ASSET BACKED SECURITIES

ABS COMMENTARY

The Miami ABS East conference wrapped up this week with roughly 7000 attendees. The Tricolor and First Brands bankruptcies continued to be widely discussed but largely understood to be idiosyncratic occurrences rather than the canaries in the mine reflective of the wider subprime industry.

Several large autos kicked off premarketing following the conference. The largest, a $900million GM Financial Consumer Automobile Receivables Trust (GMCAR) 2025-4 prime Auto Loan ABS via WF(str)/BMO/CA/DB/JPM, was understood to be progressing well. As of Friday midday, the A2 Class showed 1.5x oversubscription at IPT of high 30s over benchmark, while the A3 Class had 95% IOI at IPT of mid 40s over benchmark. (For the full details, please see the ABS marketing section).

ABS MARKETING

-- [Commercial Equipment Finance (CEFI) 2025-1] $122.363mm Equipment Lease ABS via KeyBanc. (No Grow) Pricing Timeline: Next week. Bill & Deliver: KeyBanc. First Pay Date: 11/17/25. Format: 144a/Reg S. Expected Ratings: DBRS. ERISA: Yes. Ticker: CEFI 2025-1. Min Denoms: $100k by $1k. This is a Rule 144A Private Placement Transaction.

Commercial Equipment Finance, Inc. ("CEFI") has mandated KeyBanc as Structuring Agent and Bookrunner on its upcoming $122.363mm no-grow equipment lease ABS transaction (Commercial Equipment Finance 2025-1, LLC). Subject to market conditions, the deal is expected to be formally announced early next week.

Capital Structure:

* Assumes a 5% CPR to the Optional Redemption
** Bloomberg GC I25, "Interpolated Curves", "Mid YTM"

-- [Capital One Prime Auto Receivables Trust (COPAR) 2025-1] $785mm Prime Auto Laon ABS via JPM/BofA /Scotia. Offered Size: $785mm (May Grow). Registration: SEC-Registered. Ratings: S&P, Fitch. Pxg Speed: 1.30% ABS to 10.00% Clean-Up Call. Exp Settle: 11/5/2025.

Capital One has mandated J.P. Morgan (struc), BofA and Scotiabank as joint bookrunners on its upcoming prime auto loan transaction, Capital One Prime Auto Receivables Trust 2025-1 (COPAR 2025-1). Subject to market conditions, the leads expect to announce the deal next week.

Anticipated Capital Structure:

* Classes A-2a and A-2b will be sized to demand. Max A-2b size is 75% of the combined A-2

-- [Easy Street Capital (EASY) 2025-RTL2] $175mm RTL RMBS via Atlas. Co-Manager: Piper Sandler. Risk Retention: US Only. Offering Format: 144a/Reg S. Revolving Period: 24-months. Coupon Step-Up: 150bps on A-1 and A-2 (Class M, if issued with fixed rate) in May 2028. Pricing Scenario: 8% SMM / 0% CDR to 3% CDR over 12 months / Optional Redemption exercised in November 2027. Initial Accumulation Account: $58.7MM. Pre-Funding Interest Account: $1.0MM. Expected Pricing: Week of October 27, 2025. Expected Settlement: October 31, 2025. First Pay Date: November 25, 2025. Bill & Deliver Piper Sandler. Min Denominations: $100k x $1k. Bloomberg Ticker: EASY 2025-RTL2. Bloomberg SSAP: EASY25RTL2.

Easy Street Capital has mandated ATLAS SP as Sole Bookrunner & Structuring Agent, and Piper Sandler as CoManager on its upcoming $175MM issuance Residential Transition Loans. The Investor Tape and Investor Presentation have been made available via DealRoadshow). Subject to market conditions, the lead expects to price early next week.

Anticipated Capital Structure:

-- [GM Financial Consumer Automobile Receivables Trust (GMCAR) 2025-4] $900.14mm Auto Loan ABS via WF(str)/BMO/CA/DB/JPM. Size: $900.14MM (No Grow). Format: SEC Registered. ERISA: Yes. Min Denoms: $1k x $1k. Ratings: Moody’s/S&P. Ticker: GMCAR 2025-4. First Payment Date: 11/17/2025. Exp. Settle: 11/05/2025. B&D: Wells Fargo Securities.

