-B, Assigned (P)Aaa (sf) Cl. A-1FCF, Assigned (P)Aaa (sf) Cl. A-1LCF, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aa2(sf) Cl. A-3, Assigned (P)A2 (sf) Cl. M-1, Assigned (P)Baa3 (sf) Cl. B-1, Assigned (P)Ba3 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 2.65%, in a baseline scenario-median is 1.95% and reaches 21.04% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. NEUBERGER BERMAN XVII: Fitch Assigns BB-sf Rating on Cl. E-R4 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman CLO XVII, Ltd. reset. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman CLO XVII, Ltd. A-1-R4 LT NRsf New Rating A-2-R4 LT AAAsf New Rating B-R3 64129UCG8 LT PIFsf Paid In Full AAsf B-R4 LT AAsf New Rating C-R3 64129UCJ2 LT PIFsf Paid In Full Asf C-R4 LT Asf New Rating D-1-R4 LT BBB-sf New Rating D-1R3 64129UCL7 LT PIFsf Paid In Full BBB-sf D-2-R4 LT BBB-sf New Rating D-2R3 64129UCN3 LT PIFsf Paid In Full BBB-sf E-R3 64129VAN3 LT PIFsf Paid In Full BB-sf E-R4 LT BB-sf New Rating Sub Notes LT NRsf New Rating X-R4 LT NRsf New Rating Transaction Summary Neuberger Berman CLO XVII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Investment Advisers 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 23.4 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 96.62% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.92% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 'A-sf' and 'AA+sf' for class A-2-R4, between 'BBB-sf' and 'A+sf' for class B-R4, between 'B+sf' and 'A-sf' for class C-R4, between less than 'B-sf' and 'BBB-sf' for class D-1-R4, between less than 'B-sf' and 'BB+sf' for class D-2-R4, and between less than 'B-sf' and 'B+sf' for class E-R4. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R4 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-R4, 'AA-sf' for class C-R4, 'Asf' for class D-1-R4, 'BBB+sf' for class D-2-R4, and 'BBB+sf' for class E-R4. 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 Neuberger Berman CLO XVII, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. NYC COMMERCIAL 2026-31W: Fitch Rates Class F Certs 'B-(EXP)sf' -------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Ratings Outlooks to NYC Commercial Mortgage Trust 2026-31W, commercial mortgage pass-through certificates, series 2026-31W: - $168,300,000 class A 'AAA (EXP)sf'; Outlook Stable; - $31,100,000 class B 'AA-(EXP)sf'; Outlook Stable; - $24,500,000 class C 'A-(EXP)sf'; Outlook Stable; - $34,400,000 class D 'BBB-(EXP)sf'; Outlook Stable; - $52,800,000 class E 'BB-(EXP)sf'; Outlook Stable; - $58,400,000 class F 'B-(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $24,750,000 class G 'NR'; - $20,750,000a class HRR 'NR'. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Transaction Summary The certificates represent beneficial ownership interests in a trust that will hold a $415.0 million, three-year, fixed-rate, IO mortgage loan secured by a fee-simple interest in a 785,087 sf, 29-story, LEED Gold, office tower located near Rockefeller Center in Midtown Manhattan's Plaza District. The loan sponsor is Rithm Capital Corp. (Rithm and its affiliates), a U.S. investment management company headquartered in New York City that focuses on real estate and alternative investments. Rithm's affiliate, Paramount Group Operating Partnership LP, will serve as the non-recourse carveout guarantor. Mortgage loan proceeds, together with a $85 million of mezzanine financing and $72.5 million of borrower sponsor equity, are being used to refinance $500 million of existing debt, fund a $42.9 million upfront reserve to cover outstanding landlord leasing obligations (TI, LC and free rent), a $22.2 million interest reserve, and to pay approximately $9.0 million of closing costs. The mezzanine loans are also structured with up to $7.5 million of future funding each for future accretive leasing costs. The mortgage loan is expected to be co-originated by Wells Fargo Bank, National Association, Bank of America, N.A., Barclays Capital Real Estate Inc., Citi Real Estate Funding Inc., Goldman Sachs Bank USA and JPMorgan Chase Bank, National Association. Trimont LLC is expected to act as servicer, while Argentic Services Company LP is expected to be the special servicer. Deutsche Bank National Trust Company will act as trustee, with Computershare Trust Company, National Association as certificate administrator. Pentalpha Surveillance LLC will act as operating advisor. The certificates will follow a sequential-pay structure. The transaction is expected to close on July 15, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch estimates the net cash flow (NCF) at $27.5 million, which is 17.0% below the issuer's underwritten NCF of $33.1 million. Fitch applied an 8.25% capitalization rate to derive a Fitch value of $333.3 million. High Fitch Leverage: The $415.0 million mortgage loan equates to $529 psf and results in a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield of 0.72x, 124.5% and 6.6%, respectively. The mortgage loan represents 64.3% of the property's as-is appraised value of $645.0 million. Inclusive of the initial funded mezzanine debt, the total debt would have a Fitch DSCR, LTV and debt yield of 0.59, 150.0% and 5.5%, respectively. Strong Asset Quality; Prime Midtown Manhattan Location: The loan is secured by 31 West 52nd Street, a 29-story, LEED Gold-certified office tower totaling 785,087 sf situated in the Plaza District office submarket of Midtown Manhattan. The property benefits from proximity to Fifth Avenue retail and the Rockefeller Center transit hub, with direct access to multiple Metropolitan Transportation Authority (MTA) subway lines within a few blocks. Per CBRE Research and Cushman & Wakefield, the submarket recorded 3.97 million sf of leasing activity in 2025, the second-highest total in Midtown, and had no space under construction at YE25. Favorable Tenant Profile: As of the June 2026 rent roll, the property was 86.5% leased to an estimated 16 unique tenants consisting of financial services and real estate companies, prominent law firms and complementary retail. The largest tenants are Cushman & Wakefield (17.0% of NRA), Wilson Sonsini Goodrich & Rosati (Wilson Sonsini; 16.8%), Centerview Partners (13.9%) and Pillsbury Winthrop Shaw Pittman LLP (13.6%). Further, approximately 45% of NRA serves as local corporate headquarters, while 30.5% of NRA is leased to 2026 Am Law 100 tenants. Institutional Sponsorship and Experienced Management: The loan is sponsored by Rithm, a publicly traded global alternative asset manager with approximately $100 billion of investable assets as of Dec. 31, 2025. Rithm indirectly acquired the property in December 2025, through its approximately $1.6 billion acquisition of Paramount Group, which has owned and operated the property for over 18 years. The property is currently managed by Paramount Group Property-Asset Management 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 sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/A-sf '/'BBB-sf'/'BBsf'/'Bsf'/'NR'. 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 the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf '/'A+sf'/'BBBsf'/'BBsf'/'Bsf'. 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 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. OBX TRUST 2026-AHC2: Moody's Assigns B3 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 64 classes of residential mortgage-backed securities (RMBS) issued by OBX 2026-AHC2 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages aggregated by Onslow Bay Financial LLC, and originated and serviced by AmeriHome Mortgage Company, LLC. The complete rating actions are as follows: Issuer: OBX 2026-AHC2 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-F, Definitive Rating Assigned Aaa (sf) Cl. A-F-X*, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-X*, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-11*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-13*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-15*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aaa (sf) Cl. A-X-21*, Definitive Rating Assigned Aaa (sf) Cl. A-X-22*, Definitive Rating Assigned Aaa (sf) Cl. A-X-23*, Definitive Rating Assigned Aaa (sf) Cl. A-X-24*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-25*, Definitive Rating Assigned Aaa (sf) Cl. A-X-26*, Definitive Rating Assigned Aaa (sf) Cl. A-X-27*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-X-2*, Definitive Rating Assigned A3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3(sf) Cl. B-5, Definitive Rating Assigned B3 (sf) Moody's are withdrawing the provisional rating for the Class A-1A Loans assigned on June 12th 2026, because the Class A-1A Loans was not funded on the closing date. *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 0.47%, in a baseline scenario-median is 0.23% and reaches 6.23% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. OCTAGON INVESTMENT 29: Fitch Affirms BB- Rating on Class E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the Octagon Investment Partners 29, Ltd. (the issuer) refinancing classes, A-1-R3, A-2-R3, B-R3 and C-R3 notes, each with a Stable Rating Outlook. Fitch also affirmed the ratings of classes D-R2 and E-R2, each with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Octagon Investment Partners 29, Ltd. A-1-R3 LT AAAsf New Rating A-2-R2 67591JAW2 LT PIFsf Paid In Full AAAsf A-2-R3 LT AAAsf New Rating B-R2 67591JAY8 LT PIFsf Paid In Full AAsf B-R3 LT AAsf New Rating C-R2 67591JBA9 LT PIFsf Paid In Full Asf C-R3 LT Asf New Rating D-R2 67591JBC5 LT BBB-sf Affirmed BBB-sf E-R2 67591KAG4 LT BB-sf Affirmed BB-sf Transaction Summary Octagon Investment Partners 29 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Octagon Investment Partners, Inc. originally issued in December 2016. Subsequently, there have been two refinancings (resets), in March 2020 and June 2024. This transaction is a partial refinancing of the Class A-1,-R2 A-2-R2, B-R2, C-R2 notes. The Class D-R2 and E-R2 notes will not be refinanced. Net proceeds from the issuance of the new secured notes and the existing secured and subordinated notes will provide financing on a portfolio of approximately $489.4 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 23.8 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 98.18% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.15% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 46% of the portfolio balance in aggregate while the top three obligors can represent up to 4.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the sixth supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - Spreads have been reduced for the A-1-R2, A-2-R2, B-R2 and C-R2 classes of refinanced notes. - The non-call period for the refinanced notes is extended to June 29, 2027. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. - The Fitch recovery rate definition, Fitch industry definition and matrices have been amended to conform with Fitch's new criteria. Fitch Analysis The portfolio includes 436 assets from 415 primarily high yield obligors. In Fitch's view, 0.4% of the portfolio consists of assets that are rated 'CC' or below. The portfolio balance (excluding defaults and including principal cash) is approximately $489.4 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Fich Fixed Coupon Test, Minimum Fitch Floating Spread Test, Minimum Weighted Average Fitch Recovery Rate test. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 39.9% of the current portfolio par balance; ratings for 60.1% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.1% were unrated. As per Fitch's criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and on the indicative portfolio for the non-refinanced notes, if any. