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         T R O U B L E D   C O M P A N Y   R E P O R T E R

              Sunday, January 28, 2024, Vol. 28, No. 27

                            Headlines

AMUR EQUIPMENT 2024-1: Moody's Assigns (P)Ba3 Rating to E Notes
AMUR EQUIPMENT 2024-1: S&P Assigns Prelim 'BB' Rating on E Notes
BARINGS LOAN 3: Moody's Ups Rating on $500,000 Cl. F Notes to B2
BASEPOINT MCA 2023-1: DBRS Finalizes BB Rating on Class B Notes
BENCHMARK 2024-V5: Fitch Assigns B(EXP)sf Rating on Cl. G-RR Certs

BENEFIT STREET XXXIII: S&P Assigns BB- (sf) Rating on Cl. E Notes
BENEFIT STREET XXXIII: S&P Assigns Prelim 'BB-' Rating on E Notes
BRIDGECREST LENDING 2024-1: S&P Assigns BB (sf) Rating on E Notes
CBAM LTD 2018-7: Moody's Cuts Rating on $37.5MM Cl. E Notes to B1
CHURCHILL MMSLF CLO-III: S&P Assigns BB- (sf) Rating on E Notes

COLT 2024-INV1: S&P Assigns B (sf) Rating on B-2 Certificates
CONN'S RECEIVABLES 2024-A: Fitch Assigns 'B+(EXP)sf' on Cl. C Notes
CQS US 2023-3: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
FANNIE MAE 2024-R01: S&P Assigns Prelim 'B+' Rating on 1B-2X Notes
GCAT 2024-INV1: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs

GS MORTGAGE 2014-GC18: Moody's Cuts Rating on Cl. PEZ Certs to B3
GS MORTGAGE 2017-375H: S&P Lowers Class D Notes Rating to 'B+(sf)'
GS MORTGAGE 2021-HP1: Moody's Raises Rating on Cl. B-5 Certs to B2
GS MORTGAGE 2024-RPL1: Fitch Assigns 'Bsf' Rating on Cl. B-2 Notes
GUGGENHEIM MM 2024-7: S&P Assigns Prelim 'BB-' Rating on E Notes

HUNDRED ACRE 2021-INV3: Moody's Hikes Rating on Cl. B5 Certs to B1
MADISON PARK XIX: Moody's Assigns B3 Rating to $250,000 F Notes
MIDOCEAN CREDIT V: Moody's Ups $23.250MM E-R Notes Rating to Ba1
MOSAIC SOLAR 2022-1: Fitch Affirms 'BBsf' Rating on Class D Notes
MSSG TRUST 2017-237P: S&P Lowers Class E Certs Rating to 'B- (sf)'

OCP CLO 2023-30: S&P Assigns BB- (sf) Rating on Class E Notes
PROVIDENT FUNDING 2021-J1: Moody's Hikes Rating on B-5 Debt to 'B1'
PRPM 2023-NQM3: DBRS Finalizes B(high) Rating on B-2 Certs
SILVER ROCK III: S&P Assigns BB- (sf) Rating on Class E Notes
SILVER ROCK III: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes

TOWD POINT 2024-CES1: Fitch Assigns BB-(EXP) Rating on B1 Notes
TRICOLOR AUTO 2024-1: Moody's Assigns (P)B2 Rating to Cl. F Notes
TRINITAS CLO XXVI: S&P Affirms BB- (sf) Rating on Class E Notes
TRINITAS CLO XXVI: S&P Assigns Prelim BB- (sf) Rating on E Notes
VENTURE XXVI CLO: Moody's Cuts Rating on $25.700MM E Notes to B1

VERTICAL BRIDGE 2022-1: Fitch Affirms 'BB-sf' Rating on Cl. F Notes
VERUS SECURITIZATION 2024-1: S&P Assigns 'B' Rating on B-2 Notes
WIND RIVER 2014-3K: Moody's Lowers Rating on $8MM F Notes to Caa3
[*] Moody's Puts Ratings on 13 Bonds From US RMBS Deals on Review
[*] Moody's Takes Action on $382.5MM of US RMBS Issued 2004-2007

[*] Moody's Upgrades Rating on $237MM of US RMBS Issued 2005-2006
[*] Moody's Upgrades Ratings on $105MM of US RMBS Issued 2021
[*] S&P Places 28 Ratings From 14 U.S. CLO Deals on Watch Positive
[*] S&P Takes Various Actions on 41 Classes From 15 U.S. RMBS Deals

                            *********

AMUR EQUIPMENT 2024-1: Moody's Assigns (P)Ba3 Rating to E Notes
---------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
Series 2024-1 notes to be issued by Amur Equipment Finance
Receivables XIII LLC (Amur 2024-1). Amur Equipment Finance, Inc.
(Amur) will sponsor the securitization, which will be backed by
fixed-rate loans and leases secured by transportation, industrial,
heavy machinery, medical aesthetics, and construction equipment.
Amur will also be the servicer of the pool to be securitized. Amur
2024-1 will be Amur's thirteenth transaction backed by similar
collateral.

The complete rating actions are as follows:

Issuer: Amur Equipment Finance Receivables XIII LLC, Series 2024-1

Class A-1 Notes, Assigned (P)P-1 (sf)

Class A-2 Notes, Assigned (P)Aaa (sf)

Class B Notes, Assigned (P)Aa1 (sf)

Class C Notes, Assigned (P)A1 (sf)

Class D Notes, Assigned (P)Baa3 (sf)

Class E Notes, Assigned (P)Ba3 (sf)

RATINGS RATIONALE

The provisional ratings for the notes are based on the credit
quality of the equipment loan and lease pool to be securitized and
its expected performance, the historical performance of Amur's
managed portfolio and that of its prior securitizations, the
experience and expertise of Amur as the originator and servicer of
the underlying pool, the back-up servicing arrangement with UMB
Bank, N.A., the transaction structure including the level of credit
enhancement supporting the notes, and the legal aspects of the
transaction. Additionally, in assigning a (P)P-1 (sf) rating to the
Class A-1 Notes, Moody's considered the cash flows the underlying
receivables are expected to generate prior to the Class A-1 notes'
legal final maturity date.

Moody's median cumulative net loss expectation for the Amur 2024-1
collateral pool is 4.50% and loss at a Aaa stress is 28.00%.
Moody's cumulative net loss expectation and loss at a Aaa stress is
based on its analysis of the credit quality of the underlying
collateral pool, as well as the potential movement in the pool
following the addition of assets during the prefunding period, and
the historical performance of similar collateral, including Amur's
managed portfolio performance, the track-record, ability and
expertise of Amur to perform the servicing functions, and current
expectations for the macroeconomic environment during the life of
the transaction.

The classes of notes will be paid sequentially. At transaction
closing, the Class A, Class B, Class C, Class D, and Class E notes
will benefit from 31.00%, 24.40%, 18.35%, 12.10%, and 9.25% of hard
credit enhancement, respectively. Initial hard credit enhancement
for the notes will consist of (1) subordination (except in the case
of the Class E notes), (2) initial over-collateralization of 8.25%
that can build to a target of 9.75% of the outstanding adjusted
discounted pool balance, and has a floor of 2.00%, and (3) a fully
funded, non-declining reserve account of 1.00% of the initial
adjusted discounted pool balance. The transaction can also benefit
from excess spread. However, similar to the most recent Amur
sponsored deal, there is very little excess spread available as the
discount rate applied to the underlying contracts is similar to the
expected weighted average coupon rate on the notes and the expected
servicing fee. The sequential-pay structure and non-declining
reserve account will result in a build-up of credit enhancement
supporting the rated notes.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Equipment
Lease and Loan Securitizations methodology" published in September
2023.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Moody's could upgrade the ratings on the subordinate 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 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 notes if levels of credit protection
are insufficient to protect investors against current expectations
of portfolio losses. Credit enhancement could decline if excess
spread is not sufficient to cover losses in a given month. 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 equipment securing obligors' 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 include poor servicing, error on
the part of transaction parties and inadequate transaction
governance. Additionally, Moody's could downgrade the Class A-1
short term rating following a significant slowdown in principal
collections that could result from, among other reasons, high
delinquencies or a servicer disruption that impacts obligors'
payments.


AMUR EQUIPMENT 2024-1: S&P Assigns Prelim 'BB' Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Amur
Equipment Finance Receivables XIII LLC's series 2024-1 equipment
contract-backed notes.

The note issuance is an ABS transaction backed by small- to
mid-ticket equipment finance contracts (loan/lease).

The preliminary ratings are based on information as of Jan. 18,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The availability of approximately 28.06%, 21.99%, 16.16%,
10.82%, and 8.89% in credit support (based on stressed breakeven
cash flow scenarios) for the class A, B, C, D, and E notes,
respectively. The credit support provides coverage of more than
5.0x, 4.0x, 3.0x, 2.0x, and 1.60x S&P's 7.50%-8.00% base case
expected gross loss range for the class A, B, C, D, and E notes,
respectively.

-- S&P's expectation that under a moderate ('BBB') stress
scenario, all else being equal, our ratings will be within the
credit stability limits specified by section A.4 of the Appendix
contained in "S&P Global Ratings Definitions," published June 9,
2023.

-- 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 pool's obligor diversification. Each individual obligor
represents 0.48% or less of the initial discounted pool balance,
which is below S&P's 1.50% threshold level to be considered as an
additive factor in our stressed loss calculations.

-- The series collateral characteristics, which are generally
comparable to prior AXIS transactions and concentrated in the
transportation sector.

-- Amur's outstanding and paid off securitization performance,
which was a key consideration in deriving our gross loss and
recovery rate expectations for this series.

-- S&P's operational risk assessment of Amur Equipment Finance
Inc. as servicer, its view of the company's underwriting, and the
company's backup servicing arrangement with UMB Bank N.A.

-- The transaction's payment and legal structures.

-- S&P's updated macroeconomic forecast and forward-looking view
of the transportation industry.

  Preliminary Ratings Assigned

  Amur Equipment Finance Receivables XIII LLC (Series 2024-1)

  Class A-1, $47.00 million: A-1+ (sf)
  Class A-2, $263.00 million: AAA (sf)
  Class B, $29.22 million: AA (sf)
  Class C, $26.79 million: A (sf)
  Class D, $27.68 million: BBB (sf)
  Class E, $12.61 million: BB (sf)



BARINGS LOAN 3: Moody's Ups Rating on $500,000 Cl. F Notes to B2
----------------------------------------------------------------
Moody's Investors Service has assigned a rating to one class of
refinancing notes (the "Refinancing Notes") issued by Barings Loan
Partners CLO Ltd. 3 (the "Issuer").

Moody's rating action is as follows:

US$252,000,000 Class A-R Senior Secured Floating Rate Notes due
2033 (the "Class A-R Notes"), Assigned Aaa (sf)

Additionally, Moody's has taken rating action on the following
outstanding notes originally issued by the Issuer on August 25,
2022 (the "Original Closing Date"):

US$500,000 Class F Secured Deferrable Mezzanine Fixed Rate Notes
due 2033 (the "Class F Notes"), Upgraded to B2 (sf); previously on
August 25, 2022 Assigned B3 (sf)

A comprehensive review of all credit ratings for the respective
transactions has been conducted during a rating committee.

RATINGS RATIONALE

The rationale for the ratings is based on Moody's methodology 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.

Barings LLC (the "Manager") will continue to direct the selection,
acquisition and disposition of the assets on behalf of the Issuer
and may engage in trading activity, including discretionary
trading, during the transaction's remaining reinvestment period.

In addition to the Refinancing Notes and one additional class
refinanced secured notes, the Issuer previously issued four other
classes of secured notes and one class of subordinated notes, which
will remain outstanding.

In addition to the issuance of the new classes of secured 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 concentration limitations;
additions to the CLO's ability to hold certain types of workout and
restructured assets.

The upgrade rating action on the Class F Notes is primarily a
result of the refinancing, which increases excess spread available
as credit enhancement to the rated notes.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
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: $398,829,647

Defaulted par: $985,983

Diversity Score: 71

Weighted Average Rating Factor (WARF): 3074

Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.65%

Weighted Average Recovery Rate (WARR): 48.00%

Weighted Average Life (WAL): 5.47 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, decrease in overall WAS and lower recoveries
on defaulted assets.

Methodology Underlying the Rating Action

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.            

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 Manager's investment
decisions and management of the transaction will also affect the
performance of the rated notes.


BASEPOINT MCA 2023-1: DBRS Finalizes BB Rating on Class B Notes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of expandable notes (collectively, the Notes) issued by
BasePoint MCA Securitization LLC as follows:

-- $85,544,000 Series 2023-1 Class A Notes at BBB (sf)
-- $14,790,000 Series 2023-1 Class B Notes at BB (sf)

The final ratings are based on DBRS Morningstar's review of the
following analytical considerations:

-- The transaction's capital structure and available credit
enhancement. Subordination, overcollateralization (OC), 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 DBRS Morningstar's stressed cumulative
gross loss (CGL) hurdle rate assumptions of 38.292% and 29.030%,
respectively, for each of the BBB (sf) and BB (sf) rating
categories. The respective stressed cumulative net loss (CNL)
hurdle rates for the Class A and Class B Notes are 34.01% and
25.25%. The required OC during the revolving period will be equal
to 10.05% of the collateral pool balance. The Notes will amortize
sequentially on a "full turbo" basis during the amortization
period.

-- The transaction parties' capabilities with regard to
originating, underwriting, and servicing of merchant cash advances
and small business loans. DBRS Morningstar performed an operational
review of BasePoint, Carmel Solution, and each of the Originators
(Fora, Samson, and Pearl/Revenued) and found each of them to be
acceptable for their respective role contemplated in the
transaction. CBIZ MHM, LLC (acting as the Administrator) will,
among other things, conduct a monthly data file review of a sample
of 100 Receivables from the Master Servicer's month-end data file
and compare, confirm or calculate, as applicable, 17 data fields
with reference to either source documentation or the Master
Servicer's (or the applicable Originator's) underlying operating
system or database. The heightened data error rate may ultimately
result in the occurrence of a Rapid Amortization Event.

-- A review by DBRS Morningstar of the historical performance
going back to 2015 with regard to Advance Receivables originated by
Pearl and Samson in addition to a review of the historical
performance of the Advance Receivables purchased by CRA Funding 1,
LLC from each Originator. These data sets were further supplemented
by a review of historical performance data for the recent term ABS
transactions sponsored by Fora Financial LLC.

-- A review of the initial collateral pool as of the Statistical
Cut-Off Date of Sept. 29, 2023. The receivables are relatively
short-term in nature, with a weighted average (WA) original
expected collection term of 11.3 months, and a WA remaining
expected collection term of 8.7 months. The collateral has a WA
right-to-receive (RTR) Ratio of 1.32x, with a WA Calculated
Receivables Yield at Origination of 61.6%, and a Performance Ratio
(calculated as total collections divided by total expected
collections) of 94.7%.

-- Collateral eligibility requirements and concentration limits
that ensure a minimum RTR (the amount a Merchant agrees to pay to
an Originator relative to the amount of advance received by a
Merchant from such Originator) for the collateral pool of 1.265x
and the Performance Ratio (collections received over collections
originally expected to be received) of at least 80%, as well as the
consistent credit quality and diversity of the collateral pool
backing the notes during the revolving period. The collateral
concentration limits and eligibility criteria cover original
expected collection term, original funded amount, exposure to each
individual Originator, Merchant time in business, receivables
yield, and other metrics.

-- Rapid Amortization Events which are designed to protect
noteholders in the event of weaker-than-expected collateral
performance, including a breach of the following collateral
performance triggers: (1) Three-Month Weighted Average Calculated
Receivables Yield of less than 30.00%, (2) Three-Month Weighted
Average Excess Spread of less than 4.00%, and (3) Three-Month
Average Delinquency Ratio greater than 15.00%.

-- The legal structure and legal opinions that 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 DBRS
Morningstar's "Legal Criteria for U.S. Structured Finance".

-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios for
Rated Sovereigns: December 2023 Update," published on December 19,
2023. These baseline macroeconomic scenarios replace DBRS
Morningstar's moderate and adverse Coronavirus Disease (COVID-19)
pandemic scenarios, which were first published in April 2020.

DBRS Morningstar's credit rating on the securities referenced
herein 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 notes are the related Interest Payment and the related
Principal Balance.

DBRS Morningstar's 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 for each of the rated notes are the
interest on any unpaid Interest Payment and the indemnification of
noteholders by the Backup Master Servicer.

DBRS Morningstar's long-term credit ratings provide opinions on
risk of default. DBRS Morningstar 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 DBRS Morningstar 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.


BENCHMARK 2024-V5: Fitch Assigns B(EXP)sf Rating on Cl. G-RR Certs
------------------------------------------------------------------
Fitch Ratings has assigned expected ratings and Rating Outlooks to
Benchmark 2024-V5 Mortgage Trust commercial mortgage pass-through
certificates series V5 as follows:

   Entity/Debt      Rating           
   -----------      ------           
BMARK 2024-V5

   A-1          LT AAA(EXP)sf  Expected Rating
   A-2          LT AAA(EXP)sf  Expected Rating
   A-3          LT AAA(EXP)sf  Expected Rating
   A-M          LT AAA(EXP)sf  Expected Rating
   B            LT AA-(EXP)sf  Expected Rating
   C            LT A-(EXP)sf   Expected Rating
   D            LT BBB(EXP)sf  Expected Rating
   E            LT BBB-(EXP)sf Expected Rating
   F            LT BB-(EXP)sf  Expected Rating
   G-RR         LT B-(EXP)sf   Expected Rating
   J-RR         LT NR(EXP)sf   Expected Rating
   VRR          LT NR(EXP)sf   Expected Rating
   X-A          LT AAA(EXP)sf  Expected Rating
   X-B          LT AA-(EXP)sf  Expected Rating
   X-D          LT BBB-(EXP)sf Expected Rating
   X-F          LT BB-(EXP)sf  Expected Rating

- $365,000 class A-1 'AAAsf'; Outlook Stable;

- $0a class A-2 'AAAsf'; Outlook Stable;

- $600,884,000a class A-3 'AAAsf'; Outlook Stable;

- $721,499,000b class X-A 'AAAsf'; Outlook Stable;

- $120,250,000 class A-M 'AAAsf'; Outlook Stable;

- $37,578,000 class B 'AA-sf'; Outlook Stable;

- $26,842,000 class C 'A-sf'; Outlook Stable;

- $37,578,000b,c class X-B 'AA-sf'; Outlook Stable;

- $21,473,000b,c class X-D 'BBB-sf'; Outlook Stable;

- $15,031,000b,c class X-F 'BB-sf'; Outlook Stable;

- $12,884,000c class D 'BBBsf'; Outlook Stable;

- $8,589,000c class E 'BBB-sf'; Outlook Stable;

- $15,031,000c class F 'BB-sf'; Outlook Stable;

- $8,589,000c,d class G-RR 'B-sf'; Outlook Stable;

Fitch does expect to rate the following classes:

- $27,915,964c,d class J-RR;

- $25,880,653c,e VRR Interest.

Notes:

(a) The initial certificate balances of classes A-2 and A-3 are
unknown and expected to be $600,884,000 in aggregate, subject to a
5% variance. The certificate balances will be determined based on
the final pricing of those classes of certificates. The expected
class A-2 balance range is $0 to $250,000,000 and the expected
class A-3 balance range is $350,884,000 to $600,884,000. Fitch's
certificate balances for classes A-2 and A-3 are assumed at the low
and high end of their range, respectively.

(b) Notional amount and interest only.

(c) Privately placed and pursuant to Rule 144A.

(d) Classes G-RR and J-RR certificates comprise the transaction's
horizontal risk retention interest.

(e) The VRR Interest certificates comprise the transaction's
vertical risk retention interest and the certificate balance is
subject to change based on the final pricing of all classes.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in a
trust, the primary assets of which are 36 fixed-rate, commercial
mortgage loans with an aggregate principal balance of $884,808,617
as of the cut-off date. The mortgage loans are secured by the
borrowers' fee and leasehold interests in 102 commercial
properties. The loans were contributed to the trust by German
American Capital Corporation, Citi Real Estate Funding Inc.,
Barclays Capital Real Estate Inc., Goldman Sachs Mortgage Company
and Bank of Montreal.