GM Financial has mandated Wells Fargo Securities (str), BMO Capital Markets, Credit Agricole Securities, Deutsche Bank Securities, and J.P. Morgan as Joint Bookrunners and BofA Securities, Citigroup, Great Pacific Securities, and Lloyds Securities as Co-Managers on an upcoming $900.14MM prime auto loan ABS transaction, GM Financial Consumer Automobile Receivables Trust 2025-4 (GMCAR 2025-4). Subject to market conditions, the leads expect to formally announce the transaction early next week.

Anticipated Capital Structure: * Assumes 1.30% ABS to a 10% cleanup call
** Class A-2-B will be sized to demand but will not exceed 75% of the aggregate Class A-2
^ There is size, not level, protection in the class

-- [Hyundai Capital Floorplan (HFMOT) 2025-1] $500mm Floorplan ABS via Barclays(str)/Lloyds/SG. Deal Size: $500mm (can grow up to $700mm). Expected Settle: November 5, 2025. Offering Format: 144A / Reg S. First Payment Date: December 15th, 2025. ERISA: Yes. Minimum Denominations: $100,000 x $1,000. Bloomberg Ticker: HFMOT 2025-1. B&D: Barclays. Hyundai Capital America (“HCA”) has mandated Barclays (structuring), Lloyds Securities, and Societe Generale as joint bookrunners on its upcoming $500mm Auto Floorplan ABS transaction, Hyundai Floorplan Master Owner Trust 2025-1 (“HFMOT 2025-1”). The transaction represents Hyundai's first floorplan issuance since 2019. Subject to market conditions, the leads expect to price the transaction next week.

Anticipated Capital Structure: * Deal can grow
** Expected Ratings: Moody’s, S&P

-- [PowerPay Issuance Trust (PWRP) 2025-1] $556.08mm Consumer loans ABS via KeyBanc. Pricing Timeline : Early Next Week. Bill & Deliver : KeyBanc. First Pay Date : 11/18/2025. Format : 144a/Reg S (All Classes). Expected Ratings : KBRA. ERISA : Classes A-C = Yes, Class D = No. Ticker : PWRP 2025-1. Min Denoms : $100k by $1k (Class D $350k by $1k).

PowerPay LLC ("PowerPay") has mandated KeyBanc as Structuring Advisor and Bookrunner on its upcoming $556.08mm no-grow consumer loan ABS transaction with Synovus as Co-Manager (PowerPay Issuance Trust 2025-1). Subject to market conditions, the deal is expected to be formally announced early next week.

Capital Structure:
* Assumes a 20% CPR to the Optional Redemption
** Bloomberg GC I25, "Interpolated Curves", "Mid YTM"

*** Rep Letter required for Class D Holders

-- [Wheels Fleet Lease Funding LLC (WFLF) 2025-3] Fleet Lease ABS preps via Apollo/MZHO/Scotia/PNC.

COLLATERALIZED LOAN OBLIGATIONS

CLO COMMENTARY

JPMorgan Forecasts 20% Drop in CLO Origination for 2026

While still early in the fourth quarter of 2025, JPMorgan's CLO Research team, headed by Rishad Ahluwalia, has started looking into their crystal ball and begun forecasting $140 to $150 billion in CLO origination for 2026—a 20% year-over-year decline from the $180 billion forecasted for 2025.

"CLO structures are resilient, but we’re more concerned with origination/valuation relying on what might be reasonably argued as rather exuberant assumptions around risk avoidance. CLO financing spreads have tightened and spread dispersion has declined, but idiosyncratic credit concerns, a fourth consecutive year of collateral rating downgrades outpacing rating upgrades, and an uncertain macro outlook will weigh on activity, in our view. The tight CLO arbitrage is likely to worsen as the Fed eases," the research noted. (Source: JPMorgan).