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest three obligors: 1.5% each, for an aggregate of 4.5%; - Largest three industries: 18.0%, 14.0%, and 14.0%, respectively; - Assumed risk horizon: 4.99 years; - Minimum weighted average spread of 3.00%; - Minimum weighted average recovery rate of 66.50%; - Maximum weighted average rating factor of 23.00; - Fixed rate Assets: 7.50%; - Minimum weighted average coupon of 4.65%; The transaction will exit its reinvestment period on July 18, 2029. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-1-R3: 'AAAsf' / Default 41.80% / Recovery 39.23% / Cushion 14.40%; - Class A-2-R3: 'AAAsf' / Default 41.80% / Recovery 39.23% / Cushion 12.70%; - Class B-R3: 'AAsf' / Default 39.10% / Recovery 48.59% / Cushion 11.80%; - Class C-R3: 'Asf' / Default 34.70% / Recovery 58.79% / Cushion 15.40%; - Class D-R2: 'BBB-sf' / Default 26.80% / Recovery 68.66% / Cushion 16.20%; - Class E-R2: 'BB-sf' / Default 22.40% / Recovery 73.66% / Cushion 8.20%. Fitch Stress Portfolio (FSP) Model Outputs: - Class A-1-R3: 'AAAsf' / Default 44.90% / Recovery 35.75% / Cushion 7.50%; - Class A-2-R3: 'AAAsf' / Default 44.90% / Recovery 35.75% / Cushion 5.90%; - Class B-R3: 'AAsf' / Default 41.60% / Recovery 41.50% / Cushion 4.30%; - Class C-R3: 'Asf' / Default 36.90% / Recovery 51.50% / Cushion 6.70%. Fitch affirmed the non-refinancing class D-R2 and class E-R notes at 'BBB-sf'/Stable and 'BB-sf'/Stable, respectively, given the indicative default cushions for each of these classes are sufficient, consistent with their Model Implied Ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AAAsf' for class A-1-R3, between 'A+sf' and 'AAAsf' for class A-2-R3, between 'BBB+sf' and 'AAsf' for class B-R3, between 'BB+sf' and 'A+sf' for class C-R3, and between less than 'B-sf' and 'BBB+sf' for class D-R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R3 and class A-2-R3 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AA+sf' for class C-R3, and 'A+sf' for class D-R2 and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Octagon Investment Partners 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. OHA CREDIT 26: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to OHA Credit Funding 26, Ltd. Entity/Debt Rating ----------- ------ OHA Credit Funding 26, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary OHA Credit Funding 26, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Oak Hill Advisors, L.P. 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 23.82 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 74.16% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 46% 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 'BBB-sf' and 'A+sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D-1, between less than 'B-sf' and 'BBB-sf' for class D-2, and between less than 'B-sf' and 'BB+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, '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 OHA Credit Funding 26, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. PALMER SQUARE 2026-2: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Palmer Square CLO 2026-2 Ltd./Palmer Square CLO 2026-2 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 Palmer Square Capital Management 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 Palmer Square CLO 2026-2 Ltd./ Palmer Square CLO 2026-2 LLC Class A, $252.0 million: AAA (sf) Class B, $52.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D (deferrable), $24.0 million: BBB- (sf) Class E (deferrable), $13.6 million: BB- (sf) Subordinated notes, $37.0 million: NR NR--Not rated. PARK BLUE 2026-XI: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Park Blue CLO 2026-XI, Ltd. Entity/Debt Rating ----------- ------ Park Blue CLO 2026-XI, Ltd. X LT AAAsf New Rating 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 BBBsf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary Park Blue CLO 2026-XI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Centerbridge Credit Funding Advisors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $425 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 22.1, 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 99.35% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.67% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The 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, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, and between less than 'B-sf' and '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 X 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, 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 Park Blue CLO 2026-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 in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. PIKES PEAK 16: Fitch Assigns 'BB-sf' Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Pikes Peak CLO 16 Ltd reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Pikes Peak CLO 16 Ltd X-R LT NRsf New Rating NR(EXP)sf A-1R LT NRsf New Rating NR(EXP)sf A-2R LT AAAsf New Rating AAA(EXP)sf B-R LT AAsf New Rating AA(EXP)sf C-1R LT Asf New Rating A(EXP)sf C-2R LT Asf New Rating A(EXP)sf D-1R LT BBBsf New Rating BBB(EXP)sf D-2R LT BBB-sf New Rating BBB-(EXP)sf E-R LT BB-sf New Rating BB-(EXP)sf Transaction Summary Pikes Peak CLO 16 Ltd is an arbitrage cash flow collateralized loan obligation (CLO) issuer that will be managed by Partners Group CLO Advisers LP. The transaction originally closed in June 2024 and is being reset for the first time. Net proceeds from the issuance of the secured and subordinated notes will finance a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.11, and the portfolio 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 98.38% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.11%, and the portfolio 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 11.5% of the portfolio balance in aggregate at the initial example matrix point. The portfolio's 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 that Fitch 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. Under 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 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 these metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'A-sf' for class C-R (class C-1R and C-2R, collectively), between less than 'B-sf' and 'BBBsf' for class D-1R, between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes because these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in these metrics. The minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R (class C-1R and C-2R, collectively), 'A+sf' for class D-1R, 'A+sf' for class D-2R 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. Date of Relevant Committee June 23, 2026 ESG Considerations Fitch does not provide ESG relevance scores for Pikes Peak 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. PMT LOAN 2026-J4: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 55 classes of residential mortgage-backed securities (RMBS) to be issued by PMT Loan Trust 2026-J4, and sponsored by PennyMac Corp. The securities are backed by a pool of prime jumbo (70.6% by balance) and GSE-eligible (29.4% 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-J4 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aa1 (sf) Cl. A-29, Assigned (P)Aa1 (sf) Cl. A-30, Assigned (P)Aa1 (sf) Cl. A-31, Assigned (P)Aa1 (sf) Cl. A-32, Assigned (P)Aa1 (sf) Cl. A-33, Assigned (P)Aa1 (sf) Cl. A-34, Assigned (P)Aaa (sf) Cl. A-34X*, Assigned (P)Aaa (sf) Cl. A-35, Assigned (P)Aaa (sf) Cl. A-35X*, Assigned (P)Aaa (sf) Cl. A-X1*, Assigned (P)Aa1 (sf) Cl. A-X3*, Assigned (P)Aaa (sf) Cl. A-X6*, Assigned (P)Aaa (sf) Cl. A-X9*, Assigned (P)Aaa (sf) Cl. A-X12*, Assigned (P)Aaa (sf) Cl. A-X15*, Assigned (P)Aaa (sf) Cl. A-X18*, Assigned (P)Aaa (sf) Cl. A-X21*, Assigned (P)Aaa (sf) Cl. A-X24*, Assigned (P)Aaa (sf) Cl. A-X27*, Assigned (P)Aaa (sf) Cl. A-X30*, Assigned (P)Aa1 (sf) Cl. A-X33*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.39%, in a baseline scenario-median is 0.18% and reaches 5.39% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. POST CLO VIII: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Post CLO VIII Ltd. Entity/Debt Rating Prior ----------- ------ ----- Post CLO VIII Ltd. 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 BBBsf 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 Post CLO VIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Post Advisory Group 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 22.51, 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 98.17% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.23% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43.5% of the portfolio balance in aggregate while the top five obligors can represent up to 10% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-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 'A-sf' for class C, between less than 'B-sf' and 'BBBsf' for class D-1, between less than 'B-sf' and 'BBB-sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, '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. Date of Relevant Committee 15 June 2026 ESG Considerations Fitch does not provide ESG relevance scores for Post CLO VIII 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. RAD CLO 23: Fitch Assigns 'BB-sf' Rating on Class D-R Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RAD CLO 23, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- RAD CLO 23, Ltd. X-R LT AAAsf New Rating A-1 75009CAA4 LT PIFsf Paid In Full AAAsf A-1a-R LT AAAsf New Rating A-1b-R LT AAAsf New Rating A-2 75009CAC0 LT PIFsf Paid In Full AAAsf A-2-R LT AAsf New Rating B-1 75009CAE6 LT PIFsf Paid In Full AAsf B-2 75009CAG1 LT PIFsf Paid In Full AAsf B-R LT Asf New Rating C-1 75009CAJ5 LT PIFsf Paid In Full Asf C-1-R LT BBB+sf New Rating C-2 75009CAL0 LT PIFsf Paid In Full Asf C-2-R LT BBB-sf New Rating D-1 75009CAN6 LT PIFsf Paid In Full BBB-sf D-2 75009CAQ9 LT PIFsf Paid In Full BBB-sf D-R LT BB-sf New Rating E 75009DAA2 LT PIFsf Paid In Full BB-sf Transaction Summary RAD CLO 23, 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 $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 23.92 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 96.75% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.27% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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, between 'BBB+sf' and 'AA+sf' for class A-1a-R, between 'BBB+sf' and 'AA+sf' for class A-1b-R, between 'BB+sf' and 'A+sf' for class A-2-R, between 'B+sf' and 'A-sf' for class B-R, between less than 'B-sf' and 'BBB+sf' for class C-1-R, between less than 'B-sf' and 'BBB-sf' for class C-2-R, 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, class A-1a-R and class A-1b-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 A-2-R, 'AA+sf' for class B-R, 'A+sf' for class C-1-R, 'A+sf' for class C-2-R, 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 RAD CLO 23, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. REALT 2019-1: Fitch Lowers Rating on Two Tranches to 'Csf' ---------------------------------------------------------- Fitch Ratings has downgraded three and affirmed two classes of Real Estate Asset Liquidity Trust's (REAL-T) commercial mortgage pass-pass through certificates, series 2019-1. Following the downgrade, a Negative Rating Outlook was assigned to class C. The Outlook for affirmed classes A-2 and B remains Negative. Entity/Debt Rating Prior ----------- ------ ----- REAL-T 2019-1 A-2 75585RQZ1 LT AAAsf Affirmed AAAsf B 75585RRB3 LT Asf Affirmed Asf C 75585RRC1 LT BBsf Downgrade BBBsf D-1 75585RRD9 LT Csf Downgrade B-sf D-2 LT Csf Downgrade B-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations; Largest Loan in Special Servicing: The deal-level 'Bsf' rating case loss has increased to 14.8% from 10.1% at Fitch's prior rating action. Fitch identified two loans (18.7% of the pool) as Fitch Loans of Concern (FLOCs), both of which are in special servicing (18.7%). The downgrades