The master servicer is expected to be Midland Loan Services and the
special servicer is expected to be Rialto Capital Advisors, LLC.
Computershare Trust Company, N.A. will act as trustee and
certificate administrator. These certificates are expected to
follow a sequential paydown structure.

KEY RATING DRIVERS

Comparable Leverage to Recent Transactions: The pool has comparable
leverage to U.S. Private Label Multiborrower transactions rated by
Fitch during 2023, but lower leverage than Fitch-rated transactions
in 2022. The pool's Fitch loan-to value ratio (LTV) of 88.4% is
similar to the 2023 average of 88.3%, but materially lower than the
2022 average of 99.3%. The pool's Fitch NCF debt yield (DY) of
10.8% is also approximately in line with the 2023 average of 10.9%
and somewhat better than the 2022 average of 9.9%.

Investment-Grade Credit Opinion Loans: Three loans representing
14.6% of the pool balance received an investment-grade credit
opinion. Tyson's Corner Center (8.4% of the pool) and Garden State
Plaza (5.1%) received a standalone credit opinion of 'AAsf*'.
Warwick New York (1.1%) received a standalone credit opinion of
'BBB-sf*'. The pool's total credit opinion percentage of 14.6% is
below the 2023 average of 17.8% and slightly above the 2022 average
of 14.4%. The pool's Fitch LTV and DY, excluding credit opinion
loans, are 90.0% and 10.5%, respectively.

Higher Loan Concentration: The pool is less concentrated than
recently rated Fitch transactions, but still highly concentrated
overall. The largest 10 loans make up 62.2% of the pool, lower than
the 2023 average of 63.7%, but materially higher than the 2022
average of 55.2%. Fitch measures loan concentration risk with an
effective loan count, which accounts for both the number and size
of loans in the pool. The pool's effective loan count is 21.6.
Fitch views diversity as a key mitigant to idiosyncratic risk.
Fitch raises the overall loss for pools with effective loan counts
below 40.

Shorter-Duration Loans: Loans with five-year terms comprise 100% of
the pool, whereas Fitch-rated multiborrower transactions have
historically included mostly loans with 10-year terms. Fitch's
historical loan performance analysis shows that five-year loans
have a modestly lower probability of default than 10-year loans,
all else equal. This is mainly attributed to the shorter window of
exposure to potential adverse economic conditions. Fitch considered
its loan performance regression in its analysis of the pool.

RATING SENSITIVITIES

Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade

Declining cash flow decreases property value and capacity to meet
its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes in one variable, Fitch
NCF:

- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf'
/ 'BB-sf' / 'B-sf';

- 10% NCF Decline: 'AA+sf' / 'Asf' / 'BBBsf' / 'BBB-sf' / 'BBsf' /
'Bsf' / 'CCCsf'.

Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade

Improvement in cash flow increases property value and capacity to
meet its debt service obligations. The table below indicates the
model-implied rating sensitivity to changes to in one variable,
Fitch NCF:

- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf'
/ 'BB-sf' / 'B-sf';

- 10% NCF Increase: 'AAAsf' / 'AA+sf' / 'A+sf' / 'A-sf' / 'BBB+sf'
/ 'BB+sf' /'BB-sf'.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on a comparison and re-computation of
certain characteristics with respect to each of the mortgage loans.
Fitch considered this information in its analysis, and the findings
did not have an impact on the analysis. A copy of the ABS Due
Diligence Form-15E received by Fitch in connection with this
transaction may be obtained through the link contained on the
bottom of this report.

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.


BENEFIT STREET XXXIII: S&P Assigns BB- (sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Benefit Street Partners
CLO XXXIII Ltd./Benefit Street Partners CLO XXXIII 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 BSP CLO Management LLC, a subsidiary
of Franklin Templeton.

The ratings reflect:

-- 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 notes through portfolio
identification and ongoing management; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Ratings Assigned

  Benefit Street Partners CLO XXXIII Ltd./
  Benefit Street Partners CLO XXXIII LLC

  Class A-1, $310.00 million: AAA (sf)
  Class A-2, $20.00 million: Not rated
  Class B, $50.00 million: AA (sf)
  Class C (deferrable), $30.00 million: A (sf)
  Class D (deferrable), $30.00 million: BBB- (sf)
  Class E (deferrable), $17.50 million: BB- (sf)
  Subordinated notes, $40.25 million: Not rated



BENEFIT STREET XXXIII: S&P Assigns Prelim 'BB-' Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Benefit
Street Partners CLO XXXIII Ltd./Benefit Street Partners CLO XXXIII
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 BSP CLO Management LLC, a subsidiary
of Franklin Templeton.

The preliminary ratings are based on information as of Jan. 18,
2024. 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 collateral pool's diversification;

-- 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 notes through portfolio
identification and ongoing management; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Preliminary Ratings Assigned

  Benefit Street Partners CLO XXXIII Ltd./
  Benefit Street Partners CLO XXXIII LLC

  Class A-1, $310.00 million: AAA (sf)
  Class A-2, $20.00 million: Not rated
  Class B, $50.00 million: AA (sf)
  Class C (deferrable), $30.00 million: A (sf)
  Class D (deferrable), $30.00 million: BBB- (sf)
  Class E (deferrable), $17.50 million: BB- (sf)
  Subordinated notes, $40.25 million: Not rated



BRIDGECREST LENDING 2024-1: S&P Assigns BB (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Bridgecrest Lending Auto
Securitization Trust 2024-1's automobile receivables-backed notes.

The note issuance is an ABS transaction backed by subprime auto
loan receivables.

The ratings reflect S&P's view of:

-- The availability of approximately 63.00%, 57.86%, 48.68%,
39.56%, and 35.17% credit support (hard credit enhancement and a
haircut to excess spread) for the class A (collectively, A-1, A-2,
and A-3), B, C, D, and E notes, respectively, based on S&P's final
post-pricing stressed breakeven cash flow scenarios. These credit
support levels provide at least 2.37x, 2.12x, 1.72x, 1.38x, and
1.25x coverage of its expected cumulative net loss of 25.50% for
the class A, B, C, D, and E notes, respectively.

-- The expectation that under a moderate ('BBB') stress scenario
(1.38x S&P's expected loss level), all else being equal, its 'A-1+
(sf)', 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)'
ratings on the class A-1, A-2/A-3, B, C, D, and E notes,
respectively, will be 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 it believes are appropriate for the assigned
ratings.

-- The collateral characteristics of the subprime auto loans,
S&P's view of the credit risk of the collateral, and its updated
macroeconomic forecast and forward-looking view of the auto finance
sector.

-- The series' bank accounts at Wells Fargo Bank N.A.
(A+/Stable/A-1), which do not constrain the ratings.

-- S&P's operational risk assessment of Bridgecrest Acceptance
Corp. as servicer, and its view of the originator's underwriting
and the backup servicing arrangement with Computershare Trust Co.
N.A. (BBB/Stable/--).

-- S&P's assessment of the transaction's potential exposure to
environmental, social, and governance credit factors that are in
line with its sector benchmark.

-- The transaction's payment and legal structure.

  Ratings Assigned

  Bridgecrest Lending Auto Securitization Trust 2024-1

  Class A-1, $59.261 million: A-1+ (sf)
  Class A-2, $122.619 million: AAA (sf)
  Class A-3, $122.619 million: AAA (sf)
  Class B, $65.100 million: AA (sf)
  Class C, $89.600 million: A (sf)
  Class D, $93.800 million: BBB (sf)
  Class E, $38.500 million: BB (sf)



CBAM LTD 2018-7: Moody's Cuts Rating on $37.5MM Cl. E Notes to B1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by CBAM 2018-7, Ltd.:

US$54,375,000 Class B-1 Floating Rate Notes due 2031 (the "Class
B-1 Notes"), Upgraded to Aa1 (sf); previously on July 12, 2018
Assigned Aa2 (sf)

US$29,250,000 Class B-2 Floating Rate Notes due 2031 (the "Class
B-2 Notes"), Upgraded to Aa1 (sf); previously on July 12, 2018
Assigned Aa2 (sf)

Moody's has also downgraded the rating on the following notes:

US$37,500,000 Class E Deferrable Floating Rate Notes due 2031 (the
"Class E Notes"), Downgraded to B1 (sf); previously on September 1,
2020 Confirmed at Ba3 (sf)

CBAM 2018-7, Ltd., issued in July 2018, is a managed cashflow CLO.
The notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period ended in July 2023.

A comprehensive review of all credit ratings for the respective
transactions have been conducted during a rating committee.

RATINGS RATIONALE

The upgrade rating actions on the Class B-1 and B-2 notes are
primarily a result of deleveraging of the senior notes. The Class A
notes have been paid down by approximately 2.44% or $11.7 million
since December 2022. The deal has also benefited from a shortening
of the portfolio's weighted average life since December 2022.

The downgrade rating action on the Class E notes reflects the
specific risks to the junior notes posed by par loss and credit
deterioration observed in the underlying CLO portfolio. Based on
the trustee's December 2023[1] report, the OC ratio for the Class E
notes is reported at 104.47% versus December 2022[2] level of
106.30%. Furthermore, the trustee-reported weighted average rating
factor (WARF) has been deteriorating and the December 2023[3] level
is 2935 compared to 2854 in December 2022[4].

No actions were taken on the Class A, Class C, and Class D notes
because their expected losses remain commensurate with their
current ratings, after taking into account the CLO's latest
portfolio information, its relevant structural features and its
actual over-collateralization and interest coverage levels.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
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: $711,158,823

Defaulted par:  $2,792,498

Diversity Score: 72

Weighted Average Rating Factor (WARF): 2925

Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.45%

Weighted Average Recovery Rate (WARR): 47.36%

Weighted Average Life (WAL): 4.27 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, decrease in overall WAS or net interest
income, lower recoveries on defaulted assets.

Methodology Used for the Rating Action

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.            

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.


CHURCHILL MMSLF CLO-III: S&P Assigns BB- (sf) Rating on E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Churchill MMSLF CLO-III
L.P./Churchill MMSLF CLO-III 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 Churchill Asset Management LLC, which
is a subsidiary of Nuveen Private Capital LLC, which is an indirect
subsidiary, of Nuveen LLC, which in turn is a subsidiary of
Teachers Insurance and Annuity Association of America.

The ratings reflect:

-- S&P's view of the collateral pool's diversification;

-- 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 notes through portfolio
identification and ongoing management; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Ratings Assigned

  Churchill MMSLF CLO-III L.P./Churchill MMSLF CLO-III LLC

  Class X, $3.00 million: AAA (sf)
  Class A, $234.00 million: AAA (sf)
  Class B, $50.00 million: AA (sf)
  Class C (deferrable), $24.00 million: A (sf)
  Class D (deferrable), $20.00 million: BBB- (sf)
  Class E (deferrable), $24.00 million: BB- (sf)
  Subordinated notes, $42.53 million: Not rated



COLT 2024-INV1: S&P Assigns B (sf) Rating on B-2 Certificates
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to COLT 2024-INV1 Mortgage
Loan Trust's mortgage-backed certificates.

The certificate issuance is an RMBS transaction backed by 779
first-lien, fixed- and adjustable-rate, fully amortizing,
ability-to-repay (ATR)-exempt, business purpose investment property
residential mortgage loans to prime and nonprime borrowers (some
with interest-only periods). The loans are secured by single-family
residential properties, planned unit developments, condominiums,
townhomes, condotels, and two- to four-family residential
properties.

The ratings reflect S&P's view of:

-- The pool's collateral composition;

-- The transaction's credit enhancement, associated structural
mechanics, representation and warranty framework, and geographic
concentration;

-- The mortgage aggregator and reviewed originators; and

-- The potential impact current and near-term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, "On Oct. 13, 2023, we updated our market
outlook as it relates to the 'B' projected archetypal loss level.
As a result, we revised and lowered our 'B' foreclosure frequency
to 2.50% from 3.25%, which reflects the level prior to April 2020,
preceding the COVID-19 pandemic. The updates reflect our benign
view of the U.S. mortgage and housing markets as demonstrated
through general national-level home price behavior, unemployment
rates, mortgage performance, and underwriting. In addition, the
U.S. economy has outperformed expectations following consecutive
quarters of contraction in the first half of 2022."

S&P said, "Since issuing our preliminary ratings on Jan. 3, 2023,
we incorporated updated loan-level information into our analysis,
including loan balances as well as loan status as of the Jan. 1,
2024, cutoff date. Certain bond sizes were subsequently reduced to
reflect the lower pool balance, with the credit enhancement
unchanged for each class. The loss coverage estimates and final
ratings assigned are unchanged from the preliminary ratings we
assigned for all classes."

  Ratings Assigned(i)

  COLT 2024-INV1 Mortgage Loan Trust

  Class A-1, $120,321,000: AAA (sf)
  Class A-2, $19,526,000: AA (sf)
  Class A-3, $23,921,000: A (sf)
  Class M-1, $13,903,000: BBB (sf)
  Class B-1, $11,245,000: BB (sf)
  Class B-2, $8,485,000: B (sf)
  Class B-3, $7,054,226: NR
  Class A-IO-S, Notional(ii): NR
  Class X, Notional(ii): NR
  Class R, N/A: NR

(i)The ratings address the ultimate payment of interest and
principal.
(ii)Interest can be deferred on the classes, the fixed coupons are
subject to the pool's net WAC rate, and interest rate on the class
B-1, B-2, and B-3 certificates equals the pool's net WAC.
(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 $204,455,226.
WAC--Weighted average coupon.
NR--Not rated.



CONN'S RECEIVABLES 2024-A: Fitch Assigns 'B+(EXP)sf' on Cl. C Notes
-------------------------------------------------------------------
Fitch Ratings expects to assign ratings and Rating Outlooks to the
notes issued by Conn's Receivables Funding 2024-A, LLC, which
consists of notes backed by retail loans originated by Conn
Appliances, Inc. or Conn Credit Corporation, Inc. and serviced by
Conn Appliances, Inc.

   Entity/Debt          Rating           
   -----------          ------           
Conn’s Receivables
Funding 2024-A

   Class A          LT  BBB(EXP)sf  Expected Rating
   Class B          LT  BB(EXP)sf   Expected Rating
   Class C          LT  B+(EXP)sf   Expected Rating

KEY RATING DRIVERS

Forward-Looking Approach to Base Case Default Derivation: Fitch
considered economic conditions and future expectations when
deriving the base case default assumption of 30%. Conn's has
tightened use of the re-age policy in recent years which is
contributing to an increase in early defaults. In addition to
higher early defaults, Conn's has recently experienced higher
lifetime defaults in managed and securitized pools in what has been
an overall weak period for unsecured consumer loans, especially for
sub- and near-prime obligors. Fitch looked to pre- and
post-pandemic performance as well as the current macroeconomic
environment to set the base case default assumption.

Rating Stress Reflects Subprime Collateral: The Conn's 2024-A
receivables pool has a weighted average (WA) FICO score of 621 and
8.6% of the loans have scores below 550 or no score. Fitch applied
2.2x, 1.5x and 1.3x stresses to the 30% default assumption at the
'BBBsf', 'BBsf' and 'B+sf' levels, respectively. The default
multiple reflects the high absolute value of the historical
defaults, the variability of default performance in recent years
and the high geographical concentration of the portfolio.

Rating Cap at 'BBBsf': The rating cap reflects the subprime
credit-risk profile of the customer base; higher loan defaults in
recent years and the years prior to the coronavirus pandemic; the
high concentration of receivables from Texas; recent management and
corporate changes, and servicing collection risk, albeit reduced in
recent years, due to a portion of customers making in-store
payments.

Payment Structure — Sufficient Credit Enhancement (CE): Initial
hard CE totals 62.75%, 35.00% and 27.15% for class A, B and C
notes, respectively. Initial CE is sufficient to cover Fitch's
stressed cash flow assumptions for all classes.

Adequate Servicing Capabilities: Conn's has a long track record as
an originator, underwriter and servicer. The credit-risk profile of
the entity is mitigated by the backup servicing provided by Systems
& Services Technologies, Inc. (SST), which has committed to a
servicing transition period of 30 days. Fitch considers all parties
to be adequate servicers for this pool at the expected rating
levels. Fitch evaluated the servicers' business continuity plan as
adequate to minimize disruptions in the collection process during
the pandemic.

RATING SENSITIVITIES

Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade

Unanticipated increases in the frequency of defaults or charge-offs
could produce loss levels higher than the base case, and would
likely result in declines of CE and remaining net loss coverage
levels available to the notes. Decreased CE may make certain
ratings on the notes susceptible to potential negative rating
actions, depending on the extent of the decline in coverage.

Fitch conducts sensitivity analysis by stressing a transaction's
initial base case default assumption by an additional 10%, 25% and
50% and examining the rating implications. These increases of the
base case default rate are intended to provide an indication of the
rating sensitivity of the notes to unexpected deterioration of a
trusts performance. The most severe downside sensitivity run of a
50% increase in the base case default rate could result in
downgrades of one rating category for the class A notes, two
categories for the class B notes, and a downgrade below 'CCCsf' for
the class C notes.

During the sensitivity analysis, Fitch examines the magnitude of
the multiplier compression by projecting the expected cash flows
and loss coverage levels over the life of investments under higher
than the initial base case default assumptions. Fitch models cash
flows with the revised default estimates while holding constant all
other modeling assumptions.

Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to increasing CE levels and consideration
for potential upgrades. If the defaults are 20% less than the
projected base case default rate, the expected ratings for the
class B notes could be upgraded by two notches and the expected
ratings for the class C notes could be upgraded by one category.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Fitch was provided with third-party due diligence information from
Ernst & Young LLP. The third-party due diligence focused on
comparing certain information with respect to a sample of loans
from the statistical data file. Fitch considered this information
in its analysis, and the findings did not have an impact on its
analysis. A copy of the ABS Due Diligence Form-15E received by
Fitch in connection with this transaction may be obtained through
the link contained on the bottom of this rating action commentary.

ESG CONSIDERATIONS

The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.


CQS US 2023-3: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to CQS US CLO
2023-3 Ltd./CQS US CLO 2023-3 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 CQS (US) LLC, a subsidiary of CQS.

The preliminary ratings are based on information as of Jan. 24,
2024. 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 collateral pool's diversification;

-- 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 notes through portfolio
identification and ongoing management; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Preliminary Ratings Assigned

  CQS US CLO 2023-3 Ltd./CQS US CLO 2023-3 LLC

  Class A-1, $240.0 million: AAA (sf)
  Class A-J, $16.0 million: AAA (sf)
  Class B, $48.0 million: AA (sf)
  Class C (deferrable), $24.0 million: A (sf)
  Class D (deferrable), $23.0 million: BBB- (sf)
  Class E (deferrable), $13.0 million: BB- (sf)
  Subordinated notes, $40.6 million: Not rated



FANNIE MAE 2024-R01: S&P Assigns Prelim 'B+' Rating on 1B-2X Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Fannie Mae
Connecticut Avenue Securities Trust 2024-R01's notes.

The note issuance is an RMBS securitization backed by fully
amortizing, first-lien, fixed-rate residential mortgage loans
secured by one- to four-family residences, planned-unit
developments, condominiums, manufactured housing, and cooperatives
to primarily prime borrowers.

The preliminary ratings are based on information as of Jan. 22,
2024. 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 credit enhancement provided by the subordinated reference
tranches and the associated structural deal mechanics;

-- The REMIC structure, which reduces the counterparty exposure to
Fannie Mae for periodic principal and interest payments but also
pledges the support of Fannie Mae (as a highly rated counterparty)
to cover any shortfalls on interest payments and make up for any
investment losses;

-- The issuer's aggregation experience and the alignment of
interests between the issuer and the noteholders in the
transaction's performance, which we believe enhance the notes'
strength;

-- The enhanced credit risk management and quality control
processes Fannie Mae uses in conjunction with the underlying R&W
framework; and

-- The potential impact that current and near-term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, "On Oct. 13, 2023, we updated our market
outlook as it relates to the 'B' projected archetypal loss level,
and therefore revised and lowered our 'B' foreclosure frequency to
2.50% from 3.25%, which reflects the level prior to April 2020,
preceding the Covid-19 pandemic. The update reflects our benign
view of the mortgage and housing market as demonstrated through
general national-level home price behavior, unemployment rates,
mortgage performance, and underwriting."

