260726.mbx

260726.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 26, 2026, Vol. 30, No. 207 Headlines 1988 CLO 5: S&P Assigns BB- (sf) Rating on Class E-R Notes 660 SRT I 2026-MTG1: DBRS Finalizes Bsf Rating on Class B2 Notes 720 EAST V: S&P Assigns BB- (sf) Rating on Class E-R Notes A&D MORTGAGE 2026-NQM5: Fitch Assigns 'BBsf' Rating on Cl. B1 Certs ABPCI DIRECT XVII: S&P Assigns BB- (sf) Rating on Class E-R Notes ACHD TRUST 2026-DS1: DBRS Rates $22.5MM Class C Notes 'B(low)' ACHM TRUST 2026-HE1: S&P Assigns Prelim B- (sf) Rating on F Notes ACRA 2026-NQM1: DBRS Gives (P)B(high) Rating on Cl. B-2 Certs AMERICAN CREDIT 2026-3: S&P Assigns BB- (sf) Rating on Cl. E Notes AMMC CLO 28: S&P Assigns BB- (sf) Rating on Class E-R Notes ANTARES CLO 2019-2: S&P Assigns BB- (sf) Rating on Class E-R2 Notes APIDOS CLO LVII: Moody's Assigns (P)B3 Rating to $550,000 F Notes ARBOR REALTY 2022-FL1: DBRS Hikes Rating on Cl. F Notes to BB(high) ASPIRE MORTGAGE 2026-4: S&P Assigns (P) B (sf) Rating on B-2 Certs AUXILIOR TERM 2026-1: Moody's Assigns (P)Ba2 Rating to Cl. E Notes AXMF RE-REMIC 2025-SBRR1: DBRS Confirms B(low) on 2 Tranches BALLYROCK CLO 14: S&P Affirms BB- (sf) Rating on Class D-R Notes BANK 2019-BNK19: Fitch Lowers Rating on Class D Certs to 'Bsf' BANK5 2026-5YR23: DBRS Assigns '(P)B(low)' Rating to Class G Certs BARCLAYS MORTGAGE 2026-NQM6: S&P Assigns (P) B Rating on B-2 Notes BARINGS CLO 2026-II: Fitch Assigns 'BB-sf' Rating on Class E Notes BATTALION CLO XV: S&P Lowers Class E Notes Rating to 'B+ (sf)' BENCHMARK 2018-B5: DBRS Cuts Rating on 2 Tranches to 'Csf' BENCHMARK 2021-B23: DBRS Confirms B(low) Rating on Cl. 360D Certs BENEFIT STREET XV: Fitch Assigns 'B-sf' Rating on Class F-R Notes BENEFIT STREET XXII: S&P Assigns (P) BB- (sf) Rating on E-R3 Notes BLACKROCK DLF 2019-G: DBRS Hikes Rating on Cl. W Notes to B(high) BLUEMOUNTAIN CLO 2018-3: S&P Affirms B+ (sf) Rating on Cl. E Notes CANYON CLO 2017-1: Fitch Assigns 'BBsf' Rating on Class E-R2 Notes CANYON CLO 2018-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes CARMAX SELECT 2025-A: S&P Raises Class E Notes Rating to 'BB+(sf)' CHASE HOME 2026-6: DBRS Assigns (P)Bsf Rating on Class B-5 Certs CHESTNUT NOTES: DBRS Confirms BBsf Rating on Class C Notes CITIGROUP 2016-C1: Fitch Lowers Rating on Class F Certs to 'CCCsf' CLOVER CLO 2020-1: Fitch Affirms 'BB+sf' Rating on Class E-RR Notes COLUMBIA CENT 35: Fitch Assigns 'BB-sf' Rating on Class ER Notes COREVEST AMERICAN 2022-P2: Fitch Lowers Rating on G Debt to 'CCsf' CSAIL 2019-C17: Fitch Lowers Rating on Class G-RR Certs to 'Csf' CSMC 2020-WEST: Fitch Affirms 'BB-sf' Rating on Class HRR Certs CSMC 2021-GATE: DBRS Confirms 'CCCsf' Rating on Three Tranches CSTL COMMERCIAL 2024-GATE: Fitch Affirms BB-sf Rating on HRR Certs DAILYPAY SECURITIZATION 2025-1: DBRS Confirms BB Rating on D Notes DEUTSCHE BANK 2011-LC3: Fitch Lowers Rating on Three Certs to 'Csf' DIAMETER CAPITAL 7: S&P Assigns BB-(sf) Rating on Class D-R Notes DRYDEN 115: S&P Affirms BB- (sf) Rating on Class E Notes DWIGHT 2026-FL2: DBRS Gives 'B(low)sf' Rating on Three Tranches EFMT 2026-CES2: DBRS Assigns '(P)Bsf' Rating on Class B-2 Certs EFMT 2026-NQM6: DBRS Finalizes Bsf Rating on $7.8MM Cl. B-2 Certs EFMT 2026-NQM7: DBRS Assigns (P)Bsf Rating on Class B-2 Certs ELEMENT NOTES: DBRS Confirms 'BBsf' Rating on Class C Notes ELMWOOD CLO 17: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes ELMWOOD CLO 18: S&P Affirms B- (sf) Rating on Class F-RR Debt FIGRE TRUST 2026-FL2: DBRS Finalizes 'Bsf' Rating on B-2 Notes FIGRE TRUST 2026-HE6: DBRS Gives (P)B(low) Rating on Class F Notes FIRST CITIZENS 2026-SBA1: DBRS Gives (P)Bsf Rating on M-5 Notes FORTRESS CREDIT XVII: S&P Affirms BB- (sf) Rating on Class E Notes GALAXY 37: S&P Assigns BB- (sf) Rating on Class E Debt GEMINI NOTES: DBRS Confirms 'BBsf' Rating on Class C Notes GS MORTGAGE 2017-GS5: Fitch Lowers Rating on Two Tranches to 'Csf' GS MORTGAGE-BACKED 2026-NQM5: S&P Assigns (P)B Rating on B-2 Certs HPS LOAN 2024-20: S&P Assigns Prelim BB- (sf) Rating on E-R Notes HPS PRIVATE 2024-2: S&P Assigns BB- (sf) Rating on Class E-R Notes INVESCO US 2024-2: Fitch Assigns 'BB-sf' Rating on Class E Notes JORDAN NOTES: DBRS Confirms 'BBsf' Rating on Class C Notes JP MORGAN 2026-6: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs JPMORGAN MORTGAGE 2026-5: DBRS Gives (P)Bsf Rating on B-5 Certs JPMORGAN MORTGAGE 2026-NQX2: DBRS Rates Cl. B-2 Certs '(P)B(low)sf' KELR TRUST 2026-MF: Moody's Assigns (P)B3 Rating to Cl. F Certs KKR CLO 41: Moody's Downgrades Rating on $20MM Class E Notes to B1 KREF 2021-FL2: DBRS Confirms B(low) Rating on 3 Tranches LCM 28: S&P Lowers Class E Debt Rating to 'CCC (sf)' MORGAN STANLEY 2026-CLTR1: Fitch Rates Class B2 Notes 'B-(EXP)sf' NAVESINK CLO 1: S&P Assigns BB- (sf) Rating on Class E-R2 Debt NEW RESIDENTIAL 2026-RPL1: Fitch Assigns Bsf Rating on Cl. B2 Notes NLT 2026-NQM2: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes NORTHWOODS CAPITAL XI-B: S&P Affirms BB- (sf) Rating on E-R Notes NYC COMMERCIAL 2026-31W: Fitch Assigns 'B-sf' Rating on Cl. F Certs OAKTREE CLO 2019-4: S&P Affirms BB-(sf) Rating on Class E-RR Notes OBX 2026-HE2: DBRS Gives (P)B(low) Rating on $3MM Cl. B-2 Notes OBX 2026-J2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs OCP CLO 2022-25: S&P Assigns BB- (sf) Rating on Class E-R2 Notes OCTANE RECEIVABLES 2026-RVM1: S&P Assigns (P)BB+ Rating on E Notes OHA CREDIT XII: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes PMT LOAN 2026-CHF6: Moody's Assigns B3 Rating to Cl. B-5 Certs PROVIDENT FUNDING 2026-3: Moody's Assigns B2 Rating to B-5 Certs PRPM 2026-R1: Fitch Assigns 'B-sf' Final Rating on Class B2 Notes RATE MORTGAGE 2026-J2: DBRS Finalizes 'B(low)' Rating on B-5 Notes READYCAP LENDING 2026-4: DBRS Gives (P)BB Rating on Cl. C Notes REALT 2021-1: Fitch Hikes Rating on Class G Certs to 'BB-sf' REGATTA XI: Fitch Affirms 'B-sf' Rating on Class F-R Notes RIN VIII LLC: Moody's Assigns Ba3 Rating to $10MM Class E-R Notes RIPPLE NOTES: DBRS Confirms 'BBsf' Rating on Class C Notes RWC COMMERCIAL 2026-1: DBRS Rates Class F Certs '(P)Bsf' SCG 2026-PALM: Moody's Assigns B2 Rating to Cl. F Certs SEQUOIA MORTGAGE 2026-MED2: Fitch Rates Class B2 Certs 'B(EXP)sf' SOUND POINT IV-R: Moody's Cuts Rating on $12MM Class F Notes to C TIDAL NOTES: DBRS Confirms BBsf Rating on Class C Notes TRUPS FINANCIALS 2025-1: Moody's Ups Rating on Cl. D Notes from Ba1 UPG HI 2026-2: Fitch Gives 'BB(EXP)sf' Rating on Class C Notes VENTURE 41: S&P Lowers Class E Debt Rating to 'B (sf)' VERUS SECURITIZATION 2026-6: Moody's Assigns B3 Rating to B-2 Certs VISIO 2026-1: S&P Assigns Prelim B- (sf) Rating on Class B-2 Notes VOYA CLO 2024-2: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Notes VOYA CLO 2024-2: Moody's Assigns (P)B3 Rating to $250,000 F-R Notes WELLS FARGO 2016-BNK1: S&P Lowers Cl. B Certs Rating to 'B- (sf)' WELLS FARGO 2020-C55: Fitch Lowers Rating on Two Tranches to 'CCsf' ********* 1988 CLO 5: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from 1988 CLO 5 Ltd./1988 CLO 5 LLC, a CLO managed by 1988 Asset Management LLC, a subsidiary of Muzinich & Co. Inc., that was originally issued in June 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-L, B, C, D-1, D-2, and E debt following payment in full on the July 23, 2026, refinancing date. S&P did not rate the previous class A-2 debt redeemed in this refinancing. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt was issued at a lower weighted average cost of debt. -- The stated maturity was extended by two years; the non-call period was extended by about two years to July 15, 2028; and the reinvestment period was extended by about two years to July 23, 2031. -- The target initial par amount increased to $450.00 million from $400.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 15, 2026. -- Some required minimum overcollateralization and interest coverage ratios were amended. -- An additional $15.55 million in 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 1988 CLO 5 Ltd./1988 CLO 5 LLC Class A-1-R, $283.50 million: AAA (sf) Class A-2-R, $13.50 million: AAA (sf) Class B-R, $45.00 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-1-R (deferrable), $27.00 million: BBB- (sf) Class D-2-R (deferrable), $4.50 million: BBB- (sf) Class E-R (deferrable), $13.50 million: BB- (sf) Ratings Withdrawn 1988 CLO 5 Ltd./1988 CLO 5 LLC Class A-1 to NR from 'AAA (sf)' Class A-L 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 1988 CLO 5 Ltd./1988 CLO 5 LLC Subordinated notes, $64.75 million: NR NR--Not rated. 660 SRT I 2026-MTG1: DBRS Finalizes Bsf Rating on Class B2 Notes ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Residential Mortgage Loan Credit-Linked Notes, Series 2026-MTG1 (the Notes) issued by 660 SRT I LLC (the Issuer) as follows: -- $19.4 million Class M1 at A (low) (sf) -- $21.6 million Class M2 at BBB (low) (sf) -- $9.4 million Class B1 at BB (sf) -- $7.2 million Class B2 at B (sf) The A (low) (sf), BBB (low) (sf), BB (sf), and B (sf) credit ratings reflect 3.65%, 2.15%, 1.50%, and 1.00% of credit enhancement, respectively. FHCLN 2026-MTG1 is 660 SRT I LLC's first credit-linked note (CLN) transaction. The Notes are linked to a credit default swap (CDS) transaction entered into by OceanFirst Bank N.A (OceanFirst, Protection Buyer) and 660 SRT I LLC (the Issuer, Protection Seller) on December 10, 2025. The Issuer deposited an amount equal to the aggregate balance of the Class M1, M2, B1, B2, and B3 Notes into the Collateral Account, which is an eligible account. Under the CDS, OceanFirst will make monthly fixed payments (Fixed Payment Amount) to the Issuer. The Issuer will be required to pay OceanFirst with respect to certain realized losses on the reference pool. The Notes are backed by the amount deposited into the Collateral Account, the Fixed Payment Amount, and related account investment earnings, in each case relating to the underlying reference pool of residential loans. The Notes are exposed to the risk arising from losses on the loans included in the underlying reference pool. As of the Cut-Off Date, the reference pool consists of 4,203 seasoned fully amortizing first-lien fixed- and variable-rate mortgages with a total principal balance of approximately $1,439,135,709. The portfolio is approximately 69 months seasoned with a minimum loan age of eight months and maximum of 336 months. The Notes issued under FHCLN 2026-MTG1 represent approximately 5% of the reference pool as of the Closing Date. The reference pool consists of 4,277 seasoned fully amortizing first-lien fixed- and variable-rate mortgages with a total principal balance of approximately $1,449,492,973 as of the Presale Report Date. Unless specified otherwise, all the statistics regarding the reference pool in this report are based on the Presale Report Date. 400 Capital Management LLC will act as the manager for the Issuer, a special-purpose limited liability company. OceanFirst was the originator for approximately 91.1% of the loans in the reference pool. The remaining 8.9% of the loans were originated by institutions acquired by OceanFirst prior to the Cut-Off Date. OceanFirst will act as servicer and Dovenmuehle Mortgage Inc. (DMI) will act as subservicer for all the loans in the reference pool. Computershare Trust Company, N.A. (Computershare) will act as Securities Administrator and Pentalpha Surveillance LLC (Pentalpha) will act as the Reviewer. On the Closing Date, the Issuer and Securities Administrator will enter into the Note Issuance and Administration Agreement. As per the agreement, the Securities Administrator will open and maintain the Operating Account. The Issuer is expected to use the amounts available in the Collateral Account to purchase certain eligible investments. The eligible investments are restricted to Aaa-mf by Moody's, AAA-mf/AAA by S&P or Fitch, or AAA/R-1 (high) by Morningstar DBRS rated money-market funds and securities. Unlike other residential mortgage-backed security (RMBS) transactions, cash flow from the underlying loans will not be used to make any payments; rather, in CLN transactions, a portion of the eligible investments held in the collateral account will be liquidated to make principal payments to the noteholders and to make loss payments to the Protection Buyer when eligible losses are realized on the loans in the underlying reference pool. The Issuer will use the investment earnings on the eligible investments, together with the Fixed Payment Amount, to pay interest to the noteholders. The calculation of principal payments to the Notes will be based on the reduction in aggregate principal balance on the underlying reference pool. The securitization employs a pro-rata structure to the Notes subject to certain performance triggers which lock out more subordinate Notes from principal payments. The coupon rates for the Notes are based on the Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available; please see the offering documents for more details. On the Closing Date, the Issuer will establish a cash and securities account, the reserve account. In case of the CDS Buyer's default in paying the Fixed Payment Amount to the Issuer, the amount available in this account will be used to make interest payments to the noteholders. The reserve account will be funded at closing to cover the Class M1 Notes. The Trust will make deposits into this account up to the applicable target balance when certain events occur. As of the Closing Date, the reserve account will be funded to the required amount for the M1 Notes. The Notes are scheduled to mature in October 2055 but will be subject to early redemption at the option of the Issuer (1) for a 10% clean-up call or (2) on or following the payment date in May 2030, among others. The Notes are also subject to mandatory redemption before the scheduled maturity date upon the termination of the CDS. On or after the payment date in June 2031, the Class M1 and M2 Notes' interest rates will step up by 1.00%. Interest otherwise payable to the Class B3 Notes may be used to pay the Class M1, M2, B1, and B2 Cap Carryover Amounts. The credit ratings reflect transactional strengths that include the following: -- Collateral Current CLTV and Credit Quality -- Current Delinquency Status -- Seasoning -- Alignment of Interest The transaction also includes the following challenges: -- Counterparty Exposure -- Highly concentrated pool -- Representation and Warranties (R&W) Framework -- Eligible Investment Losses Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Current Interest, Interest Carryforward Amount, and the related Principal Distribution Amount. Morningstar DBRS' credit ratings on the Class M1 and M2 Notes also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (June 2031) in accordance with the applicable transaction document(s). Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. 720 EAST V: S&P Assigns BB- (sf) Rating on Class E-R Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-1L-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt and proposed new class X debt from 720 East CLO V Ltd./720 East CLO V LLC, a CLO managed by Northwestern Mutual Investment Management Co. LLC that was originally issued in June 2024. At the same time, S&P withdrew its ratings on the previous debt. The replacement debt was issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The non-call period was extended to July 20, 2028. -- The reinvestment period was extended to July 20, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 20, 2039, except for the class A-1-R and A-1L-R debt, the maturity of which was extended to July 20, 2038. -- New class X debt was issued in connection with this refinancing. This debt is expected to be paid down using interest proceeds during 10 payment dates in equal installments of $200,000, beginning with the first payment date. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 720 East CLO V Ltd./720 East CLO V LLC Class X, $2.00 million: AAA (sf) Class A-1-R, $143.00 million: AAA (sf) Class A-1L-R, $145.00 million: AAA (sf) Class A-2-R, $15.75 million: AAA (sf) Class B-R, $38.25 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-1-R (deferrable), $24.75 million: BBB (sf) Class D-2-R (deferrable), $6.75 million: BBB- (sf) Class E-R (deferrable), $13.50 million: BB- (sf) Ratings Withdrawn 720 East CLO V Ltd./720 East CLO V LLC Class A-1 to NR from 'AAA (sf)' Class A-1L to NR from 'AAA (sf)' Class A-1N to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Outstanding Debt 720 East CLO V Ltd./720 East CLO V LLC Subordinated notes, $39.70 million: NR NR--Not rated. A&D MORTGAGE 2026-NQM5: Fitch Assigns 'BBsf' Rating on Cl. B1 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Outlooks to A&D Mortgage Trust 2026-NQM5 (ADMT 2026-NQM5). Entity/Debt Rating Prior ----------- ------ ----- ADMT 2026-NQM5 A1 00039RAC9 LT AAAsf New Rating AAA(EXP)sf A1A 00039RAD7 LT AAAsf New Rating AAA(EXP)sf A1B 00039RAE5 LT AAAsf New Rating AAA(EXP)sf A1FCF 00039RAA3 LT AAAsf New Rating AAA(EXP)sf A1LCF 00039RAB1 LT AAAsf New Rating AAA(EXP)sf A2 00039RAF2 LT AAsf New Rating AA(EXP)sf A3 00039RAG0 LT Asf New Rating A(EXP)sf M1 00039RAH8 LT BBBsf New Rating BBB(EXP)sf B1 00039RAJ4 LT BBsf New Rating BB(EXP)sf B2 00039RAK1 LT NRsf New Rating NR(EXP)sf B3 00039RAL9 LT NRsf New Rating NR(EXP)sf XS 00039RAP0 LT NRsf New Rating NR(EXP)sf AIOS 00039RAM7 LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 1,008 loans with a balance of $432,396,211 as of the cutoff date. This represents the 20th Fitch-rated ADMT transaction and the third Fitch-rated ADMT transaction of 2026. The transaction is expected to close on July 15, 2026. The certificates are secured by mortgage loans, originated mainly by A&D Mortgage LLC (A&D) (80.04%), with the remainder originated by various third-party entities, each contributing less than 10%. Fitch considers ADMT to be an 'Acceptable' originator. The servicer of the loans is A&D (RPS3/Stable). The master servicer is Rocket Mortgage LLC (RMS1-/Stable). Of the loans, 44.9% are exempted mortgage loans that were not subject to the ability-to-repay rule, 28.5% are safe harbor QM loans, 24.3% are designated as nonqualified mortgage (non-QM) loans and 2.3% are qualified mortgage rebuttable presumption loans. The class A-1A, A-1B, A-1FCF, A-1LCF, A-2, A-3 and M-1 certificates are fixed rate and capped at the net weighted average coupon (WAC) and have a step-up feature. The class B-1 certificate rate will be determined at pricing based on the lower of a fixed rate or the net WAC rate for the related distribution date. The class B-2 and B-3 coupons will be based on the net WAC. Fitch was not asked to rate the B-2 or B-3 classes KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess credit risk and expected losses. The pool consists of 1,008 performing, fixed-rate and adjustable rate loans fully amortizing loans, some of which have interest-only periods. It is secured by loans on primarily one- to four-family residential properties, including attached and detached single family homes, planned unit developments, condos/condotels, townhouses, manufactured housing, mixed-use properties, five- to 10-unit multi-family properties, and two- to four-unit multi-family properties, totaling $432,396,211.82 The majority of the loans are first liens (96.8%), while the remaining 3.2% are second liens. The loans are exempt from QM, Safe Harbor QM, Rebuttable presumption QM or non-QM loans, with the majority of the loans underwritten using 12-24 months of bank statements or DSCR underwriting guidelines. The loans were made to borrowers with relatively strong credit profiles and relatively low leverage. The loans are seasoned at an average of two months. The pool has a weighted average (WA) original FICO score of 748 and a debt-to-income ratio (DTI) of 35.6%, which are indicative of high credit-quality borrowers. The original WA combined loan-to-value ratio (CLTV) of 69.10%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 77.4%. These strong collateral attributes are referenced in its analysis. This transaction has a final probability of default of 40.73% in the 'AAA' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 44.27%. The expected loss in the 'AAAsf' rating stress is 18.03%. Structural Analysis (Mixed): ADMT 2026-NQM5 has a modified sequential structure with limited advancing of delinquent principal and interest (P&I). The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to classes first to the A-1A, A-1B, A-1FCF, A-1LCF, and then A-2 and A-3 until they are reduced to zero. The class A certificates have a step-up coupon feature whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000%, and (ii) the net WAC rate. This step-up feature will occur on or after the distribution date in July 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 classes on and after July 2030. Specifically, on any distribution date occurring on or after the distribution date in July 2030 on which the aggregate unpaid cap carryover amount for class A certificates is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 certificates in both the interest and principal waterfalls. This feature is supportive of the class A-1A, A-1B, A-1FCF and A-1LCF certificates being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 and M-1 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after July 2030, since classes A-1A, A-1B, A-1FCF, A-1LCF, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent P&I. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. Losses are allocated reverse sequentially starting with B-3. Once the A-2 class is written off, losses will be allocated pro rata to the A-1LCF and A-1FCF on the one hand and to the A-1A and A-1B on the other. The A-1LCF and A-1FCF will take their share of losses pro rata and the A-1A and A-1B share of losses will be allocated to A-1B first and then to A-1A once A-1B is written off. 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. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully revieFitchd by the third-party review firm and have a final grade of either A or B. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects the transaction to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to this transaction and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30% in addition to the model-projected 10.52 at 'Bsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by engaged Maxwell, Mission, and Opus. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch considered this information in its analysis and, as a result, did not make any negative adjustments to its analysis due to no material due diligence findings. Based on the results of the 100% due diligence performed on the pool with no material findings, the pool received a credit. Fitch applies a 5-bp reduction to loans fully reviewed by a third-party review firm that have a final grade of either A or B and have no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Mission, Maxwell, and Opus to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors, such as having liquid reserves or a FICO score above guideline requirements or LTV or DTI ratios lower than the guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data to support the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ABPCI DIRECT XVII: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-1LA-R, A-1LB-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from ABPCI Direct Lending Fund CLO XVII LLC, a CLO managed by AB Private Credit Investors LLC, a subsidiary of AllianceBernstein, that was originally issued in May 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-1L-A, A-1L-B, A-2, B, C, D, and E debt following payment in full on the July 23, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R, A-1LA-R, A-1LB-R, A-2-R, B-R, C-R, D-1-R, D-2-R, and E-R debt was issued at a lower weighted average spread over three-month CME term SOFR than the existing debt. -- The weighted average life test date was extended to eight years from the refinancing date. -- The non-call period was extended to July 23, 2027. -- The reinvestment period was extended to Aug. 1, 2029. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Aug. 1, 2038. Minimal additional assets were purchased on the July 23, 2026, refinancing date, and the target initial par amount remains at $660 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing will be Nov. 1, 2026. -- The required minimum overcollateralization ratios were amended. -- No additional subordinated notes were issued on the refinancing date. The collateral manager can purchase qualified first-lien loans (those secured by the same collateral package as the senior secured loan but have a first-in, last-out recovery priority upon default) for up to a certain percentage of the underlying portfolio. Exposure to this type of loan may reduce the transaction's recovery prospects. S&P said, "For qualified first-lien loans that do not have an asset-specific recovery rating, we apply reduced recovery rates in our cash flow analysis (33.03% under a 'AAA' level of stress versus 50.0% for a senior secured first-lien loan that is not covenant-lite). The transaction documents restrict the debt based on leverage or total loan-to-value ratio, and it is our understanding that the first-out portion of any qualified first-lien loan will not exceed a capped percentage of the total facility. "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 ABPCI Direct Lending Fund CLO XVII LLC Class A-1-R, $167.80 million: AAA (sf) Class A-1LA-R(i), $175.00 million: AAA (sf) Class A-1LB-R(i), $40.00 million: AAA (sf) Class A-2-R, $26.40 million: AAA (sf) Class B-R, $49.50 million: AA (sf) Class C-R (deferrable), $46.20 million: A (sf) Class D-1-R (deferrable), $36.30 million: BBB (sf) Class D-2-R (deferrable), $19.80 million: BBB- (sf) Class E-R (deferrable), $19.80 million: BB- (sf) Ratings Withdrawn ABPCI Direct Lending Fund CLO XVII LLC Class A-1-R to NR from 'AAA (sf)' Class A-1LA(i) to NR from 'AAA (sf)' Class A-1LB(i) to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt ABPCI Direct Lending Fund CLO XVII LLC Subordinated notes, $80.38 million: NR (i)Issued in loan form and are not convertible into notes. NR--Not rated. ACHD TRUST 2026-DS1: DBRS Rates $22.5MM Class C Notes 'B(low)' -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following classes of notes issued by ACHD Trust 2026-DS1 (the Issuer or ACHD 2026-DS1): -- $102,110,000 Class A Notes at BBB (sf) -- $26,810,000 Class B Notes at BB (sf) -- $22,500,000 Class C Notes at B (low) (sf) CREDIT RATING RATIONALE/DESCRIPTION The credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) The transaction's form and sufficiency of available credit enhancement. -- Overcollateralization, subordination, amounts held in the reserve account, and excess spread create credit enhancement levels that are commensurate with the credit ratings. -- Transaction cash flows are sufficient to repay investors under the BBB (sf), BB (sf), and B (low) (sf) stress scenarios in accordance with the terms of the ACHD 2026-DS1 transaction documents. (2) The origination (enrollment), servicing, and administration capabilities of Achieve. (3) The presence of (a) WSFS as Master Backup Servicer and (b) Century Support Services, LLC, as Master Backup Servicer Contractor. Morningstar DBRS considered the process, timing and mechanics around replacement of (a) the Servicer and (b) the law firm Provider, to the extent such replacement(s) were to become necessary. (4) An additional haircut to cash flows was included as a qualitative adjustment in consideration of the potential for some delay in replacing the Servicer or Provider. While such delay would be reasonably expected not to be extensive, some additional cancellations could occur. (5) Morningstar DBRS considered the potential for variation in the total amount of cash collections and the timing of such cash collections in its analysis. (6) Most of the Issuer Debt Settlement Assets are collected by initiating ACH transfers on a monthly basis from the applicable Customer's bank account to the applicable Servicer Deposit Account. The ability to initiate these ACH transfers is dependent upon the Servicer's agreements and relationship with the bank that maintains the Servicer Deposit Account. If the Master Backup Servicer or other Successor Servicer is not able to continue to initiate these ACH transfers at the time of the servicing transfer, there would be significant disruptions in collections until the Master Backup Servicer or other Successor Servicer is able to restore these capabilities with that bank or at another account bank. As a result, the Issuer Debt Settlement Assets may temporarily experience increased delinquencies and defaults. (7) The transaction includes a "full turbo" feature where all available cashflows are used to repay Notes. (8) The Notes are short term, thus exposing noteholders to a limited period of time when they may be exposed to unexpected economic stress or stress induced from problems with the sponsor. (9) Customer cancellations may adversely affect collections. Customers may cancel their participation in the debt resolution program at any time without penalty. Upon cancellation, funds in the Servicer Deposit Account are refunded, after amounts applied to fees already earned. -- If a customer withdraws prior to settlement, the related Debt Settlement Asset becomes uncollectible, and no further fees may be earned. -- Customers may withdraw from the debt resolution program for financial or non-financial reasons. -- Some Customers may be unable to continue making deposits into their Dedicated Accounts due to loss of income, hardship or other financial pressures, or may choose to prioritize other payment obligations such as mortgages or auto loans. Others may withdraw due to dissatisfaction with the debt settlement process or the level of service received or to enroll with a different debt settlement company offering alternative terms or services. (10) A significant portion of the Debt Settlement Assets consists of Earned Provider DS Assets and Unearned Provider DSFs that arise under the Provider Services Agreement. A significant portion of the Debt Settlement Assets depend on the Sponsor, and any termination, modification, failure, or insolvency of the Provider could adversely affect payments on the Notes. -- The performance of this portion of the Debt Settlement Assets is highly dependent on the Servicer's ability to maintain its contractual and business relationship with the Provider. If the Provider Services Agreement were to be terminated or materially modified, the Issuer could lose the ability to earn compensation associated with these assets. (11) This ABS includes receivables that are in "pre-settlement" (92.52%) and "post-settlement" (7.48%) stages (as of the Cutoff Date). These two stages present a unique aspect associated with this new asset. Pre-Settlement fees are "future receivables" that can only be turned into collections once Achieve settles with a creditor regarding the debtors enrolled debt. From a legal standpoint, during this phase, there is not technically a receivable in which the transaction has a security interest. Instead, at this point of "Pre-Settlement", the transaction holds its security interest in the "rights to receive settlement fees". (12) The enrolled debt consists of various tiers designated by Achieve. -- Low numbered credit tiers represent higher credit quality Customers and, based on the Sponsor's analysis of data available to it on any Customer, a higher likelihood of such Customer continuing to make monthly deposits, agreeing to settlements and generating fees. -- The enrolled debt listed on each Debt Resolution Agreement is likely not a complete list of a customer's debt obligations. If a customer incurs additional debt after the date of the Issuer Debt Settlement Asset, the additional debt may impair the ability of that Customer to make monthly deposits into their Dedicated Account and the Issuer's ability to receive the fees that it expects to receive on such Issuer Debt Resolution Agreement. The additional debt may adversely affect the Customer's general creditworthiness and could result in additional financial distress, insolvency, or bankruptcy. In addition, to the extent that the Customer has or incurs additional debt, the Customer may choose to make payments on other debts, rather than make monthly deposits into such Customer's Escrow Account. (13) The debt resolution industry is well regulated at the federal and state levels. The Federal Trade Commission's Telemarketing Sales Rule (TSR) is the principal federal regulation for the debt resolution industry. The regulation generally requires that Providers may not charge a fee until a debt has been resolved, the consumer has agreed to the settlement, and the consumer has made a payment towards that settlement. (14) The provision of debt settlement services requires licensure or registration with state financial regulators. Failure to hold required licenses could result in the imposition of penalties, an order to cease doing business in a state, or restitution to consumers. (15) The sizing of the reserve fund, in the context of the transaction's short tenor, is deemed to be adequate. (16) The rating of BBB (sf) for the Class A Notes is supported by the following considerations: -- Reserve Account that is equal to 1.00% of the total note balance as of the Closing Date, which covers 2 months of interest payments on the Notes. -- The experience and length of operating history of the Sponsor with respect to the debt settlement industry. -- Consistent historical performance data of debt settlement related assets and the concentration of debt settlement assets related to Tier 1 originations. (17) Legal opinions that address the true sale of the debt settlement assets, the non-consolidation of the trust, and that the trust has a valid perfected security interest in the assets. (18) Transaction legal structure's consistency with Morningstar DBRS's Legal Criteria for U.S. Structured Finance. (19) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update, published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the Class A Notes, Class B Notes, and Class C Notes are the related Interest Distributable Amount and the related Note Balance. Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that are not financial obligations are the related interest on any unpaid Interest Distributable Amount for each of the rated notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. ACHM TRUST 2026-HE1: S&P Assigns Prelim B- (sf) Rating on F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to ACHM Trust 2026-HE1's mortgage-backed notes. The transaction is an RMBS securitization backed first‑ and subordinate‑lien, simple‑interest, fixed‑rate, fully amortizing residential mortgage loans that are open‑ended home equity lines of credit (HELOCs). The loans are secured by single‑family residences, planned‑unit developments, condominiums, townhouses, and two‑ to four‑family residential properties. The pool is composed of 3,129 HELOC mortgage loans, which are all ability-to-repay exempt. The preliminary ratings are based on information as of July 20, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage originator, Achieve Home Loans; -- Sample due diligence results consistent with represented loan characteristics; and -- S&P said, "Our macroeconomic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings(i) Assigned ACHM Trust 2026-HE1 Class A, $172,052,000: AAA (sf) Class B, $20,526,000: AA- (sf) Class C, $42,621,000: A- (sf) Class D, $10,590,000: BBB- (sf) Class E, $6,929,000: BB- (sf) Class F, $5,491,000: B- (sf) Class G, $3,268,783: not rated Class XS, notional(ii): not rated Class AIOS, notional(ii): not rated Class FR(iii): not rated Class R, not applicable: not rated (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of weighted average coupon shortfall amounts. (ii)The class XS and AIOS notes will have a notional amount equal to the aggregate principal balance of the mortgage loans as of the first day of the related collection period. (iii)The initial class FR certificate balance is zero. In certain circumstances, class FR is obligated to remit funds to the reserve account to reimburse the servicer for funding subsequent draws in the event there are insufficient available funds or amounts on deposit in the reserve account. Any amounts remitted by the class FR certificates will be added to and increase the balance of the class FR certificates. ACRA 2026-NQM1: DBRS Gives (P)B(high) Rating on Cl. B-2 Certs ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-NQM1 (the Certificates) to be issued by ACRA 2026-NQM1 (the Issuer) as follows: -- $104.2 million Class A-1FCF at (P) AAA (sf) -- $27.7 million Class A-1LCF at (P) AAA (sf) -- $131.9 million Class A-1 at (P) AAA (sf) -- $29.3 million Class A-1F at (P) AAA (sf) -- $29.3 million Class A-1IO at (P) AAA (sf) -- $113.9 million Class A-1A at (P) AAA (sf) -- $17.9 million Class A-1B at (P) AAA (sf) -- $36.5 million Class A-2 at (P) AA (sf) -- $30.5 million Class A-3 at (P) A (sf) -- $9.0 million Class M-1 at (P) BBB (high) (sf) -- $12.0 million Class B-1 at (P) BB (high) (sf) -- $5.4 million Class B-2 at (P) B (high) (sf) The Class A-1 Notes are exchangeable notes while Classes A-1A and A-1B Notes are initial exchangeable notes. These classes can be exchanged in combinations as specified in the offering documents. The Class A-1IO Notes are interest-only (IO) notes. The class balances represent notional amounts. The (P) AAA (sf) credit ratings on the Certificates reflect 26.50% of credit enhancement provided by the subordinated Notes. The (P) AA (sf), (P) A (sf), (P) BBB (high) (sf), (P) BB (high) (sf), and (P) B (high) (sf) credit ratings reflect 17.35%, 9.70%, 7.45%, 4.45%, and 3.10% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. CREDIT RATING RATIONALE/DESCRIPTION DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to ACRA Trust 2026-NQM1 (ACRA 2026-NQM1 or the Trust), a securitization of a portfolio of fixed- and adjustable-rate expanded prime and non-prime first-lien residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2026-NQM1 (the Notes). The Notes are backed by 772 loans with a total principal balance of approximately $398,671,030 as of the Cut-Off Date (May 31, 2026). ACRA 2026-NQM1 represents the third RMBS securitization issued by the ACRA Sponsor, Citadel Servicing Corporation d/b/a Acra Lending. The pool is, on average, one month seasoned with loan ages ranging from zero to five months. Approximately 66.3% of the Mortgage Loans were originated by Citadel Servicing Corporation d/b/a Acra Lending. The remaining mortgage loans were originated by various originators, each comprising less than 10% of the mortgage loans. The servicer of the mortgages is Citadel Servicing Corporation (Citadel). ServiceMac, LLC (ServiceMac) will subservice all the loans on behalf of Citadel. Computershare Trust Company, N.A., (rated BBB (high) with a Stable trend) will act as Indenture Trustee, Paying Agent, and Custodian. Computershare Delaware Trust Company will act as Owner Trustee. As of the Cut-Off Date, all of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 44.0% of the loans by unpaid principal balance (UPB) are designated as non-QM. Approximately 51.3% of the loans in the pool by UPB were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 4.3% of the pool by UPB are designated as QM Safe Harbor and approximately 0.4% of the pool by UPB are designated as QM Rebuttable Presumption. There will be no advancing of delinquent principal or interest on any mortgage loan by the servicer or any other party to the transaction; however, each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Retaining Sponsor or a majority-owned affiliate of the Retaining Sponsor will acquire and intends to retain an eligible horizontal residual interest consisting of 100% of the Class B-3 and XS Notes, collectively representing at least 5.0% of the aggregate fair value of the Notes (other than the Class R Notes) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Controlling Holder may, at its option, on or after the earlier of (1) the payment date in June 2029 or (2) the date on which the balance of mortgage loans and real estate owned (REO) properties falls to or below 30% of the UPB as of the Cut-Off Date (Optional Redemption Date), redeem the Notes at the optional redemption price described in the transaction documents. The Depositor, at its option and with the approval of the Controlling Holder, may purchase any mortgage loan that is 90 days or more delinquent under the Mortgage Bankers Association (MBA) method at the repurchase price described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date UPB. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). The Class A-1A and A-1B Notes, and separately the Class A-1FCF, A-1LCF and A-1F Notes, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the senior-most notes before being applied sequentially to amortize the balances of the more subordinated notes. Also, the monthly excess cashflow can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1FCF, A-1LCF, A-1F, A-1IO, A-1A, A-1B, A-2, A-3, and M-1 Notes (and B-1 Notes if such class is issued on the Closing Date with a "fixed" note). Of note, the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2, and A-3 Notes coupon rates step up by 100 basis points after the payment date in July 2030. Beginning in July 2030, funds otherwise payable to the Class B-3 Notes as current interest and any interest carryforward amounts may be used to pay the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2, and A-3 Notes any Cap Carryover Amounts prior to paying any such amounts to the Class B-3 Notes. The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition. -- Compliance with the ATR rules. -- Improved underwriting standards. -- Current loan status. -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- Debt service coverage ratio loans. -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers. -- Limited servicer advances of delinquent P&I. -- The representations and warranties standard. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Current Interest, Interest Carryforward Amount, and the related Note Amount (for non-IO Certificates). Morningstar DBRS' credit ratings on the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2 and A-3 Notes also address the credit risk associated with the increased rate of interest applicable to the Notes if they remain outstanding on the step-up date (July 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. AMERICAN CREDIT 2026-3: S&P Assigns BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to American Credit Acceptance Receivables Trust 2026-3's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 62.87%, 56.87%, 45.92%, 37.32%, and 32.74% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on final post-pricing stressed cash flow scenarios. These credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x, and 1.20x coverage of S&P's expected cumulative net loss (ECNL) of 26.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans and any subsequent receivables that will be added during the prefunding period, S&P's view of the collateral's credit risk, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of American Credit Acceptance LLC as servicer, and its view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A. -- The transaction's payment and legal structures. Ratings Assigned American Credit Acceptance Receivables Trust 2026-3 Class A, $473.23 million: AAA (sf) Class B, $83.37 million: AA (sf) Class C, $190.90 million: A (sf) Class D, $156.40 million: BBB (sf) Class E, $79.35 million: BB- (sf) AMMC CLO 28: S&P Assigns BB- (sf) Rating on Class E-R Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-J-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from AMMC CLO 28 Ltd./AMMC CLO 28 LLC, a CLO managed by American Money Management Corp., a wholly owned subsidiary of American Financial Group Inc., that was originally issued in June 2024. At the same time, S&P withdrew its ratings on the previous class A-1A, A-1F, A-J, B, C, D-1, D-J, and E debt following payment in full. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 9, 2028. -- The reinvestment period was extended to July 23, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 17, 2039. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." Ratings Assigned AMMC CLO 28 Ltd./AMMC CLO 28 LLC Class A-1-R, $252.00 million: AAA (sf) Class A-J-R, $4.00 million: AAA (sf) Class B-R, $48.00 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 AMMC CLO 28 Ltd./AMMC CLO 28 LLC Class A-1A to NR from 'AAA (sf)' Class A-1F to NR from 'AAA (sf)' Class A-J to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D-1 to NR from 'BBB (sf)' Class D-J to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt AMMC CLO 28 Ltd./AMMC CLO 28 LLC Subordinated notes, $48.75 million: NR NR--Not rated. ANTARES CLO 2019-2: S&P Assigns BB- (sf) Rating on Class E-R2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-R2, and E-R2 debt from Antares CLO 2019-2 Ltd./Antares CLO 2019-2 LLC, a CLO that was originally issued in January 2020 and underwent a refinancing in 2024. At the same time, S&P withdrew its ratings on the previous class A-1-R, A-2-R, B-R, C-R, D-R, and E-R debt following payment in full on the July 16, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-R2, and E-R2 debt was issued at a lower spread over three-month CME term SOFR than the existing debt. -- The stated maturity, reinvestment period, non-call period, and weighted average life test dates were extended by 2.5 years. -- The non-call period was extended to July 16, 2028. -- The reinvestment period was extended to July 23, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 23, 2038. -- No additional assets were purchased on the July 16, 2026, refinancing date, and the target initial par amount remains at $450,000,000.00. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 23, 2026. -- The required minimum interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. S&P said, "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 Antares CLO 2019-2 Ltd./Antares CLO 2019-2 LLC Class A-1-R2, $261.00 million: AAA (sf) Class A-2-R2, $18.00 million: AAA (sf) Class B-R2, $33.75 million: AA (sf) Class C-R2 (deferrable), $31.50 million: A (sf) Class D-R2 (deferrable), $24.75 million: BBB- (sf) Class E-R2 (deferrable), $27.00 million: BB- (sf) Ratings Withdrawn Antares CLO 2019-2 Ltd./Antares CLO 2019-2 LLC Class A-1-R to NR from 'AAA (sf)' Class A-2-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-R to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' Other Debt Antares CLO 2019-2 Ltd./Antares CLO 2019-2 LLC Subordinated notes, $48.80 million: NR NR--Not rated. APIDOS CLO LVII: Moody's Assigns (P)B3 Rating to $550,000 F Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of notes to be issued by Apidos CLO LVII (the Issuer): US$352,000,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$550,000 Class F Mezzanine Deferrable Floating Rate Notes due 2039, Assigned (P)B3 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Apidos CLO LVII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets, collectively. Moody's expects the portfolio to be approximately 95% ramped as of the closing date. 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 Rated Notes, the Issuer will issue six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $550,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2981 Weighted Average Spread (WAS): 2.78% Weighted Average Recovery Rate (WARR): 45.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in 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. ARBOR REALTY 2022-FL1: DBRS Hikes Rating on Cl. F Notes to BB(high) ------------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) upgraded its credit ratings on five classes of notes issued by Arbor Realty Commercial Real Estate Notes 2022-FL1, Ltd. as follows: -- Class B Notes to AAA (sf) from AA (high) (sf) -- Class C Notes to AA (high) (sf) from AA (sf) -- Class D Notes to A (high) (sf) from A (low) (sf) -- Class E Notes to BBB (high) (sf) from BBB (sf) -- Class F Notes to BB (high) (sf) from BB (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class G Notes at B (sf) All trends are Stable. In conjunction with this press release, Morningstar DBRS published a Surveillance Performance Update report with an in-depth analysis and credit metrics for the transaction and business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. CREDIT RATING ACTION RATIONALE -- The credit ratings upgrades reflect the increased credit support and deleveraging of the pool because of significant principal paydown since the last credit action because of loan repayments. Eleven loans have been repaid in full, resulting in a significant collateral reduction of just over 20% since the prior credit rating action and approximately 40% since issuance. -- Additionally, the transaction benefits from the loan collateral being solely secured by multifamily, which has historically proven to be better able to retain property value and cash flow compared with other property types. -- Morningstar DBRS considered liquidation scenarios for three loans that combine to represent 4.2% of the pool. These include Solace on Peachtree (Prospectus ID#64), and two smaller loans. These scenarios resulted in total realized loss of $12.6 million, which would be fully contained to the nonrated preferred equity class. According to the special servicer, all three properties are currently set for either foreclosure or sale. -- The relatively small loss amount implied by those scenarios suggests the bulk of the $187.1 million preferred equity class would remain to provide cushion against loss for the rated certificates, supporting the credit rating upgrades for the classes as listed above; however, Morningstar DBRS notes that the credit rating for the Class G Notes was maintained despite upgrade pressure in the model output given the uncertainty surrounding the timing of resolution for the specially serviced loans and others in the pool with near-term final maturity dates. POOL/COLLATERAL OVERVIEW -- The initial collateral consisted of 44 floating-rate mortgages secured by 59 transitional multifamily properties with a cut-off date balance totaling $1.61 billion. Most loans were in a period of transition with plans to stabilize performance and improve the asset value. The transaction was a managed vehicle with a 30-month re-investment period that expired with the August 2024 payment date. -- Since the last credit rating action in July 2025, 11 loans have been repaid in full, resulting in a significant collateral reduction of approximately $340 million. -- As of the April 2026 remittance, 33 loans remain in the pool, including 11 of the original 44 loans, with a trust balance of $1.225 billion, representing a total collateral reduction of 40.2% since issuance. -- Nine loans, representing 25.5% of the pool, are in special servicing because of maturity related concerns; as of the May 2026 remittance, two of those loans were reported delinquent. All specially serviced loans are in various stages of discussion regarding potential loan modifications, according to the latest information available from the servicer. -- Most of the remaining loans are backed by properties in suburban areas, with 26 loans making up 76.8% of the group having a Morningstar DBRS Market Rank of 3, 4, or 5. Another four loans, or 10.9% of the group, are backed by properties in Morningstar DBRS Market Rank 1 and 2, which denotes rural and smaller markets. Three loans, or 12.3% of the group, are backed by a property in Morningstar DBRS Market Rank 6 or 7, indicating an urban market. ANALYTICAL CONSIDERATIONS -- For this review, Morningstar DBRS applied increased loan-to-value ratio (LTV) and/or probability of default (POD) penalties in the analysis for 10 loans (54.3% of the pool) to reflect the increased credit risks, resulting in higher loan-level expected loss (EL) figures. -- Of the nine specially serviced loans, Morningstar DBRS liquidated three loans, Pebblebrook, Stonehurst Apartments, and Solace on Peachtree; in all three cases, the liquidation value was based on a 25% haircut to the most recent appraised values, resulting in loan loss severities ranging between 20.0% and 28.3%, and a pool level loss of less than 1.5%. -- Morningstar DBRS identified seven loans, including two specially serviced loans not liquidated in the analysis, representing 25.2% of the pool, as loans of concern. These assessments were based on performance declines and/or slow business plan growth; the loans were analyzed based on stressed scenarios to increase the EL in the model output. KEY LOANS The Caden at East Mil (Prospectus ID#1; 8.1% of the pool): -- The loan is secured by a 768-unit, garden-style multifamily property in Orlando, Florida. The loan has a final maturity of December 2026. -- As of October 2025, the property was 61.2% occupied.; The property had net cash flow (NCF) of $1.6 million for the trailing 12-month (T-12) period ending October 31, 2025, , significantly lower than the issuer's most recently stated stabilized NCF of approximately $8.0 million. -- The reported cash flow is more than 60%, below the T-12 figure ended January 30, 2025. -- The property was re-appraised in October, 2025 and the appraiser's as-is and as-stabilized value estimates were $128.0 million and $133.0 million, respectively. These figures are relatively in line with the issuance appraisal figures of $121.1 million and $133.0 million, respectively. -- As per the collateral manager report, there is mezzanine debt totaling $4.6 million in place, tagged to cover future operational shortfalls and capital expenditures. -- In an analysis for this review, Morningstar DBRS applied a stressed LTV and POD adjustment resulting in an EL more than 1.4 times the pool EL. Shore House Apartments (Prospectus ID#7; 5.9% of the pool): -- The loan is secured by 69 two-story apartment buildings, totaling 616 units, in Jacksonville, Florida. The loan was transferred to special servicing in December 2024. -- In November 2025, the collateral manager confirmed the funding of mezzanine debt of $3.0 million to cover future shortfalls and capital expenditures. The loan is reported current. -- Since Morningstar DBRS' prior review, the borrower was successfully able to execute the loan modification to extend the maturity by 12 months, to December 2026, and the loan is currently pending a return to the master servicer. -- According to the January 2026 collateral manager report, the property was 58.8% occupied as of October 2025, well behind the sponsor's targeted stabilized occupancy rate of 95.0%. The reported average rent of $993/unit is above the issuance figure of $884/unit but still below the Arlington submarket average rent of $1,356/unit as of Q4 2025, according to Reis. -- Morningstar DBRS stressed the LTV and applied a POD penalty to reflect these increased credit risks; the resulting EL was almost twice the pool EL. Boat House Apartments (Prospectus ID#11; 4.6% of the pool): -- The loan is secured by 42 two-story apartment buildings in Jacksonville; the loan currently has a maturity date of December 2026. -- The loan was transferred to special servicing in December 2024 because of payment default and was last modified in October 2025, extending the maturity by 12 months. The loan was current as of the May 2026 reporting. -- As per the latest collateral manager report, mezzanine debt of $2.4 million closed in November 2026 to cover future operational shortfalls and capital expenditures. -- According to the April 2026 rent roll, the property was 63.5% occupied compared with origination and stabilized figure of 93.0% and 95%, respectively. -- Although the borrower has completed the majority of the capital expenditures planned at issuance, property performance has not improved, and the collateral manager reported an NCF decline of more than 60% between January 2025 and October 2025. -- The October 2025 appraisal obtained by the special servicer provided updated as-is and as-stabilized values of $65.1million and $70.9 million, respectively. These figures represent declines from the previous appraised values of $67.0 million and $75.6 million, respectively. -- As a result of the loan's status as a specially serviced asset and recent declines in performance, Morningstar DBRS increased the POD penalty and applied a stressed LTV in the model, resulting in an EL more than twice the pool's average EL. Solace on Peachtree (Prospectus ID#64; 2.2% of the pool): -- The loan is secured by a mixed-use building (residential and office), in Atlanta, Georgia. The loan currently has a final maturity of August 2027. -- The loan transferred to special servicing in December 2024 for payment default and remains delinquent as of May 2026. -- As per the March 2025 rent roll, the property was 79.5% occupied, compared with 96.8% at loan closing and the issuer's stabilized occupancy rate of 91.9%. The borrower has completed 342-unit renovations, 173 of which were full renovations, and painted the exterior of the building. -- As per the collateral manager, the loan foreclosure date is currently set for July 2026. -- Morningstar DBRS liquidated this loan based on a 25% haircut to the most recent appraised value, resulting in a projected loss of approximately $7.5million and a loss severity of 28.3%. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. ASPIRE MORTGAGE 2026-4: S&P Assigns (P) B (sf) Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Aspire Mortgage Trust 2026-4's mortgage-backed certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of three months. The mortgage loans have primarily 30-year maturities, though some have 40-year maturities and four have 20-year maturities. The loans are secured by single-family residential properties, planned-unit developments, condominiums, two- to four-family residential properties, and condotels. The pool consists of 1,070 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate), QM/higher priced mortgage loan, non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt loans. The preliminary ratings are based on information as of July 17, 2026. Subsequent information may result in the assignment of a final rating that differs from the preliminary rating. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregator, Aspire Residential Conduit--Redwood Trust Inc.; -- The mortgage originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i) Aspire Mortgage Trust 2026-4 Class A-1FCF, $144,300,000: AAA (sf) Class A-1LCF, $48,100,000: AAA (sf) Class A-1A, $167,940,000: AAA (sf) Class A-1B, $24,540,000: AAA (sf) Class A-1, $192,400,000: AAA (sf) Class A-2, $23,305,000: AA (sf) Class A-3, $39,248,000: A (sf) Class M-1, $18,889,000: BBB (sf) Class B-1, $10,302,000: BB (sf) Class B-2, $8,341,000: B (sf) Class B-3, $5,642,151: not rated Class A-IO-S, notional(ii): not rated Class XS, notional(ii): not rated Class R, not applicable: not rated Class LT-R, not applicable: not rated (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $490,607,151. AUXILIOR TERM 2026-1: Moody's Assigns (P)Ba2 Rating to Cl. E Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to the notes to be issued by Auxilior Term Funding 2026-1, LLC (the issuer). The transaction will be the third securitization sponsored by Auxilior Capital Partners, Inc. (Auxilior), a small and medium-ticket independent equipment finance company. Auxilior will also serve as servicer of the collateral. The notes will be backed by a pool of loans and leases by new and used equipment in five segments: Construction and Infrastruture Group (CIG), Transportation and Logistics Group (TLG), Franchise Finance Group (FFG), Financial Institution Group (FIG), and Healthcare (HFG). The complete rating actions are as follows: Issuer: Auxilior Term Funding 2026-1, LLC Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2 Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa2 (sf) Class C Notes, Assigned (P)A2 (sf) Class D Notes, Assigned (P)Baa3 (sf) Class E Notes, Assigned (P)Ba2 (sf) RATINGS RATIONALE The median cumulative net loss expectation for the pool is 2.50% and the loss under an Aaa stress is 20.00% (inclusive of 19.00% credit loss and 1.00% residual value loss). The ratings are based on the credit quality of the underlying collateral and its expected performance, the historical performance of the managed portfolio and prior securitizations of similar collateral, the experience and expertise of Auxilior as the originator and servicer of the asset portfolio, the capital structural and the legal and operational aspects of the transaction. In assigning the provisional short-term rating to the class A-1 notes, Moody's considered the cash flows that Moody's expects the underlying receivables to generate prior to the class A-1 notes' legal final maturity date. At closing, the Class A notes, Class B notes, Class C notes, Class D notes, and Class E notes will benefit from 19.25%, 14.50%, 8.50%, 6.00%, and 4.60% of hard credit enhancement, respectively. Hard credit enhancement for the notes will consist of (1) over-collateralization (OC) of 3.60% of the initial pool balance, with the ability to step down once the OC reaches its target of 7.50% of the outstanding pool balance subject to a floor of 1.00% of the initial pool balance, (2) a fully funded, non-declining reserve account of 1.00% of the initial pool balance, and (3) subordination, except for the Class E Notes. The notes may also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's then current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or slower depreciation than expected in the value of the equipment securing obligors' promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. This transaction has a sequential pay structure and therefore credit enhancement will grow as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build-up of enhancement. Down Moody's could downgrade the ratings on the notes if levels of credit enhancement are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above ouroriginal expectations as a result of a higher number of obligor defaults or higher than expected deterioration in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, negative changes in the US macro economy and the performance of various sectors in which the obligors operate could also affect the ratings. Other reasons for worse-than-expected performance could include poor servicing, error on the part of transaction parties, inadequate transaction governance or fraud. AXMF RE-REMIC 2025-SBRR1: DBRS Confirms B(low) on 2 Tranches ------------------------------------------------------------ DBRS Limited (Morningstar DBRS) confirmed its credit ratings on eight classes of Multifamily Mortgage Certificate-Backed Certificates, Series 2025-SBRR1, issued by AXMF Re-REMIC Trust 2025-SBRR1 (AXMF) as follows: -- Class A at A (low) (sf) -- Class B at BBB (low) (sf) -- Class C at BB (low) (sf) -- Class D at B (low) (sf) -- Class CA at BB (low) (sf) -- Class CB at BB (low) (sf) -- Class DA at B (low) (sf) -- Class DB at B (low) (sf) Morningstar DBRS also confirmed its credit ratings on four classes of notes issued by Star Point 2025-1, Ltd (Star Point) as follows: -- Class A at A (sf) -- Class B at BBB (low) (sf) -- Class C at BB (sf) -- Class D at B (low) (sf) All trends are Stable. CREDIT RATING ACTION RATIONALE -- Both transactions are resecuritizations backed a portion of the beneficial interests in the Class B multifamily mortgage-backed pass through certificates from underlying small balance multifamily mortgage loan securitizations issued by the Federal Home Loan Mortgage Corporation (Freddie Mac). -- The credit rating confirmations reflect the overall stable performance of the underlying Freddie Mac securitizations since issuance for both transactions, with AXMF closing in June 2025 and Star Point closing in December 2025. -- Neither transaction has experienced events of default or breaches of key structural triggers, as of the April 2026 remittance date. In addition, collateral reduction across both transactions has been limited, remaining below 6.0%, with delinquency levels generally in line with Morningstar DBRS' expectations. POOL/COLLATERAL OVERVIEW -- The AXMF transaction is collateralized by Class B certificates from 18 underlying securitizations, while the Star Point transaction is backed by Class B certificates from 13 securitizations and one structured credit risk note from an underlying credit risk transfer securitization. -- The principal balance of the underlying Class B certificates for AXMF totals approximately $534.6 million as of the April 2026 remittance, of which approximately 82.0% has been contributed to the resecuritization, while the principal balance of the underlying Class B certificates for Star Point totaled approximately $372.0 million, of which approximately 95% has been contributed to the resecuritization. -- Both portfolios consist of a diversified pool of loans backed by a multifamily properties, with the AXMF transaction the larger and more granular of the two. The underlying collateral in both transactions is highly concentrated in garden-style multifamily properties, with only limited exposure to other asset types such as mid-/high-rise buildings, townhomes, and senior housing. STRUCTURAL CONSIDERATIONS -- In both transactions, the underlying Class B certificates represent the most subordinate principal-and-interest tranches, and as such, the credit ratings are primarily dependent on the performance of the underlying securitizations. -- Loan terms across both pools are well diversified, though there is a larger concentration of longer-duration loans (particularly 20-year maturities) alongside a mix of mid- and shorter-term loans. Both transactions include fixed-rate and hybrid adjustable-rate mortgage (ARM) loans; however, the Star Point transaction is more heavily fixed-rate, while AXMF has a more balanced mix with relatively higher ARM exposure. -- The AXMF transaction features a pro rata pass-through structure that shifts to a sequential waterfall upon certain trigger events, including portfolio deleveraging, rising delinquencies, elevated cumulative losses, or multiple trigger breaches of the underlying transactions. The depositor also has the option to repurchase certain affected Class B certificates, with proceeds distributed pro rata across all certificates regardless of trigger status. -- The Star Point transaction features a primarily sequential payment structure, providing structural deleveraging and credit enhancement improvement over time. With respect to expenses and principal and interest, while excess interest is initially allocated pari passu to Classes B and C before being applied sequentially to other tranches; certain subordinate classes allow for interest deferral, though none are currently outstanding. Events of default include failures to pay interest or principal, breaches of payment priority or covenants, and issuer insolvency. ANALYTICAL CONSIDERATIONS -- The Morningstar DBRS CMBS Insight Model does not account for loan prepayments. As such, Morningstar DBRS applied the model's adjusted default and loss severity assumptions directly into its cash flow analysis tool for both transactions. Given the structural complexity and granular loan pools, Morningstar DBRS used the results of its cash flow modeling analysis as an overlay to supplement the model outputs in its overall credit risk assessment. -- Certain assumptions applied as part of this cash flow modelling analysis are consistent with assumptions described in the "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology." These include a 22-month recovery lag period, 100% servicer advancing, and the application of both front-and back-loaded default timing curves. In addition, Morningstar DBRS applied conditional prepayment rate stresses of 5.0%, 10.0%, 15.0%, and 20.0%. -- Morningstar DBRS applied additional stress to the default rates of delinquent loans to account for their heightened credit risk, and typically increased default assumptions for loans exhibiting prior payment delinquencies or recent performance deterioration based on the latest financial reporting. -- For the AXMF transaction, Morningstar DBRS incorporated an additional loss penalty to reflect risks associated with the pro rata structural features. -- Morningstar DBRS maintained its model inputs and assumptions from issuance for both transactions given their recent closing dates within the past 12 months. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. BALLYROCK CLO 14: S&P Affirms BB- (sf) Rating on Class D-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1a-RR, A-1b-RR, A-2-RR, and B-RR debt from Ballyrock CLO 14 Ltd./Ballyrock CLO 14 LLC, a CLO managed by Ballyrock Investment Advisors LLC that was originally issued in January 2021 and underwent a refinancing in July 2024. At the same time, S&P withdrew its ratings on the previous class A-1a-R, A-1b-R, A-2-R, and B-R debt following payment in full on the July 20, 2026, refinancing date. S&P also affirmed its ratings on the class X-R, C-1-R, C-2-R, and D-R debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 20, 2027. -- No additional assets were purchased on the July 20, 2026, refinancing date, and the target initial par amount remains unchanged. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-1a-RR, $320.00 million: Three-month CME term SOFR + 1.20% -- Class A-1b-RR, $10.00 million: Three-month CME term SOFR + 1.42% -- Class A-2-RR, $50.00 million: Three-month CME term SOFR + 1.55% -- Class B-RR (deferrable), $30.00 million: Three-month CME term SOFR + 1.90% Previous debt -- Class X-R, $0.50 million: Three-month CME term SOFR + 1.00% -- Class A-1a-R, $320.00 million: Three-month CME term SOFR + 1.38% -- Class A-1b-R, $10.00 million: Three-month CME term SOFR + 1.58% -- Class A-2-R, $50.00 million: Three-month CME term SOFR + 1.70% -- Class B-R (deferrable), $30.00 million: Three-month CME term SOFR + 2.00% -- Class C-1-R (deferrable), $30.00 million: Three-month CME term SOFR + 3.00% -- Class C-2-R (deferrable), $5.00 million: Three-month CME term SOFR + 4.25% -- Class D-R (deferrable), $15.00 million: Three-month CME term SOFR + 5.85% 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 Ballyrock CLO 14 Ltd./Ballyrock CLO 14 LLC Class A-1a-RR, $320.00 million: AAA (sf) Class A-1b-RR, $10.00 million: AAA (sf) Class A-2-RR, $50.00 million: AA (sf) Class B-RR, $30.00 million: A (sf) Ratings Withdrawn Ballyrock CLO 14 Ltd./Ballyrock CLO 14 LLC Class A-1a-R to NR from 'AAA (sf)' Class A-1b-R to NR from 'AAA (sf)' Class A-2-R to NR from 'AA (sf)' Class B-R to NR from 'A (sf)' Ratings Affirmed Ballyrock CLO 14 Ltd./Ballyrock CLO 14 LLC Class X-R: AAA (sf) Class C-1-R: BBB- (sf) Class C-2-R: BBB- (sf) Class D-R: BB- (sf) Other Debt Ballyrock CLO 14 Ltd./Ballyrock CLO 14 LLC Subordinated notes, $40.90 million: NR NR--Not rated. BANK 2019-BNK19: Fitch Lowers Rating on Class D Certs to 'Bsf' -------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of BANK 2018-BNK15, commercial mortgage pass-through certificates, series 2018-BNK15. The Rating Outlooks for classes A-S and X-B were revised to Stable from Negative. The Outlook for classes B, C, D, E, F, X-D, and X-F remains Negative. Fitch has also downgraded one and affirmed 11 classes of BANK 2019-BNK19 commercial mortgage pass-through certificates, series 2019-BNK19. Class D was assigned a Negative Rating Outlook following the downgrade. The Outlook on classes A-S, B, C, and X-B remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BANK 2019-BNK19 A-2 06540WBC6 LT AAAsf Affirmed AAAsf A-3 06540WBD4 LT AAAsf Affirmed AAAsf A-S 06540WBE2 LT AAsf Affirmed AAsf A-SB 06540WBB8 LT AAAsf Affirmed AAAsf B 06540WBF9 LT A-sf Affirmed A-sf C 06540WBG7 LT BBB-sf Affirmed BBB-sf D 06540WAJ2 LT Bsf Downgrade BB-sf E 06540WAL7 LT CCCsf Affirmed CCCsf F 06540WAN3 LT CCsf Affirmed CCsf X-A 06540WBH5 LT AAAsf Affirmed AAAsf X-B 06540WBJ1 LT A-sf Affirmed A-sf X-D 06540WAA1 LT CCCsf Affirmed CCCsf BANK 2018-BNK15 A-3 06036FBB6 LT AAAsf Affirmed AAAsf A-4 06036FBC4 LT AAAsf Affirmed AAAsf A-S 06036FBF7 LT AAAsf Affirmed AAAsf A-SB 06036FBA8 LT AAAsf Affirmed AAAsf B 06036FBG5 LT AA-sf Affirmed AA-sf C 06036FBH3 LT A-sf Affirmed A-sf D 06036FAJ0 LT BBBsf Affirmed BBBsf E 06036FAL5 LT BBB-sf Affirmed BBB-sf F 06036FAN1 LT B-sf Affirmed B-sf G 06036FAQ4 LT CCCsf Affirmed CCCsf X-A 06036FBD2 LT AAAsf Affirmed AAAsf X-B 06036FBE0 LT AAAsf Affirmed AAAsf X-D 06036FAA9 LT BBB-sf Affirmed BBB-sf X-F 06036FAE1 LT B-sf Affirmed B-sf X-G 06036FAG6 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have increased to 5.1% for BANK 2018-BNK15, compared to 4.5% at Fitch's prior rating action. Losses have decreased to 5.3% in BANK 2019-BNK19 compared to 7.7% at Fitch's prior rating action, primarily due to better-than-expected recoveries from the liquated 29 West 35th Street asset. The BANK 2018-BNK15 transaction includes seven loans (24.2% of the pool) that have been identified as Fitch Loans of Concern (FLOCs), including three specially serviced loans (20.3%). The BANK 2019-BNK19 transaction has eight FLOCs (25.9%), and there are currently no loans in special servicing. Despite increased loss expectations, the Outlook revisions for classes A-S and X-B in BMARK 2018-B15 reflect sufficient credit enhancement (CE) and the increased likelihood of repayment of the classes from loans expected to refinance at maturity. The Negative Outlooks in BANK 2018-BNK15 reflect continued performance deterioration and lack of stabilization of the FLOCs, particularly two of the specially serviced loans, Havard Park (3.6%) and Starwood Hotel Portfolio (10.4%). Downgrades are possible if performance continues to deteriorate and does not stabilize for these loans, or if more loans than anticipated fail to refinance. The downgrade on class D in BANK 2019-BNK19 reflects the deteriorating performance of office FLOCs, particularly, 445 South Street, One Financial Plaza, University Square, Fairway Center I, and Eleven Seventeen Perimeter (collectively 17.0% of the pool). The Negative Outlooks in BANK 2019-BNK19 reflect overall elevated exposure to office loans (50.8% of the pool) and the increased likelihood of additional transfers to special servicing. Downgrades are likely should performance of the FLOCs continue to decline and/or transfer to special servicing. Given the BANK 2018-BNK15 transaction has significant maturity concentrations in 2028, Fitch performed a sensitivity and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and the perceived likelihood of repayment and/or loss expectation. The rating actions and Negative Outlooks also incorporate this analysis. Largest Contributors to Loss: The largest contributor to overall loss expectations in BANK 2018-BNK15 is the Starwood Hotel Portfolio (10.4%) loan, which transferred to special servicing in January 2026 due to imminent monetary default. According to the June 2026 servicer commentary, forbearance terms are being negotiated with the borrower. The loan is secured by a portfolio comprised of 22 hotels spread across 12 states. The largest state by key is Missouri (23.3% of keys), followed by Kansas (13.6% of keys) and Illinois (13.0% of keys). The portfolio includes four full-service hotels, six select-service hotels, five extended stay hotels, and seven limited-service hotels and operates under three brands including 15 properties under Marriott, five properties under Hilton, and two properties under the IHG brand family. While portfolio performance saw incremental stabilization following the pandemic, recent performance has trended negatively. The trailing-12-months (TTM) ended June 2025 NOI is 65.2% below YE 2019 and 43.5% below the Fitch issuance NCF. Fitch's 'Bsf' rating case loss of 26.0% (prior to a concentration adjustment) is based on a 11.50% cap rate to the TTM ended June 2025 NOI. The second-largest contributor to expected losses in BANK 2018-BNK15 is the Harvard Park (3.5%) loan, which is secured by a 289,733-sf suburban office building located in Sacramento, CA. The loan transferred to special servicing for imminent monetary default in July 2025. Property occupancy was 33.0% as of the April 2026 rent roll, and the servicer-reported NOI DSCR was 0.26x as of YE 2025. According to the servicer-provided April 2026 rent roll, major tenants include State of California Department of Parks and Recreation (7.7%, leased through May 2032) and Greybar Electric (5.3%, through February 2027). The former largest tenant, Alta California Regional (previously 35.5% NRA) vacated in March 2025. Per CoStar, the property lies within the Point West office submarket of the Sacramento, CA market. As of 2Q26, submarket asking rents averaged $25.37 psf and the submarket vacancy rate was 20.0%. Fitch's 'Bsf' rating case loss of 35.4% (prior to a concentration adjustment) is based on a stress to the most recent (August 2025) appraisal valuation, reflecting a stressed value of approximately $81 psf. In addition to its base case analysis, Fitch performed a sensitivity analysis that assumed an outsized loss of 50.0% to reflect a possible prolonged workout and weak submarket fundamentals. Fitch is also monitoring the performance of the 685 Fifth Avenue Retail (6.3%) loan, which is secured by a 23,575-sf retail condominium located at 685 Fifth Avenue in Manhattan, NY. The loan was transferred to special servicing in May 2026 due to an imminent balloon maturity default. Major tenants include Coach (85.2% NRA, leased through April 2027), Stuart Weitzman (11% NRA, April 2027), and DJI Hasselblad (3.8% NRA, December 2026). According to online reports, Coach is expected to vacate upon lease expiry in April 2027, and David Yurman is expected to backfill the entirety of the Coach space. Fitch requested leasing information and status updates but did not receive a response. The loan was reported as current as of the June 2026 financial reporting and reported $6.8 million ($287 psf) in total reserves as of the July 2026 Initial Asset Report (ASR). The largest contributor to overall loss expectations in BANK 2019-BNK19 is the 445 South Street (4.4%) loan, which is secured by a 320,274-sf suburban office property located in Morristown, NJ. Major tenants include Travelers Indemnity Company (17.2%, January 2028), Marsh USA (10.2%, August 2030) and Arch Reinsurance Company (5.3%, March 2026). Property occupancy declined to 44% as of the March 2026 servicer-provided rent roll from 86% at March 2025 due to the property's former largest tenant, Covanta Holding Corporation (previously 33.8% of NRA) vacating upon lease expiry in October 2025. In addition, the second-largest tenant, Marsh USA (previously 17.0% of NRA) downsized its space in the property by 21,832-sf to 10.2% of the NRA. The loan was 30 days delinquent as of the June 2026 financial reporting and reported $4.5 million ($13.9 psf) in total reserves as of the June 2026 loan level reserve report. Per CoStar, the property lies within the Morristown Region office submarket of the New Jersey, NJ market. As of 2Q26, submarket asking rents averaged $34.61 psf and the submarket vacancy rate was 14.4%. Fitch's 'Bsf' rating case loss of 28.8% (prior to a concentration adjustment) is based on a 10.0% cap rate and 25.0% stress to the YE 2024 NOI, and factors in an increased probability of default due to the low occupancy and loan's heightened term default risk. The second-largest contributor to overall loss expectations in BANK 2019-BNK19 is One Financial Plaza (3.8%), which is secured by a 621,830-sf office property located in Hartford, CT. Major tenants include Virtus Investment Partners (10.3 of NRA%, leased through April 2030), Conning & Company (7.6%, July 2029) and Global Atlantic (7.5%, March 2035). Occupancy was 63.1% as of the March 2026 rent roll, unchanged from YE 2025, compared with 74.4% at YE 2024, 70.1% at YE 2023 and 86.9% at YE 2022. Occupancy declined due to Travelers Indemnity Company (previously 11.0% of NRA) vacating the property in 2025. Travelers Indemnity previously downsized its space in the property by 131,736-sf to 11.0% of NRA in December 2022. The loan was reported as current as of the June 2026 financial reporting and reported $2.4 million ($3.8 psf) in total reserves as of the June 2026 loan level reserve report. According to CoStar, the property lies within the Hartford office submarket of the Hartford, CT market. As of 2Q26, submarket asking rents averaged $21.78 psf and the submarket vacancy rate was 13.2%. Fitch's 'Bsf' rating case loss of 25.4% (prior to a concentration adjustment) is based on a 10.50% cap rate and 25% stress to the YE 2024 NOI, and factors in an increased probability of default due to the deterioration in performance. Increase in CE: As of the June 2026 distribution date, the aggregate pool balances of the BANK 2018-BNK15 and BANK 2019-BNK19 transactions have been reduced by 11.8% and 6.4%, respectively, since issuance. The BANK 2018-BNK15 transaction includes six loans (5.3% of the pool) that have been fully defeased. Six loans (3.2%) are fully defeased in BANK 2019-BNK19. Principal Loss and Interest Shortfalls: To date, the BANK 2018-BNK15 transaction has incurred $1.9 million in realized principal losses which have been absorbed by the non-rated class H and risk retention class RRI. Interest shortfalls totaling $526,711 are affecting the non-rated class H and risk retention class RRI. The BANK 2019-BNK19 transaction has incurred $30.0 million in realized principal losses which have been absorbed by the non-rated class J and risk retention class RRI. Interest shortfalls totaling $3.4 million are affecting the non-rated class J and risk retention class RRI. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch does not expect downgrades to the senior 'AAAsf' rated classes due to their high CE, position in the capital structure and expected continued amortization and loan repayments. However, downgrades may occur if deal-level losses increase significantly, or interest shortfalls are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or if more loans than expected default at or prior to maturity. Downgrades are possible for BANK 2018-BNK15 if FLOC performance deteriorates further, particularly for the Harvard Park and Starwood Hotel Portfolio loans. Key FLOCs in the BANK 2019-BNK19 transaction include the 445 South Street, One Financial Plaza, University Square, Fairway Center I, and Eleven Seventeen Perimeter. Downgrades to classes with Negative Outlooks rated 'BBBsf', 'BBsf' and 'Bsf' are possible if FLOC performance deteriorates further, there are additional transfers to special servicing, or if certainty of losses on the specially serviced loans and/or FLOCs increases. Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur if additional loans transfer to special servicing or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'AAsf' and 'Asf' may be possible with significantly increased CE, coupled with stable to improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BANK5 2026-5YR23: DBRS Assigns '(P)B(low)' Rating to Class G Certs ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-5YR23 (the Certificates) to be issued by BANK5 2026-5YR23: -- Class A-1 at (P) AAA (sf) -- Class A-2 at (P) AAA (sf) -- Class A-2-1 at (P) AAA (sf) -- Class A-2-2 at (P) AAA (sf) -- Class A-2-X1 at (P) AAA (sf) -- Class A-2-X2 at (P) AAA (sf) -- Class A-3 at (P) AAA (sf) -- Class A-3-1 at (P) AAA (sf) -- Class A-3-2 at (P) AAA (sf) -- Class A-3-X1 at (P) AAA (sf) -- Class A-3-X2 at (P) AAA (sf) -- Class X-A at (P) AAA (sf) -- Class X-B at (P) A (sf) -- Class A-S at (P) AAA (sf) -- Class A-S-1 at (P) AAA (sf) -- Class A-S-2 at (P) AAA (sf) -- Class A-S-X1 at (P) AAA (sf) -- Class A-S-X2 at (P) AAA (sf) -- Class B at (P) AA (low) (sf) -- Class B-1 at (P) AA (low) (sf) -- Class B-2 at (P) AA (low) (sf) -- Class B-X1 at (P) AA (low) (sf) -- Class B-X2 at (P) AA (low) (sf) -- Class C at (P) A (low) (sf) -- Class C-1 at (P) A (low) (sf) -- Class C-2 at (P) A (low) (sf) -- Class C-X1 at (P) A (low) (sf) -- Class C-X2 at (P) A (low) (sf) -- Class X-D at (P) BBB (sf) -- Class X-E at (P) BBB (low) (sf) -- Class X-F at (P) BB (sf) -- Class X-G at (P) B (sf) -- Class D at (P) BBB (low) (sf) -- Class E at (P) BB (high) (sf) -- Class F at (P) BB (low) (sf) -- Class G at (P) B (low) (sf) All trends are Stable. Classes X-D, X-E, X-F, X-G, X-H, D, E, F, G and H will be privately placed. The Class A-2-1, Class A-2-2, Class A-2-X1, Class A-2-X2, Class A-3-1, Class A-3-2, Class A-3-X1, Class A-3-X2, Class A-S-1, Class A-S-2, Class A-S-X1, Class A-S-X2, Class B-1, Class B-2, Class B-X1, Class B-X2, Class C-1, Class C-2, Class C-X1, and Class C-X2 certificates are also offered certificates. Such classes of certificates, together with the Class A-2, Class A-3, Class A-S, Class B, and Class C certificates, constitute the Exchangeable Certificates. The Class A-1, Class D, Class E, Class F, Class G, and Class H certificates, together with the Exchangeable Certificates with a certificate balance, are referred to as the principal balance certificates. CREDIT RATING RATIONALE/DESCRIPTION The collateral for the BANK5 2026-5YR23 transaction consists of 33 fixed-rate loans secured by 167 commercial and multifamily properties with an aggregate cut-off date balance of $1.174 billion. One loan, representing 7.7% of the total pool, is shadow-rated investment grade by Morningstar DBRS. Morningstar DBRS analyzed the remainder of the conduit pool to determine the provisional credit ratings, reflecting the pool's long-term probability of default (POD) within the term and its liquidity at maturity. When the cut-off balances were measured against the Morningstar DBRS net cash flow (NCF) and their respective constants, the Morningstar DBRS weighted-average (WA) Issuance debt service coverage ratio (DSCR) of the pool was 1.27 times (x) when including the shadow-rated loan and 1.23x when excluding it. The pool's Morningstar DBRS WA Issuance loan-to-value ratio (LTV) was 63.5%, and the pool is scheduled to amortize to a Morningstar DBRS WA Balloon LTV of 63.3% at maturity based on the A note balances. Excluding the shadow-rated loan, the deal represents a moderate Morningstar DBRS WA Issuance LTV of 64.6% and a Morningstar DBRS WA Balloon LTV of 64.4%. Twelve loans, constituting 33.1% of the total pool, exhibit a Morningstar DBRS Issuance LTV higher than 67.6%. This threshold typically correlates to an above-average default frequency. Seven loans, representing 26.9% of the pool, exhibited a Morningstar DBRS Issuance DSCR at or below 1.31x, which is typically the threshold that indicates a higher likelihood of midterm default. The transaction has sequential-pay pass-through structure. The largest loan in the pool, Mountain Industrial Portfolio, representing 7.7% of the total pool balance, exhibited credit characteristics consistent with a shadow rating of BBB. Eight loans, representing 34.0% of the pool balance, have Morningstar DBRS Issuance LTVs below 60.9%; this threshold typically represents relatively low-leverage financing and is generally associated with below-average default frequency. The pool's Morningstar DBRS WA Issuance LTV is relatively low at 63.5% (64.6% excluding the one shadow-rated loan) and the Morningstar DBRS WA Balloon LTV is 63.3% (64.4% excluding the one shadow-rated loan). The pool exhibits a moderate Issuer WA DSCR of 1.53x. Based on a more stressed Morningstar DBRS NCF, the pool exhibits a Morningstar DBRS WA DSCR of 1.27x (1.23x when excluding the shadow-rated loan), which demonstrates that in times of stress the ability of the pool to cover debt service. None of the loans in the pool have a Morningstar DBRS DSCR below 1.00x and only two loans, representing 9.6% of the pool, have Morningstar DBRS DSCRs equal to or below 1.21x. One loan, representing 3.2% of the pool, is in an area with a Morningstar DBRS Market Rank of 7, which is indicative of a dense urban area that benefits from increased liquidity driven by consistently strong investor demand, even during times of economic stress. Additionally, seven loans, constituting 35.5% of the pool, are in areas with Morningstar DBRS Market Ranks of 5 or 6, which are indicative of less dense urban areas and have historically shown lower default frequencies than suburban, tertiary, and rural markets. Eleven loans, representing 51.3% of the pool, are in Morningstar DBRS MSA Group 3, the best-performing group in terms of historical CMBS default rates among the top 25 MSAs, while four loans, representing 12.9% of the pool, are in Morningstar DBRS MSA Group 1, the worst-performing group. The pool has a relatively high concentration of loans secured by office and retail properties at 13, representing 44.5% of the pool. These property types were among the most affected by the COVID-19 pandemic and many have yet to return to pre-pandemic performance. Future demand for office space is uncertain because of the post-pandemic growth in remote or hybrid work, which has resulted in less use and, in some cases, companies downsizing their office footprints. Declining consumer sentiment and spending will continue to affect the retail sector, with many companies closing stores as a result of decreased sales. Representing 95.6% of the pool, 28 loans are being used to refinance debt. Morningstar DBRS views loans that refinance existing debt as more credit negative than loans in which the proceeds are used to finance an acquisition. Acquisition financing typically demonstrates a meaningful cash investment from the sponsor, which helps to align interests more closely with the lenders, whereas a refinance transaction may be a cash-neutral or cash-out transaction, the latter of which may reduce the borrower's commitment to a property. Thirty-one loans, representing 95.2% of the pool, have interest-only (IO) payment structures throughout their loan terms. IO structures may elevate refinancing risk at loan maturity, especially if property values do not hold steady over time. The remaining loan amortizes over its full loan term with no periods of IO payments. Eight loans, representing 24.4% of the pool, have with sponsors that were regarded as Weak by Morningstar DBRS and one loan, representing 4.0% of the pool, has a sponsor regarded as Bad/Litigious. These designations were generally applied to sponsors who had low net worth and liquidity, a recent history of defaults/bankruptcies, outstanding/prior litigations, and/or a lack of commercial real estate experience. Furthermore, only two of the loans, 6.8% of the pool, were classified as having Strong sponsorship. Representing 70.5% of the pool, 19 loans exhibit negative leverage, defined as the Issuer's implied cap rate (Issuer's NCF divided by the appraised value) less the current interest rate. Among those loans, the average negative leverage was ¿0.7%. While cap rates have been increasing over the past few years, they have not surpassed the current interest rates; in the short term, this suggests that borrowers are willing to have lower equity returns to secure financing. In the longer run, if interest rates hold steady, the loans in this transaction could be subject to negative value adjustments that may affect their borrower's ability to refinance their loans. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and/or Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Prepayment Premiums and Yield Maintenance Charges. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, X-D, X-E, X-F, and X-G are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BARCLAYS MORTGAGE 2026-NQM6: S&P Assigns (P) B Rating on B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Barclays Mortgage Loan Trust 2026-NQM6's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing U.S. residential mortgage loans to both prime and nonprime borrowers (some with initial interest-only periods). The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, two- to four-family residential properties, one manufactured home, and one five-to-10 unit multi-family. The pool has 630 loans, which are qualified mortgage (QM)/non-higher-priced mortgage loan (average prime offer rate), QM/higher-price mortgage loan (average prime offer rate), non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt. The preliminary ratings are based on information as of July 23, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary 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 originators; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings(i) Assigned Barclays Mortgage Loan Trust 2026-NQM6 Class A-1FCF, $80,060,000: AAA (sf) Class A-1LCF, $26,687,000: AAA (sf) Class A-1A, $93,285,000: AAA (sf) Class A-1B, $13,462,000: AAA (sf) Class A-1, $106,747,000: AAA (sf) Class A-1F, $37,675,000: AAA (sf) Class A-2, $13,302,000: AA (sf) Class A-3, $27,398,000: A (sf) Class M-1, $9,819,000: BBB (sf) Class B-1, $6,176,000: BB (sf) Class B-2, $4,909,000: B (sf) Class B-3, $3,959,909: not rated Class SA, $56,506: not rated Class XS, notional(ii): not rated Class PT, $316,789,415: not rated Class R, not applicable: not rated (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the net WAC shortfall amounts. (ii)On any payment date, the class XS notes will have a notional amount equal to the aggregate stated mortgage loans' principal balance as of the first day of the related due period and will not be entitled to principal payments. WAC--Weighted average coupon. BARINGS CLO 2026-II: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2026-II. Entity/Debt Rating ----------- ------ Barings CLO Ltd. 2026-II A-1 067939AA6 LT NRsf New Rating A-2 067939AC2 LT AAAsf New Rating B 067939AE8 LT AAsf New Rating C 067939AL2 LT Asf New Rating D-1 067939AG3 LT BBB-sf New Rating D-2 067939AJ7 LT BBB-sf New Rating E 067943AA8 LT BB-sf New Rating Subordinated 067943AC4 LT NRsf New Rating Transaction Summary Barings CLO Ltd. 2026-II (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings 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 21.63, 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 99.88% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.89% 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 '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, '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 Barings CLO Ltd. 2026-II. 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. BATTALION CLO XV: S&P Lowers Class E Notes Rating to 'B+ (sf)' -------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-RR and C-RR debt from Battalion CLO XV Ltd. an amortizing U.S. broadly syndicated loan CLO managed by Brigade Capital Management L.P. that S&P had previously reviewed for a partial refinancing in February 2025. At the same time, S&P lowered its rating on the class E debt and affirmed its ratings on the class A-1-RR, A-2-RR, and D-RR debt. S&P also removed its rating on the class E debt from CreditWatch with negative implications, on which it was placed on May 6, 2026. The rating actions follow S&P's review of the transaction's performance using data from the June 5, 2026, trustee report. Since the February 2025 refinancing, the class A-1-RR tranche has seen total paydowns of approximately $112.95 million, reducing its outstanding balance to roughly 55.45% of its original principal. This rapid amortization has lifted the overcollateralization (O/C) ratios for the senior and mezzanine classes. The following table highlights the changes in reported O/C ratios compared to the February 2025 post-refinancing report: -- The class A/B O/C ratio improved to 136.89% from 128.06%. -- The class C O/C ratio improved to 123.92% from 120.15%. -- The class D O/C ratio declined to 110.32% from 111.23%. -- The class E O/C ratio declined to 104.17% from 106.95%. Despite the benefits of senior amortization, the portfolio has experienced an uptick in defaults and par losses. While exposure to 'CCC' category assets fell to approximately $26.26 million (from $34.78 million), the decline in the portfolio's weighted average spread (to 3.54%) and the drop in the 'AAA' weighted average recovery rate (to 38.10%) have weakened cash flow results at the junior levels. Consequently, the class E debt was no longer passing cash flows at its prior rating level. Following this decline in credit support, S&P lowered the class E rating to 'B+(sf)'. The amortization of the class A-1-RR tranche considerably improved the O/C ratios for the A-2-RR, B-RR, and C-RR tranches. This increased credit support, combined with strong cash flow results, underpinned the upgrades for the B-RR and C-RR classes. S&P said, "While our cash flow analysis indicated the potential for higher ratings for these classes, we held them back from their model-implied ratings to account for sensitivities regarding potential defaults of 'CCC' assets and assets with low market values." S&P said, "Regarding the class D-RR debt, although our cash flow analysis indicated a higher potential rating, we affirmed the current rating after considering the existing subordination levels and exposure to 'CCC' rated assets. We note that any further deterioration in defaults or par losses could lead to negative rating actions. The affirmed ratings on the class A-1-RR and A-2-RR debt reflect adequate credit support and consistent passing cash flows. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Ratings Raised Battalion CLO XV Ltd. Class B-RR to 'AA+ (sf)' from 'AA (sf)' Class C-RR (deferrable) to 'A+ (sf)' from 'A (sf)' Rating Lowered And Removed From CreditWatch Battalion CLO XV Ltd. Class E to 'B+ (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Battalion CLO XV Ltd. Class A-1-RR: AAA (sf) Class A-2-RR: AAA (sf) Class D-RR: BBB (sf) BENCHMARK 2018-B5: DBRS Cuts Rating on 2 Tranches to 'Csf' ---------------------------------------------------------- DBRS Limited (Morningstar DBRS) downgraded its credit ratings on 10 classes of Commercial Mortgage Pass-Through Certificates, Series 2018-B5 issued by Benchmark 2018-B5 Mortgage Trust as follows: -- Class A-S to AA (sf) from AAA (sf) -- Class X-A to AA (high) (sf) from AAA (sf) -- Class X-B to A (sf) from AA (low) (sf) -- Class B to A (low) (sf) from A (high) (sf) -- Class C to BB (high) (sf) from BBB (sf) -- Class X-D to BB (low) (sf) from BBB (low) (sf) -- Class D to B (high) (sf) from BB (high) (sf) -- Class E-RR to CCC (sf) from BB (low) (sf) -- Class F-RR to C (sf) from B (low) (sf) -- Class G-RR to C (sf) from CCC (sf) In addition, Morningstar DBRS confirmed the following credit ratings: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) The trends on Classes A-S, X-A, X-B, B, C, X-D, and D remain Negative. The trends on the remaining classes are Stable with the exception of Classes E-RR, F-RR, and G-RR, which have credit ratings that typically do not carry trends in commercial mortgage-backed securities (CMBS) transactions. CREDIT RATING RATIONALE -- The credit rating downgrades reflect a pool nearing its maturity year with a significant concentration of office collateral that has either already deteriorated in value or is expected to do so. -- Morningstar DBRS opted to liquidate four of the five loans in special servicing (18.2% of the pool) and identified two additional troubled loans, 215 Lexington Avenue (Prospectus ID#13; 2.8% of the pool) and Overland Park Xchange (Prospectus ID#14; 2.7% of the pool), which were liquidated. -- These six loans contributed $70.4 million of implied losses to the trust that would erode up to the first 10% of Class E-RR, eliminating all available credit support to Classes E-RR through G-RR and limiting the cushion available to Classes A-S through D, supporting the credit rating downgrades. -- The Negative trends on Classes A-S, B, C, and D reflect the possibility of future value and/or performance declines for the specially serviced and distressed office assets, suggesting further credit rating downgrades may be warranted. POOL/COLLATERAL OVERVIEW -- As of the May 2026 remittance, 52 of the original 55 loans remain in the pool with a trust balance of $927.2 million, reflecting a collateral reduction of 10.8% from issuance. -- Ten loans, representing 23.1% of the pool, are being monitored on the servicer's watchlist primarily for low debt service coverage ratios (DSCRs) and declining occupancy rates. -- Eight loans, representing 5.2% of the pool, have been defeased and five loans, representing 18.2% of the pool, are in special servicing. -- The pool primarily comprises loans backed by retail and office property types, accounting for 35.2% and 30.6% of the pool, respectively. ANALYTICAL CONSIDERATIONS -- In the analysis for this review, Morningstar DBRS applied stressed capitalization rates to the most recently available year-end cash flow figures for five additional loans (14.7% of the pool) backed by office collateral to derive updated stressed loan-to value ratios. Those loans had a weighted-average expected loss that was almost three times the pool average. -- Morningstar DBRS identified two troubled loans that were liquidated from the trust with this review. These two loans had experienced significant occupancy and cash flow declines since issuance and have demonstrated limited ability to attract new tenants. Such performance declines often serve as early indicators that borrowers may face difficulty repaying the loan at maturity. -- Morningstar DBRS did not liquidate the specially serviced Workspace - Trust (Prospectus ID#4; 5.4% of the pool) as the senior A-5 and A-6 notes securitized in this transaction are well insulated against potential losses. In the lead securitization, J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT (rated by Morningstar DBRS), Morningstar DBRS analyzed the loan with a conservative liquidation scenario considering a 25% occupancy decline from issuance and a below breakeven DSCR. That analysis confirmed that implied losses totaling $616.3 million would be contained to the bonds in that transaction. KEY LOANS Aon Center (Prospectus ID#7, 4.6% of the pool) -- The loan is secured by a 3.7 million-square foot (sf) office tower in Chicago's central business district (CBD) that transferred to special servicing after failing to make a required tenant improvement/leasing commission deposit. -- The trust loan comprises a $43.0 million A-2 note and is one of five pari passu pieces of a $536 million whole loan. The $186 million subordinate B note is secured in the J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON transaction (not rated by Morningstar DBRS). -- The borrower indicated that loan repayment at maturity in July 2026 will not be possible and that a three-year extension request has been made, but remains under consideration by the special servicer. -- As of the September 2025 rent roll, the property was 66.1% occupied, continuing its downward trend from issuance; however, there are limited rollover concerns (1.6% of the net rentable area (NRA)) over the next 12 months. -- According to a Q1 2026 Reis report, Chicago's West Loop submarket remains challenged with a vacancy rate of 21.9%, which has contributed to the borrower's difficulty finding tenants. -- An updated appraisal from September 2025 valued the collateral at $330.5 million ($119 per sf (psf)), representing a 60.0% decline from the issuance appraised value of $824.0 million. -- Several comparable office properties with similar performance and occupancy rates as the subject were sold at or below $60 psf within three miles of the property. -- As such, Morningstar DBRS analyzed this loan with a liquidation scenario by applying a 30% haircut to the September 2025 appraised value to align with comparable property sales in the area. The resulting implied loss was $24.5 million with a loss severity of 57.0%. eBay North First Commons (Prospectus ID#3, 5.5% of the pool) -- This is the largest loan in special servicing, secured by a 250,056-sf Class B office campus in San Jose, California, which transferred to special servicing in March 2026 for a maturity default. The noted workout strategy is a discounted payoff. -- The subject was originally 100% leased to eBay Inc. (eBay) until 2029. The tenant exercised a termination option in March 2026 and paid an $11.7 million termination fee. The building has been dark since 2020 when the tenant vacated. -- The loan is current as of May 2026 with shortfalls funded from termination fee proceeds, according to the servicer. As of May 2026 reporting, there was $36.3 million in tenant reserves, likely from a cash flow sweep tied to eBay's notice to vacate, providing approximately two years of debt service payments. -- The collateral was reappraised at $54.7 million in April 2026, a 60% decline from the issuance appraised value of $133.8 million. -- Morningstar DBRS analyzed the loan with a liquidation scenario by applying a 25% haircut to the April 2026 appraised value to reflect Morningstar DBRS' outlook on suburban office properties with high submarket vacancy rates and a lack of investor appetite. The resulting implied loss was $12.6 million with a loss severity of 25.0%. Westbrook Corporate Center (Prospectus ID#19, 1.8% of the pool) -- This loan is secured by a 1.1 million-sf office park in Westchester, Illinois, 18 miles west of the Chicago CBD. A receiver was appointed in January 2026 with the servicer expecting a foreclosure in Q3 2026. -- As of the April 2026 rent roll, the property was 56.9% leased with 3.7% of the NRA having leases that recently expired or are scheduled to expire in the next 12 months. Occupancy has continued to decline from the prior year as Follett Higher Education Group, Inc. (now 4.0% of the NRA) downsized its space by 65%. -- The trailing 12-month period ended June 30, 2025 financials reported a DSCR below breakeven and a cash flow that was 19% below issuance levels. -- Reis reported a Q1 2026 vacancy rate of 26.2% for the West submarket, up from the prior year, indicating that backfilling efforts will be slow and challenged. -- The collateral was appraised at $42.2 million in February 2026, down from $48.0 million and $136.0 million in October 2024 and at issuance, respectively. -- Morningstar DBRS analyzed the loan with a liquidation scenario by applying a 30% haircut to the February 2026 appraised value to account for the continued performance decline and poor submarket dynamics. The resulting implied loss was $12.6 million with a loss severity of 77.0%. SHADOW-RATED LOANS Aventura Mall - Trust (Prospectus ID#1; 11.1% of the pool) -- With this review, Morningstar DBRS maintained the shadow rating on this loan given the continued performance in line with investment-grade characteristics as supported by the strong credit metrics, experienced sponsorship, and the underlying collateral's historically stable performance. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Classes X-A, X-B, and X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2021-B23: DBRS Confirms B(low) Rating on Cl. 360D Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2021-B23 issued by Benchmark 2021-B23 Mortgage Trust as follows: -- Class A-2 at AAA (sf) -- Class A-4A1 at AAA (sf) -- Class A-4A2 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class 360A at A (low) (sf) -- Class 360B at BBB (low) (sf) -- Class 360C at BB (low) (sf) -- Class 360D at B (low) (sf) All trends are Stable. CREDIT RATING ACTION RATIONALE -- The credit rating confirmations and Stable trends reflect the overall stable pool performance, which remains in line with Morningstar DBRS' expectations since the previous credit rating action in July 2025. This is evidenced by a weighted-average (WA) debt service coverage ratio (DSCR) over 3.75 times (x) and a WA debt yield approaching 14.0% as of YE2025. -- The Selig Office Portfolio (Prospectus ID#18, 2.4% of the pool) loan has been in special servicing since November 2024. An updated appraisal from August 2025 showed the portfolio value had decreased by approximately 55% from issuance. -- Total projected losses of $12.5 million from the liquidation scenario considered for the Selig Office Portfolio loan with this review would erode approximately 30% of the unrated Class H balance, leaving the other classes still quite insulated against loss. -- The pool benefits from investment-grade shadow credit ratings for three loans in the top 10: 360 Spear - Pooled (Prospectus ID#3; 5.9% of the pool); MGM Grand & Mandalay Bay - Pooled (Prospectus ID#5; 5.1% of the pool); and The Grace Building - Pooled (Prospectus ID#9; 4.0% of the pool). POOL/COLLATERAL OVERVIEW -- As of the May 2026 remittance, 52 of the original 53 loans remain in the pool with a trust balance of $1.4 billion, reflecting a collateral reduction of 3.2% from issuance. -- Two loans, representing 1.7% of the current pool balance, are defeased. -- The only loan in special servicing is the Selig Office Portfolio loan. -- Twelve loans, representing 25.3% of the pool, are being monitored on the servicer's watchlist; these loans are being monitored primarily for performance related issues including low DSCRs, occupancy concerns, and/or tenant rollover triggers. -- The Class 360A, Class 360B, Class 360C, and Class 360D classes are loan-specific certificates (rake bonds) collateralized by the subordinate companion note for the 360 Spear whole loan. The loan-specific certificates will be entitled to receive distributions only from, and will incur losses only with respect to, the trust subordinate companion loan. The trust subordinate companion loan is included as an asset of the issuing entity but is not part of the mortgage pool backing the pooled certificates. No class of pooled certificates will have any interest in the trust subordinate companion loan. ANALYTICAL CONSIDERATIONS -- In the analysis for this review, Morningstar DBRS applied stressed capitalization (cap) rates to the most recently available year-end cash flow figures for distressed office loans to derive a stressed loan-to-value ratio (LTV). The LTVs for two office loans, representing 7.6% of the pool, were adjusted upward as a result. The resulting WA expected loss for those loans was more than double the pool average. KEY LOANS Selig Office Portfolio (Prospectus ID#18, 2.4% of the pool) -- The loan is secured by a portfolio of nine office buildings totaling 1.6 million square feet throughout Seattle. -- The subject loan of $34.1 million represents a pari passu portion of a $379.1 million whole loan, with the additional senior notes secured in the Morningstar DBRS-rated CGCMT 2015-GC31 and GSMS 2015-GC30 transactions and the non-Morningstar DBRS-rated CGCMT 2015-GC29 and GSMS 2015-GC32 transactions. -- The loan transferred to the special servicer in late 2024 for imminent default on the April 2025 maturity; the servicer reports ongoing discussions regarding an extension. The lender is capturing all cash flow as of May 2026. -- Consolidated occupancy across the portfolio was reported at 55.2% in March 2026, compared with the issuance occupancy rate of 92.3%. Reis reported a Q1 2026 average Seattle office market vacancy rate of 21.1%. -- According to YE2025 reporting, the loan reported a DSCR of 1.54x, below the issuance figure of 2.18x. -- An August 2025 appraisal valued the portfolio at $341.2 million, nearly half of the 2020 appraised value of $741.0 million. Morningstar DBRS applied a 25.0% haircut to the August 2025 value in the liquidation analysis, resulting in a $255.9 million value and loss severity approaching 40.0%. Millennium Corporate Park (Prospectus ID#2, 7.0% of the pool) -- The loan is secured by an office complex consisting of six two- and three-story suburban office buildings in Redmond, Washington, about 15 miles east of Seattle. -- The loan previously transferred to the special servicer in September 2025 in anticipation of issues with the January 2026 maturity. -- At the time, the largest tenant at the property, Microsoft Corporation (89.2% of the net rentable area, lease expires in April 2028) was dark after listing the entirety of the property as available for sublease. However, the tenant ultimately withdrew the sublease listing and as of the most recent information available, planned to bring employees back to the property in February 2026. -- In October 2025, an updated appraisal valued the property at $126.0 million, approximately 42.0% below the issuance appraised value of $216.7 million, implying an LTV of 83%. -- In January 2026, the loan was modified to extend the maturity date to January 2029, in exchange for a cash equity contribution, a principal paydown of $795,000, in-place hard cash management, and a nonrecourse loan guarantor provided by the borrower. The loan subsequently returned to the master servicer in March 2026. -- Occupancy was reported at 89% as per the September 2025 financial reporting, compared with the issuance occupancy rate of 100%; the DSCR was reported at 3.08x, in line with the issuance figure of 3.13x. -- Given the near-term lease expiry and proximity to the extended maturity date, Morningstar DBRS derived a stressed value of $124.9 million for the property based on the in-place cash flows and a stressed cap rate of 10.0%. The loan was analyzed with a stressed LTV and an elevated probability of default adjustment. The resulting expected loss was double the pool average. SHADOW-RATED LOANS 360 Spear - Pooled, MGM Grand & Mandalay Bay - Pooled, and The Grace Building - Pooled -- With this review, Morningstar DBRS confirms that the characteristics of these loans remain consistent with the investment-grade shadow credit ratings, as supported by the strong credit metrics, strong sponsorship strength, and the historically stable performance of the collateral. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Class X-A is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO credit rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. BENEFIT STREET XV: Fitch Assigns 'B-sf' Rating on Class F-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Benefit Street Partners CLO XV, Ltd. refinancing notes. Fitch has also affirmed the ratings on class D-1-R, D-2-R, E-R, and F-R with Stable Outlooks. Entity/Debt Rating Prior ----------- ------ ----- Benefit Street Partners CLO XV, Ltd. A-1-R2 LT NRsf New Rating A-2-R 08179MAQ2 LT PIFsf Paid In Full AAAsf A-2-R2 LT AAAsf New Rating B-R 08179MAS8 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-R 08179MAU3 LT PIFsf Paid In Full Asf C-R2 LT Asf New Rating D-1-R 08179MAW9 LT BBB-sf Affirmed BBB-sf D-2-R 08179MAY5 LT BBB-sf Affirmed BBB-sf E-R 08179NAG2 LT BB-sf Affirmed BB-sf F-R 08179NAL1 LT B-sf Affirmed B-sf Transaction Summary Benefit Street Partners CLO XV, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BSP CLO Management L.L.C and originally closed in August 2018. This is the second refinancing where A-1 through C will be redeemed in whole. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $396.16 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 23.08, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.04% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.47% 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 three-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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 July 15, 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. - The collateral manager changed to BSP CLO Management L.L.C. from Benefit Street Partners L.L.C. FITCH ANALYSIS The portfolio includes 322 assets from 290 primarily high yield obligors. In Fitch's view, 0.6% of the portfolio consists of assets that are rated 'CC' or below. The portfolio balance (excluding defaults and including principal cash) is approximately $396.16 million. As of the latest trustee report prior to the refinance date, all of the collateral quality tests, coverage tests, and concentration limitations are passing. The weighted average rating of the current portfolio is 'B+/B'. Fitch has an explicit rating, credit opinion or private rating for 45.2% of the current portfolio par balance; ratings for 54.8% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map. 