CLO MARKETING

-- [PIKES PEAK CLO 20 LTD. (PIPK)] $407.814mm BSL CLO via DB. Deal: PIKES PEAK CLO 20. Manager: PARTNERS GROUP CLO ADVISERS LP. Type: USD BSL CLO (NEW ISSUE). Size: $407.814MM. Transaction likely to be EURR compliant. Settlement: ~6 Weeks after Pricing. Non-Call: ~2.0 Years. Reinvestment: ~5.0 Years. Maturity: ~13.0 Years.

Indicative Capital Structure:

^Calculated assuming $[00.000MM Target Par
^^WAL calculated based on a 20% CPR, 2% CADR, 70% recovery and run to maturity

COMMERCIAL MORTGAGE BACKED SECURITIES

CMBS MARKETING

-- [MSBAM 2025-5C2] $634.167mm CMBS via MS/BofA/Keybanc. CO-MANAGERS: Academy Securities, Inc. and Drexel Hamilton. POOL BALANCE: $713,549,500. NUMBER OF LOANS/PROPERTIES: 36 / 164. WA MORTGAGE INT. RATE: 6.1659%. WA CUT-OFF LTV: 59.9%. WA UW NCF DSCR: 1.62x. WA UW NOI DEBT YLD: 10.3%. WA ORIG TERM TO MATURITY: 60. WA ORIG AMORTIZING TERM: NAP. TEN LARGEST LOANS: 59.4%. LOAN SELLERS: MSMCH (42.1%), BANA (21.4%), SMC (19.6%), KBNA (15.1%), MSMCH/BANA (1.8%). TOP 5 STATES: NY (34.6%), MA (13.2%), TX (11.5%), IN (7.6%), WA (7.5%). TOP 5 PROPERTY TYPES: MF (31.0%), MU (27.3%), OF (11.1%), RT (8.4%), SS (7.9%). RISK RETENTION: Eligible vertical interest and eligible horizontal residual interest. MASTER SERVICER: Trimont LLC. SPECIAL SERVICER: LNR Partners, LLC. TRUSTEE: Deutsche Bank National Trust Company. CERT ADMIN: Computershare Trust Company, National Association. TRUST ADVISOR: Park Bridge Lender Services LLC. INITIAL CONTROLLING CLASS REP: Starwood Mortgage Capital LLC. EXPECTED PRICING: Week of October 20, 2025. EXPECTED SETTLEMENT: November 13, 2025.

PUBLICLY OFFERED CERTIFICATES:

*Sizes subject to change as detailed in the attached Term Sheet. Range of possible available sizes below: A-2: $0 - $215.212mm; A-3: $262.543mm - $477.756mm

-- [SYCA Commercial Mortgage Trust 2025-WAG] $390mm Fxd Rt. CMBS via WF(str)/UBS. Joint Bookrunners & Co-Lead Managers: Wells Fargo Securities, LLC (str), UBS Securities LLC. Rating Agencies: Moody's Investors Service, Inc. and DBRS, Inc. Servicer: Trimont LLC. Special Servicer: Situs Holdings, LLC. Presale Reports: October 22, 2025. Anticipated Pricing: On or about October 24, 2025. Anticipated Settlement: November 12, 2025.

Collateral Summary: The $490.0 million Whole Loan will be used to refinance the borrower’s fee simple interest in a 207-property, approximately 2.9 million SF, retail portfolio located in 42 states and one territory (Puerto Rico).

The Whole Loan consists of (i) the $211.5 million Senior Trust Notes, (ii) the $178.5 million Junior Trust Notes, which collectively, with the Senior Trust Notes, will secure the Mortgage Loan and be part of the assets of the trust and (iii) the $100.0 million Companion Notes, which will not be part of the assets of the trust and are expected to be contributed to one or more future securitizations.

Borrower Sponsor: Sycamore Partners Management, L.P. Whole Loan Amount: $490.0 million. Mortgage Loan Amount: $390.0 million. Whole Loan Rate Type: Fixed. Whole Loan Term: Five-year. Amortization Type: Interest-Only. Whole Loan Cut-Off LTV: 49.7%. Whole Loan UW NCF DY: 12.5%. Whole Loan UW NCF DSCR: 1.71x. Loan Purpose: Acquisition.