  Preliminary Ratings Assigned

  Fannie Mae Connecticut Avenue Securities Trust 2024-R01

  Class 1A-H(i), $18,115,458,445: NR
  Class 1M-1, $328,150,000: A- (sf)
  Class 1M-1H(i), $17,271,877: NR
  Class 1M-2A(ii), $78,999,000: BBB+ (sf)
  Class 1M-AH(i), $4,158,119: NR
  Class 1M-2B(ii), $78,999,000: BBB+ (sf)
  Class 1M-BH(i), $4,158,119: NR
  Class 1M-2C(ii), $78,999,000: BBB (sf)
  Class 1M-CH(i), $4,158,119: NR
  Class 1M-2(ii), $236,997,000: BBB (sf)
  Class 1B-1A(ii), $57,570,000: BB+ (sf)
  Class 1B-AH(i), $38,380,521: NR
  Class 1B-1B(ii), $57,570,000: BB (sf)
  Class 1B-BH(i), $38,380,521: NR
  Class 1B-1(ii), $115,140,000: BB (sf)
  Class 1B-2(ii), $71,962,000: B+ (sf)
  Class 1B-2H(i), $23,988,521: NR
  Class 1B-3H(i), $191,901,043: NR

  Related combinable and recombinable notes exchangeable
classes(iii)

  Class 1E-A1, $78,999,000: BBB+ (sf)
  Class 1A-I1, $78,999,000(iv): BBB+ (sf)
  Class 1E-A2, $78,999,000: BBB+ (sf)
  Class 1A-I2, $78,999,000(iv): BBB+ (sf)
  Class 1E-A3, $78,999,000: BBB+ (sf)
  Class 1A-I3, $78,999,000(iv): BBB+ (sf)
  Class 1E-A4, $78,999,000: BBB+ (sf)
  Class 1A-I4, $78,999,000(iv): BBB+ (sf)
  Class 1E-B1, $78,999,000: BBB+ (sf)
  Class 1B-I1, $78,999,000(iv): BBB+ (sf)
  Class 1E-B2, $78,999,000: BBB+ (sf)
  Class 1B-I2, $78,999,000(iv): BBB+ (sf)
  Class 1E-B3, $78,999,000: BBB+ (sf)
  Class 1B-I3, $78,999,000(iv): BBB+ (sf)
  Class 1E-B4, $78,999,000: BBB+ (sf)
  Class 1B-I4, $78,999,000(iv): BBB+ (sf)
  Class 1E-C1, $78,999,000: BBB (sf)
  Class 1C-I1, $78,999,000(iv): BBB (sf)
  Class 1E-C2, $78,999,000: BBB (sf)
  Class 1C-I2, $78,999,000(iv): BBB (sf)
  Class 1E-C3, $78,999,000: BBB (sf)
  Class 1C-I3, $78,999,000(iv): BBB (sf)
  Class 1E-C4, $78,999,000: BBB (sf)
  Class 1C-I4, $78,999,000(iv): BBB (sf)
  Class 1E-D1, $157,998,000: BBB+ (sf)
  Class 1E-D2, $157,998,000: BBB+ (sf)
  Class 1E-D3, $157,998,000: BBB+ (sf)
  Class 1E-D4, $157,998,000: BBB+ (sf)
  Class 1E-D5, $157,998,000: BBB+ (sf)
  Class 1E-F1, $157,998,000: BBB (sf)
  Class 1E-F2, $157,998,000: BBB (sf)
  Class 1E-F3, $157,998,000: BBB (sf)
  Class 1E-F4, $157,998,000: BBB (sf)
  Class 1E-F5, $157,998,000: BBB (sf)
  Class 1-X1, $157,998,000(iv): BBB+ (sf)
  Class 1-X2, $157,998,000(iv): BBB+ (sf)
  Class 1-X3, $157,998,000(iv): BBB+ (sf)
  Class 1-X4, $157,998,000(iv): BBB+ (sf)
  Class 1-Y1, $157,998,000(iv): BBB (sf)
  Class 1-Y2, $157,998,000(iv): BBB (sf)
  Class 1-Y3, $157,998,000(iv): BBB (sf)
  Class 1-Y4, $157,998,000(iv): BBB (sf)
  Class 1-J1, $78,999,000: BBB (sf)
  Class 1-J2, $78,999,000: BBB (sf)
  Class 1-J3, $78,999,000: BBB (sf)
  Class 1-J4, $78,999,000: BBB (sf)
  Class 1-K1, $157,998,000: BBB (sf)
  Class 1-K2, $157,998,000: BBB (sf)
  Class 1-K3, $157,998,000: BBB (sf)
  Class 1-K4, $157,998,000: BBB (sf)
  Class 1M-2Y, $236,997,000: BBB (sf)
  Class 1M-2X, $236,997,000(iv): BBB (sf)
  Class 1B-1Y, $115,140,000: BB (sf)
  Class 1B-1X, $115,140,000(iv): BB (sf)
  Class 1B-2Y, $71,962,000: B+ (sf)
  Class 1B-2X, $71,962,000(iv): B+ (sf)

(i)Reference tranche only and will not have corresponding notes.
Fannie Mae retains the risk of these tranches.
(ii)The class 1M-2 noteholders may exchange all or part of that
class for proportionate interests in the class 1M-2A, 1M-2B, and
1M-2C notes and vice versa. The class 1B-1 noteholders may exchange
all or part of that class for proportionate interests in the class
1B-1A and 1B-1B notes and vice versa. The class 1M-2A, 1M-2B,
1M-2C, 1B-1A, 1B-1B, and 1B-2 noteholders may exchange all or part
of those classes for proportionate interests in the classes of RCR
notes as specified in the offering documents.
(iii)See the offering documents for more detail on possible
combinations.
(iv)Notional amount.
NR--Not rated.



GCAT 2024-INV1: Moody's Assigns (P)B2 Rating to Cl. B-5 Certs
-------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 61
classes of residential mortgage-backed securities (RMBS) to be
issued by GCAT 2024-INV1, and sponsored by Blue River Mortgage III
LLC.

The securities are backed by a pool of GSE-eligible (94.9% by
balance) and non GSE-eligible (5.1% by balance) residential
mortgages, divided into two collateral groups ('Y'-structure),
aggregated by Blue River Mortgage III LLC, originated by multiple
entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage
Servicing (Shellpoint), PennyMac Loan Services, LLC and PennyMac
Corp (collectively, PennyMac).

The complete rating actions are as follows:

Issuer: GCAT 2024-INV1 Trust

Cl. 1-A-1, Assigned (P)Aaa (sf)

Cl. 1-A-2, Assigned (P)Aaa (sf)

Cl. 1-A-3, Assigned (P)Aaa (sf)

Cl. 1-A-4, Assigned (P)Aaa (sf)

Cl. 1-A-5, Assigned (P)Aaa (sf)

Cl. 1-A-6, Assigned (P)Aaa (sf)

Cl. 1-A-7, Assigned (P)Aaa (sf)

Cl. 1-A-8, Assigned (P)Aaa (sf)

Cl. 1-A-9, Assigned (P)Aaa (sf)

Cl. 1-A-10, Assigned (P)Aaa (sf)

Cl. 1-A-11, Assigned (P)Aaa (sf)

Cl. 1-A-12, Assigned (P)Aaa (sf)

Cl. 1-A-13, Assigned (P)Aa1 (sf)

Cl. 1-A-14, Assigned (P)Aa1 (sf)

Cl. 1-A-15, Assigned (P)Aa1 (sf)

Cl. 1-A-16, Assigned (P)Aa1 (sf)

Cl. 1-A-X-1*, Assigned (P)Aa1 (sf)

Cl. 1-A-X-2*, Assigned (P)Aaa (sf)

Cl. 1-A-X-4*, Assigned (P)Aaa (sf)

Cl. 1-A-X-6*, Assigned (P)Aaa (sf)

Cl. 1-A-X-8*, Assigned (P)Aaa (sf)

Cl. 1-A-X-10*, Assigned (P)Aaa (sf)

Cl. 1-A-X-12*, Assigned (P)Aaa (sf)

Cl. 1-A-X-14*, Assigned (P)Aa1 (sf)

Cl. 1-A-X-16*, Assigned (P)Aa1 (sf)

Cl. 2-A-1, Assigned (P)Aaa (sf)

Cl. 2-A-2, Assigned (P)Aaa (sf)

Cl. 2-A-3, Assigned (P)Aaa (sf)

Cl. 2-A-4, Assigned (P)Aaa (sf)

Cl. 2-A-5, Assigned (P)Aaa (sf)

Cl. 2-A-6, Assigned (P)Aaa (sf)

Cl. 2-A-7, Assigned (P)Aaa (sf)

Cl. 2-A-8, Assigned (P)Aaa (sf)

Cl. 2-A-9, Assigned (P)Aaa (sf)

Cl. 2-A-10, Assigned (P)Aaa (sf)

Cl. 2-A-11, Assigned (P)Aaa (sf)

Cl. 2-A-12, Assigned (P)Aaa (sf)

Cl. 2-A-13, Assigned (P)Aa1 (sf)

Cl. 2-A-14, Assigned (P)Aa1 (sf)

Cl. 2-A-15, Assigned (P)Aa1 (sf)

Cl. 2-A-16, Assigned (P)Aa1 (sf)

Cl. 2-A-X-1*, Assigned (P)Aa1 (sf)

Cl. 2-A-X-2*, Assigned (P)Aaa (sf)

Cl. 2-A-X-4*, Assigned (P)Aaa (sf)

Cl. 2-A-X-6*, Assigned (P)Aaa (sf)

Cl. 2-A-X-8*, Assigned (P)Aaa (sf)

Cl. 2-A-X-10*, Assigned (P)Aaa (sf)

Cl. 2-A-X-12*, Assigned (P)Aaa (sf)

Cl. 2-A-X-14*, Assigned (P)Aa1 (sf)

Cl. 2-A-X-16*, Assigned (P)Aa1 (sf)

Cl. B-1, Assigned (P)Aa3 (sf)

Cl. B-1-A, Assigned (P)Aa3 (sf)

Cl. B-X-1*, Assigned (P)Aa3 (sf)

Cl. B-2, Assigned (P)A2 (sf)

Cl. B-2-A, Assigned (P)A2 (sf)

Cl. B-X-2*, Assigned (P)A2 (sf)

Cl. B-3, Assigned (P)Baa2 (sf)

Cl. B-4, Assigned (P)Ba2 (sf)

Cl. B-5, Assigned (P)B2 (sf)

CI. 1-A-1A Loans, Assigned (P)Aaa (sf)

CI. 2-A-1A Loans, Assigned (P)Aaa (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

The ratings are based on the credit quality of the mortgage loans,
the structural features of the transaction, the origination quality
and the servicing arrangement, the third-party review, and the
representations and warranties framework.

Moody's expected loss for this pool in a baseline scenario-mean are
1.03% and 1.19% for Group 1 and Group 2, respectively, in a
baseline scenario-median are 0.74% and 0.77% for Group 1 and Group
2, respectively, and reach 6.26% and 10.45% for Group 1 and Group
2, respectively, 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 "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2023.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.


GS MORTGAGE 2014-GC18: Moody's Cuts Rating on Cl. PEZ Certs to B3
-----------------------------------------------------------------
Moody's Investors Service has affirmed the ratings on three classes
and downgraded the ratings on one class in GS Mortgage Securities
Trust 2014-GC18.

Cl. B, Affirmed Ba1 (sf); previously on Sep 9, 2022 Affirmed Ba1
(sf)

Cl. C, Affirmed Caa1 (sf); previously on Sep 9, 2022 Affirmed Caa1
(sf)

Cl. X-B*, Affirmed Ba1 (sf); previously on Sep 9, 2022 Affirmed Ba1
(sf)

Cl. PEZ, Downgraded to B3 (sf); previously on Sep 9, 2022 Affirmed
B1 (sf)

* Reflects Interest-Only Classes

RATINGS RATIONALE

The ratings on one principal and interest (P&I), Cl. B, was
affirmed due to the expected principal paydowns from the remaining
loans in the pool. Class B is now the most senior outstanding class
and benefits from payment priority from any principal paydowns. The
ratings on the other P&I Class, Cl. C, was also affirmed due to the
expected principal recovery from the remaining loans in the pool,
however, due to the credit support this class may be at higher risk
of loss and/or interest shortfalls if the remaining loans are
unable to payoff and the performance of the remaining loans
deteriorates. All the remaining loans have now passed their
maturity dates and if the loans become delinquent on monthly debt
service payments the risk of interest shortfalls on the outstanding
classes may increase.

The ratings on the IO class, Cl. X-B, was affirmed based on the
credit quality of the referenced class.

The ratings on exchangeable class, Cl. PEZ, was downgraded due to
the decline in the credit quality of its reference classes
resulting from principal paydowns of higher quality reference
class.

Moody's rating action reflects a base expected loss of 2.1% of the
current pooled balance, compared to 4.8% at Moody's last review.
Moody's base expected loss plus realized losses is now 11.2% of the
original pooled balance, compared to 13.9% at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include a
significant amount of loan paydowns or amortization, an increase in
the pool's share of defeasance or an improvement in pool
performance.

Factors that could lead to a downgrade of the ratings include a
decline in the performance of the pool, an increase in realized and
expected losses from specially serviced and troubled loans or
interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in rating all classes except
interest-only classes was "Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitizations Methodology"
published in July 2022.

DEAL PERFORMANCE

As of the January 12, 2024 distribution date, the transaction's
aggregate certificate balance has decreased by 90.9% to $101.2
million from $1.1 billion at securitization. The certificates are
collateralized by three remaining mortgage loans, currently on the
master servicer's watchlist. The loans are performing but were
unable to payoff at their original maturity dates.

Five loans have been liquidated from the pool, resulting in an
aggregate realized loss of $122.6 million (for an average loss
severity of 68%).

The largest remaining loan is the CityScape – East Office/Retail
Loan ($88.3 million – 87.3% of the pool), which represents a pari
passu portion of a $163.4 million A-note. The property is also
encumbered with a $25 million mezzanine loan. The loan is secured
by a 642,000 SF mixed-use development located in Phoenix, AZ. The
property features a 28 story class-A office tower with 77,000 SF of
ground floor retail and a five level parking garage and the
borrower's leasehold interest in an adjacent retail parking
structure. The largest tenant is Alliance Bank of Arizona (33% of
the NRA) with lease expiration in October 2030. Other major office
tenants include law firms and healthcare companies. The retail
portion is anchored by a Gold's Gym with lease expiration in July
2028. As of September 2023, the loan's NOI DSCR and property
occupancy were 1.51X and 90%, respectively, compared to 1.42X and
99% at year-end 2022 and 1.22X and 85% at year-end 2021,
respectively. The loan remained current on its monthly debt service
payment, but was unable to payoff at its January 2024 maturity
date. The servicer commentary indicates that the borrower is
currently working on refinancing the loan. The loan has amortized
by 11.7% since securitization. Moody's A Note LTV and stressed DSCR
are 112% and 0.94X, respectively, compared to 109% and 0.91X at the
last review.

The remaining two loans are the Best Western Premier Old Town
Center loan ($6.5 million – 6.4% of the pool), secured by a 100
unit Best Western hotel located in Bryan, TX, and the Lovejoy
Station loan ($6.4 million – 6.3% of the pool), secured by a
77,133 SF retail property located in Hampton, GA. Both loans remain
current on their monthly debt service payments as of the January
2024 remittance statement, but were unable to payoff at their
original loan maturity dates. The loans are performing with
sufficient cash flow to cover debt service, and reported NOI DSCR
at 1.90X and 1.53X, respectively. The servicer commentary indicates
that the borrowers are working on refinancing options to payoff the
loans.


GS MORTGAGE 2017-375H: S&P Lowers Class D Notes Rating to 'B+(sf)'
------------------------------------------------------------------
S&P Global Ratings lowered its ratings on three classes of
commercial mortgage pass-through certificates from GS Mortgage
Securities Corp. Trust 2017-375H, a U.S. CMBS transaction. At the
same time, S&P affirmed its 'AAA (sf)' ratings on two classes from
the transaction.

This U.S. stand-alone (single-borrower) CMBS transaction is backed
by a fixed-rate, interest-only (IO) mortgage loan secured by the
borrower's ground leasehold and 93-year estate-for-years interests
in 375 Hudson Street, a 19-story, 1.09 million-sq.-ft. class A
office building in lower Manhattan's Hudson Square office
submarket.

Rating Actions

The downgrades on classes B, C, and D reflect:

-- S&P's belief that the property's vacancy rate may continue to
increase in line with the weakened office submarket fundamentals
reinforced by companies continuing to embrace remote and hybrid
work arrangements if anchor tenant Lion Re: Sources Inc. (90.0% of
the net rentable area) exercise its termination option to terminate
up to two full floors between January 2027 (coinciding with the
loan's maturity in September 2027) and July 2031. According to
CoStar, the tenant has marketed about 288,471 sq. ft., or 26.4% of
the building's net rentable area (NRA), for sublease.

-- S&P's expected-case valuation, which, while unchanged from its
last review, is 17.0% lower than the valuation we derived at
issuance due primarily to its higher vacancy rate and leasing costs
assumptions.

-- The affirmation on class A considers the moderately low debt
per sq. ft. (about $232 per sq. ft.), among other factors.

S&P said, "In our August 24, 2020, review, we noted that about
90.0% of the property's NRA was re-tenanted to a single tenant,
Lion Re: Sources Inc., at lower rental rates than what was paid by
the prior tenants, and the tenant was extended free rent periods
that are mainly spread out during the lease term. There were also
slightly higher operating expenses at the property. As a result, at
that time, we revised and lowered our sustainable net cash flow
(NCF) to $32.3 million, assuming a 93.0% occupancy rate, an S&P
Global Ratings $66.12-per-sq.-ft. gross rent, and a 46.6% operating
expense ratio. Using an S&P Global Ratings capitalization rate of
6.5% and deducting $32.2 million for the present value of the
remaining unreserved rent abatements, we arrived at an
expected-case value of $465.5 million, or $427 per sq. ft."

As of the Sept. 30, 2023, rent roll, the property's occupancy rate
was 91.4%, compared with the reported 97.4% rate in 2022 and 98.7%
in 2021. The drop in occupancy is mainly attributable to former
tenant The Turner Corp. (6.5% of NRA) vacating upon its January
2023 lease expiration. The master servicer, Wells Fargo Bank N.A.,
reported a NCF of $37.0 million for the nine months ended Sept. 30,
2023, $42.2 million for year-end 2022, and $41.8 million for
year-end 2021. However, CoStar noted that Lion Re: Sources Inc. has
marketed a portion of its space (totaling 288,471 sq. ft., or 26.4%
of the NRA) for sublease. While Google and Disney each chose the
property's Hudson Square office submarket to develop their
headquarters (expected completion in 2023 or 2024), according to
CoStar, peer properties around the subject had reported a high
vacancy rate, like the office submarket's rate, which is currently
at 28.6%.

S&P said, "In our current analysis, assuming an 82.0% occupancy
rate (reflecting the current and forecast office submarket
fundamentals--see the Property-Level Analysis section--and leasing
and subleasing activities at the property), an S&P Global Ratings
$78.06-per-sq.-ft. gross rent, a 44.7% operating expense ratio, and
higher tenant improvement costs, we derived a sustainable NCF of
$32.3 million, the same as in our last review. Using an S&P Global
Ratings capitalization rate of 6.5%, unchanged from the last
review, and deducting $32.2 million mainly for the present value of
the remaining unreserved rent abatements, we arrived at an S&P
Global Ratings expected case value of $465.5 million, or $427 per
sq. ft., 55.7% lower than the issuance appraisal value of $1.05
billion and the same as in our last review. This yielded an S&P
Global Ratings loan-to-value ratio of 85.9% on the trust balance.

"Although the model-indicated ratings were lower than our revised
or current ratings on classes A, B, and C, we tempered our
downgrades on classes B and C and affirmed our rating on class A
because of certain qualitative considerations." These include:

-- The potential that the sponsors can backfill the subleased
space in a timely manner despite weakened office submarket
fundamentals. Lion Re: Sources Inc. has a one-time termination
right between Jan. 1, 2027, and July 31, 2031.

-- The relatively moderate debt per sq. ft. ($322 per sq. ft.
through class C).

-- The significant market value decline that would need to occur
before these classes experience principal losses.

-- The temporary liquidity support provided in the form of
servicer advancing.