reflect higher pool loss expectations since Fitch's prior rating action, primarily driven by continued performance deterioration, an updated lower appraisal valuation and increasing loan exposure on the largest loan, WSP Place (14.2% of the pool), which transferred to special servicing in December 2023. The loan remains 90+ days delinquent, and the lender is seeking to move forward with a receivership sale. The expected losses from the WSP Place loan represent 94.4% of total deal-level expected losses. The Negative Outlooks address the potential for further downgrades if expected losses and/or exposure on the WSP Place loan increase more than anticipated or the loan is resolved with higher-than-expected losses, or if a prolonged workout leads to lower recovery prospects. The Negative Outlook for class A-2 reflects limited cushion to the senior classes for potential future interest shortfalls should the servicer stop making advances on the specially serviced loans. Current interest shortfalls are affecting classes D-1, D-2 and the non-rated classes E through H. The servicer is currently advancing a portion of the principal and interest (P&I) due on the WSP Place loan, which has $5.9 million in P&I advances outstanding as of the June 2026 remittance. If the amount advanced on this loan declines, or if additional loans in the pool default and negatively affect future payments to the trust, interest shortfalls could increase and impact more classes. Due to the concentrated nature of this transaction, Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status and collateral quality and then ranked them by their perceived likelihood of repayment and/or loss expectation. Specially Serviced Loans: The largest contributor to overall loss expectations and the largest increase in loss since the prior rating action is the WSP Place loan (14.2%), which is secured by a 191,851-sf office property located in the financial district of Edmonton, Alberta. The loan is full recourse to the sponsors, GSRI Ltd., Pacific Plaza LP and George Schluessel, all of which provided full joint and several guarantees on the loan. The loan transferred to special servicing in December 2023 for payment default ahead of its January 2024 maturity. The loan was modified via a forbearance agreement extending the maturity through July 2026, with the interest rate increasing to 7% from 4.65% at issuance. As part of the forbearance agreement, the special servicer forbore on its right to enforce the recourse provisions in exchange for additional security via assignment of proceeds upon disposition of assets from the borrower's portfolio. In addition, the borrower had agreed to make a principal payment of $1.2 million by July 2025. Per the latest special servicer update, the lender did not receive any assigned proceeds from the sale of the pledged assets as the assets that were sold generated insufficient proceeds and were sold at a loss. The asset Louvre was sold this month, but no excess proceeds are expected to be available for the lender. The Intact building was sold in late December 2025, but the sale resulted in a $60 million shortfall, and the lender subsequently filed a Statement of Claim against the borrower. In addition, the $1.2 million principal payment was never made and the interest rate on the loan increased to 8%. With the forbearance agreement now expired, the lender has issued a 10-day demand letter, with the intention of seeking enforcement through a receivership application. The property has experienced a significant decline in occupancy and is expected to fall to 15.9% upon the June 2026 lease expiration of its largest tenant, WSP Canada, which had already reduced its leased space to 17.5% of NRA from 36.4% at issuance. In addition, Her Majesty the Queen in Right of Alberta (23.6% of NRA) and Alberta Investment Management Corporation (8.5% of NRA) vacated upon their respective lease expirations. The borrower has not reported updated financials since YE 2021. Fitch's 'Bsf' rating case loss of 95.7% (prior to concentration adjustments) reflects a haircut on the most recent appraisal value which is approximately 75% below the appraisal from issuance, and assumes a 100% probability of default, given the borrower's inability to generate excess proceeds from pledged asset sales, the expiration of the forbearance agreement, and the asset's progression toward a receivership sale. The second specially serviced loan is the Group Guzzo Retail Terrebone loan (4.5%), which is secured by a 101,821-sf mixed-use (retail and office) property located in Terrebonne, Quebec. The loan is full recourse to the sponsor, Cinemas Guzzo, Inc. The 80,418-sf retail space is occupied by a sponsor-owned 14-screen movie theater. The 21,403-sf office space is occupied by Cinemas Guzzo Seige Social (15.0% of the NRA) through February 2038 and Centre de Sante et Service (6.0%) on a lease that expired in January 2024. The movie theater reopened in May 2025 after being closed for six months. Fitch requested an updated rent roll and financials, but the special servicer indicated the borrower has not provided them. The loan transferred to special servicing in May 2024 because of delinquent principal and interest payments; however, the loan is now current, with the borrower resuming principal and interest payments and bringing property taxes up to date. According to a servicer update, legal fees remain outstanding. Due to Guzzo's ongoing court-ordered liquidation, the lender received a land valuation as of March 2025 in excess of the outstanding loan amount. Fitch's loss expectations are based on no stress to the March 2025 appraisal land value, which is above the loan balance, resulting in a minimal 'Bsf' rating case loss to account for fees and expenses. Recourse Provisions: There are 21 loans (75.9% of the pool) that contain recourse provisions, 20 of which (70.6%) are full recourse to the sponsors. Increasing Credit Enhancement (CE): As of the June 2026 distribution date, the pool's aggregate balance has been paid down by 47.6% to $233.8 million from $446.4 million at issuance. Loan maturities are concentrated in 2028 (12 loans; 48.7% of the pool) and 2029 (12 loans; 33.7%). All loans in the pool are currently amortizing. Interest Shortfalls: Cumulative interest shortfalls totaling approximately $2.7 million are affecting classes D-1, D-2 and the non-rated classes E through H. Classes D-1 and D-2 are receiving a portion of their interest and classes E through H are not receiving their interest. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A downgrade to class A-2, currently rated 'AAAsf' with a Negative Outlook, is possible should performance and/or valuation of the WSP Place loan decline further than anticipated, or if interest shortfalls are incurred or expected to be incurred. Downgrades of up to one category on classes B and C are possible if WSP Place loan liquidates at an outsized loss in line with Fitch's loss expectations and/or other loans, experience performance declines and/or default at or prior to maturity. Further downgrades on classes D-1 and D-2 are possible if the WSP Place loan liquidates at an outsized loss in line with Fitch's loss expectations and/or with further performance declines of other loans in the pool. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated B and C are not expected, but are possible with significant increases in CE, better-than-expected recoveries on the WSP Place loan and with performance improvement of the specially serviced loan, Group Guzzo Retail Terrebonne, but would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'AA+sf' given the likelihood for continued interest shortfalls. Upgrades to classes D-1 and D-2 are unlikely but may occur with better-than-expected recoveries on the specially serviced the WSP place loan and a full recovery on the Group Guzzo Retail Terrebonne loan, along with any loans with refinance concerns. Upgrades may be limited due to increasing concentration and adverse selection of the remaining pool. 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. REALT 2026-RONA2: Moody's Assigns Ba1 Rating to Cl. E Certs ----------------------------------------------------------- Moody's Ratings has assigned definitive ratings to six classes of CMBS securities, issued by Real Estate Asset Liquidity Trust (REALT), Commercial Mortgage Pass-Through Certificates, Series 2026-RONA2: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa2 (sf) Cl. C, Definitive Rating Assigned A2 (sf) Cl. D, Definitive Rating Assigned Baa2 (sf) Cl. E, Definitive Rating Assigned Ba1 (sf) Cl. X*, Definitive Rating Assigned Aaa (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien mortgage on the borrower's fee simple interests in 44 retail centers and one distribution center located across multiple provinces of Canada. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The collateral improvements were built at various points between 1960 and 2011, with a weighted average year built by ALA of 1997. All properties are leased to RONA pursuant to a unitary master lease that is scheduled to expire in approximately 10 years, or five years past the loan's maturity date. There are two 5-year renewal options and does not include any termination options. Rent payments are structured on an absolute triple net basis with rent escalations of 2.75% per annum. The Portfolio's properties are operated under the following banners: -- 30 stores are small format stores operated under RONA, -- 11 stores are big box format stores operated under RONA+, -- 3 stores are retail lumber yards operated under Dick's, -- 1 property is a distribution center for Dick's lumber. Moody's approach to rating this transaction involved the application of both Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology and Moody's IO Rating methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.09X, compared to 1.06X at provisional ratings, and Moody's first mortgage actual stressed DSCR is 1.10X. Moody's DSCR is based on Moody's stabilized net cash flow. The fully funded whole loan first mortgage balance of $326,000,000 represents a Moody's LTV ratio of 93.4% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 93.4% 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 1.75. Notable strengths of the transaction include: occupancy profile, geographic diversification, Canada's creditor friendly legal environment, and multiple property pooling. Notable concerns of the transaction include: single tenant concentration, tenant volatile historical financials amid past M&A and corporate strategic transition, age, and credit negative legal features. 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 May 2026. 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. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. 