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: 15.0%, 12.0%, and 12.0%, respectively. - Assumed risk horizon: Six years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 67.50%; - Maximum weighted average rating factor of 24.00; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 7.50%; The transaction will exit its reinvestment period on July 15, 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-2-R2: 'AAAsf' / Default 41.50% / Recovery 39.28% / Cushion 12.00% - Class B-R2: 'AAsf' / Default 38.80% / Recovery 48.97% / Cushion 11.70% - Class C-R2: 'Asf' / Default 34.40% / Recovery 59.01% / Cushion 15.40% - Class D-1-R: 'BBB-sf' / Default 26.40% / Recovery 68.94% / Cushion 16.70% - Class D-2-R: 'BBB-sf' / Default 26.40% / Recovery 68.94% / Cushion 13.40% - Class E-R: 'BB-sf' / Default 22.00% / Recovery 74.09% / Cushion 8.70% - Class F-R: 'B-sf' / Default 17.60% / Recovery 78.98% / Cushion 12.70% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-2-R2: 'AAAsf' / Default 48.70% / Recovery 36.25% / Cushion 2.30% - Class B-R2: 'AAsf' / Default 45.30% / Recovery 42.50% / Cushion 0.80% - Class C-R2: 'Asf' / Default 40.40% / Recovery 52.50% / Cushion 3.80% - Class D-1-R: 'BBB-sf' / Default 31.60% / Recovery 62.50% / Cushion 7.80% - Class D-2-R: 'BBB-sf' / Default 31.60% / Recovery 62.50% / Cushion 4.10% - Class E-R: 'BB-sf' / Default 26.40% / Recovery 67.50% / Cushion 0.00% - Class F-R: 'B-sf' / Default 21.30% / Recovery 72.50% / Cushion 5.20% 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 'BBBsf' 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 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-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf' for class D-1-R, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R and 'BB+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 Benefit Street Partners CLO XV, 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. BENEFIT STREET XXII: S&P Assigns (P) BB- (sf) Rating on E-R3 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the replacement class A-R3, B-R3, C-R3, D-1-R3, D-2-R3, and E-R3 debt from Benefit Street Partners CLO XXII Ltd./Benefit Street Partners CLO XXII LLC, a CLO managed by BSP CLO Management LLC, a wholly owned subsidiary of Franklin Templeton Investments, that was originally issued in December 2020 and underwent a second refinancing in July 2025. The preliminary ratings are based on information as of July 23, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Aug. 4, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-RR, B-RR, C-RR, D-RR, and E-RR debt and assign ratings to the replacement class A-R3, B-R3, C-R3, D-1-R3, D-2-R3, and E-R3 debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-R3, D-2-R3, and E-R3 debt is expected to be issued at a higher spread over three-month SOFR than the existing debt, and the replacement class B-R3, C-R3, and D-1-R3 debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The reinvestment period, stated maturity, and weighted average life test dates will all be extended by 4.25 years; and the non-call period will be extended by 2 years. -- The non-call period will be extended to Aug. 4, 2028. -- The reinvestment period will be extended to July 20, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes will be extended to July 20, 2039. -- No additional assets will be purchased on Aug. 4, 2026, refinancing date, and the target initial par amount will remain at $400 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2026. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- No additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned Benefit Street Partners CLO XXII Ltd./ Benefit Street Partners CLO XXII LLC Class A-R3, $256.00 million: AAA (sf) Class B-R3, $48.00 million: AA (sf) Class C-R3 (deferrable), $24.00 million: A (sf) Class D-1-R3 (deferrable), $24.00 million: BBB- (sf) Class D-2-R3 (deferrable), $3.00 million: BBB- (sf) Class E-R3 (deferrable), $13.00 million: BB- (sf) Other Debt Benefit Street Partners CLO XXII Ltd./ Benefit Street Partners CLO XXII LLC Subordinated notes, $53.78 million: NR NR--Not rated. BLACKROCK DLF 2019-G: DBRS Hikes Rating on Cl. W Notes to B(high) ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on the Class A-1 Notes and upgraded its credit ratings on the Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes (together, the Secured Notes), and the Class W Notes (together with the Secured Notes, the Notes) issued by BlackRock DLF IX 2019-G CLO, LLC (the Issuer), pursuant to the Amended and Restated Note Purchase and Security Agreement (the NPSA) dated December 23, 2020, as amended by the Amendment Agreement (the Amendment), dated August 18, 2023, among the Issuer; U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) as the Collateral Agent, Collateral Administrator, Information Agent, and Note Agent; U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS) as Custodian and Document Custodian and the Purchasers referred to therein: -- Class A-1 Notes confirmed at AAA (sf) -- Class A-2 Notes upgraded to AA (high) (sf) from AA (sf) -- Class B Notes upgraded to AA (sf) from A (high) (sf) -- Class C Notes upgraded to A (high) (sf) from A (sf) -- Class D Notes upgraded to BBB (high) (sf) from BBB (sf) -- Class E Notes upgraded to BB (high) (sf) from BB (sf) -- Class W Notes upgraded to B (high) (sf) from B (sf) The credit ratings on the Class A-1 Notes and Class A-2 Notes address the timely payment of interest (excluding the interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity of October 16, 2031. The credit ratings on the Class B Notes, Class C Notes, Class D Notes, Class E Notes, and Class W Notes address the ultimate payment of interest (excluding the interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate repayment of principal on or before the Stated Maturity of October 16, 2031. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Notes. The Class W Notes may benefit from the Class W Note Payment Amount, which allows for principal repayment of the Class W Notes with collateral interest proceeds, in accordance with the Priority of Payments. CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Reinvestment Period ended October 16, 2025. The Stated Maturity is October 16, 2031. In this surveillance review, Morningstar DBRS applied the Current Profile analysis and worked with a static pool of assets that the transaction currently invests into. Given a static pool, Morningstar DBRS analyzed the actual obligations in the pool as opposed to a hypothetical pool, which is governed by the covenanted test limitations. Morningstar DBRS analyzed each loan in the pool separately by inputting its credit rating, seniority, country of origin, and industry, among others, into the Morningstar DBRS CLO Insight Model. Morningstar DBRS also reviewed the transaction performance and considered multiple failing Concentration Limitations. Morningstar DBRS applied the Level III approach, as described in the Global Methodology for Rating CLOs and Corporate CDOs. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of BlackRock Capital Investment Advisors, LLC. (6) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of May 18, 2026, the Borrower is not in compliance with some of its performance metrics. As a result, the Level III surveillance approach in the CLO Methodology was applied, and a Current Profile analysis was incorporated into the review of the transaction. As of May 18, 2026, the transaction is failing the Minimum Weighted Average Spread Test (current 5.339% vs required 5.750%), the Senior Advance Rate Test (current 90.62% vs required 85.0%), the Minimum Weighted Average Coupon Test (current 3.00% vs required 6.00%) and the Class D Overcollateralization Test (current 117.51% vs. required 119.01%). Morningstar DBRS considered these failures in its analysis. There were six defaulted obligations (a total par amount of $5,589,912.66) registered in the Portfolio as of April 15, 2026. Under the Current Profile analysis, Morningstar DBRS analyzed the actual obligations in the pool, as reported in the trustee report as of May 18, 2026. Morningstar DBRS analyzed each loan in the pool separately by inputting its credit rating, seniority, country of origin, and industry, among others, into the Morningstar DBRS CLO Insight Model. The performance metrics that Morningstar DBRS modelled in during its analysis are presented below: Collateral Quality Tests: Minimum Weighted Average Spread: threshold 5.750%; current 5.339% Minimum Weighted Average Coupon: threshold 6.00%; current 3.00% Maximum DBRS Risk Score: threshold 39.88; current 37.83 Minimum Weighted Average DBRS Recovery Rate: threshold 47.50%; current 50.10% Minimum Diversity Score: threshold 30; current 34 Maximum Weighted Average Life: threshold 4.00; current 2.68 Senior Advance Rate Test: threshold 85.00%; current 90.62% Coverage Tests: Class A-2 Overcollateralization (OC): threshold 143.97%; current 151.42% Class B Overcollateralization (OC): threshold 132.18%; current 135.05% Class C Overcollateralization (OC): threshold 125.71%; current 126.94% Class D Overcollateralization (OC): threshold 119.01%; current 117.51% Class E Overcollateralization (OC): threshold 110.28%; current 110.35% Class A-2 Interest Coverage (IC): threshold 145.00%; current 230.01% Class B Interest Coverage (IC): threshold 140.00%; current 200.88% Class C Interest Coverage (IC): threshold 120.00%; current 185.11% Class D Interest Coverage (IC): threshold 115.00%; current 165.60% Class E Interest Coverage (IC): threshold 110.00%; current 146.90% Class W Interest Coverage (IC): threshold 100.00%; current 141.57% Advance Rate Test: Senior Advance Rate Test: threshold 85.00%; current 90.62% Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle market loans, (2) the adequate diversification of the portfolio of collateral obligations (current DScore of 34 vs. the required level of 30), and (3) the Collateral Manager's expertise in CLOs and overall approach to the selection of Collateral Obligations. Some challenges were identified in that (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the per the Collateral Quality Matrix) and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default. Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology. Model-based analysis produced better than expected results. The model-based analysis supported the credit rating actions on the Notes. To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning credit ratings to a facility. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. BLUEMOUNTAIN CLO 2018-3: S&P Affirms B+ (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings took various rating actions on 18 classes of debt from three broadly syndicated U.S. CLO transactions: Romark WM-R Ltd., BlueMountain CLO 2018-3 Ltd., and Black Diamond CLO 2019-2 Ltd. S&P raised nine ratings, lowered three, and affirmed six. At the same time, S&P removed eight of these ratings from CreditWatch with positive implications and four from CreditWatch with negative implications, on which they were placed on May 6, 2026, due to a combination of paydowns, indicative cash flow results, and credit support at that time. S&P said, "The rating actions follow S&P reviews of each transaction's performance using data from their respective trustee reports. In our review, S&P analyzed each transaction's performance and cash flows and applied its global corporate CLO criteria in our rating decisions." The transactions have all exited their reinvestment periods and are paying down the notes in the order specified in their respective documents. 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 rates and macroeconomic scenarios. In addition, our analysis considered each 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. "While each class's indicative cash flow results are a primary factor, we also incorporate other considerations into our decision to raise, lower, or affirm ratings or limit rating movements." These considerations typically include: -- Whether the CLO is reinvesting or paying down its notes; -- Existing subordination or overcollateralization (O/C) levels and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default or dependence on favorable market conditions to meet obligations; and -- Additional sensitivity runs to account for any of the other considerations. The upgrades primarily reflect the increased credit support on the respective classes due to the senior note paydowns, improved O/C levels, and passing cash flow results at a higher rating level. The downgrades primarily reflect the classes' indicative cash flow results and decreased credit support as a result of principal losses and/or negative migration in portfolio credit quality. S&P said, "The affirmations reflect our view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. "Although our cash flow analysis indicated a different rating for some classes of notes, we took the rating actions after considering one or more qualitative factors listed above. "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." Ratings list Rating Issuer Class CUSIP To From Black Diamond A-1a-R 09204GAF6 AAA (sf) AAA (sf) CLO 2019-2 Ltd. Main rationale: Class passes S&P's cash flow stresses at current rating level. Black Diamond A-2-R 09204GAK5 AAA (sf) AA (sf)/ CLO 2019-2 Ltd. Watch POS Main rationale: Senior note paydowns and passing cash flows. S&P's rating action considered the current credit enhancement level, which is commensurate with the raised rating. Black Diamond B-R 09204GAM1 AA+ (sf) A (sf)/ CLO 2019-2 Ltd. Watch POS Main rationale: Senior note paydowns and passing cash flows. S&P's rating action considered the current credit enhancement level, which is commensurate with the raised rating. Black Diamond C-R 09204GAP4 BBB+ (sf) BBB- (sf) CLO 2019-2 Ltd. Main rationale: Tranche upgraded based on senior note paydowns, improvement in O/C, and passing cash flows at the new rating level. While S&P's base-case analysis indicated a higher rating, its rating action took into account the decline in the overall credit profile, increase in 'CCC' concentration, and additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets and to assets trading at low market values. Black Diamond D 09204JAA1 BB- (sf) BB- (sf)/ CLO 2019-2 Ltd. Watch NEG Main rationale: Class passes S&P's cash flow stresses at current rating level. BlueMountain A-1R 09630AAN6 AAA (sf) AAA (sf) CLO 2018-3 Ltd. Main rationale: Class passes S&P's cash flow stresses at current rating level. BlueMountain A-2R 09630AAQ9 AAA (sf) AAA (sf) CLO 2018-3 Ltd. Main rationale: Class passes S&P's cash flow stresses at current rating level. BlueMountain B-R 09630AAS5 AAA (sf) AA+ (sf)/ CLO 2018-3 Ltd. Watch POS Main rationale: Senior note paydowns and passing cash flows. S&P's rating action considered the current credit enhancement level, which is commensurate with the raised rating. BlueMountain C 09630AAJ5 AA+ (sf) A+ (sf)/ CLO 2018-3 Ltd. Watch POS Main rationale: Tranche upgraded based on senior note paydowns, improvement in O/C, and passing cash flows at the new rating level. While S&P's base-case analysis indicated a higher rating, its rating action took into account the decline in the overall credit profile, increase in 'CCC' concentration, and additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets and to assets trading at low market values. BlueMountain D 09630AAL0 BBB- (sf) BBB- (sf) CLO 2018-3 Ltd. Main rationale: Passing cash flows at current rating. Although S&P's base-case analysis indicated a higher rating, the rating action took into account its credit enhancement, which align with the existing rating, increased concentration to 'CCC' rated assets, as well as the results of additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets and to assets trading at low market values. BlueMountain E 09629YAA5 B+ (sf) B+ (sf)/ CLO 2018-3 Ltd. Watch NEG Main rationale: Passing cash flows at current rating. Although S&P's base-case analysis indicated a higher rating, the rating action took into account its credit enhancement, which align with the existing rating, increased concentration to 'CCC' rated assets, as well as the results of additional sensitivity analyses that considered the exposures to both 'CCC'/'CCC-' rated assets and to assets trading at low market values. BlueMountain F 09629YAC1 CCC- (sf) CCC+ (sf) CLO 2018-3 Ltd. Main rationale: Failing cashflows, and high exposure to 'CCC' and lower rated assets. S&P said, "We believe that this tranche aligns with our definition of the 'CCC' category risk and is dependent upon favorable business, financial, and economic conditions to meet its financial commitment. Although the current cash flow results do not support a rating in the 'CCC' category, the downgrade was limited to 'CCC- (sf)'. This reflects the tranche's credit enhancement and the deal's exposure to 'CCC/CCC-' rated assets. Additionally, we also do not consider tranche default to be a virtual certainty at this time." Romark WM-R Ltd. B-1 77587AAG1 AAA (sf) AA+ (sf)/ Watch POS Main rationale: Senior note paydowns and passing cash flows. S&P's rating action considered the current credit enhancement level, which is commensurate with the raised rating. Romark WM-R Ltd. B-2-R 77587AAU0 AAA (sf) AA+ (sf)/ Watch POS Main rationale: Senior note paydowns and passing cash flows. S&P's rating action considered the current credit enhancement level, which is commensurate with the raised rating. Romark WM-R Ltd. C 77587AAJ5 AAA (sf) AA- (sf)/ Watch POS Main rationale: Senior note paydowns and passing cash flows. S&P's rating action considered the current credit enhancement level, which is commensurate with the raised rating. Romark WM-R Ltd. D 77587AAL0 A- (sf) BBB- (sf)/ Watch POS Main rationale: Tranche upgraded based on senior note paydowns, improved O/C, and passing cash flows at the new rating level. S&P said, "Although our base-case analysis indicated a higher rating, our rating action considered increased concentration of CCC rated assets, the additional sensitivity analyses that considered the exposure to 'CCC'/'CCC-' rated assets and assets trading at low market values." Romark WM-R Ltd. E 77587CAC6 B (sf) B+ (sf)/ Watch NEG Main rationale: Decline in credit support and failing cash flows at the previous rating level. The downgrade is based on cash flows, current credit enhancement, and exposure to assets rated 'CCC+' and lower rated assets. Romark WM-R Ltd. F 77587CAE2 CCC- (sf) CCC+ (sf)/ Watch NEG Main rationale: Failing cashflows, and high exposure to 'CCC' and lower rated assets. S&P said, "We believe that this tranche aligns with our definition of the 'CCC' category risk and is dependent upon favorable business, financial, and economic conditions to meet its financial commitment. Although the current cash flow results do not support a rating in the 'CCC' category, the downgrade was limited to 'CCC- (sf)'. This reflects the tranche's credit enhancement and the deal's exposure to 'CCC/CCC-' rated assets. Additionally, we also do not consider tranche default to be a virtual certainty at this time." CANYON CLO 2017-1: Fitch Assigns 'BBsf' Rating on Class E-R2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Canyon CLO 2017-1, Ltd. refinancing notes. Entity/Debt Rating ----------- ------ Canyon CLO 2017-1, Ltd. X-R2 LT AAAsf New Rating A-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-1-R2 LT Asf New Rating C-2-R2 LT A-sf New Rating D-R2 LT BBBsf New Rating E-R2 LT BBsf New Rating Subordinated LT NRsf New Rating Transaction Summary Canyon CLO 2017-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Canyon CLO Advisors LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $169 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 26.56. 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 94.7% first lien senior secured loans and has a weighted average recovery assumption of 71.68%. Portfolio Composition: The largest three industries comprise 34% of the portfolio balance in aggregate while the top five obligors represent 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction does not have a reinvestment period, but the issuer can extend the WAL of the portfolio as a result of maturity amendments. Fitch's analysis is based on a stressed portfolio that addresses this risk by extending the portfolio's WAL to four years as well as 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. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The ratings for class B-R2, C-1-R2, and D-R2 are one notch lower, while the rating for classes C-2-R2 and E-R2 are two notches lower due to the elevated exposure to Fitch's Top and Tier 2 Market Concern Loans (19.5%) and Technology Software (25%), and high 'CCC' exposure. In accordance with Fitch's "CLOs and Corporate CDOs Rating Criteria," Fitch's Top and Tier 2 Market Concern Loan exposures were stressed as part of the sensitivity scenario; Fitch considered the notes' performance in this scenario adequate at the assigned rating levels performance in this scenario adequate at the assigned rating levels. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2, between 'A+sf' and 'AAAsf' for class A-R2, between 'BBB+sf' and 'AA+sf' for class B-R2, between 'BBsf' and 'A+sf' for class C-1-R2, between 'B+sf' and 'Asf' for class C-2-R2, between less than 'B-sf' and 'BBB+sf' for class D-R2, 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 Upgrade scenarios are not applicable to the class X-R2 and class A-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-1-R2, 'AA+sf' for class C-2-R2, 'A+sf' for class D-R2, and 'A-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 Canyon CLO 2017-1, 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. CANYON CLO 2018-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Canyon CLO 2018-1, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Canyon CLO 2018-1, Ltd. A 13877BAA6 LT PIFsf Paid In Full AAAsf A-R LT AAAsf New Rating B-R LT AAsf New Rating C-1-R LT A-sf New Rating C-2-R LT A-sf New Rating D-R LT BBB-sf New Rating E-R LT BB-sf New Rating X-R LT AAAsf New Rating Transaction Summary Canyon CLO 2018-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Canyon CLO Advisors LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $240 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-', and Fitch's Weighted Average Rating Factor (WARF) is 25.3. As of the latest trustee report dated May 29, 2026, the transaction fails 7.5% of Moody's and S&P's 'CCC' limit. Assets rated 'CC' or below make up 1.1% of the portfolio. Asset Security: The indicative portfolio consists of 94.03% first-lien senior secured loans and has a weighted average recovery assumption of 71.5%. Portfolio Composition: The portfolio balance (excluding defaults and including principal cash) is approximately $240 million and includes 161 assets from 152 obligors. The transaction fails the Minimum Floating Spread test at 3.46% vs. a 4.01% requirement. It also fails the Weighted Average Life Test at 2.25 years vs. 1.15 years and Moody's Diversity test at a score of 37 vs. 100. The largest three industries, based on Fitch's industry classification, comprise 44.2% of the portfolio balance in aggregate, while the top five obligors represent 10.9% of the portfolio balance in aggregate. Portfolio Management: The transaction does not have a reinvestment period, but the issuer can extend the WAL of the portfolio as a result of maturity amendments. Fitch's analysis is based on a stressed portfolio that addresses this risk by extending the portfolio's WAL to four years as well as 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. KEY PROVISION CHANGES The refinancing is being implemented via the second 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 with the weighted average spread reduction of 16 bps. - Notional amounts for tranches have been changed and class X was added. - Class E-R is being offered with a turbo feature that diverts the subordinate management fee and 50% of remaining interest proceeds until the notes are paid in full. - The non-call period for the refinanced notes is extended to Jan. 15, 2027. - The stated maturity on the refinanced notes remains the same as on the original notes. FITCH ANALYSIS Fitch has an explicit rating, credit opinion or private rating for 44.7% of the current portfolio par balance. Ratings for 54.7% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map, and 0.6% were unrated. Fitch Asset and Cash Flow Analysis: Fitch used a proprietary Global CLO Cash Flow Model (CFM) to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. Class E-R's turbo feature resulted in an immaterial impact on the breakeven default rates for all affected notes. For each class, the notes passed all nine standard cash flow scenarios, as described in Fitch's CLOs and Corporate CDOs Rating Criteria at the assigned rating levels. The rating for class B-R is one notch lower, two notches lower for classes C-1-R, C-2-R and D-R. The rating for class E-R is three notches lower than the respective model-implied ratings due to the elevated exposure to Fitch's Top and Tier 2 Market Concern Loans (15.2%) and Technology Software (25.5%), and high 'CCC' exposure. In accordance with Fitch's CLOs and Corporate CDOs Rating Criteria, Fitch's Top and Tier 2 Market Concern Loan exposures were stressed as part of the sensitivity scenario. Fitch considered the notes' performance in this scenario adequate at the assigned rating levels. 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 'AAAsf' for class A-R, between 'BBB+sf' and 'AA+sf' for class B-R, between 'BB+sf' and 'A+sf' for class C-1-R, between 'BB-sf' and 'A+sf' for class C-2-R, between less than 'B-sf' and 'BBB+sf' for class D-R and between less than 'B-sf' and 'BB+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-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-1-R, 'AA+sf' for class C-2-R, 'A+sf' for class D-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 Canyon CLO 2018-1, 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. CARMAX SELECT 2025-A: S&P Raises Class E Notes Rating to 'BB+(sf)' ------------------------------------------------------------------ S&P Global Ratings raised its ratings on seven classes and affirmed its ratings on 10 other classes from CarMax Auto Owner Trust (CAOT) 2024-1, 2024-2, and 2025-1, ABS transactions backed by prime retail auto loan receivables originated and serviced by CarMax Business Services LLC. At the same time, S&P raised its rating on four classes and affirmed our ratings on three other classes from CarMax Select Receivables Trust 2025-A, which is backed by a pool of subprime retail auto loans originated by CarMax Business Services LLC. The rating actions reflect: -- Each transaction's collateral performance to date; -- S&P's revised cumulative net loss (CNL) expectations for each transaction; -- The transaction's structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook that incorporates baseline forecasts for U.S. GDP and unemployment. Based on these factors, S&P believes the notes' creditworthiness is consistent with the raised and affirmed ratings. S&P said, "CAOT 2025-1 is performing better than our initial CNL expectations, while the remaining transactions are trending higher than our prior or initial expected CNL. Taking into consideration our expectation for the transactions future performance, we lowered our expected CNL for CAOT 2025-1 and increased our expected CNL for the other transactions." Table 1 Collateral performance (%)(i) Series Month Pool factor Current CNL 60+ day delinq. 2024-1 30 31.20 2.62 3.07 2024-2 27 35.39 2.54 2.88 2025-1 18 50.86 0.45 0.49 2025-A 16 59.00 4.21 5.32 (i)As of the July 2026 distribution date. Delinq.--Delinquencies. CNL--Cumulative net loss. Table 2 CNL expectations (%) Original Prior Revised lifetime lifetime lifetime Series CNL exp. CNL exp. CNL exp. 2024-1 2.35 3.25 3.35 2024-2 2.40 3.30 3.50 2025-1 1.30 N/A 1.20 2025-A 9.00 N/A 9.75 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 will increase 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, subordination for the more senior classes, and excess spread. As of the July 2026 distribution date, each transaction is at the specified overcollateralization target level and specified reserve level. Overall, hard credit enhancement has increased for each of the classes as the transactions' pools have amortized. Table 3 Hard credit support(i) Total hard Current total credit support at hard credit support Series Class issuance (%)(ii) (% of current)(ii) 2024-1 A 9.25 29.64 2024-1 B 6.25 20.04 2024-1 C 3.40 10.91 2024-1 D 1.25 4.01 2024-2 A 9.20 26.00 2024-2 B 6.05 17.10 2024-2 C 3.05 8.62 2024-2 D 1.00 2.83 2025-1 A 5.35 10.52 2025-1 B 3.50 6.88 2025-1 C 2.25 4.42 2025-1 D 1.25 2.46 2025-A A 30.00 54.84 2025-A B 23.00 42.97 2025-A C 15.50 30.26 2025-A D 7.00 15.86 2025-A E 4.25 11.19 (i)As of the July 2026 distribution date. (ii)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. Excess spread can also provide additional enhancement, though it is not included in the hard credit support calculation. S&P said, "We analyzed the current hard credit enhancement compared to the remaining expected CNLs for those classes for which hard credit enhancement alone--without credit to the stressed excess spread--was sufficient, in our view, to raise or affirm the ratings on the notes. For other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance to date and our current economic outlook. "We also conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectation. Our results showed that the ratings are consistent with our ratings stability criteria, which outline the outer bounds of credit deterioration for any given security under specific hypothetical stress scenarios. "In our view, the results demonstrated that the classes all have adequate credit enhancement at the raised and affirmed rating levels. "We will continue to monitor the outstanding transactions' performance to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each rated class." Ratings Raised CarMax Auto Receivables Trust 2024-1 Class B to 'AAA (sf)' from 'AA (sf)' Class C to 'AA+ (sf)' from 'A+ (sf)' Class D to 'A+ (sf)' from 'BBB+ (sf)' CarMax Auto Receivables Trust 2024-2 Class B to 'AAA (sf)' from 'AA (sf)' Class C to 'AA (sf)' from 'A (sf)' Class D to 'BBB+ (sf)' from 'BBB (sf)' CarMax Auto Receivables Trust 2025-1 Class C to 'AA (sf)' from 'AA -(sf)' CarMax Select Receivables Trust 2025-A Class B to 'AA+ (sf)' from 'AA (sf)' Class C to 'A+ (sf)' from 'A (sf)' Class D to 'BBB+ (sf)' from 'BBB (sf)' Class E to 'BB+ (sf)' from 'BB (sf)' Ratings Affirmed CarMax Auto Receivables Trust 2024-1 Class A-3: AAA (sf) Class A-4: AAA (sf) CarMax Auto Receivables Trust 2024-2 Class A-3: AAA (sf) Class A-4: AAA (sf) CarMax Auto Receivables Trust 2025-1 Class A-2a: AAA (sf) Class A-2b: AAA (sf) Class A-3: AAA (sf) Class A-4: AAA (sf) Class B: AA+ (sf) Class D: A+(sf) CarMax Select Receivables Trust 2025-A Class A-2a: AAA (sf) Class A-2b: AAA (sf) Class A-3: AAA (sf) CHASE HOME 2026-6: DBRS Assigns (P)Bsf Rating on Class B-5 Certs ---------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-AGY1 (the Certificates) to be issued by Chase Home Lending Mortgage Trust 2026-6: -- $272.5 million Class A-1 at (P) AAA (sf) -- $249.6 million Class A-2 at (P) AAA (sf) -- $174.7 million Class A-3 at (P) AAA (sf) -- $174.7 million Class A-3-A at (P) AAA (sf) -- $174.7 million Class A-3-B at (P) AAA (sf) -- $174.7 million Class A-3-X1 at (P) AAA (sf) -- $174.7 million Class A-3-X2 at (P) AAA (sf) -- $174.7 million Class A-3-X3 at (P) AAA (sf) -- $131.0 million Class A-4 at (P) AAA (sf) -- $131.0 million Class A-4-A at (P) AAA (sf) -- $131.0 million Class A-4-B at (P) AAA (sf) -- $131.0 million Class A-4-X1 at (P) AAA (sf) -- $131.0 million Class A-4-X2 at (P) AAA (sf) -- $131.0 million Class A-4-X3 at (P) AAA (sf) -- $43.7 million Class A-5 at (P) AAA (sf) -- $43.7 million Class A-5-A at (P) AAA (sf) -- $43.7 million Class A-5-B at (P) AAA (sf) -- $43.7 million Class A-5-X1 at (P) AAA (sf) -- $43.7 million Class A-5-X2 at (P) AAA (sf) -- $43.7 million Class A-5-X3 at (P) AAA (sf) -- $104.8 million Class A-6 at (P) AAA (sf) -- $104.8 million Class A-6-A at (P) AAA (sf) -- $104.8 million Class A-6-B at (P) AAA (sf) -- $104.8 million Class A-6-X1 at (P) AAA (sf) -- $104.8 million Class A-6-X2 at (P) AAA (sf) -- $104.8 million Class A-6-X3 at (P) AAA (sf) -- $69.9 million Class A-7 at (P) AAA (sf) -- $69.9 million Class A-7-A at (P) AAA (sf) -- $69.9 million Class A-7-B at (P) AAA (sf) -- $69.9 million Class A-7-X1 at (P) AAA (sf) -- $69.9 million Class A-7-X2 at (P) AAA (sf) -- $69.9 million Class A-7-X3 at (P) AAA (sf) -- $26.2 million Class A-8 at (P) AAA (sf) -- $26.2 million Class A-8-A at (P) AAA (sf) -- $26.2 million Class A-8-B at (P) AAA (sf) -- $26.2 million Class A-8-X1 at (P) AAA (sf) -- $26.2 million Class A-8-X2 at (P) AAA (sf) -- $26.2 million Class A-8-X3 at (P) AAA (sf) -- $22.9 million Class A-9 at (P) AAA (sf) -- $22.9 million Class A-9-A at (P) AAA (sf) -- $22.9 million Class A-9-B at (P) AAA (sf) -- $22.9 million Class A-9-X1 at (P) AAA (sf) -- $22.9 million Class A-9-X2 at (P) AAA (sf) -- $22.9 million Class A-9-X3 at (P) AAA (sf) -- $69.9 million Class A-10 at (P) AAA (sf) -- $69.9 million Class A-10-A at (P) AAA (sf) -- $69.9 million Class A-10-B at (P) AAA (sf) -- $69.9 million Class A-10-X1 at (P) AAA (sf) -- $69.9 million Class A-10-X2 at (P) AAA (sf) -- $69.9 million Class A-10-X3 at (P) AAA (sf) -- $74.9 million Class A-11 at (P) AAA (sf) -- $74.9 million Class A-11-X at (P) AAA (sf) -- $74.9 million Class A-12 at (P) AAA (sf) -- $74.9 million Class A-13 at (P) AAA (sf) -- $74.9 million Class A-13-X at (P) AAA (sf) -- $74.9 million Class A-14 at (P) AAA (sf) -- $74.9 million Class A-14-X at (P) AAA (sf) -- $74.9 million Class A-14-X2 at (P) AAA (sf) -- $74.9 million Class A-14-X3 at (P) AAA (sf) -- $74.9 million Class A-14-X4 at (P) AAA (sf) -- $34.9 million Class A-15 at (P) AAA (sf) -- $34.9 million Class A-15-A at (P) AAA (sf) -- $34.9 million Class A-15-B at (P) AAA (sf) -- $34.9 million Class A-15-X1 at (P) AAA (sf) -- $34.9 million Class A-15-X2 at (P) AAA (sf) -- $34.9 million Class A-15-X3 at (P) AAA (sf) -- $34.9 million Class A-16 at (P) AAA (sf) -- $34.9 million Class A-16-A at (P) AAA (sf) -- $34.9 million Class A-16-B at (P) AAA (sf) -- $34.9 million Class A-16-X1 at (P) AAA (sf) -- $34.9 million Class A-16-X2 at (P) AAA (sf) -- $34.9 million Class A-16-X3 at (P) AAA (sf) -- $34.9 million Class A-17 at (P) AAA (sf) -- $34.9 million Class A-17-A at (P) AAA (sf) -- $34.9 million Class A-17-B at (P) AAA (sf) -- $34.9 million Class A-17-X1 at (P) AAA (sf) -- $34.9 million Class A-17-X2 at (P) AAA (sf) -- $34.9 million Class A-17-X3 at (P) AAA (sf) -- $61.1 million Class A-18 at (P) AAA (sf) -- $61.1 million Class A-18-A at (P) AAA (sf) -- $61.1 million Class A-18-B at (P) AAA (sf) -- $61.1 million Class A-18-X1 at (P) AAA (sf) -- $61.1 million Class A-18-X2 at (P) AAA (sf) -- $61.1 million Class A-18-X3 at (P) AAA (sf) -- $272.5 million Class A-X-1 at (P) AAA (sf) -- $7.8 million Class B-1 at (P) AA (low) (sf) -- $7.8 million Class B-1-A at (P) AA (low) (sf) -- $7.8 million Class B-1-X at (P) AA (low) (sf) -- $7.0 million Class B-2 at (P) A (low) (sf) -- $7.0 million Class B-2-A at (P) A (low) (sf) -- $7.0 million Class B-2-X at (P) A (low) (sf) -- $2.8 million Class B-3 at (P) BBB (low) (sf) -- $1.3 million Class B-4 at (P) BB (high) (sf) -- $1.2 million Class B-5 at (P) B (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X, and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-B, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12, A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17, A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A and A-18-B are super-senior certificates. These classes benefit from additional protection from the senior support certificate (Classes A-9, A-9-A, A-9-B) regarding loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 7.20% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (high) (sf), and (P) B (sf) credit ratings reflect 4.55%, 2.15%, 1.20%, 0.75%, and 0.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The transaction is a securitization of a portfolio of first-lien, fixed-rate prime agency eligible residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2026-AGY1 (the Certificates). The Certificates are backed by 425 loans with a total principal balance of $293,616,036 as of the Cut-Off Date (June 1, 2026). This is the first securitization under the CHASE shelf consisting of a pool of mortgages loans that are 100% eligible for purchase by Fannie Mae or Freddie Mac. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity from 15 to 30 years and a weighted-average (WA) loan age of three months. All loans were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac. In addition, all the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. JPMorgan Chase Bank, N.A. (JPMCB) is the Originator and Servicer of 100.0% of the pool. For this transaction, the servicing fee rate for each distribution date is 0.25% per annum. Citibank, N.A., rated AA (low) with a Stable trend by Morningstar DBRS, will act as the Securities Administrator and Delaware Trustee. JPMCB will act as the Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. CHESTNUT NOTES: DBRS Confirms BBsf Rating on Class C Notes ---------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Secured Notes) of Chestnut Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, the Third Supplemental Indenture dated June 12, 2025, and the Fourth Supplemental Indenture dated December 30, 2025 entered into between Chestnut Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes confirmed at BB (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, and the Class C Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating confirmations are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Scheduled Reinvestment Period end date is July 25, 2027. The Stated Maturity is July 25, 2035. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Chestnut Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of April 30, 2026, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There are no defaults in the portfolio to date. The report shows a failure of the Senior Secured Loans. Morningstar DBRS determined that the portfolio is comprised of 98.95% Senior Secured Loans ($70,527,546.57 out of $71,272,797.34 total assets), which exceeds the 95% minimum threshold. As a result, the Level I surveillance approach in the CLO Methodology was applied. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of 26North Direct Lending II LP. (6) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. The Coverage and Collateral quality test reported values and thresholds, that Morningstar DBRS reviewed are as follows: Coverage Tests: Class A Overcollateralization Ratio Test: Actual 142.62%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 127.80%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 121.48%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 173.73%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 142.99%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 128.08%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 52.86%; Threshold 65.00% Class B Advance Rate: Actual 60.99%; Threshold 75.00% Class C Advance Rate: Actual 65.06%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 26.95; Threshold 13.00 Maximum Morningstar DBRS Risk Score Test: Actual 28.98%; Threshold 40.00% Maximum Weighted Average Maturity Date Test: Actual 4.83; Threshold 5.25 Minimum WA Spread: Actual 5.44%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 60.20%; Threshold 59.038% Some particular strengths of the transaction are (1) the collateral quality, which consists primarily of senior-secured floating-rate middle market loans (Currently 98.95%); (2) the adequate diversification of the portfolio of Collateral Obligations (DScore of 26.95 vs a threshold of 13.00); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the weighted-average (WA) credit quality of the underlying obligors is below investment grade; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP 2016-C1: Fitch Lowers Rating on Class F Certs to 'CCCsf' ------------------------------------------------------------------ Fitch Ratings has downgraded one and affirmed four classes of Citigroup Commercial Mortgage Trust, commercial mortgage pass-through certificates series 2016-C1 (CGCMT 2016-C1). The Rating Outlook is Negative for one affirmed class and Stable for three affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2016-C1 C 17290YAV0 LT A+sf Affirmed A+sf D 17290YAA6 LT BBB-sf Affirmed BBB-sf E 17290YAC2 LT BB-sf Affirmed BB-sf EC 17290YAY4 LT A+sf Affirmed A+sf F 17290YAE8 LT CCCsf Downgrade B-sf KEY RATING DRIVERS 'Bsf' Loss Expectations, Adverse Selection and Higher Certainty of Loss: Based on the original balance and including losses to date, deal-level 'Bsf' rating case loss has remained in line at 5.30% from 5.32% at Fitch's prior rating action in July 2025. All nine of the remaining loans are FLOCs (100%), of which seven are in special servicing (83.3%) and all are past their scheduled maturities. Due to the pool concentration and adverse selection, Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of recovery at disposition, their loan modification or extension likelihood, and/or loss expectation to assess outstanding classes' ratings relative to their credit enhancement (CE). The majority of remaining loans were assigned high probabilities of default given their specially serviced status and/or being past their scheduled maturities. The rating actions incorporate this analysis. The downgrade reflects the higher loss certainty and higher loss expectations on FLOCs given the high concentration of specially serviced assets, including the updated lower valuation for 46 Geary Street (8.9%), and upcoming rollover risk for 4455 LBJ Freeway (15.7%) and 247 Bedford Avenue (12.0%), both of which have defaulted and transferred to special servicing since Fitch's prior rating action. The Negative Outlook reflects that further downgrades are possible if expected losses increase for 46 Geary Street, 4455 LBJ Freeway, and 247 Bedford Avenue including lack of performance stabilization, updated lower valuations, increased exposure, and/or with extended resolution times. The Negative Outlooks also reflect the pool's exposure to office loans, comprising 28.8% of the pool. Largest Loss Contributors: The largest contributor to overall pool loss expectations is the 46 Geary Street loan, which is secured by an 18,002-sf mixed-use property in downtown San Francisco, CA. The loan transferred to special servicing as of April 2024 due to payment default and the lender filed for foreclosure and receivership in July 2024, and the loan became REO in July 2025. According the servicer, the asset is not currently listed for sale. The property's occupancy was 29% as of March 2026, remaining unchanged from September 2024 and down from 52.4% at YE 2023 and YE 2022, 72.9% at YE 2021, and 100.0% at YE 2020. Occupancy declined due to TapFwd (previously 27.1% of the NRA) vacating in 2020 ahead of the January 2021 lease expiration. Haus Services (previously 21.7% of the NRA) vacated the property in January 2022 upon lease expiration. The servicer previously noted that Paul Smith (23.0% of NRA; 75.2% of base rental income), did not renew its lease at the property upon lease expiry in February 2024. Fitch's 'Bsf' rating case loss of 69.3% (prior to concentration add-ons) is based on a 20.0% stress to the most recent appraisal value. The second largest contributor to overall pool loss expectations is the 455 LBJ Freeway, which is secured by a 294,850-sf suburban office located in Farmers Branch, TX, approximately 10 miles north of the Dallas CBD. The loan transferred to special servicing in March 2026 due to imminent maturity default. The property's major tenants include AmTrust Financial Services (37.4% of NRA; February 2028); National General Insurance (29.0% of NRA; February 2028); and EVO Payments International LLC (17.9%, August 2028). According to the servicer, all three tenants are expected to vacate at lease expiration, reducing the occupancy at the property by approximately 84%. The servicer noted that the borrower has indicated a willingness to give the property back with foreclosure expected to be completed by August 2026. Property performance has been generally stable, as the YE 2025 NOI DSCR was 2.00x compared to 2.01x at YE 2024, 1.72x at YE 2023, and 1.83x at YE 2022. The property's occupancy was 95.0% as of YE 2025. Fitch's 'Bsf' rating case loss of 29.2% (prior to concentration add-ons) is based on a 11.0% cap rate, 30.0% stress to the YE 2024 NOI, and a higher probability of default to account for the maturity default and upcoming rollover risk. The third largest increase in loss expectations since the prior rating action is the 247 Bedford Avenue loan, which is secured by an anchored retail property located in the Williamsburg neighborhood of Brooklyn, NY. The loan transferred to special servicing in May 2026 due to maturity default. According to the servicer, discussions are ongoing regarding loan resolution. Largest tenants include Apple (69.8% NRA; May 2027) and The Corcoran Group (30.2% NRA; August 2026). A leasing update for The Corcoran Group is pending. The servicer-reported YE 2025 NOI DSCR was 1.54x compared with 1.53x at YE 2024, and 1.52x at YE 2023. The December 2025 occupancy was 100% and has remained unchanged since issuance. Fitch's 'Bsf' rating case loss of 34.3% (prior to concentration add-ons) reflects a 9.0% cap rate and a stress to the YE 2025 NOI and a 100% probability of default to account for the loan's transfer to special servicing. Change in CE: As of the June 2026 distribution date, the pool's aggregate balance has been reduced by 82.4% to $133.1 million from $755.7 million at issuance. There are no defeased loans remaining. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to 'Asf' category rated classes could occur should performance of the FLOCs, most notably 46 Geary Street, 4455 LBJ Freeway, and 247 Bedford Avenue in CGCMT 2016-C1; deteriorate further or if more loans than expected default at or prior to maturity. - Downgrades to the 'BBBsf' and 'BBsf' category rated classes are likely 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 the specially serviced loans or other FLOCs. - Downgrades to 'CCCsf' rated class would occur should losses become more certain or are realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to '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 46 Geary Street, 4455 LBJ Freeway, and 247 Bedford Avenue. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to the 'BBBsf' category rated class would be limited based on sensitivity to concentrations or the potential for future concentration. - Upgrades to 'BBsf' category rated class 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 class are not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CLOVER CLO 2020-1: Fitch Affirms 'BB+sf' Rating on Class E-RR Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Clover CLO 2020-1, LLC refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- Clover CLO 2020-1, LLC A-1-R3 LT AAAsf New Rating A-1-RR 18914HAA7 LT PIFsf Paid In Full AAAsf A-2-R3 LT AAAsf New Rating A-2-RR 18914HAC3 LT PIFsf Paid In Full AAAsf B-R3 LT AA+sf New Rating B-RR 18914HAE9 LT PIFsf Paid In Full AA+sf C-RR 18914HAG4 LT A+sf Affirmed A+sf D-RR 18914HAJ8 LT BBBsf Affirmed BBBsf E-RR 18914HAL3 LT BB+sf Affirmed BB+sf Transaction Summary Clover CLO 2020-1, LLC (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Clover Credit Management, LLC. The transaction, formerly known as AIG CLO 2020-1, LLC, originally closed in May 2020 and was subsequently refinanced in June 2021 and July 2024. This is the third refinancing of the transaction, under which the class A-1-RR, A-2-RR and B-RR notes will be refinanced in full on July 15, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $447 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 23.70. 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 94.76% first lien senior secured loans and has a weighted average recovery assumption of 71.93%. 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 three-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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, the following: - The spreads for the class A-1-R3, A-2-R3 and B-R3 notes are 1.23%, 1.42% and 1.60%, respectively, compared with the pre-refinancing spreads of 1.39%, 1.59% and 1.75% for the class A-1-RR, A-2-RR and B-RR notes, respectively; - The class C-RR, D-RR, E-RR and F-RR notes are not refinanced, and their spreads remain unchanged at 2.00%, 3.10%, 6.40% and 7.93%, respectively; --The non-call period for the refinanced notes is extended to July 15, 2027; - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. Fitch Analysis The portfolio includes 491 assets from 418 primarily high-yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $447 million. As of the latest trustee report prior to the refinance date, all 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 44.0% of the current portfolio par balance. Ratings for 55.5% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map, and 0.5% 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: 15.0%, 12.9%, and 12.0%, respectively; - Assumed risk horizon: 6.02 years; - Minimum weighted average spread of 2.90%; - Fixed-rate assets: 5.00%; - 'CCC' obligors as defined by Fitch's ratings: 7.5%; - Minimum weighted average coupon of 7.00%; - Non-first priority senior secured assets: 7.5%; The transaction will exit its reinvestment period on July 15, 2029. Fitch affirmed the class D-RR notes at 'BBBsf' with a Stable Outlook, one notch below the model-implied rating (MIR) of 'BBB+sf'. In Fitch's view, the MIR does not adequately reflect the transaction's recent adverse performance trend, including realized losses in the current portfolio, or the below-average credit enhancement available to the tranche. These factors indicate a higher likelihood of further credit deterioration and weaker recovery prospects, increasing the tranches' sensitivity to additional portfolio stress. Fitch therefore believes that an upgrade in line with the MIR could be reversed in the near term and has affirmed the ratings on the class D-RR notes instead. 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 43.10% / Recovery 38.05% / Cushion 13.70%; - Class A-2-R3: 'AAAsf' / Default 43.10% / Recovery 38.05% / Cushion 12.90%; - Class B-R3: 'AA+sf' / Default 42.20% / Recovery 47.39% / Cushion 10.00%; - Class C-RR: 'A+sf' / Default 37.00% / Recovery 57.30% / Cushion 14.50%; - Class D-RR: 'BBBsf' / Default 30.30% / Recovery 67.00% / Cushion 15.10%; - Class E-RR: 'BB+sf' / Default 25.70% / Recovery 71.98% / Cushion 9.90%. FSP Model Outputs: - Class A-1-R3: 'AAAsf' / Default 49.70% / Recovery 36.83% / Cushion 6.00%; - Class A-2-R3: 'AAAsf' / Default 49.70% / Recovery 36.83% / Cushion 5.30%; - Class B-R3: 'AA+sf' / Default 48.40% / Recovery 45.67% / Cushion 2.00%; - Class C-RR: 'A+sf' / Default 42.90% / Recovery 55.26% / Cushion 6.80%; - Class D-RR: 'BBBsf' / Default 35.90% / Recovery 64.94% / Cushion 9.60%; - Class E-RR: 'BB+sf' / Default 30.80% / Recovery 69.70% / Cushion 4.60%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AAAsf' for class A-1-R3, between 'A+sf' and 'AAAsf' for class A-2-R3, between 'BBBsf' and 'AA-sf' for class B-R3, between 'BB-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 'BB+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-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-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. ESG Considerations Fitch does not provide ESG relevance scores for Clover CLO 2020-1, 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. COLUMBIA CENT 35: Fitch Assigns 'BB-sf' Rating on Class ER Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Columbia Cent CLO 35 Limited reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Columbia Cent CLO 35 Limited A-1 19739RAA6 LT PIFsf Paid In Full AAAsf A-J 19739RAC2 LT PIFsf Paid In Full AAAsf A1R LT AAAsf New Rating AJR LT AAAsf New Rating B 19739RAE8 LT PIFsf Paid In Full AAsf BR LT AAsf New Rating C 19739RAG3 LT PIFsf Paid In Full Asf CR LT Asf New Rating D-1A 19739RAJ7 LT PIFsf Paid In Full BBBsf D-1F 19739RAL2 LT PIFsf Paid In Full BBBsf D-JA 19739RAN8 LT PIFsf Paid In Full BBB-sf D-JF 19739RAQ1 LT PIFsf Paid In Full BBB-sf D1AR LT BBBsf New Rating D1FR LT BBBsf New Rating DJR LT BBB-sf New Rating E 19740FAA9 LT PIFsf Paid In Full BB-sf ER LT BB-sf New Rating Transaction Summary Columbia Cent CLO 35 Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Columbia Cent CLO 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+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.21, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.25% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.38% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 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-1-R, 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 'BBB-sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-J-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-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, 'AAsf' for class C-R, 'A+sf' for class D-1-R, and 'Asf' for class D-J-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 Columbia Cent CLO 35 Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. COREVEST AMERICAN 2022-P2: Fitch Lowers Rating on G Debt to 'CCsf' ------------------------------------------------------------------ Fitch Ratings has downgraded one class and affirmed eight classes of CoreVest American Finance 2022-P2 Trust (CAF 2022-P2). The Rating Outlooks for classes D and E remain Negative. Fitch has also downgraded two and affirmed six classes of CoreVest American Finance 2023-P1 Trust (CAF 2023-P1). Following the downgrade, Class F has been assigned a Negative Outlook. The Rating Outlooks for affirmed classes C and X were revised to Negative from Stable. The Outlooks for Classes D and E remain Negative. Entity/Debt Rating Prior ----------- ------ ----- CAF 2022-P2 A-1 21872DAA0 LT AAAsf Affirmed AAAsf A-2 21872DAB8 LT AAAsf Affirmed AAAsf B 21872DAC6 LT A+sf Affirmed A+sf C 21872DAD4 LT A-sf Affirmed A-sf D 21872DAE2 LT BBBsf Affirmed BBBsf E 21872DAF9 LT BBsf Affirmed BBsf F 21872DAG7 LT CCCsf Affirmed CCCsf G 21872DAJ1 LT CCsf Downgrade CCCsf X 21872DAM4 LT A-sf Affirmed A-sf CAF 2023-P1 A-1 21872YAA4 LT PIFsf Paid In Full AAAsf A-2 21872YAB2 LT AAAsf Affirmed AAAsf B 21872YAC0 LT Asf Affirmed Asf C 21872YAD8 LT A-sf Affirmed A-sf D 21872YAE6 LT BBBsf Affirmed BBBsf E 21872YAF3 LT BBB-sf Affirmed BBB-sf F 21872YAG1 LT B-sf Downgrade BB-sf G 21872YAH9 LT CCCsf Downgrade B-sf X 21872YAM8 LT A-sf Affirmed A-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 16.2% in CAF 2022-P2 and 20.4% in CAF 2023-P1, compared to 15.0% and 13.1%, respectively, at Fitch's last rating action. The downgrade of class G in CAF 2022-P2 reflects the increased certainty of loss expectations, resulting from the imminent sale of the Razjooyan DC IV (3.6%) loan with lower appraisal valuations due to continued performance deterioration, the continued underperformance of the Florio Cushman 22-2 (9.5%) loan, transfer of the Frank Chen VIII (2%) loan, as well as the elevated concentration of delinquent and specially serviced loans in the pool. The affirmations in CAF 2022-P2 reflect the increased credit enhancement (CE) from loan payoffs and property liquidations on specially serviced loans, including US Home AG SIII (2.3% of the pool) and SAI Real Estate 5 (1.6%). The downgrades of classes E and F in CAF 2023-P1 reflect the increased pool loss expectations, driven primarily by the performance deterioration and transfer to special servicing of Frank Chen XII (9.1% of the pool) and Frank Chen XIII (7.3%) loans, increased certainty of loss and lower appraisal valuation on the Razjooyan DC 10 loan, as well as the higher concentration of delinquent and specially serviced loans, with nine loans representing 32.7% of the pool compared to 11.9% at the prior review. The affirmations reflect increased CE and better-than-expected recoveries from loan payoffs since Fitch's last rating action. The Negative Outlooks in CAF 2022-P2 and CAF 2023-P1 reflect these transactions' elevated concentration of delinquent and specially serviced loans, and possible downgrades if losses exceed Fitch's expectations, or if performance or valuations decline further. Increase in Credit Enhancement: As of the June 2026 distribution date, the pool's aggregate balance in CAF2022-P2 has been paid down by 18.4% to $223.8 million from $274.2 million at issuance. CAF 2023-P1 has been paid down by 44% to $155.8 million from $277.9 million at issuance. Delinquent and Specially Serviced Loans: As of June 2026 remittance, CAF 2022-P2 has a delinquency rate of 21.4% and CAF 2023-P1 has a delinquency rate of 28.0%. Each of the delinquent loans are in special servicing: specially serviced loans comprise 21.4% and 32.7% of these transactions, respectively. The largest specially serviced loan and largest overall expected loss in CAF 2022-P2 is Florio Cushman 22-2 (9.5% of pool), which is secured by an 11-building, 168-unit apartment complex located in Atlanta, GA. The loan was transferred to special servicing in December 2023 for monetary default. Per the servicer, the property was approximately 63% physically occupied but only 61% economically occupied as of March 2025, reflecting non-paying tenants. Crime and adverse economic shifts in the submarket have further contributed to the performance declines. A motion for the appointment of a receiver filed by the servicer in March 2026 was opposed by the borrower and subsequently denied by the court in April 2026. As of June 2026, the special servicer indicated it intends to proceed with foreclosure. Fitch's 'Bsf' rating case loss of 63% (prior to concentration add-ons) reflects a stress to the most recent appraisal value, which is 52% lower than the appraisal value at issuance. The largest increase in loss since the last rating action in CAF 2023-P1 and CAF 2022-P2 are the three sponsor-affiliated loans: Frank Chen XII (9.1% of the pool) and Frank Chen XIII (7.3%) in CAF 2023-P1, and Frank Chen VIII (2.0%) in CAF 2022-P2. The two loans in CAF 2023-P1 are the largest specially serviced loans in the CAF 2023-P1 transaction. All three loans are secured by multifamily properties located in the Chinatown neighborhood of Chicago, Illinois. The loans transferred to special servicing in the third quarter of 2025 due to monetary default. According to the servicer, property performance deteriorated after tenants vacated units due to federal immigration enforcement activity in and around Chicago's Chinatown. Occupancy declined significantly across all three loans. Occupancy fell to 27% from 94.3% at issuance for Frank Chen XII, to 39% from 94.1% for Frank Chen XIII, and was down significantly from the historical average above 90% for Frank Chen VIII. Performance has since started to improve; as of April 2026, occupancy recovered to 55% for Frank Chen XII, 85% for Frank Chen XIII, and 67% for Frank Chen VIII. The borrower has been non-responsive and has not provided the requested information since requesting a forbearance. A receiver was appointed in April 2026, and the servicer continues to evaluate the best resolution strategy. Fitch's 'Bsf' rating case loss expectations are 53.7% for Frank Chen XII, 52.4% for Frank Chen XIII, and 60% for Frank Chen VIII (prior to concentration add-ons), reflecting stresses to the most recent appraised values, which are 68%, 69%, and 66% below the appraised values at issuance. The second largest contributors to expected losses are four sponsor-affiliated loans securitized in CAF 2022-P2 and CAF 2023-P1 that have transferred to special servicing due to payment default. These loans, which are all 121 days or more delinquent, include three loans securitized in CAF 2022-P2 (Razjooyan DC IV [1644 West Street], Razjooyan DC III [5058 Astor Place SE] and Razjooyan DC II [4647 Hillside Road SE]), representing a combined 4.9% of the pool, and one in CAF 2023-P1 (Razjooyan DC 10 [2912-2920 Langston Place SE]), comprising 6.7% of the pool. These four loans are secured by multifamily properties located in Washington, D.C. Per the special servicer, the borrower has failed to comply with initial attempts to resolve the default and has not remitted any rents or financial statements. A court-appointed receiver has assumed control of the four properties and has authority to market and sell the collateral, subject to court approval of the final sale price. The assets were listed for sale, and best and final bids have been received and remain under review. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Classes with Stable Outlooks, including the senior classes, continue to benefit from increasing CE through loan payoffs and amortization, and downgrades are not expected. However, downgrades are possible with significant declines in performance and valuations of the FLOCs, or if additional loans default. The Negative Outlooks indicate the possibility of downgrade with significant and sustained decline in portfolio performance or cash flow, including increases in 121+ day delinquencies and higher-than-expected losses on the delinquent and specially serviced loans, particularly Florio Cushman 22-2 in CAF 2022-P2, and the Razjooyan and Frank Chen-sponsored loans in CAF 2022-P2 and CAF 2023-P1. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - For classes rated 'AAAsf', upgrades are not possible; - For non-'AAAsf' rated classes, upgrades are not expected given the concentration of FLOCs; however, would be possible with lower delinquency rates and material increases in CE from additional loan repayments. However, upgrades may be limited by increasing pool concentration and limited financial reporting received for the loans USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations CAF 2022-P2 has an ESG Relevance Score of '4' for Data Transparency & Privacy due to limited financial reporting, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. CAF 2023-P1 has an ESG Relevance Score of '4' for Data Transparency & Privacy due to limited financial reporting, 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. CSAIL 2019-C17: Fitch Lowers Rating on Class G-RR Certs to 'Csf' ---------------------------------------------------------------- Fitch Ratings has downgraded five and affirmed nine classes of CSAIL 2019-C17 commercial mortgage trust pass-through certificates. A Negative Rating Outlook was assigned to classes D and X-D following their downgrades. The Outlooks for classes A-S, B, C, X-A and X-B remain Negative. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2019-C17 A-3 12597BAS8 LT AAAsf Affirmed AAAsf A-4 12597BAT6 LT AAAsf Affirmed AAAsf A-5 12597BAU3 LT AAAsf Affirmed AAAsf A-S 12597BAY5 LT AAAsf Affirmed AAAsf A-SB 12597BAV1 LT AAAsf Affirmed AAAsf B 12597BAZ2 LT AA-sf Affirmed AA-sf C 12597BBA6 LT BBB-sf Affirmed BBB-sf D 12597BAC3 LT Bsf Downgrade BB-sf E-RR 12597BAE9 LT CCCsf Downgrade B-sf F-RR 12597BAG4 LT CCsf Downgrade CCCsf G-RR 12597BAJ8 LT Csf Downgrade CCsf X-A 12597BAW9 LT AAAsf Affirmed AAAsf X-B 12597BAX7 LT BBB-sf Affirmed BBB-sf X-D 12597BAA7 LT Bsf Downgrade BB-sf KEY RATING DRIVERS Performance and Increased 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 11.4% compared to 10.7% at Fitch's prior rating action. Fitch Loans of Concern (FLOCs) comprise nine loans (29.5% of the pool), including two specially serviced loans (12.4%). The downgrades reflect increased pool loss expectations since Fitch's prior rating action primarily driven by slightly higher expected losses on the second largest loan in the pool, Farmers Insurance (8.1%), continued performance concerns with the specially serviced Selig Office Portfolio loan (10.4%) and APX Morristown loan (5.5%), as well as higher expected losses on Jamesbridge Apartments (2%), which transferred to special servicing in December 2025. The Negative Outlooks reflect the potential for downgrades given the high concentration of FLOCs, including the largest loan in the transaction (Selig Office Portfolio) as well as the overall high concentration of office loans (30%). Largest Contributors to Loss: The largest contributor to overall loss expectations is the Selig Office Portfolio, which is secured 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 50.4% (prior to concentration adjustments) is based on a discount to the most recent appraisal value, reflecting a stressed value of $184 psf. The second largest contributor to overall loss expectations is APX Morristown, which is 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 the loan transferred 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. Louis Berger (22.3%), the largest tenant, was acquired by WSP Global, Inc. in late 2018 and vacated in 2022 ahead of its lease expiration in 2026. Fitch's 'Bsf' rating case loss of 20.2% (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. The third largest contributor to overall loss expectations is Farmers Insurance, which is secured by a 713,935-sf single tenant suburban office property located in Caledonia Township (Grand Rapids), MI. The property is fully leased to Farmers Insurance on a 15-year NNN lease through August 2034, with four five-year renewal options. The servicer-reported NOI DSCR was 1.58x as of YE 2025 compared to 2.07x at YE 2024, 2.31x at YE 2023, 2.74x at YE 2022, 2.68x at YE 2021 and 2.63x at YE 2020. Debt service increased after the interest- only period expired in 2025. Fitch's 'Bsf' rating case loss of 7% (prior to concentration adjustments) reflects a stressed cap rate of 10.5% to account for the office property quality and suburban location and a 10% stress to the YE 2024 NOI. Jamesbridge Apartments transferred to special servicing in December 2025 due to payment default and is currently 90+ days delinquent. The loan is secured by a 414-unit multifamily property located in Memphis, TN. Per the March 2026 rent roll, the property was 45.4% occupied. Per the special servicer, a notice of default from the municipal board managing the PILOT program was also received. A motion to appoint a receiver has been opposed and a hearing date is pending. An updated appraisal is in process pending additional information. Fitch's 'Bsf' rating case loss of 25.2% (prior to concentration adjustments) reflects an 8.75% cap rate, a 7.5% stress to the September 2025 NOI and the loan's delinquent status. Increased Credit Enhancement (CE): As of the June 2026 distribution date, the transaction has been paid down by 10.1% since issuance. There are no realized losses to date. Five loans (11.1% of the pool) are fully defeased, up from four loans (6.8%) at the prior rating action. Cumulative interest shortfalls of $2 million are affecting the non-rated class NR-RR and class G-RR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the senior 'AAAsf' rated classes are not expected due to the high CE, senior position in the capital structure and expected continued amortization and loan repayments but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to junior 'AAAsf' and 'AAsf' category rated classes with Negative Outlooks are possible with prolonged workouts of the specially serviced assets, significantly increased pool expected losses and limited to no improvement in these classes' CE, or if interest shortfalls occur. Downgrades to classes rated in the 'BBBsf' category could occur if deal-level losses increase significantly from outsized losses on larger FLOCs and/or more loans than expected experience performance deterioration and/or default at or prior to maturity, particularly the Selig Office Portfolio, Farmers Insurance and APX Morristown loans. Downgrades to classes in the 'Bsf' category are possible with higher-than-expected losses from continued underperformance of the FLOCs and/or lack of resolution and increased exposures on the specially serviced loans. Downgrades to 'CCCsf', 'CCsf' and 'Csf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' category 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 Selig Office Portfolio, Farmers Insurance and APX Morristown. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'Bsf' category rated classes are not likely but would occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes. Upgrades to distressed ratings are not expected but would be 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. CSMC 2020-WEST: Fitch Affirms 'BB-sf' Rating on Class HRR Certs --------------------------------------------------------------- Fitch Ratings has affirmed all classes of CSMC 2020-WEST, Commercial Mortgage Pass-Through Certificates, series 2020-WEST. All Rating Outlooks remain Negative. Entity/Debt Rating Prior ----------- ------ ----- CSMC 2020-WEST A 12655QAA3 LT AA-sf Affirmed AA-sf B 12655QAE5 LT A-sf Affirmed A-sf C 12655QAG0 LT BBB-sf Affirmed BBB-sf D 12655QAJ4 LT BBsf Affirmed BBsf HRR 12655QAL9 LT BB-sf Affirmed BB-sf X 12655QAC9 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS Slow Post Pandemic Recovery: Property net cash flow (NCF) and occupancy were significantly impacted by the pandemic and continue to be slow to rebound, although recovery continues. The affirmations reflect Fitch's stable sustainable NCF which remains in line with the prior rating action. The ratings also reflect that the borrower is unlikely to default during the remainder of the loan term given the low interest rate, as well as the collateral quality and stable-to-improving occupancy year over year. However, Fitch maintains its expectation that the property will not return to pre-pandemic performance levels. The Negative Outlooks reflect the potential for further downgrades of one category if NCF does not continue to improve in line with Fitch's expectation of future long-term performance. Property performance has not recovered to pre-pandemic levels but has steadily improved since 2023. Servicer reported NCF increased to $25.2 million at YE 2025 from $22.4 million at YE 2024, after remaining relatively flat at approximately $21 million from YE 2021 through YE 2023 but remains well below $40.8 million reported at issuance as of TTM October of 2019. Base rent and expense reimbursements have increased but remain below issuance while operating expenses have increased primarily due to higher payroll and benefit expenses. Leasing Progress, Fitch Sustainable NCF: The borrower continues to make leasing progress. Occupancy improved to 92.5% as of March 2026 from approximately 90% in April 2025 and March 2024 but is still below 97% in 2019. The mall's website indicates additional stores are coming soon: 7th Avenue, Carlitos Barbecue Taqueria, Pop Part and Varley. Fitch's sustainable NCF of $27.2 million is based on leases in place as of March 2026 rent roll and factors in expected continued improvement in performance from recent leasing, normalization of expense reimbursements to approximately 80% of total expenses (compared to recent levels of 60%-65% and 110% at issuance) and continued expense stabilization. Operating expenses, with the exception of management fee and insurance, were inflated by 3% from YE 2025 figures. Fitch capped the management fee at $1.25 million per Fitch's guidelines. Insurance was inflated by 5% from YE 2025. Fitch's sustainable NCF is approximately 22.8% below Fitch issuance expectations of $35.2 million as Fitch does not expect the asset to fully return to pre-pandemic performance levels. Low Interest Rate: Fitch's analysis includes credit for the loan's low fixed rate coupon of 3.25% through loan maturity in 2030. Cash Management: The loan previously benefited from an active cash trap until the DSCR reached above 2.0X for two consecutive quarters; cash trap is no longer active with a servicer reported NCF DSCR of 2.23x at YE 2025. As of June 2026, reserves totaled $622 thousand: $545 thousand in replacement reserves and $77.4 thousand in rollover reserves Significant Sponsor Investment: The sponsors have invested $59.8 million ($73 psf) since 2015 on common area mall improvements as well as reconfiguring the food hall. The fourth-floor food court was redeveloped into the Savor Westchester Food Hall, a children's play area (PLAY) and a technology lounge (CONNECT). Institutional Sponsorship and Management: The loan is sponsored jointly by Simon Property Group, L.P. (Simon) and Institutional Mall Investors, LLC (IMI), both highly experienced real estate companies and retail operators. The property has been operated and managed by Simon since acquisition in 1997. Fitch Total Leverage: The $400.0 million total mortgage loan has a Fitch stressed DSCR and LTV of 0.82x and 106.6%, respectively, and debt of $491 psf. Fitch's cap rate is 7.25%. At issuance, the Fitch stressed DSCR, LTV and cap rate were 1.10x, 79.5%, and 7.0%. Single-Asset Concentration: The transaction is secured by a single regional mall property in White Plains, NY; therefore, it is more susceptible to single-event risk related to the market, sponsor or the largest tenants occupying the property. Full-Term, Interest-Only Loan: The loan matures in 2030 and is interest only for the entire loan term. Default risk during the loan term is less of a concern. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch's analysis included an alternative NCF reflecting the potential for continued occupancy and NCF improvement. This NCF is approximately 9.5% higher than Fitch's current sustainable NCF of $27.2 million and assumes additional stabilization from new tenants and expense reimbursement normalization. If Fitch's NCF does not improve in line with Fitch's longer-term performance expectations, downgrades of up to one category are possible on all classes. Downgrades of more than a category are possible if performance declines from the current servicer-reported NCF of $25.2 million. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade While upgrades are considered unlikely in the near term, a significant and sustained improvement in occupancy, rental rates and sustainable Fitch NCF could lead to upgrades. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CSMC 2021-GATE: DBRS Confirms 'CCCsf' Rating on Three Tranches -------------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-GATE issued by CSMC 2021-GATE as follows: -- Class A at AA (high) (sf) -- Class B at A (sf) -- Class C at BBB (sf) -- Class D at CCC (sf) -- Class E at CCC (sf) -- Class F at CCC (sf) The trends on Classes A, B, and C are Stable. Morningstar DBRS removed the Positive trend on Class D. Classes D, E, and F have credit ratings that do not typically carry a trend in commercial mortgage-backed securities (CMBS) transactions. CREDIT RATING ACTION RATIONALE -- The credit rating confirmations reflect Morningstar DBRS' overall outlook for the transaction, which has remained largely unchanged since the prior review as the underlying office buildings continue to perform in line with expectations. -- Although interest shortfalls on the Class D and E certificates were fully repaid with the January 2025 and January 2026 remittances, respectively, and no new shortfalls have been reported for those classes, refinance risk remains elevated as the loan nears final maturity in December 2026 with property cash flows still below issuance expectations and leasing activity remaining limited over the past year. High submarket vacancy has further weighed on performance, contributing to a decline in the property's value since the transaction closed. -- Morningstar DBRS notes that the junior-rated classes are particularly vulnerable to credit erosion and additional downside risks, supporting the removal of the Positive trend on the Class D certificate. -- Morningstar DBRS' analysis continues to show that the senior Class A, B, and C certificates are generally well insulated against loss with credit enhancement levels exceeding 45.0%, supporting the credit rating confirmations and Stable trends on those classes. LOAN/COLLATERAL OVERVIEW -- The transaction is backed by three Class A office buildings totaling 1.7 million square feet, along with a retail concourse, parking facilities, and a surface lot in downtown Newark, New Jersey, within the Gateway Center complex. -- The loan was modified to extend the maturity to December 2025 from December 2023, with an additional 12-month extension option through December 2026. -- Terms of the loan modification included reduced near-term pay rates with deferred shortfall provisions, a $45.0 million equity contribution from the sponsor to fund leasing costs associated with the New Jersey Transit Corporation (NJTC) lease, and a requirement to secure an interest rate cap agreement. -- Interest shortfalls on Classes D and E have been repaid, and Class F is now receiving monthly reimbursements. Despite a temporary reduction in the borrower's pay rate, interest continues to accrue at the original floating rate, with repayments likely driven by declines in the index rate. -- The loan remains on the watchlist and is cash managed. PERFORMANCE HIGHLIGHTS -- According to the YE2025 financial reporting, net cash flow (NCF) has increased by approximately 25.0% since YE2024, primarily driven by an increase in base rent and expense reimbursements. -- Morningstar DBRS expects cash flow to improve as free rent for the largest tenant, NJTC (approximately 24.0% of net rentable area) continues to burn off; approximately 80.0% of its abatements expired by July 2025. -- As of December 2025, occupancy was about 76.0% -- largely unchanged year over year -- with limited rollover risk over the next 12 months. -- The Newark office submarket had an average submarket vacancy rate of 18.5% as of Q1 2026, approximately 100 basis points higher than the previous year per Reis, Inc. ANALYSIS SUMMARY -- For this review, Morningstar DBRS maintained its valuation approach from July 2024, concluding to a value of $255.1 million based on a NCF of $22.3 million to reflect normalized cash flow from the NJTC lease once abatements expire as well as an 8.75% capitalization rate. -- The final Morningstar DBRS Value is approximately 19.0% below the February 2024 appraised value of $314.7 million and 44.0% below the issuance appraised value of $455.2 million. The implied trust loan-to-value ratio (LTV) based on the Morningstar DBRS Value against the trust debt is 111.7%. -- Morningstar DBRS maintained a positive qualitative adjustment totalling 0.5% from issuance to account for property quality. -- Morningstar DBRS previously applied a negative value adjustment to account for rent abatements owed to certain tenants that were not funded through a reserve. As part of this credit rating action, Morningstar DBRS removed that adjustment as most of those abatements have now been paid. -- Although the LTV Sizing Benchmarks indicate potential upward pressure across most classes, Morningstar DBRS considered a stressed scenario to assess the durability of the credit ratings. This analysis incorporated a 20.0% haircut to the Morningstar DBRS Value noted above, with the resulting LTV Sizing Benchmarks indicating that credit rating upgrades were not warranted. -- In addition, Morningstar DBRS remains concerned about the refinance risk as the loan approaches final maturity in December 2026. Cash flow remains below expectations and the presence of deferred shortfalls, scheduled to be repaid at maturity, will further increase the overall debt burden. The credit ratings assigned to Classes B through F are three or more notches lower than the results implied by the LTV Sizing Benchmarks. The variances are warranted given the uncertain loan-level event risk. Although NJTC recently signed a long-term lease at the property, Morningstar DBRS remains concerned about the lack of new leasing activity, elevated submarket vacancy, ongoing interest shortfalls, and the borrower's ability to secure refinancing as the loan approaches its fully extended maturity in December 2026. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. CSTL COMMERCIAL 2024-GATE: Fitch Affirms BB-sf Rating on HRR Certs ------------------------------------------------------------------ Fitch Ratings has affirmed all classes of CSTL Commercial Mortgage Trust 2024-GATE Commercial Mortgage Pass-Through Certificates. The Rating Outlooks remain Stable. Entity/Debt Rating Prior ----------- ------ ----- CSTL 2024-GATE A 22945JAA8 LT AAAsf Affirmed AAAsf B 22945JAC4 LT AA-sf Affirmed AA-sf C 22945JAE0 LT A-sf Affirmed A-sf D 22945JAG5 LT BBB-sf Affirmed BBB-sf E 22945JAJ9 LT BBsf Affirmed BBsf HRR 22945JAL4 LT BB-sf Affirmed BB-sf The certificates represent the beneficial interests in a trust that holds a five-year, fixed-rate, interest-only (IO) mortgage loan. The mortgage is secured by the borrowers' fee simple and leasehold interests in nine multifamily properties with a total of 2,806 units located across six states. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch's stressed net cash flow (NCF) for the portfolio is $35.9 million compared to $38.0 million at issuance. The decline is primarily due to a higher tax expense on one property that was expected to receive a property tax abatement in Texas but did not receive it due to changes in the program from the Texas legislature. Additionally, some properties have seen a decrease in occupancy as the sponsor effectuated their capital improvement plans. Cash flow is expected to be stable or improve if occupancy increases after the improvements are finalized and expenses remain in line with current levels. Fitch Leverage: The $463.0 million total mortgage loan ($165,004 per unit) has a Fitch stressed debt service coverage ratio (DSCR), loan-to-value ratio (LTV) and debt yield (DY) of 0.91x, 96.7% and 7.8%, respectively. The mortgage loan represents approximately 62.7% of the portfolio appraised value of $738.3 million. The total debt (including a $70 million mezzanine loan) represents approximately 72.2% of the portfolio appraised value. Fitch applied a 7.5% cap rate, resulting in a Fitch value of approximately $479 million. Geographically Diverse Portfolio: The portfolio is secured by 2,806 units across nine garden-style multifamily properties located in six states across eight markets. The largest property contains 13.7% of the units and 13.3% of the allocated loan amount (ALA). No other property constitutes more than 13.5% of the total units or 12.6% of the ALA. No state or market represents more than 29.5% of the ALA. The portfolio's effective geographic count is 7.4. Institutional Sponsorship and Management: The loan sponsor and property manager, West Shore, is a fully integrated real estate investment firm focused on the acquisition and management of multifamily assets. West Shore currently owns and operates a portfolio comprising more than 15,000 units across 46 multifamily properties. West Shore's portfolio spans the U.S., with a focus on the Sunbelt region. Led by Steve and Lee Rosenthal, who have decades of experience in the multifamily market, West Shore has raised over $1.0 billion across six funds. Investors in these funds include ultra-high-net-worth individuals and family offices. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades are possible should property performance decline materially or should expense growth continue to outpace revenue growth. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades are possible with a sustained increase in pool performance or a meaningful increase in CE from property releases and paydown. 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. DAILYPAY SECURITIZATION 2025-1: DBRS Confirms BB Rating on D Notes ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) confirmed four credit ratings on DailyPay Securitization Trust 2025-1. Debt Rated Rating Action ---------- ------ ------ Class A Notes AA(sf) Confirmed Class B Notes A(sf) Confirmed Class C Notes BBB(sf) Confirmed Class D Notes BB(sf) Confirmed CREDIT RATING RATIONALE/DESCRIPTION Credit rating rationale includes the key analytical considerations: -- The transaction's capital structure and available credit enhancement. -- Credit enhancement is in the form of reserve account, subordination, overcollateralization, and excess revenue, which may be supplemented by the Yield Supplement Overcollateralization Amount. -- The transactions' performance, which is within Morningstar DBRS' expectations. The transaction is currently in a two-year revolving period, during which the additional receivables may be sold to the trust, subject to compliance with eligibility criteria and concentration limits. -- The transaction parties' capabilities with respect to originating, underwriting, and servicing. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: March 2026 Update," published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. DEUTSCHE BANK 2011-LC3: Fitch Lowers Rating on Three Certs to 'Csf' ------------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed six classes of Deutsche Bank Securities (DBUBS) commercial mortgage pass-through certificates, series 2011-LC3 (DBUBS 2011-LC3). Fitch has removed the Rating Watch Negative (RWN) on classes PM-1 and PM-X. The Rating Outlook for the affirmed class D remains Negative. The DBUBS 2011-LC3 transaction contains a $39.6 million pooled senior trust component and a $210 million non-pooled senior and junior trust component (collectively, rake certificates) that represent the beneficial interest in the Providence Place Mall loan. The pooled senior component and non-pooled senior component (PM-1) are pari passu in receiving interest and principal from the Providence Place Mall loan. The non-pooled junior component (PM-2 through PM-5) is subordinate to the senior components in payment priority for interest and principal. Fitch has also affirmed one class of Providence Place Group Limited Partnership. The Outlook for class A-2 remains Stable. Entity/Debt Rating Prior ----------- ------ ----- Providence Place Group Ltd. Partnership Providence Place Mall A-2 743784AB6 LT AAAsf Affirmed AAAsf DBUBS 2011-LC3 D 23305YAM1 LT Bsf Affirmed Bsf E 23305YAN9 LT CCsf Affirmed CCsf F 23305YAP4 LT Csf Affirmed Csf PM-1 23305YAU3 LT Csf Downgrade B-sf PM-2 23305YAW9 LT Csf Downgrade CCsf PM-3 23305YAX7 LT Csf Affirmed Csf PM-4 23305YAY5 LT Csf Affirmed Csf PM-5 23305YAZ2 LT Csf Affirmed Csf PM-X 23305YAV1 LT Csf Downgrade B-sf KEY RATING DRIVERS Providence Place Mall: The downgrades of the PM-1, PM-2, and PM-X bonds associated with the Providence Place Mall loan reflect higher-than-expected losses on the loan compared to the prior rating action. The projected losses are expected to impact all the rake bonds and are based on a court-approved bid of $133 million. The property was marketed for sale in December 2025, and by the end of April 2026 the court had approved the $133 million bid. The proposed sale is still pending due diligence. The loan is secured by a 980,711-sf portion of a 1.2 million-sf regional mall in Providence, RI. At issuance, the property was anchored by Macy's, JCPenney, and Nordstrom. JCPenney vacated in 2015, and the space was demolished and replaced with an expanded parking garage. Nordstrom vacated in early 2019 and was replaced in October 2019 by Boscov's (20% of collateral NRA; lease expiry in January 2030). Macy's, which had previously been on a closure list, renegotiated its lease and is now operating through March 2030. Apple Cinemas, a new tenant, executed a 10-year lease and commenced operations in November 2025, replacing Showcase Cinemas. The sponsor has made payments in lieu of taxes (PILOT) under the tax agreement. Per the servicer, the agreement expires in June 2028, and plans to extend the agreement under the current bid are uncertain. Property net operating income (NOI) declined to $21.6 million as of YE 2025, 19% lower than YE 2023 NOI. As of April 2026, the inline occupancy was 88%, a 3.1% decline from April 2025. There are currently $2.3 million in outstanding servicer advances and $1.5 million in excess cash flow reserves as of the June 2026 reporting period. To the extent sufficient cash is available, the special servicer has repaid advances in the past to limit the accrual of interest on advances. Fitch's analysis reflects the court-approved sale price with a stress applied to account for servicing fees and outstanding advances, resulting in a recovery value of approximately $122/sf. High Leverage: The Fitch-stressed DSCR and loan-to-value (LTV) for the $249.9 million Providence Place Mall whole loan are 0.44x and 210.9%, respectively. The capital structure also includes a $75 million mezzanine loan. The total debt Fitch DSCR and LTV are 0.34x and 273.6%, respectively, and a total debt of $331 psf. Low Leverage PILOT Bond: The Providence Place Group Limited Partnership, Providence Place Mall pass-through certificates are secured by a PILOT lien on the Providence Place Mall property. The PILOT, which has remained current since issuance, is senior to other liens on the property or leasehold including ground lease or mortgage payments. The affirmation at 'AAAsf' reflects the continued deleveraging of the transaction and the ratio of maximum exposure to the property value is extremely low. Regional Mall Concentration; Adverse Selection: The DBUBS 2011-LC3 transaction consists of three loans, each of which are secured by underperforming regional malls located in secondary and tertiary markets. All three loans are classified as Fitch Loans of Concern (FLOCs) and are in special servicing, exhibiting deteriorated performance and/or elevated Fitch loss expectations. Given the concentrated nature of the pool, Fitch conducted a look-through analysis to determine expected recoveries and losses to assess the outstanding classes' ratings relative to credit enhancement (CE). The affirmations in DBUBS 2011-LC3 reflect performance in line with expectations from Fitch's prior rating action and sufficient CE relative to overall loss expectations. The Negative Outlook on class D reflects significant adverse selection of the pool and possible downgrades should performance and/or valuations continue to deteriorate beyond current expectations and/or workouts are prolonged for Dover Mall and Commons and Albany Mall. The largest loss contributor in the DBUBS 2011-LC3 transaction is the Dover Mall and Commons loan (54.8% of the pool), secured by a regional mall, Dover Mall, and a one-story strip center, Dover Commons, located in Dover, DE, totaling 886,324 sf, of which 553,854 sf is collateral. The loan was modified in March 2021 and returned from special servicing in July 2021. The modified maturity date is August 2026. Property occupancy is currently 70% as of June 2026, compared to 74% YE 2024. The loan transferred back to special servicing in March 2026 as the borrower has indicated concerns regarding their ability to repay the loan at maturity, citing market challenges affecting the property. Fitch's 'Bsf' rating case loss of 47.5% (prior to concentration adjustments) incorporates a 28% cap rate, 7.5% stress to the YE 2024 NOI and factors a higher probability of default to account for the upcoming maturity date. The second-largest loss contributor is the REO Albany Mall asset (15.8%), which is a 446,969-sf portion of a 753,552-sf regional mall located in Albany, GA. The asset became REO in November 2021. As of March 2026, overall mall occupancy was reported to be approximately 84%, while collateral occupancy was approximately 77%. Fitch's 'Bsf' rating case loss of 79.3% (prior to concentration adjustments) reflects an elevated 50% stress to the January 2026 appraisal due to a lack of progress on the disposition of the REO asset. Change to CE: As of the June 2026 distribution date, the DBUBS 2011-LC3 transaction's pooled aggregate balance has been reduced by 90.2% to $137.6 million from $1.4 billion at issuance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Further downgrades to distressed classes PM-1 through PM-5 would occur as losses are realized. The Negative Outlook for class D in DBUBS 2011-LC3 reflects possible downgrades should loss expectations for Dover Mall and Commons and Albany Mall be higher than expected upon liquidation and/or from further deterioration of mall performance. Downgrades to the distressed classes E and F would occur as losses are realized and/or with greater certainty of losses. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade An upgrade to the bonds associated with Providence Place Mall is not expected but could occur if the mall valuation improves significantly. Given the significant pool concentration and adverse selection of DBUBS 2011-LC3, upgrades are not expected but may occur if performance of the regional malls improve substantially and/or recoveries are better than expected. If the specially serviced loans and assets revert to their pre-pandemic performance and/or actual losses are better than expected, the Negative Outlook on class D may be revised to Stable. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DIAMETER CAPITAL 7: S&P Assigns BB-(sf) Rating on Class D-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1L-R, A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R debt from Diameter Capital CLO 7 Ltd./Diameter Capital CLO 7 LLC, a CLO managed by Diameter CLO Advisors LLC that was originally issued in June 2024. At the same time, S&P withdrew its ratings on the previous class A-1A, A-1B, A-2, B, C, and D debt following payment in full on the July 20, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1L-R, A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R debt was issued at a lower spread over three-month SOFR than the previous debt. -- The non-call period was extended to July 20, 2028. -- The reinvestment period was extended to July 20, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 20, 2039. -- No additional assets were purchased on the July 20, 2026, refinancing date, and the target initial par amount remains at $550 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. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Diameter Capital CLO 7 Ltd./Diameter Capital CLO 7 LLC Class A-1L-R(i), $98.745 million: AAA (sf) Class A-1-R, $253.255 million: AAA (sf) Class A-2-R, $66.000 million: AA (sf) Class B-R, $33.000 million: A (sf) Class C-1-R (deferrable), $33.000 million: BBB-(sf) Class C-2-R (deferrable), $5.500 million: BBB-(sf) Class D-R (deferrable), $16.500 million: BB-(sf) Ratings Withdrawn Diameter Capital CLO 7 Ltd./Diameter Capital CLO 7 LLC Class A-1A to NR from 'AAA (sf)' Class A-1B to NR from 'AAA (sf)' Class A-2 to NR from 'AA (sf)' Class B (deferrable) to NR from 'A (sf)' Class C (deferrable) to NR from 'BBB- (sf)' Class D (deferrable) to NR from 'BB- (sf)' Other Debt Diameter Capital CLO 7 Ltd./Diameter Capital CLO 7 LLC Subordinated notes, $47.500 million: NR (i)Issued in loan form. NR--Not rated. DRYDEN 115: S&P Affirms BB- (sf) Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, B-R, C-1-R, C-2-R, and D-R debt from Dryden 115 CLO Ltd./Dryden 115 CLO LLC, a CLO managed by PGIM Inc. that was originally issued in March 2024. At the same time, S&P withdrew its ratings on the previous class A-1, B, C-1, C-2, and D debt following payment in full on the July 20, 2026, refinancing date. S&P also affirmed its rating on the existing class E debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 18, 2027. -- No additional assets were purchased on the July 20, 2026, refinancing date, and the target initial par amount remains the same. There was no additional effective date or ramp-up period and the first payment date following the refinancing is Oct. 18, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $300.0 million: Three-month CME term SOFR + 1.21% -- Class A-2-R (not rated by S&P Global Ratings), $40.0 million: Three-month CME term SOFR + 1.45% -- Class B-R, $40.0 million: Three-month CME term SOFR + 1.50% -- Class C-1-R (deferrable), $20.0 million: Three-month CME term SOFR + 1.70% -- Class C-2-R (deferrable), $10.0 million: Three-month CME term SOFR + 2.30% -- Class D-R (deferrable), $30.0 million: Three-month CME term SOFR + 3.00% Previous debt -- Class A-1, $300.0 million: Three-month CME term SOFR + 1.50% -- Class A-2 (not rated by S&P Global Ratings), $40.0 million: Three-month CME term SOFR + 1.70% -- Class B, $40.0 million: Three-month CME term SOFR + 2.00% -- Class C-1 (deferrable), $20.0 million: Three-month CME term SOFR + 2.25% -- Class C-2 (deferrable), $10.0 million: Three-month CME term SOFR + 2.70% -- Class D (deferrable), $30.0 million: Three-month CME term SOFR + 3.80% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, 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 Dryden 115 CLO Ltd./Dryden 115 CLO LLC Class A-1-R, $300.0 million: AAA (sf) Class B-R, $40.0 million: AA (sf) Class C-1-R (deferrable), $20.0 million: A+ (sf) Class C-2-R (deferrable), $10.0 million: A (sf) Class D-R (deferrable), $30.0 million: BBB- (sf) Ratings Withdrawn Dryden 115 CLO Ltd./Dryden 115 CLO LLC Class A-1 to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C-1 (deferrable) to NR from 'A+ (sf)' Class C-2 (deferrable) to NR from 'A (sf)' Class D (deferrable) to NR from 'BBB- (sf)' Rating Affirmed Dryden 115 CLO Ltd./Dryden 115 CLO LLC Class E (deferrable): BB- (sf) Other Debt Dryden 115 CLO Ltd./Dryden 115 CLO LLC Class A-2-R, $40.0 million: NR Subordinated notes, $44.6 million: NR NR--Not rated. DWIGHT 2026-FL2: DBRS Gives 'B(low)sf' Rating on Three Tranches --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes (the Notes) to be issued by Dwight 2026-FL2 Issuer LLC (Dwight 2026-FL2 or the Issuer): -- Class A Notes at (P) AAA (sf) -- Class A-S Notes at (P) AAA (sf) -- Class B Notes at (P) AA (low) (sf) -- Class C Notes at (P) A (low) (sf) -- Class D Notes at (P) BBB (sf) -- Class D-E Notes at (P) BBB (sf) -- Class D-X Notes at (P) BBB (sf) -- Class E Notes at (P) BBB (low) (sf) -- Class E-E Notes at (P) BBB (low) (sf) -- Class E-X Notes at (P) BBB (low) (sf) -- Class F Notes at (P) BB (low) (sf) -- Class F-E Notes at (P) BB (low) (sf) -- Class F-X Notes at (P) BB (low) (sf) -- Class G Notes at (P) B (low) (sf) -- Class G-E Notes at (P) B (low) (sf) -- Class G-X Notes at (P) B (low) (sf) All trends are Stable. The Class F, Class F-E, Class F-X, Class G, Class G-E, and Class G-X Notes are non-offered notes. The Class D Notes, the Class E Notes, the Class F Notes, and the Class G Notes (the Exchangeable Notes) are exchangeable for proportionate interests in MASCOT Notes, subject to the satisfaction of certain conditions and restrictions, provided that, at the time of the exchange, the Exchangeable Notes are owned by a wholly owned subsidiary of the sponsor. All or a portion of each class of the Exchangeable Notes may be exchanged as follows: (1) the Class D Notes may be exchanged for proportionate interests in the Class D-E Notes and the Class D-X Notes, (2) the Class E Notes may be exchanged for proportionate interests in the Class E-E Notes and the Class E-X Notes, (3) the Class F Notes may be exchanged for proportionate interests in the Class F-E Notes and the Class F-X Notes, and (4) the Class G Notes may be exchanged for proportionate interests in the Class G-E Notes (collectively with the Class D-E Notes, Class E-E Notes, and Class F-E Notes, the MASCOT P&I Notes), and the Class G-X Notes (collectively with the Class D-X Notes, Class E-X Notes, and Class F-X Notes, the MASCOT Interest-Only Notes). CREDIT RATING RATIONALE/DESCRIPTION The initial collateral of the Dwight 2026-FL2 transaction consists of 24 floating-rate mortgage loans, participations in mortgage loans, and participations in mortgage/mezzanine loan combinations secured by 24 transitional multifamily, student housing, and build-to-rent properties. The collateral is encumbered by $1.3 billion of debt, composed of $858.6 million going into the loan pool, $55.9 million of future funding, and $392.4 million of funded pari passu debt held outside of this securitization. Twelve underlying loans, comprising 49.0% of the initial pool balance, are structured with $55.9 million of future funding, ranging from $109,558 to $12.8 million per loan. Three participations in mortgage loans (Seventeen Hundred, Redlands Lawn and Tennis Club, and Bode Burien), representing 17.1% of the initial pool balance, are delayed-close collateral interests, which are identified in the data tape and included in the Morningstar DBRS analysis. The Issuer has 60 days after closing to acquire the delayed-close collateral interests. The transaction is a managed vehicle that includes a 30-month reinvestment period. As part of the reinvestment period, the transaction includes a 120-day ramp-up acquisition period during which the Issuer is expected to increase the loan pool balance by $51.4 million to target a total collateral principal balance of $910.0 million. The acquisition of reinvestment collateral interests and ramp-up collateral interests will be subject to the satisfaction of the applicable eligibility criteria, the acquisition criteria, and the acquisition and disposition requirements. Morningstar DBRS assessed the ramp loan using a conservative pool construct and, as a result, the ramp loan has an expected loss greater than the pool's weighted average expected loss. Reinvestment of principal proceeds during the reinvestment period is subject to eligibility criteria that, among other criteria, include a rating agency no-downgrade confirmation (RAC) by Morningstar DBRS for all new collateral interests and funded companion participations, unless the collateral interest is a participation with a principal balance of less than $500,000 and a related participation for collateral already owned by the Issuer. Certain events within the transaction require the Issuer to obtain RAC, and Morningstar DBRS will confirm that a proposed action or failure to act or other specified event will not, in and of itself, result in the downgrade or withdrawal of the current credit rating. If a delayed-close collateral interest is not expected to close or fund on or prior to the delayed purchase termination date, which occurs 60 days after transaction close, then the Issuer may acquire such delayed-close collateral interest as a ramp-up collateral interest or use the funds that would have been used to acquire the delayed-close collateral interest to acquire other ramp-up collateral interests during the ramp-up acquisition period, subject to satisfaction of the eligibility criteria, acquisition criteria, and acquisition and disposition requirements. The eligibility criteria indicate that only multifamily, student housing, independent living, or build-to-rent properties can be brought into the pool during the reinvestment period and establishes maximum loan pool concentrations for the latter three property types. Additionally, the eligibility criteria establishes maximum stabilized loan-to-value ratios and minimum stabilized debt yields by property type, a minimum Herfindahl requirement, and a maximum state concentration of 40.0% for any state, among other requirements. The loans are secured by properties that are in a period of transition with plans to stabilize and improve the asset value. In total, 12 collateral interests, comprising 49.0% of the initial pool balance, have remaining companion future funding participations totaling $55.9 million, which the Issuer may acquire in the future. The remaining 12 collateral interests, comprising 51.0% of the initial pool balance, do not have remaining future funding, and the path to stabilization for such collateral interests is primarily based on increasing occupancy, increasing rents to market levels, and achieving operational efficiencies. All 24 loans underlying the collateral interests in the pool have floating interest rates and all loans have interest rate caps. Morningstar DBRS incorporates an interest rate stress that is based on the lower of the Morningstar DBRS stressed rate that corresponds to the remaining fully extended term of the loan and the strike price of the interest rate cap, with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the debt service payments were measured against the Morningstar DBRS As-Is Net Cash Flow, 22 collateral interests, representing 91.6% of the initial pool balance, had a Morningstar DBRS As-Is Debt Service Coverage Ratio of 1.00 times (x) or below, a threshold indicative of default risk. Additionally, the Morningstar DBRS Stabilized DSCR was less than 1.00x for 20 of the 24 loans, representing 85.0% of the initial pool balance, which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, Morningstar DBRS does not give full credit to the stabilization if there are no holdbacks or if other structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, Morningstar DBRS generally does not assume the assets will stabilize above market levels. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Amounts and Interest Distribution Amounts for the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the credit ratings do not address nonpayment risk associated with Defaulted Interest Amounts and Deferred Interest. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. EFMT 2026-CES2: DBRS Assigns '(P)Bsf' Rating on Class B-2 Certs --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following Mortgage Pass-Through Certificates, Series 2026-CES2 (the Certificates) to be issued by EFMT 2026-CES2 (EFMT 2026-CES2 or the Trust): -- $294.8 million Class A-1A at (P) AAA (sf) -- $11.1 million Class A-1B at (P) AAA (sf) -- $305.9 million Class A-1 at (P) AAA (sf) -- $16.0 million Class A-2 at (P) AA (sf) -- $13.8 million Class A-3 at (P) A (sf) -- $12.7 million Class M-1 at (P) BBB (sf) -- $8.3 million Class B-1 at (P) BB (sf) -- $6.3 million Class B-2 at (P) B (sf) The (P) AAA (sf) credit rating on the Notes reflects 17.00% of credit enhancement provided by subordinated notes. The (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 12.65%, 8.90%, 5.45%, 3.20%, and 1.50% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. EFMT 2026-CES2 is a securitization of a portfolio of fixed, prime and near-prime, closed-end second-lien (CES) residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 3,911 mortgage loans with a total principal balance of $368,532,895 as of the Cut-Off Date. The portfolio, on average, is four months seasoned, though seasoning ranges from one to 41 months. Borrowers in the pool represent prime and near-prime credit quality with a weighted-average (WA) Morningstar DBRS-calculated FICO score of 740 and a WA Morningstar DBRS-calculated original combined loan-to-value ratio of 72.4%. All loans were originated with Issuer-defined full documentation, and as of cut-off date, all the loans are current. PennyMac, LLC and loanDepot, LLC originated and will service 58.2% and 14.8% of the pool respectively. NewRez, LLC originated 19.5% of the pool and Cornerstone will service 27.0% of the pool. Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) will act as the Securities Administrator, Certificate Registrar and Trustee. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as the Custodian. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label non-agency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 16.0% of the loans are designated as non-QM, 11.6% are designated as QM Rebuttable Presumption, and 71.5% are designated as QM Safe Harbor. Approximately 0.9% of the mortgages are loans made to investors for business purposes and were not subject to the QM/ATR rules. There will be no advancing of delinquent principal or interest on the Mortgage Loans by any Servicer or any other party to the transaction. However, each servicer will be required to pay all customary, reasonable and necessary "out-of-pocket" costs and expenses incurred in the performance of its servicing obligations with respect to the Mortgage Loans serviced by it under the related Servicing Agreement. These Servicing Advance costs include but are not limited to (1) renovations, repairs, restorations of REO properties, (2) taxes, assessments, water rates and sewer rents, (3) any enforcement of judicial proceedings including foreclosures,(4) assessment and evaluation of the property, and (5)any remedial, loss mitigation or enforcement actions relating to any Mortgage Loan or REO property. Servicing Advances are made in good faith judgment of the Servicer and to the extent that these costs are recoverable in the future from collections of insurance payments or liquidation proceeds. For this transaction, any loan that is more than 180 days delinquent under MBA delinquency method, upon review by each related Servicer, may be Charged-Off. With respect to a Charged Off Loan, the total unpaid principal balance (UPB) will be considered a realized loss and will be allocated reverse sequentially to the bondholders. If there are any subsequent recoveries for such Charged Off Loans, the recoveries will be included in the principal remittance amount and applied in accordance with the principal distribution waterfall; in addition, any class principal balances of Certificates that have been previously reduced by allocation of such realized losses may be increased by such recoveries sequentially in order of seniority. Morningstar DBRS' analysis assumes reduced recoveries upon default on loans in this pool. This transaction incorporates a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Certificates, but such shortfalls on Class A-2 and subordinate bonds will not be paid from principal proceeds until the Class A-1A and A-1B Certificates are retired. The Sponsor, at its option, may repurchase any Charged-Off Mortgage Loan, any Mortgage Loan that becomes 90 or more days MBA Delinquent or any REO property acquired in respect of a Mortgage Loan from the Issuing Entity at the applicable Repurchase Price; provided that the aggregate UPB of such Mortgage Loans and REO properties purchased by the Sponsor may not exceed 7.50% of the aggregate Unpaid Principal Balance of the Mortgage Loans as of the Cut-off Date. On or after the earlier of (1) the payment date in June 2029 or (2) the date when the aggregate pool balance of the mortgage loans (other than the Charged Off Loans and the real estate owned (REO) properties) is reduced to less than 30.0% of the Cut-Off Date balance, the Depositor may, at its option, redeem the Certificates at the redemption price described in the transaction documents (Optional Redemption). On or after the first payment date on which the aggregate pool balance of the mortgage loans and the REO properties is less than or equal to 10% of the aggregate pool balance as of the Cut-Off Date, the Depositor will have the option to terminate the Issuing Entity by purchasing all the mortgage loans and related REO properties. The credit ratings reflect transactional strengths that include the following: -- Robust equity and prime/near-prime credit quality; -- Certain second-lien attributes; -- Satisfactory third-party due-diligence review; -- Current loan status; and -- Improved underwriting standards. The transaction also includes the following challenges: -- Representations and warranties framework; -- No servicer advances of delinquent P&I; and -- Limited third-party diligence valuation review. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Current Interest Distribution Amount, Interest Carryforward Amount, and the related Class Balance on non-interest-only tranches. Morningstar DBRS' credit ratings on Classes A-1A, A-1B, A-2, and A-3 also address the credit risk associated with the increased rate of interest applicable to these Certificates if the Certificates are not redeemed on the Optional Redemption Date as defined in and in accordance with the applicable transaction documents. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. EFMT 2026-NQM6: DBRS Finalizes Bsf Rating on $7.8MM Cl. B-2 Certs ----------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Mortgage Pass-Through Certificates, Series 2026-NQM6 (the Certificates) issued by EFMT 2026-NQM6 (the Issuer) as follows: -- $321.2 million Class A-1A at AAA (sf) -- $49.0 million Class A-1B at AAA (sf) -- $370.2 million Class A-1 at AAA (sf) -- $31.4 million Class A-2 at AA (high) (sf) -- $39.2 million Class A-3 at A (high) (sf) -- $9.6 million Class M-1 at BBB (high) (sf) -- $25.7 million Class B-1A at BB (sf) -- $25.7 million Class B-X-1A at BB (sf) -- $25.7 million Class B-1 at BB (sf) -- $7.8 million Class B-2A at B (sf) -- $7.8 million Class B-X-2A at B (sf) -- $7.8 million Class B-2 at B (sf) Classes A-1, B-1, and B-2 are exchangeable certificates while Classes A-1A, A-1B, B-1A, B-X-1A, B-2A, and B-X-2A are initial exchangeable certificates. These classes can be exchanged in combinations as specified in the offering documents. Classes B-X-1A, and B-X-2A are interest-only (IO) certificates. The class balances represent notional amounts. Morningstar DBRS discontinued and withdrew its credit ratings on the Class A-1FCF, Class A-1FCX, Class A-1LCF, Class A-1F and Class A-1IO initially contemplated in the offering documents, as they were not issued at closing. The AAA (sf) credit ratings on the Certificates reflect 24.45% of credit enhancement provided by the subordinated Certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (sf), and B (sf) credit ratings reflect 18.05%, 10.05%, 8.10%, 2.85%, and 1.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. CREDIT RATING RATIONALE/DESCRIPTION This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,396 loans with a total principal balance of approximately $490,049,398 as of the Cut-Off Date (June 1, 2026). The pool is, on average, three months seasoned with loan ages ranging from one to 43 months. Approximately 16.6%, 13.2%, and 10.1% of the Mortgage Loans were originated by Lendsure Mortgage Corp., The Loan Store, and American Heritage Lending, LLC, respectively. The remainder of the Mortgage Loans were originated by various mortgage lending institutions, individually comprising less than 10% of the overall mortgage loans. Cornerstone Servicing will service 100.0% of the loans, and Computershare Trust Company, N.A. will act as Custodian. Rocket Mortgage LLC will act as Master Servicer. Citibank, N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 40.0% of the loans by balance are designated as non-QM. Approximately 55.0% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 4.3% of the pool are designated as QM Safe Harbor, and 0.8% are QM Rebuttable Presumption (by unpaid principal balance). Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the MBA method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, EFMT Sponsor LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% of the Initial Class Notional Amount of each class of Offered Certificates, the Class A-IO-S and the Class X Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class X Certificates may, at its option, on or after the earlier of (1) the payment date in June 2029 or (2) the date on which the balance of mortgage loans and real estate owned properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Certificates at the optional redemption price described in the transaction documents. The Sponsor will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the repurchase price, provided that such repurchases in aggregate do not exceed 7.50% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Class A-1A and Class A-1B have group-specific allocations of principal, interest, and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the Class A and Class M-1 Certificates. Of note, the Class A Certificates coupon rates step up by 100 basis points on and after the payment date in July 2030. P&I otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition. -- Compliance with the ATR rules. -- Improved underwriting standards. -- Current loan status. -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- Debt service coverage ratio loans. -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers. -- Limited servicer advances of delinquent P&I. -- The representations and warranties standard. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Distribution Amount, Interest Carryforward Amount, and the related Class Balance (for non-IO Certificates). Morningstar DBRS' credit ratings on the Class A-1A, and Class A-1B Certificates also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (July 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. EFMT 2026-NQM7: DBRS Assigns (P)Bsf Rating on Class B-2 Certs ------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-NQM7 (the Certificates) to be issued by EFMT 2026-NQM7 (the Issuer) as follows: -- $118.7 million Class A-1FCF at (P) AAA (sf) -- $39.6 million Class A-1LCF at (P) AAA (sf) -- $137.4 million Class A-1A at (P) AAA (sf) -- $20.9 million Class A-1B at (P) AAA (sf) -- $158.3 million Class A-1 at (P) AAA (sf) -- $35.2 million Class A-1F at (P) AAA (sf) -- $35.2 million Class A-1IO at (P) AAA (sf) -- $31.4 million Class A-2 at (P) AA (high) (sf) -- $37.2 million Class A-3 at (P) A (high) (sf) -- $8.4 million Class M-1 at (P) BBB (high) (sf) -- $22.8 million Class B-1A at (P) BB (sf) -- $22.8 million Class B-X-1A at P) BB (sf) -- $22.8 million Class B-1 at (P) BB (sf) -- $6.7 million Class B-2A at (P) B (sf) -- $6.7 million Class B-X-2A at (P) B (sf) -- $6.7 million Class B-2 at (P) B (sf) Classes A-1, B-1, and B-2 are exchangeable certificates while Classes A-1FCF, A-1LCF, B-1A, B-X-1A, B-2A, and B-X-2A are initial exchangeable certificates. These classes can be exchanged in combinations as specified in the offering documents. Classes A-1IO, B-X-1A and B-X-2A are interest-only (IO) certificates. The class balances represent notional amounts. The (P) AAA (sf) credit ratings on the Certificates reflect 24.25% of credit enhancement provided by the subordinated Certificates. The (P) AA (high) (sf), (P) A (high) (sf), (P) BBB (high) (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 17.50%, 9.50%, 7.70%, 2.80%, and 1.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. CREDIT RATING RATIONALE/DESCRIPTION This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,129 loans with a total principal balance of approximately $464,432,016 as of the Cut-Off Date (June 1, 2026). The pool is, on average, three months seasoned with loan ages ranging from zero to 44 months. Approximately 23.1%, 12.4% and 10.2% of the Mortgage Loans were originated by The Loan Store, Lendsure Mortgage Corp. and Champions Funding, LLC. respectively. The remainder of the Mortgage Loans were originated by various mortgage lending institutions, individually comprised less than 10% of the overall mortgage loans. Cornerstone will service 89.5% of the loans and PennyMac will service 10.5% of the loans respectively. Computershare Trust Company, N.A will act as Custodian. Rocket Mortgage LLC will act as Master Servicer. Citibank N.A. will act as Trustee and Securities Administrator and Certificate Registrar. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 36.02% of the loans by balance are designated as non-QM. Approximately 51.1% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 12.4% of the pool are designated as QM Safe Harbor, and there are 0.5% QM Rebuttable Presumption (by unpaid principal balance (UPB). Servicers will fund advances of delinquent principal and interest (P&I) until the loan is either greater than 90 days delinquent (limited P&I advancing/stop-advance loan under the MBA method) or the P&I advance is deemed unrecoverable. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Sponsor, EFMT Sponsor LLC, will retain an eligible vertical interest in the transaction in the required amount of no less than 5% of the Initial Class Notional Amount of each class of Offered Certificates, the Class A-IO-S and the Class X Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The majority holder of the Class X Certificates may, at its option, on or after the earlier of (1) the payment date in June 2029 or (2) the date on which the balance of mortgage loans and real estate owned properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Certificates at the optional redemption price described in the transaction documents. The Sponsor will have the option, but not the obligation, to purchase any mortgage loan that is 90 or more days delinquent under the MBA method at the repurchase price, provided that such repurchases in aggregate do not exceed 7.50% of the total principal balance as of the Cut-Off Date. The Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Class A-1A and Class A-1B, and separately Class A-1FCF and Class A-1LCF, have group-specific allocations of principal, interest, and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the Class A and Class M-1 Certificates. Of note, the Class A Certificates coupon rates step up by 100 basis points on and after the payment date in July 2030. P&I otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A Certificates Cap Carryover Amounts. The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition. -- Compliance with the ATR rules. -- Improved underwriting standards. -- Current loan status. -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- Debt service coverage ratio loans. -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers. -- Limited servicer advances of delinquent P&I. -- The representations and warranties standard. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Distribution Amount, Interest Carryforward Amount, and the related Class Balance (for non-IO Certificates). Morningstar DBRS' credit ratings on the Class A-1FCF, Class A-1LCF, Class A-1A, and Class A-1B Certificates also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (July 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. ELEMENT NOTES: DBRS Confirms 'BBsf' Rating on Class C Notes ----------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Secured Notes) of Element Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, the Third Supplemental Indenture dated June 12, 2025, and the Fourth Supplemental Indenture dated December 30, 2025 entered into between Element Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes confirmed at BB (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, and the Class C Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Scheduled Reinvestment Period end date is July 25, 2027. The Stated Maturity is July 25, 2035. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Element Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of April 30, 2026, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There have not been any defaults in the portfolio to date. The report shows a failure of the Senior Secured Loans. Morningstar DBRS determined that the portfolio is comprised of 98.95% Senior Secured Loans ($70,527,546.57 out of $71,272,797.34 total assets), which exceeds the 95% minimum threshold. As a result, the Level I surveillance approach in the CLO Methodology was applied. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of 26North Direct Lending II LP. (6) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. The Coverage and Collateral quality test reported values and thresholds, that Morningstar DBRS reviewed are as follows: Coverage Tests: Class A Overcollateralization Ratio Test: Actual 142.62%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 127.80%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 121.48%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 173.73%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 142.99%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 128.08%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 52.86%; Threshold 65.00% Class B Advance Rate: Actual 60.99%; Threshold 75.00% Class C Advance Rate: Actual 65.06%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 26.95; Threshold 13.00 Maximum Morningstar DBRS Risk Score Test: Actual 28.98%; Threshold 40.00% Maximum Weighted Average Maturity Date Test: Actual 4.83; Threshold 5.50 Minimum WA Spread: Actual 5.44%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 60.20%; Threshold 59.038% Some particular strengths of the transaction are (1) the collateral quality, which consists primarily of senior-secured floating-rate middle market loans (Currently 98.95%); (2) the adequate diversification of the portfolio of Collateral Obligations (DScore of 26.95 vs a threshold of 13.00); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the weighted-average (WA) credit quality of the underlying obligors is below investment grade; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. ELMWOOD CLO 17: Fitch Assigns 'B-sf' Rating on Class F-R2 Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Elmwood CLO 17 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Elmwood CLO 17 Ltd. A-1-R2 LT AAAsf New Rating A-1R 29001XAJ4 LT PIFsf Paid In Full AAAsf A-2-R2 LT AAAsf New Rating A-2R 29001XAL9 LT PIFsf Paid In Full AAAsf B-R 29001XAN5 LT PIFsf Paid In Full AAsf B-R2 LT AAsf New Rating C-R 29001XAQ8 LT PIFsf Paid In Full Asf C-R2 LT Asf New Rating D-1R 29001XAS4 LT PIFsf Paid In Full BBB-sf D-A-R2 LT BBB+sf New Rating D-B-R2 LT BBB-sf New Rating D-2-R2 LT BBB-sf New Rating D-2R 29001XAU9 LT PIFsf Paid In Full BBB-sf E-R 29003GAE0 LT PIFsf Paid In Full BB-sf E-R2 LT BB-sf New Rating F-R2 LT B-sf New Rating Transaction Summary Elmwood CLO 17 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Elmwood Asset Management LLC. The deal originally closed in June 2022 and was subsequently refinanced in July 2024. On July 17, 2026, all existing secured notes will be redeemed in full using net proceeds from the issuance of the new secured notes. Together with the existing subordinated notes, the transaction will finance 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 21.99 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 96.28% 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 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 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 'Asf' and 'AA+sf' for class A-1-R2, 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 D-A-R2, between less than 'B-sf' and 'BBB+sf' for class D-B-R2, between less than 'B-sf' and 'BBB-sf' for class D-2-R2, between less than 'B-sf' and 'BB-sf' for class E-R2 and between less than 'B-sf' and 'B+sf' for class F-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R2 and class A-2-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf' for class D-A-R2, 'A+sf' for class D-B-R2, 'A-sf' for class D-2-R2, 'BBB+sf' for class E-R2 and 'BBB-sf' for class F-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Elmwood CLO 17 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. ELMWOOD CLO 18: S&P Affirms B- (sf) Rating on Class F-RR Debt ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R3, B-R3, and C-R3 debt from Elmwood CLO 18 Ltd./Elmwood CLO 18 LLC, a CLO managed by Elmwood Asset Management LLC that was originally issued in July 2022, and underwent a second refinancing in August 2024. At the same time, S&P withdrew its ratings on the previous class A-RR, B-RR, and C-RR debt following payment in full on the July 17, 2026, refinancing date. S&P also affirmed its ratings on the class D-1-RR, D-2-RR, E-RR, and F-RR debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 17, 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 July 17, 2026 refinancing date, and the target initial par amount remains at $500.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 17, 2026. -- The required minimum overcollateralization and interest coverage ratios were not amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class D-1-RR, D-2-RR, E-RR, and F-RR debt (which were not refinanced). However, we affirmed our 'BBB- (sf)' rating on the class D-1-RR and D-2-RR debt, our 'BB-(sf)' rating on the class E-RR debt, and our 'B-(sf)' rating on the class F-RR debt, after considering the margin of failure, credit enhancement level, the relatively stable overcollateralization ratio since our last rating action on the transaction, as well as the credit metrics including low exposure to 'CCC/CCC-' rated obligors, low defaults, and stable WARF. In addition, we believe the payment of principal or interest on the class F-RR debt when due does not depend on favorable business, financial, or economic conditions. Therefore, this class does not fit our definition of 'CCC' risk in accordance with our criteria, "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012. However, any further decline in credit support available to this tranche or further increases in par losses and defaults could lead to negative rating actions in the future." Replacement And Previous Debt Issuances Replacement debt -- Class A-R3, $320.00 million: Three-month CME term SOFR + 1.21% -- Class B-R3, $60.00 million: Three-month CME term SOFR + 1.60% -- Class C-R3 (deferrable), $30.00 million: Three-month CME term SOFR + 1.85% -- Class D-1-RR (deferrable), $30.00 million: Three-month CME term SOFR + 2.95% -- Class D-2-RR (deferrable), $5.00 million: Three-month CME term SOFR + 4.39% -- Class E-RR (deferrable), $15.00 million: Three-month CME term SOFR + 5.80% -- Class F-RR (deferrable), $7.50 million: Three-month CME term SOFR + 8.83% Previous debt -- Class A-RR, $320.00 million: Three-month CME term SOFR + 1.36% -- Class B-RR, $60.00 million: Three-month CME term SOFR + 1.65% -- Class C-RR (deferrable), $30.00 million: Three-month CME term SOFR + 2.00% -- Class D-1-RR (deferrable), $30.00 million: Three-month CME term SOFR + 2.95% -- Class D-2-RR (deferrable), $5.00 million: Three-month CME term SOFR + 4.39% -- Class E-RR (deferrable), $15.00 million: Three-month CME term SOFR + 5.80% -- Class F-RR (deferrable), $7.50 million: Three-month CME term SOFR + 8.83% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, 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 Elmwood CLO 18 Ltd./Elmwood CLO 18 LLC Class A-R3, $320.00 million: AAA (sf) Class B-R3, $60.00 million: AA (sf) Class C-R3, $30.00 million: A (sf) Ratings Withdrawn Elmwood CLO 18 Ltd./Elmwood CLO 18 LLC Class A-RR to NR from 'AAA (sf)' Class B-RR to NR from 'AA (sf)' Class C-RR to NR from 'A (sf)' Ratings Affirmed Elmwood CLO 18 Ltd./Elmwood CLO 18 LLC Class D-1-RR: BBB- (sf) Class D-2-RR: BBB- (sf) Class E-RR: BB- (sf) Class F-RR: B- (sf) Other Debt Elmwood CLO 18 Ltd./Elmwood CLO 18 LLC Subordinated notes, $42.00 million: NR NR--Not rated. FIGRE TRUST 2026-FL2: DBRS Finalizes 'Bsf' Rating on B-2 Notes -------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) finalized the following provisional credit ratings on the Mortgage-Backed Notes, Series 2026-FL2 (the Notes) issued by FIGRE Trust 2026-FL2 (FIGRE 2026-FL2 or the Issuer) as follows: -- $278.6 million Class A-1 at AAA (sf) -- $183.9 million Class A-1FCF at AAA (sf) -- $94.7 million Class A-1LCF at AAA (sf) -- $29.4 million Class A-2 at AA (sf) -- $16.8 million Class A-3 at A (high) (sf) -- $10.9 million Class M-1 at BBB (low) (sf) -- $3.3 million Class B-1 at BB (sf) -- $2.9 million Class B-2 at B (sf) The AAA (sf) credit rating on the Class A-1 Notes reflects 19.50% of credit enhancement provided by subordinate notes. The AA (sf), A (high) (sf), BBB (low) (sf), BB (sf), and B (sf) credit ratings reflect 10.00%, 6.15%, 3.00%, 2.05%, and 1.20% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other class in this transaction. The securitization of recently originated first-lien home equity lines of credit (HELOCs) is funded by the issuance of the Notes. The Notes are backed by 2,660 loans (individual HELOC draws), which correspond to HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance of $346,117,864 and a total current credit limit of $373,259,719 as of the Cut-Off Date (May 31, 2026). The portfolio, on average, is three months seasoned, though seasoning ranges from one month to 16 months. All of the HELOCs are current and have been performing since origination. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure Lending LLC (Figure) is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinancings, unsecured consumer loans, and conforming first-lien mortgages. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of December 2025, Figure originated, funded, and serviced more than 175,000 HELOCs totaling approximately $13.0 billion. Figure is one of the Originators and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the Sponsor of this transaction. FIGRE 2026-FL2 is the 30th rated securitization of HELOCs by Figure. However, FIGRE 2026-FL2 is the fourth rated securitization of HELOCs by Figure to contain primarily first-lien HELOCs. Additionally, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. HELOC FEATURES In this transaction, all loans are open HELOCs that have a draw period of three, four, or five years, during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from seven to 25 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average (WA) utilization rate by current line amount of approximately 97.1% after three months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the then-current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period, and may have terms significantly shorter than 30 years, including 10-year maturities. CERTAIN UNIQUE FACTORS IN HELOC ORIGINATION PROCESS Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal, Figure generally uses a property valuation provided by an automated valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods Figure used were generally treated as less than full documentation in the RMBS Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations and generally stepped up expected losses from the model to account for this and other factors. Please see the Documentation Type and Underwriting Guidelines sections of the presale report for details. TRANSACTION COUNTERPARTIES Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Cornerstone Servicing, a Division of Cornerstone Capital Bank, SSB (Cornerstone) will act as a Subservicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Cornerstone will retain servicing responsibilities on all loans that were being specially serviced by Cornerstone at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. Wilmington Trust, National Association will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and Real Estate Mortgage Investment Conduit Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intend to retain an eligible vertical interest consisting of the required percentage of the Class A-1FCF, A-1LCF, A-1, A-2, A-3, M-1, B-1, B-2, B-3, and XS note amounts and Class FR Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Retaining Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Sponsor will agree that on an ongoing basis for so long as the Notes are outstanding: -- It will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of Notes, in the form specified in related transaction documents; -- Neither it nor any affiliate will sell, hedge, or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitisation Rules and the UK Securitisation Rules respectively; -- It will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitisation Rules or the UK Securitisation Rules; -- It will confirm its EU and UK Retained Interest in the SR Investor Report; and -- It will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason (1) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above or (2) it or any of its affiliates fails to comply with the covenants set out above. Unlike other Morningstar DBRS-rated FIGRE transactions, there is no provision for HELOCs that are 180 days delinquent under the MBA delinquency method to be charged off by the Servicer. As such, in its analysis, Morningstar DBRS assumes all first-lien HELOCs that are 180 days delinquent under the MBA delinquency method will not be charged off and will instead continue to be serviced. DRAW FUNDING MECHANISM This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. Additionally, if needed, the Servicer is entitled to reimburse itself for draws funded from amounts deposited into the Reserve Account on behalf of the Class FR Certificate holder after the Closing Date. Unlike prior FIGRE securitizations, the Reserve Account will not be funded at closing. Instead, the Class FR Certificateholders will be required to remit funds to be used to reimburse the Servicer for any unreimbursed Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. The Class FR Certificates will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount funded by the Class FR Certificateholders. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows to fund draws and make interest and principal payments. ADDITIONAL CASH FLOW ANALYTICS FOR HELOCS Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. TRANSACTION STRUCTURE The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. This transaction differs from certain previous Morningstar DBRS-rated FIGRE transactions where there is no performance trigger related to the Net WA Coupon (WAC) Rate. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of the presale report for more details. NOTABLE STRUCTURAL FEATURES Similar to previous Morningstar DBRS-rated FIGRE transactions, this deal employs a Delinquency Trigger and a Cumulative Loss Trigger. The effective dates for the triggers may differ from prior rated transactions. The Delinquency Trigger is applicable on or after the 12th payment date (June 2027) rather than being applicable immediately after the Closing Date. Unlike some of the prior FIGRE securitizations that employed a pro rata pay structure among all rated notes, this transaction includes rated classes--Class M-1, Class B-1, and Class B-2--that receive their principal payments after the pro rata classes (Class A-1FCF, Class A-1LCF, Class A-1, Class A-2, and Class A-3) are paid in full. The inclusion of sequential pay classes retains credit support that would otherwise be reduced in the absence of a credit event. OTHER TRANSACTION FEATURES For this transaction, other than the Servicer's obligation to fund any monthly Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). The Depositor may, at its option, on or after the earlier of (1) the payment date in June 2029 and (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at a direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (NPLs) (those 120 days or more delinquent under the MBA method) or REO properties (both, Eligible NPLs) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. The credit ratings reflect transactional strengths that include the following: -- Certain HELOC attributes; -- Robust equity and prime and near-prime credit quality; -- Current loan status; and -- Satisfactory third-party due diligence sample size and compliance review. The transaction also includes the following challenges: -- Holder of the Class FR Certificates may fail to reimburse the Servicer for draws; -- Representations and warranties standard; -- No Servicer advances of delinquent P&I; and -- Certain limitations of third-party due diligence credit and valuation reviews. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the rated notes are the current interest, interest carryforward amount, and the note amount. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. FIGRE TRUST 2026-HE6: DBRS Gives (P)B(low) Rating on Class F Notes ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage-Backed Notes, Series 2026-HE6 (the Notes) to be issued by FIGRE Trust 2026-HE6 (FIGRE 2026-HE6 or the Issuer) as follows: -- $247.0 million Class A at (P) AAA (sf) -- $43.2 million Class B at (P) AA (low) (sf) -- $24.5 million Class C at (P) A (low) (sf) -- $14.9 million Class D at (P) BBB (low) (sf) -- $15.3 million Class E at (P) BB (low) (sf) -- $10.1 million Class F at (P) B (low) (sf) The (P) AAA (sf) credit rating on the Class A Notes reflects 31.35% of credit enhancement provided by subordinate notes. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 19.35%, 12.55%, 8.40%, 4.15%, and 1.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other class in this transaction. The securitization is backed by recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of the Notes. The Notes are backed by 4,054 loans (individual HELOC draws), which correspond to 3,884 HELOC families (each consisting of an initial HELOC draw and subsequent draws by the same borrower) with a total unpaid principal balance of $359,775,190 and a total current credit limit of $386,296,647 as of the Cut-Off Date (May 31, 2026). The portfolio, on average, is three months seasoned, though seasoning ranges from one to 13 months. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. Figure is a wholly owned, indirect subsidiary of Figure Technologies, Inc. (Figure Technologies) that was formed in 2018. Figure Technologies is a financial services and technology company that leverages blockchain technology for the origination and servicing of loans, loan payments, and loan sales. In addition to the HELOC product, Figure has offered several different lending products within the consumer lending space including student loan refinance, unsecured consumer loans, and conforming first lien mortgage. In June 2023, the company launched a wholesale channel for its HELOC product. Figure originates and services loans in 48 states and the District of Columbia. As of June 2025, Figure originated, funded, and serviced more than 201,700 HELOCs totaling approximately $15.7 billion. Figure is one of the Originators and the Servicer of all HELOCs in the pool. Other originators in the pool are Figure Wholesale and certain other lenders (together, the White Label Partner Originators). The White Label Partner Originators originated HELOCs using Figure's online origination applications under Figure's underwriting guidelines. Also, Figure is the Seller of all the HELOCs. Morningstar DBRS performed a telephone operational risk review of Figure's origination and servicing platform and believes the Company is an acceptable HELOC originator and servicer with a backup servicer that is acceptable to Morningstar DBRS. Figure is the Sponsor of this transaction. FIGRE 2026-HE6 is the 27th rated securitization of HELOCs by Figure. Additionally, Figure-originated HELOCs are included in five securitizations sponsored by Saluda Grade. These transactions' performances to date are satisfactory. HELOC FEATURES In this transaction, almost all of the HELOCs are open-HELOCs that have a draw period of three, four, or five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period ranging from five to 30 years. During the repayment period, borrowers are no longer allowed to draw, and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. All HELOCs in this transaction are fixed-rate loans. The HELOCs have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. These HELOCs are fully drawn at origination, as evidenced by the weighted-average use rate by current line amount of approximately 97.4% after three months of seasoning on average. For each borrower, the HELOC, including the initial and any subsequent draws, is defined as a loan family within which every new credit line draw becomes a de facto new loan with a new fixed interest rate determined at the time of the draw by adding the margin determined at origination to the current prime rate. Relative to other HELOCs in Morningstar DBRS-rated deals, the loans in the pool are all fixed rate, fully amortizing with a shorter draw period and may have terms significantly shorter than 30 years, including to 10-year maturities. CERTAIN UNIQUE FACTORS IN HELOC ORIGINATION PROCESS Figure seeks to originate HELOCs for borrowers of prime and near-prime credit quality with ample home equity. It leverages technology in underwriting, title searching, regulatory compliance, and other lending processes to shorten the approval and funding process and improve the borrower experience. Below are certain aspects in the lending process that are unique to Figure's origination platform: -- To qualify a borrower for income, Figure seeks to confirm the borrower's stated income using proprietary technology algorithms. -- The lender uses the FICO 9 credit score model instead of the classic FICO credit score model used by most mortgage originators. -- Instead of title insurance, Figure uses an electronic lien search algorithm to identify existing property liens. -- Instead of a full property appraisal Figure uses a property valuation provided by an automatic valuation model (AVM), or in some cases where an AVM is not available or is ineligible, a broker price opinion (BPO) or a residential evaluation. The credit impact of these factors is generally loan specific. Although technologically advanced, the income, employment, and asset verification methods used by Figure were treated as less than full documentation in the residential mortgage-backed securities (RMBS) Insight model. In addition, Morningstar DBRS applied haircuts to the provided AVM and BPO valuations, reduced the projected recoveries on junior-lien HELOCs, and generally stepped up expected losses from the model to account for a combined effect of these and other factors. Please see the Documentation Type and Underwriting Guidelines sections of this report for details. TRANSACTION COUNTERPARTIES Figure will service all loans within the pool for a servicing fee of 0.25% per year. Also, Cornerstone Servicing (Cornerstone) will act as Subservicer for loans that default or become 60 or more days delinquent under the Mortgage Bankers Association (MBA) method. In addition, Northpointe Bank (Northpointe) will act as a Backup Servicer for all mortgage loans in this transaction for a fee of 0.01% per year. If Figure fails to remit the required payments, fails to observe or perform the Servicer's duties, or experiences other unremedied events of default described in detail in the transaction documents, servicing will be transferred to Northpointe from Figure, under a successor servicing agreement. Such servicing transfer will occur within 45 days of the termination of Figure. In the event of a servicing transfer, Cornerstone will retain servicing responsibilities on all loans that were being specially serviced by Cornerstone at the time of the servicing transfer. Morningstar DBRS performed an operational risk review of Northpointe's servicing platform and believes the company is an acceptable loan servicer for Morningstar DBRS-rated transactions. Wilmington Trust, National Association will serve as Indenture Trustee, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Custodian and the Owner Trustee. DV01, Inc. will act as the loan data agent. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible interest consisting of the required percentage of the Class A, B, C, D, E, F, G, and XS Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Additionally, pursuant to the EU and UK Risk Retention Agreement, the Sponsor will agree that on an ongoing basis for so long as the Notes are outstanding: (1) It will retain exposure to a material net economic interest in this transaction of not less than 5% of the nominal value of each class of Notes, in the form specified in related transaction documents; (2) Neither it nor any affiliate will sell, hedge or mitigate its credit risk under or associated with the EU and UK Retained Interest, except to the extent permitted in accordance with the EU Securitisation Rules and the UK Securitisation Rules respectively; (3) It will not change the retention option or method of calculation of its EU and UK Retained Interest, except to the extent permitted under the EU Securitisation Rules or the UK Securitisation Rules; (4) It will confirm its EU and UK Retained Interest in the SR Investor Report; and (5) It will promptly notify the Issuer and a responsible officer of the Paying Agent in writing if for any reason: (A) it ceases to retain exposure the EU and UK Retained Interest in accordance with the above, or (B) it or any of its affiliates fails to comply with the covenants set out above. Similar to other transactions backed by junior lien mortgage loans or HELOCs, but different from certain Morningstar DBRS-rated FIGRE transactions, the HELOCs that are 180 days delinquent under the MBA delinquency method may not be charged off by the Servicer in its discretion. In its analysis, Morningstar DBRS assumes all junior lien HELOCs that are 180 days delinquent under the MBA delinquency method will be charged-off. DRAW FUNDING MECHANISM This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. Additionally, if needed, the Servicer is entitled to reimburse itself for draws funded from amounts deposited into the Reserve Account on behalf of the Class FR Certificateholder after the Closing Date. Similar to the FIGRE 2026-FL2 transaction, the Reserve Account will not be funded at closing. Instead, the Class FR Certificateholders will be required to remit funds to be used to reimburse the Servicer for any unreimbursed Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and second, from the principal collections in subsequent collection periods. The Class FR Certificates will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount funded by the Class FR Certificateholders. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of either the Servicer or Figure. Rather, the analysis relies on the assets' ability to generate sufficient cash flows to fund draws and make interest and principal payments. ADDITIONAL CASH FLOW ANALYTICS FOR HELOCS Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. TRANSACTION STRUCTURE The transaction employs a pro rata cash flow structure subject to a Credit Event, which is based on certain performance triggers related to cumulative losses and delinquencies. Relative to a sequential pay structure, a pro rata structure subject to sequential trigger (Credit Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Excess cash flows can be used to cover any realized losses. Please see the Cash Flow Structure and Features section of the report for more details. OTHER TRANSACTION FEATURES For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% interest of the Class XS Notes). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. The Depositor may, at its option, on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the MBA method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off Date balance. The Servicer, at the direction of the Controlling Holder, may direct the Issuer to sell (and direct the Indenture Trustee to release its lien on and relinquish its security interest in) eligible nonperforming loans (those 120 days or more delinquent under the MBA method) or REO properties (both, eligible nonperforming loans (NPLs)) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. The credit ratings reflect transactional strengths that include the following: -- Certain HELOC attributes; -- Robust equity and prime and near-prime credit quality; -- Current loan status; and -- Satisfactory third-party due diligence sample size and compliance review. The transaction also includes the following challenges: -- Holder of the Class FR Certificates may fail to reimburse the Servicer for draws; -- Representations and warranties standard; -- No Servicer advances of delinquent P&I; and -- Certain limitations of third-party due diligence credit and valuation reviews. Morningstar DBRS' credit rating on Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the rated notes are the Current Interest, Interest Carryforward Amount, and the Note Amount. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Net WAC Shortfalls. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. FIRST CITIZENS 2026-SBA1: DBRS Gives (P)Bsf Rating on M-5 Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following notes to be issued by First Citizens Loan Trust 2026-SBA1 (the Transaction): -- $259,770,000 Class A Notes at (P) AAA (sf) -- $19,670,000 Class M-1 Notes at (P) AA (sf) -- $17,350,000 Class M-2 Notes at (P) A (sf) -- $12,290,000 Class M-3 Notes at (P) BBB (sf) -- $15,960,000 Class M-4 Notes at (P) BB (sf) -- $11,480,000 Class M-5 Notes at (P) B (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: -- The Transaction's capital structure and available credit enhancement. Note subordination, cash held in the Reserve Account, and available excess spread, as well as other structural provisions, create credit enhancement levels which are sufficient to support Morningstar DBRS' stressed cumulative net loss (CNL) hurdle rate assumptions of 19.40%, 14.85%, 10.83%, 7.10%, 4.00%, and 1.87%, respectively, for each of the (P) AAA (sf), (P) AA (sf), (P) A (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) rating categories. -- The Transaction parties' capabilities with regards to originating, underwriting, and servicing of first-lien, SBA 504, and conventional commercial real estate loans: (1) Morningstar DBRS performed an operational review of First-Citizens Bank & Trust Company (the Bank) and found it to be an acceptable originator and servicer for the collateral. (2) The Bank is an investment grade sponsor, originator, and servicer. In addition, the parent holding company and the bank subsidiary are regulated by federal and state regulatory authorities, namely the Federal Reserve, the North Carolina Office of the Commissioner of Banks, and the FDIC -- A review by Morningstar DBRS of the First-Citizens Bank's' historical collateral performance since 2011, which found low levels of delinquencies and minimal charge-offs. -- A review of the collateral pool as of the Cut-off Date of April 30, 2026 which possesses diversity by property type and business type, among other metrics, as well as strong overall credit characteristics, most notably with a weighted average obligor FICO score of 794 and a weighted average current loan-to-value ratio of 47.13%. -- First Citizens Bank's underwriting of the loans looks to repayment from the small business cash flows and evaluates the small business borrower's ability to repay the loan from business cash flows. The weighted average original debt service coverage ratio (DSCR) for loans in the initial pool is 2.12x. -- A review of the collateral pool's industry concentrations against historical performance of SBA data for significant industry concentrations as well as aggregate vintage performance. -- The legal structure and expected legal opinions that will address the true sale of the receivables, the nonconsolidation of the assets of the Issuer, that the Indenture Trustee has a valid first-priority security interest in the assets, and consistency with Morningstar DBRS' Legal Criteria for U.S. Structured Finance. -- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns March 2026 Update, published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Note Amount, the Interest Payment Amount, and the Interest Carryforward Amount for each of the Class A, M-1, M-2, M-3, M-4, and M-5 Notes. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that are not financial obligations are interest on any Interest Carryforward Amounts for the Class A, M-1, M-2, M-3, M-4, and M-5 Notes. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. FORTRESS CREDIT XVII: S&P Affirms BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1-R, B-1-R, C-1-R and D-R debt from Fortress Credit BSL XVII Ltd./Fortress Credit BSL XVII LLC, a CLO managed by FC BSL XVII Management LLC that was originally issued in May 2022. At the same time, S&P withdrew its ratings on the previous class A-1, B-1, C-1, and D debt following payment in full on the July 23, 2026, refinancing date. S&P also affirmed its ratings on the class A-2, B-2, C-2, and E debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to April 23, 2027. -- The refinancing date coincides with a regular payment date, resulting in amortization of the A-1 and A-2 notes prior to refinancing. -- There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 23, 2026. -- The required minimum overcollateralization and interest coverage ratios were not amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E debt (which was not refinanced). However, we considered the recent rating action in June 2026, which affirmed the 'BB- (sf)' rating and removed the class E debt from CreditWatch with negative implications. We affirmed our 'BB- (sf)' rating for the class E debt given that key performance metrics remain in line with our recent rating action and that refinancing is an overall positive for the transaction due to the drop in tranche spreads. As the transaction amortizes, we will continue to monitor the changing credit support to rated classes and portfolio quality characteristics. Any further credit deterioration or lack of improvement could lead to potential negative rating actions in the future." Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $300.04 million: three-month CME term SOFR + 1.05% -- Class B-1-R, $30.00 million: three-month CME term SOFR + 1.65% -- Class C-1-R (deferrable), $25.00 million: three-month CME term SOFR + 2.35% -- Class D-R (deferrable), $33.00 million: three-month CME term SOFR + 4.50% Previous debt -- Class A-1, $300.04 million: three-month CME term SOFR + 1.62% -- Class A-2, $17.91 million: 4.24% -- Class B-1, $30.00 million: three-month CME term SOFR + 2.20% -- Class B-2, $44.25 million: 4.79% -- Class C-1 (deferrable), $25.00 million: three-month CME term SOFR + 3.00% -- Class C-2 (deferrable), $10.75 million: 5.59% -- Class D (deferrable), $33.00 million: three-month CME term SOFR + 4.80% -- Class E (deferrable), $19.25 million: three-month CME term SOFR + 8.15% -- Class Sub (deferrable), $52.375 million: 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, we may assign lower ratings to the debt than what our model results suggest. While this deal has exited its reinvestment period in April 2026, it has not yet begun to pay down. As the deal deleverages from pay downs, 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 Fortress Credit BSL XVII Ltd./Fortress Credit BSL XVII LLC Class A-1-R, $300.04 million: AAA (sf) Class B-1-R, $30.00 million: AA (sf) Class C-1-R, $25.00 million: A (sf) Class D-R, $33.00 million: BBB- (sf) Ratings Withdrawn Fortress Credit BSL XVII Ltd./Fortress Credit BSL XVII LLC Class A-1 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class C-1 to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Ratings Affirmed Fortress Credit BSL XVII Ltd./Fortress Credit BSL XVII LLC Class A-2: AAA (sf) Class B-2: AA (sf) Class C-2: A (sf) Class E: BB- (sf) Other Debt Fortress Credit BSL XVII Ltd./Fortress Credit BSL XVII LLC Subordinated notes, $52.375 million: NR NR--Not rated. GALAXY 37: S&P Assigns BB- (sf) Rating on Class E Debt ------------------------------------------------------ S&P Global Ratings assigned its 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 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 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. GEMINI NOTES: DBRS Confirms 'BBsf' Rating on Class C Notes ---------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Secured Notes) of Gemini Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, the Third Supplemental Indenture dated June 12, 2025, and the Fourth Supplemental Indenture dated December 30, 2025 entered into between Gemini Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes confirmed at BB (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, and the Class C Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Scheduled Reinvestment Period end date is July 25, 2027. The Stated Maturity is July 25, 2035. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Gemini Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of April 30, 2026, Tests and Collateral Quality Tests. There are no defaults in the portfolio to date. The report shows a failure of the Senior Secured Loans. Morningstar DBRS determined that the portfolio is comprised of 98.95% Senior Secured Loans ($70,527,546.57 out of $71,272,797.34 total assets), which exceeds the 95% minimum threshold. The transaction is in compliance with all its performance metrics. As a result, the Level I surveillance approach in the CLO Methodology was applied. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of 26North Direct Lending II LP. (6) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. The Coverage and Collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows: Coverage Tests: Class A Overcollateralization Ratio Test: Actual 142.62%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 127.80%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 121.48%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 173.73%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 142.99%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 128.08%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 52.86%; Threshold 65.00% Class B Advance Rate: Actual 60.99%; Threshold 75.00% Class C Advance Rate: Actual 65.06%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 26.95; Threshold 13.00 Maximum Morningstar DBRS Risk Score Test: Actual 28.98%; Threshold 40.00% Maximum Weighted Average Maturity Date Test: Actual 4.83; Threshold 5.50 Minimum WA Spread: Actual 5.44%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 60.20%; Threshold 59.038% Some particular strengths of the transaction are (1) the collateral quality, which consists primarily of senior-secured floating-rate middle market loans (Currently 98.95%); (2) the adequate diversification of the portfolio of Collateral Obligations (DScore of 26.95 vs a threshold of 13.00); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the weighted¿average (WA) credit quality of the underlying obligors is below investment grade; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2017-GS5: Fitch Lowers Rating on Two Tranches to 'Csf' ------------------------------------------------------------------ Fitch Ratings has downgraded six and affirmed seven classes of GS Mortgage Securities Trust 2017-GS5 (GSMS 2017-GS5). Fitch has also assigned Negative Rating Outlooks to two classes following their downgrades. The Outlooks are Negative for four of the affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- GS Mortgage Securities Trust 2017-GS5 A-3 36252HAC5 LT AAAsf Affirmed AAAsf A-4 36252HAD3 LT AAAsf Affirmed AAAsf A-AB 36252HAE1 LT AAAsf Affirmed AAAsf A-S 36252HAH4 LT AA-sf Affirmed AA-sf B 36252HAJ0 LT BBB-sf Affirmed BBB-sf C 36252HAK7 LT B-sf Downgrade BB-sf D 36252HAL5 LT CCsf Downgrade CCCsf E 36252HAQ4 LT Csf Downgrade CCsf F 36252HAS0 LT Csf Downgrade CCsf X-A 36252HAF8 LT AA-sf Affirmed AA-sf X-B 36252HAG6 LT BBB-sf Affirmed BBB-sf X-C 36252HAY7 LT B-sf Downgrade BB-sf X-D 36252HAN1 LT CCsf Downgrade CCCsf KEY RATING DRIVERS 'Bsf' Loss Expectations; Adverse Selection: Deal-level 'Bsf' rating case loss increased to 13.3% from 11.4% at Fitch's prior rating action. Fitch Loans of Concern (FLOCs) comprise seven loans (36.0% of the pool), including four loans (26.3%) in special servicing. Due to the near-term loan maturities, increasing pool concentration and adverse selection concerns, Fitch performed a recovery and liquidation analysis. The analysis grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment at loan maturity, their loan modification or extension likelihood, and/or loss expectation to assess outstanding classes' ratings relative to their credit enhancement (CE). Fitch assigned higher probabilities of default to loans that are likely to default or have performance declines and/or rollover concerns. The downgrades reflect higher pool loss expectations driven by an increase in expected loss for the GSK R&D Centre (8.3%). The downgrades also reflect elevated loss expectations from FLOCs, including Lafayette Centre (9.4% of the pool), 700 Broadway (5.8%), Writer Square (6.8%), and 20 West 37th Street (3.1%). All of these loans are reporting occupancy declines and/or performance deterioration and are expected to have refinancing challenges. The Negative Outlooks reflect possible downgrades if loss expectations on the FLOCs increase further due to lower updated valuations, extended resolution times for loans in special servicing, or additional loans default at maturity. The Negative Outlooks also reflect the pool's concentration of office loans, comprising 45.7% of the pool. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest increase in overall loss expectations since the prior rating action is the GSK R&D Centre loan, which is secured by a 635,058-sf mixed-use property in Rockville, MD. The loan transferred to special servicing in March 2026 due to imminent monetary default. The sole tenant, Human Genome Sciences, Inc. (HGS), a subsidiary of GlaxoSmithKline PLC, has a lease expiration in May 2026. As of May 2026, servicer commentary indicated that the tenant would vacate at lease expiration, and the borrower had retained a broker to market the property for lease while continuing discussions with prospective tenants. CoStar data shows the property was fully vacant as of June 2026, and online reports indicate the owner plans to renovate the space to attract new tenants. Property occupancy remained at 100% since issuance until HGS departed. Servicer-reported NOI DSCR rose to 5.09x at YE 2025, up from 4.91x at YE 2024. Fitch's 'Bsf' rating case loss of 16.9% (prior to concentration adjustments) is based on a 9.50% cap rate and a 17.5% stress to YE 2025 NOI, reflecting the implied dark value of the property. It also incorporates a higher probability of default due to elevated refinance risk from the departure of the sole tenant. The largest contributor to overall loss expectations is the Writer Square loan, which is secured by a 180,705-sf mixed-use office/retail property located in Denver, CO. The loan transferred to special servicing in December 2021 at the borrower's request due to cash flow issues. The former largest tenant, Blue Moon Digital, which occupied 17.2% of the NRA on a lease through September 2024, vacated upon lease expiration. The current largest tenants at the property include Cresa Global Inc (5.0% of NRA; lease expiry in February 2028) and Overland Sheepskin Co (3.7%; April 2029 - recently extended by three years). As of the April 2026 rent roll, the property was 36% occupied, unchanged from the January 2025 rent roll, down from 57% in June 2023, and 68% in June 2022. Approximately 8.7% of the NRA is rolling in 2026 and 3.0% in 2027. Although the servicer-reported NOI DSCR has been below 1.0x since YE 2020, the loan has remained current or was reported as less than 30 days delinquent over the past two years. The loan is paid through June 2026. According to the most recent special servicer commentary, the lender is negotiating with the borrower on a potential forbearance or modification ahead of the January 2027 maturity date. Fitch's 'Bsf' rating case loss of 44.7% (prior to concentration add-ons) reflects an 10% cap rate, 45% stress to the YE 2019 NOI and factors a heightened probability of default. The second largest contributor to overall pool loss expectations is the Lafayette Centre loan, which is secured by a 790,803-sf office property in Washington, D.C. The property consists of three office buildings connected by an outdoor plaza and a below-grade mall level. The loan transferred to special servicing in May 2024 for imminent monetary default. The largest tenant, U.S. Commodity Futures Trading Commission (CFTC), initially noted its intention to vacate at lease expiration in September 2025; however, CFTC subsequently extended its lease for an additional year through September 2026. The tenant represents 37% of the NRA and approximately 60% of the total rent. As of the July 2026 servicer commentary, CFTC has exercised a one-year extension option through September 2027. The tenant has also expressed interest in a longer term extension. Medstar, the second-largest tenant, leases 14.2% of the NRA through August 2031 but has a termination option in 2026. The termination option has a $9.4 million penalty, if exercised. According to the December 2025 rent roll, the property was 74% occupied with a most recent servicer-reported NOI DSCR of 1.93x as of December 2025, compared with 1.79x as of September 2024. According to servicer updates, there have been no new discussions regarding a modification or forbearance. CoStar reports that as of 2Q26 the Washington, D.C., office submarket market had a 17.4% vacancy rate, 19.2% availability rate and $55.61 psf market asking rent. Fitch's 'Bsf' rating case loss of 28.7% (prior to concentration add-ons) reflects a 9.50% cap rate and 15% stress to the YE 2025 NOI to account for occupancy declines, higher submarket vacancy rate and potential rollover of the largest tenant in 2027. Fitch's analysis also incorporates an increased probability of default to account for heightened refinance risk. The third largest contributor to overall pool loss expectations is the 700 Broadway loan, secured by a 424,771-sf medical office property in Denver, CO. Anthem developed the property in 1973, and it was owner-occupied until 2014 when it was sold in the form of a NNN sale-leaseback transaction. Anthem has occupied the property for more than 50 years, and the site serves as a mission-critical data center. Elevance Health (Anthem) previously occupied 86% of NRA and accounted for approximately 88% of the in-place base rents. Upon its December 2024 lease expiration, Elevance Health vacated most of its space, downsizing from 365,000 sf to 106,000 sf (25.1% through June 2030). Following the downsizing of the largest tenant, the servicer-reported NOI DSCR has fallen to -1.62x as of YE 2025, compared to 2.15x at YE 2024, 2.41x at YE 2023, and 2.25x at YE 2022. The only other tenant at the property as of the most recent rent roll is Orban, Sillverman & Poulos (1.4%; June 2027). The loan transferred to special servicing in October 2024 due to imminent monetary default and returned to the master servicer in April 2026 following a loan modification. Under the modification, the borrower funded $6.4 million into a Carry Reserve Deposit. The funds were later transferred to the All-Purpose Reserve for TI/LC and CapEx. The borrower also brought $178,000 of expenses current and paid a $510,000 modification fee. The modification also includes a DPO option in October 2026 or a second option to transition to REO at loan maturity. As of the June 2026 reporting, loan reserves totaled approximately $10.1 million. Fitch's 'Bsf' rating case loss of 37.1% (prior to concentration add-ons) reflects a 10% cap rate and a 30% stress to the YE 2024 NOI, factoring in submarket vacancy. Fitch's analysis also incorporates an increased probability of default to account for the delinquency history. Changes in CE: As of the June 2026 distribution date, the pool's aggregate balance has been reduced by 17.5% to $876.0 million from $1.06 billion at issuance. Three loans (14.8% of the pool) have been fully defeased. The pool comprises 14 loans (73%) that are full-term interest-only (IO) and the remaining 27% is amortizing. Interest shortfalls total approximately $5.1 million and are affecting classes through class E. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur; - Downgrades to the 'AAsf' rated category could occur should performance of the FLOCs, most notably from Writer Square, Lafayette Centre, GSK R&D Centre, 700 Broadway, and 20 West 37th Street, deteriorate further or if more loans than expected default at or prior to maturity; - Downgrades for the 'BBBsf' and 'Bsf' rated categories are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned office loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs; - Downgrades to the 'CCsf', and 'Csf' rated classes would occur as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated 'AAsf' 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, which includes Writer Square, Lafayette Centre, GSK R&D Centre, 700 Broadway, and 20 West 37th Street; - Upgrades to the 'BBBsf' rated categories would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to the 'Bsf' rated categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes; - Upgrades to distressed 'CCsf', and 'Csf' 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. GS MORTGAGE-BACKED 2026-NQM5: S&P Assigns (P)B Rating on B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GS Mortgage-Backed Securities Trust 2026-NQM5's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed and adjustable-rate, amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and cooperatives. The pool has 1,032 loans, comprising non-QM/ATR-compliant, and ATR-exempt loans. The preliminary ratings are based on information as of July 23, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; 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." Preliminary Ratings Assigned(i) GS Mortgage-Backed Securities Trust 2026-NQM5 Class A-1FCF, $37,500,000: AAA (sf) Class A-1LCF, $12,500,000: AAA (sf) Class A-1A, $174,583,000: AAA (sf) Class A-1B, $26,453,000: AAA (sf) Class A-1, $201,036,000: AAA (sf) Class A-2, $18,663,000: AA (sf) Class A-3, $27,746,000: A (sf) Class M-1, $12,387,000: BBB (sf) Class B-1, $8,588,000: BB (sf) Class B-2, $5,945,000: B (sf) Class B-3, $5,946,324: NR Class X, notional(ii): NR Class SA, (iii): NR Class PT, $330,311,324: NR Class R(iv), not applicable: NR (i)The preliminary ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The notional amount for the class X certificates equals the non-retained interest percentage (95%) of the loans' aggregate unpaid principal balance, initially $330,311,324. (iii)The initial balance of class SA equals the non-retained interest percentage of the pre-existing servicing advances as of the closing date, initially $33,145. (iv)The class R certificates will not have a principal amount and are the class of certificates representing residual interest in the issuing entity. NR--Not rated. HPS LOAN 2024-20: S&P Assigns Prelim BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt from HPS Loan Management 2024-20 Ltd./HPS Loan Management 2024-20 LLC, a CLO managed by HPS Investment Partners CLO (UK) LLP that was originally issued in June 2024. The preliminary ratings are based on information as of July 23, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 27, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A-1, A-2, B-1, B-2, C, D-1, D-2, and E debt and assign ratings to the replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement class A-1R, A-2R, B-R, C-R, D-1R, D-2R, and E-R debt is expected to be issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class B-R debt will replace the existing class B-1 and B-2 debt. -- The stated maturity and reinvestment period will be extended by two years. -- The non-call period will be set to July 25, 2028. -- The required minimum overcollateralization and interest coverage ratios will be amended. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned HPS Loan Management 2024-20 Ltd./ HPS Loan Management 2024-20 LLC Class A-1R, $252.00 million: AAA (sf) Class A-2R, $8.00 million: AAA (sf) Class B-R, $44.