-- The relative position of these classes in the payment
waterfall.

-- The affirmation on the class X-A IO certificates reflects our
criteria for rating IO securities, in which the rating on the IO
securities would not be higher than that of the lowest-rated
reference class. The notional amount of class X-A references class
A.

S&P said, "We will continue to monitor the tenancy and performance
of the property and loan as well as the borrower's ability to
refinance the loan by its maturity date in September 2027. If we
receive information that differs materially from our expectations,
such as reported negative changes in the performance beyond what we
already considered or the loan is transferred to special servicing,
we may revisit our analysis and take further rating actions as we
deem necessary."

Property-Level Analysis

The loan collateral consists of 375 Hudson Street, a 19-story, 1.09
million-sq.-ft. class A office building in lower Manhattan's Hudson
Square office submarket. The subject property was built in 1987 and
includes 1.03 million sq. ft. of office space, 15,690 sq. ft. of
ground floor retail space, 46,000 sq. ft of underground storage
space, and a 100-space parking garage. The property is two blocks
east of the Hudson River, near the Greenwich Village, Tribeca, and
Soho neighborhoods, and is accessible via multiple subway lines.

One of the sponsors, The Rector, Church-Wardens, and Vestrymen of
Trinity Church in the City of New York (51.0% of ownership
interest), owned the leased fee interest since the property's
development in 1987 and acquired the leasehold position from an
affiliate of Tishman Speyer Equities in August 2017 for $580.0
million. Simultaneously, the other sponsors, affiliates of Norges
Bank Real Estate Management (48.0%) and Hines Interests L.P. (1.0%)
bought a combined 49.0% interest in the leasehold and
estate-for-years interest (ownership interest in the land and
improvements for a fixed and determinate period) in the property at
an implied purchase price of $865.0 million. The property is
subject to a ground lease that expires in August 2110 with no
options to extend. There is no annual base rent payment under the
ground lease for the entire term. The ground lease does not provide
a purchase option for the ground lease.

The property's occupancy rate was 91.4% as of the Sept. 30, 2023,
rent roll. Lion Re: Sources Inc., an affiliate of former tenant
Saatchi & Saatchi North America Inc., has leased office and storage
spaces totaling 89.5% of the property's NRA since mid-2019 at
$48.80 per sq. ft. base rent and $79.53 per sq. ft. gross rent, as
calculated by S&P Global Ratings. The lease expires Jan. 31, 2043.
The tenant receives rent abatement on 63.9% of NRA on February and
March of each year from 2028 to 2035, January of each year from
2039 to 2043, and each month from August 2042 to December 2042 (a
total of 26 months). In addition, the tenant receives free rent on
25.6% of property's NRA the first 16 months following the rent
commencement date, January of each year from 2039 to 2043, and each
month from August 2042 through December 2042 (a total of 26
months). The tenant also has a one-time termination option to
terminate one to two full floors beginning Jan. 1, 2027, through
July 31, 2031. According to the September 2023 rent roll, Lion Re:
Sources Inc. leased 0.5% of NRA for retail use at $66.80 per sq.
ft. base rent with a Dec. 31, 2023, lease expiration. Per CoStar,
the space is currently vacant and listed for lease.

According to CoStar, the Hudson Square office submarket continues
to experience negative net absorption, elevated vacancy and
availability rates, and flat rent growth as office utilization
remains well below pre-pandemic levels. This is mainly driven by
the widespread adoption of hybrid work arrangements as well as a
flight to quality to modern office space. As of year-to-date
January 2024, the four- and five-star office properties in the
submarket had a 17.2% vacancy rate, 20.6% availability rate, and
$76.95-per-sq.-ft. asking rent versus a 7.1% vacancy rate and
$78.49-per-sq.-ft. asking rent in our last review in 2020. CoStar
projects the vacancy rate to remain elevated at 22.3% in 2024,
16.1% in 2025, and 16.9% in 2026 and asking rent to contract to
$74.48 per sq. ft., $72.58 per sq. ft., and $71.55 per sq. ft. for
the same periods. The property's in-place vacancy rate was 8.6% (we
assumed an 18.0% vacancy rate in our analysis), and its gross rent
was $78.06 per sq. ft., as calculated by S&P Global Ratings.

Transaction Summary

The IO mortgage loan had an initial and current balance of $400.0
million (according to the Jan. 12, 2024, trustee remittance
report), pays a 3.49% annual fixed interest rate, and matures Sept.
6, 2027.

The loan has a reported current payment status. Wells Fargo
reported a debt service coverage of 3.48x for the nine months ended
Sept. 30, 2023, and 2.98x for year-end 2022. To date, the trust has
not incurred any principal losses.

  Ratings Lowered

  GS Mortgage Securities Corp. Trust 2017-375H

  Class B to 'A (sf)' from 'AA- (sf)'
  Class C to 'BBB (sf)' from 'A- (sf)'
  Class D to 'B+ (sf)' from 'BB- (sf)'

  Ratings Affirmed

  GS Mortgage Securities Corp. Trust 2017-375H

  Class A: AAA (sf)
  Class X-A: AAA (sf)



GS MORTGAGE 2021-HP1: Moody's Raises Rating on Cl. B-5 Certs to B2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 13 bonds
issued by GS Mortgage-Backed Securities Trust 2021-HP1. The
collateral backing this deal consists of agency eligible mortgage
loans.

Complete rating actions are as follows:

Issuer: GS Mortgage-Backed Securities Trust 2021-HP1

Cl. B, Upgraded to A3 (sf); previously on Oct 29, 2021 Definitive
Rating Assigned Baa1 (sf)

Cl. B-1, Upgraded to Aa2 (sf); previously on Oct 29, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. B-1-A, Upgraded to Aa2 (sf); previously on Oct 29, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Oct 29, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to A2 (sf); previously on Oct 29, 2021 Definitive
Rating Assigned A3 (sf)

Cl. B-2-A, Upgraded to A2 (sf); previously on Oct 29, 2021
Definitive Rating Assigned A3 (sf)

Cl. B-2-X*, Upgraded to A2 (sf); previously on Oct 29, 2021
Definitive Rating Assigned A3 (sf)

Cl. B-3, Upgraded to Baa2 (sf); previously on Oct 29, 2021
Definitive Rating Assigned Baa3 (sf)

Cl. B-3-A, Upgraded to Baa2 (sf); previously on Oct 29, 2021
Definitive Rating Assigned Baa3 (sf)

Cl. B-3-X*, Upgraded to Baa2 (sf); previously on Oct 29, 2021
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Ba2 (sf); previously on Oct 29, 2021
Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Upgraded to B2 (sf); previously on Oct 29, 2021 Definitive
Rating Assigned B3 (sf)

Cl. B-X*, Upgraded to A3 (sf); previously on Oct 29, 2021
Definitive Rating Assigned Baa1 (sf)

* Reflects Interest-Only Classes

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool.

In Moody's analysis Moody's considered the additional risk of
default on modified loans. Generally, Moody's apply a 7x multiple
to the Probability of Default (PD) for private label modified
mortgage loans and an 8x multiple to the PD for agency-eligible
modified mortgage loans. However, Moody's may apply a lower
multiple to the PD for loans that were granted short-term payment
relief as long as there were no other changes to the loan terms,
such as a reduced interest rate or an extended loan term, which can
be used to lower the monthly payment on the loan. For loans granted
short-term payment relief, servicers will generally defer the
missed payments, which could be added as a non-interest-bearing
balloon payment due at the end of the loan term.

Alternatively, servicers could extend the maturity on the loan to
match the number of missed payments.

Moody's updated loss expectations on the pools incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicer.

No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features and credit enhancement.

Principal Methodologies

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2023.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.


GS MORTGAGE 2024-RPL1: Fitch Assigns 'Bsf' Rating on Cl. B-2 Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings to the residential mortgage
backed notes issued by GS Mortgage-Backed Securities Trust
2024-RPL1 (GSMBS 2024-RPL1).

   Entity/Debt        Rating           
   -----------        ------            
GSMBS 2024-RPL1

   A-1            LT AAAsf New Rating
   A-2            LT AAsf  New Rating
   A-3            LT AAsf  New Rating
   A-4            LT Asf   New Rating
   A-5            LT BBBsf New Rating
   B              LT NRsf  New Rating
   B-1            LT BBsf  New Rating
   B-2            LT Bsf   New Rating
   B-3            LT NRsf  New Rating
   B-4            LT NRsf  New Rating
   B-5            LT NRsf  New Rating
   M-1            LT Asf   New Rating
   M-2            LT BBBsf New Rating
   PT             LT NRsf  New Rating
   RISKRETEN      LT NRsf  New Rating
   SA             LT NRsf  New Rating
   X              LT NRsf  New Rating

TRANSACTION SUMMARY

The notes are supported by one collateral group that consists of
2,566 seasoned performing loans and reperforming loans (RPLs) with
a total balance of approximately $497 million.

Distributions of P&I and loss allocations are based on a
traditional senior-subordinate, sequential structure. The
sequential-pay structure locks out principal to the subordinated
notes until the most senior notes outstanding are paid in full. The
servicers will not be advancing delinquent monthly payments of
P&I.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.9% above a long-term sustainable level (versus
9.42% on a national level as of 2Q23, up 1.82% since last quarter).
Housing affordability is the worst it has been in decades driven by
both high interest rates and elevated home prices. Home prices have
increased 4.7% YoY nationally as of October 2023 despite modest
regional declines, but are still being supported by limited
inventory.

RPL Credit Quality (Negative): The collateral consists of 2,566
seasoned performing and re-performing first lien loans, totaling
$497 million, and seasoned approximately 216 months in aggregate.
The pool is 98.2% current and 1.8% delinquent. Over the last two
years 84% of loans have been clean current. Additionally, 62.4% of
loans have a prior modification. The borrowers have a moderate
credit profile (733 FICO and 45% DTI) and very low leverage (40%
sLTV). The pool consists of 99.3% of loans where the borrower
maintains a primary residence.

No Advancing (Mixed): The servicers will not be advancing
delinquent monthly payments of P&I. Because P&I advances made on
behalf of loans that become delinquent and eventually liquidate
reduce liquidation proceeds to the trust, the loan-level loss
severities (LS) are less for this transaction than for those where
the servicer is obligated to advance P&I.

Sequential Pay Structure (Positive) - The transaction utilizes a
sequential pay structure. The credit enhancement (CE) consists of
subordinated notes, the distributions of which 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 that paid on the notes may be available
to pay down additional principal on the notes.

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 MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model projected 41.4% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade

The defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all of the rated classes.
Specifically, a 10% gain in home prices would result in a full
category upgrade for the rated class excluding those being assigned
ratings of 'AAAsf'.

This section provides insight into the model-implied sensitivities
the transaction faces when one assumption is modified, while
holding others equal. The modeling process uses the modification of
these variables to reflect asset performance in up- and down
environments. The results should only be considered as one
potential outcome, as the transaction is exposed to multiple
dynamic risk factors. It should not be used as an indicator of
possible future performance.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by situsAMC. The third-party due diligence described in
Form 15E focused on 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, Fitch made the following adjustment(s) to 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.

Loans with a missing modification agreement received a three-month
liquidation timeline extension.

Loans with uncertainty around the lien status were treated with
100% LS.

Unpaid taxes and lien amounts were added to the LS.

In total, these adjustments increased the 'AAAsf' loss by
approximately 75bps.

ESG CONSIDERATIONS

GSMBS 2024-RPL1 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to increased operational risk
considering R&W, transaction due diligence and originator and
servicer results in an increase in expected losses, which has a
negative impact on the credit profile, and is relevant to the
rating(s) 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.


GUGGENHEIM MM 2024-7: S&P Assigns Prelim 'BB-' Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Guggenheim
MM CLO 2024-7 LLC's floating-rate debt.

The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by middle market speculative-grade
(rated 'BB+' or lower) senior secured term loans. The transaction
is managed by Guggenheim Corporate Funding LLC with sub-adviser
Guggenheim Partners Investment Management LLC.

The preliminary ratings are based on information as of Jan. 24,
2024. 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 collateral pool's diversification;

-- 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 notes through portfolio
identification and ongoing management; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Preliminary Ratings Assigned

  Guggenheim MM CLO 2024-7 LLC

  Class A, $232 million: AAA (sf)
  Class B, $40 million: AA (sf)
  Class C (deferrable), $32 million: A (sf)
  Class D (deferrable), $24 million: BBB- (sf)
  Class E (deferrable), $24 million: BB- (sf)
  Subordinated notes, $48 million: Not rated



HUNDRED ACRE 2021-INV3: Moody's Hikes Rating on Cl. B5 Certs to B1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 24 bonds from
two US residential mortgage-backed transactions (RMBS), backed by
agency eligible mortgage loans.

A List of Affected Credit Ratings is available at
https://urlcurt.com/u?l=p5tbHZ

Complete rating actions are as follows:

Issuer: Hundred Acre Wood Trust 2021-INV2

Cl. A26, Upgraded to Aaa (sf); previously on Sep 28, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. A27, Upgraded to Aaa (sf); previously on Sep 28, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. A28, Upgraded to Aaa (sf); previously on Sep 28, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. AX26*, Upgraded to Aaa (sf); previously on Sep 28, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. AX27*, Upgraded to Aaa (sf); previously on Sep 28, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. AX28*, Upgraded to Aaa (sf); previously on Sep 28, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. B1, Upgraded to Aa1 (sf); previously on Sep 28, 2021 Definitive
Rating Assigned Aa3 (sf)

Cl. B1A, Upgraded to Aa1 (sf); previously on Sep 28, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. B2, Upgraded to Aa3 (sf); previously on Sep 28, 2021 Definitive
Rating Assigned A2 (sf)

Cl. B2A, Upgraded to Aa3 (sf); previously on Sep 28, 2021
Definitive Rating Assigned A2 (sf)

Cl. B3, Upgraded to A3 (sf); previously on Sep 28, 2021 Definitive
Rating Assigned Baa2 (sf)

Cl. B4, Upgraded to Ba1 (sf); previously on Sep 28, 2021 Definitive
Rating Assigned Ba2 (sf)

Cl. B5, Upgraded to Ba3 (sf); previously on Sep 28, 2021 Definitive
Rating Assigned B3 (sf)

Cl. BX1*, Upgraded to Aa1 (sf); previously on Sep 28, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. BX2*, Upgraded to Aa3 (sf); previously on Sep 28, 2021
Definitive Rating Assigned A2 (sf)

Issuer: Hundred Acre Wood Trust 2021-INV3

Cl. B1, Upgraded to Aa1 (sf); previously on Nov 23, 2021 Definitive
Rating Assigned Aa2 (sf)

Cl. B1A, Upgraded to Aa1 (sf); previously on Nov 23, 2021
Definitive Rating Assigned Aa2 (sf)

Cl. B2, Upgraded to A1 (sf); previously on Nov 23, 2021 Definitive
Rating Assigned A2 (sf)

Cl. B2A, Upgraded to A1 (sf); previously on Nov 23, 2021 Definitive
Rating Assigned A2 (sf)

Cl. B3, Upgraded to Baa1 (sf); previously on Nov 23, 2021
Definitive Rating Assigned Baa2 (sf)

Cl. B4, Upgraded to Ba1 (sf); previously on Nov 23, 2021 Definitive
Rating Assigned Ba2 (sf)

Cl. B5, Upgraded to B1 (sf); previously on Nov 23, 2021 Definitive
Rating Assigned B2 (sf)

Cl. BX1*, Upgraded to Aa1 (sf); previously on Nov 23, 2021
Definitive Rating Assigned Aa2 (sf)

Cl. BX2*, Upgraded to A1 (sf); previously on Nov 23, 2021
Definitive Rating Assigned A2 (sf)

* Reflects Interest-Only Classes

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool.

In Moody's analysis Moody's considered the additional risk of
default on modified loans. Generally, Moody's apply a 7x multiple
to the Probability of Default (PD) for private label modified
mortgage loans and an 8x multiple to the PD for agency-eligible
modified mortgage loans. However, Moody's may apply a lower
multiple to the PD for loans that were granted short-term payment
relief as long as there were no other changes to the loan terms,
such as a reduced interest rate or an extended loan term, which can
be used to lower the monthly payment on the loan. For loans granted
short-term payment relief, servicers will generally defer the
missed payments, which could be added as a non-interest-bearing
balloon payment due at the end of the loan term. Alternatively,
servicers could extend the maturity on the loan to match the number
of missed payments.

Moody's updated loss expectations on the pools incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicer.

No action was taken on the remaining rated tranches because there
were no material changes in collateral quality, and credit
enhancement remains commensurate with the current ratings.

Principal Methodologies

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2023.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.


MADISON PARK XIX: Moody's Assigns B3 Rating to $250,000 F Notes
---------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
CLO refinancing notes (the "Refinancing Notes") issued by Madison
Park Funding XIX, Ltd.

Moody's rating action is as follows:

US$2,000,000 Class X Floating Rate Senior Notes Due 2037, Assigned
Aaa (sf)

US$256,000,000 Class A-R3 Floating Rate Senior Notes Due 2037,
Assigned Aaa (sf)

US$250,000 Class F Deferrable Floating Rate Junior Notes Due 2037,
Assigned B3 (sf)

RATINGS RATIONALE

The rationale for the ratings is based on Moody's methodology and
considers all relevant risks particularly those associated with the
CLO's portfolio and structure.

The Issuer is a managed cash flow collateralized loan obligation
(CLO). The issued notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. At least
90.0% of the portfolio must consist of first lien senior secured
loans and eligible investments, and up to 10.0% of the portfolio
may consist of not senior secured loans or senior secured bonds.

Credit Suisse 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, four other
classes of secured notes and one 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; and 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 Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score and weighted
average recovery rate, are based on its published methodology and
could differ from the trustee's reported numbers. For modeling
purposes, Moody's used the following base-case assumptions:

Portfolio par: $400,000,000

Diversity Score: 60

Weighted Average Rating Factor (WARF): 3090

Weighted Average Spread (WAS): 3.60%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 47%

Weighted Average Life (WAL): 8 years

Methodology Underlying the Rating Action

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.            

Factors That Would Lead to an Upgrade or a Downgrade of the
Ratings:

The performance of the Refinancing Notes is subject to uncertainty.
The performance of the Refinancing Notes is sensitive to the
performance of the underlying portfolio, which in turn depends on
economic and credit conditions that may change. The Manager's
investment decisions and management of the transaction will also
affect the performance of the Refinancing Notes.


MIDOCEAN CREDIT V: Moody's Ups $23.250MM E-R Notes Rating to Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by MidOcean Credit CLO V:

US$16,750,000 Class D Deferrable Floating Rate Notes due 2028 (the
"Class D Notes"), Upgraded to Aaa (sf); previously on May 1, 2023
Upgraded to A1 (sf)

US$23,250,000 Class E-R Deferrable Floating Rate Notes due 2028
(the "Class E-R Notes"), Upgraded to Ba1 (sf); previously on August
21, 2020 Confirmed at Ba3 (sf)

MidOcean Credit CLO V, originally issued in June 2016 and partially
refinanced in September 2018 is a managed cashflow CLO. The notes
are collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in July 2020.

A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.

RATINGS RATIONALE

The rating actions are primarily a result of deleveraging of the
senior notes since May 2023.  The Class A-R notes have been paid
down in full by $7.6 million, and Class B-1-R and Class B-2 notes
have been collectively paid down by 78.6% or $32.2 million since
that time. Based on Moody's calculation, the OC ratios for the
Class D and Class E notes are currently 167.71% and 118.84%,
respectively, versus May 2023 levels of 139.59% and 112.45%
respectively.

No actions were taken on the Class B-1-R, Class B-2, Class C, and
Class F notes because their expected losses remain commensurate
with their current ratings, after taking into account the CLO's
latest portfolio information, its relevant structural features and
its actual over-collateralization and interest coverage levels.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
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: $94,549,788

Defaulted par:  $2,208,600

Diversity Score: 24

Weighted Average Rating Factor (WARF): 3325

Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.30%

Weighted Average Recovery Rate (WARR): 48.99%

Weighted Average Life (WAL): 2.24 years

Par haircut in OC tests and interest diversion test: 3.44%

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, decrease in overall WAS or net interest
income, lower recoveries on defaulted assets.

Methodology Used for the Rating Action

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.

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.