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. With respect to classes with ratings above the applicable sovereign rating, significant exposure to defeasance may also lead to a downgrade. SANTANDER BANK 2026-A: Moody's Assigns B3 Rating to Class F Notes ----------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to the Santander Bank Auto Credit-Linked Notes, Series 2026-A (SBCLN 2026-A) notes issued by Santander Bank, N.A. (SBNA). SBCLN 2026-A is the first credit linked notes transaction issued by SBNA in 2026 to transfer credit risk to noteholders through a hypothetical tranched financial guaranty on a reference pool of auto loans. The complete rating actions are as follows: Issuer: Santander Bank Auto Credit-Linked Notes, Series 2026-A Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa3 (sf) Class C Notes, Definitive Rating Assigned A3 (sf) Class D Notes, Definitive Rating Assigned Baa2 (sf) Class E Notes, Definitive Rating Assigned Ba3 (sf) Class F Notes, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The Class A-2, Class B and Class C notes (the collateralized notes) are fixed-rate obligations secured by a cash collateral account. Principal payments to these notes will be made from proceeds in the cash collateral account held with a third-party eligible institution rated at least A2 or P-1 by us. SBNA will solely be responsible for interest payments, and if the amount on deposit in the cash collateral account is less than the outstanding principal amount of the collateralized notes due to certain unlikely events, also for the payments of principal. The collateralized notes also benefit from a letter of credit (LOC), which can cover up to five months of interest payments if SBNA fails to pay or enters FDIC conservatorship or receivership. This LOC is provided by an eligible institution that has a minimum rating of A2 or P-1. As a result, the ratings of the collateralized notes are not capped by the LT Issuer rating of Santander Bank, N.A. (Baa1). The Class D, Class E, and Class F notes are fixed-rate, unsecured obligations of SBNA and do not benefit from the protections provided by the cash collateral account or the LOC. Interest and principal on these notes are paid solely from SBNA's general funds, without recourse to the collateral account or the LOC. Accordingly, Moody's capped the ratings of these notes at SBNA's long-term issuer rating (Baa1), and changes in SBNA's ratings could lead to changes in the ratings of Class D, Class E, and Class F notes. The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of Santander Bank, N.A. as the servicer, and the creditworthiness of SBNA as reflected in its credit rating. Moody's median cumulative net loss expectation for the 2026-A reference pool is 1.80% and a loss at a Aaa stress of 10.75%. The median cumulative net loss at 1.80% and the loss at a Aaa stress at 10.75% for 2026-A are lower than the 3.00% median cumulative loss and 12.50% Aaa stress loss assigned for 2025-A, the last transaction Moody's rated. Moody's based Moody's cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Santander Bank, N.A. and Santander Consumer USA Inc. to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A-2, Class B notes, Class C notes, Class D notes, Class E notes and Class F notes benefit from 12.00%, 7.40%, 6.70%, 5.65%, 3.85%, and 2.45% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, Class C, Class D, Class E, and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, Moody's could also downgrade the Class D, Class E and Class F notes if SBNA's long-term issuer rating is downgraded. SANTANDER MORTGAGE 2026-NQM5: S&P Assigns 'B' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Santander Mortgage Asset Receivable Trust 2026-NQM5's mortgage-backed notes. The note issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties including townhouses, planned-unit developments, two- to four-family units, condominiums, a condotel, and manufactured housing properties. The pool consists of 679 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability to repay (ATR)-compliant, or ATR-exempt. S&P said, "Following our preliminary ratings assignment on June 15, 2026, the sponsor removed the class A-1FCF and A-1LCF notes and reallocated those balances to the class A-1A and A-1B notes and the associated exchange class A-1 notes, maintaining the subordination credit enhancement. The class B-1 notes were priced at a net weighted average coupon 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 Santander Mortgage Asset Receivable Trust 2026-NQM5 Class A-1, $216,366,000: AAA (sf) Class A-1A, $185,254,000: AAA (sf) Class A-1B, $31,112,000: AAA (sf) Class A-2, $19,444,000: AA (sf) Class A-3, $33,598,000: A (sf) Class M-1, $15,399,000: BBB (sf) Class B-1, $11,200,000: BB (sf) Class B-2, $9,022,000: B (sf) Class B-3, $6,066,503: NR Class B-3A, $4,549,000: NR Class B-3B, $1,517,503: NR Class A-IO-S, Notional(i): NR Class XS, Notional(i): NR Class PT, $311,095,503: NR Class R, N/A: NR (i)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. SCG 2026-PALM: 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 SCG 2026-PALM Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2026-PALM: 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 the Palmer Dadeland (the "Property"), a 844-unit Class A multifamily property located at 8215 SW 72nd Ave, Miami, FL. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The Property consists of an 844-unit multifamily community located in the Kendall East/Coral Gables submarket of Miami, FL. It is comprised of two adjacent 25-story residential towers that were completed in two phases, with Tower I delivered in 2017 and Tower II completed in 2019. The Property is situated near Dadeland Mall, the Dadeland North Metrorail Station, and several major transportation corridors that provide access to other areas of Miami-Dade County. The Property's residential component includes a mix of 80 studio units (9.5% of total units), 365 one-bedroom units (43.2%), 351 two-bedroom units (41.6%), and 48 three-bedroom units (5.7%). Unit sizes range from approximately 519 SF for studios to approximately 1,370 SF for three-bedroom units, with the mix averaging approximately 951 SF across the four unit types. Apartment interiors include ENERGY STAR stainless-steel appliances, quartz countertops, Italian cabinetry, moveable kitchen islands, roll-down window shades, electronic door locks, walk-in closets, full-size washers and dryers, illuminated bathroom mirrors, and frameless glass shower doors. Common-area amenities include a fitness center with dedicated spin and yoga studios, business and conference facilities, co-working space, clubrooms, a game room, coffee bar, sky lounge, rooftop decks, private theater, pet spa, bicycle storage, EV charging stations, outdoor recreation areas, and multiple pool areas with associated lounge and grilling facilities. As of May 2026, the Property reported physical occupancy of 95.7% and average in-place rents of approximately $2,827 per unit. During the preceding 13-month period, the Property executed 332 new leases and 442 renewals, with average vacancy downtime of approximately 19 days. The Property includes 28 furnished units (3.3% of the inventory) that participate in a short-term rental program. All short-term rental units are located within Tower II. The program is operated through an affiliated taxable REIT subsidiary (TRS) structure, under which the furnished units are leased to SREIT Dadeland TRS, LLC and subsequently rented to short-term occupants. Revenue generated by the short-term rental units is included within the Property's overall operating results. The remaining units are operated as traditional multifamily apartments and continue to represent the primary source of rental revenue for the Property. The Property is managed by Highmark Residential, LLC, an affiliated property management company that has managed the asset since its acquisition by the sponsor in 2021. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.05X and Moody's first mortgage stressed DSCR is 0.66X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $265,000,000 represents a Moody's LTV ratio of 119.5% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is also 119.5% 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 considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property quality grade is 0.75. Notable strengths of the transaction include: Property's quality, performance, location, demographics, market and submarket strength, and experienced sponsorship. Notable concerns of the transaction include a short-term rental program, high Moody's loan-to-value ("MLTV") ratio, lack of asset diversification, floating-rate interest-only mortgage loan profile and certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in May 2026. 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. With respect to classes with ratings above the applicable sovereign rating, significant exposure to defeasance may also lead to a downgrade. SCULPTOR CLO XXXVIII: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Sculptor CLO XXXVIII, Ltd. Entity/Debt Rating ----------- ------ Sculptor CLO XXXVIII, Ltd. A-1 810919AA8 LT NRsf New Rating A-1L LT NRsf New Rating A-2 810919AC4 LT AAAsf New Rating B 810919AE0 LT AAsf New Rating C-1 810919AG5 LT Asf New Rating C-2 810919AN0 LT Asf New Rating D-1 810919AJ9 LT BBB-sf New Rating D-2 810919AL4 LT BBB-sf New Rating E 810923AA0 LT BB-sf New Rating Subordinated 810923AC6 LT NRsf New Rating Transaction Summary Sculptor CLO XXXVIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sculptor CLO Advisors LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 20.98, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.66% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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 'Asf' and 'AA+sf' for class A-2, between 'BBB+sf' and 'A+sf' for class B, between 'BB+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BBB-sf' for class D-2 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA-sf' for class C, 'BBB+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 Sculptor CLO XXXVIII, 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. SILVER AIRCRAFT: Fitch Affirms 'B-sf' Rating on Class C Notes ------------------------------------------------------------- Fitch Ratings has affirmed the ratings of Silver Aircraft Lease Investment Limited (Silver) on all classes of notes. The Rating Outlooks remain Stable for all classes. Entity/Debt Rating Prior ----------- ------ ----- Silver Aircraft Lease Investment Limited A 827304AA4 LT A-sf Affirmed A-sf B 827304AB2 LT BBsf Affirmed BBsf C 827304AC0 LT B-sf Affirmed B-sf Transaction Summary The ratings reflect current transaction performance and Fitch's cash flow projections. Fitch also expects the structures to withstand rating-specific stresses under its criteria and cash flow modeling. Lease terms, lessee credit quality and performance, and Fitch's assumptions and stresses inform the modeled cash flows and coverage levels. Silver's A note has de-levered since Fitch's last review in July 2025, primarily due to three asset sales that resulted in approximately $56 million of net proceeds. The series B and series C notes have not paid principal since April 2020. The C note has accrued interest of $14 million since 2020. The de-levering of the classes reflects $87 million in pay down on the A notes since the last review, resulting in an improved loan to value (LTV) of all three classes. Current rental cash flow is in line with Fitch's projections for the transaction. All three of the notes are behind schedule, but the A note is now only $7 million (4%) behind schedule, a significant improvement since the last review. The B and C notes trail their scheduled balances by $24 million and $42 million, respectively. Aircraft Collateral and Asset Value: Aircraft ABS transaction servicers report continued demand for aircraft, particularly those with remaining maintenance green time. However, the pace of aircraft sales in the transactions surveilled by Fitch appears to be moderating. Macro Risks: Fitch expects global passenger traffic to grow in line with or modestly below long-term trend rates, supported by an increasing propensity for travel in emerging markets and potential improvements in North America after a soft 2025. Fitch also expects the market to remain supported by demand for premium products, particularly in North America and Europe. Continued return-to-office trends may support improved business travel volumes. Macroeconomic volatility, political uncertainty and consumer health remain watch items. Aircraft supply remains tight, although The Boeing Company's (BBB-/Stable) improving delivery reliability and ramping narrowbody production will aid airlines' planning visibility. Pratt & Whitney-related groundings will continue to be a