Anticipated Capital Structure:
Class sizes and ratings are preliminary and subject to change.

SECURITIZATIONS PRICED

ABS PRICED

10/24 [Capital One Multi-asset Execution Trust (COMET) 2025-A3] $1Bln (was originally $500mm) Credit Card ABS via WF. Co-Managers : BofA Securities and Morgan Stanley. Exp. Settlement : 10/31/2025. First Pay Date : 12/15/2025. Offering Format : Publicly Offered / SEC-Registered. ERISA Eligible : Yes. Exp. Ratings : S&P / Fitch. Min Denoms : $1k x $1k. EURR Compliant : No. Bloomberg Ticker : COMET 2025-A3 A. B&D : Wells Fargo Securities.

FILED CAPITAL STRUCTURE:

*Minimum expected ratings

10/24 [JP MORGAN MORTGAGE TRUST (JPMMT) 2025-NQM4] $557.8mm NQM RMBS via JPM. SOLE BOOKRUNNER: J.P. MORGAN. CO-MANAGERS: RAYMOND JAMES / STIFEL, NICOLAUS / ACADEMY / DREXEL HAMILTON / AMERIVET / LOOP CAPITAL / PIPER SANDLER / MISCHLER FINANCIAL.144A/RegS. Bloomberg: JPMMT 2025-NQM4 SSAP: JPMMT25NQM4. Min. Denominations: $25k by $1.00 (144a); A-1 through A-3 $150k by $1.00, M-1A through B-1 $250k by $1.00 (Reg. S). ERISA: Yes = Class A-1 through M-1B. Preliminary Red PPM: Thursday, October 23rd. Rating Agency Presales: Thursday, October 23rd. Investor Settlement: Friday, October 31st.

SEC Form ABS-15G: Late Week of October 13th. Pricing Speed: 25% CPR to 4 Year Call (Step-Up Date). Optional Redemption: Earlier of (i) 3 Years and (ii) 30% Pool Factor. Coupon Step-Up: 100 bps Step-Up on Class A-1, A-2 and A-3 after 48 months, subject to NWAC. Interest payable to Class B-3 is available to cover cap carryover amounts on Class A-1, A-1A, A-1B, A-1C, A-1F, A-1IO, A-2 and A-3 after 48 months. A-1F, A-1A, A-1B, and A-1 sizes reflect MAXIMUM offered sizes. The four classes will be sized at pricing to a total of $362.204mm offered. A-1F is a 7.00% Cap Floater and its size will be dependent on total creation. After 48 months, the A-1F will receive the entire Coupon Step-up of 100bps and become an 8.00% Cap Floater. A1IO is an Inverse IO that will be retained by the Retaining Sponsor.

Anticipated Capital Structure:

Collateral Summary:

10/20 [SAN 2025-CES1] $286+mm RMBS via Santander US Capital Markets. 144A/Reg S. Expected Settle: 10/28/2025. First Pay Date: 11/25/2025. Form 15-G Filing: 10/10/2025. Bloomberg SSAP: SAN25CES1. Min Denoms: $100k x $1. RR Compliance: US-Yes; EU/UK-No. Bill & Deliver: Santander. ERISA: A-1, A-1A, A-1B, A2, A-3, M-1: Yes. Pricing Speed: 15% CPR to 4-year call (step up date). Coupon Step-Up: 100bps on Class A1/A-2/A-3 after 48 months, subject to NWAC. Collateral: a pool of fixed rate, closed-end second lien residential mortgage loans.

ANTICIPATED CAPITAL STRUCTURE:

COLLATERAL SUMMARY:

10/24 [STACR 2025-DNA4] $605mm CRT via BofA(str)/Nomura. CO-MANAGERS : BMO, Citigroup, Morgan Stanley, StoneX. SELLING GROUP : CastleOak and Drexel Hamilton. REGISTRATION : 144A/REG-S. EXP. SETTLE : 10/29/2025. FIRST PAY: 11/25/2025. EXP. RATINGS : S&P/Morningstar DBRS. ERISA ELIGIBLE: A-1,M-1,M2:YES. BILL & DELIVER : BofA Securities.