MOSAIC SOLAR 2022-1: Fitch Affirms 'BBsf' Rating on Class D Notes
-----------------------------------------------------------------
Fitch Ratings has affirmed Mosaic Solar Loan Trust 2022-1 (Mosaic
2022-1) and Mosaic Solar Loan Trust 2023-1 (Mosaic 2023-1) notes as
detailed below.

   Entity/Debt             Rating           Prior
   -----------             ------           -----
Mosaic Solar Loan
Trust 2023-1

   Class A 61945VAA9   LT AA-sf  Affirmed   AA-sf
   Class B 61945VAB7   LT A-sf   Affirmed   A-sf
   Class C 61945VAC5   LT BBBsf  Affirmed   BBBsf
   Class D 61945VAD3   LT BBsf   Affirmed   BBsf

Mosaic Solar Loan
Trust 2022-1

   A 61946QAA9         LT AA-sf  Affirmed   AA-sf

TRANSACTION SUMMARY

These are securitizations of consumer loans backed by residential
solar equipment. All the loans were originated by Solar Mosaic, LLC
(Mosaic), one of the oldest established solar lenders in the U.S.;
Mosaic has originated solar loans since 2014.

KEY RATING DRIVERS

Performance Within Expectations: As of the December servicer
report, the average annualized default rates (ADR) stood at 1.2%
for Mosaic 2022-1 and 1.4% for 2023-1, versus 1.2% implied in
Fitch's modelled assumptions. The cumulative default rates (CDR)
are 1.9% and 1.1%, respectively, consistent with expectations. The
30+ days past due (dpd) levels are at 1.2% in 2022-1 and 0.8% for
2023-1. Fitch expects prepayments to increase in the medium term,
and to ultimately reach the agency's lifetime expectation of 10%
over the assets' 20- to 25-year term and 10- to 15-year weighted
average life (WAL, also considering prepayments).

Extrapolated Asset Assumptions Maintained: At closing, Fitch
considered both originator-wide data and previous Mosaic
transactions to set a lifetime default expectation of 9% for 2022-1
and 8.3% for 2023-1 with a 30% base case recovery rate. Fitch
maintains these assumptions, given that performance has been in
line with expectations. 2022-1's rating default rate (RDRs) for
'AA-sf' is 36.3%. 2023-1's 'AA-sf', 'A-sf', 'BBBsf', 'BBsf' RDRs
are 33.5%, 24.9%, 19.9% and 13.7%, respectively. Fitch's Rating
Recovery Rates (RRRs) for 'AA-sf', 'A-sf', 'BBBsf', 'BBsf' are 19%,
21.8%, 23.3% and 25.5%, respectively.

'AAsf' Cap: Residential solar loans in the U.S. have long terms,
many of which are now at 25 years (and a small portion at 30
years). For Mosaic, more than seven years of performance data are
available, which compare favorably with that of other solar ABS
that Fitch currently rates and the solar industry at large.

Target OC And Amortization Trigger: The class A and B notes
amortize based on target over-collateralization (OC) percentages.
For 2023-1 the target OC is 100% of the outstanding adjusted
balance for the first 16 months, ensuring that there is no leakage
of funds initially, irrespective of the collateral performance,
then it falls to 10.5%. For 2022-1 it is constant at 19%. OC for
the class A and B notes combined currently stands at 16.6% and
17.7% for 2022-1 and 2023-1, respectively.

The transaction's escalating cumulative loss trigger protects the
class A and B notes against deteriorating performance, by switching
the payment waterfall to turbo-sequential, deferring any interest
payments for the class C and D notes and thus accelerating the
senior note deleveraging. The repayment timings of the class C and
D notes are highly sensitive to the timing of a trigger breach.

Standard, Reputable Counterparties: The transaction accounts are
with Wilmington Trust Company (A/Negative/F1), and the servicer's
collection account is with Wells Fargo Bank, N.A. (AA-/Stable/F1+).
Commingling risk with regard to the latter is mitigated by transfer
of collections within two business days, the high initial share of
payments under an Automated Clearing House arrangement and Wells
Fargo's ratings.

Reserve Fund; No Swap: A reserve fund can be used, in certain
cases, to cover defaults and provides the notes with liquidity,
although it would not be replenished, if used, as long as the
cumulative loss trigger is breached. As both assets and liabilities
pay a fixed coupon, there is no need for an interest rate hedge
and, thus, no exposure to swap counterparties.

Established Specialized Lender: Mosaic is one of the first-movers
among U.S. solar loan lenders, with the longest history among the
originators of the solar ABS that Fitch rates. Underwriting is
mostly automated and in line with that of other U.S. ABS
originators.

RATING SENSITIVITIES

Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade

Weaker-than-expected asset performance on a sustained basis and a
simultaneous fall in prepayment activity may put pressure on the
rating or lead to a Negative Rating Outlook.

Material changes in policy support, the economics of purchasing and
financing photovoltaic panels and batteries, and/or ground-breaking
technological advances that make the existing equipment obsolete
may also negatively affect the rating.

Below, Fitch shows model-implied rating sensitivities to changes in
default and/or recovery assumptions.

As transaction performance is in line with expectations, the model
has not been re-run since closing.

Mosaic 2022-1

Increase of defaults (Class A):

+10%: 'A+sf';

+25%: 'Asf';

+50%: 'BBB+sf'.

Decrease of recoveries (Class A):

-10%: 'A+sf';

-25%: 'A+sf';

-50%: 'A+sf'.

Increase of defaults and decrease of recoveries (Class A):

+10% / -10%: 'A+sf';

+25% / -25%: 'A-sf';

+50% / -50%: 'BBBsf'.

Mosaic 2023-1

Increase of defaults (Class A / B / C / D):

+10%: 'A+sf' / 'Asf' / 'A-sf'/ 'BBBsf';

+25%: 'Asf' / 'A-sf' / 'BBB+sf' / 'BBB-sf';

+50%: 'A-sf' / 'BBB+sf' / 'BBBsf' / 'BB+sf'.

Decrease of recoveries (Class A / B / C / D):

-10%: 'AA-sf' / 'Asf' / 'A-sf' / 'BBBsf';

-25%: 'A+sf' / 'Asf' / 'A-sf' / 'BBBsf';

-50%: 'A+sf' / 'Asf' / 'A-sf' / 'BBBsf'.

Increase of defaults and decrease of recoveries (Class A / B / C /
D):

+10% / -10%: 'A+sf' / 'Asf' / 'BBB+sf' / 'BBBsf';

+25% / -25%: 'Asf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf';

+50% / -50%: 'BBB+sf' / 'BBBsf' / 'BBB-sf' / 'BBsf'.

Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade

Fitch currently caps ratings at the 'AAsf' category due to limited
performance history, while the rating of 'AA-sf' is further
constrained by the sensitivity of model results. As a result, a
positive rating action could result from an increase in credit
enhancement due to the class A notes' deleveraging, underpinned by
good transaction performance, for example, through high prepayments
and defaults consistently below expectations.

Below Fitch shows model-implied rating sensitivities, capped at
'AA+sf', to changes in default and/or recovery assumptions.

As transaction performance is in line with expectations, the model
has not been re-run since closing.

Mosaic 2022-1

Decrease of defaults (Class A):

-10%: 'AAsf';

-25%: 'AA+sf';

-50%: 'AA+sf'.

Increase of recoveries (Class A):

+10%: 'AA-sf';

+25%: 'AA-sf';

+50%: 'AAsf'.

Decrease of defaults and increase of recoveries (Class A):

-10% / +10%: AA'sf';

-25% / +25%: 'AA+sf';

-50% / +50%: 'AA+sf'.

Mosaic 2023-1

Decrease of defaults (Class A / B / C / D):

-10%: 'AAsf' / 'A+f' / 'Asf' / 'BBB+sf';

-25%: 'AA+sf' / 'AAsf' / 'A+sf' / 'A-sf';

-50%: 'AA+sf' / 'AA+sf' / 'A+sf' / 'A+sf'.

Increase of recoveries (Class A / B / C / D):

+10%: 'AA-sf' / 'A+sf' / 'Asf' / 'BBB+sf';

+25%: 'AA-sf' / 'A+sf' / 'Asf' / 'BBB+sf';

+50%: 'AAsf' / 'AA-sf' / 'A+sf' / 'BBB+sf'.

Decrease of defaults and increase of recoveries (Class A / B / C /
D):

-10% / +10%: 'AAsf' / 'A+sf' / 'Asf' / 'BBB+sf';

-25% / +25%: 'AA+sf' / 'AAsf' / 'A+sf' / 'Asf';

-50% / +50%: 'AA+sf' / 'AA+sf' / 'A+sf' / 'A+sf'.

SUMMARY OF FINANCIAL ADJUSTMENTS

CRITERIA VARIATION

The analysis for Mosaic 2023-1 includes a criteria variation due to
model-implied rating (MIR) variations in excess of the limit stated
in the consumer ABS criteria report for new ratings. According to
the criteria, the committee can decide to deviate from the MIRs,
but, if the MIR variation is greater than one notch, this will be a
criteria variation. The MIR variations for classes B to D are
greater than one notch.

Given the sensitivity of ratings to model assumptions and
conventions, repayment timing, and tranche thickness, the ultimate
ratings were constrained by sensitivity analysis.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

DATA ADEQUACY

The historical information available for this originator did not
cover the asset tenor of up to 30 years, as originations began in
2014. Fitch applied a rating cap at the 'AAsf' category to address
this limitation.

The amortizing nature of the assets, the data available from
previous Mosaic transactions and the application of an ADR to the
static portfolio allowed Fitch to determine lifetime default
assumptions. Taking into account this analytical approach, the
rating committee considered the available data sufficient to
support a rating in the 'AAsf' category.

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.


MSSG TRUST 2017-237P: S&P Lowers Class E Certs Rating to 'B- (sf)'
------------------------------------------------------------------
S&P Global Ratings lowered its ratings on the class B, C, D, E, and
X-B commercial mortgage pass-through certificates from MSSG Trust
2017-237P, a U.S. CMBS transaction. At the same time, we affirmed
our ratings on the class A and X-A certificates from the same
transaction.

This U.S. stand-alone (single-borrower) CMBS transaction is backed
by a portion of a 10-year, fixed-rate, interest-only (IO) mortgage
whole loan secured by the office building at 237 Park Avenue in
Midtown Manhattan.

Rating Actions
The downgrades on classes B, C, D, and E primarily reflect:

-- S&P's revised valuation of the collateral property, which
considers its expectation that three of its five largest tenants,
J.P. Morgan Chase, Wunderman Thompson, and Jennison Associates
(aggregating to 49.9% of property net rentable area [NRA] and 60.3%
of in-place gross rent per the September 2023 rent roll), which all
pay above-market rent, will vacate upon their respective 2025 and
2027 lease expirations, reducing the property's gross potential
rent.

-- The potential for continued weakening in office submarket
fundamentals, including rental rates, which could negatively impact
the property's future re-leasing spreads and long-term occupancy.

-- The affirmation on class A considers the comparatively moderate
debt per sq. ft. (about $276 per sq. ft.), among other factors.

S&P said, "In our last published review, we cited our expectation
that J.P. Morgan Chase (21.5% of property NRA; $86.91 per sq. ft.
in-place gross rent per the September 2023 rent roll [26.2% of
total]; December 2025 lease expiration) would vacate upon lease
expiration given it plans to move into its new headquarters at 270
Park Avenue after construction is completed.

"Since then, the master servicer, Wells Fargo Bank N.A. (Wells
Fargo), has confirmed that Wunderman Thompson's (15.3%; $79.27 per
sq. ft. [17.1% of total]; May 2027) space is physically vacant
(although the tenant is paying rent), and Jennison Associates
(13.2%; $91.98 per sq. ft. [17.0% of total]; February 2025) is also
expected to vacate at lease expiration. Given these updates, we
anticipate all three tenants vacating upon their respective lease
expirations. Our revised property valuation assumes a gross rent of
$75.00 per sq. ft. for all three spaces, reflecting the five-year
average forecast rent for four- and five-star properties in
CoStar's Grand Central office submarket (the submarket is currently
at $78.05 per sq. ft. gross), and an overall gross rent of $70.44
per sq. ft. for the property. We also assumed an overall 14.0%
long-term vacancy rate for the property (which is currently just
3.2% vacant; however, four- and five-star properties in CoStar's
Grand Central office submarket are 16.4% vacant), and a 34.8%
operating expense ratio, resulting in a revised sustainable net
cash flow (NCF) of $43.4 million (down 12.4% from our last
published review). Using an S&P Global Ratings' capitalization rate
of 6.25% (unchanged from our last published review), we arrived at
an expected-case value of $709.7 million, or $563 per sq. ft. (down
13.4% from our last published review)."

Although the model-indicated ratings were lower than S&P's revised
or current ratings on classes A, B, C, and D, S&P tempered its
downgrades on classes B, C, and D, and affirmed its rating on class
A because of certain qualitative considerations. These include:

-- The property's desirable location in proximity to Grand Central
Station, a major transportation hub, in the Grand Central office
submarket.

-- The potential that the property's future operating performance
could exceed S&P's revised expectations. While S&P anticipates
several significant-tenant vacancies, including that of the
second-largest tenant, J.P. Morgan Chase, the loan is structured
with an NCF sweep that will occur 15 months before J.P. Morgan
Chase's lease expires if the borrower does not execute leases
covering that space. Funds will be reserved monthly in an amount
equal to the monthly base rent J.P. Morgan Chase pays under its
lease until $60.00 per sq. ft. of the space to be vacated is
reached. These funds could help with re-tenanting efforts, which
could buoy future property operating performance above our revised
levels.

-- The relatively moderate debt per sq. ft. ($276 per sq. ft. for
class A).

-- The loan's relatively longer time-to-maturity (the loan is
scheduled to mature on Aug. 9, 2027).

-- The significant market value decline that would need to occur
before these classes experience principal losses.

-- The temporary liquidity support provided in the form of
servicer advancing.

-- The relative position of these classes in the payment
waterfall.

S&P said, "We affirmed our rating on the class X-A IO certificates
and lowered our rating on the class X-B IO certificates based on
our criteria for rating IO securities, which states 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 class A and the notional amount of class X-B references
class B.

"We will continue to monitor property performance, particularly the
anticipated tenant vacancies and related re-leasing efforts. We
will also continue to monitor the office submarket's fundamentals,
and the borrower's ability to refinance the loan by its Aug. 9,
2027, maturity date. If we receive information that differs
materially from our expectations, such as reported negative changes
in the performance beyond what we already considered, we may
revisit our analysis and take further rating actions as we deem
necessary."

Property-Level Analysis

The loan collateral consists of a 21-story, class A,
1.26-million-sq.-ft. office building located at 237 Park Avenue in
Midtown Manhattan, about two blocks north of Grand Central Station
(the property is a part of CoStar's Grand Central office
submarket). The property was built in 1914 and was completely
renovated and expanded in 1981. The sponsors, RXR Realty LLC and
Walton Street Capital, purchased the property from Lehman Brothers
Estate in October 2013 for $810.0 million ($642 per sq. ft.) and
since 2015 have invested $66.0 million ($52 per sq. ft.) in
renovation and repositioning, including updating various entrance
spaces and adding retail space.

The property's economic occupancy rate was 96.8% as of the Sep.
2023, rent roll, compared with 96.8% in 2022, and 96.9% in 2021 and
2020. Considering Wunderman Thompson's known dark space, the
property's physical occupancy rate was 81.5% as of the September
2023 rent roll. The five largest tenants under lease comprised
93.7% of NRA and included:

-- New York and Presbyterian Hospital (38.0% of NRA; 28.4% of
in-place gross rent per the September 2023 rent roll; December 2048
lease expiration).

-- J.P. Morgan Chase (21.5%; 26.2%; December 2025). CoStar
indicates that the tenant's space on the 21st floor is out for
sublease, and we expect the tenant to eventually vacate the
property to move into its new headquarters at 270 Park Avenue after
construction is completed.

-- Wunderman Thompson (15.3%; 17.1%; May 2027). Wells Fargo
confirmed that their space is physically vacant (although they
continue to pay rent). We expect them to formally vacate their
lease upon its expiration.

-- Jennison Associates (13.2%; 17.0%; February 2025). Wells Fargo
indicated that they are expected to vacate upon lease expiration.
Her Majesty the Queen in Right of Canada (Canadian Consulate)
(5.8%; 7.2%; October 2037).

Through the loan's August 2027 maturity date, leases representing
49.9% of NRA (28.4% of in-place gross rent per the September 2023
rent roll) are scheduled to expire, mainly reflecting J.P. Morgan
Chase, Wunderman Thompson, and Jennison Associates. 2037 and 2048
also see significant lease expirations, related to tenants Her
Majesty the Queen in Right of Canada (Canadian Consulate) and New
York and Presbyterian Hospital, respectively.

According to CoStar, the Grand Central office submarket continues
to experience negative net absorption, elevated vacancy and
availability rates, and flat rents as office utilization remains
well below pre-pandemic levels. This is mainly driven by the
widespread adoption of hybrid work arrangements as well as a flight
to newer, more modern office space. For 2023, the four- and
five-star office properties in the submarket had a 16.4% vacancy
rate, a 17.7% availability rate, and a $78.05 per sq. ft. gross
rent versus a 10.4% vacancy rate and $78.50 per sq. ft. gross rent
at issuance in 2017. CoStar projects vacancy to be 18.4% in 2024
and 20.0% in 2025 and gross rent to contract to $75.97 and $74.31
per sq. ft. for the same periods. As of the September 2023 rent
roll, the property's in-place vacancy rate was 3.2%, and the gross
rental rate was $73.42 per sq. ft. S&P's analysis assumed a 14.0%
long-term vacancy rate and $70.44 per. sq. ft. gross rental rate
for the property.

Transaction Summary

The IO mortgage whole loan had an initial and current balance (as
of the January 2024 trustee remittance report) of $693.2 million,
pays a per annum fixed interest rate of 3.7515%, and matures on
Aug. 9, 2027. The mortgage whole loan comprises 16 promissory
notes: four senior pari-passu A notes totaling $132.6 million in
the trust, eight senior pari-passu A notes totaling $215.4 million
held outside the trust, and four subordinate B notes totaling
$345.2 million in the trust. The $348.0 million senior A notes are
pari-passu to each other and are senior to the $345.2 million
subordinate B notes. In addition, there is an $87.8 million
mezzanine loan, and the loan agreement allows up to $69.0 million
of either future mezzanine debt or preferred equity to be issued
subject to certain performance hurdles.

Wells Fargo reported a debt service coverage ratio for the mortgage
whole loan of 2.16x for the nine months ended Sept. 30, 2023, and
2.24x for full-year 2022 and 2021. Assuming the J.P. Morgan Chase
and Jennison Associates spaces aren't re-leased following their
expected 2025 exits, our calculation shows that the loan's in-place
debt service coverage ratio will fall below 1.00x. To date, the
trust has not incurred any principal losses.

  Ratings Lowered

  MSSG Trust 2017-237P

  Class B to 'A (sf)' from 'AA- (sf)'
  Class C to 'BBB (sf)' from 'A- (sf)'
  Class D to 'BB (sf)' from 'BBB- (sf)'
  Class E to 'B- (sf)' from 'BB- (sf)'
  Class X-B to 'A (sf)' from 'AA- (sf)'

  Ratings Affirmed

  MSSG Trust 2017-237P

  Class A: AAA (sf)
  Class X-A: AAA (sf)



OCP CLO 2023-30: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to OCP CLO 2023-30 Ltd./OCP
CLO 2023-30 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 Onex Credit Partners LLC.

The ratings reflect:

-- S&P's view of the collateral pool's diversification;

-- 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 notes through portfolio
identification and ongoing management; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Ratings Assigned

  OCP CLO 2023-30 Ltd./OCP CLO 2023-30 LLC

  Class A-1, $256 million: AAA (sf)
  Class A-2, $8 million: AAA (sf)
  Class B, $40 million: AA (sf)
  Class C (deferrable), $24 million: A (sf)
  Class D (deferrable), $24 million: BBB- (sf)
  Class E (deferrable), $14 million: BB- (sf)
  Preferred shares, $24 million: Not rated
  Subordinated notes, $16 million: Not rated



PROVIDENT FUNDING 2021-J1: Moody's Hikes Rating on B-5 Debt to 'B1'
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 17 bonds from
three US residential mortgage-backed transactions (RMBS), backed by
prime, prime jumbo, agency eligible and non-agency jumbo mortgage
loans.