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf) Class D-1R (deferrable), $24.00 million: BBB- (sf) Class D-2R (deferrable), $3.00 million: BBB- (sf) Class E-R (deferrable), $13.00 million: BB- (sf) Other Debt HPS Loan Management 2024-20 Ltd./ HPS Loan Management 2024-20 LLC Subordinated notes, $53.01 million: NR NR--Not rated. HPS PRIVATE 2024-2: S&P Assigns BB- (sf) Rating on Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt from HPS Private Credit CLO 2024-2 LLC, a CLO managed by HPS Investment Partners LLC that was originally issued in March 2024. At the same time, S&P withdrew its ratings on the previous class A, B, C, D, and E debt following payment in full on the July 20, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-1-R, D-2-R, and E-R debt was issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class D-1-R and D-2-R debt replaced the existing class D debt. -- The non-call period was extended to July 20, 2028. -- The reinvestment period was extended to Aug. 15, 2031. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to Aug. 15, 2039. -- No additional assets were purchased on July 20, 2026, refinancing date, and the target initial par amount remains at $400,000,000. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Nov. 15, 2026. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned HPS Private Credit CLO 2024-2 LLC Class A-R, $232.00 million: AAA (sf) Class B-R, $40.00 million: AA (sf) Class C-R (deferrable), $32.00 million: A (sf) Class D-1-R (deferrable), $24.00 million: BBB (sf) Class D-2-R (deferrable), $6.00 million: BBB- (sf) Class E-R (deferrable), $18.00 million: BB- (sf) Ratings Withdrawn HPS Private Credit CLO 2024-2 LLC Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Debt HPS Private Credit CLO 2024-2 LLC Subordinated notes, $42.29 million: NR NR--Not rated. INVESCO US 2024-2: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to various classes of Invesco U.S. CLO 2024-2, Ltd. Refinancing Notes. Fitch has also affirmed the rating of class E. Entity/Debt Rating Prior ----------- ------ ----- Invesco U.S. CLO 2024-2, Ltd. A-1-L Loans LT NRsf New Rating A-1-R 46148AAL7 LT NRsf New Rating A-2 46148AAC7 LT PIFsf Paid In Full AAAsf A-2-R 46148AAN3 LT AAAsf New Rating B 46148AAE3 LT PIFsf Paid In Full AAsf B-R 46148AAQ6 LT AAsf New Rating C 46148AAG8 LT PIFsf Paid In Full Asf C-R 46148AAS2 LT Asf New Rating D 46148AAJ2 LT PIFsf Paid In Full BBB-sf D-1-R 46148AAU7 LT BBB-sf New Rating D-2-R 46148AAW3 LT BBB-sf New Rating E 46147XAA2 LT BB-sf Affirmed BB-sf Transaction Summary Invesco U.S. CLO 2024-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Invesco CLO Equity Fund 3 L.P. The transaction originally closed in May 2024. On July 15, 2026, the transaction will be partially refinanced. Net proceeds from the issuance of the secured notes will provide financing on a portfolio of approximately $491 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 23.44, 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 99.11% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.56% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a three-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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 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 second 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 July 15, 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 381 assets from 325 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $491 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'. Fitch has an explicit rating, credit opinion or private rating for 41.8% of the current portfolio par balance; ratings for 58.0% 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 top three, 2.0% on next two, for an aggregate of 11.5%; - Largest three industries: 15.0%, 12.0%, and 12.0%, respectively; - Assumed risk horizon: 6 years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 65.20%; - Maximum weighted average rating factor of 24.00; - Fixed rate Assets: 5.00%; - 'CCC' obligors as defined by Fitch's ratings: 7.5% - Minimum weighted average coupon of 7.00%; The transaction will exit its reinvestment period on 07-15-2029. 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-2-R: 'AAAsf' / Default 41.40% / Recovery 39.37% / Cushion 13.30% - Class B-R: 'AAsf' / Default 38.80% / Recovery 48.97% / Cushion 13.20% - Class C-R: 'Asf' / Default 34.50% / Recovery 58.84% / Cushion 15.70% - Class D-1-R: 'BBB-sf' / Default 26.50% / Recovery 68.68% / Cushion 16.70% - Class D-2-R: 'BBB-sf' / Default 26.50% / Recovery 68.68% / Cushion 16.70% - Class E: 'BB-sf' / Default 22.10% / Recovery 73.76% / Cushion 10.10% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-2-R: 'AAAsf' / Default 48.30% / Recovery 35.10% / Cushion 2.50% - Class B-R: 'AAsf' / Default 45.00% / Recovery 40.20% / Cushion 0.00% - Class C-R: 'Asf' / Default 39.90% / Recovery 50.20% / Cushion 3.60% - Class D-1-R: 'BBB-sf' / Default 31.30% / Recovery 60.20% / Cushion 5.50% - Class D-2-R: 'BBB-sf' / Default 31.30% / Recovery 60.20% / Cushion 5.50% Fitch has assigned a rating of 'Asf'/Stable to the class C-R notes, one notch below the Model Implied Rating (MIR) of 'A+sf'. Fitch also assigned a rating of 'BBB-sf'/Stable to the class D-1-R and D-2-R notes, one notch below the MIR of 'BBBsf'. Fitch affirmed the non-refinancing class E notes at 'BB-sf'/Stable, given the indicative default cushions for the class is sufficient at the current rating level. In Fitch's view, the MIR does not adequately reflect the transaction's recent adverse performance trend, including realized losses in the current portfolio, or the below-average credit enhancement available to these tranches. These factors indicate a higher likelihood of further credit deterioration and weaker recovery prospects, increasing the tranches' sensitivity to additional portfolio stress. Fitch therefore believes that an upgrade in line with the MIR could be reversed in the near term. 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, 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. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, and 'Asf' for class D-R 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 Invesco U.S. CLO 2024-2, 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. JORDAN NOTES: DBRS Confirms 'BBsf' Rating on Class C Notes ---------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Secured Notes) of Jordan Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, the Third Supplemental Indenture dated June 12, 2025, and the Fourth Supplemental Indenture dated December 30, 2025 entered into between Jordan Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes confirmed at BB (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, and the Class C Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Scheduled Reinvestment Period end date is July 25, 2027. The Stated Maturity is July 25, 2035. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Jordan Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of April 30, 2026, , the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There are no defaults in the portfolio to date. The report shows a failure of the Senior Secured Loans. Morningstar DBRS determined that the portfolio is comprised of 98.95% Senior Secured Loans ($70,527,546.57 out of $71,272,797.34 total assets), which exceeds the 95% minimum threshold. As a result, the Level I surveillance approach in the CLO Methodology was applied. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of 26North Direct Lending II LP. (6) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. The Coverage and Collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows: Coverage Tests: Class A Overcollateralization Ratio Test: Actual 142.62%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 127.80%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 121.48%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 173.73%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 142.99%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 128.08%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 52.86%; Threshold 60.00% Class B Advance Rate: Actual 60.99%; Threshold 67.50% Class C Advance Rate: Actual 65.06%; Threshold 77.50% Collateral Quality Tests: Minimum Diversity Score Test: Actual 26.95; Threshold 13.00 Maximum Morningstar DBRS Risk Score Test: Actual 28.98%; Threshold 40.00% Maximum Weighted Average Maturity Date Test: Actual 4.83; Threshold 5.50 Minimum WA Spread: Actual 5.44%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 60.20%; Threshold 59.04% Some particular strengths of the transaction are (1) the collateral quality, which consists primarily of senior-secured floating-rate middle market loans (Currently 98.95%); (2) the adequate diversification of the portfolio of Collateral Obligations (DScore of 26.95 vs a threshold of 13.00); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the weighted-average (WA) credit quality of the underlying obligors is below investment grade; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2026-6: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to J.P. Morgan Mortgage Trust 2026-6 (JPMMT 2026-6). Entity/Debt Rating ----------- ------ JPMMT 2026-6 A1 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A10A LT AAA(EXP)sf Expected Rating A10B LT AAA(EXP)sf Expected Rating A10X1 LT AAA(EXP)sf Expected Rating A10X2 LT AAA(EXP)sf Expected Rating A10X3 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A11X LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A13X LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A14X LT AAA(EXP)sf Expected Rating A14X2 LT AAA(EXP)sf Expected Rating A14X3 LT AAA(EXP)sf Expected Rating A14X4 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A15A LT AAA(EXP)sf Expected Rating A15B LT AAA(EXP)sf Expected Rating A15X1 LT AAA(EXP)sf Expected Rating A15X2 LT AAA(EXP)sf Expected Rating A15X3 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A16B LT AAA(EXP)sf Expected Rating A16X1 LT AAA(EXP)sf Expected Rating A16X2 LT AAA(EXP)sf Expected Rating A16X3 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A17A LT AAA(EXP)sf Expected Rating A17B LT AAA(EXP)sf Expected Rating A17X1 LT AAA(EXP)sf Expected Rating A17X2 LT AAA(EXP)sf Expected Rating A17X3 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A18A LT AAA(EXP)sf Expected Rating A18B LT AAA(EXP)sf Expected Rating A18X1 LT AAA(EXP)sf Expected Rating A18X2 LT AAA(EXP)sf Expected Rating A18X3 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A3A LT AAA(EXP)sf Expected Rating A3B LT AAA(EXP)sf Expected Rating A3X1 LT AAA(EXP)sf Expected Rating A3X2 LT AAA(EXP)sf Expected Rating A3X3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4B LT AAA(EXP)sf Expected Rating A4X1 LT AAA(EXP)sf Expected Rating A4X2 LT AAA(EXP)sf Expected Rating A4X3 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A5A LT AAA(EXP)sf Expected Rating A5B LT AAA(EXP)sf Expected Rating A5X1 LT AAA(EXP)sf Expected Rating A5X2 LT AAA(EXP)sf Expected Rating A5X3 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A6A LT AAA(EXP)sf Expected Rating A6B LT AAA(EXP)sf Expected Rating A6X1 LT AAA(EXP)sf Expected Rating A6X2 LT AAA(EXP)sf Expected Rating A6X3 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A7B LT AAA(EXP)sf Expected Rating A7X1 LT AAA(EXP)sf Expected Rating A7X2 LT AAA(EXP)sf Expected Rating A7X3 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A8A LT AAA(EXP)sf Expected Rating A8B LT AAA(EXP)sf Expected Rating A8X1 LT AAA(EXP)sf Expected Rating A8X2 LT AAA(EXP)sf Expected Rating A8X3 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A9A LT AAA(EXP)sf Expected Rating A9B LT AAA(EXP)sf Expected Rating A9X1 LT AAA(EXP)sf Expected Rating A9X2 LT AAA(EXP)sf Expected Rating A9X3 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating B1X LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating B2X LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 264 loans with a scheduled balance of $336.56 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages originated mainly by PennyMac Loan Services LLC (22.46%). 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 on 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, and 79% of the loans are purchases, over 95% of the loans are single family/PUDs, and 100% of the loans are owner occupied or second homes. The majority of the loans roughly 29.3% are located in California. The loans are seasoned at an average of two months. The pool has a weighted average (WA) original FICO score of 775, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (cLTV) of 74.57%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 83.3%. The borrowers DTI is 34.4% and the weighted average liquid reserve amount is $643,578.91. This transaction has a final probability of default (PD) of 10.45% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 36.83%. The expected loss in the 'AAAsf' rating stress is 3.85%. Structural Analysis (Mixed); Senior/Subordinate Shifting-Interest Structure with Full Advancing: The mortgage cash flow and loss allocation in JPMMT 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 1.15% 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 0.85% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the loans will be allocated, first, to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B first, and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent P&I until it is deemed nonrecoverable. As a result, the LS was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyzes the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating Fitch's loss projections as derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings 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 2026-6 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 2026-6; therefore, Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 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 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, Opus, 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." SitusAMC, Opus, and Consolidated Analytics were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also 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. JPMORGAN MORTGAGE 2026-5: DBRS Gives (P)Bsf Rating on B-5 Certs --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-5 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2026-5: -- $317.0 million Class A-1 at (P) AAA (sf) -- $290.8 million Class A-2 at (P) AAA (sf) -- $218.1 million Class A-3 at (P) AAA (sf) -- $218.1 million Class A-3-A at (P) AAA (sf) -- $218.1 million Class A-3-B at (P) AAA (sf) -- $218.1 million Class A-3-X1 at (P) AAA (sf) -- $218.1 million Class A-3-X2 at (P) AAA (sf) -- $218.1 million Class A-3-X3 at (P) AAA (sf) -- $163.6 million Class A-4 at (P) AAA (sf) -- $163.6 million Class A-4-A at (P) AAA (sf) -- $163.6 million Class A-4-B at (P) AAA (sf) -- $163.6 million Class A-4-X1 at (P) AAA (sf) -- $163.6 million Class A-4-X2 at (P) AAA (sf) -- $163.6 million Class A-4-X3 at (P) AAA (sf) -- $54.5 million Class A-5 at (P) AAA (sf) -- $54.5 million Class A-5-A at (P) AAA (sf) -- $54.5 million Class A-5-B at (P) AAA (sf) -- $54.5 million Class A-5-X1 at (P) AAA (sf) -- $54.5 million Class A-5-X2 at (P) AAA (sf) -- $54.5 million Class A-5-X3 at (P) AAA (sf) -- $130.9 million Class A-6 at (P) AAA (sf) -- $130.9 million Class A-6-A at (P) AAA (sf) -- $130.9 million Class A-6-B at (P) AAA (sf) -- $130.9 million Class A-6-X1 at (P) AAA (sf) -- $130.9 million Class A-6-X2 at (P) AAA (sf) -- $130.9 million Class A-6-X3 at (P) AAA (sf) -- $87.2 million Class A-7 at (P) AAA (sf) -- $87.2 million Class A-7-A at (P) AAA (sf) -- $87.2 million Class A-7-B at (P) AAA (sf) -- $87.2 million Class A-7-X1 at (P) AAA (sf) -- $87.2 million Class A-7-X2 at (P) AAA (sf) -- $87.2 million Class A-7-X3 at (P) AAA (sf) -- $32.7 million Class A-8 at (P) AAA (sf) -- $32.7 million Class A-8-A at (P) AAA (sf) -- $32.7 million Class A-8-B at (P) AAA (sf) -- $32.7 million Class A-8-X1 at (P) AAA (sf) -- $32.7 million Class A-8-X2 at (P) AAA (sf) -- $32.7 million Class A-8-X3 at (P) AAA (sf) -- $26.2 million Class A-9 at (P) AAA (sf) -- $26.2 million Class A-9-A at (P) AAA (sf) -- $26.2 million Class A-9-B at (P) AAA (sf) -- $26.2 million Class A-9-X1 at (P) AAA (sf) -- $26.2 million Class A-9-X2 at (P) AAA (sf) -- $26.2 million Class A-9-X3 at (P) AAA (sf) -- $87.2 million Class A-10 at (P) AAA (sf) -- $87.2 million Class A-10-A at (P) AAA (sf) -- $87.2 million Class A-10-B at (P) AAA (sf) -- $87.2 million Class A-10-X1 at (P) AAA (sf) -- $87.2 million Class A-10-X2 at (P) AAA (sf) -- $87.2 million Class A-10-X3 at (P) AAA (sf) -- $72.7 million Class A-11 at (P) AAA (sf) -- $72.7 million Class A-11-X at (P) AAA (sf) -- $72.7 million Class A-12 at (P) AAA (sf) -- $72.7 million Class A-13 at (P) AAA (sf) -- $72.7 million Class A-13-X at (P) AAA (sf) -- $72.7 million Class A-14 at (P) AAA (sf) -- $72.7 million Class A-14-X at (P) AAA (sf) -- $72.7 million Class A-14-X2 at (P) AAA (sf) -- $72.7 million Class A-14-X3 at (P) AAA (sf) -- $72.7 million Class A-14-X4 at (P) AAA (sf) -- $43.6 million Class A-15 at (P) AAA (sf) -- $43.6 million Class A-15-A at (P) AAA (sf) -- $43.6 million Class A-15-B at (P) AAA (sf) -- $43.6 million Class A-15-X1 at (P) AAA (sf) -- $43.6 million Class A-15-X2 at (P) AAA (sf) -- $43.6 million Class A-15-X3 at (P) AAA (sf) -- $43.6 million Class A-16 at (P) AAA (sf) -- $43.6 million Class A-16-A at (P) AAA (sf) -- $43.6 million Class A-16-B at (P) AAA (sf) -- $43.6 million Class A-16-X1 at (P) AAA (sf) -- $43.6 million Class A-16-X2 at (P) AAA (sf) -- $43.6 million Class A-16-X3 at (P) AAA (sf) -- $43.6 million Class A-17 at (P) AAA (sf) -- $43.6 million Class A-17-A at (P) AAA (sf) -- $43.6 million Class A-17-B at (P) AAA (sf) -- $43.6 million Class A-17-X1 at (P) AAA (sf) -- $43.6 million Class A-17-X2 at (P) AAA (sf) -- $43.6 million Class A-17-X3 at (P) AAA (sf) -- $76.3 million Class A-18 at (P) AAA (sf) -- $76.3 million Class A-18-A at (P) AAA (sf) -- $76.3 million Class A-18-B at (P) AAA (sf) -- $76.3 million Class A-18-X1 at (P) AAA (sf) -- $76.3 million Class A-18-X2 at (P) AAA (sf) -- $76.3 million Class A-18-X3 at (P) AAA (sf) -- $317.0 million Class A-X-1 at (P) AAA (sf) -- $10.6 million Class B-1 at (P) AA (low) (sf) -- $10.6 million Class B-1-A at (P) AA (low) (sf) -- $10.6 million Class B-1-X at (P) AA (low) (sf) -- $7.0 million Class B-2 at (P) A (low) (sf) -- $7.0 million Class B-2-A at (P) A (low) (sf) -- $7.0 million Class B-2-X at (P) A (low) (sf) -- $3.3 million Class B-3 at (P) BBB (sf) -- $2.2 million Class B-4 at (P) BB (sf) -- $855.3 thousand Class B-5 at (P) B (sf) Classes A-3-X1, A-3-X2, A-3-X3, A-4-X1, A-4-X2, A-4-X3, A-5-X1, A-5-X2, A-5-X3, A-6-X1, A-6-X2, A-6-X3, A-7-X1, A-7-X2, A-7-X3, A-8-X1, A-8-X2, A-8-X3, A-9-X1, A-9-X2, A-9-X3, A-10-X1, A-10-X2, A-10-X3, A-11-X, A-13-X, A-14-X, A-14-X2, A-14-X3, A-14-X4, A-15-X1, A-15-X2, A-15-X3, A-16-X1, A-16-X2, A-16-X3, A-17-X1, A-17-X2, A-17-X3, A-18-X1, A-18-X2, A-18-X3, A-X-1, B-1-X and B-2-X are interest-only (IO) certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-3-A, A-3-B, A-3-X1, A-3-X2, A-3-X3, A-4, A-4-A, A-4-B, A-4-X1, A-4-X2, A-4-X3, A-5, A-5-A, A-5-X1, A-6, A-6-A, A-6-B, A-6-X1, A-6-X2, A-6-X3, A-7, A-7-A, A-7-B, A-7-X1, A-7-X2, A-7-X3, A-8, A-8-A, A-8-X1, A-9, A-9-A, A-9-X1, A-10, A-10-A, A-10-B, A-10-X1, A-10-X2, A-10-X3, A-11, A-11-X, A-12, A-13, A-13-X, A-15, A-15-A, A-15-X1, A-16, A-16-A, A-16-X1, A-17, A-17-A, A-17-X1, A-18, A-18-A, A-18-B, A-18-X1, A-18-X2, A-18-X3, B-1, and B-2 are exchangeable certificates. These classes can be exchanged for combinations of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-3-A, A-3-B, A-4, A-4-A, A-4-B, A-5, A-5-A, A-5-B, A-6, A-6-A, A-6-B, A-7, A-7-A, A-7-B, A-8, A-8-A, A-8-B, A-10, A-10-A, A-10-B, A-11, A-12, A-13, A-14, A-15, A-15-A, A-15-B, A-16, A-16-A, A-16-B, A-17, A-17-A, A-17-B, A-18, A-18-A, and A-18-B are super senior certificates. These classes benefit from additional protection from the senior support certificate (Class A-9-B) with respect to loss allocation. The (P) AAA (sf) credit ratings on the Certificates reflect 7.35% of credit enhancement provided by subordinated certificates. The (P) AA (low) (sf), (P) A (low) (sf), (P) BBB (sf), (P) BB (sf), and (P) B (sf) credit ratings reflect 4.25%, 2.20%, 1.25%, 0.60%, and 0.35% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages to be funded by the issuance of the Mortgage Pass-Through Certificates, Series 2026-5 (the Certificates). The Certificates are backed by 256 loans with a total principal balance of $342,115,152 as of the Cut-Off Date (June 01, 2026). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. Approximately 12.2% of the loans are conforming mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section. In addition, all of the loans in the pool were originated in accordance with the new general Qualified Mortgage (QM) rule. Pennymac Loan Services, LLC (PennyMac) and Nexera Holding, LLC (Nexera) originated 43.5% and 13.6% of the pool, respectively. Various other originators, each comprising less than 10%, originated the remainder of the loans. The mortgage loans will be serviced by JPMorgan Chase Bank, National Association (44.3%), PennyMac Loan Services, LLC (43.5%), and United Wholesale Mortgage, LLC (9.5%). For the JPMorgan Chase Bank, N.A. (JPMCB)-serviced loans, Shellpoint will act as interim servicer until the loans transfer to JPMCB on the servicing transfer date (September 1, 2026). For certain Servicers in this transaction, the servicing fee payable for mortgage loans is composed of three separate components: the base servicing fee, the delinquent servicing fee, and the additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Rocket Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank; rated AA (low) with a Stable trend) will act as Securities Administrator and Delaware Trustee. Computershare Trust Company, N.A. (Computershare; rated BBB (high) with a Stable trend) will act as Custodian. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors. The credit ratings reflect transactional strengths that include the following: -- High-Quality Credit Attributes -- Well-Qualified Borrowers -- Satisfactory third-party due-diligence sample size and review. -- Structural Enhancements -- 100% Current Loans The transaction also includes the following challenges: -- Servicers' Financial Capabilities Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Distribution Amounts, the related Interest Shortfalls, and the related Class Principal Amounts (for non-IO Certificates). Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. JPMORGAN MORTGAGE 2026-NQX2: DBRS Rates Cl. B-2 Certs '(P)B(low)sf' ------------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the Mortgage Pass-Through Certificates, Series 2026-NQX2 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2026-NQX2 (the Issuer) as follows: -- $165.7 million Class A-1FCF at (P) AAA (sf) -- $55.2 million Class A-1LCF at (P) AAA (sf) -- $189.1 million Class A-1A at (P) AAA (sf) -- $31.8 million Class A-1B at (P) AAA (sf) -- $220.9 million Class A-1 at (P) AAA (sf) -- $96.8 million Class A-2 at (P) AA (low) (sf) -- $21.3 million Class A-3 at (P) A (sf) -- $36.0 million Class M-1 at (P) BBB (low) (sf) -- $18.5 million Class B-1 at (P) BB (low) (sf) -- $13.7 million Class B-2 at (P) B (low) (sf) Class A-1 is an exchangeable certificate, while Classes A-1A and A-1B are depositable certificates. These classes can be exchanged in combinations as specified in the offering documents. The (P) AAA (sf) credit ratings on the Certificates reflect 30.60% of credit enhancement provided by the subordinated Certificates. The (P) AA (low) (sf), (P) A (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 15.40%, 12.05%, 6.40%, 3.50%, and 1.35% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 1,365 loans with a total principal balance of approximately $636,602,854 as of the Cut-Off Date (June 1, 2026). The pool is, on average, three months seasoned with loan ages ranging from one to fifteen months. Approximately 28.1% of the Mortgage Loans by balance were originated Cake Mortgage Corp, 14.3% of the loans were originated by Change Lending, LLC and 13.6% of the loans were originated by United Wholesale Mortgage, LLC (UWM). All the other originators individually comprised less than 5.0% of the overall mortgage loans. NewRez LLC, formerly known as New Penn Financial, LLC, doing business as (dba) Shellpoint will service approximately 88.2% of the loans, Selene Finance LP will service 8.8% of the loans. Cenlar FSB will act as subservicer with respect to 2.9% of the Mortgage Loans serviced by UWM. Computershare Trust Company, N.A. (rated BBB (high) with a Stable trend by Morningstar DBRS) will act as Master Servicer, Custodian, and Securities Administrator. Wilmington Savings Fund Society, FSB will act as Owner Trustee. As of the Cut-Off Date, 100.0% of the loans in the pool are contractually current according to the Mortgage Bankers Association (MBA) delinquency calculation method. In accordance with the Consumer Financial Protection Bureau (CFPB) Qualified Mortgage (QM) rules, 30.3% of the loans by balance are designated as non-QM. Approximately 56.5% of the loans in the pool were made to investors for business purposes and are exempt from the CFPB Ability-to-Repay (ATR) and QM rules. Approximately 11.3% of the pool are designated as QM Safe Harbor, and 1.9% are QM Rebuttable Presumption (by unpaid principal balance (UPB)). Servicers will generally advance delinquent principal and interest on the mortgage loans for four months. Each servicer is obligated to make advances in respect of taxes and insurance, the cost of preservation, restoration, and protection of mortgaged properties and any enforcement or judicial proceedings, including foreclosures and reasonable costs and expenses incurred in the course of servicing and disposing of properties until otherwise deemed unrecoverable. The Retaining Sponsor will retain an eligible horizontal residual interest in the transaction in the required amount of no less than 5.0% of the aggregate fair value of the Certificates (other than the Class A-R Certificates) consisting of a portion of the Class B-2, Class B-3, and Class XS Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On any date following the date on which the aggregate UPB of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Optional Clean-Up Call Holder will have the option to terminate the transaction by directing the master servicer to purchase all of the mortgage loans and any real estate owned (REO) property from the Issuer at a price equal to the sum of the aggregate UPB of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, any non-interest-bearing deferred amounts, and expenses that are payable or reimbursable to the transaction parties. The holder of the Trust Certificates may, at its option, on any Distribution Date on or after the date that is the earlier of (i) three years after the Closing Date or or (2) the date on which the balance of mortgage loans and REO properties falls to or below 30% of the loan balance as of the Cut-Off Date (Optional Redemption Date), redeem the Certificates at the optional termination price described in the transaction documents. Master Servicer on behalf of the Issuer may require the Seller to repurchase loans that become delinquent in the first three monthly payments following the date of acquisition. Such loans will be repurchased at the related repurchase price. The transaction's cash flow structure is generally similar to that of other non-QM securitizations. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). The Class A-1A and Class A-1B, and separately the Class A-1FCF and Class A-1LCF, have group specific allocations of principal, interest and loss allocation rules within their respective groups. Principal proceeds will be allocated to cover interest shortfalls on the seniormost certificates before being applied sequentially to amortize the balances of the more subordinated certificates. Excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to the senior certificates. The Class A-1 is an exchangeable certificate and can be exchanged with the Class A-1A and Class A-1B as specified in the offering documents. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A Certificates, and M-1 (and B-1 if issued with fixed rate). Of note, the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2, and A-3 Certificates coupon rates step up by 100 basis points on and after the payment date in July 2030. Interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2, and A-3 Certificates Cap Carryover Amounts after the Class A coupons step up. The credit ratings reflect transactional strengths that include the following: -- Robust loan attributes and pool composition; -- Compliance with the ATR rules; -- Improved underwriting standards; -- Current loan status; and -- Satisfactory third-party due diligence reviews. The transaction also includes the following challenges: -- Debt service coverage ratio loans; -- Certain nonprime, non-QM, investor loans, and loans to foreign national borrowers; -- Limited servicer advances of delinquent P&I; and -- The representations and warranties standard. Morningstar DBRS' credit ratings on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amount, Interest Carryforward Amount, and the related Class Principal Amount. Morningstar DBRS' credit ratings on the Class A-1FCF, A-1LCF, A-1A, A-1B, A-2, and A-3 Certificates also address the credit risk associated with the increased rate of interest applicable to the Certificates if they remain outstanding on the step-up date (July 2030) in accordance with the applicable transaction document(s). Morningstar DBRS' credit ratings does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. KELR TRUST 2026-MF: Moody's Assigns (P)B3 Rating to Cl. F Certs --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to six classes of CMBS securities, to be issued by KELR Trust 2026-MF, Commercial Mortgage Pass-Through Certificates, Series 2026-MF. 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)B3 (sf) RATINGS RATIONALE The certificates are collateralized by a first lien mortgage on the borrower's fee simple interest in 12 multifamily properties and one student housing facility totaling 3,321 units (the "Portfolio"). The Portfolio spans six distinct markets across the three states of Utah, Nevada and Arizona. 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 consists of 12 multifamily properties (89.8% of ALA) and one student housing property (10.2% of ALA) totaling 3,321 units. They are scattered across six distinct markets in the three states of Utah, Nevada, and Arizona. Market concentrations include Las Vegas (31.0% of base rent), Salt Lake City (21.4%), Ogden (15.7%), Flagstaff (15.3%), Provo (10.2%), and Phoenix (5.5%). No individual property contributes more than 11.8% of base rent or 12.3% of ALA. The properties have a weighted average year built of 2004 and offer a wide assortment of amenities that vary by location. However, the packages are generally very competitive across the Portfolio. They include resort-style swimming pools, fitness centers, spas, outdoor grilling areas, and resident clubhouses, complemented by modern unit interiors featuring updated appliances and kitchen finishes, private patios or balconies, and in-unit washer and dryer sets. In terms of unit mix, the Portfolio contains of 29 studio units, 1,243 one-bedroom units, 1,435 two-bedroom units, 574 three-bedroom units, and 40 four-bedroom units. The student housing (10.2% of ALA) component consists of 1,239 beds, of which 1,101 beds were occupied, representing 88.9% occupancy. The unit mix is concentrated in three-bedroom units, which account for 62.7% of beds, followed by two-bedroom units at 20.7% and four-bedroom units at 12.9%. Since 2021, the sponsor has invested $31.9M ($9.6K per unit) in capital improvements across the Portfolio, with significant investments at Quail Cove ($9.4M; $22.3K per unit), Firenze Apartments ($7.2M; $15.6K per unit), and Wolverine Crossing ($3.4M; $13.1K per unit). The Portfolio reports a weighted average occupancy rate of 93.4% as of June 17, 2026, with in-place rents averaging of $1,634 per unit. Economic occupancy is modestly declining, decreasing from 90.9% in 2023 to 90.3% in 2024, 89.3% in 2025, and 88.7% for the TTM ended May 2026. After enactment of a new business plan the portfolio demonstrated improved occupancy evident in the T-6, T-3 and T-1 occupancy of 87.7%, 89.4% and 91.6%, respectively. 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 1.01X and Moody's first mortgage stressed DSCR is 0.65X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $718,500,000 represents a Moody's LTV ratio of 133.6% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is also 133.6% 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 1.5. Notable strengths of the transaction include: property type, curb appeal, strong demand drivers, experienced sponsorship and multiple property pooling. Notable concerns of the transaction include a new supply, slow but steady occupancy decline, umbrella insurance policy limits, high Moody's loan-to-value ("MLTV") ratio, 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. KKR CLO 41: Moody's Downgrades Rating on $20MM Class E Notes to B1 ------------------------------------------------------------------ Moody's Ratings has downgraded the rating on the following notes issued by KKR CLO 41 Ltd.: US$20,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2035 Downgraded to B1 (sf); previously on March 25, 2022 Assigned Ba3 (sf) KKR CLO 41 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 downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss observed in the underlying CLO portfolio. Based on the trustee's May 2026 [1] report, the total collateral par balance, including recoveries from defaulted securities, is $480.8 million, or $19.2 million less than the $500 million initial par amount targeted during the deal's ramp-up. Additionally, the weighted average spread (WAS) of the assets has been declining. According to the trustee in May 2026 [1], the WAS was reported at 3.09% compared with a May 2025 [2] level of 3.41%, and failing the test level of 3.45%. No actions were taken on the Class A-1, Class A-1L and Class A-2 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: $477,788,449 Defaulted par: $5,057,962 Diversity Score: 72 Weighted Average Rating Factor (WARF): 3080 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 4.53% Weighted Average Recovery Rate (WARR): 46.05% Weighted Average Life (WAL): 5.19 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Used for the Rating Action: The principal methodology used in this rating was "Collateralized Loan Obligations" published in 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. KREF 2021-FL2: DBRS Confirms B(low) Rating on 3 Tranches -------------------------------------------------------- DBRS Limited (Morningstar DBRS) confirmed its credit ratings on all classes of notes issued by KREF 2021-FL2 Ltd. (the Issuer) as follows: -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class F Notes at BB (low) (sf) -- Class F-E Notes at BB (low) (sf) -- Class F-X Notes at BB (low) (sf) -- Class G Notes at B (low) (sf) -- Class G-E Notes at B (low) (sf) -- Class G-X Notes at B (low) (sf) Morningstar DBRS changed the trends on Classes F, G, F-E, F-X, G-E, and G-X to Stable from Negative. The trends on all other classes are Stable. In conjunction with this press release, Morningstar DBRS has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info-DBRS@morningstar.com. CREDIT RATING ACTION RATIONALE -- The credit rating confirmations and Stable trends reflect Morningstar DBRS' favorable outlook for the transaction as supported by the recoverability expectations for the remaining loans in the pool. -- As the transaction continues to wind down, exposure to office-backed collateral has increased, representing nearly 60% of the pool as of the May 2026 remittance. However, according to the Q1 2026 collateral report, several assets reported updated performance metrics exceeding Morningstar DBRS' projections, as respective borrowers have made notable progress toward the completion of their stated business plans. -- In assessing the likelihood of repayment and potential value deficiencies for loans with elevated refinance risk, Morningstar DBRS considered a stressed scenario for the remaining loans in the pool to test the durability of the credit ratings. The results of the analysis indicate that total value deficiency would remain contained to the nonrated Preferred Class certificate, further supporting the credit rating confirmations and Stable trends. POOL STRUCTURE -- At issuance, the transaction consisted of 20 floating-rate mortgages secured by 29 mostly transitional commercial real estate properties totaling approximately $1.0 billion, excluding approximately $260.5 million of future funding commitments. Since issuance, the Issuer added additional proceeds into the proposed structure to bring the total transaction structure to $1.3 billion. -- The transaction had a Reinvestment Period that expired with the August 2023 payment date and is now paying sequentially. -- All outstanding loans are scheduled to mature over the next 12 months. -- The largest loan in the pool, Fifth Street Towers (Prospectus ID#31; 11.2% of the pool), is secured by two Class A office buildings in the Minneapolis CBD. Given the property's sustained low occupancy rate and cash flow, Morningstar DBRS expects the borrower will continue to face challenges in executing a successful exit strategy by the July 2026 maturity date. -- The underlying properties for the majority of the remaining loans have reached stabilization, reporting improved cash flows, rental rates, and/or occupancy rates relative to issuance expectations. POOL/COLLATERAL OVERVIEW -- As of the May 2026 remittance, the pool consisted of seven loans secured by nine properties with a cumulative trust balance of $532.1 million, representing a collateral reduction of 59.1% since issuance. -- Since Morningstar DBRS' last credit rating action in July 2025, four loans with a former trust balance of $405.9 million were repaid in full, including the former largest loan in the pool, Boston South End Life Science Campus (Prospectus ID#4). -- Beyond the office concentration noted above, the transaction also comprises three loans, representing 33.2% of the pool, secured by multifamily properties, and the remaining loan, representing 7.6% of the pool, secured by a mixed-use property. -- Based on the original as-is appraised values from individual loan closing dates, leverage across the pool has decreased from issuance. The current weighted-average (WA) loan-to-value ratio (LTV) was 61.1%, down from 68.2% at issuance. The projected WA as-stabilized LTV decreased to 59.9% from 65.4% at issuance. -- As of the May 2026 remittance, there were no loans in special servicing. -- Two loans, Fifth Street Towers (Prospectus ID#31) and One on Centre (Prospectus ID#11), collectively representing 35.7% of the pool, are being monitored on the servicer's watchlist for upcoming loan maturities. -- All loans in the pool have been modified. In general, the modifications have allowed borrowers to bifurcate loans, reduce the floating interest rate spread, or exercise or modify loan extension options by amending loan terms. In return, borrowers have been required to make loan curtailment payments, deposit funds into reserves, or purchase new interest rate cap agreements. FUTURE FUNDING -- Through May 2026, the lender advanced a cumulative $72.7 million in loan future funding allocated to four individual borrowers to aid in property stabilization efforts. -- The largest advance of $62.9 million was made to the borrower of Legacy Central (Prospectus ID#11; 15.2% of the pool), which is secured by a portfolio of four Class A office properties in Plano, Texas, which have reached stabilization. The borrower used loan future funding for various capital improvement projects and toward covering leasing and carry costs. According to the Q1 2026 reporting, the portfolio was 99.6% occupied and reported a debt yield of 12.0%. Given the property's sustained strong performance, Morningstar DBRS expects the loan to be repaid or refinanced as the loan approaches its final maturity date in August 2026. -- An additional $3.1 million of loan future funding remains available across two borrowers. The largest unadvanced amount of $3.0 million is allocated to the borrower of the Legacy Central loan. However, per the Q1 2026 collateral report, the borrower is expected to use the unreleased amount outside of the transaction. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. LCM 28: S&P Lowers Class E Debt Rating to 'CCC (sf)' ---------------------------------------------------- S&P Global Ratings lowered its rating on the class E debt from LCM 28 Ltd./LCM 28 LLC, a U.S. collateralized loan obligation (CLO) managed by Clearlake Capital Group L.P. At the same time, S&P removed the class E debt from CreditWatch with negative implications, where S&P placed it on May 6, 2026. S&P also raised its rating on the class C debt and affirmed its rating on the class D from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the May 2026 trustee report. Although the same portfolio backs all of the tranches in the respective transactions, there can be circumstances such as this, in which the ratings on the tranches move in opposite directions due to support changes in the portfolio. The LCM 28 Ltd. transaction is experiencing opposing rating movements because it had both principal paydowns that increased the senior credit support and principal losses that decreased the junior credit support. The CLO initially exited reinvestment in October 2023 and, since S&P's December 2025 rating actions, the class A and class B debt have been fully repaid. Following are the changes in the reported overcollateralization (O/C) ratios since the November 2025 trustee report, which S&P used for its December 2025 rating actions: -- The class C O/C ratio improved to 241.29% from 142.00%. -- The class D O/C ratio improved to 123.62% from 114.63%. -- The class E O/C ratio declined to 93.87% from 101.87%. While the senior O/C ratios experienced a positive movement due to the lower balances of the senior notes, the class E O/C ratio declined, primarily due to par losses and increased haircuts following the portfolio's increased exposure to 'CCC' or lower-quality assets. Although the senior O/C ratios improved, the par amount of 'CCC' obligations has increased to $16.21 million as of the May 2026 trustee report from $15.35 million as of the November 2025 trustee report, and defaulted collateral increased to $2.95 million from $2.73 million over the same period. The balance of collateral with a maturity date after the transaction's stated maturity totaled $0.65 million, and S&P's analysis additionally accounted for the resulting potential market value risk and settlement-related risk arising from the possible liquidation of the remaining securities on the transaction's legal final maturity date. Further, although the obligors' steady paydown of the debt has decreased the number of obligors remaining in the portfolio, the obligor concentration level has increased as a result. The lower number of obligors, the increased exposure to lower-quality assets, and the overall par losses contributed to the coverage test failure for class E. However, despite the slightly larger concentrations in the 'CCC' category and defaulted collateral, the transaction, especially the senior tranches, has also benefited from a drop in the weighted average life due to the underlying collateral's seasoning, with 2.49 years reported as of the May 2026 trustee report, compared with 2.87 years reported at the time of S&P's December 2025 rating actions. S&P said, "The upgrade on class C reflects the improved credit support available to the class at the prior rating level, and the affirmation on class D reflects our view that the existing credit support is commensurate with the current rating level. Our cash flow analysis indicated the potential for a higher rating on the class D debt. However, because the transaction currently has a relatively high exposure to 'CCC' rated collateral obligations, defaulted assets, and long-dated assets, we limited the upgrade to offset future potential credit migration in the underlying collateral. We also considered the cash flow results for this class under additional sensitivity analyses that considered exposures to 'CCC' rated collateral and assets with distressed prices. "The downgrade on class E reflects its failing cash flows, decreased credit enhancement, and failing O/C ratio. Although our cash flows test indicates a lower rating for the class E debt than the revised rating, we do not believe there is a virtual certainty of default at this time. There also has not yet been any deferral of interest. Therefore, we limited the downgrade to two notches to 'CCC' as we believe the tranche is dependent on favorable conditions to repay and is vulnerable to nonpayment. The rating on the class E notes is also constrained in the 'CCC' category by the application of the largest-obligor default test, a supplemental stress test included as part of our corporate collateralized debt obligation criteria. Any further increase in defaults or par losses could lead to negative rating actions in the future. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised LCM 28 Ltd./LCM 28, LLC Class C to 'AAA (sf)' from 'AA (sf)' Rating Lowered And Removed From CreditWatch LCM 28 Ltd./LCM 28, LLC Class E to 'CCC (sf)' from 'B- (sf)/Watch Neg' Rating Affirmed LCM 28 Ltd./LCM 28, LLC Class D: 'BBB- (sf)' MORGAN STANLEY 2026-CLTR1: Fitch Rates Class B2 Notes 'B-(EXP)sf' ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and outlooks to Morgan Stanley Residential Mortgage Loan Trust 2026-CLTR1 (MSRM 2026-CLTR1). Entity/Debt Rating ----------- ------ MSRM 2026-CLTR1 A1 LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1FCF LT AAA(EXP)sf Expected Rating A1LCF LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating M1 LT BBB-(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating RPT LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating Transaction Summary The notes are supported by 643 seasoned non-qualified mortgages (non-QM) loans with a balance of $256,069,065.87 as of the cutoff date. The transaction is expected to close on July 31, 2026. The notes are secured by non-QM mortgage loans are seasoned for an average of 40 months and come from the COLT 2023-1 and COLT 2023-2 transactions, which will be called. Of the loans, 95.7% are current and 4.3% are 30-59 days delinquent, as of the cutoff date. In total, 86.9% have been current for the past 12 months with no prior delinquencies. Of the loans, 54.9% are designated as non-QM, 44.31% are exempt mortgage loans that were not subject to the ability-to-repay (ATR) rule, 0.25% are safe harbor QM loans, and 0.58% are higher priced QM loans. The loans were originated by various non-QM originators. The loans will be serviced by Select Portfolio Servicing, Inc., and the master servicer will be Rocket Mortgage, LLC. The class A-1-A, A-1-B, A-1FCF, A-1LCF, A-2, and A-3 notes are fixed rate and capped at the net weighted average coupon (WAC) and have a step-up feature. The M-1 and B-1 notes are fixed rate and capped at the net WAC. The class B-2 note rate will be determined at pricing based on the lower of a fixed rate capped at the net WAC rate or the net WAC rate for the related distribution date. The class B-3 coupons will be based on the net WAC. Fitch was not asked to rate the B-3, XS, R-PT, R and A-IO-S classes. KEY RATING DRIVERS Credit Risk of Seasoned Nonprime Credit Quality (Mixed): The borrowers in this pool have moderate credit profiles with a Fitch-determined weighted average (WA) FICO score of 738, and a Fitch-determined debt-to-income ratio (DTI) of 33.0%. Leverage is relatively low, consistent with seasoned transactions. Fitch determined an original combined loan-to-value ratio (cLTV) of 70.6%, and a current mark to market LTV of 62.7%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 69.4%. The loans are seasoned for an average of 40 months, and none have been modified. The vast majority of the loans are performing, with 95.7% being current and 4.3% being 30-day delinquent as of the cut-off date. 81.8% of the loans have not had a delinquency in the past 24 months, and 86.9% have not had a delinquency in the past 12 months. In the 'AAAsf' rating stress, Fitch's final probability of default is 46.86%, final loss severity is 35.05%, and the expected loss is 16.42%. Structural Analysis (Mixed): The transaction has a modified sequential structure with limited advancing of delinquent principal and interest (P&I). The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1-A, A-1-B, A-1FCF, A-1LCF, A-2 and A-3 are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to classes first to the A-1-A, A-1-B, A-1FCF, A-1LCF, and then to A-2 and A-3 until they are reduced to zero. The class A notes have a step-up coupon feature whereby the coupon rate will be the lower of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. This step-up feature will occur on and after the distribution date in August 2030 if the transaction is still outstanding. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1-A, A-1-B, A-1FCF, A-1LCF, A-2 and A-3 classes on any payment date. Specifically, on any distribution date on which the aggregate unpaid cap carryover amount for class A notes is greater than zero, payments to the cap carryover reserve account will be prioritized over the payment of interest and unpaid interest payable to class B-3 notes in both the interest and principal waterfalls. This feature is supportive of the class A-1-A, A-1-B, A-1FCF and A-1LCF notes being paid timely interest at the step-up coupon rate under Fitch's stresses, and classes A-2 and A-3 being paid ultimate interest at the step-up coupon rate under Fitch's stresses. Fitch rates to timely interest for 'AAAsf' rated classes and to ultimate interest for all other rated classes. The transaction has excess spread that will be available to reimburse the notes for losses or interest shortfalls. The excess spread may be reduced on and after August 2030, since classes A-1-A, A-1-B, A-1FCF, A-1LCF, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. The transaction is structured to three months of servicer advances for delinquent P&I. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. Losses are allocated reverse sequentially starting with B-3. Once the A-2 class is written off, losses will be allocated pro rata to the A-1LCF and A-1FCF, on the one hand and to the A-1-A and A-1-B, on the other. The A-1LCF and A-1FCF will take their share of losses pro rata and the A-1-A and A-1-B share of losses will be allocated to A-1-B first and then to A-1-A once A-1-B is written off. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5-bp z-score reduction for loans fully reviewed by the third-party review (TPR) firm, have a final grade of either "A" or "B", and a CDFI penalty is not applied. In total, 100% of the loans in the pool received this credit. 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 the transaction to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to this transaction and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30% in addition to the model-projected 10.52 at 'Bsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by engaged Consolidated Analytics, Canopy, Clayton, Covius, Evolve, and Selene, The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review and valuation review. Fitch also received confirmation from the servicer that the lien status and the payment history provided in the loan tape are accurate per their records. Fitch considered this information in its analysis and, as a result, did not make any negative adjustments to its analysis due to no material due diligence findings. Based on the results of the 100% due diligence performed on the pool with no material findings, the pool received a credit. Fitch applies a 5-bp reduction to loans fully reviewed by a third-party review firm that have a final grade of either A or B and have no material findings. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Consolidated Analytics, Canopy, Clayton, Covius, Evolve, and Selene to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors, such as having liquid reserves or a FICO score above guideline requirements or LTV or DTI ratios lower than the guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data to support the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NAVESINK CLO 1: S&P Assigns BB- (sf) Rating on Class E-R2 Debt -------------------------------------------------------------- S&P Global Ratings assigned its 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 new class X-R2 debt from Navesink CLO 1 Ltd./Navesink CLO 1 LLC , a CLO managed by ZAIS Leveraged Loan Master Manager LLC that was originally issued in June 2023 and underwent a first refinancing in May 2025. At the same time, S&P withdrew its ratings on the previous class A-1R, A-JR, B-R, C-R, D-1R, D-JR, and E-R debt following payment in full on the July 22, 2026, refinancing date. The replacement and new debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt was issued at a lower spread over three-month SOFR than the existing debt. -- The replacement class A-1-R2, A-2-R2, B-R2, C-R2, D-1-R2, D-2-R2, and E-R2 debt was issued at a floating spread, replacing the current floating spread. -- The stated maturity was extended by three years; the reinvestment period was extended by two years; and the non-call period and weighted average life test dates were extended by 1.2 years. -- The non-call period was extended to July 25, 2027. -- The reinvestment period was extended to July 25, 2028. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 25, 2036. -- Additional assets were purchased on July 22, 2026, refinancing date, and the target initial par amount remains at $350 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 25, 2026. -- New class X-R2 debt was issued on the refinancing date and is expected to be paid down using interest proceeds during the first 16 payment dates in equal installments of $328,125, beginning on the first payment date and ending July 25, 2030. -- The required minimum overcollateralization and interest coverage ratios were amended. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative 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 Navesink CLO 1 Ltd./Navesink CLO 1 LLC Class X-R2, $5.250 million: AAA (sf) Class A-1-R2, $210.000 million: AAA (sf) Class A-2-R2, $21.000 million: AAA (sf) Class B-R2, $35.000 million: AA (sf) Class C-R2 (deferrable), $21.000 million: A (sf) Class D-1-R2 (deferrable), $19.250 million: BBB (sf) Class D-2-R2 (deferrable), $5.250 million: BBB- (sf) Class E-R2 (deferrable), $10.500 million: BB- (sf) Ratings Withdrawn Navesink CLO 1 Ltd./Navesink CLO 1 LLC Class A-1R to NR from 'AAA (sf)' Class A-JR to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-1R to NR from 'BBB+ (sf)' Class D-JR to NR from 'BBB- (sf)' Class E-R to NR from 'BB- (sf)' Other Debt Navesink CLO 1 Ltd./Navesink CLO 1 LLC Subordinated notes, $28.875 million: NR NR--Not rated. NEW RESIDENTIAL 2026-RPL1: Fitch Assigns Bsf Rating on Cl. B2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by New Residential Mortgage Loan Trust, Series 2026-RPL1 (NRMLT 2026-RPL1). Entity/Debt Rating Prior ----------- ------ ----- NRMLT 2026-RPL1 A1A LT AAAsf New Rating A1B LT AAAsf New Rating A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf M1 LT Asf New Rating A(EXP)sf M2 LT BBBsf New Rating BBB(EXP)sf M LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf B LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 2,910 seasoned performing and reperforming loans with a total balance of approximately $411.7 million as of the cutoff date. The notes are secured mainly by seasoned performance and reperforming loans. Approximately 92.2% of the pool was originated before the implementation of the ability to repay (ATR) rule, while the remaining were originated after ATR. After the publication of the expected ratings and Fitch's presale report, the issuer added two additional classes of notes: classes A-1A and A-1B. Each is an exchange note of the previously assigned 'AAAsf(EXP)' class A-1 notes. Fitch analyzed an updated structure and confirmed that each class maintained sufficient credit enhancement consistent with the prior assigned rating. Fitch assigned a 'AAAsf' rating with Stable Outlooks for all three classes. In addition, Fitch is assigning a 'NRsf' rating to the class AIOS notes, which were not included in the prior publications. 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 credit risk and expected losses. NRMLT 2026-RPL1 has a final probability of default (PD) of 46.8% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 22.0%. The expected loss in the 'AAAsf' rating stress is 10.3%. Structural Analysis: The transaction uses a sequential pay structure. The credit enhancement consists of subordinated notes, whose distributions will be subordinated to P&I payments due to senior noteholders. In addition, excess cash flow resulting from the difference between the interest earned on the mortgage collateral and the interest paid on the notes may be available to pay down additional principal on the notes. Fitch analyzes the capital structure to determine whether the transaction's credit enhancement (CE) supports 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 under 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 effect on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction and focused primarily on a compliance review. Fitch applied various adjustments to consider compliance-related risks as outlined further in this report. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform to the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material effect on the performance of the transaction. Additionally, all legal requirements must be satisfied to fully de-link the transaction from any other entities. Fitch expects NRMLT 2026-RPL1 to be fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2026-RPL1. Therefore, Fitch assigns the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 38.2% at 'AAA'. The analysis indicates some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 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, except 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) prepared by several firms. The third-party due diligence described in Form 15E focused on a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth in Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, made the following adjustments in its analysis: - Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% LS over-ride; - Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point LS increase; - Unpaid taxes and lien amounts were added to the LS. In total, these adjustments increased the 'AAAsf' loss by approximately 24bp. 