ANTICIPATED CAPITAL STRUCTURE:

* Run at 10% CPR to Early Redemption Date occurring in October 2030

CLO PRICED

10/24 [AGL 2021-12] $603.5mm Reset BSL CLO via BofA. Deal name: AGL CLO 12 Ltd. Manager: AGL CLO Credit Management LLC. Deal type: USD BSL CLO reset. Target settlement: November 04, 2025. First payment: April 20, 2026. Non-call period: October 20, 2027. Reinvestment period ends: October 20, 2030. Stated maturity: October 20, 2038.

Capital Structure:(1) assuming 20% CPR, 2% CDR, 70% recovery

10/23 [ANCHORAGE CLO 8 (ANCHC) 2015-8] $367.25mm Reset CLO via Barclays. Issuer: ANCHORAGE CAPITAL CLO 8, LTD. Co-Issuer: ANCHORAGE CAPITAL CLO 8, LLC. Collateral Manager: Anchorage Collateral Management, L.L.C. Initial Purchaser: Barclays. Ticker: ANCHC. 2016-8. Reinvestment Period: 10/27/2030. Registration: 144A/Reg S. Non-Call Period: 10/27/2027. Pricing: 10/23/2025. Legal Final Maturity: 10/27/2038. Closing: 11/6/2025. First Payment: 1/27/2026.

Capital Structure: Notes: (i) WAL calculated on Intex assuming 20% prepayment, 2% defaults, and 70% recovery, no reinvestment after end of the reinvestment period and assuming 6yr rolling maturity for reinvestments.

10/22 [Ballyrock CLO 17 Ltd.] $534.28mm Reset BSL CLO via WF. Collateral Manager: Ballyrock Investment Advisors LLC. Sole Bookrunner: Wells Fargo Securities. Reinvestment Period: 4.94 Years ending 10/20/2030. Non-Call Period: 2.00 Years ending 11/13/2027. Target Settlement: 11/13/2025. Bill & Deliver: Wells Fargo Securities. Ticker: BALLY 2021-17. EU Risk Retention: Transaction is expected to comply with EU Risk Retention and Article 7.

Capital Structure:

10/21 [CARLYLE 2015-5, LTD.] $263.26mm Refi CLO via Citi. MANAGER: CARLYLE CLO MANAGEMENT L.L.C. DEAL NAME: CARLYLE 2015-5, LTD. ASSET TYPE: USD SENIOR SECURED BANK LOANS. DEAL SIZE: $263.26 MM. Closing Date: November 4, 2025. Reinvestment Period: Unchanged (January 20, 2024). Non-Call Period: May 4, 2026. Stated Maturity: Unchanged (January 20, 2032).

** Refinancing Notes are trading with accrued interest.
** Coupon formula will be SOFR + CSA + Spread; CSA will be 26.161bps; spreads will be reduced by CSA amount.

Capital Structure: ^ A1-R3 roll notional will be 145,362,199
^^ Par subs as of September trustee report, reduced for A1-R3 paydown

10/24 [Fortress Credit BSL IX Limited (FCBSL) 2020-1] $335mm Refi CLO via MUFG. Ticker: FCBSL 2020-1. Issuer: Fortress Credit BSL IX Limited. Co-Issuer: Fortress Credit BSL IX LLC. Target Refinanced Par: $335,000,000. Collateral Manager: FC BSL IX Management LLC. Reinvestment End: 20-Oct-2025 (unch). Noncall End: 5-May-2026. Closing: 5-Nov-2025. Next Pay: 20-Jan-2026. Legal Maturity: 20-Oct-2033 (unch). WAL Test Extn: None.