Complete rating actions are as follows:

Issuer: Provident Funding Mortgage Trust 2021-J1

Cl. A-14, Upgraded to Aaa (sf); previously on Oct 7, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Upgraded to Aaa (sf); previously on Oct 7, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. A-X-1*, Upgraded to Aaa (sf); previously on Oct 7, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. A-X-15*, Upgraded to Aaa (sf); previously on Oct 7, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. B-2, Upgraded to A1 (sf); previously on Oct 7, 2021 Definitive
Rating Assigned A2 (sf)

Cl. B-3, Upgraded to Baa1 (sf); previously on Oct 7, 2021
Definitive Rating Assigned Baa2 (sf)

Cl. B-4, Upgraded to Ba1 (sf); previously on Oct 7, 2021 Definitive
Rating Assigned Ba2 (sf)

Cl. B-5, Upgraded to B1 (sf); previously on Oct 7, 2021 Definitive
Rating Assigned B2 (sf)

Issuer: Wells Fargo Mortgage Backed Securities 2020-5 Trust

Cl. B-1, Upgraded to Aaa (sf); previously on Jul 7, 2022 Upgraded
to Aa1 (sf)

Cl. B-2, Upgraded to Aa2 (sf); previously on Jul 7, 2022 Upgraded
to A1 (sf)

Cl. B-3, Upgraded to A2 (sf); previously on Oct 28, 2020 Definitive
Rating Assigned Baa2 (sf)

Cl. B-4, Upgraded to Baa1 (sf); previously on Oct 28, 2020
Definitive Rating Assigned Baa3 (sf)

Cl. B-5, Upgraded to Baa3 (sf); previously on Oct 28, 2020
Definitive Rating Assigned Ba2 (sf)

Issuer: Wells Fargo Mortgage Backed Securities 2021-2 Trust

Cl. A-17, Upgraded to Aaa (sf); previously on Sep 28, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. A-18, Upgraded to Aaa (sf); previously on Sep 28, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aa1 (sf); previously on Sep 28, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to A1 (sf); previously on Sep 28, 2021 Definitive
Rating Assigned A2 (sf)

* Reflects Interest-Only Classes

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool.

In Moody's analysis Moody's considered the additional risk of
default on modified loans. Generally, Moody's apply a 7x multiple
to the Probability of Default (PD) for private label modified
mortgage loans and an 8x multiple to the PD for agency-eligible
modified mortgage loans. However, Moody's may apply a lower
multiple to the PD for loans that were granted short-term payment
relief as long as there were no other changes to the loan terms,
such as a reduced interest rate or an extended loan term, which can
be used to lower the monthly payment on the loan. For loans granted
short-term payment relief, servicers will generally defer the
missed payments, which could be added as a non-interest-bearing
balloon payment due at the end of the loan term. Alternatively,
servicers could extend the maturity on the loan to match the number
of missed payments.

Moody's updated loss expectations on the pools incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicer.

No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations.

Principal Methodologies

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2023.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.


PRPM 2023-NQM3: DBRS Finalizes B(high) Rating on B-2 Certs
----------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage-Backed Certificates, Series 2023-NQM3 (the Certificates)
to be issued by PRPM 2023-NQM3 Trust (the Issuer):

-- $156.0 million Class A-1 at AAA (sf)
-- $16.7 million Class A-2 at AA (high) (sf)
-- $19.3 million Class A-3 at A (high) (sf)
-- $12.4 million Class M-1 at BBB (high) (sf)
-- $8.3 million Class B-1 at BB (high) (sf)
-- $8.4 million Class B-2 at B (high) (sf)

The AAA (sf) credit rating on the Class A-1 Notes reflects 34.00%
of credit enhancement provided by subordinated notes. The AA (high)
(sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high)
(sf) credit ratings reflect 26.95%, 18.80%, 13.55%, 10.05%, and
6.50% of credit enhancement, respectively.

Other than the specified classes above, DBRS Morningstar does not
rate any other classes in this transaction.

This transaction is a securitization of a portfolio of fixed- and
adjustable-rate expanded prime and nonprime first-lien residential
mortgages funded by the issuance of the Mortgage Pass-Through
Certificates, Series 2023-NQM3 (the Certificates). The Certificates
are backed by 516 mortgage loans with a total principal balance of
$236,428,733 as of the Cut-Off Date (November 30, 2023).

PRPM 2023-NQM3 represents the fourth securitization issued from the
PRPM NQM shelf, which is backed by both non-qualified mortgages
(non-QM) and business purpose investment property loans
underwritten using debt service coverage ratios (DSCR). PRP-LB
2023-NQM3, LLC, a fund owned by the aggregator, Balbec Capital LP &
PRP Advisors, LLC (PRP), serves as the Sponsor of this
transaction.

Nexera Holding LLC doing business as Newfi Lending (23.0%) is the
top originator for the mortgage pool. The remaining originators
each comprise less than 10.0% of the mortgage loans. Fay Servicing,
LLC (100.0%) is the Servicer of the loans in this transaction. PRP
acts as the Servicing Administrator. U.S. Bank Trust Company,
National Association (rated AA (high) with a Negative trend by DBRS
Morningstar) will act as the Trustee and Securities Administrator.
U.S. Bank National Association will act as the Custodian.

For 31.7% of the pool, the mortgage loans were underwritten to
program guidelines for business-purpose loans that are designed to
rely on property value, the mortgagor's credit profile, and the
DSCR, where applicable. In addition, 13.6% of the pool comprise
investment property loans underwritten using debt-to-income ratios
(DTI). Because these loans were made to investors for business
purposes, they are exempt from the Consumer Financial Protection
Bureau's Ability-to-Repay (ATR) rules and TILA/RESPA Integrated
Disclosure rule.

For 45.4% of the pool, the mortgage loan were originated to satisfy
the Consumer Financial Protection Bureau's (CFPB) Ability-to-Repay
(ATR) rules, but were made to borrowers who generally do not
qualify for agency, government, or private-label nonagency prime
jumbo products for various reasons. In accordance with the QM)/ATR
rules, these loans are designated as non-QM. Remaining loans
subject to the ATR rules are designated as QM Safe Harbor (4.4%),
and QM Rebuttable Presumption (4.9%) by UPB.

The Depositor, a majority-owned affiliate of the Sponsor, will
retain the Class B-3 and XS Certificates, representing an eligible
horizontal interest of at least 5% of the aggregate fair value of
the Certificates to satisfy the credit risk-retention requirements
under Section 15G of the Securities Exchange Act of 1934 and the
regulations promulgated thereunder. Such retention aligns Sponsor
and investor interest in the capital structure.

On or after the earlier of (1) the distribution date in January
2027 or (2) the date when the aggregate unpaid principal balance
(UPB) of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Depositor, at its option, may redeem all of the
outstanding Certificates at a price equal to the class balances of
the related Certificates plus accrued and unpaid interest,
including any Cap Carryover Amounts, any post-closing deferred
amounts, and other fees, expenses, indemnification, and
reimbursement amounts described in the transaction documents
(Optional Redemption). An Optional Redemption will be followed by a
qualified liquidation.

The Sponsor will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 60 or more days
delinquent under the Mortgage Bankers Association (MBA) method at
the Repurchase Price (par plus interest), provided that such
repurchases in aggregate do not exceed 10% of the total principal
balance as of the Cut-Off Date.

For this transaction, the Servicer will not fund advances of
delinquent principal and interest (P&I) on any mortgage. However,
the Servicer are obligated to make advances in respect of taxes,
insurance premiums, and reasonable costs incurred in the course of
servicing and disposing of properties (servicing advances).

The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior classes (Class
A-1, A-2, and A-3) subject to certain performance triggers related
to cumulative losses or delinquencies exceeding a specified
threshold (Trigger Event). After a Trigger Event, principal
proceeds can be used to cover interest shortfalls on Class A-1 and
then A-2 before being applied sequentially to amortize the balances
of the certificates (IIPP). For all other classes, principal
proceeds can be used to cover interest shortfalls after the more
senior classes are paid in full (IPIP).

Monthly Excess Cash Flow can be used to cover realized losses
before being allocated to unpaid Cap Carryover Amounts due to Class
A-1, A-2, and A-3. For this transaction, the Class A-1, A-2, and
A-3 fixed rates step up by 100 basis points on and after the
payment date in February 2028. On or after February 2028, interest
and principal otherwise payable to the Class B-3 may also be used
to pay Cap Carryover Amounts.

Notes: All figures are in US Dollars unless otherwise noted.


SILVER ROCK III: S&P Assigns BB- (sf) Rating on Class E Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to Silver Rock CLO III
Ltd./Silver Rock CLO III LLC's floating- and fixed-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 Silver Rock Management LLC.

The ratings reflect S&P's view of:

-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans.

-- 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.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Ratings Assigned

  Silver Rock CLO III Ltd./Silver Rock CLO III LLC

  Class A-1 $240.0 million: AAA (sf)
  Class A-2 $20.0 million: AAA (sf)
  Class B $44.0 million: AA (sf)
  Class C-1 (deferrable) $8.0 million: A (sf)
  Class C-2 (deferrable) $16.0 million: A (sf)
  Class D (deferrable) $24.0 million: BBB- (sf)
  Class E (deferrable) $10.0 million: BB- (sf)
  Subordinated notes $43.4 million: Not rated



SILVER ROCK III: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Silver Rock
CLO III Ltd./Silver Rock CLO III LLC's floating- and fixed-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 Silver Rock Management LLC.

The preliminary ratings are based on information as of Jan. 22,
2023. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect S&P's view of:

-- The diversification of the collateral pool, which consists
primarily of broadly syndicated speculative-grade (rated 'BB+' and
lower) senior secured term loans.

-- 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.

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Preliminary Ratings Assigned

  Silver Rock CLO III Ltd./Silver Rock CLO III LLC

  Class A-1 $240.00 million: AAA (sf)
  Class A-2 $20.00 million: AAA (sf)
  Class B $44.00 million: AA (sf)
  Class C-1 (deferrable) $8.00 million: A (sf)
  Class C-2 (deferrable) $16.00 million: A (sf)
  Class D (deferrable) $24.00 million: BBB- (sf)
  Class E (deferrable) $10.00 million: BB- (sf)
  Subordinated notes $43.40 million: Not rated



TOWD POINT 2024-CES1: Fitch Assigns BB-(EXP) Rating on B1 Notes
---------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Towd Point Mortgage
Trust 2024-CES1 (TPMT 2024-CES1).

   Entity/Debt      Rating           
   -----------      ------           
TPMT 2024-CES1

   A1A          LT AAA(EXP)sf   Expected Rating
   A1B          LT AAA(EXP)sf   Expected Rating
   A2           LT AA-(EXP)sf   Expected Rating
   M1           LT A-(EXP)sf    Expected Rating
   M2           LT BBB-(EXP)sf  Expected Rating
   B1           LT BB-(EXP)sf   Expected Rating
   B2           LT NR(EXP)sf    Expected Rating
   A1           LT AAA(EXP)sf   Expected Rating
   A2A          LT AA-(EXP)sf   Expected Rating
   A2AX         LT AA-(EXP)sf   Expected Rating
   A2B          LT AA-(EXP)sf   Expected Rating
   A2BX         LT AA-(EXP)sf   Expected Rating
   A2C          LT AA-(EXP)sf   Expected Rating
   A2CX         LT AA-(EXP)sf   Expected Rating
   A2D          LT AA-(EXP)sf   Expected Rating
   A2DX         LT AA-(EXP)sf   Expected Rating
   M1A          LT A-(EXP)sf    Expected Rating
   M1AX         LT A-(EXP)sf    Expected Rating
   M1B          LT A-(EXP)sf    Expected Rating
   M1BX         LT A-(EXP)sf    Expected Rating
   M1C          LT A-(EXP)sf    Expected Rating
   M1CX         LT A-(EXP)sf    Expected Rating
   M1D          LT A-(EXP)sf    Expected Rating
   M1DX         LT A-(EXP)sf    Expected Rating
   M2A          LT BBB-(EXP)sf  Expected Rating
   M2AX         LT BBB-(EXP)sf  Expected Rating
   M2B          LT BBB-(EXP)sf  Expected Rating
   M2BX         LT BBB-(EXP)sf  Expected Rating
   M2C          LT BBB-(EXP)sf  Expected Rating
   M2CX         LT BBB-(EXP)sf  Expected Rating
   M2D          LT BBB-(EXP)sf  Expected Rating
   M2DX         LT BBB-(EXP)sf  Expected Rating
   XS1          LT NR(EXP)sf    Expected Rating
   XS2          LT NR(EXP)sf    Expected Rating
   X            LT NR(EXP)sf    Expected Rating
   R            LT NR(EXP)sf    Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed notes issued
by Towd Point Mortgage Trust 2024-CES1 (TPMT 2024-CES1) as
indicated above. The transaction is expected to close on Jan. 31,
2024. The notes are supported by one collateral group that consists
of 6,096 newly originated, closed-end second (CES) lien loans with
a total balance of $456 million, as of the statistical calculation
date. The bond balances indicated above are as of the statistical
calculation date. PennyMac Loan Services, LLC (PennyMac); Rocket
Mortgage, LLC (Rocket); Spring EQ, LLC (Spring EQ); and Nationstar
Mortgage LLC d/b/a Mr. Cooper (Nationstar) originated approximately
38%, 31%, 22% and 9% of the loans, respectively.

PennyMac, Rocket, Specialized Loan Servicing LLC (SLS) and
Nationstar will service the loans. The servicers will not advance
delinquent monthly payments of principal and interest (P&I).

Distributions of P&I and loss allocations are based on a
traditional senior-subordinate, sequential structure. The
sequential-pay structure locks out principal to the subordinated
notes until the most senior notes outstanding are paid in full. In
addition, excess cash flow can be used to repay losses or net
weighted average coupon (WAC) shortfalls, as well as to partially
pay down the notes sequentially.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to an updated view
on sustainable home prices, Fitch views the home price values of
this pool as 10.7% above a long-term sustainable level, compared
with 9.4% on a national level as of 2Q23, down 1.8% since last
quarter. Housing affordability is the worst it has been in decades,
driven by both high interest rates and elevated home prices. Home
prices have increased 4.7% yoy nationally as of October 2023
despite modest regional declines, but are still being supported by
limited inventory.

Closed-End Second Liens (Negative): The entirety of the collateral
pool is composed of newly originated CES lien mortgages. Fitch
assumed no recovery and 100% loss severity (LS) on second lien
loans based on the historical behavior of second lien loans in
economic stress scenarios. Fitch assumes second lien loans default
at a rate comparable to first lien loans; after controlling for
credit attributes, no additional penalty was applied.

Strong Credit Quality (Positive): The pool consists of
new-origination CES loans, seasoned approximately four months (as
calculated by Fitch), with a relatively strong credit
profile—weighted average (WA) model credit score of 739, a 37%
debt to income ratio (DTI) and a moderate sustainable loan-to-value
ratio (sLTV) of 77%. Roughly 97% of the loans were treated as full
documentation in Fitch's analysis. None of the loans have
experienced any prior modifications since origination. Nine loans
were flagged previously delinquent (DQ) due to a temporary payment
interruption as a result of servicing transfer or initial payment
set-up. Fitch did not penalize the delinquencies and considered
those loans as current in its analysis.

Sequential-Pay Structure with Realized Loss and Writedown Feature
(Positive): The transaction's cash flow is based on a
sequential-pay structure, whereby the subordinate classes do not
receive principal until the senior classes are repaid in full.
Losses are allocated in reverse-sequential order. Furthermore, the
provision to reallocate principal to pay interest on the 'AAAsf'
and 'AA-sf' rated notes prior to other principal distributions is
highly supportive of timely interest payments to those classes in
the absence of servicer advancing.

With respect to any loan that becomes DQ for 150 days or more under
the Office of Thrift Supervision (OTS) methodology, the related
servicer will review, and may charge off, such loan with the
approval of the asset manager, based on an equity analysis review
performed by the servicer, causing the most subordinated class to
be written down. Despite the 100% LS assumed for each defaulted
second lien loan, Fitch views the writedown feature positively, as
cash flows will not be needed to pay timely interest to the 'AAAsf'
and 'AA-sf' rated notes during loan resolution by the servicers. In
addition, subsequent recoveries realized after the writedown at 150
days' DQ (excluding forbearance mortgage or loss mitigation loans)
will be passed on to bondholders as principal.

Additionally, the structure allocates 50% of the remaining excess
cash flow after reimbursement of losses and net WAC shortfalls to
turbo down bonds. Given this and the significant amount of excess
spread, Fitch ran an additional analysis that incorporated a WAC
deterioration scenario. Fitch applied a 2.5% WAC cut (based on the
most common historical modification rate) on 40% (historical Alt A
modification percent) of the performing loans.

No Servicer P&I Advances (Neutral): The servicers will not advance
DQ monthly payments of P&I. Structural provisions and cash flow
priorities, together with increased subordination, provide for
timely payments of interest to the 'AAAsf' and 'AA-sf' rated
classes. Fitch is indifferent to the advancing framework, as given
its projected 100% loss severity, no credit would be given to
advances on the structure side and no additional adjustment would
be made as it relates to loss severity.

RATING SENSITIVITIES

Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model-projected 41.9%, at 'AAAsf'. The analysis indicates there is
some potential rating migration, with higher MVDs for all rated
classes compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade

This defined positive rating sensitivity analysis demonstrates how
the ratings would react to positive home price growth of 10% with
no assumed overvaluation. Excluding the senior class, which is
already rated 'AAAsf', the analysis indicates there is potential
positive rating migration for all rated classes. Specifically, a
10% gain in home prices would result in a full category upgrade for
the rated classes, excluding those being assigned ratings of
'AAAsf'.

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 (AMC), Clayton Services, LLC (Clayton) and
Consolidated Analytics. A third-party due diligence review was
completed on 100% of the loans. The scope, as described in Form
15E, focused on credit, regulatory compliance and property
valuation reviews, consistent with Fitch criteria for new
originations. The results of the reviews indicated low operational
risk with approximately 0.05% of the pool (three loans) receiving a
final grade of C/D for credit due to incomplete appraisal documents
and undisclosed debt at origination. Compensating factors were
noted in the TPR report and Fitch's analysis considered the
TPR-reported document verification levels and DTI. Overall, Fitch
applied a credit for the high percentage of loan-level due
diligence, which reduced the 'AAAsf' loss expectation by 76bps.

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.


TRICOLOR AUTO 2024-1: Moody's Assigns (P)B2 Rating to Cl. F Notes
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Tricolor Auto Securitization Trust 2024-1
(TAST 2024-1). This is the first auto loan transaction of the year
and the second rated by Moody's for Tricolor Auto Acceptance, LLC
(Tricolor). The notes will be backed by a pool of retail automobile
loan contracts originated by affiliates of Tricolor, who is the
servicer and administrator for the transaction.

The complete rating actions are as follows:

Issuer: Tricolor Auto Securitization Trust 2024-1

Class B Asset Backed Notes, Assigned (P)A1 (sf)

Class C Asset Backed Notes, Assigned (P)A2 (sf)

Class D Asset Backed Notes, Assigned (P)Baa2 (sf)

Class E Asset Backed Notes, Assigned (P)Ba2 (sf)

Class F Asset Backed Notes, Assigned (P)B2 (sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
and its expected performance, the strength of the capital
structure, the experience and expertise of Tricolor as the servicer
and administrator and the presence of Vervent, Inc. as named backup
servicer.

Moody's median cumulative net loss expectation for the 2024-1 pool
is 22.00%, which is 2.00% higher than 2023-1. The loss at a Aaa
stress is 53.00%, which is same as 2023-1. Moody's based its
cumulative net loss expectation and loss at a Aaa stress on an
analysis of the credit quality of the underlying collateral; the
historical performance of similar collateral, including
securitization performance and managed portfolio performance; the
ability of Tricolor to perform the servicing functions; and current
expectations for the macroeconomic environment during the life of
the transaction.

At closing, Class B notes, Class C notes, Class D notes, Class E
notes and Class F notes are expected to benefit from 46.50%,
44.50%, 38.25%, 32.75% and 24.75% of hard credit enhancement
respectively. Hard credit enhancement for the notes consists of a
combination of overcollateralization, a non-declining reserve
account and subordination, except for the Class F notes which do
not benefit from subordination. The notes may also benefit from
excess spread.

