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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, February 4, 2024, Vol. 28, No. 34

                            Headlines

A&D MORTGAGE 2024-NQM1: DBRS Gives Prov. B(low) Rating on B2 Certs
AMERICAN CREDIT 2024-1: S&P Assigns BB- (sf) Rating on Cl. E Notes
AMUR EQUIPMENT 2024-1: Moody's Assigns Ba3 Rating to Class E Notes
AMUR EQUIPMENT 2024-1: S&P Assigns BB+ (sf) Rating on Cl. E Notes
BAIN CAPITAL 2022-5: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes

BARINGS CLO 2024-I: S&P Assigns Prelim BB- (sf) Rating on E Notes
BENEFIT STREET XXXIII: S&P Assigns BB- (sf) Rating on Cl. E Notes
BFLD TRUST 2020-EYP: S&P Lowers Class D Certs Rating to 'CCC (sf)'
BOSPHORUS 2015-1A: Moody's Upgrades Rating on Class A Notes to B2
CPS AUTO 2024-A: DBRS Gives Prov. BB Rating on Class E Notes

CQS US 2023-3: S&P Assigns BB- (sf) Rating on $13M Class E Notes
CSWF 2021-SOP2: S&P Lowers Class F Certs Rating to 'CCC (sf)'
EXETER AUTOMOBILE 2024-1: Fitch Assigns BB(EXP) Rating on E Notes
FANNIE MAE 2004-T5: S&P Affirms BB- (sf) Rating in Cl. AB-4 Bonds
FANNIE MAE 2024-R01: S&P Assigns B+ (sf) Rating on 1B-2 Notes

GCAT TRUST 2024-INV1: Moody's Assigns B2 Rating to Cl. B-5 Certs
GS MORTGAGE 2024-70P: Moody's Gives (P)B2 Rating to Cl. HRR Certs
GS MORTGAGE 2024-RPL1: DBRS Gives B Rating on B-3 Notes
GUGGENHEIM MM 2024-7: S&P Assigns BB- (sf) Rating on Class E Notes
JP MORGAN 2024-1: Fitch Assigns 'B-(EXP)' Rating on Cl. B-5 Notes

MARATHON CLO 14: S&P Affirms BB- (sf) Rating on Class D Notes
MORGAN STANLEY 2024-1: Fitch Assigns 'B(EXP)' Rating on B-5 Notes
OCEANVIEW MORTGAGE 2021-1: Moody's Ups Rating on B-5 Certs to B1
OCP CLO 2024-31: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
PRESTIGE AUTO 2022-1: S&P Assigns 'BB-(sf)' Rating on Cl. E Notes

SEQUOIA MORTGAGE 2024-1: Fitch Assigns 'BBsf' Rating on B4 Certs
SILVER ROCK III: S&P Assigns BB- (sf) Rating on Class E Notes
SYCAMORE TREE 2023-2: S&P Assigns Prelim 'BB-' Rating on E-R Notes
TABERNA PREFERRED VII: Fitch Withdraws 'Dsf' Rating on All Tranches
TRICOLOR AUTO 2024-1: Moody's Assigns B2 Rating to Class F Notes

TRINITAS CLO XXVI: S&P Affirms BB- (sf) Rating on Class E Notes
VELOCITY COMMERCIAL 2024-1: DBRS Finalizes BB(low) on 2 Classes
VENTURE CLO XIV: Moody's Cuts Rating on Class E-R Notes to Caa3
VERUS SECURITIZATION 2024-1: DBRS Gives Prov. B Rating on B2 Notes
VITALITY RE XV 2024: S&P Assigns 'BB+ (sf) Rating on Class B Notes

[*] DBRS Places 77 NA SASB Transactions Under Review
[*] DBRS Reviews 76 Classes From 11 US Rental Transactions
[*] Moody's Takes Action on $158.9MM of US RMBS Issued 1998-2006
[*] Moody's Upgrades Ratings on $186MM of US RMBS Issued 2021
[*] Moody's Ups $115MM of US RMBS Issued by RASC From 2004-2005


                            *********

A&D MORTGAGE 2024-NQM1: DBRS Gives Prov. B(low) Rating on B2 Certs
------------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the following
Mortgage Pass-Through Certificates, Series 2024-NQM1 (the
Certificates) to be issued by A&D Mortgage Trust 2024-NQM1 (the
Trust):

-- $268.8 million Class A-1 at AAA (sf)
-- $28.7 million Class A-2 at AA (low) (sf)
-- $34.2 million Class A-3 at A (low) (sf)
-- $16.3 million Class M-1 at BBB (low) (sf)
-- $27.5 million Class B-1 at BB (low) (sf)
-- $10.8 million Class B-2 at B (low) (sf)

The AAA (sf) credit rating on the Class A-1 Certificates reflects
31.55% of credit enhancement provided by subordinated Certificates.
The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and
B (low) (sf) credit ratings reflect 24.25%, 15.55%, 11.40%, 4.40%,
and 1.65% of credit enhancement, respectively.