Capital Structure: - WAL assumes 20 CPR, 2 CDR, 70 recovery, to maturity

* Class A1F Fixed Notes Not Being Refinanced

10/24 [Golub Capital Partners CLO 69(M)-R] Reset $1.13Bln CLO via BNP Paribas. Manager: GC Investment Management LLC, as Sole Structuring Agent / Lead Placement Agent with NatWest Markets Securities Inc. as Co-Placement Agent. Closing Date: November 7, 2025. Reinvestment Period End Date: November 9, 2030. Non-Call Period End Date: November 9, 2027. Final Maturity Date: November 9, 2038. Offering: 144a/Reg-S. Risk Retention Compliant: EU/UK.

Capital Structure:

10/22 [LCM 38 LTD. Reset] $356.35mm Reset CLO via WF. Collateral Manager: LCM EURO LLC. Sole Bookrunner: Wells Fargo Securities. Reinvestment Period: 5.00 Years ending 11/4/2030. Non-Call Period: 2.00 Years ending 11/4/2027. Target Settlement: 11/4/2025. Ticker: LCM 38. EU Risk Retention: Transaction is expected to comply with EU Risk Retention and Article 7.

Capital Structure:

^Class X is paid off evenly in 16 periods, starting from the second period.
*Fixed rate tranche

10/20 [LoanCore (LNCR) 2025-CRE9] $1.1Bln Commercial Real Estate CLO via MS(str)/WF/JPM/GS. Settlement: On or about October 30, 2025.

Structure Summary: Managed Transaction with 30-month Reinvestment Period, 30-month Non-Call Period, 180-day Ramp Up Period, O/C Test with 2.0% Cushion and I/C Test of 120%. Risk Retention: Transaction is structured in compliance with US and EU/UK Risk Retention.

Collateral Summary: Aggregate Collateral Interest Cut-off Date Balance* $955,975,000. Number of Collateral Interests / Mortgaged Properties 22 / 26. Future Funding Companion Participation Cut-off Date Balance $55,253,762. WA Collateral Interest Cut-off Date As-is LTV Ratio 68.5%. WA Committed Commercial Real Estate Loan Stabilized LTV Ratio 63.1%. WA UW NCF DSCR 1.10x. WA UW Stabilized NCF DSCR 1.26x. WA UW NOI Debt Yield 7.6%. WA UW Stabilized NOI Debt Yield 9.1%. WA Remaining Term to Initial Maturity (months) 28. WA Remaining Term to Fully Extended Maturity (months) 60. WA Seasoning (months) 2. WA Remaining Call Protection (months) 13. WA Collateral Interest Gross Margin 2.862%. Top 3 States: FL (30.3%); CA (25.9%); NC (12.7%). Top 3 Property Types: Multifamily (56.1%), Industrial (17.4%), Office (11.2%).

Offered Notes:

Non-Offered Notes:

10/23 [MARBLE POINT CLO XXIII (INVESTCORP) REFI] $412.75mm Refi CLO via MS. COLLATERAL MANAGER: MARBLE POINT CLO MANAGEMENT LLC, AN INVESTCORP CREDIT MANAGEMENT US ENTITY. STRUCTURING LEAD: MORGAN STANLEY. REINVESTMENT PERIOD END: 1/22/2027. NON-CALL END: 8/4/2026. OFFERING TYPE: 144A/REG S. CLOSING DATE: 11/4/2025.

Capital Structure:

*Combined Class C-1 and Class C-2 into a single Class C-R (floating) for this partial refinancing

10/21 [SILVER POINT SCF CLO VIII] $373.15MM MM CLO VIA MS. COLLATERAL MANAGER: SILVER POINT SPECIALITY CREDIT FUND III MANAGEMENT, LLC. STRUCTURING LEAD: MORGAN STANLEY. REINVESTMENT PERIOD END: 10/15/2029. NON-CALL END: 10/15/2027. OFFERING TYPE: 144A/REG S. CLOSING DATE: 11/20/2025.