constraint. Nearly 20% of delivered A320 NEO family aircraft are listed as parked or in storage, but this is likely to improve in 2026. For more information, see Fitch's report, "Global Airlines Outlook 2026." Fitch is closely monitoring the conflict in the Middle East and its potential impact on aviation ABS. Fitch expects aviation ABS ratings to remain stable under its baseline scenario. However, risks to this base case are significant, and sustained hostilities, operational and shipping disruptions, and high oil prices could result in greater credit pressure over time. Extended conflict and airspace closures could require flight rerouting and cancellations, which could pressure airline earnings and potentially weaken lessee credit quality. If the conflict is prolonged and sustained, elevated jet fuel prices will further weigh on airline margins, particularly for airlines with limited or no fuel hedging in place. Airlines may curtail capacity growth to preserve profitability or pass through higher costs, which may dampen demand. Financially weaker carriers that struggle to absorb these combined pressures face heightened default risk and may return aircraft early to lessors, resulting in increased aircraft downtime and longer periods of non-performing leases. For more information, see Fitch's report, "Aviation ABS Credit Vulnerable to Sustained Iran Conflict." KEY RATING DRIVERS Asset Values: The Fitch Value (FV) for the Silver pool is $305 million, down $74 million (19%) from the prior review in July 2025, which reflects a combination of asset sales and depreciation. Fitch used the most recent appraisals as of December 2025 for Silver and applied depreciation and market value decline assumptions pursuant to its criteria. FVs are generally derived from base values unless the remaining leasable life is less than three years. In those cases, a market value is used. Fitch then uses the lesser of the mean and median of the given value. Using the FV, the changes in LTVs since Fitch's prior review are as follows: - A note 73.4% to 62.8%; B note 91.6% to 85.3%; C note 102.2% to 99.4%. The mean MABV (depreciated from the appraisal effective date to May 2026) is $346 million. Tiered Collateral Quality: The Silver pool consists of 11 narrowbody (NB) and two widebody (WB) aircraft characterized as mid/late-life aircraft with a weighted-average (WA) age of 12.3 years). The WA age-adjusted tier is 1.5. Fitch uses three tiers to assess the desirability and liquidity of aircraft collateral: tier one, which is the most liquid, and tier three which is the least liquid. Additional details regarding Fitch's tiering methodology can be found here. Pool Concentration: The Silver pool is diversified with 13 assets on lease to 10 lessees. Fitch applies a concentration haircut to its forecasted cash flows based on the effective count of aircraft in the pool. As the pool ages and Fitch models aircraft being sold at the end of their leasable lives, which is generally 20 years, pool concentration will continue to increase. Silver is concentrated across regions with 50% exposure to Emerging Asia Pacific, 28% to Emerging Middle East & Africa, and 22% to Developing North America. Lessee Credit Risk: Fitch considers the credit risk posed by the pool of lessees to be high. The portfolio composition by lessee credit rating has not materially changed since the last review. Although delinquencies have improved since the prior review, arrear balances persist and will take time to recover. Operation and Servicing Risk: Fitch has found BOC Aviation to be an effective servicer based on its experience as a lessor, overall servicing capabilities and historical ABS performance to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - An increase in delinquencies that result in material cashflow declines, lower lease rates, increased LTVs or sales of aircraft below Fitch's projections could lead to a downgrade; - Fitch ran a sensitivity related to the lessee credit quality in the pool. Fitch assigns a credit rating of 'CCC' to 'CC' to 68% of the pool based on FV. The sensitivity assumes all future lessees are rated 'CCC'. This scenario results in a one notch change to the model-implied ratings for C note. - Fitch ran a sensitivity related to a reduction in FV to account for conservative appraisals by decreasing the FV by 10%. The pool is a mid-life pool and therefore may experience sharper declines in the value of the aircrafts as they age. Accordingly, this sensitivity accounts for an initial 10% deduction in starting aircraft value to integrate more conservative valuations into Fitch's modeling. This scenario resulted in a one-notch downgrade to the A note, no change to the B note, and a two-notch downgrade to the C note. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - The aircraft ABS sector has a rating cap of 'Asf'; - If contractual lease rates outperform modeled cash flows or lessee credit quality improves materially, this may lead to an upgrade. Similarly, if assets in the pool show higher values and stronger rent generation than Fitch's stressed scenarios, this may also lead to an upgrade; - Fitch also considers jurisdictional concentrations per its "Structured Finance and Covered Bonds Country Risk Rating Criteria," which could result in rating caps lower than 'Asf'. 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. SIXTH STREET VI: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Sixth Street CLO VI, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Sixth Street CLO VI, Ltd. A-1-R3 83013VAA0 LT AAAsf New Rating AAA(EXP)sf A-1L-R3 LT AAAsf New Rating AAA(EXP)sf A-2-R3 83013VAC6 LT AAAsf New Rating AAA(EXP)sf B-R3 83013VAE2 LT AAsf New Rating AA(EXP)sf C-R3 83013VAG7 LT Asf New Rating A(EXP)sf D-1-R3 83013VAJ1 LT BBB-sf New Rating BBB-(EXP)sf D-2-R3 83013VAL6 LT BBB-sf New Rating BBB-(EXP)sf E-R3 83013WAA8 LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Sixth Street CLO VI, Ltd. (the issuer, fka TICP CLO VI 2016-2, Ltd.) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sixth Street CLO VI Management, 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 23.74 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 98.37% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.32% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48.75% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AAAsf' for class A-1-R3, between 'A-sf' and 'AA+sf' for class A-2-R3, between 'BBB-sf' and 'A+sf' for class B-R3, between 'BB-sf' and 'Asf' for class C-R3, between less than 'B-sf' and 'BBB+sf' for class D-1-R3, between less than 'B-sf' and 'BBB-sf' for class D-2-R3, and between less than 'B-sf' and 'BBsf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R3 and class A-2-R3 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AA+sf' for class C-R3, 'A+sf' for class D-1-R3, 'Asf' for class D-2-R3, and 'BBB+sf' for class E-R3. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 25 June 2026 ESG Considerations Fitch does not provide ESG relevance scores for Sixth Street CLO VI, 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. SIXTH STREET VI: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R3 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Sixth Street CLO VI, Ltd. Entity/Debt Rating ----------- ------ Sixth Street CLO VI, Ltd. A-1-R3 LT AAA(EXP)sf Expected Rating A-1L-R3 LT AAA(EXP)sf Expected Rating A-2-R3 LT AAA(EXP)sf Expected Rating B-R3 LT AA(EXP)sf Expected Rating C-R3 LT A(EXP)sf Expected Rating D-1-R3 LT BBB-(EXP)sf Expected Rating D-2-R3 LT BBB-(EXP)sf Expected Rating E-R3 LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary Sixth Street CLO VI, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sixth Street CLO VI Management, 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 23.74 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 98.37% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.32% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48.75% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AAAsf' for class A-1-R3, between 'A-sf' and 'AA+sf' for class A-2-R3, between 'BBB-sf' and 'A+sf' for class B-R3, between 'BB-sf' and 'Asf' for class C-R3, between less than 'B-sf' and 'BBB+sf' for class D-1-R3, between less than 'B-sf' and 'BBB-sf' for class D-2-R3, and between less than 'B-sf' and 'BBsf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R3 and class A-2-R3 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AA+sf' for class C-R3, 'A+sf' for class D-1-R3, 'Asf' for class D-2-R3, and 'BBB+sf' for class E-R3. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Sixth Street CLO VI, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. SONA US 2: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Sona US CLO 2 Ltd. Entity/Debt Rating ----------- ------ Sona US SW Augusta A1 LT NRsf New Rating A1L LT NRsf New Rating A2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D1 LT BBB-sf New Rating D2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Sona US CLO 2 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sona Asset Management (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 23.15, 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 99.65% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.94% 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 weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D-1, between less than 'B-sf' and 'BBB-sf' for class D-2 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, '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 Sona US CLO 2 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. SYMPHONY CLO 54: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Symphony CLO 54 Ltd./Symphony CLO 54 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 Symphony Alternative Asset Management LLC, a subsidiary of Nuveen Asset Management LLC. The preliminary ratings are based on information as of July 1, 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 Symphony CLO 54 Ltd./Symphony CLO 54 LLC Class A, $248.00 million: AAA (sf) Class B, $56.00 million: AA (sf) Class C-1, $18.00 million: A (sf) Class C-2, $6.00 million: A (sf) Class D, $24.00 million: BBB- (sf) Class E, $15.00 million: BB- (sf) Subordinated notes, $40.17 million: NR NR--Not rated. VENTURE 32 CLO: Moody's Cuts Rating on $28.5MM Class E Notes to B3 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by Venture 32 CLO, Limited. US$28,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to B3 (sf); previously on February 10, 2026 Downgraded to B1 (sf) Venture 32 CLO, Limited, originally issued in July 2018 and partially refinanced in August 2020, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The 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 the trustee's June 2026 report[1], the OC ratio for the Class E notes is reported at 96.96% versus January 2026[2] level of 99.91%. Furthermore, the trustee-reported weighted average rating factor (WARF) have been deteriorating and the current level is 3671[3], compared to 3432 in January 2026[4]. No actions were taken on the Class A-1, Class A-FR, Class A-2BR, Class B, Class C, Class D and Class F notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in April 2026. 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: $211,981,097 Defaulted par: $10,821,361 Diversity Score: 53 Weighted Average Rating Factor (WARF): 3455 Weighted Average Spread (WAS): 3.78% Weighted Average Recovery Rate (WARR): 44.47% Weighted Average Life (WAL): 2.95 years Par haircut in OC tests and interest diversion test: 7.53% 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 April 2026. 