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

This transaction is a securitization of a portfolio of fixed- and
adjustable-rate prime and nonprime first and second lien
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 1,065 loans with a total principal
balance of approximately $393,655,813 as of the Cut-Off Date
(January 1, 2024).

The originators for the mortgage pool are A&D Mortgage LLC (ADM;
91.2%) and others (8.8%). ADM originated the mortgages under the
following five programs:

-- Super Prime
-- Prime
-- Debt Service Coverage Ratio (DSCR)
-- Foreign National – Full Doc
-- Foreign National – DSCR
-- Second Lien

ADM will act as the Sponsor and the Servicer for all loans.

Nationstar Mortgage LLC (Nationstar) will act as the Master
Servicer and Citibank, N.A. (rated AA (low) with a Stable trend by
Morningstar DBRS) will act as the Securities Administrator and
Certificate Registrar. Wilmington Trust, National Association will
serve as the Custodian, and Wilmington Savings Fund Society, FSB
will act as the Trustee.

The pool is about two months seasoned on a weighted-average basis,
although seasoning may span from zero to 41 months.

In accordance with U.S. credit risk retention requirements, ADM as
the Sponsor, either directly or through a Majority-Owned Affiliate,
will retain an eligible horizontal residual interest consisting of
the Class X Certificates and the Class B-3 Certificates (together,
the Risk Retained Certificates), representing not less than 5%
economic interest in the transaction, to satisfy the requirements
under Section 15G of the Securities and Exchange Act of 1934 and
the regulations promulgated thereunder. Such retention aligns
Sponsor and investor interest in the capital structure.

Although the applicable mortgage loans were originated to satisfy
the Consumer Financial Protection Bureau (CFPB) ability-to-repay
(ATR) rules, they were made to borrowers who generally do not
qualify for the agency, government, or private-label nonagency
prime products for various reasons described above. In accordance
with the CFPB Qualified Mortgage (QM)/ATR rules, 46.5% of the loans
are designated as non-QM. Approximately 43.0% of the loans are made
to investors for business purposes and are thus not subject to the
QM/ATR rules. Also, 47 loans (5.7% of the pool) are qualified
mortgages with a conclusive presumption of compliance with the ATR
rules and are designated as QM Safe Harbor.

The Servicer will generally fund advances of delinquent principal
and interest (P&I) on any mortgage until such loan becomes 90 days
delinquent under the Mortgage Bankers Association (MBA) method,
contingent upon recoverability determination. The Servicer is also
obligated to make advances in respect of taxes, insurance premiums,
and reasonable costs incurred in the course of servicing and
disposing of properties. If the Servicer fails in its obligation to
make P&I advances, Nationstar, as the Master Servicer, will be
obligated to fund such advances. In addition, if the Master
Servicer fails in its obligation to make P&I advances, Citibank,
N.A., as the Securities Administrator, will be obligated to fund
such advances. The Master Servicer and Securities Administrator are
only responsible for P&I Advances; the Servicer is responsible for
P&I and advances with respect to taxes, insurance premiums, and
reasonable costs incurred in the course of servicing and disposing
of properties (Servicing Advances). If the Servicer fails to make
the Servicing Advances on a delinquent loan, the recovery amount
upon liquidation may be reduced.

The Sponsor (ADM) will have the option, but not the obligation, to
repurchase any mortgage loan that is 90 or more days delinquent
under the MBA method (or, in the case of any coronavirus
forbearance loan, such mortgage loan becomes 90 or more days
delinquent under the MBA method after the related forbearance
period ends or any real estate owned property acquired in respect
of a mortgage loan) at the Repurchase Price, provided that such
repurchases in aggregate do not exceed 7.5% of the total principal
balance as of the Cut-Off Date.

The Depositor (A&D Mortgage Depositor LLC) may, at its option, on
any date which is the later of (1) the two-year anniversary of the
Closing Date, and (2) the earlier of (A) the three-year anniversary
of the Closing Date and (B) the date on which the total loan
balance is less than or equal to 30% of the loan balance as of the
Cut-Off Date, purchase all outstanding certificates at a price
equal to the outstanding class balance plus accrued and unpaid
interest, including any cap carryover amounts (Optional
Redemption). An Optional Redemption will be followed by a qualified
liquidation, which requires a complete liquidation of assets within
the Trust and the distribution of proceeds to the appropriate
holders of regular or residual interests.