CAPITAL STRUCTURE:

10/24 [Sycamore Tree CLO (STCP) 2024-5, Ltd.] $462mm Reset CLO via GS. 144A/RegS. Portfolio Manager: Sycamore Tree CLO Advisors, L.P. Sole Placement Agent: Goldman, Sachs & Co. LLC. BBG Ticker: STCP 2024- 5. Closing Date: November 7, 2025. 1st Payment Date: January 20, 2026. Payment Dates: 20th of January, April, July and October of each year. Reinvestment Period: Approx. 5 years (October 20, 2030). Non-Call Period: Approx. 2 years (October 20, 2027). WAL Test: Approx. 9 years (October 20, 2034). Stated Maturity: Approx. 13 years (October 20, 2038).

Capital Structure:* Based on $[500]mm target par

** Assumes 2 CDR | 20 CPR | 70 Recovery to maturity | No reinvestment post RP

CUSIP/ ISIN:

0/24 [TPG CRE CLO (TRTX) 2025-FL7] $1.1Bln Commercial Real Estate CLO via GS(str)/BofA/WF. CoManagers: BMO Capital Markets Corp., Citigroup Global Markets, Inc., HSBC Securities (USA) Inc., M&T Securities, Inc., Raymond James & Associates, Inc., Standard Chartered Bank and TPG Capital BD, LLC. 144a/Reg S. Expected Settlement: November 17, 2025.

Structure Summary: Managed Transaction with 30-month Reinvestment Period*, 30-month Non-Call Period, O/C Test with 2.0% Cushion, and I/C Test of 120%.

Risk Retention: Transaction is structured in compliance with US and EU/UK Risk Retention.

*ALL REINVESTMENT COLLATERAL INTERESTS ARE SUBJECT TO THE SATISFACTION OF CERTAIN ELIGIBILITY CRITERIA RELATING TO LTV, DSCR, WAL, AND CERTAIN GEOGRAPHIC AND POOL CONCENTRATION LIMITS AMONG OTHER ITEMS. IN ORDER FOR SUCH A COLLATERAL INTEREST TO BE ELIGIBLE FOR ACQUISITION, THE CONCENTRATION OF: (I) MULTIFAMILY PROPERTIES (PLUS CASH) MAY NOT BE LESS THAN 40.0%; AND (II) MULTIFAMILY PROPERTIES AND INDUSTRIAL PROPERTIES (PLUS CASH) MAY NOT BE LESS THAN 55.0% OF THE AGGREGATE OUTSTANDING PORTFOLIO BALANCE. ADDITIONALLY, THE CONCENTRATION OF BUILD-TO-RENT MULTIFAMILY (BTR) PROPERTIES MAY NOT EXCEED 10% OF THE AGGREGRATE OUTSTANDING PORTFOLIO BALANCE. SEE THE OFFERING MEMORANDUM FOR ADDITIONAL INFORMATION.

Collateral Summary: Aggregate Collateral Interest Cut-off Date Balance $1,100,000,000. Number of Collateral Interests / Mortgaged Properties 21 / 45. WA Collateral Interest Cut-off Date As-Is LTV Ratio 67.6%. WA Committed Commercial Real Estate Loan Stabilized LTV Ratio 65.8%. WA UW NCF DSCR 1.07x. WA UW Stabilized NCF DSCR 1.27x. WA UW NOI Debt Yield 5.6%. WA UW Stabilized NOI Debt Yield 8.9%. WA Remaining Term to Initial Maturity (months) 29. WA Remaining Term to Fully Extended Maturity (months) 49. WA Seasoning (months) 11. WA Remaining Call Protection (months) 5.9. WA Collateral Interest Gross Margin 3.1228%. Top 3 States: TX (20.2%); CA (15.9%); OH (10.6%). Top 5 Property Types: MF (61.4%), IND (23.1%), SS (6.1%), HOSP(5.8%), OFF (3.6%).

Capital Structure:
Non-Offered Securities:

* To worst

10/24 [Wind River 2019-3 Ltd.] $286.7mm Reset CLO via Scotiabank. Issuer: Wind River 2019-3 CLO Ltd. Collateral Manager: First Eagle Alternative Credit, LLC. Arranger: Scotiabank. Type: BSL. Ticker: WINDR 2019- 3A. Closing Date: 11/14/2025. First Payment: 04/15/2026. Non-Call End Date: 11/14/2026. Reinvestment Period: 01/15/2029. Stated Maturity: 01/15/2038.