This securitization's governance risk is moderate and is higher
than other Auto ABS in the market. The governance risks are
partially mitigated by the transaction structure, documentation and
characteristics of the transaction parties. The sponsor and
servicer is relatively small and financially weak, which lends
additional variability to the pool expected loss and higher
servicing transfer risk.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Auto Loan- and Lease-Backed ABS" published in
November 2023.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Moody's could upgrade the Class C, Class D, Class E and Class F
notes if levels of credit enhancement are higher than necessary to
protect investors against current expectations of portfolio losses.
Losses could decline from Moody's original expectations as a result
of a lower number of obligor defaults or appreciation in the value
of the vehicles securing an obligor's promise of payment. Portfolio
losses also depend greatly on the US job market and the market for
used vehicles. Other reasons for better-than-expected performance
include changes to servicing practices that enhance collections or
refinancing opportunities that result in prepayments.

Down

Moody's could downgrade the notes if, given current expectations of
portfolio losses, levels of credit enhancement are consistent with
lower ratings. Credit enhancement could decline if excess spread is
not sufficient to cover losses in a given month. Moody's
expectation of pool losses could rise as a result of a higher
number of obligor defaults or deterioration in the value of the
vehicles securing an obligor's promise of payment. Portfolio losses
also depend greatly on the US job market, the market for used
vehicles, and poor servicing. Other reasons for worse-than-expected
performance include error on the part of transaction parties,
inadequate transaction governance, and fraud.  


TRINITAS CLO XXVI: S&P Affirms BB- (sf) Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned its ratings to Trinitas CLO XXVI
Ltd./Trinitas CLO XXVI 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 Trinitas Capital Management LLC.

The ratings reflect S&P's view of:

-- The diversification of the collateral pool;

-- The credit enhancement provided through subordination, excess
spread, and overcollateralization;

-- The experience of the collateral manager's team, which can
affect the performance of the rated notes through portfolio
identification and ongoing management; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Ratings Assigned

  Trinitas CLO XXVI Ltd./Trinitas CLO XXVI LLC

  Class A-1, $315.00 million: AAA (sf)
  Class A-2, $12.50 million: AAA (sf)
  Class B, $52.50 million: AA (sf)
  Class C (deferrable), $30.00 million: A (sf)
  Class D (deferrable), $30.00 million: BBB- (sf)
  Class E (deferrable), $20.00 million: BB- (sf)
  Subordinated notes, $42.95 million: Not rated



TRINITAS CLO XXVI: S&P Assigns Prelim BB- (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Trinitas CLO
XXVI Ltd./Trinitas CLO XXVI 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 Trinitas Capital Management LLC.

The preliminary ratings are based on information as of Jan. 18,
2024. 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 collateral pool's diversification;

-- 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 notes through portfolio
identification and ongoing management; and

-- The transaction's legal structure, which is expected to be
bankruptcy remote.

  Preliminary Ratings Assigned

  Trinitas CLO XXVI Ltd./Trinitas CLO XXVI LLC

  Class A-1, $315.00 million: AAA (sf)
  Class A-2, $12.50 million: AAA (sf)
  Class B, $52.50 million: AA (sf)
  Class C (deferrable), $30.00 million: A (sf)
  Class D (deferrable), $30.00 million: BBB- (sf)
  Class E (deferrable), $20.00 million: BB- (sf)
  Subordinated notes, $42.95 million: Not rated



VENTURE XXVI CLO: Moody's Cuts Rating on $25.700MM E Notes to B1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Venture XXVI CLO, Limited:

US$59,850,000 Class B-R Senior Secured Floating Rate Notes due 2029
(the "Class B-R Notes"), Upgraded to Aaa (sf); previously on
January 20, 2021 Assigned Aa1 (sf)

US$32,550,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2029 (the "Class C Notes"), Upgraded to Aa1 (sf);
previously on January 28, 2022 Upgraded to Aa3 (sf)

Moody's has also downgraded the rating on the following notes:

US$25,700,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2029 (the "Class E Notes"), Downgraded to B1 (sf); previously
on August 11, 2020 Downgraded to Ba3 (sf)

Venture XXVI CLO, Limited, originally issued in February 2017 and
partially refinanced in January 2021 is a managed cashflow CLO. The
notes are collateralized primarily by a portfolio of broadly
syndicated senior secured corporate loans. The transaction's
reinvestment period ended in January 2022.

A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.

RATINGS RATIONALE

The upgrade rating actions on the Class B-R notes and Class C notes
are primarily a result of deleveraging of the senior notes and an
increase in the Class B-R and Class C over-collateralization (OC)
ratios since December 2022. The Class A-R notes have been paid down
by approximately 43.9% or $142.4 million since that time. Based on
the trustee's December 2023 report, the OC ratios for the Class B-R
and Class C notes are currently at 138.83% and 122.38%,
respectively[1], versus December 2022 trustee reported levels of
129.45% and 119.35%, respectively[2].

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 December 2023
report, the OC ratio for the Class E notes is currently at
102.10%[3] versus December 2022 trustee reported level of
105.54%[4].

Moody's notes that the December 2023 trustee-reported OC ratios do
not reflect the January 2024 payment distribution, when $33.8
million of principal proceeds were used to pay down the Class A-R
notes.

No actions were taken on the Class A-R and Class D notes because
their expected losses remain commensurate with their current
ratings, after taking into account the CLO's latest portfolio
information, its relevant structural features and its actual
over-collateralization and interest coverage levels.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
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: $337,808,914

Defaulted par: $15,503,182

Diversity Score: 64

Weighted Average Rating Factor (WARF): 2632

Weighted Average Spread (WAS): 3.36%

Weighted Average Coupon (WAC): 8.00%

Weighted Average Recovery Rate (WARR): 47.41%

Weighted Average Life (WAL): 2.9 years

Par haircut in OC tests and interest diversion test: 1.9%

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, decrease in overall WAS or net interest
income, lower recoveries on defaulted assets.

Methodology Used for the Rating Action

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.            

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.


VERTICAL BRIDGE 2022-1: Fitch Affirms 'BB-sf' Rating on Cl. F Notes
-------------------------------------------------------------------
Fitch Ratings has affirmed the ratings of Vertical Bridge Holdings,
LLC, series 2022-1, issued by VB-S1 Issuer, LLC.

   Entity/Debt              Rating            Prior
   -----------              ------            -----
Vertical Bridge 2022-1

   C-1                  LT  Asf    Affirmed   Asf
   C-2-I 91823AAU5      LT  Asf    Affirmed   Asf
   C-2-II 91823AAW1     LT  Asf    Affirmed   Asf
   D 91823AAY7          LT  BBB-sf Affirmed   BBB-sf
   F 91823ABA8          LT  BB-sf  Affirmed   BB-sf

TRANSACTION SUMMARY

The transaction is an issuance of notes backed by mortgages
representing 90.7% of the annualized run rate net cash flow
(ARRNCF) on the tower sites and guaranteed by the direct parent of
the borrower issuer. This guarantee is secured by a pledge and
first-priority-perfected security interest in 100% of the equity
interest of the issuer and its direct subsidiaries, which own or
lease 3,526 wireless communication sites including 3,743 towers and
other structures.

KEY RATING DRIVERS

Net Cash Flow and Trust Leverage: Issuer net cash flow (NCF) on the
pool is $120.2 million - up 4.1% since issuance. The debt multiple
relative to NCF on the rated classes is 11.6x compared with 11.8x
at issuance. Fitch has not redetermined NCF or maximum potential
leverage (MPL) given there have not been material migrations in the
performance, cash flow or collateral asset characteristics.

Credit Risk Factors: The major factors affecting Fitch's
determination of cash flow and MPL include: the large and diverse
collateral pool, creditworthy customer base with limited historical
churn, market position of the operator, capability of the operator,
limited operational requirements, high barriers to entry and strong
transaction structure.

Technology-Dependent Credit: Due to the specialized nature of the
collateral and potential for changes in technology to affect
long-term demand for tower space, similar to most wireless tower
transactions, the senior classes of this transaction do not achieve
ratings above 'Asf'. The securities have a rated final payment date
over 30 years after closing, and the long-term tenor of the
securities increases the risk that an alternative technology —
rendering obsolete the current transmission of wireless signals
through cellular sites — will be developed. Wireless service
providers (WSPs) currently depend on towers to transmit their
signals and continue to invest in this technology.

RATING SENSITIVITIES

Factors that Could, Individually or Collectively, Lead to Negative
Rating Action/Downgrade

Sustained cash flow declines -- as a result of higher site expenses
and/or lease churn, or the development of an alternative technology
for the transmission of wireless signal -- could lead to
downgrades.

Factors that Could, Individually or Collectively, Lead to Positive
Rating Action/Upgrade

Increasing cash flow without an increase in corresponding debt,
from contractual lease escalators, new tenant leases, or lease
amendments could lead to upgrades.

However, upgrades are unlikely for this transaction given the
ability to issue additional notes, which rank pari passu or
subordinate to existing notes, without the benefit of additional
collateral. Upgrades are further constrained by the variable
funding notes, which will likely offset any improvements in cash
flow with a corresponding increase in debt, keeping leverage levels
relatively flat.

In addition, the transaction is capped at 'Asf', given the risk of
technological obsolescence.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by,
Fitch in relation to this rating action.

ESG CONSIDERATIONS

Vertical Bridge 2022-1 has an ESG Relevance Score of '4' for
Transaction & Collateral Structure due to several factors including
the issuer's ability to issue additional notes, which has a
negative impact on the credit profile, and is relevant to the
ratings in conjunction with other factors.

The highest level of ESG credit relevance is a score of '3', unless
otherwise disclosed in this section. A score of '3' means ESG
issues are credit-neutral or have only a minimal credit impact on
the entity, either due to their nature or the way in which they are
being managed by the entity. Fitch's ESG Relevance Scores are not
inputs in the rating process; they are an observation on the
relevance and materiality of ESG factors in the rating decision.


VERUS SECURITIZATION 2024-1: S&P Assigns 'B' Rating on B-2 Notes
----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Verus Securitization
Trust 2024-1's mortgage-backed notes.

The note issuance is an RMBS transaction backed by primarily newly
originated first- and second-lien, fixed- and adjustable-rate
residential mortgage loans, including mortgage loans with initial
interest-only periods, to both prime and non-prime borrowers. The
loans are secured by single-family residences, townhouses,
planned-unit developments, two- to four-family residential
properties, condominiums, condotels, townhouses, mixed-use
properties, and five- to 10-unit multifamily residences. The pool
has 1,360 loans backed by 1,369 properties, which are primarily
non-qualified mortgage (non-QM)/ability-to-repay (ATR)-compliant,
and ATR-exempt loans, with some QM/non-higher-priced mortgage (safe
harbor) and QM rebuttable presumption loans. Of the 1,360 loans,
one is a cross-collateralized loan backed by 10 properties.

S&P said, "After we assigned preliminary ratings on Jan. 10, 2024,
the class B-1 note rate was changed from the net weighted average
coupon (WAC) rate to the lesser of a fixed rate and the net WAC
rate. After analyzing the final coupons, we assigned final ratings
that are unchanged from the preliminary ratings we assigned for all
classes."

The ratings reflect S&P's view of:

-- The pool's collateral composition;

-- The transaction's credit enhancement, associated structural
mechanics, representations and warranties framework, prior credit
events, and geographic concentration;

-- The mortgage aggregator, Invictus Capital Partners; and

-- The potential impact current and near-term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, "On Oct. 13, 2023, we updated our market
outlook as it relates to the 'B' projected archetypal loss level;
and therefore, revised and lowered our 'B' foreclosure frequency to
2.50% from 3.25%, which reflects the level prior to April 2020,
preceding the COVID-19 pandemic. The update reflects our benign
view of the mortgage and housing markets as demonstrated through
general national-level home price behavior, unemployment rates,
mortgage performance, and underwriting. Per our latest
macroeconomic update, the U.S. economy has outperformed
expectations following consecutive quarters of contraction in the
first half of 2022."

  Ratings Assigned

  Verus Securitization Trust 2024-1(i)

  Class A-1, $433,211,000: AAA (sf)
  Class A-2, $69,103,000: AA (sf)
  Class A-3, $87,695,000: A (sf)
  Class M-1, $47,705,000: BBB- (sf)
  Class B-1, $28,764,000: BB- (sf)
  Class B-2, $17,539,000: B (sf)
  Class B-3, $17,539,564: Not rated
  Class A-IO-S, Notional(ii): Not rated
  Class XS, Notional(ii): Not rated
  Class R, Not applicable: Not rated

(i)The collateral and structural information reflect the private
placement memorandum dated Jan. 12, 2024; the 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.



WIND RIVER 2014-3K: Moody's Lowers Rating on $8MM F Notes to Caa3
-----------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on the
following notes issued by Wind River 2014-3K CLO Ltd.:

US$17,800,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2030 (the "Class E Notes"), Downgraded to B1 (sf); previously
on October 6, 2020 Confirmed at Ba3 (sf)

US$8,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2030 (the "Class F Notes"), Downgraded to Caa3 (sf); previously
on October 6, 2020 Downgraded to Caa1 (sf)

Wind River 2014-3K CLO Ltd., issued in October 2018, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period ended in October 2023.

A comprehensive review of all credit ratings for the respective
transaction has been conducted during a rating committee.

RATINGS RATIONALE

The downgrade rating actions on Class E and Class F notes reflects
the specific risks to the more junior notes posed by par loss
observed in the underlying CLO portfolio. Based on the trustee's
December 2023 [1] report, the OC ratios for the Class E and Class F
notes (in the case of the Class F notes represented by the interest
diversion test ratio) were reported at 103.22% and 100.84%
respectively versus December 2022 [2] levels of 104.64% and
102.41%, respectively. Moreover, the Class E OC test is reported as
failing as of December 2023 [1], and the credit quality of the
portfolio has deteriorated since December 2022. Based on trustee
reports, the weighted average rating factor (WARF) has increased to
2965 as of December 2023 [1] from 2893 in December 2022 [2].

No actions were taken on the Class A-1, Class A-2, Class B, Class C
and Class D notes because their expected losses remain commensurate
with their current ratings, after taking into account the CLO's
latest portfolio information, its relevant structural features and
its actual over-collateralization and interest coverage levels.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "Moody's Global
Approach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, diversity score, weighted average
spread, and weighted average recovery rate, are based on its
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: $375,575,479

Defaulted par:  $5,634,209

Diversity Score: 69

Weighted Average Rating Factor (WARF): 2971

Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.65%

Weighted Average Recovery Rate (WARR): 47.3%

Weighted Average Life (WAL): 4.3 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, decrease in overall WAS or net interest
income, lower recoveries on defaulted assets.

Methodology Used for the Rating Action

The principal methodology used in these ratings was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
December 2021.            

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.


[*] Moody's Puts Ratings on 13 Bonds From US RMBS Deals on Review
-----------------------------------------------------------------
Moody's Investors Service has placed the ratings of 13 bonds from
three US residential mortgage-backed transactions (RMBS), backed by
manufacturing housing loans on review, direction uncertain.

Complete rating actions are as follows:

Issuer: Mid-State Capital Corp. 2005-1

Cl. A, A1 (sf) Placed Under Review Direction Uncertain; previously
on Dec 6, 2018 Upgraded to A1 (sf)

Cl. B, Ba1 (sf) Placed Under Review Direction Uncertain; previously
on Dec 6, 2018 Upgraded to Ba1 (sf)

Cl. M-1, A2 (sf) Placed Under Review Direction Uncertain;
previously on Dec 6, 2018 Upgraded to A2 (sf)

Cl. M-2, Baa1 (sf) Placed Under Review Direction Uncertain;
previously on Dec 6, 2018 Upgraded to Baa1 (sf)

Issuer: Mid-State Trust X

Cl. A-1, A2 (sf) Placed Under Review Direction Uncertain;
previously on May 17, 2022 Upgraded to A2 (sf)

Cl. A-2, A2 (sf) Placed Under Review Direction Uncertain;
previously on May 17, 2022 Upgraded to A2 (sf)

Cl. B, B1 (sf) Placed Under Review Direction Uncertain; previously
on May 17, 2022 Upgraded to B1 (sf)

Cl. M-1, A3 (sf) Placed Under Review Direction Uncertain;
previously on May 17, 2022 Upgraded to A3 (sf)

Cl. M-2, Baa2 (sf) Placed Under Review Direction Uncertain;
previously on May 17, 2022 Upgraded to Baa2 (sf)

Issuer: Mid-State Trust XI

Cl. A, A2 (sf) Placed Under Review Direction Uncertain; previously
on May 17, 2022 Upgraded to A2 (sf)

Cl. B, Baa3 (sf) Placed Under Review Direction Uncertain;
previously on May 17, 2022 Upgraded to Baa3 (sf)

Cl. M-1, A3 (sf) Placed Under Review Direction Uncertain;
previously on May 17, 2022 Upgraded to A3 (sf)

Cl. M-2, Baa1 (sf) Placed Under Review Direction Uncertain;
previously on May 17, 2022 Upgraded to Baa1 (sf)

RATINGS RATIONALE

The rating actions reflect a combination of factors. Credit
enhancement has improved for the bonds from all three transactions,
resulting in upward rating pressure as evidenced by Moody's cash
flow model runs. However, governance considerations related to
compliance and reporting could negatively impact the outstanding
ratings as certain responsibilities are unclear in all three
transactions related to Events of Default called by the Indenture
Trustee.

Moody's has received Event of Default notices from the Indenture
Trustee, U.S. Bank National Association, for each of the three
transactions, Mid-State Trust X, Mid-State Trust XI and Mid-State
Capital Corp. 2005-1. According to these notices, the Event of
Default results from the Issuer's failure to deliver to the
Indenture Trustee, as required under the Indenture, an annual
statement of compliance known as the Officer's Certificate.

As per the transaction documents, the Depositor is obligated to
monitor the performance of the Issuer and advise the Owner Trustee
when action is necessary to comply with the Issuer's or the Owner
Trustee's duties under the Indenture. However, according to the
Annual Statement as to Compliance provided by Wilmington Trust
Company as the Owner Trustee, the Depositor, now known as Ditech
Financial LLC, is a debtor in bankruptcy and will not perform its
obligations under the Trust Agreements.

While the Event of Default notices do not have an immediate impact
on the cash flows of these bonds, they raise questions as to the
responsibilities of certain transaction parties regarding
governance of the transactions. Thus, while performance of the
bonds has been trending positively, suggesting potential upward
movement on the ratings, Moody's remains uncertain at this time
about the future impact of these Events of Default and the
non-performance of certain transaction participants. During the
review period, Moody's will continue to work with transaction
participants to better understand the potential impact of these
developments on the Trusts.

Principal Methodology

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2022.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.


[*] Moody's Takes Action on $382.5MM of US RMBS Issued 2004-2007
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 19 bonds and
downgraded the ratings of five bonds from 11 US residential
mortgage-backed transactions (RMBS), backed by Alt-A, option ARM
and subprime mortgages issued by multiple issuers.