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. VENTURE 38 CLO: Moody's Cuts Rating on $31.2MM Class E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has upgraded the rating on the following notes issued by Venture 38 CLO, Limited: US$28,800,000 Class CRR Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class CRR Notes"), Upgraded to Aaa (sf); previously on March 7, 2025 Assigned Aa2 (sf) Moody's have also downgraded the rating on the following notes: US$31,200,000 Class E Junior Secured Deferrable Floating Rate Notes due 2032 (the "Class E Notes"), Downgraded to B1 (sf); previously on August 28, 2019 Definitive Rating Assigned Ba3 (sf) Venture 38 CLO, Limited, originally issued in August 2019 and last refinanced in March 2025, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2024. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE This upgrade rating action is primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since May 2025. The Class ARR notes have been paid down by approximately 57.9% or $175.8 million since then. Based on the trustee's May 2026 report[1], the OC ratio for the Class CRR notes is reported at 129.53% versus 121.32% in May 2025[2]. The downgrade rating action on the Class E notes reflects the specific risks to the more junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's May 2026 report[3], the OC ratio for the Class E notes is reported at 101.27% versus 104.47% in May 2025[4]. Furthermore, the trustee-reported weighted average rating factor (WARF) has been deteriorating and the current level is currently 3064 compared to 2762 in May 2025, failing the test level of 2886. No actions were taken on the Class ARR, Class BRR, Class DRR 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 April 2026. 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: $321,800,094 Defaulted par: $10,691,450 Diversity Score: 72 Weighted Average Rating Factor (WARF): 3161 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 9.00% Weighted Average Recovery Rate (WARR): 45.34% Weighted Average Life (WAL): 3.3 years Par haircut in OC tests and interest diversion test: 4.04% 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 April 2026. 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. VOYA CLO 2026-2: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2026-2, Ltd. Entity/Debt Rating ----------- ------ Voya CLO 2026-2, Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Voya CLO 2026-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.39, 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 99.68% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.8% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBBsf' for class D-1, between less than 'B-sf' and 'BBB-sf' for class D-2 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' 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 Voya CLO 2026-2, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. WELLS FARGO 2017-C42: Fitch Lowers Rating on Two Tranches to 'Csf' ------------------------------------------------------------------ Fitch Ratings has downgraded six classes and affirmed 10 classes of Wells Fargo Commercial Mortgage Trust 2017-C42 (WFCM 2017-C42). The Rating Outlook on class A-S was revised to Stable from Negative. Classes D and X-D were assigned Negative Outlooks and classes B, C, and X-B remain Negative. Fitch also affirmed 14 classes of Wells Fargo Commercial Mortgage Trust 2017-C41 (WFCM 2017-C41), and the Outlooks for classes A-S, B, C, D, X-B, X-D, E-RR, and F-RR remain Negative. In addition, Fitch affirmed the MOA 2020-WC41 E-RR horizontal risk retention pass through certificate (2017 C41 III) and its Outlook remains Negative. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2017-C41 A-2 95001ABA3 LT AAAsf Affirmed AAAsf A-3 95001ABC9 LT AAAsf Affirmed AAAsf A-4 95001ABD7 LT AAAsf Affirmed AAAsf A-S 95001ABG0 LT AAAsf Affirmed AAAsf A-SB 95001ABB1 LT AAAsf Affirmed AAAsf B 95001ABH8 LT AA-sf Affirmed AA-sf C 95001ABJ4 LT A-sf Affirmed A-sf D 95001AAD8 LT BBBsf Affirmed BBBsf E-RR 95001AAG1 LT BBsf Affirmed BBsf F-RR 95001AAK2 LT Bsf Affirmed Bsf G-RR 95001AAN6 LT CCCsf Affirmed CCCsf X-A 95001ABE5 LT AAAsf Affirmed AAAsf X-B 95001ABF2 LT AA-sf Affirmed AA-sf X-D 95001AAA4 LT BBBsf Affirmed BBBsf WFCM 2017-C42 A-3 95001GAD5 LT AAAsf Affirmed AAAsf A-4 95001GAE3 LT AAAsf Affirmed AAAsf A-BP 95001GAF0 LT AAAsf Affirmed AAAsf A-S 95001GAK9 LT AAAsf Affirmed AAAsf A-SB 95001GAC7 LT AAAsf Affirmed AAAsf B 95001GAL7 LT AA-sf Affirmed AA-sf C 95001GAM5 LT BBB-sf Affirmed BBB-sf D 95001GAU7 LT Bsf Downgrade BB-sf E 95001GAW3 LT CCsf Downgrade CCCsf F 95001GAY9 LT Csf Downgrade CCsf X-A 95001GAG8 LT AAAsf Affirmed AAAsf X-B 95001GAJ2 LT BBB-sf Affirmed BBB-sf X-BP 95001GAH6 LT AAAsf Affirmed AAAsf X-D 95001GAN3 LT Bsf Downgrade BB-sf X-E 95001GAQ6 LT CCsf Downgrade CCCsf X-F 95001GAS2 LT Csf Downgrade CCsf MOA 2020-WC41 E E-RR 90215VAA1 LT BBsf Affirmed BBsf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 9.1% in WFCM 2017-C42 and 5.4% in WFCM 2017-C41, compared to 8.5% and 5.5%, respectively, at Fitch's last rating action. Fitch Loans of Concern (FLOCs) comprise six loans (20.4% of the pool) in WFCM 2017-C42, including four specially serviced loans (13.6%), and 10 loans (27.4%) in WFCM 2017-C41, including one specially serviced loan (2.6%). This compares to nine FLOCs and four specially serviced loans at Fitch's prior rating action in WFCM 2017-C42 and 14 FLOCs and three specially serviced loans in WFCM 2017-C41. The downgrades in WFCM 2017-C42 reflect higher pool loss expectations since Fitch's prior rating action, mainly driven by increased expected losses for the 16 Court Street loan (10.5%). The loan is in special servicing and has experienced significant performance and occupancy declines. The Negative Outlooks reflect the potential for further downgrades should the value of the specially serviced loans, including 16 Court Street and One Cleveland Center, continue to decline or should more loans than expected fail to refinance at maturity and transfer to the special servicer. The affirmations in WFCM 2017-C41 and MOA 2020-WC41 E reflect relatively stable pool loss expectations since Fitch's prior rating action. The Negative Outlooks reflect the potential for downgrades should the FLOCs not stabilize, if loans are unable to be refinanced at maturity and/or recovery expectations decline, including National Office Portfolio (3.6%), DoubleTree Berkeley Marina (2.6%), and Cascade Building loans (1.4%). Due to the large concentration of loan maturities in 2027, Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment and/or loss expectation. This analysis contributed to the rating actions and the Negative Outlooks. Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action and overall largest contributor to loss in WFCM 2017-C42 is the specially serviced 16 Court Street loan. The loan transferred to special servicing in August 2024 for imminent monetary default as the borrower notified the lender that it would be unable to pay debt service due to occupancy declines. Per the March 2026 rent roll, occupancy declined to 48.2% from 52.5 at March 2025 and 70% at March 2024 following the former top tenant's, The City University of New York (14.5% of NRA; August 2024), departure at lease expiration. The location had served as the office of academic affairs for the Continuing Education and Workforce Programs (CEWP) of the City University of New York. In addition, the Walgreens location (formerly Duane Reade; 3.5% NRA) closed in March 2025 as part of the company's planned store closings. According to CoStar, office properties in the Downtown Brooklyn office submarket had 20.3% vacancy and 14.3% availability rates and market asking rent of $53.21 psf. As of the March 2026 rent roll, annual rent equates to $63.16 psf at the property. Fitch's 'Bsf' rating case loss of 57.1% (prior concentration add-ons) reflects a haircut to the most recently reported appraised value which equates to $174 psf. The second largest increase in loss expectations since the prior rating action in WFCM 2017-C42 is the River Park I (2.7%) loan. The loan is secured by a 167,663-sf suburban office building in Conshohocken, PA. The property is currently leased to two tenants that make up 97.3% of the NRA and both leases expire in the second half of 2029. While payments have been current for the past 12 months, 100% of the property is available for sublease on CoStar. Fitch's 'Bsf' rating case loss of 11.3% (prior to concentration add-ons) reflects a stress applied to the YE 2025 NOI and an elevated probability of default. The largest contributor to overall loss expectations in WFCM 2017-C41 is the DoubleTree Berkeley Marina loan, which is secured by a 378-key full-service hotel located in Berkeley, CA. The loan transferred to special servicing in February 2025 due to imminent monetary default stemming from the significant decline in NOI since 2019. The loan remains current as of the May 2026 remittance. The borrower is willing to proceed with a deed in lieu of foreclosure, which is currently being evaluated by the special servicer. The property is subject to a 50-year ground lease with the city of Berkeley that expires in December 2058, approximately 31 years after loan maturity. The borrower is currently in default under its ground lease obligations. The YE 2025 NOI is 77% below YE 2019 and 72% below Fitch's expectations from issuance. Total operating expenses have steadily increased since 2022, outpacing the increase in revenue. Per the most recent STR report for TTM April 2026, occupancy, ADR and RevPAR were 77% (113% penetration rate), $172 (94% penetration rate) and $132 (106% penetration rate), respectively. Fitch's 'Bsf' rating case loss of 43.8% (prior to concentration add-ons) reflects a 11.25% cap rate on the YE 2025 NOI and an elevated probability of default. The second largest contributor to overall loss expectations in WFCM 2017-C41 is the Cascade Building loan. The loan is a FLOC given the low occupancy and submarket concerns and is secured by a 94,859-sf, mixed-use property (including a 12-story office building with ground floor retail) in Portland, OR, built in 1926 and renovated in 2014. Occupancy has declined since 2019 and as of the March 2026 rent roll, occupancy was 38.1%, down from 40% at March 2024, 75% at YE 2019, and 79% at underwriting. Rollover consists of 5.9% in 2026, 5% in 2027, and 14.7% in 2028. According to CoStar, comparable office properties in the CBD Office Submarket had 29.8% vacancy and 30.9% availability rates and market asking rents of $31.23 compared to 26.2%, 28.1%, and $26.35 at Fitch's prior rating action. As of the March 2026 rent roll, annual rent equates to $22.44 psf at the property. The total Portland market had 15.2% vacancy and 16.5% availability rates and market asking rents of $29.99. Fitch's 'Bsf' rating case loss of 49.5% (prior to concentration add-ons) reflects an 11% cap rate on the YE 2025 NOI and an elevated probability of default. Changes in Credit Enhancement (CE): As of the June 2026 remittance report, the aggregate balances of the WFCM 2017-C42 and WFCM 2017-C41 transactions have been reduced by 15.0% and 11.2%, respectively, since issuance. Defeasance in WFCM 2017-C42 and WFCM 2017-C41 totals 2.8% (three loans) and 9.3% (five loans), respectively. Loan maturities are concentrated in 2027 with 32 loans for 99.8% of the pool in WFCM 2017-C42 and 49 loans for 100% of the pool in WFCM 2017-C41. Cumulative interest shortfalls for the WFCM 2017-C42 and WFCM 2017-C41 transactions are $1.9M and $690,497 respectively. In WFCM 2017-C42, the shortfalls affect the non-rated class RRI, G, and the rated classes F and E. In WFCM 2017-C41 the shortfalls affect the non-rated class H-RR. Realized losses in WFCM 2017-C42 total $1.3M and $12.5M in WFCM 2017-C41, largely due to the liquidation of the Hilton Houston Galleria TX. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes with Stable Outlooks are not expected given the high CE and expected paydown from amortization and loan payoffs. However, downgrades may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected. Downgrades to classes rated in the 'AAAsf', 'AAsf', and 'Asf' categories, with Negative Outlooks, may occur should performance of the FLOCs deteriorate further, expected losses increase, or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs include 16 Court Street, One Cleveland Center, Courtyard Los Angeles Sherman Oaks, and River Park I in WFCM 2017-C42, and DoubleTree Berkeley Marina, Marriott LAX, Mall of Louisiana, National Office Portfolio, Redmont Hotel Curio, and Cascade Building in WFCM 2017-C41. Downgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories, particularly those with Negative Outlooks, could occur with higher-than-expected losses from continued underperformance of the FLOCs and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings would occur should additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' categories are possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to classes rated in the 'BBBsf', 'BBsf', and 'Bsf' categories would be limited based on sensitivity to concentrations or the potential for future concentration and would occur only if the performance of the remaining pool is stable and there is sufficient CE to the classes due to paydown and defeasance. 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. WELLS FARGO 2026-5C10: Fitch Assigns B-sf Rating on Cl. F-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2026-5C10, commercial mortgage pass-through certificates, series 2026-5C10 as follows: - $3,945,000 class A-1 'AAAsf'; Outlook Stable; - $378,433,000 (a) class A-3 'AAAsf'; Outlook Stable; - $382,378,000 (b) class X-A 'AAAsf'; Outlook Stable; - $92,863,000 (b) class X-B 'A-sf'; Outlook Stable; - $39,603,000 class A-S 'AAAsf'; Outlook Stable; - $30,045,000 class B 'AA-sf'; Outlook Stable; - $23,215,000 class C 'A-sf'; Outlook Stable; - $21,851,000 (b)(c) class X-D 'BBB-sf'; Outlook Stable; - $13,656,000 (b)(c) class X-E 'BB-sf'; Outlook Stable; - $21,851,000 (c) class D 'BBB-sf'; Outlook Stable; - $13,656,000 (c) class E 'BB-sf'; Outlook Stable; - $9,559,000 (c)(d) class F-RR 'B-sf'; Outlook Stable. The following class are not rated by Fitch: - $25,947,993 (c)(d) class G-RR. (a) The initial certificate balance of class A-2 was expected to be in the range of $0 to $175,000,000, and the initial certificate balance of class A-3 was expected to be in the range of $203,433,000 to $378,433,000. Since Fitch published its expected ratings on June 10, 2026, class A-2 was removed and the aggregate balance for classes A-2 and A-3 was allocated to class A-3; the final class balance of class A-3 is $378,433,000. (b) Notional amount and interest only. (c) Privately placed and pursuant to Rule 144A. (d) Horizontal risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 29 loans secured by 62 commercial properties having an aggregate principal balance of $546,254,993 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Argentic Real Estate Finance 2 LLC, LMF Commercial, LLC, Societe Generale Financial Corporation, Citi Real Estate Funding Inc., Goldman Sachs Mortgage Company, BSPRT CMBS Finance, LLC, JPMorgan Chase Bank, National Association and UBS AG New York Branch. The master servicer is Trimont LLC, and the special servicer is Argentic Services Company LP. The trustee is Deutsche Bank National Trust Company, and the certificate administrator is Computershare Trust Company, National Association. Park Bridge Lender Services LLC is the operating advisor and asset representations reviewer. The certificates follow a sequential paydown structure. The transaction's closing date is June 29, 2026. The initial certificate balance of class A-2 was expected to be in the range of $0 to $175,000,000, and the initial certificate balance of class A-3 was expected to be in the range of $203,433,000 to $378,433,000. Since Fitch published its expected ratings on June 10, 2026, class A-2 was removed and the aggregate balance for classes A-2 and A-3 was allocated to class A-3; the final class balance of class A-3 is $378,433,000. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analysis on 19 loans totaling 89.2% of the pool by balance. Fitch's resulting aggregate net cash flow (NCF) of $56.4 million represents a 11.6% decline from the issuer's aggregate underwritten NCF of $63.8 million. Higher Fitch Leverage: The pool's Fitch leverage is higher than that of recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 101.6% is higher than the 2026 YTD five-year multiborrower transaction average of 98.1% and the 2025 five-year multiborrower transaction average of 101.0%. The pool's Fitch NCF debt yield (DY) of 10.3% is lower than the 2026 YTD average of 10.6% but above the 2025 average of 9.7%. Higher Pool Concentration: The pool is more concentrated than recently rated Fitch transactions. The top 10 loans represent 67.9% of the pool, which is higher than the 2026 YTD and 2025 five-year multiborrower averages of 60.8%and 61.5%, 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 18.3, which is lower than the 2026YTD and 2025 five-year multiborrower averages of 22.3 and 21.8, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower 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 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'/'BBsf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BB-sf'/'Bsf'/'Bsf'/below 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf''; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WESTLAKE AUTOMOBILE 2025-1: S&P Assigns 'BB+' Rating on Cl E Notes ------------------------------------------------------------------ S&P Global Ratings raised its ratings on 27 classes of notes from Westlake Automobile Receivables Trust (Westlake) 2022-2, 2022-3, 2023-1, 2023-2, 2023-3, 2023-4, 2024-2, 2024-3, and 2025-1. At the same time, S&P affirmed its ratings on 11 classes from the transactions. These issuances are ABS transactions backed by subprime retail auto loan receivables originated and serviced by Westlake Services LLC. The rating actions reflect: -- The transactions' collateral performance to date and S&P's expectations regarding their future collateral performance; -- S&P's remaining expected cumulative net loss (ECNL) 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 S&P's most recent U.S. macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP and unemployment. Considering all these factors, S&P believes the notes' creditworthiness is consistent with the raised and affirmed ratings. S&P said, "We maintained our ECNLs for series 2022-2, 2022-3, and 2024-3, given our view that they are performing in line with our initial or prior CNL expectations. Series 2023-1, 2023-2, 2023-3, 2023-4, 2024-1, 2024-2, and 2025-1 are performing worse than our initial or prior CNL expectations. As such, we revised and raised our expected CNLs for these transactions." Table 1 Collateral performance (%) (i) Pool Current Current Current 60-plus-day Series Month Factor CGL CRR CNL delinq. Ext. 2022-2 48 11.43 25.74 28.20 18.48 2.10 11.00 2022-3 44 12.36 22.69 26.32 16.72 2.03 9.14 2023-1 41 17.32 21.54 28.52 15.40 1.39 8.00 2023-2 39 17.79 19.95 28.62 14.24 1.58 8.80 2023-3 34 24.48 19.92 26.59 14.62 1.63 8.10 2023-4 31 28.67 17.33 27.36 12.59 1.47 7.88 2024-1 27 35.32 14.40 28.64 10.28 1.37 7.79 2024-2 24 39.83 12.10 30.55 8.40 1.19 7.77 2024-3 20 47.68 9.08 32.30 6.15 1.01 6.78 2025-1 17 54.77 8.15 33.98 5.38 1.04 6.96 (i)As of the June 2026 distribution date. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Delinq.--Delinquencies. Ext.--Extension rate. Table 2 CNL expectations (%) Original Prior Current Lifetime lifetime lifetime Series CNL exp. CNL exp. (i) CNL exp. (ii) 2022-2 12.75 19.00 19.00 2022-3 12.50 17.25 17.25 2023-1 12.50 16.50 17.25 2023-2 12.50 15.75 16.00 2023-3 12.50 17.00 18.25 2023-4 12.50 15.25 17.00 2024-1 12.50 13.75 15.25 2024-2 12.50 12.75 13.75 2024-3 12.50 N/A 12.50 2025-1 12.50 N/A 12.75 (i)Revised in June 2025 for series 2022-2 and in August 2025 for series 2022-3, 2023-1, 2023-2, 2023-3, 2023-4, 2024-1, and 2024-2. (ii)Revised in June 2026. CNL exp.--Cumulative net loss expectations. N/A--Not applicable Each transaction has a sequential principal payment structure in which the notes are paid principal by seniority, which increases the credit enhancement for the senior notes as the pool amortizes. Each transaction also has credit enhancement in the form of a nonamortizing reserve account, overcollateralization (except series 2022-2), subordination for the more senior classes, and excess spread. As of the June 2026 distribution date, each transaction's nonamortizing reserve account is at its required level except for series 2022-2, which is below its reserve target. Series 2022-2 has exhausted its overcollateralization amount, and series 2022-3, 2023-1, and 2022-3 series are below their overcollateralization targets. Overall, each transaction's sequential principal payment structure has led to an increase in hard credit enhancement since issuance. Table 3 Hard credit support(i) Total hard Current total credit support hard credit support Series Class at issuance (%) (% of current) 2022-2 D 14.30 97.76 2022-2 E 11.30 71.52 2022-2 F 3.75 5.47 2022-3 D 15.05 54.36 2022-3 E 10.50 17.56 2023-1 C 24.10 94.48 2023-1 D 15.60 45.42 2023-1 E 10.70 17.13 2023-2 D 18.00 52.42 2023-2 E 12.30 20.37 2023-3 C 23.05 73.12 2023-3 D 18.00 37.17 2023-3 E 12.30 16.75 2023-4 B 34.25 102.81 2023-4 C 23.55 65.50 2023-4 D 14.65 34.44 2023-4 E 9.50 16.49 2024-1 B 38.35 98.03 2024-1 C 28.65 70.57 2024-1 D 18.75 42.54 2024-1 E 12.30 24.28 2024-2 A 43.35 100.22 2024-2 B 35.85 81.39 2024-2 C 25.20 54.66 2024-2 D 15.70 30.81 2024-2 E 11.30 19.76 2024-3 A 41.55 84.82 2024-3 B 34.05 69.09 2024-3 C 23.40 46.75 2024-3 D 13.90 26.83 2024-3 E 9.50 17.60 2025-1 A 40.15 76.44 2025-1 B 33.30 63.94 2025-1 C 22.30 43.85 2025-1 D 13.50 27.79 2025-1 E 8.70 19.03 (i)As of the June 2026 distribution date. Calculated as a percentage of the total gross receivable pool balance, which consists of a reserve account, overcollateralization, and, if applicable, subordination. Excludes excess spread, which can also provide additional enhancement. S&P said, "We incorporated an analysis of the current hard credit enhancement compared to the remaining ECNLs for those classes where hard credit enhancement alone, without giving credit to the excess spread, was sufficient, in our view, to support the rating actions. For the other classes, we incorporated cash flow analyses to assess the loss coverage level, giving credit to excess spread. Our cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given the transactions' performance to date. "In addition to our break-even cash flow analyses, 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 loss expectations. "In our view, the total credit support as a percentage of the amortizing pool balance, compared with our minimum expected remaining losses, based on the cash flow results, demonstrated that all of the classes have adequate credit enhancement at their respective raised and affirmed rating levels, which is based on our analysis as of the collection period ended May 31, 2026 (the June 2026 distribution date). We will continue to monitor the performance of the outstanding transactions 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 Westlake Automobile Receivables Trust Series 2022-2, class D to 'AAA (sf)' from 'AA- (sf)' Series 2022-2, class E to 'AAA (sf)' from 'BBB+ (sf)' Series 2022-2, class F to 'BBB (sf)' from 'B (sf)' Series 2022-3, class D to 'AAA (sf)' from 'AA- (sf)' Series 2022-3, class E to 'AAA (sf)' from 'BB (sf)' Series 2023-1, class D to 'AAA (sf)' from 'A (sf)' Series 2023-1, class E to 'BBB+ (sf)' from 'BB+ (sf)' Series 2023-2, class D to 'AAA (sf)' from 'A+ (sf)' Series 2023-2, class E to 'A (sf)' from 'BB+ (sf)' Series 2023-3, class C to 'AAA (sf)' from 'AA+ (sf)' Series 