Capital Structure:

CMBS PRICED

10/22 [Freddie Mac SPC Series K-173] $1.31Bln MF CMBS via WF/BofA. Co-Managers: J.P. Morgan, Loop Capital Markets, Morgan Stanley, Santander. Rating Agencies: Fitch Ratings, Inc. (“Fitch”) and Kroll Bond Rating Agency, LLC ("KBRA"). Collateral Overview: Cut-Off Balance: $1,310,294,029. Collateral: 44 Loans / 44 Properties. Loan Seller: Freddie Mac. Property Types: Multifamily. DSCR/LTV: 1.37x / 62.7%. Geographic: NY:14.3%, CA:12.7%, VA:10.0%, TX:9.0%, FL:6.9%, MA:6.3%, OH:5.6%, IN:5.2%. Collateral subject to change. Presale Reports: Week of October 20th. Settlement: October 30, 2025.

Freddie Mac is providing a guarantee for the SPCs. Loans included in the transaction were originated specifically for Freddie Mac's securitization program through the Freddie Mac Optigo Network. Ratings assigned to the Class A-1 and A-2 SPCs will be subject to surveillance by the Rating Agencies after the date of issuance of such SPCs.

Capital Structure: * Based on credit support of related classes issued by the underlying trust

10/23 [NYC 2025-28L] $900mm Fixed Rate SASB Office CMBS via JPM/DB/GS. 144A/Reg S/Reg D/IAI. MORTGAGE LOAN SELLERS: JPMORGAN CHASE BANK, NATIONAL ASSOCIATION, GERMAN AMERICAN. CAPITAL CORPORATION, GOLDMAN SACHS MORTGAGE COMPANY. RATING AGENCIES: S&P GLOBAL RATINGS AND KROLL BOND RATING AGENCY, LLC. CO-MANAGERS: DREXEL HAMILTON, LLC, HSBC SECURITIES (USA) INC. AND MISCHLER FINANCIAL GROUP, INC. PRICED: October 23, 2025. EXPECTED SETTLE: On or about November 13, 2025. BLOOMBERG TICKER: NYC 2025-28L.

LOAN SUMMARY: First lien, interest-only, fixed rate mortgage loan with a three-year term. COLLATERAL: The Mortgage Loan will be secured by the Borrower’s fee interest in 28 Liberty, a 60-story, Class A office tower comprised of 2,118,647 square feet and located in Manhattan’s Financial District. PROPERTY TYPE: Office. LOCATION: New York, NY. LOAN SPONSOR: Fosun International Limited. LOAN PURPOSE: Refinance. ADDITIONAL DEBT: None.

FIRST MORTGAGE LOAN METRICS - LTV: 65.1%. UW NCF DSCR: 1.58x(1). UW NOI DY: 9.8%. LOAN PER SF: $425(2).

(1) The interest rate on the Mortgage Loan will be a fixed rate, of which will be determined based on final pricing of the Certificates. For purposes of calculations herein, the mortgage rate is assumed to be 6.00000%.

(2) Based on 2,118,647 square feet.

TRUSTEE: Computershare Trust Company, National Association. CERTIFICATE ADMINISTRATOR: Computershare Trust Company, National Association. SERVICER: KeyBank National Association. SPECIAL SERVICER: Argentic Services Company LP.

U.S. RISK RETENTION: JPMCB is expected to act as the “retaining sponsor” for this securitization and intends to satisfy the U.S. credit risk retention requirement through the purchase by a “third-party purchaser” of an “eligible horizontal residual interest,” which will be comprised of the Class HRR Certificates. The estimated fair value of the Class HRR Certificates will be equal to at least 5% of the estimated fair value of all of the Classes of Certificates issued by the Trust.

Capital Structure:

(1) Cumulative Loan Per Square Foot is calculated based on 2,118,647 square feet.
(2) Cumulative LTV is calculated based on the Appraised Value of approximately $1.4 billion.
(3) Cumulative UW NOI DY is calculated based on UW NOI of approximately $88.3 million.