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. NLT 2026-NQM2: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to NLT 2026-NQM2's mortgage-backed notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, two- to four-family units, condominiums, a co-operative, manufactured housing, and a condotel. The pool has 850 residential mortgage loans, which are qualified mortgage (QM) safe harbor (average prime offer rate [APOR]), QM rebuttable presumption (APOR), non-QM/ability-to-repay (ATR) compliant, or ATR-exempt. The preliminary ratings are based on information as of July 23, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The credit enhancement provided in the transaction; -- The representation and warranty framework; -- The pool's geographic concentration; -- The transaction's associated structural mechanics; -- The transaction's mortgage loan originators/aggregator; and -- S&P said, "Our U.S. economic outlook, which that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned NLT 2026-NQM2 Trust(i) Class A-1, $300,060,000: AAA (sf) Class A-2, $19,140,000: AA (sf) Class A-3, $46,210,000: A (sf) Class M-1, $15,870,000: BBB (sf) Class B-1, $11,000,000: BB (sf) Class B-2, $9,160,000: B (sf) Class B-3, $5,703,578: NR Class XS, notional(ii): NR Class PT, $407,143,578: NR Class A-IO-S, notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal and do not address payment of cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $407,143,578. NR--Not rated. NORTHWOODS CAPITAL XI-B: S&P Affirms BB- (sf) Rating on E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class X-R2, A-1-R2, A-2-R2, B-1-R2, B-2-R2, C-R2 and D-1R2 debt from Northwoods Capital XI-B Ltd./Northwoods Capital XI-B LLC, a CLO managed by Angelo, Gordon & Co. L.P. that was originally issued in April 2018 and underwent a previous refinancing in July 2024. At the same time, S&P withdrew its ratings on the previous class X-R, A-1-R, A-2-R, B-R, C-R, and D-1R debt following payment in full on the July 20, 2026, refinancing date. S&P also affirmed its ratings on the class D-2R and E-R debt, which were not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class X-R2, A-1-R2, A-2-R2, B-1-R2, B-2-R2, C-R2, and D-1R2 debt was issued at a lower spread over three-month SOFR than the previous debt. -- The non-call period was extended to July 19, 2027. -- The reinvestment period was extended to July 19, 2029. -- The legal final maturity dates for the replacement debt and the existing subordinated notes remains July 19, 2037. -- No additional assets were purchased on the July 20, 2026, refinancing date. There was no additional effective date or ramp-up period and the first payment date following the refinancing is Oct. 19, 2026. -- The required minimum overcollateralization and interest coverage ratios remain unchanged. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and was updated to conform to current rating agency methodology. Due to the significant changes in credit enhancement, it is necessary to consider some cash flow stresses for the refinanced tranches. S&P said, "Also, as Class D-2R and E-R are not being refinanced, we are considering the pre- and post-refinancing cash flow cushion differences. On a standalone basis, our cash flow analysis indicated a lower rating on the class E-R debt (which was not refinanced). However, we affirmed our 'BB-(sf)' rating on the class E-R debt after considering the margin of failure, the relatively stable overcollateralization ratio since our last rating action on the transaction. Based on the latter, we expect the credit support available to all rated classes to increase as principal is collected and the senior debt is paid down." Replacement And Previous Debt Issuances Replacement debt -- Class X-R2, $1.89 million: 1.000% -- Class A-1-R2, $285.00 million: Three-month CME Term SOFR + 1.25% -- Class A-2-R2, $13.73 million: Three-month CME Term SOFR + 1.50% -- Class B-1-R2, $41.35 million: Three-month CME Term SOFR + 1.60% -- Class B-2-R2, $9.00 million: Three-month CME Term SOFR + 1.70% -- Class C-R2 (deferrable), $27.77 million: Three-month CME Term SOFR + 2.20% -- Class D-1R2 (deferrable), $23.36 million: Three-month CME Term SOFR + 3.55% Previous debt -- Class X-R, $2.05 million: 1.200% -- Class A-1-R, $276.00 million: Three-month CME Term SOFR + 1.45% -- Class A-2-R, $13.80 million: Three-month CME Term SOFR + 1.66% -- Class B-R, $55.20 million: Three-month CME Term SOFR + 1.90% -- Class C-R (deferrable), $32.20 million: Three-month CME Term SOFR + 2.50% -- Class D-1R (deferrable), $23.00 million: Three-month CME Term SOFR + 3.75% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Northwoods Capital XI-B Ltd./Northwoods Capital XI-B LLC Class X-R2, $1.89 million: AAA (sf) Class A-1-R2, $285.00 million: AAA (sf) Class A-2-R2, $13.73 million: AAA (sf) Class B-1-R2, $41.35 million: AA (sf) Class B-2-R2, $9.00 million: AA (sf) Class C-R2, $27.77 million: A (sf) Class D-1R2, $23.36 million: BBB (sf) Ratings Withdrawn Northwoods Capital XI-B Ltd./Northwoods Capital XI-B LLC Class X-R to NR from 'AAA (sf)' Class A-1-R to NR from 'AAA (sf)' Class A-2-R to NR from 'AAA (sf)' Class B-R to NR from 'AA (sf)' Class C-R to NR from 'A (sf)' Class D-1R to NR from 'BBB (sf)' Ratings Affirmed Northwoods Capital XI-B Ltd./Northwoods Capital XI-B LLC Class D-2R: BBB- (sf) Class E-R: BB- (sf) Other Debt Northwoods Capital XI-B Ltd./Northwoods Capital XI-B LLC Subordinated notes: NR NR--Not rated. NYC COMMERCIAL 2026-31W: Fitch Assigns 'B-sf' Rating on Cl. F Certs ------------------------------------------------------------------- Fitch Ratings has assigned the following final ratings and Ratings Outlooks to NYC Commercial Mortgage Trust 2026-31W, commercial mortgage pass-through certificates, series 2026-31W: - $168,300,000 class A 'AAAsf'; Outlook Stable; - $31,100,000 class B 'AA-sf'; Outlook Stable; - $24,500,000 class C 'A-sf'; Outlook Stable; - $34,400,000 class D 'BBB-sf'; Outlook Stable; - $52,800,000 class E 'BB-sf'; Outlook Stable; - $58,400,000 class F 'B-sf'; Outlook Stable. Fitch does not 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 $145 million of borrower sponsor equity, are being used to refinance $500 million of existing debt, fund a $41.3 million upfront reserve to cover outstanding landlord leasing obligations (TI, LC and free rent), a $23.3 million interest reserve, and to pay approximately $10 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 the servicer, while Argentic Services Company LP is the special servicer. Deutsche Bank National Trust Company acts as trustee, with Computershare Trust Company, National Association as certificate administrator. Pentalpha Surveillance LLC acts as operating advisor. The certificates follow a sequential-pay structure. 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 - 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 - 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 the mortgage loan. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. OAKTREE CLO 2019-4: S&P Affirms BB-(sf) Rating on Class E-RR Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class X-R, A-R3, B-R3, C-R3, D-1-R3, and D-2-R3 debt from Oaktree CLO 2019-4 Ltd./Oaktree CLO 2019-4 LLC, a CLO managed by Oaktree Capital Management L.P. that was originally issued in October 2019 and underwent a second refinancing in June 2024. At the same time, S&P withdrew its ratings on the previous class X, A-RR, B-RR, C-RR, D-1-RR, and D-2-RR debt following payment in full on the July 20, 2026, refinancing date. S&P also affirmed its rating on the class E-RR debt, which was not refinanced. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to July 20, 2027. -- No additional assets were purchased on the July 20, 2026, refinancing date, and the target initial par amount remains at $748.00 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2026. -- No additional subordinated notes were issued on the refinancing date. S&P said, "On a standalone basis, our cash flow analysis indicated a lower rating on the class E-RR debt (which was not refinanced). However, we affirmed our 'BB- (sf)' rating on the class E-RR debt after considering the margin of failure and the relatively stable overcollateralization ratio since our last rating action on the transaction. Additionally, the deal remains in its reinvestment period, and the refinancing is viewed as credit-neutral to credit-positive for the transaction." Replacement And Previous Debt Issuances Replacement debt -- Class X-R, $0.66 million: Three-month CME term SOFR + 0.90% -- Class A-R3, $478.80 million: Three-month CME term SOFR + 1.23% -- Class B-R3, $89.80 million: Three-month CME term SOFR + 1.60% -- Class C-R3 (deferrable), $44.80 million: Three-month CME term SOFR + 1.85% -- Class D-1-R3 (deferrable), $37.50 million: Three-month CME term SOFR + 3.15% -- Class D-2-R3 (deferrable), $11.25 million: Three-month CME term SOFR + 4.50% Previous debt -- Class X, $0.66 million: Three-month CME term SOFR + 1.05% -- Class A-RR, $478.80 million: Three-month CME term SOFR + 1.51% -- Class B-RR, $89.80 million: Three-month CME term SOFR + 1.92% -- Class C-RR (deferrable), $44.80 million: Three-month CME term SOFR + 2.27% -- Class D-1-RR (deferrable), $37.50 million: Three-month CME term SOFR + 3.40% -- Class D-2-RR (deferrable), $11.25 million: Three-month CME term SOFR + 4.70% -- Subordinated notes, $64.75 million: N/A N/A--Not applicable. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "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 Oaktree CLO 2019-4 Ltd./Oaktree CLO 2019-4 LLC Class X-R, $0.66 million: AAA (sf) Class A-R3, $478.80 million: AAA (sf) Class B-R3, $89.80 million: AA (sf) Class C-R3 (deferrable), $44.80 million: A (sf) Class D-1-R3 (deferrable), $37.50 million: BBB (sf) Class D-2-R3 (deferrable), $11.25 million: BBB- (sf) Ratings Withdrawn Oaktree CLO 2019-4 Ltd./Oaktree CLO 2019-4 LLC Class X to NR from 'AAA (sf)' Class A-RR to NR from 'AAA (sf)' Class B-RR to NR from 'AA (sf)' Class C-RR to NR from 'A (sf)' Class D-1-RR to NR from 'BBB (sf)' Class D-2-RR to NR from 'BBB- (sf)' Rating Affirmed Oaktree CLO 2019-4 Ltd./Oaktree CLO 2019-4 LLC Class E-RR: BB- (sf) Other Debt Oaktree CLO 2019-4 Ltd./Oaktree CLO 2019-4 LLC Subordinated notes, $64.75 million: NR NR--Not rated. OBX 2026-HE2: DBRS Gives (P)B(low) Rating on $3MM Cl. B-2 Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following Mortgage-Backed Notes, OBX Trust, Series 2026-HE2 (the Notes) to be issued by OBX 2026-HE2 Trust (OBX 2026-HE2 or the Trust): -- $168.4 million Class A-1A at (P) AAA (sf) -- $2.3 million Class A-1B at (P) AAA (sf) -- $170.7 million Class A-1 at (P) AAA (sf) -- $8.8 million Class M-1 at (P) AA (sf) -- $9.0 million Class M-2 at (P) A (sf) -- $11.3 million Class M-3 at (P) BBB (low) (sf) -- $6.9 million Class B-1 at (P) BB (low) (sf) -- $3.0 million Class B-2 at (P) B (low) (sf) The (P) AAA (sf) credit ratings on the Notes reflect 18.90% of credit enhancement provided by subordinate notes. The (P) AA (sf), (P) A (sf), (P) BBB (low) (sf), (P) BB (low) (sf), and (P) B (low) (sf) credit ratings reflect 14.70%, 10.40%, 5.00%, 1.70% and 0.25% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The securitization of recently originated first- and junior-lien revolving home equity lines of credit (HELOCs) funded by the issuance of mortgage-backed securities (the Notes). The Notes are backed by 1,534 loans with a total unpaid principal balance (UPB) of $210,530,455 and a total current credit limit of $247,449,384 as of the Cut-Off Date (May 31, 2026). The portfolio, on average, is three months seasoned, though seasoning ranges from zero to 19 months. 100% of the loans are current. All loans in the pool are exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. HELOC Features In this transaction, all loans are HELOCs that have a draw period of three, five, or 10 years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen, suspended, or terminated under certain circumstances. Post the draw term and IO period, HELOC borrowers have a repayment period and are no longer allowed to draw. The loans are made mainly to borrowers with prime and near-prime credit quality who seek to take equity cash out for various purposes. While these HELOCs do not need to be fully drawn at origination, the weighted-average (WA) current utilization rate is approximately 93.6% after three months of seasoning on average. Transaction and Other Counterparties The mortgages were originated by Homebridge Financial Services, Inc. (42.4%), United Wholesale Mortgage LLC (27.8%), and Better Mortgage Corporation (10.7%) as well as other originators each comprising less than 10.0% of the aggregate Principal Balance as of the Cut-off date. Shellpoint and loanDepot will service loans within the pool for a servicing fee of 0.25% and 0.50% per year, respectively. Wilmington Savings Fund Society, FSB will serve as the Indenture Trustee, Owner Trustee, Paying Agent, Note Registrar, Certificate Registrar and Custodian. Computershare Trust Company, N.A. will serve as a Custodian. Draw Funding Mechanism This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicers will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class G Certificates. If the aggregate draws exceed the principal collections (Net Draw), the related Servicer is entitled to reimburse itself for draws funded from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class G Certificateholder after the Closing Date). The Reserve Account is funded at closing with a balance of $2,000,000. Prior to the payment date in July 2031, the Reserve Account Required Amount will be $2,000,000. On and after the payment date in July 2031, the Reserve Account Required Amount will become $0. If the Reserve Account is not at target, the Paying Agent will use the available interest collections remaining after paying transaction parties' fees and expenses, reimbursing the Servicers for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the Reserve Account Required Amount. To the extent the Reserve Account is not funded up to its required amount from the interest collections, the Class G Certificateholders will be required to use its own funds to reimburse the related Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the related Servicer will be reimbursed on subsequent payment dates from amounts on deposit in the Reserve Account (subject to the deposited funds). The Sponsor, as the initial holder of the Class G Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class G Certificates' balance will be increased by the amount of any Net Draws funded by the Class G Certificateholders. The Reserve Account's required amount will become $0 on the payment date in July 2031, at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, Morningstar DBRS does not rely on the creditworthiness of the Servicers or the Sponsor. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. Additional Cash Flow Analytics for HELOCs Morningstar DBRS performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. Generally, in HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, Morningstar DBRS also tests a combination of high draw and low prepayment scenarios to stress the transaction. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method will be charged off. Transaction Structure This transaction incorporates a pro-rata cash flow structure; however, principal payment will be distributed sequentially so long as none of the Class M-1, M-2, or M-3 Notes is a Locked Out Class, as described below in the related report under Cashflow Structure and Features. On the first Payment Date, each of the Class M-1, M-2, and M-3 Notes will be locked out from receiving principal payments. Additionally, the pro rata cash flow structure is subject to a Trigger Event, which is based on certain performance trigger events related to cumulative losses and delinquencies. If a Trigger Event is in effect, principal distributions are made sequentially. Cumulative Loss and Delinquency Trigger Events are applicable immediately after the Closing Date. Relative to a sequential pay structure, a pro rata structure subject to a sequential trigger (Trigger Event) is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over the life of the transaction. Other Transaction Features The Sponsor will acquire and intends to retain an eligible horizontal interest consisting of the Class B-1, B-2, B-3 and Class XS Notes to satisfy the US credit risk-retention requirements. The required credit risk must be held until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any HELOC. However, the Servicer is required to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable. On any payment date on or after three years after the closing date or the first payment date when the unpaid principal balance falls to or below 30% of the Cut-Off Date UPB, the Controlling Holder, may exercise a call and purchase all of the outstanding Notes at the redemption price (Optional Redemption) described in the transaction documents. The credit ratings reflect transactional strengths that include the following: -- Robust equity and prime and near-prime credit quality, -- Certain HELOC attributes, -- Current loan status, and -- Satisfactory third-party due-diligence sample size and review. The transaction also includes the following challenges: -- Holder of the Class G Certificates may fail to reimburse the servicers for draws -- Representations and warranties standard, -- No servicer advances of delinquent principal and interest, and -- Limited third-party due-diligence valuation review Morningstar DBRS' credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the rated notes are the Interest Payment Amount, Interest Carryforward Amount, and the Note Amount. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, in this transaction, Morningstar DBRS' credit ratings do not address the payment of any Cap Carryover Amounts. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. OBX 2026-J2: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ---------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 67 classes of residential mortgage-backed securities (RMBS) to be issued by OBX 2026-J2 Trust, and sponsored by Onslow Bay Financial LLC. The securities are backed by a pool of prime jumbo (91.0% by balance) and GSE-eligible (9.0% by balance) residential mortgages that OBX purchased from Bank of America, National Association (BANA), who in turn aggregated them from multiple originators and also from aggregators MAXEX Clearing LLC (MAXEX; 0.3% by loan balance) and Onslow Bay Financial LLC (Onslow Bay; 5.7%). NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) and United Wholesale Mortgage, LLC are the servicers of the pool. The complete rating actions are as follows: Issuer: OBX 2026-J2 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-F, Assigned (P)Aaa (sf) Cl. A-F-X*, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-X*, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aa1 (sf) Cl. A-X-15*, Assigned (P)Aa1 (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aaa (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aaa (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aa1 (sf) Cl. A-X-25*, Assigned (P)Aaa (sf) Cl. A-X-26*, Assigned (P)Aaa (sf) Cl. A-X-27*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-X-1*, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-X-2*, Assigned (P)A3 (sf) Cl. B-2A, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-1A Loans, Assigned (P)Aaa (sf) Cl. A-2A Loans, Assigned (P)Aaa (sf) Cl. A-3A Loans, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.32%, in a baseline scenario-median is 0.15% and reaches 3.96% 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. OCP CLO 2022-25: S&P Assigns BB- (sf) Rating on Class E-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R2, B-R2, C-R2, D1-R2, D2-R2, and E-R debt from OCP CLO 2022-25 Ltd./OCP CLO 2022-25 LLC, a CLO managed by Onex Credit Partners LLC, a subsidiary of Onex Corp., that was originally issued in September 2022 and underwent a refinancing in July 2024. At the same time, S&P withdrew its ratings on the previous class A-1R, A-2R, B-1R, B-2R, C-R, D-1R, D-2R, and E-R debt following payment in full on the July 20, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The replacement class A-R2, B-R2, C-R2, D1-R2, D2-R2, and E-R debt was issued at a lower spread over three-month term SOFR than the previous debt. -- The replacement class A-R2 debt was issued at a floating spread, replacing the previous class A-1R and A-2R debt. -- The stated maturity, reinvestment period, and non-call period were extended by 2 years. -- An additional $9.50 in million preference shares were issued. 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 OCP CLO 2022-25 Ltd./OCP CLO 2022-25 LLC Class A-R2, $236.25 million: AAA (sf) Class B-R2, $48.75 million: AA (sf) Class C-R2 (deferrable), $22.50 million: A (sf) Class D1-R2 (deferrable), $22.50 million: BBB- (sf) Class D2-R2 (deferrable), $3.75 million: BBB- (sf) Class E-R2 (deferrable), $11.25 million: BB- (sf) Ratings Withdrawn OCP CLO 2022-25 Ltd./OCP CLO 2022-25 LLC Class A-1R to NR from 'AAA (sf)' Class A-2R to NR from 'AAA (sf)' Class B-1R to NR from 'AA (sf)' Class B-2R to NR from 'AA (sf)' Class C-R (deferrable) to NR from 'A (sf)' Class D-1R (deferrable) to NR from 'BBB- (sf)' Class D-2R (deferrable) to NR from 'BBB- (sf)' Class E-R (deferrable) to NR from 'BB- (sf)' Other Debt OCP CLO 2022-25 Ltd./OCP CLO 2022-25 LLC Preference shares, $45.00 million: NR NR--Not rated. OCTANE RECEIVABLES 2026-RVM1: S&P Assigns (P)BB+ Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Octane Receivables Trust 2026-RVM1's asset-backed notes. The note issuance is an ABS securitization backed by consumer recreational vehicles and marine receivables. The preliminary ratings are based on information as of July 23, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 52.61%, 40.77%, 31.30%, 22.30%, and 19.20% in credit support, including excess spread, for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 4.00x, 3.20x, 2.55x, 1.85x, and 1.58x coverage of S&P's stressed net loss levels for the class A, B, C, D, and E notes, respectively. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its preliminary ratings will be within the credit stability limits specified in section A.4 of the Appendix in "S&P Global Ratings Definitions," published Dec. 16, 2025. -- The collateral characteristics of the amortizing pool, which includes approximately 96.36% recreational vehicles and 3.64% marine receivables. -- The transaction's credit enhancement in the form of subordination, overcollateralization that builds to a target level of 10.00% of the current receivables balance (subject to a floor of 10.00% of the initial receivables balance), a nonamortizing reserve account, and excess spread. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Octane Receivables Trust 2026-RVM1 Class A, $191.16 million: AAA (sf) Class B, $39.42 million: AA (sf) Class C, $38.16 million: A (sf) Class D, $43.30 million: BBB (sf) Class E, $25.20 million: BB+ (sf) OHA CREDIT XII: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to OHA Credit Partners XII, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- OHA Credit Partners XII Ltd. A-1-R2 67109YAY0 LT PIFsf Paid In Full AAAsf A-1-R3 LT AAAsf New Rating A-2-R2 67109YBA1 LT PIFsf Paid In Full AAAsf A-2-R3 LT AAAsf New Rating B-R3 LT AAsf New Rating C-R3 LT Asf New Rating D-1-R3 LT BBB-sf New Rating D-2-R3 LT BBB-sf New Rating E-R3 LT BB-sf New Rating Transaction Summary OHA Credit Partners XII, 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 $600 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.1% first lien senior secured loans and has a weighted average recovery assumption of 73.8%. 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 (Positive): 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. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management (Neutral): 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 (Positive): 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 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1-R3, between 'BBB+sf' and 'AA+sf' for class A-2-R3, between 'BB+sf' and 'A+sf' for class B-R3, between 'Bsf' and 'A-sf' 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 'BB-sf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-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, 'A+sf' 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 OHA Credit Partners XII, 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. PMT LOAN 2026-CHF6: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 43 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2026-CNF6 and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages aggregated by PennyMac Corp., originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-CNF6 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aa1 (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-23X*, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-24X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X10*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X16*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X20*, Definitive Rating Assigned Aa1 (sf) Cl. A-X22*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A Loans assigned on July 06, 2026, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.89%, in a baseline scenario-median is 0.56% and reaches 8.59% 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. PROVIDENT FUNDING 2026-3: Moody's Assigns B2 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 38 classes of residential mortgage-backed securities (RMBS) issued by Provident Funding Mortgage Trust 2026-3, and sponsored by Provident Funding Associates, L.P. and Colorado Federal Savings Bank. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages originated and serviced by Provident Funding Associates, L.P. The complete rating actions are as follows: Issuer: Provident Funding Mortgage Trust 2026-3 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.29%, in a baseline scenario-median is 0.12% and reaches 4.29% 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. PRPM 2026-R1: Fitch Assigns 'B-sf' Final Rating on Class B2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by PRPM 2026-R1 Trust (PRPM 2026-R1). Entity/Debt Rating Prior ----------- ------ ----- PRPM 2026-R1 A1FCF LT AAAsf New Rating AAA(EXP)sf A1LCF LT AAAsf New Rating AAA(EXP)sf A1A LT WDsf Withdrawn AAA(EXP)sf A1B LT WDsf Withdrawn AAA(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1A LT BBsf New Rating B1B LT BB-sf New Rating B1 LT WDsf Withdrawn BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf P LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The PRPM 2026-R1 residential mortgage-backed notes were supported by 1,548 nonqualified mortgage (NQM)/nonprime loans with a $602.15 million balance as of the cutoff date. All loans in the pool were seasoned for more than 24 months and were included in prior PRPM securitizations. PRPM 2026-R1 had a mark-to-market (MtM) combined loan-to-value ratio (cLTV) of 70.2%. In addition, 96.6% of the loans are current while the remaining 3.4% of the pool are currently delinquent. Of the pool, 91.6% were underwritten to less-than-full documentation. In addition, 7.6% were underwritten to a 12- or 24-month bank statement program, and 83.2% were debt service coverage ratio (DSCR) or DSCR no-ratio products. Following the publication of the presale and expected ratings, an updated structure was provided reflecting updated balances and the split of the prior B-1 class into respective B-1A and B-1B classes, and the removal of the prior A-1A and A-1B classes. Additionally, interest on classes B-1A, B-1B and B-2 can also be diverted to pay the cap carryover amounts if greater than zero, in addition to the unrated B-3 class. Fitch re-analyzed the structure and confirmed no changes to the expected ratings. The new B-1A and B-1B classes had final ratings of 'BBsf'/Stable and 'BB-sf'/Stable respectively. The prior A-1A, A-1B, and B-1 classes are cancelled and no longer funded; Fitch has withdrawn the expected ratings and Outlooks on all three classes. 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 analyzed loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. PRPM 2026-R1 had a final probability of default (PD) of 48.26% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress was 39.36%. The expected loss in the 'AAAsf' rating stress was 19.00%. Structural Analysis: The mortgage cash flow and loss allocation in PRPM 2026-R1 were based on a modified sequential-payment structure whereby principal was distributed pro rata among the senior notes (A-1FCF/A-1LCF, A-2 and A-3 classes) while excluding subordinate bonds from principal until all senior classes were reduced to zero. To the extent either a cumulative loss trigger event or a delinquency trigger event occurred in a given period, principal was distributed sequentially to the A-1 classes, and then sequentially to the A-2 and A-3 notes until they were reduced to zero. Fitch analyzed 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 applied its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. Operational Risk Analysis: Fitch considered originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that had a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applied a 5bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm that had a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements as described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on transaction performance. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. PRPM 2026-R1 was fully de-linked and served as a bankruptcy remote special-purpose vehicle (SPV). All transaction parties and triggers aligned with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations did not apply to PRPM 2026-R1; as such, Fitch was comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 37.8%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all 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. CRITERIA VARIATION PRPM 2026-R1 included a criteria variation due to the cross-collateralization concentration of 15.3% being above Fitch's criteria threshold of 10%. Fitch was comfortable with the increased concentration due to mitigating factors such as the seasoning of the loans, performance history and low MTM LTV. Fitch also applied additional PD adjustment to account for increased concentration above the criteria threshold. 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, Canopy, Clayton, Consolidated Analytics, Covius, Evolve, Infinity, Maxwell, Mission, Wipro and Selene. The due diligence was performed at the respective prior issuance and was not updated with the exception of updated property valuations. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and have a final grade of either 'A' or 'B'. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RATE MORTGAGE 2026-J2: DBRS Finalizes 'B(low)' Rating on B-5 Notes ------------------------------------------------------------------ DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the Mortgage-Backed Notes, Series 2026-J2 (the Notes) issued by RATE Mortgage Trust 2026-J2 (RATE 2026-J2, or the Trust) as follows: -- $153.1 million Class A-1 at AAA (sf) -- $153.1 million Class A-2 at AAA (sf) -- $153.1 million Class A-3 at AAA (sf) -- $114.9 million Class A-4 at AAA (sf) -- $114.9 million Class A-5 at AAA (sf) -- $114.9 million Class A-6 at AAA (sf) -- $91.9 million Class A-7 at AAA (sf) -- $91.9 million Class A-8 at AAA (sf) -- $91.9 million Class A-9 at AAA (sf) -- $23.0 million Class A-10 at AAA (sf) -- $23.0 million Class A-11 at AAA (sf) -- $23.0 million Class A-12 at AAA (sf) -- $61.3 million Class A-13 at AAA (sf) -- $61.3 million Class A-14 at AAA (sf) -- $61.3 million Class A-15 at AAA (sf) -- $38.3 million Class A-16 at AAA (sf) -- $38.3 million Class A-17 at AAA (sf) -- $38.3 million Class A-18 at AAA (sf) -- $40.7 million Class A-19 at AAA (sf) -- $40.7 million Class A-20 at AAA (sf) -- $40.7 million Class A-21 at AAA (sf) -- $193.9 million Class A-22 at AAA (sf) -- $193.9 million Class A-23 at AAA (sf) -- $193.9 million Class A-24 at AAA (sf) -- $193.9 million Class A-25 at AAA (sf) -- $40.7 million Class A-26 at AAA (sf) -- $153.1 million Class A-27 at AAA (sf) -- $153.1 million Class A-29 at AAA (sf) -- $153.1 million Class A-30 at AAA (sf) -- $347.0 million Class A-X-1 at AAA (sf) -- $153.1 million Class A-X-2 at AAA (sf) -- $153.1 million Class A-X-3 at AAA (sf) -- $153.1 million Class A-X-4 at AAA (sf) -- $114.9 million Class A-X-5 at AAA (sf) -- $114.9 million Class A-X-6 at AAA (sf) -- $114.9 million Class A-X-7 at AAA (sf) -- $91.9 million Class A-X-8 at AAA (sf) -- $91.9 million Class A-X-9 at AAA (sf) -- $91.9 million Class A-X-10 at AAA (sf) -- $23.0 million Class A-X-11 at AAA (sf) -- $23.0 million Class A-X-12 at AAA (sf) -- $23.0 million Class A-X-13 at AAA (sf) -- $61.3 million Class A-X-14 at AAA (sf) -- $61.3 million Class A-X-15 at AAA (sf) -- $61.3 million Class A-X-16 at AAA (sf) -- $38.3 million Class A-X-17 at AAA (sf) -- $38.3 million Class A-X-18 at AAA (sf) -- $38.3 million Class A-X-19 at AAA (sf) -- $40.7 million Class A-X-20 at AAA (sf) -- $40.7 million Class A-X-21 at AAA (sf) -- $40.7 million Class A-X-22 at AAA (sf) -- $193.9 million Class A-X-23 at AAA (sf) -- $193.9 million Class A-X-24 at AAA (sf) -- $193.9 million Class A-X-25 at AAA (sf) -- $347.0 million Class A-X-26 at AAA (sf) -- $153.1 million Class A-X-27 at AAA (sf) -- $40.7 million Class A-X-28 at AAA (sf) -- $153.1 million Class A-X-29 at AAA (sf) -- $153.1 million Class A-X-30 at AAA (sf) -- $6.1 million Class B-1 at AA (low) (sf) -- $6.1 million Class B-1A at AA (low) (sf) -- $6.1 million Class B-X-1 at AA (low) (sf) -- $2.5 million Class B-2 at A (sf) -- $2.5 million Class B-2A at A (sf) -- $2.5 million Class B-X-2 at A (sf) -- $1.8 million Class B-3 at BBB (sf) -- $1.4 million Class B-4 at BB (sf) -- $721.0 thousand Class B-5 at B (low) (sf) Morningstar DBRS discontinued and withdrew its credit rating on Class A-1L, A-2L, and A-3L Loans initially contemplated in the offering documents, as it was not issued at closing. Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22, A-X-23, A-X-24, A-X-25, A-X-26, A-X-27, A-X-28, A-X-29, A-X-30, B-X-1, and B-X-2 are interest-only (IO) notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-26, A-29, A-30, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-11, A-X-14, A-X-15, A-X-16, A-X-17, A-X-20, A-X-23, A-X-24, A-X-25, A-X-26, A-X-29, A-X-30, B-1, B-2, A-1L Loans, A-2L Loans, and A-3L Loans are exchangeable classes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-27, A-29, and A-30 are super senior tranches. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, A-21, and A-26) with respect to loss allocation. The AAA (sf) credit ratings on the Certificates reflect 3.70% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (sf), BBB (sf), BB (sf), and B (low) (sf) credit ratings reflect 2.00%, 1.30%, 0.80%, 0.40%, and 0.20% of credit enhancement, respectively. Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction. The trust is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages to be funded by the issuance of the Mortgage-Backed Notes (the Notes). The Notes are backed by 290 loans with a total principal balance of $360,346,267 as of the Cut-Off Date (June 1, 2026). Guaranteed Rate, Inc. (Guaranteed Rate or GRI), as the Sponsor, began issuing prime jumbo securitizations from its RATE shelf in early 2021 and this transaction represents the 14th prime jumbo RATE deal. The pool consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years and a weighted-average (WA) loan age of two months. All of the mortgage loans were originated by Guaranteed Rate. Guaranteed Rate is also the Servicing Administrator and Sponsor of the transaction. The loans will be serviced by ServiceMac, LLC (ServiceMac). Computershare Trust Company, N.A. (Computershare Trust Company; rated BBB (high) with a Stable trend) will act as the Master Servicer, Loan Agent, Paying Agent, Note Registrar, and Certificate Registrar. Deutsche Bank National Trust Company will act as the Custodian. Wilmington Savings Fund Society, FSB will serve as the Delaware Trustee and Collateral Trustee. Similar to the prior RATE securitizations, the Servicing Administrator will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent or such P&I advances are deemed to be unrecoverable by the Servicer or the Master Servicer (Stop-Advance Loan). The Servicing Administrator will also fund advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The interest entitlements for each class in this transaction are reduced reverse sequentially by the delinquent interest that would have accrued on the Stop-Advance Loans. In other words, investors are not entitled to any interest on such severely delinquent mortgages, unless such interest amounts are recovered. The delinquent interest recovery amounts, if any, will be distributed sequentially to the P&I notes. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 to 120 days delinquent under the Mortgage Bankers Association (MBA) method at a price equal to par plus interest and unreimbursed servicing advance amounts, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The provisional credit ratings reflect transactional strength that include the following: -- High-quality credit attributes; -- Well-qualified borrowers; -- Satisfactory third-party due diligence review; -- Structural enhancements; and -- 100% current loans. The transaction also includes the following challenges: -- Representations and warranties framework; -- Limited advances of delinquent P&I; and -- Servicing administrator's financial capabilities. The full description of the strengths, challenges, and mitigating factors is detailed in the related report. Morningstar DBRS' credit ratings on the Certificates and Loans address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Interest Payment Amount, any Interest Shortfall, and the Debt Amount (for non-IO classes). Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt credit rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner. Notes: All figures are in U.S. dollars unless otherwise noted. READYCAP LENDING 2026-4: DBRS Gives (P)BB Rating on Cl. C Notes --------------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes (collectively, the Notes) to be issued by ReadyCap Lending Small Business Loan Trust 2026-4 (RCLT 2026-4): -- $111,676,000 Class A Notes at (P) A (low) (sf) -- $21,592,000 Class B Notes at (P) BBB (low) (sf) -- $11,943,000 Class C Notes at (P) BB (sf) CREDIT RATING RATIONALE/DESCRIPTION The provisional credit ratings are based on Morningstar DBRS' review of the following analytical considerations: (1) The transaction's capital structure and available credit enhancement. Overcollateralization, Note subordination, cash held in the Reserve Account, and available excess spread, as well as other structural provisions create credit enhancement levels that are sufficient to support Morningstar DBRS' stressed cumulative net loss (CNL) hurdle rate assumptions of 17.13%, 13.65%, and 10.63%, respectively, for each of the (P) A (low) (sf), (P) BBB (low) (sf), and (P) BB (sf) credit rating categories. -- The credit ratings on the Notes address the timely payment of interest and the ultimate repayment of principal by the Maturity Date. (2) The transaction parties' capabilities with regard to originating, underwriting, and servicing of SBA 7(a) loans. -- Morningstar DBRS performed an operational risk review of ReadyCap and found it an acceptable originator and servicer for the collateral. -- In addition, U.S. Bank National Association, which is an experienced servicer of commercial real estate (CRE)-backed loans, is the Backup Servicer for the transaction. The U.S. Small Business Administration (SBA) may assume servicing of any or all of the SBA 7(a) Loans in accordance with the SBA Rules and Regulations. Additionally, it is possible that a successor servicer could be an entity other than the successor servicer; however, it is expected that the loans will be serviced in accordance with the SBA Rules and Regulations. (3) A review by Morningstar DBRS of ReadyCap's historical collateral performance since ReadyCap began originating. (4) A review of the initial collateral pool as of the Cut-off Date, which is 100% backed by a first lien on CRE and also has strong overall credit characteristics, notably with a weighted-average (WA) obligor FICO score of 745. -- Approximately 46.8% of the businesses are operating in two industries: Hotels (except Casino Hotels) and Motels (25.1%); Gasoline Stations with Convenience Stores (21.7%). -- Collateral securing the loans include CRE, machinery & equipment, residential real estate, land, and business assets. (5) ReadyCap's underwriting process, which evaluates the small business borrower's ability to repay the loan primarily from the business cash flows of normal operations (recurring income sources) to service both its existing debt and the requested loan. The WA debt service coverage ratio for loans in the initial pool is 2.26 times (x). -- None of the loans were originated pursuant to exceptions to ReadyCap's or the SBA's underwriting guidelines. (6) A review of the collateral pool's industry concentrations against historical performance of SBA data for significant industry concentrations as well as aggregate vintage performance. (7) The legal structure and expected legal opinions that will address the true sale of the receivables, the nonconsolidation of the assets of the Issuer, that the Indenture Trustee has a valid first-priority security interest in the assets, and consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance." (8) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update," published on March 27, 2026. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Morningstar DBRS' credit ratings on the Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Class Principal Amount and Current Interest and Carryforward Interest (other than interest on such Carryforward Interest) on the Notes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the associated contractual payment obligation that is not a financial obligation for each of the Notes is the Net WAC Rate Carryover Amount, the Interest on any Carryforward Interest amount, the Applied Loss Amount, Unpaid Applied Loss Amount, and the Minimum Price. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. REALT 2021-1: Fitch Hikes Rating on Class G Certs to 'BB-sf' ------------------------------------------------------------ Fitch Ratings has affirmed all classes of Real Estate Asset Liquidity Trust (REALT) 2020-1 commercial mortgage pass-through certificates, series 2020-1 (REAL-T 2020-1). The Rating Outlooks for affirmed classes A-1, A-2, B, and C remain Stable. The Outlooks for affirmed classes D-1 and D-2 remain Negative. All currencies are denominated in Canadian dollars (CAD). Fitch has also upgraded seven and affirmed two classes of Real Estate Asset Liquidity Trust 2021-1 commercial mortgage pass-through certificates, series 2021-1 (REAL-T 2021-1). Following the upgrades, classes C, D-1, and D-2 were assigned Positive Outlooks. Following the upgrades, classes B, E, F and G were assigned Stable outlooks. The Outlooks for classes A-1, and A-2 remain Stable. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- REAL-T 2021-1 A-1 75585RRZ0 LT AAAsf Affirmed AAAsf A-2 75585RSB2 LT AAAsf Affirmed AAAsf B 75585RSD8 LT AAAsf Upgrade AAsf C 75585RSF3 LT AAsf Upgrade Asf D-1 75585RSH9 LT A+sf Upgrade BBBsf D-2 LT A+sf Upgrade BBBsf E LT Asf Upgrade BBB-sf F LT BBBsf Upgrade BBsf G LT BB-sf Upgrade Bsf REAL-T 2020-1 A-1 75585RRM9 LT AAAsf Affirmed AAAsf A-2 75585RRN7 LT AAAsf Affirmed AAAsf B 75585RRQ0 LT AAsf Affirmed AAsf C 75585RRR8 LT Asf Affirmed Asf D-1 75585RRS6 LT BBBsf Affirmed BBBsf D-2 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses are 5.7% in REAL-T 2020-1, an increase from 3.6% at Fitch's prior rating action and 1.6% in REAL-T 2021-1, a 0.4% decrease from the prior rating action. Fitch Loans of Concerns (FLOCs) comprise four loans (20.2% of the pool) in REAL-T 2020-1, including one specially serviced loan (5.2%); and two loans (2.4%) in REAL-T 2021-1, with no loans in special servicing. The affirmations in REAL-T 2020-1 reflect generally stable performance with increased credit enhancement (CE) from payoff of maturing loans and scheduled amortization. The aggregate pool balance has decreased by 45.1% since issuance. To account for outdated reported financials, Fitch applied an additional 10% stress to the reported net operating income (NOI) of any loan with dated financials in REAL-T 2020-1. This adjustment contributed to the affirmations. The Negative Outlooks for classes D-1 and D-2 in REAL-T 2020-1 reflect concerns with underperforming office and senior living multifamily FLOCs (19.2% of the pool) and refinance concerns with loans approaching maturity. These include O'Shaughnessy Tower (7.7% of the pool), Rossignol Drive Retirement Residence (6.3%), and Regency of Lakefield Retirement (5.2%), all of which Fitch assigned higher probabilities of default. Downgrades are possible if more loans default at maturity, if performance of the FLOCs does not stabilize and leads to higher-than-expected losses, or if loans expected to refinance default on or before their maturity dates. The upgrades in REAL-T 2021-1 reflect significant CE improvement from loan payoffs and continued amortization, with the pool balance declining 44.6% since Fitch's prior review. Pay-offs were primarily the result of loan prepayments, totaling $195.93 million since the last rating action. The prepayments also included better-than-expected recoveries from FLOCs, including McKeown Commons North Bay. At the prior rating action, McKeown Commons North Bay was the largest loan and the main loss driver. Overall pool performance also improved, including at Tamarack Gardens Multifamily Edmonton, which was the third-largest loss driver at the prior rating action. The upgrades in REAL-T 2021-1 also incorporate an additional pool-wide 25% stress on the loans' Fitch net cash flow (NCF). Fitch applied this stress to test the viability of the upgrades and Positive Outlooks as well as to account for outdated financial reporting. The Positive Outlooks for classes C, D-1, and D-2 in REAL-T 2021-1 reflect Fitch's expectation that further upgrades are likely with stable performance and increased CE. Largest Contributors to Loss Expectations: The largest contributor to overall loss expectations and the largest increase in loss since the prior rating action in the REAL-T 2020-1 transaction is the O'Shaughnessy Tower loan (7.7% of the pool), which is secured by a 144,362-sf office property in Montreal, QC. The largest tenants include Securitas (9.5% of the NRA) and Clinique Medic-Elle (9.0%). Performance at the collateral has declined with May 2026 occupancy falling to 55.8% from 71% in April 2023, and it remains down from 78% at YE 2020 and 94% at issuance. Due to the deterioration in occupancy, YE 2025 NOI has fallen 44% year-over-year and remains 75.1% below issuance. Cash flow has remained insufficient to cover debt service since the onset of the pandemic. As of YE 2025, the servicer-reported NOI DSCR fell to 0.35x from 0.62x at YE 2024 and 0.80x at YE 2023. The loan is 50% recourse to the sponsor, 1980 Sherbrooke West Properties Inc. and Thomas A. Marmaros and has remained current throughout the life of the loan. Fitch's 'Bsf' rating case loss of 36.2% (prior to concentration adjustments) reflects a 9.50% cap rate on YE 2025 NOI and factors an increased probability of default due to the loan's heightened potential for term or maturity default. The next largest FLOC and second largest contributor to loss in the REAL-T 2020-1 transaction is the Regency of Lakefield Retirement (5.2%), which is secured by a 73-unit independent living retirement residence located in Lakefield, ON. The unit mix consists of 31 studios, 28 one-bedroom units, and 14 one-bedroom/den units. Per the March 2025 rent roll, the collateral was 60.3% occupied, a decline from 70.0% in March 2022. Current occupancy remains well below historical figures of 87.7% in March 2021 and 92.2% at issuance. The most recent servicer reported TTM March 2025 NOI is approximately 70.6% below NOI at issuance and reported a DSCR of 0.43x. The loan is full recourse to the sponsors: The Regency of Lakefield Inc., R. Michael Steplock, Christopher Geddes and Edward Holko. The loan was scheduled to mature in September 2024. However, the borrower was granted multiple extensions to allow time to close on a refinancing. According to the latest servicer update, the borrower has executed a purchase & sale agreement (PSA) and is seeking a three-month forbearance period. Fitch's 'Bsf' rating case loss of 19.1% (prior to concentration adjustments) reflects a 9.0% cap rate on TTM March 2025 NOI and factors an increased probability of default to account for the loan's heightened default concerns. The loan is 60-days delinquent. The next largest contributor to loss expectations in the REAL-T 2020-1 transaction is the Rossignol Drive Retirement Residence (6.3%), which is secured by a 118-unit senior housing residence in Ottawa, ON. As of YE 2024, occupancy has declined to 64.4% from 75.4% at YE 2022 and remains below 78% at YE 2021 and 90.8% at issuance. Due to the occupancy declines, NOI DSCR has remained below 1.00x since YE 2021, finishing at 0.67x as of the YE 2024 reporting periods. The loan is full recourse to the sponsor, David Choo. Fitch's 'Bsf' rating case loss expectations of 13.1% (prior to concentration adjustments) reflects a 9.0% cap rate on YE 2024 NOI and factors an increased probability of default due to the loan's heightened potential for term default. In the REAL-T 2021-1 transaction, the largest contributor to overall loss expectations since the prior rating action is the Shediac Mixed Use loan (1.8%), which is secured by a 68,240-sf mixed-use property located in Shediac, New Brunswick. Occupancy declined to 77.6% as of YE 2024, from 99% at YE 2021 and 90.8% at issuance and remains at 83.4% as of YE 2025. Due to the decline in occupancy, NOI DSCR has hovered around a 1:1 coverage since YE 2023, finishing at 1.03x as of the YE 2025 reporting period. The loan is full recourse to the sponsors, Pierre Lepage and Ghislain Noel. The loan was modified in October 2025, extending its maturity to October 2026 and increasing the interest rate from 4.2% to 5.585%. Fitch's 'Bsf' rating case loss expectations of 10.9% (prior to concentration adjustments) reflects a 9.0% cap rate on YE 2025 NOI and incorporates an increased probability of default due to the loan's impending maturity. Canadian Loan Attributes: The ratings reflect strong historical Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes, such as short amortization schedules, recourse to the borrower and additional guarantors on many loans. There are 23 loans (70.4% of the pool) and 37 loans (79.8% of the pool) that have full or partial recourse to the sponsor in the REAL-T 2020-1 and REAL-T 2021-1 transactions, respectively. Improving Credit Enhancement (CE): As of the June 2026 distribution date, the pool balances for REAL-T 2020-1 and REAL-T 2021-1 have been reduced by 45.1% and 53.8%, respectively. There are no realized losses or cumulative interest shortfalls to date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not expected due to increasing CE and expected paydown from loan repayments but may occur should deal level losses increase significantly and/or interest shortfalls occur or are expected to affect these classes. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly and/or larger FLOCs incur outsized losses. Downgrades to 'BBBsf' and 'BBsf' category rated classes could occur with continued performance declines on the FLOCs, including O'Shaughnessy Tower, Rossignol Drive Retirement Residence, and Regency of Lakefield Retirement in the REAL-T 2020-1 transaction or the Shediac Mixed Use loan in the REAL-T 2021-1 transaction. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category rated classes are expected with continued amortization and/or defeasance and stable performance of loans in the pool. Upgrades to the 'BBBsf' and 'BBsf' category rated classes are possible with significantly increased CE resulting from paydown of amortizing loans, refinance of loans coupled with stable-to-improved pool-level loss expectations and improved performance on the aforementioned 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. REGATTA XI: Fitch Affirms 'B-sf' Rating on Class F-R Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta XI Funding Ltd.'s refinancing notes classes X-R2, A-R2, B-R2, C-R2, and D-1-R2. Fitch has also affirmed the ratings for classes D-2-R, E-R, and F-R. Entity/Debt Rating Prior ----------- ------ ----- Regatta XI Funding Ltd. X 75887XAL1 LT PIFsf Paid In Full AAAsf X-R2 75887XAY3 LT AAAsf New Rating A-R 75887XAN7 LT PIFsf Paid In Full AAAsf A-R2 75887XBA4 LT AAAsf New Rating B-R 75887XAQ0 LT PIFsf Paid In Full AAsf B-R2 75887XBC0 LT AAsf New Rating C-R 75887XAS6 LT PIFsf Paid In Full Asf C-R2 75887XBE6 LT Asf New Rating D-1-R 75887XAU1 LT PIFsf Paid In Full BBB-sf D-1-R2 75887XBG1 LT BBB-sf New Rating D-2-R 75887XAW7 LT BBB-sf Affirmed BBB-sf E-R 75887YAL9 LT BB-sf Affirmed BB-sf F-R 75887YAN5 LT B-sf Affirmed B-sf Transaction Summary Regatta XI Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Napier Park Global Capital (US) LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $445 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 22.99, 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 97.18% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.26% 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 11.5% 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 three-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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 second 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 July 17, 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 490 assets from 436 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 $445 million. As of the latest trustee report prior to the refinance date, the transaction was not passing its Minimum Fixed Coupon Test. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B+'/'B'. Fitch has an explicit rating, credit opinion or private rating for 43.1% of the current portfolio par balance; ratings for 56.6% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 0.3% 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: the three largest at 2.5% each and the next two at 2.0% each, for an aggregate of 11.5%; - Largest three industries: 18.0%, 16.0%, and 10.0%, respectively; - Assumed risk horizon: 6.00 years; - Minimum weighted average spread of 3.00%; - Minimum weighted average recovery rate of 64.60%; - Maximum weighted average rating factor of 24.00; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 6.50%; - Long-dated obligations: 1.00% The transaction will exit its reinvestment period on July 17, 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 X: 'AAAsf' / Default 40.80% / Recovery 39.22% / Cushion 59.20% - Class A-R2: 'AAAsf' / Default 40.80% / Recovery 39.22% / Cushion 15.90% - Class B-R2: 'AAsf' / Default 38.00% / Recovery 48.68% / Cushion 14.10% - Class C-R2: 'Asf' / Default 33.60% / Recovery 58.63% / Cushion 17.80% - Class D-1-R2: 'BBB-sf' / Default 25.70% / Recovery 68.48% / Cushion 21.00% - Class D-2-R: 'BBB-sf' / Default 25.70% / Recovery 68.48% / Cushion 16.50% - Class E-R: 'BB-sf' / Default 21.50% / Recovery 73.49% / Cushion 11.50% - Class F-R: 'B-sf' / Default 17.10% / Recovery 78.36% / Cushion 11.90% Fitch Stress Portfolio (FSP) Model Outputs: - Class X: 'AAAsf' / Default 48.20% / Recovery 34.60% / Cushion 51.80% - Class A-R2: 'AAAsf' / Default 48.20% / Recovery 34.60% / Cushion 5.00% - Class B-R2: 'AAsf' / Default 45.10% / Recovery 39.60% / Cushion 0.00% - Class C-R2: 'Asf' / Default 40.20% / Recovery 49.60% / Cushion 4.10% - Class D-1-R2: 'BBB-sf' / Default 31.50% / Recovery 59.60% / Cushion 9.10% - Class D-2-R: 'BBB-sf' / Default 31.50% / Recovery 59.60% / Cushion 5.20% - Class E-R: 'BB-sf' / Default 26.30% / Recovery 64.60% / Cushion 2.00% - Class F-R: 'B-sf' / Default 21.20% / Recovery 69.60% / Cushion 2.40% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'Asf' and 'AAAsf' for class A-R2, between 'BBB-sf' and 'A+sf' for class B-R2, between 'BB-sf' and 'A-sf' for class C-R2, between less than 'B-sf' and 'BBB+sf' for class D-1-R2, between less than 'B-sf' and 'BBB-sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R and less than '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 X and class A-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AAsf' for class C-R2, 'A+sf' for class D-1-R2, 'A-sf' for class D-2-R, and 'BBB+sf' for class E-R and 'BB+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 Regatta XI Funding 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. RIN VIII LLC: Moody's Assigns Ba3 Rating to $10MM Class E-R Notes ----------------------------------------------------------------- Moody's Ratings has assigned ratings to six classes of CLO refinancing notes to be issued by RIN VIII LLC (the Issuer): US$320,000,000 Class A-1-R Floating Rate Senior Notes due 2037, Definitive Rating Assigned Aaa (sf) US$10,000,000 Class A-2-R Floating Rate Senior Notes due 2037, Definitive Rating Assigned Aaa (sf) US$50,000,000 Class B-R Floating Rate Senior Notes due 2037, Definitive Rating Assigned Aa1 (sf) US$30,000,000 Class C-R Deferrable Floating Rate Mezzanine Notes due 2037, Definitive Rating Assigned A2 (sf) US$30,000,000 Class D-R Deferrable Floating Rate Mezzanine Notes due 2037, Definitive Rating Assigned Baa3 (sf) US$10,000,000 Class E-R Deferrable Floating Rate Mezzanine Notes due 2037, Definitive Rating Assigned Ba3 (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 project finance collateralized loan obligations' (PF CLO) portfolio and structure. The Issuer is a managed cash flow PF CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured project finance and corporate infrastructure loans. At least 50.0% of the portfolio must consist of project finance infrastructure loans and eligible investments. The PF CLO permits up to 35% of the portfolio to be in project finance loans in the electricity (gas) contracted and merchant subsectors. At least 96.