2023-3, class D to 'A+ (sf)' from 'BBB+ (sf)' Series 2023-4, class C to 'AAA (sf)' from 'AA+ (sf)' Series 2023-4, class D to 'A (sf)' from 'BBB+ (sf)' Series 2024-1, class C to 'AAA (sf)' from 'AA+ (sf)' Series 2024-1, class D to 'AA+ (sf)' from 'A+ (sf)' Series 2024-1, class E to 'BBB (sf)' from 'BB (sf)' Series 2024-2, class C to 'AAA (sf)' from 'AA (sf)' Series 2024-2, class D to 'A+ (sf)' from 'BBB+ (sf)' Series 2024-2, class E to 'BBB (sf)' from 'BB (sf)' Series 2024-3, class B to 'AAA (sf)' from 'AA (sf)' Series 2024-3, class C to 'AA+ (sf)' from 'A (sf)' Series 2024-3, class D to 'A+ (sf)' from 'BBB (sf)' Series 2024-3, class E to 'BBB (sf)' from 'BB (sf)' Series 2025-1, class B to 'AAA (sf)' from 'AA (sf)' Series 2025-1, class C to 'AA+ (sf)' from 'A (sf)' Series 2025-1, class D to 'A (sf)' from 'BBB (sf)' Series 2025-1, class E to 'BB+ (sf)' from 'BB (sf)' Ratings Affirmed Westlake Automobile Receivables Trust Series 2023-1, class C: AAA (sf) Series 2023-3, class E: BB (sf) Series 2023-4, class B: AAA (sf) Series 2023-4, class E: BB (sf) Series 2024-1, class B: AAA (sf) Series 2024-2, class A-3: AAA (sf) Series 2024-2, class B: AAA (sf) Series 2024-3, class A-3: AAA (sf) Series 2025-1, class A-2-A: AAA (sf) Series 2025-1, class A-2-B: AAA (sf) Series 2025-1, class A-3: AAA (sf) WHITEBOX CLO IV: S&P Assigns Prelim BB- (sf) Rating on E-R2 Debt ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt and proposed new class X-R2 debt from Whitebox CLO IV Ltd./Whitebox CLO IV LLC, a CLO managed by Whitebox Capital Management LLC, a subsidiary of Whitebox Advisors LLC, that was originally issued in March 2023 and underwent a refinancing in April 2025. The preliminary ratings are based on information as of June 30, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 2, 2026, refinancing date, the proceeds from the replacement and proposed new debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1R, B-R, C-R, D-1R, D-2R, and E-R debt and assign ratings to the replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt and proposed new class X-R2 debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement and proposed new debt." The replacement and proposed new debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement and proposed new debt. According to the proposed supplemental indenture: -- The replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The reinvestment period will be extended to July 20, 2031. -- The legal final maturity date for the replacement debt and the existing subordinated notes will be extended to July 20, 2039. -- The non-call period will be extended to July 2, 2028. -- No additional assets will be purchased on the July 2, 2026, refinancing date, and the target initial par amount will remain at $400.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2026. -- New class X-R2 debt will be issued on the refinancing date. This debt is expected to be paid down using interest proceeds in equal installments of $0.021 million, beginning on the second payment date and ending on the payment date in July 2031. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Whitebox CLO IV Ltd./Whitebox CLO IV LLC Class X-R2, $4.0 million: AAA (sf) Class A-1-R2, $256.0 million: AAA (sf) Class A-2-R2, $8.0 million: AAA (sf) Class B-R2, $40.0 million: AA (sf) Class C-R2 (deferrable), $24.0 million: A (sf) Class D-1-R2 (deferrable), $24.0 million: BBB- (sf) Class D-2-R2 (deferrable), $2.5 million: BBB- (sf) Class E-R2 (deferrable), $13.5 million: BB- (sf) Other Debt Whitebox CLO IV Ltd./Whitebox CLO IV LLC Subordinated notes, $46.0 million: NR NR--Not rated. WINDHILL CLO 5: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Windhill CLO 5 Ltd./Windhill CLO 5 LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by PGIM Inc. and Deerpath Capital Management L.P. (Deerpath), an affiliate of PGIM Inc. and serving as its sub-advisor. 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. 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 S&P has assigned. However, given the various factors and assumptions incorporated in its quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, S&P may assign lower ratings to the debt than what our model results suggest. Ratings Assigned Windhill CLO 5 Ltd./Windhill CLO 5 LLC Class A, $232.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $32.00 million: A (sf) Class D (deferrable), $24.00 million: BBB (sf) Class E (deferrable), $36.00 million: BB- (sf) Subordinated notes, $36.54 million: NR NR--Not rated. [] Fitch Affirms 31 Classes & Hikes 27 Classes From 11 CLOs ----------------------------------------------------------- Fitch Ratings has affirmed the ratings on 31 classes, upgraded 27 classes and assigned, revised or maintained Positive Rating Outlooks for 15 classes of notes from 11 collateralized loan obligations (CLOs) to resolve classes previously placed on Under Criteria Observation (UCO). Rating actions and performance metrics for each CLO are reported in the accompanying rating action report. Entity/Debt Rating Prior ----------- ------ ----- TSTAT 2022-1, Ltd. A-R-3 872899BL2 LT AAAsf Affirmed AAAsf B-R-3 872899BN8 LT AAsf Affirmed AAsf C-R-3 872899BQ1 LT Asf Affirmed Asf D-R-3 872899BS7 LT BBB+sf Affirmed BBB+sf E-R-3 87289RAL3 LT BB+sf Affirmed BB+sf Golub Capital Partners Static 2025-1, Ltd. A-L LT AAAsf Affirmed AAAsf B 38180UAA3 LT AAsf Affirmed AAsf C 38180UAC9 LT A+sf Upgrade Asf D-1 38180UAE5 LT BBB+sf Upgrade BBB-sf D-2 38180UAG0 LT BBB+sf Upgrade BBB-sf E 38181BAA4 LT BBsf Upgrade BB-sf KKR Static CLO I Ltd. A-R2 48255QAU7 LT AAAsf Affirmed AAAsf B-R2 48255QAW3 LT AAAsf Affirmed AAAsf C-R2 48255QAY9 LT AAsf Upgrade A+sf D-R2 48255QBA0 LT A+sf Upgrade BBB+sf E-R2 48255RAE1 LT BB+sf Affirmed BB+sf Symphony CLO XXIII, Ltd. - Refi. A-R2 87167NDL6 LT AAAsf Affirmed AAAsf B-R2 87167NDN2 LT AAAsf Affirmed AAAsf C-R2 87167NDQ5 LT AA+sf Upgrade AA-sf D-1R2 87167NDS1 LT A-sf Upgrade BBB+sf D-2R2 87167NDU6 LT BBB+sf Upgrade BBB-sf E-R2 87167PAG5 LT BB-sf Affirmed BB-sf TCI-Flatiron CLO 2018-1 Ltd. A-R2 87232CAA8 LT AAAsf Affirmed AAAsf B-R2 87232CAC4 LT AA+sf Affirmed AA+sf C-R2 87232CAE0 LT A+sf Affirmed A+sf D-R2 87232CAG5 LT BBB+sf Upgrade BBB-sf E-R2 87232DAA6 LT BB+sf Upgrade BB-sf Golub Capital Partners Static 2024-1, Ltd. A-L-R LT AAAsf Affirmed AAAsf A-R 381929AN8 LT AAAsf Affirmed AAAsf B-R 381929AQ1 LT AAsf Affirmed AAsf C-R 381929AS7 LT A+sf Upgrade Asf D-1-R 381929AU2 LT BBB+sf Upgrade BBB-sf D-2-R 381929AW8 LT BBB+sf Upgrade BBB-sf E-R 381944AE7 LT BB+sf Upgrade BBsf KKR CLO 18 Ltd._ Reset 2025 A-1-R2 48251JAS2 LT AAAsf Affirmed AAAsf A-2-R2 48251JAU7 LT AAAsf Affirmed AAAsf B-R2 48251JAW3 LT AA+sf Upgrade AAsf C-R2 48251JAY9 LT A+sf Upgrade Asf D-R2 48251JBA0 LT BBB+sf Upgrade BBB-sf E-R2 48251HAE7 LT BBsf Upgrade BB-sf Harbor Park CLO, Ltd. A-R2 41154XAW5 LT AAAsf Affirmed AAAsf B-R2 41154XAY1 LT AAAsf Affirmed AAAsf C-R2 41154XBA2 LT A+sf Affirmed A+sf D-R2 41154XBC8 LT BBB+sf Upgrade BBB-sf E-R2 41154YAE3 LT BBsf Upgrade BB-sf BCRED BSL STATIC CLO 2025-1, LTD. A 05556KAA0 LT AAAsf Affirmed AAAsf B 05556KAC6 LT AAAsf Upgrade AA+sf C 05556KAE2 LT A+sf Upgrade Asf D 05556KAG7 LT A-sf Upgrade BBBsf Verdelite Static CLO 2024-1, Ltd. A 92338VAA9 LT AAAsf Affirmed AAAsf B 92338VAC5 LT AAAsf Upgrade AA+sf C 92338VAE1 LT A+sf Upgrade Asf D 92338VAG6 LT BBB+sf Affirmed BBB+sf E 92338WAA7 LT BBB-sf Upgrade BB+sf STRATUS FUNDING CLO 2025-1, LTD. A-1 BCC3MXSV9 LT AAAsf Affirmed AAAsf A-2 863163AC5 LT AAAsf Affirmed AAAsf B 863163AE1 LT AA+sf Affirmed AA+sf C 863163AG6 LT A+sf Affirmed A+sf Transaction Summary The transactions are broadly syndicated CLOs secured primarily by first-lien senior secured leveraged loans. Each transaction is either a static CLO or has exited its reinvestment period. KEY RATING DRIVERS Note Amortization and Criteria Update All CLOs have experienced deleveraging from collateral redemptions, with cumulative amortization ranging from 9% to 73%. This deleveraging, in conjunction with the impact of Fitch's recently updated 'CLOs and Corporate CDOs Rating Criteria' has led to the upgrades and Positive Outlooks. For the 15 classes of notes with Positive Outlooks, Model Implied Ratings (MIRs) were higher than the current ratings. However, the break-even default (BEDR) cushions at higher rating levels were deemed insufficient but are expected to increase in the future with continuing deleveraging of the CLOs. For the 43 classes with Stable Outlooks, the BEDR cushions are adequate to counter portfolio deterioration commensurate with the notes' current ratings. Stable Credit Quality and Increasing Portfolio Concentration The overall portfolio quality for all deals has remained at either the 'B' or 'B'/'B-' level, with Fitch calculated weighted average rating factors (WARF) ranging from 24.4 to 27.3. The portfolios incurred total losses ranging from 0.0% to 4.1%, mainly due to defaults and trading losses. The Fitch weighted average recovery rates (WARR) range from 71.1% to 74.7%. The deleveraging is accompanied by increasing portfolio concentration, with portfolios ranging between 72 and 170 obligors, with the largest 10 obligors representing between 10.4% and 27.2% of the respective portfolios. Updated Cash Flow Analysis In addition to the base case analysis of each transaction's current portfolio, Fitch conducted an updated cash flow analysis based on a stressed portfolio that assumed a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. In addition, the weighted average life (WAL) was extended to the greater of the CLO's WAL threshold and four years to account for extension risk. MIR information is detailed in the report. MIR variations ranged from one to three notches higher than note ratings due to insufficient BEDR cushions at the higher rating levels. Additional consideration was given to portfolio credit quality, a note's position in the capital structure, and portfolio concentration. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement do not compensate for the higher loss expectation than initially assumed; - A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades, based on MIRs. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance; - A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades, based on MIRs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received regarding the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for the deals above. 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. [] S&P Takes Various Actions on 121 Classes From 18 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 121 classes from 18 U.S. RMBS issued between 2013 and 2024. The review yielded 34 upgrades and 87 affirmations. A list of Affected Ratings can be viewed at: https://tinyurl.com/2wv66zs6 Analytical Considerations S&P said, "For each transaction, we performed a credit analysis using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate with each rating level. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at the prior review. Our geographic concentration factors were based on the transactions' current pool composition. "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes." Some of these considerations may include: -- Collateral performance/delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Expected duration; and -- Available subordination, credit enhancement floors, and/or excess spread (where available). Rating Actions The upgrades primarily reflect continued deleveraging since the respective transactions benefit from low accumulated losses to date and a growing percentage of credit support to the rated classes. The affirmations reflect S&P's projected credit support on these classes, which it believes are sufficient to cover our projected losses for those rating scenarios. ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. 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