The complete rating actions are as follows:

Issuer: Ellington Loan Acquisition Trust 2007-1

Cl. A-1, Upgraded to A1 (sf); previously on Mar 24, 2023 Upgraded
to Baa2 (sf)

Issuer: First Franklin Mortgage Loan Trust 2006-FF11

Cl. I-A-2, Upgraded to Baa3 (sf); previously on Mar 24, 2023
Upgraded to B3 (sf)

Cl. II-A-3, Upgraded to B1 (sf); previously on Jan 5, 2018
Downgraded to Ca (sf)

Cl. II-A-4, Upgraded to B1 (sf); previously on Apr 6, 2010
Downgraded to Ca (sf)

Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS
2006-C

Cl. 1A, Upgraded to Aa1 (sf); previously on Mar 24, 2023 Upgraded
to A3 (sf)

Cl. 2A, Upgraded to A3 (sf); previously on Mar 24, 2023 Upgraded to
Ba2 (sf)

Cl. 3A-3, Upgraded to Baa2 (sf); previously on Mar 24, 2023
Upgraded to B2 (sf)

Cl. 3A-4, Upgraded to B1 (sf); previously on Mar 24, 2023 Upgraded
to B3 (sf)

Issuer: MortgageIT Trust 2005-5, Mortgage-Backed Notes, Series
2005-5

Cl. A-1, Upgraded to Aaa (sf); previously on Mar 30, 2023 Upgraded
to Aa3 (sf)

Cl. A-2, Upgraded to Aaa (sf); previously on Mar 30, 2023 Upgraded
to A3 (sf)

Issuer: New Century Home Equity Loan Trust 2006-1

Cl. A-1, Upgraded to Aa1 (sf); previously on Mar 24, 2023 Upgraded
to A3 (sf)

Cl. A-2b, Upgraded to Ba1 (sf); previously on Jun 1, 2022 Upgraded
to B2 (sf)

Issuer: Prime Mortgage Trust 2006-CL1

Cl. A-1, Upgraded to A1 (sf); previously on Jan 13, 2020 Upgraded
to Ba1 (sf)

Cl. A-2*, Upgraded to A1 (sf); previously on Jan 13, 2020 Upgraded
to Ba1 (sf)

Issuer: Soundview Home Loan Trust 2006-OPT4

Cl. I-A-1, Upgraded to Aaa (sf); previously on Mar 30, 2023
Upgraded to Aa3 (sf)

Cl. II-A-4, Upgraded to Aaa (sf); previously on Mar 30, 2023
Upgraded to A1 (sf)

Issuer: Structured Asset Investment Loan Trust 2005-4

Cl. M4, Upgraded to Aaa (sf); previously on Jul 7, 2022 Upgraded to
A1 (sf)

Issuer: Structured Asset Investment Loan Trust 2005-5

Cl. M4, Upgraded to Aa1 (sf); previously on Mar 24, 2023 Upgraded
to A3 (sf)

Issuer: Structured Asset Investment Loan Trust 2005-8

Cl. M1, Upgraded to Aaa (sf); previously on Mar 30, 2023 Upgraded
to A1 (sf)

Issuer: WaMu Mortgage Pass-Through Certificates, Series 2004-AR10

Cl. A-1-A, Downgraded to B2 (sf); previously on Sep 26, 2018
Upgraded to Ba2 (sf)

Cl. A-1-B, Downgraded to B2 (sf); previously on May 7, 2018
Upgraded to Baa1 (sf)

Cl. A-1-C, Downgraded to B3 (sf); previously on Sep 26, 2018
Upgraded to Ba3 (sf)

Cl. A-3, Downgraded to B2 (sf); previously on Sep 26, 2018 Upgraded
to Ba2 (sf)

Cl. X*, Downgraded to B3 (sf); previously on Sep 26, 2018 Upgraded
to B2 (sf)

* Reflects Interest-Only Classes

RATINGS RATIONALE

The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the improving performance of the
related pools, and an increase in credit enhancement available to
the bonds. The rating downgrades are primarily due to a
deterioration in collateral performance.

The rating downgrade of Class X, an interest only bond from WaMu
Mortgage Pass-Through Certificates, Series 2004-AR10, reflects the
updated performance of the underlying collateral and bonds.

No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features, credit enhancement and other
qualitative considerations. These include the potential impact of
collateral performance volatility on ratings and interest risk from
current or potential missed interest that remain unreimbursed.

Principal Methodologies

The principal methodology used in rating all classes except
interest-only classes was "US RMBS Surveillance Methodology"
published in July 2022.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment. Transaction
performance also depends greatly on the US macro economy and
housing market.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.

An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds.


[*] Moody's Upgrades Rating on $237MM of US RMBS Issued 2005-2006
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 21 bonds from
five US residential mortgage-backed transactions (RMBS), backed by
subprime mortgages issued by multiple issuers.

The complete rating actions are as follows:

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-OP1

Cl. A-1A, Upgraded to Aaa (sf); previously on Mar 24, 2023 Upgraded
to Aa2 (sf)

Cl. A-1B, Upgraded to Aaa (sf); previously on Aug 8, 2019 Upgraded
to Aa1 (sf)

Cl. A-2D, Upgraded to A2 (sf); previously on Mar 24, 2023 Upgraded
to Baa3 (sf)

Cl. M-1, Upgraded to Ca (sf); previously on Apr 14, 2010 Downgraded
to C (sf)

Issuer: FBR Securitization Trust 2005-2

Cl. M-3, Upgraded to Aa3 (sf); previously on Mar 24, 2023 Upgraded
to Baa3 (sf)

Cl. M-4, Upgraded to Ca (sf); previously on Jul 14, 2010 Downgraded
to C (sf)

Issuer: First Franklin Mortgage Loan Trust 2006-FF12

Cl. A1, Upgraded to B1 (sf); previously on Mar 24, 2023 Upgraded to
B3 (sf)

Cl. A5, Upgraded to B1 (sf); previously on Mar 24, 2023 Upgraded to
B2 (sf)

Issuer: Structured Asset Securities Corp Trust 2005-WF1

Cl. M2, Upgraded to Aaa (sf); previously on Mar 24, 2023 Upgraded
to Aa3 (sf)

Cl. M3, Upgraded to Aa2 (sf); previously on Mar 24, 2023 Upgraded
to A2 (sf)

Cl. M4, Upgraded to A2 (sf); previously on Mar 24, 2023 Upgraded to
Ba1 (sf)

Cl. M5, Upgraded to Baa3 (sf); previously on Mar 24, 2023 Upgraded
to B1 (sf)

Cl. M6, Upgraded to Ba3 (sf); previously on Mar 24, 2023 Upgraded
to Caa1 (sf)

Cl. M7, Upgraded to Caa1 (sf); previously on Mar 24, 2023 Upgraded
to Ca (sf)

Cl. M8, Upgraded to Caa1 (sf); previously on Mar 24, 2023 Upgraded
to Ca (sf)

Issuer: Structured Asset Securities Corp Trust 2005-WF2

Cl. M3, Upgraded to Aa1 (sf); previously on Mar 24, 2023 Upgraded
to Aa3 (sf)

Cl. M4, Upgraded to Aa3 (sf); previously on Mar 24, 2023 Upgraded
to A2 (sf)

Cl. M5, Upgraded to Baa1 (sf); previously on Mar 24, 2023 Upgraded
to Ba1 (sf)

Cl. M6, Upgraded to Ba2 (sf); previously on Mar 24, 2023 Upgraded
to B3 (sf)

Cl. M7, Upgraded to Caa2 (sf); previously on Mar 24, 2023 Upgraded
to Caa3 (sf)

Cl. M8, Upgraded to Caa3 (sf); previously on Mar 24, 2023 Upgraded
to Ca (sf)

RATINGS RATIONALE

The rating actions reflect the recent performance as well as
Moody's updated loss expectations on the underlying pools. The
rating upgrades are a result of the improving performance of the
related pools, and/or an increase in credit enhancement available
to the bonds.

No actions were taken on the other rated classes in these deals
because their expected losses remain commensurate with their
current ratings, after taking into account the updated performance
information, structural features and credit enhancement.

Principal Methodology

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in July 2022.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings of the subordinate bonds up. Losses could decline from
Moody's original expectations as a result of a lower number of
obligor defaults or appreciation in the value of the mortgaged
property securing an obligor's promise of payment.

Transaction performance also depends greatly on the US macro
economy and housing market.

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's expectations as a
result of a higher number of obligor defaults or deterioration in
the value of the mortgaged property securing an obligor's promise
of payment. Transaction performance also depends greatly on the US
macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions. In addition, improvements in
reporting formats and data availability across deals and trustees
may provide better insight into certain performance metrics such as
the level of collateral modifications.


[*] Moody's Upgrades Ratings on $105MM of US RMBS Issued 2021
-------------------------------------------------------------
Moody's Investors Service, on Jan. 18, 2024, upgraded the ratings
of 22 bonds from four US residential mortgage-backed transactions
(RMBS), backed by agency eligible mortgage loans on investor
properties.

Complete rating actions are as follows:

Issuer: MELLO MORTGAGE CAPITAL ACCEPTANCE 2021-INV2

Cl. A-14, Upgraded to Aaa (sf); previously on Aug 30, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. A-15, Upgraded to Aaa (sf); previously on Aug 30, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. A-X-1*, Upgraded to Aaa (sf); previously on Aug 30, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. A-X-2*, Upgraded to Aaa (sf); previously on Aug 30, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. A-X-4*, Upgraded to Aaa (sf); previously on Aug 30, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. B-1, Upgraded to Aa2 (sf); previously on Aug 30, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to A1 (sf); previously on Aug 30, 2021 Definitive
Rating Assigned A2 (sf)

Cl. B-3, Upgraded to Baa2 (sf); previously on Aug 30, 2021
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Ba2 (sf); previously on Aug 30, 2021
Definitive Rating Assigned Ba3 (sf)

Issuer: Mello Mortgage Capital Acceptance 2021-INV3

Cl. B-1, Upgraded to Aa2 (sf); previously on Sep 30, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to A2 (sf); previously on Sep 30, 2021 Definitive
Rating Assigned A3 (sf)

Cl. B-4, Upgraded to Ba2 (sf); previously on Sep 30, 2021
Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Upgraded to B2 (sf); previously on Sep 30, 2021 Definitive
Rating Assigned B3 (sf)

Issuer: MFA 2021-AEINV1 Trust

Cl. B-2, Upgraded to A2 (sf); previously on Oct 18, 2021 Definitive
Rating Assigned A3 (sf)

Cl. B-3, Upgraded to Baa2 (sf); previously on Oct 18, 2021
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Ba1 (sf); previously on Oct 18, 2021
Definitive Rating Assigned Ba2 (sf)

Cl. B-5, Upgraded to B1 (sf); previously on Oct 18, 2021 Definitive
Rating Assigned B2 (sf)

Issuer: MFA 2021-AEINV2 Trust

Cl. B-1, Upgraded to Aa2 (sf); previously on Dec 20, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to A1 (sf); previously on Dec 20, 2021 Definitive
Rating Assigned A3 (sf)

Cl. B-3, Upgraded to Baa2 (sf); previously on Dec 20, 2021
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Ba1 (sf); previously on Dec 20, 2021
Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Upgraded to B2 (sf); previously on Dec 20, 2021 Definitive
Rating Assigned B3 (sf)

* Reflects Interest-Only Classes

RATINGS RATIONALE

The rating upgrades reflect the increased levels of credit
enhancement available to the bonds, the recent performance, and
Moody's updated loss expectations on the underlying pool.

In Moody's analysis Moody's considered the additional risk of
default on modified loans. Generally, Moody's apply a 7x multiple
to the Probability of Default (PD) for private label modified
mortgage loans and an 8x multiple to the PD for agency-eligible
modified mortgage loans. However, Moody's may apply a lower
multiple to the PD for loans that were granted short-term payment
relief as long as there were no other changes to the loan terms,
such as a reduced interest rate or an extended loan term, which can
be used to lower the monthly payment on the loan. For loans granted
short-term payment relief, servicers will generally defer the
missed payments, which could be added as a non-interest-bearing
balloon payment due at the end of the loan term. Alternatively,
servicers could extend the maturity on the loan to match the number
of missed payments.

Moody's updated loss expectations on the pools incorporate, amongst
other factors, Moody's assessment of the representations and
warranties frameworks of the transactions, the due diligence
findings of the third-party reviews received at the time of
issuance, and the strength of the transaction's originators and
servicer.

No action was taken on the remaining rated tranches because there
were no material changes in collateral quality, and credit
enhancement remains commensurate with the current ratings.

Principal Methodologies

The principal methodology used in rating all classes except
interest-only classes was "Moody's Approach to Rating US RMBS Using
the MILAN Framework" published in August 2023.


[*] S&P Places 28 Ratings From 14 U.S. CLO Deals on Watch Positive
------------------------------------------------------------------
S&P Global Ratings placed 28 ratings on CreditWatch with positive
implications from 14 CLO transactions, all of which are in their
amortization phase. At the same time, S&P also placed 17 ratings on
CreditWatch with negative implications from 13 CLO transactions,
all but two of which are in their amortization phase.

Most of the classes placed on CreditWatch positive are in the
senior part of their respective capital structure. Paydowns to the
CLO's senior notes increased the overcollateralization support to
these tranches. In addition, S&P also considered indicative cash
flow results, the CLO's 'CCC' exposure, and the concentration of
the portfolio when it placed their ratings on CreditWatch
positive.

While paydowns to senior notes are generally a positive for the
credit enhancement of the senior portion of the capital structure,
increased exposure to lower quality assets and portfolio
concentration in such amortizing transactions can increase the
credit risk of the junior CLO notes. This is the case for three
CLOs that have their senior tranche ratings placed on CreditWatch
positive, while simultaneously, their junior tranche ratings are
placed on CreditWatch negative.

S&P said, "Ratings of 17 junior tranches, seven in the 'BB'
category, eight in the 'B' category, and two in the 'CCC' category,
with ratings that are being placed on CreditWatch with negative
implications. The placement reflects the decline in their
overcollateralization levels, which is likely due to a combination
of par losses, increases in defaults, and increases in haircuts due
to excess exposure to 'CCC' collateral. In addition, we considered
other factors, such as indicative cash flow runs, current exposure
to 'CCC' and lower collateral, and an estimate of the tranches'
current overcollateralization ratios without 'CCC' haircuts in
relation to the overall market average.

"We intend to resolve these CreditWatch placements within 90 days,
following a committee review.

"We will continue to monitor the transactions we rate and take
rating actions, including CreditWatch placements, as we deem
appropriate."


  Ratings list

  RATING

  ISSUER
    
    TRANCHE     CUSIP               TO               FROM

  Atlas Senior Loan Fund XII Ltd.

     E          04942TAA7     B+ (sf)/Watch Neg     B+ (sf)


  Bain Capital Credit CLO 2018-2 Ltd.

      E         05682WAA1     BB- (sf)/Watch Neg    BB- (sf)


  Dryden XXVI Senior Loan Fund

      E-R       26250UAY1     BB- (sf)/Watch Neg    BB- (sf)

  Dryden XXVI Senior Loan Fund

      F-R       26250UBA2     B- (sf)/Watch Neg     B- (sf)

  First Eagle Commercial Loan Funding 2016-1 LLC

      B-R       32010LAE4     AA (sf)/Watch Pos     AA (sf)

  First Eagle Commercial Loan Funding 2016-1 LLC

      C-R       32010LAG9     A (sf)/Watch Pos      A (sf)

  Fortress Credit Opportunities XVII CLO Ltd.

      B        34963VAC9     AA (sf)/Watch Pos      AA (sf)

  Garrison Funding 2018-2 Ltd.

      A-2-R    36655LAD7     AA (sf)/Watch Pos      AA (sf)

  Garrison Funding 2018-2 Ltd.

      B-R      36655LAF2     BBB+ (sf)/Watch Pos    BBB+ (sf)

  Golub Capital Partners CLO 31(M)-R Ltd.

      B-R      38175WAE8     AA (sf)/Watch Pos      AA (sf)

  Golub Capital Partners CLO 31(M)-R Ltd.

      C-R      38175WAG3     A (sf)/Watch Pos       A (sf)

  HPS Loan Management 2013-2 Ltd.

      A-2R     44330DAG5     AA (sf)/Watch Pos      AA (sf)

  HPS Loan Management 2013-2 Ltd.

      D-R      44330FAA3     BB- (sf)/Watch Neg     BB- (sf)

  HPS Loan Management 2013-2 Ltd.

      E-R      44330FAC9     B- (sf)/Watch Neg      B- (sf)

  HPS Loan Management 3-2014 Ltd.

      A-2R     40436XAE7     AA (sf)/Watch Pos      AA (sf)

  HPS Loan Management 3-2014 Ltd.

      B-R      40436XAG2     A (sf)/Watch Pos       A (sf)

  HPS Loan Management 3-2014 Ltd.

      D-R      40436YAA3     B+ (sf)/Watch Neg      B+ (sf)

  HPS Loan Management 3-2014 Ltd.

      E-R      40436YAC9     B- (sf)/Watch Neg      B- (sf)

  ICG US CLO 2017-1 Ltd.

      E-RR     449254AD3     BB- (sf)/Watch Neg     BB- (sf)

  ICG US CLO 2016-1 Ltd.

      DR-R     44931KAJ6     BB- (sf)/Watch Neg     BB- (sf)

  KCAP F3C Senior Funding LLC

      B        48669RAB7     AA (sf)/Watch Pos      AA (sf)

  KCAP F3C Senior Funding LLC

      C        48669RAC5     A (sf)/Watch Pos       A (sf)

  KCAP F3C Senior Funding LLC

      D        48669RAD3     BBB- (sf)/Watch Pos    BBB- (sf)

  KKR Lending Partners III CLO LLC

      B        48254VAG8     AA (sf)/Watch Pos      AA (sf)

  LCM XXII Ltd.

      A-2-R    50189GAG7     AA (sf)/Watch Pos      AA (sf)

  LCM XXII Ltd.

      B-R      50189GAH5     A (sf)/Watch Pos       A (sf)

  Magnetite VII Ltd.

      A-2-R2   55951PBC0     AA+ (sf)/Watch Pos     AA+ (sf)

  Magnetite VII Ltd.

      B-R2     55951PBE6     A+ (sf)/Watch Pos      A+ (sf)

  Marathon CLO VII Ltd.

      D        56577CAA6     CCC- (sf)/Watch Neg   CCC- (sf)

  NewStar Arlington Senior Loan Program LLC

      B-R      65251PBA0     AA (sf)/Watch Pos      AA (sf)

  OCP CLO 2013-4 Ltd.

      A-2-RR   67105HBA2     AA+ (sf)/Watch Pos     AA+ (sf)

  OCP CLO 2013-4 Ltd.

      B-RR     67105HBC8     AA- (sf)/Watch Pos     AA- (sf)

  OCP CLO 2013-4 Ltd.

      C-RR     67105HBE4     BBB+ (sf)/Watch Pos    BBB+ (sf)

  OCP CLO 2013-4 Ltd.

      D-R      67105KAE8     BB- (sf)/Watch Pos     BB- (sf)

  Octagon Investment Partners XVII Ltd.

      E-R2     67590HAG2     BB- (sf)/Watch Neg     BB- (sf)

  Octagon Investment Partners XVII Ltd.

      F-R2     67590HAJ6     B- (sf)/Watch Neg      B- (sf)

  OZLM Funding IV Ltd.

      A-2-R    67108FAQ9     AA (sf)/Watch Pos      AA (sf)

  OZLM Funding IV Ltd.

      B-R      67108FAS5     A (sf)/Watch Pos       A (sf)

  Sound Point CLO II Ltd.

      B2-R     83608FAH1     B+ (sf)/Watch Neg      B+ (sf)

  Tralee CLO II Ltd.

      B-R      89289UAS7     AA (sf)/Watch Pos      AA (sf)

  Tralee CLO II Ltd.

      C-R      89289UAU2     A (sf)/Watch Pos       A (sf)

  Tralee CLO II Ltd.

      D-R      89289UAW8     BBB- (sf)/Watch Pos    BBB- (sf)

  Tralee CLO II Ltd.

      F-R      89289UBA5     CCC+ (sf)/Watch Neg    CCC+ (sf)

  Voya CLO 2016-3 Ltd.

      D-R      92915KAE6     B+ (sf)/Watch Neg      B+ (sf)

  WhiteHorse XII Ltd.

      E        96526CAA4     BB- (sf)/Watch Neg     BB- (sf)



[*] S&P Takes Various Actions on 41 Classes From 15 U.S. RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 41 classes from 15 U.S.
RMBS transactions issued between 2002 and 2007. These transactions
are backed by alternative-A, closed-end second lien, negative
amortization, reperforming, or small-balance commercial collateral.
The review yielded eight upgrades, one downgrade, five withdrawals,
and 27 affirmations.

A list of Affected Ratings can be viewed at:

           https://rb.gy/yzxn6z

Analytical Considerations

S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by its projected cash flows. These considerations
are based on transaction-specific performance and/or structural
characteristics and their potential effects on certain classes.
Some of these considerations may include:

-- Collateral performance or delinquency trends,
-- Erosion of or increases in credit support,
-- A small loan count,
-- Historical and/or outstanding missed interest payments, and
-- Reduced interest payments due to loan modifications.

Rating Actions

S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, as well as the application of specific
criteria applicable to these classes.

"The rating affirmations reflect our opinion that our projected
credit support, collateral performance, and credit-related
reductions in interest on these classes has remained relatively
consistent with our prior projections."




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