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 4.0% of the portfolio may consist of permitted debt securities (senior secured bond, senior secured note, second priority senior secured note and high-yield bond) and second lien loans. RREEF America L.L.C., a subsidiary of DWS Group GmbH & Co. KGaA (the Portfolio Advisor) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended three year reinvestment period. Thereafter, reinvestment in assets is not permitted after the reinvestment period. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extensions of the non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction applying the Monte Carlo simulation framework in Moody's CDOROM™, as described in the "Project Finance and Infrastructure Asset CLOs" rating methodology published in July 2024 and using a cash flow model which estimates expected loss on a CLO's tranche, as described in the "Collateralized Loan Obligations" rating methodology published in 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: Portfolio par: $500,000,000 Weighted Average Rating Factor (WARF) of Project Finance Loans: 1802 Weighted Average Rating Factor (WARF) of Corporate Infrastructure Loans: 3005 Weighted Average Spread (WAS): 2.53% Weighted Average Recovery Rate (WARR) of Project Finance Loans: 65.70% Weighted Average Recovery Rate (WARR) of Corporate Infrastructure Loans: 58.80% Weighted Average Life (WAL): 7.0 Permitted Debt Securities and Second Lien Loans: 4.0% Total Obligors: 70 Largest Obligor: 3.50% Largest 5 Obligors: 17.50% B2 Default Probability Rating Obligations: 17.0% B3 Default Probability Rating Obligations: 10.0% Project Finance Infrastructure Obligors: 50.0% Corporate Power Infrastructure Obligors: 12.8% Power Infrastructure Obligors: 43.75% Methodology Underlying the Rating Action: The methodologies used in these ratings were "Collateralized Loan Obligations" published in April 2026. Factors That Would Lead to an Upgrade or a Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Portfolio Advisor's investment decisions and management of the transaction will also affect the performance of the Rated Notes. RIPPLE NOTES: DBRS Confirms 'BBsf' Rating on Class C Notes ---------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Secured Notes) of Ripple Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, the Third Supplemental Indenture dated June 12, 2025, and the Fourth Supplemental Indenture dated December 30, 2025 entered into between Ripple Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes confirmed at BB (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, and the Class C Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Scheduled Reinvestment Period end date is July 25, 2027. The Stated Maturity is July 25, 2035. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Ripple Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of April 30, 2026, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There are no defaults in the portfolio to date. The report shows a failure of the Senior Secured Loans. Morningstar DBRS determined that the portfolio is comprised of 98.95% Senior Secured Loans ($70,527,546.57 out of $71,272,797.34 total assets), which exceeds the 95% minimum threshold. As a result, the Level I surveillance approach in the CLO Methodology was applied. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of 26North Direct Lending II LP. (6) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. The Coverage and Collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows: Coverage Tests: Class A Overcollateralization Ratio Test: Actual 142.62%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 127.80%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 121.48%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 173.73%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 142.99%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 128.08%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 52.86%; Threshold 65.00% Class B Advance Rate: Actual 60.99%; Threshold 75.00% Class C Advance Rate: Actual 65.06%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 26.95; Threshold 13.00 Maximum Morningstar DBRS Risk Score Test: Actual 28.98%; Threshold 40.00% Maximum Weighted Average Maturity Date Test: Actual 4.83; Threshold 5.50 Minimum WA Spread: Actual 5.44%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 60.20%; Threshold 59.038% Some particular strengths of the transaction are (1) the collateral quality, which consists primarily of senior-secured floating-rate middle market loans (Currently 98.95%); (2) the adequate diversification of the portfolio of Collateral Obligations (DScore of 26.95 vs a threshold of 13.00); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the weighted¿average (WA) credit quality of the underlying obligors is below investment grade; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. RWC COMMERCIAL 2026-1: DBRS Rates Class F Certs '(P)Bsf' -------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2026-1 (the Certificates) to be issued by RWC Commercial Mortgage 2026-1 Trust (RWC 2026-1): -- Class A at (P) AAA (sf) -- Class A-S at (P) AAA (sf) -- Class B at (P) AA (sf) -- Class C at (P) A (sf) -- Class D at (P) BBB (sf) -- Class E at (P) BB (sf) -- Class F at (P) B (sf) All trends are Stable. CREDIT RATING RATIONALE/DESCRIPTION The collateral for the RWC 2026-1 transaction consists of 54 fixed-rate loans secured by 54 multifamily properties, including 27 garden-style multifamily properties, 13 mid-rise apartment complexes, five townhouse-style properties, five multifamily properties with a retail component, and four low-rise apartment buildings. The loans have an aggregate cut-off date balance of $285.1 million and an average loan size of $5.3 million. The loans were originated between June 2025 and June 2026. All 54 loans have five-year loan terms and are full-term interest-only. Morningstar DBRS analyzed the pool to determine the provisional credit ratings, reflecting the long-term probability of default within the term and its liquidity at maturity. When the cut-off balances are measured against the Morningstar DBRS Net Cash Flow and their respective constants, the resulting Morningstar DBRS WA Debt Service Coverage Ratio (DSCR) is 1.16 times (x). Forty loans, representing 78.8% of the pool balance, exhibit a Morningstar DBRS DSCR less than or equal to 1.25x, which is typically the threshold that indicates a higher likelihood of midterm default. Additionally, five loans, representing 7.4% of the pool, exhibited a Morningstar Issuance DSCR of less than 1.00x. The deal exhibits a moderately high Morningstar DBRS Weighted-Average (WA) Issuance Loan-to-Value Ratio (LTV) and Morningstar DBRS WA Balloon LTV of 68.3%. Twenty-five loans, comprising 52.3% of the total pool, exhibit a Morningstar DBRS Issuance LTV higher than 67.6%, a threshold that typically correlates to an above-average default frequency. The transaction has a sequential-pay pass-through structure. On each distribution date, any available monthly excess cash flow (generated from the excess of the net WA coupon rate over the WA of the pass-through rates of the Class A, Class A-S, Class B, Class C, Class D, Class E, Class F, and Class G certificates) will first be used to cover any realized loss on the mortgage loans and reimburse any previously allocated realized losses on the certificates. Any remaining excess cash flow will be distributed to the Class G certificates. Morningstar DBRS' credit ratings on the Certificates address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Principal Distribution Amounts and/or Interest Distribution Amounts of the rated classes. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, Yield Maintenance Charges or Prepayment Premiums. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. All credit ratings are subject to surveillance, which could result in credit ratings being upgraded, downgraded, placed under review, confirmed, or discontinued by Morningstar DBRS. Notes: All figures are in U.S. dollars unless otherwise noted. SCG 2026-PALM: Moody's Assigns B2 Rating to Cl. F Certs ------------------------------------------------------- Moody's Ratings has assigned definitive ratings to seven classes of CMBS securities, issued by SCG 2026-PALM Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2026-PALM. 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 interest in the Palmer Dadeland ("Property"), a 844-unit Class A multifamily property located at 8215 and 8217 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 consider 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. SEQUOIA MORTGAGE 2026-MED2: Fitch Rates Class B2 Certs 'B(EXP)sf' ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to the residential mortgage-backed certificates to be issued by Sequoia Mortgage Trust 2026-MED2 (SEMT 2026-MED2). Entity/Debt Rating ----------- ------ SEMT 2026-MED2 A1 LT AAA(EXP)sf Expected Rating A1AF LT AAA(EXP)sf Expected Rating A1BF LT AAA(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1A1 LT AAA(EXP)sf Expected Rating A1B1 LT AAA(EXP)sf Expected Rating A1A2 LT AAA(EXP)sf Expected Rating A1B2 LT AAA(EXP)sf Expected Rating A1AX1 LT AAA(EXP)sf Expected Rating A1BX1 LT AAA(EXP)sf Expected Rating A1AX2 LT AAA(EXP)sf Expected Rating A1BX2 LT AAA(EXP)sf Expected Rating A1AX3 LT AAA(EXP)sf Expected Rating A1BX3 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A2X LT AA(EXP)sf Expected Rating M1 LT A(EXP)sf Expected Rating M1X LT A(EXP)sf Expected Rating M2 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 572 loans with a total balance of approximately $524.09 million as of the cutoff date. The pool consists of primarily new-origination, adjustable-rate mortgage loans backed by medical professionals and subsequently acquired by Redwood Residential Acquisition Corp. (RRAC) from CrossCountry Mortgage and various other originators. All loans were originated to Redwood's Sequoia Medical Professionals program or a substantially similar program and eligible borrowers include those who have the following professional designations: medical doctor (MD), doctor of osteopathy (DO), doctor of dental medicine or science (DMD/DDS), doctor of pharmacy (PharmD), doctor of veterinary medicine (DVM) or certified registered nurse anesthetist (CRNA), along with medical residents and fellows who are in enrolled in such programs and have an active employment contract. Distributions of principal and interest (P&I) and loss allocations are based on a sequential-pay structure. The prime borrowers in the pool exhibit strong credit profiles, with a weighted-average (WA) Fitch FICO of 755 and 35.9% debt-to-income (DTI) ratio. The borrowers have a significant amount of leverage, with a 97.7% mark-to-market combined LTV (cLTV). Overall, 100% of the pool loans are for primary residences. In addition, 100% of the loans were underwritten to full documentation. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-MED2 has a final probability of default (PD) of 22.70% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 52.88%. The expected loss in the 'AAAsf' rating stress is 12.01%. Structural Analysis: The mortgage cash flow and loss allocation are based on a sequential-pay structure, whereby interest and principal are paid pro rata amongst classes A-1A and A-1B (with classes A-1AX1 and A-1BX1 receiving their respective interest allocation), followed by classes A-2 to B-3 sequentially. Realized losses will be allocated in reverse-sequential order, beginning with class B-3. The A-1A, A-1B, A-2 and M-1 classes pay the NWAC minus a fixed amount, while featuring IO classes that pay the fixed difference. SEMT 2026-MED2 will feature the servicing administrator (RRAC), following initial reductions in the class A-IO-S strip and servicing administrator fees, obligated to advance delinquent P&I to the trust until deemed nonrecoverable for the servicing-released mortgage loans. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates. Fitch analyses the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. Due to the sequential structure and full advancing, the credit enhancement (CE) levels are comparable to Fitch's expected losses at each rating category. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0 % of the loans in the transaction. Fitch applies a 5-bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which have a final grade of either "A" or "B". Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SEMT 2026-MED2 to be fully de-linked and a bankruptcy remote special purpose vehicle. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-MED2, and therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area (MSA) level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.9% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either 'A' or 'B'. 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. SOUND POINT IV-R: Moody's Cuts Rating on $12MM Class F Notes to C ----------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Sound Point CLO IV-R, Ltd.: US$36M Class C Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Aug 14, 2025 Affirmed A1 (sf) US$30M Class E Junior Secured Deferrable Floating Rate Notes, Downgraded to Caa3 (sf); previously on Aug 14, 2025 Downgraded to Caa1 (sf) US$12M (Current outstanding amount US$16.0M) Class F Junior Secured Deferrable Floating Rate Notes, Downgraded to C (sf); previously on Aug 14, 2025 Affirmed Caa3 (sf) Moody's have also affirmed the ratings on the following notes: US$390M (Current outstanding amount US$72.6M) Class A Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 14, 2025 Affirmed Aaa (sf) US$66M Class B Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Aug 14, 2025 Affirmed Aaa (sf) US$30M Class D Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa3 (sf); previously on Aug 14, 2025 Affirmed Baa3 (sf) Sound Point CLO IV-R, Ltd. issued in April 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in April 2023. RATINGS RATIONALE The upgrade on the rating on the Class C notes is primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in August 2025. The downgrades to the ratings on the Class E and Class F notes are due to the deterioration in over-collateralisation ratios since the last rating action in August 2025. The affirmations on the ratings on the Class A, Class B, and Class D notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately USD112.8 million (28.9%) since the last rating action in August 2025 and USD317.4 million (81.2%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased on the upgraded notes. According to the trustee report dated June 2026[1] the Class C OC ratio is reported at 127.1% compared to 119.0% in July 2025[2]. The over-collateralisation ratios of the downgraded notes have deteriorated since the rating action in August 2025. According to the trustee report dated June 2026[1] the Class E OC ratio is reported at 94.6% compared to 98.4% in July 2025[2] and the Class F OC ratio (as calculated by Moody's from the corresponding trustee reports) stands at 88.5% in June 2026[1] compared to 94.6% in July 2025[2]. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD237.7m Defaulted Securities: USD4.9m Diversity Score: 47 Weighted Average Rating Factor (WARF): 3686 Weighted Average Life (WAL): 3.05 years Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.21% Weighted Average Recovery Rate (WARR): 44.66% Par haircut in OC tests and interest diversion test: 8.26% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. TIDAL NOTES: DBRS Confirms BBsf Rating on Class C Notes ------------------------------------------------------- DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (together, the Secured Notes) of Tidal Notes Issuer LLC pursuant to the Indenture dated as of July 28, 2023 (the Indenture), as amended by the First Supplemental Indenture dated as of July 25, 2024, the Second Supplemental Indenture dated as of December 20, 2024, the Third Supplemental Indenture dated June 12, 2025, and the Fourth Supplemental Indenture dated December 30, 2025 entered into between Tidal Notes Issuer LLC, as the Issuer and U.S. Bank Trust Company, National Association, as Trustee: -- Class A Notes confirmed at A (high) (sf) -- Class B Notes confirmed at BBB (sf) -- Class C Notes confirmed at BB (sf) The credit rating on the Class A Notes addresses the timely payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). The credit ratings on the Class B Notes, and the Class C Notes address the ultimate payment of interest (excluding any Defaulted Interest, as defined in the Indenture) and the ultimate return of principal on or before the Stated Maturity (as defined in the Indenture). CREDIT RATING RATIONALE/DESCRIPTION The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Scheduled Reinvestment Period end date is July 25, 2027. The Stated Maturity is July 25, 2035. The Secured Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Tidal Notes Issuer LLC is managed by 26North Direct Lending II LP, an affiliate of 26North Partners LP. Morningstar DBRS considers 26North Direct Lending II LP to be an acceptable middle-market corporate loan manager. Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of April 30, 2026, the transaction is in compliance with all Coverage Tests and Collateral Quality Tests. There are no defaults in the portfolio to date. The report shows a failure of the Senior Secured Loans. Morningstar DBRS determined that the portfolio is comprised of 98.95% Senior Secured Loans ($70,527,546.57 out of $71,272,797.34 total assets), which exceeds the 95% minimum threshold. As a result, the Level I surveillance approach in the CLO Methodology was applied. In its review, Morningstar DBRS considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) Morningstar DBRS' assessment of the origination, servicing, and CLO management capabilities of 26North Direct Lending II LP. (6) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS' Legal Criteria for U.S. Structured Finance methodology. The Coverage and Collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows: Coverage Tests: Class A Overcollateralization Ratio Test: Actual 142.62%; Threshold 130.00% Class B Overcollateralization Ratio Test: Actual 127.80%; Threshold 115.00% Class C Overcollateralization Ratio Test: Actual 121.48%; Threshold 113.00% Class A Interest Coverage Ratio Test: Actual 173.73%; Threshold 150.00% Class B Interest Coverage Ratio Test: Actual 142.99%; Threshold 130.00% Class C Interest Coverage Ratio Test: Actual 128.08%; Threshold 120.00% Advance Rate Tests: Class A Advance Rate: Actual 52.86%; Threshold 65.00% Class B Advance Rate: Actual 60.99%; Threshold 75.00% Class C Advance Rate: Actual 65.06%; Threshold 80.00% Collateral Quality Tests: Minimum Diversity Score Test: Actual 26.95; Threshold 13.00 Maximum Morningstar DBRS Risk Score Test: Actual 28.98%; Threshold 40.00% Maximum Weighted Average Maturity Date Test: Actual 4.83; Threshold 5.50 Minimum WA Spread: Actual 5.44%; Threshold 5.00% Minimum WA Coupon: Actual N/A; Threshold 7.75% Minimum Average Recovery Rate Test: Actual 60.20%; Threshold 59.038% Some particular strengths of the transaction are (1) the collateral quality, which consists primarily of senior-secured floating-rate middle market loans (Currently 98.95%); (2) the adequate diversification of the portfolio of Collateral Obligations (DScore of 26.95 vs a threshold of 13.00); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges that were identified: (1) the weighted-average (WA) credit quality of the underlying obligors is below investment grade; and (2) the underlying collateral portfolio may be insufficient to redeem the Secured Notes in an Event of Default. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in U.S. dollars unless otherwise noted. TRUPS FINANCIALS 2025-1: Moody's Ups Rating on Cl. D Notes from Ba1 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by TruPS Financials Note Securitization 2025-1: US$34,000,000 Class A-2N Senior Secured Floating Rate Notes due 2039, Upgraded to Aa1 (sf); previously on March 7, 2025 Definitive Rating Assigned Aa2 (sf) US$27,000,000 Class A-2F Senior Secured Fixed Rate Notes due 2039, Upgraded to Aa1 (sf); previously on March 7, 2025 Definitive Rating Assigned Aa2 (sf) US$13,250,000 Class B Mezzanine Deferrable Floating Rate Notes due 2039, Upgraded to Aa3 (sf); previously on March 7, 2025 Definitive Rating Assigned A2 (sf) US$19,000,000 Class C Mezzanine Deferrable Floating Rate Notes due 2039, Upgraded to A3 (sf); previously on March 7, 2025 Definitive Rating Assigned Baa2 (sf) US$17,000,000 Class D Mezzanine Deferrable Floating Rate Notes due 2039, Upgraded to Baa3 (sf); previously on March 7, 2025 Definitive Rating Assigned Ba1 (sf) TruPS Financials Note Securitization 2025-1, issued in March 2025, is a collateralized debt obligation (CDO) backed mainly by a portfolio of bank and insurance. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1 notes and the resulting increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio since July 2025. The Class A-1 notes have paid down by approximately 21.0% or $23.7 million since July 2025, using principal proceeds from the redemption of the underlying assets. Based on Moody's calculations, the OC ratios for the Class A-2N/A-2F, Class B, Class C and Class D notes have improved to 166.3%, 152.8%, 136.8% and 125.1%, respectively, from July 2025 levels of 157.2%, 146.1%, 132.6% and 122.5%, respectively. The Class A-1 notes will continue to benefit from the use of proceeds from redemptions of any assets in the collateral pool. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 916 from 1172 in March 2025. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par: $249 million Weighted average default probability: 7.17% (implying a WARF of 916) Weighted average recovery rate upon default of 10% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. No action was taken on the Class A-1 notes because its expected loss remain commensurate with its current rating, after taking into account the CDO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Methodology Used for the Rating Action The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. UPG HI 2026-2: Fitch Gives 'BB(EXP)sf' Rating on Class C Notes -------------------------------------------------------------- Fitch Ratings expects to rate the asset-backed securities (ABS) issued by UPG HI 2026-2 Issuer Trust. UPG HI 2026-2 is a static term transaction backed by a pool of loan draws on unsecured, fixed-rate home improvement (HI) loans totaling $305.6 million. The transaction was originated by Upgrade, Inc. (Upgrade) via Cross River Bank, the originating partner bank. The HI loan draws were purchased by Rithm Home Improvement Loan Trust I from Upgrade. The Rating Outlook for the notes is Stable. Entity/Debt Rating ----------- ------ UPG HI 2026-2 Issuer Trust A LT A(EXP)sf Expected Rating B LT BB(EXP)sf Expected Rating C LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Consistent Receivable Quality: UPG HI 2026-2 is backed by a pool of HI loan draws on unsecured HI loans originated at the point of sale to U.S. homeowners through a national network of contractors. The loan proceeds made available to the borrowers are designated for the financing of windows and doors; roofing; kitchens and bathrooms; heating, ventilation and air conditioning systems; remodeling; and a variety of other HI products and services but typically excluding projects for water filtration systems and solar systems. Rithm Home Improvement Trust I, which purchased the HI loan draws, is contributing the underlying pool of HI loans for the securitization. The Upgrade program offers four core loan products: Reduced Rate (RR), Zero Interest Loan (ZIL), No-Interest No-Payment (No-No) and No-Interest Yes-Payment (No-Yes) loans. The RR product is a standard interest-bearing amortized loan and the ZIL product is its no-interest-bearing equivalent. No-No and No-Yes are promotional products with a promotional period of up to 24 months, during which no interest is accrued or billed. For all promotional products, principal and interest amortization occurs after the promotional period. The No-Yes product requires a minimum principal payment during the promotional period. Additional promotional product variations, Deferred No-No and Deferred No-Yes, work similarly, with deferred interest accruing during the promotional period and extinguished if full prepayment of the loan occurs prior to the completion of the promotional period; otherwise, the deferred accrued interest will amortize in equal installments over the amortization period. The weighted average (WA) FICO score of the asset pool is 782, above 780 in UPG HI 2026-1. The WA original term of the asset pool is 134 months, and the WA loan seasoning is seven months, compared to a 137-month WA original term and seven months of seasoning in 2026-1. Rating Cap at 'Asf': The Upgrade HI loan origination program began in 2022. Consequently, Fitch was provided with about three years of historical performance data. With a WA original term of about 11.2 years for the asset pool and 20 years the longest term offered by Upgrade, three years of historical data only provide limited insights into the lifetime performance of the loans, in Fitch's view. Fitch used available performance data from comparable HI and unsecured consumer loan originators in the U.S. to complement Upgrade-specific historical data. Fitch applies a rating cap at 'Asf' to the transaction due to the limitations in historical data. Asset Pool Assumptions: Fitch's WA base case lifetime default rate assumption is 7.50%, based on the mix of product type and FICO scores for the asset pool. Fitch assumes a rating case default multiple of 3.23x at the 'Asf' rating level, 2.35x at 'BBBsf', and 1.62x at 'BBsf', with a corresponding lifetime default rate of 23.7%, 17.3%, and 11.8%, respectively for 'Asf', 'BBBsf', and 'BBsf' rating levels. The multiple is assessed at the median-high end of the range of Fitch's applicable rating criteria, primarily reflecting the limited data history for originator-specific performance. Fitch assumes a zero-recovery rate on defaulted loans, due to the unsecured nature of the loans and limited historical data available on recoveries. Fitch differentiates prepayment rate assumptions by product type, recognizing that prepayment incentives vary across product structures. For deferred products (Deferred No-No and Deferred No-Yes) and No-No and No-Yes products, Fitch has observed significantly higher prepayment activity during the promotional period, with prepayment rates accelerating as the end of the promotional period approaches, driven by the anticipated payment step-up upon expiration. To account for this behavior, Fitch has increased its base case CPR assumptions for these product types during the promotional period relative to the prior transaction, while post-promotional period prepayment assumptions remain unchanged. Prepayment assumptions for all other product types are also unchanged from the prior transaction. The assumed base case weighted average (WA) prepayment rate is 21.3% per annum (p.a.) during the promotional period and 11.3% p.a. thereafter, based on the mix of FICO scores in the asset pool. All other asset pool and cash flow modeling assumptions are as described in Fitch's rating criteria and throughout this report. Transaction Structure: The pool of HI assets is financed via three classes of rated notes (A, B and class C notes; together, the notes). The notes pay a monthly fixed interest rate set at closing, with the first payment date in August 2026. Credit enhancement (CE) is provided by overcollateralization (OC; initially equal to 7.00% of the asset pool at closing), OC via the subordination of more junior notes, a fully funded non-amortizing reserve sized at 0.50% of the initial note balance and excess spread to the extent generated by the asset pool (initially estimated at 7.0% pa). The assumed base case WA prepayment rate is 21.3% per annum during the promotional period. The structure provides for OC build-up to target 7.0% of the outstanding asset pool, with a floor of 0.50% of the initial asset pool. Target OC for the class A notes is 24.00%. CE at closing (as a percentage of the initial asset pool, including the reserve fund) is 14.47%, 9.47% and 7.47% for the classes A, B and C notes, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating sensitivity to increased base case defaults rates: - Expected ratings for class A, B and C notes: 'Asf (EXP)'/'BBBsf (EXP)'/'BBsf (EXP)'; - Increased base case default by 10%: 'BBB+sf'/'BB+sf'/'BBsf'; - Increased base case default by 25%: 'BBBsf'/'BBsf'/'BBsf'; - Increased base case default by 50%: 'BBB-sf'/'BB-sf'/'B+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating sensitivity to decreased base case defaults rates: - Expected ratings for class A, B and C notes: 'Asf (EXP)'/'BBBsf (EXP)'/'BBsf (EXP)'; - Decreased base case default by 50%: 'Asf'/'Asf'/'Asf'. CRITERIA VARIATION In its analysis of the transaction, Fitch applied a criteria variation to its "Consumer ABS Rating Criteria" (the Consumer ABS Criteria). Ratings are ultimately assigned by a Fitch rating committee that also considers other quantitative and qualitative factors in addition to the model-implied ratings (MIRs), as listed in Consumer ABS Criteria. The final rating considered appropriate by the committee may be one notch above or below the relevant model-implied rating. A committee can decide to assign ratings with more substantial differences to the model-implied rating, but this would generally constitute a criteria variation to the Consumer ABS Criteria. For this transaction, class A notes have a MIR of 'BBB+sf' in Fitch's modeling scenario that assumes back-loaded default timing and high prepayment stresses (the Back/High Scenario). The MIR excluding the aforementioned scenario is A+. The ratings assigned to the class A notes at 'Asf' are two notches higher than the MIR, which constitutes a criteria variation under the Consumer ABS Criteria. Had Fitch not applied this criteria variation, the rating on the class A notes would have been 'A-sf', assuming the one-notch tolerance from MIR described in the Consumer ABS Criteria. The criteria variation reflects the marginal failure in repaying class A at the 'Asf' rating category in the Back/High Scenario, the strong MIR displayed by class A notes in all other rating scenarios, and Fitch's view that 'Asf'-category level defaults are less likely to occur in the Back/High Scenario than in all other modeling scenarios due to the high level of prepayments observed during promotional period, defaults historically being front-loaded, and the long term of the assets. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and recalculation of certain characteristics with respect to 150 randomly selected statistical receivables. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. VENTURE 41: S&P Lowers Class E Debt Rating to 'B (sf)' ------------------------------------------------------ S&P Global Ratings lowered its rating on the class E debt from Venture 41 CLO Ltd. and removed it from CreditWatch negative. S&P also affirmed its ratings on the class A-1F, A-2-RR, B-F, B-N-RR, C-RR, and D-RR debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the June 2026 trustee report. Since S&P's last rating action in September 2025, the transaction collectively paid $34.9 million to the class A-1F and A-1N-R debt, reducing the outstanding balance to approximately 88.75% of the original. Following are the changes in the reported overcollateralization (O/C) ratios since the October 2025 trustee report: -- The class A/B O/C ratio improved to 128.59% from 127.04%. -- The class C O/C ratio improved to 118.30% from 117.74%. -- The class D O/C ratio declined to 110.91% from 110.98%. -- The class E O/C ratio declined to 105.01% from 105.52%. While the senior O/C ratios experienced positive movements due to the lower balances of the senior debt, the junior O/C ratio(s) declined due to aggregate par loss of $6.17 million since our last rating action. Collateral obligations with ratings in the 'CCC' category have increased, with $31.09 million reported as of the June 2026 trustee report, compared with $24.42 million reported as of the October 2025 trustee report. The combination of an increasingly concentrated portfolio from paydowns and increasing U.S. dollar value of the 'CCC' category may result in haircuts to the O/C ratio as the current 'CCC' exposure of 7.0% is near the maximum allowance per the CLO's legal documents. The lowered rating reflects the failing cash flows and reduction in credit support to class E debt. The failing cash flows were driven primarily by par loss leading to a decrease in the break-even default rates. Two other factors contributed negatively to the failing cash flow runs: a decline in both the weighted average spread and the weighted average recovery rates for the portfolio. The affirmed ratings reflect adequate credit support at the current rating levels. S&P said, "We note that the results of the cash flow analysis indicate higher ratings on the class A-1F, A-2-RR, B-F, B-N-RR, C-RR, and D-RR debt. However, the rating actions reflect the decline in junior O/Cs and an uptick in 'CCC' exposure. We anticipate that future paydowns will deleverage the structure and may lead to positive rating actions in the future." S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." 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 Venture 41 CLO Ltd. Class E to 'B (sf)' from 'BB- (sf)/Watch Neg' Ratings Affirmed Venture 41 CLO Ltd. Class A-1F: AAA (sf) Class A-2-RR: AAA (sf) Class B-F: AA (sf) Class B-N-RR: AA (sf) Class C-RR: A (sf) Class D-RR: BBB (sf) VERUS SECURITIZATION 2026-6: Moody's Assigns B3 Rating to B-2 Certs ------------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 12 classes of residential mortgage-backed securities (RMBS) issued by Verus Securitization Trust 2026-6 (Verus 2026-6), and sponsored by VMC Asset Pooler, LLC. The securities are backed by a pool of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages acquired by entities administered by Verus Mortgage Capital (Verus), originated by multiple entities and serviced by Newrez LLC d/b/a Shellpoint Mortgage Servicing and Cornerstone Servicing, a Division of Cornerstone Capital Bank SSB. The complete rating actions are as follows: Issuer: Verus Securitization Trust 2026-6 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1F, Definitive Rating Assigned Aaa (sf) Cl. A-1FCF, Definitive Rating Assigned Aaa (sf) Cl. A-1LCF, Definitive Rating Assigned Aaa (sf) Cl. A-1IO*, Definitive Rating Assigned Aaa (sf) Cl. A-1IO1*, Definitive Rating Assigned Aaa (sf) Cl. A-1IO2*, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A1 (sf) Cl. M-1, Definitive Rating Assigned Baa2 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Cl. B-2, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A and Class A-1B assigned on July 07, 2026, because the Class A-1A and Class A-1B 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 2.42%, in a baseline scenario-median is 1.70% and reaches 22.52% 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. VISIO 2026-1: S&P Assigns Prelim B- (sf) Rating on Class B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Visio 2026-1 Trust's mortgage-backed notes. The note issuance is an RMBS transaction backed by investor-only, business-purpose, first-lien, fixed- and adjustable-rate residential mortgage loans secured by single-family residences, planned unit developments, condominiums, and two- to four-family residential properties to both prime and non-prime borrowers. The pool consists of 1,013 loans that are exempt from ability-to-repay rules. There are no cross-collateralized loans in the pool. The preliminary ratings are based on information as of July 17, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The reviewed 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." Preliminary Ratings(i) Assigned Visio 2026-1 Trust Class A-1FCF, $85,256,000: AAA (sf) Class A-1LCF, $28,418,000: AAA (sf) Class A-1, $113,674,000: AAA (sf) Class A-1A, $97,652,000: AAA (sf) Class A-1B, $16,022,000: AAA (sf) Class A-1PT, $113,674,000: AAA (sf) Class A-2, $22,270,000: AA (sf) Class A-3, $7,370,000: A+ (sf) Class M-1, $35,248,000: BBB (sf) Class B-1, $15,221,000: BB- (sf) Class B-2, $7,690,000: B- (sf) Class B-3, $5,287,673: not rated Class XS, notional(ii): not rated Class R, not applicable: not rated (i)The preliminary ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The class XS notes will have a notional amount equal to the aggregate unpaid principal balance of the mortgage loans as of the first day of the related collection period. VOYA CLO 2024-2: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected Ratings and Rating Outlooks to Voya CLO 2024-2, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Voya CLO 2024-2, Ltd. A-1-R LT NR(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating F-R LT NR(EXP)sf Expected Rating Transaction Summary Voya CLO 2024-2, 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+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.47. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 97.83% first-lien senior secured loans and has a weighted average recovery assumption of 73.65%. 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 to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The 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. Fitch has assigned expected ratings to the class C-R, D-1-R, D-2-R, and E-R notes that are one notch, two notches, two notches and two notches below their respective MIRs. The available credit enhancement for these tranches is in line with the average credit enhancement observed across comparable deals, which supports ratings below the MIRs. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBBsf' for class D-1-R, and between less than 'B-sf' and 'BBB-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-1-R, and 'A+sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Voya CLO 2024-2, 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. VOYA CLO 2024-2: Moody's Assigns (P)B3 Rating to $250,000 F-R Notes ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of refinancing notes (the Refinancing Notes) to be issued by Voya CLO 2024-2, Ltd. (the Issuer): US$320,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2039, Assigned (P)B3 (sf) The notes listed are referred to herein, collectively, as the Refinancing Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, senior secured bonds, senior unsecured bonds, senior secured notes and unsecured loans. Voya Alternative Asset Management LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the other 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 certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in 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: Portfolio par: $500,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 3003 Weighted Average Spread (WAS): 2.80% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in 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. WELLS FARGO 2016-BNK1: S&P Lowers Cl. B Certs Rating to 'B- (sf)' ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on two classes of commercial mortgage pass-through certificates from Wells Fargo Commercial Mortgage Trust 2016-BNK1. At the same time, S&P affirmed its ratings on two classes from the transaction. The certificate issuance is a U.S. CMBS conduit transaction that is backed by eight fixed-rate loans and one real estate owned (REO) asset, which is down from 40 loans at issuance. Rating Actions Although S&P's model-indicated ratings were at or higher on the class A-S and B certificates, the downgrades on both classes primarily reflect: -- S&P's qualitative consideration of heightened risk of reduced liquidity and recoveries to these certificate classes. Six of the remaining nine assets (80.8% of the pooled trust balance) are currently in special servicing, and the largest specially serviced asset (20.0%) was deemed nonrecoverable in March 2026. -- S&P's moderate (26%-59% of the current loan balance) and significant (greater than 60%) loss assumptions on the specially serviced assets, using the latest available operating performance and market data or the most recent reported appraisal values. -- S&P's revised, lower expected-case valuations for the mixed-use, office, or retail properties securing three loans (19.2% of the pooled trust balance) due to reported or expected declines in the operating performance or observed higher risk premium. The downgrade on the class B certificates to 'B- (sf)' also reflects accumulated interest shortfalls totaling $59,898 that have been outstanding for four consecutive months. According to the July 17, 2026, trustee remittance report, the trust experienced current monthly interest shortfalls totaling $355,536, primarily due to special servicing fees of $45,535, appraisal subordinate entitlement reduction amounts on the Brewers Hill loan of $88,705, and interest reduction due to a nonrecoverable determination on the One Stamford REO asset of $220,611. If the accumulated interest shortfalls remain outstanding for a prolonged period, S&P may further lower its rating. S&P said, "The affirmation on the class A-3 certificates reflects our model-indicated rating, which is in line with the current rating--even after making these adjustments and considering the reduced trust balance (64.9% of the pooled trust balance) since our last review in October 2025. Specifically, the class A-3 certificate balance decreased to $23.8 million as of the July 2026 trustee remittance report from $267.0 million in our last review. "The affirmation on the class X-A interest-only (IO) certificates is based on our criteria for rating IO securities, which state that the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-A references classes A-1 (paid in full), A-2 (paid in full), A-3, and A-SB (paid in full). "We will continue to monitor the performance of the transaction and the collateral assets, including any further developments related to the specially serviced assets and their resolutions, as well as the loans on the master servicer's watchlist. If future developments differ meaningfully from our underlying assumptions, we may update our assumptions and take further rating actions as we determine necessary." Property-Level Analysis Updates S&P said, "Since our last review, four loans totaling $129.5 million (47.9% of the pooled trust balance) were transferred to special servicing. In total, six of the remaining nine assets ($218.4 million; 80.8%) are in special servicing, as of the July 2026 trustee remittance report. "We estimated losses on the six specially serviced assets based on recently reported appraisal values or our property-level assumptions. "For the remaining three loans ($51.8 million; 19.2% of the pooled trust balance), we revised our underlying property-level assumptions using updated reported property performance. The One Penn Center ($31.0 million; 11.5%) and 420 East Third Street ($15.2 million; 5.6%) loans mature in August 2026. The sponsors have requested the payoff letters, and the servicer is monitoring the loans for repayment. S&P Global Ratings' key assumptions(i) S&P Global Ratings' One Penn 420 East South Main Center (ii) Third Street Shopping Center NCF (current review) 2.5 2.0 0.5 (mil. $) Capitalization rate 8.50 8.75 8.25 (current review) (%) Value (current review) 30.0 22.4 5.9 (mil. $) NCF (last review) 2.7 2.0 0.5 (mil. $) Capitalization rate 8.50 8.70 7.50 (last review) (%) Value (last review) 31.6 23.5 6.4 (mil. $) (i)Current review in July 2026 and last review in October 2025. (ii)Pari passu adjusted. NCF—Net cash flow. One Stamford Forum ($54.0 million pooled trust balance [20.0%] and $83.1 million whole loan) The whole loan was transferred to special servicing on March 15, 2019, due to imminent monetary default and became REO on Nov. 1, 2023. In March 2026, the servicer deemed the asset nonrecoverable and subsequently recouped $14.8 million in prior advances in June 2026. According to the special servicer, the office property (which is currently 51.1% leased) is being marketed for sale, with liquidation expected by year-end 2026. S&P said, "In our current analysis, we estimate a moderate loss upon the asset's eventual resolution, based on our net recovery value of $50.1 million, which remains unchanged from our last review." Pinnacle II ($40.0 million pooled trust balance [14.8%] and $87.0 million whole loan) The whole loan, which is paid through May 2026, was transferred to special servicing on Dec. 30, 2025, due to imminent monetary default. The sponsor recently signed a new lease for 26.5% of the net rentable area at the 230,000-sq.-ft. office property, which has been vacant since late 2022. According to the special servicer, it is currently evaluating resolution strategies while monitoring the sponsor's efforts to raise new capital to stabilize the property's performance. S&P said, "In our last review, we arrived at a value of $52.9 million, or $230 per sq. ft. using an S&P Global Ratings net cash flow (NCF) of $4.8 million and a capitalization rate of 9.00%. In our current review, we project a significant loss upon the eventual resolution of the loan, based on our revised lower net recovery value of $37.2 million or $162 per sq. ft. using an NCF of $3.3 million and a capitalization rate of 9.00%." Brewers Hill ($34.9 million; 12.9%) The loan, which has a paid-through date of December 2025, was transferred to special servicing on March 14, 2025, following a monetary default. According to the May 2026 rent roll, the property was 64.9% occupied. The special servicer reports that the loan was recently modified, with the maturity date extended to March 11, 2027, from July 11, 2026. S&P said, "In our previous review, we determined a value of $26.1 million, or $68 per sq. ft., using an S&P Global Ratings NCF of $2.2 million and a capitalization rate of 8.25%. In our current review, we project a significant loss upon the eventual resolution of the loan, based on our revised lower net recovery value of $9.2 million or $24 per sq. ft., using an S&P Global Ratings NCF of $1.2 million and a capitalization rate of 12.50%. This compares with the December 2025 appraised value of $10.0 million." 633 Third Avenue - Retail Condo ($32.0 million; 11.8%) The loan, which has a reported foreclosure-in-progress payment status, was transferred to special servicing on April 17, 2026, due to imminent monetary default and is paid through June 2026. As of the May 2026 rent roll, the retail condominium collateral was 100% leased. The special servicer has indicated that it is currently exploring various resolution strategies, including discounted payoff and foreclosure. S&P said, "In our last review, we arrived at an S&P Global Ratings value of $19.4 million, assuming an NCF of $1.4 million and a capitalization rate of 6.97%. In our current review, we estimate a moderate loss upon the loan's eventual resolution, using our revised lower net recovery value of $14.8 million, based on an NCF of $1.1 million and a capitalization rate of 7.50%." Simon Premium Outlets ($29.9 million pooled trust balance [11.1%] and $83.7 million whole loan) The whole loan, which has a reported nonperforming matured balloon payment status, was transferred to special servicing on May 19, 2026, due to imminent maturity default. The loan matured on June 1, 2026. According to the March 2026 rent roll, the three retail outlets were 59.0% occupied. The special servicer has stated that it is currently evaluating collateral performance to determine the appropriate resolution plan. S&P said, "In our last review, we arrived at an S&P Global Ratings value of $123.9 million, based on an NCF of $11.5 million and a capitalization rate of 9.27%. In our current review, we estimate a moderate loss upon the loan's eventual resolution, assuming a revised lower net recovery value of $55.4 million, based on an NCF of $6.4 million and a capitalization rate of 11.50%." Aurora Office Building ($27.6 million; 10.2%) The loan has a current payment status and was transferred to special servicing on May 19, 2026, due to imminent monetary default. According to the December 2025 rent roll, the property was 100% leased to Northrop Grumman until Nov. 30, 2027. The special servicer has informed us that it is exploring resolution strategies, including forbearance and loan extension, to give the borrower additional time to potentially finalize a lease extension with the current tenant. S&P said, "In our last review, we derived an S&P Global Ratings value of $35.3 million, assuming an NCF of $2.8 million and a capitalization rate of 9.00%. In our current review, we estimate a moderate loss upon the loan's eventual resolution, based on our revised lower net recovery value of $21.6 million, using an NCF of $2.0 million and a capitalization rate of 9.25%." Transaction Summary As of the July 17, 2026, trustee remittance report, the collateral pool trust balance was $270.2 million, which is 31.0% of the pool trust balance at issuance. The pool currently includes eight fixed-rate loans and one REO asset, down from 40 loans at issuance. Six assets ($218.4 million; 80.8%) are with the special servicer, two loans ($46.2 million; 17.1%) are on the master servicer's watchlist due to their August 2026 maturity dates, and no loans have been defeased. S&P said, "Excluding the six specially serviced assets and adjusting the servicer-reported numbers, we calculated an S&P Global Ratings weighted average debt service coverage of 1.33x and a weighted average loan-to-value ratio of 92.2%, using a weighted average capitalization rate of 9.49% on the three remaining loans. Based on our analysis, our weighted average asset quality score is 3.00 and our weighted average income stability score is 2.55. To date, the transaction has experienced $16.0 million (1.8% of the original pool trust balance) in principal losses. The specially serviced Shopko-Redding loan ($3.0 million at disposition) contributed approximately $1.2 million in losses following its liquidation in March 2021, while the remaining $14.8 million in losses are primarily due to the servicer recovering prior advances made on the One Stamford Forum REO asset from the principal proceeds. S&P expects losses to reach approximately 15.7% of the original pool trust balance upon the eventual resolution of the six specially serviced assets. Ratings Lowered Wells Fargo Commercial Mortgage Trust 2016-BNK1 Class A-S to 'A- (sf)' from 'AA- (sf)' Class B to 'B- (sf)' from 'BB (sf)' Ratings Affirmed Wells Fargo Commercial Mortgage Trust 2016-BNK1 Class A-3: AAA (sf) Class X-A: AAA (sf) WELLS FARGO 2020-C55: Fitch Lowers Rating on Two Tranches to 'CCsf' ------------------------------------------------------------------- Fitch Ratings has downgraded four and affirmed 13 classes of Wells Fargo Commercial Mortgage Trust 2020-C55 (WFCM 2020-C55). The Outlook for class B was revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2020-C55 A-2 95002EAX5 LT AAAsf Affirmed AAAsf A-3 95002EAY3 LT AAAsf Affirmed AAAsf A-4 95002EBA4 LT AAAsf Affirmed AAAsf A-5 95002EBB2 LT AAAsf Affirmed AAAsf A-S 95002EBC0 LT AAAsf Affirmed AAAsf A-SB 95002EAZ0 LT AAAsf Affirmed AAAsf B 95002EBD8 LT AA-sf Affirmed AA-sf C 95002EBE6 LT A-sf Affirmed A-sf D 95002EAA5 LT BBBsf Affirmed BBBsf E 95002EAC1 LT BB-sf Affirmed BB-sf F 95002EAE7 LT CCCsf Downgrade B-sf G 95002EAG2 LT CCsf Downgrade CCCsf X-A 95002EBF3 LT AAAsf Affirmed AAAsf X-B 95002EBG1 LT A-sf Affirmed A-sf X-D 95002EAL1 LT BB-sf Affirmed BB-sf X-F 95002EAN7 LT CCCsf Downgrade B-sf X-G 95002EAQ0 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses have increased since Fitch's prior rating action to 5.7% from 5.4%. There are five Fitch Loans of Concern (FLOCs; 13.2%), including one loan (2.1% of the pool) in special servicing. The downgrades reflect higher pool loss expectations, driven primarily by the increase in loss expectations on the 4041 Central loan (1.8%) and further certainty of loss on the Delta Hotels by Marriott - Detroit Airport loan (2.1%). The Negative Outlook reflects the potential for future downgrades should performance of the FLOCs continue to deteriorate, primarily One Stockton and 4041 Central. Largest Contributors to Loss: The largest overall contributor to expected loss is the Delta Hotels by Marriott - Detroit Airport loan (2.1%), which is secured by a 271 room full service hotel located in Romulus, MI. The loan transferred to special servicing in June 2020 for imminent monetary default due to the impact of the pandemic. The borrower filed for bankruptcy which was dismissed and GF Hotels was appointed as receiver. The lender filed suit against the guarantor for full recourse and is proceeding with foreclosure and finalizing a receivership franchise agreement with Marriott. According to servicer updates, a sale is expected to occur in 3Q26. Fitch's 'Bsf' rating case loss of 107% (prior to concentration add-ons) reflects a haircut to the most recent appraised value and reflects the increasing exposure of the asset. The second largest contributor to overall pool loss expectations is the One Stockton loan (3.3%), which is secured by a 16,987-sf single-tenant retail building located in San Francisco, CA. The loan transferred to special servicing in January 2024 due to monetary default after the borrower ceased payments in November 2023. T-Mobile formerly occupied the property, on a lease through November 2026; however, the tenant terminated their lease and the entirety of the space is vacant. The tenant was subsequently required to pay a termination fee and outstanding balances totaling nearly $20 million, which are being held in a cash management account. A loan modification agreement was completed and the loan was returned to the master servicer in December 2024; it has since remained current. The loan was returned to the master servicer in December 2024 following the execution of a modification and has remained current since. Fitch's 'Bsf' rating case loss of 23.5% (prior to concentration adjustments) reflects a 60% stress to the YE 2023 NOI reflecting an updated Fitch dark value of stressed value of $19.8 million, approximately 80% below the issuance appraisal, and factors a higher probability of default due to the vacant property. The third largest overall contributor to loss expectations is the 4041 Central loan (1.8%), which is secured by by a 406,453-sf office building in Phoenix, AZ. The loan has been designated a FLOC due to payment delinquency and uncertainty regarding the occupancy status of the government tenants. As of YE 2025, occupancy was 71%. The YE 2025 servicer reported NOI DSCR was 1.90x compared with 1.78x at YE 2024. Media reports have indicated that the U.S. Government has terminated portions of its lease. An inquiry has been submitted to the servicer for confirmation, and a response is currently pending. Fitch's 'Bsf' rating case loss of 31% (prior to concentration adjustments) reflects a 10.25% cap rate and 15% stress to YE 2025 NOI. The loan is 30 days delinquent as of June 2026. Credit Enhancement: As of the June 2026 distribution date, the transaction has been paid down by 4.8% since issuance. There has been $3.4 million in realized losses to date. Nine loans (7.8% of the pool) are fully defeased. Cumulative interest shortfalls totaling $5.2 million are affecting classes H-RR and G-RR, of which $4.9 million is due to the non-rated class H-RR. 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 CE, their senior position in the capital structure and expected continued amortization and loan repayments. However, a downgrade may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected. Downgrades to classes rated in the 'AAsf' and 'Asf' categories may occur should FLOC performance deteriorate further or if more loans than expected default during the term and/or at or prior to maturity. Notable FLOCs include Delta Hotels by Marriott - Detroit Airport loan, One Stockton and 4041 Central. Downgrades to classes rated 'BBBsf' could occur with higher-than-expected losses from continued underperformance of the aforementioned FLOCs. Downgrades to classes rated in the 'BBsf', and 'Bsf' categories could occur if the FLOCs continue underperforming and/or lack of resolution and increased exposures on the specially serviced loans, primarily Delta Hotels by Marriott - Detroit Airport loan. Downgrades to the distressed classes could occur as losses become more certain and/or realized. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to 'AAsf' and 'Asf' category classes are possible with significantly increased CE from paydowns and improved pool-level loss expectations from FLOC performance stabilization. Upgrades to the 'BBBsf' category rated classes would be limited due to sensitivity concentrations or potential future concentration and would only occur if the FLOCs show sustained performance improvement. Upgrades to the 'BBsf' and 'Bsf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable, better than expected recoveries on the FLOCs and sufficient CE to the classes. Upgrades to distressed ratings are not expected but could occur with better than expected recoveries on specially serviced loans or significant improved FLOC performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. 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