The transaction employs a sequential-pay cash flow structure with a
pro rata principal distribution among the senior tranches subject
to certain performance triggers related to cumulative losses or
delinquencies exceeding a specified threshold (Credit Event).
Principal proceeds can be used to cover interest shortfalls on the
Class A-1 and Class A-2 Certificates (IIPP) before being applied
sequentially to amortize the balances of the senior and
subordinated certificates. For the Class A-3 Certificates (only
after a Credit Event) and for the mezzanine and subordinate classes
of certificates (both before and after a Credit Event), principal
proceeds will be available to cover interest shortfalls only after
the more senior certificates have been paid off in full. Also, the
excess spread can be used to cover realized losses first before
being allocated to unpaid Cap Carryover Amounts due to the Class
A-1, Class A-2, Class A-3, and Class M-1 Certificates.

Of note, the Class A-1, Class A-2, and Class A-3 Certificates'
coupon rates step up by 100 basis points on and after the payment
date in February 2028 (Step-Up Certificates). Also, the interest
and principal otherwise payable to the Class B-3 Certificates as
accrued and unpaid interest may be used to pay the Class A-1, Class
A-2, Class and A-3 Certificates' Cap Carryover Amounts after the
Class A coupons step up.

Notes: All figures are in U.S. dollars unless otherwise noted.


AMERICAN CREDIT 2024-1: S&P Assigns BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to American Credit
Acceptance Receivables Trust 2024-1's (ACAR 2024-1) automobile
receivables-backed notes.

The note issuance is an asset-backed securities (ABS) transaction
backed by subprime auto loan receivables.

The ratings reflect:

-- The availability of approximately 64.5%, 57.8%, 46.9%, 38.2%,
and 33.5% credit support (hard credit enhancement and haircut to
excess spread) for the class A, B, C, D, and E notes, respectively,
based on final post-pricing stressed cash flow scenarios. These
credit support levels provide at least 2.35x, 2.10x, 1.70x, 1.37x,
and 1.20x coverage of S&P's expected cumulative net loss of 27.25%
for the class A, B, C, D, and E notes, respectively.

-- The expectation that under a moderate ('BBB') stress scenario
(1.37x S&P's expected loss level), all else being equal, its 'AAA
(sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on
the class A, B, C, D, and E notes, respectively, will remain within
our 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 series' subprime
automobile loans, S&P's view of the credit risk of the collateral,
and our updated macroeconomic forecast and forward-looking view of
the auto finance sector.

-- The series' bank accounts at Wells Fargo Bank N.A., which do
not constrain the ratings.

-- S&P's operational risk assessment of American Credit Acceptance
LLC as servicer, and its view of the company's underwriting and
backup servicing arrangement with Computershare Trust Co. N.A.

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

-- The transaction's payment and legal structures.

  Ratings Assigned

  American Credit Acceptance Receivables Trust 2024-1

  Class A, $170.66 million: AAA (sf)
  Class B, $38.87 million: AA (sf)
  Class C, $76.13 million: A (sf)
  Class D, $59.80 million: BBB (sf)
  Class E, $41.40 million: BB- (sf)



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

Class A-2 Notes, Definitive Rating Assigned Aaa (sf)

Class B Notes, Definitive Rating Assigned Aa1 (sf)

Class C Notes, Definitive Rating Assigned A1 (sf)

Class D Notes, Definitive Rating Assigned Baa3 (sf)

Class E Notes, Definitive Rating Assigned Ba3 (sf)

RATINGS RATIONALE

The ratings for the notes are based on the credit quality of the
securitized equipment loan and lease pool 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-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. The Class A, Class
B, Class C, Class D, and Class E notes 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 consists 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 BB+ (sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its ratings to Amur Equipment Finance
Receivables XIII LLC's series 2024-1 (AXIS 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 ratings reflect:

-- The availability of approximately 28.89%, 22.86%, 17.03%,
11.51%, and 9.50% 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 1.73x our 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, its 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 our stressed cash flow modeling
scenarios, which S&P believes are appropriate for the assigned
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 its 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, our 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.

  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)



BAIN CAPITAL 2022-5: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Bain
Capital Credit CLO 2022-5, Limited Reset Transaction.

   Entity/Debt             Rating               Prior
   -----------             ------               -----
Bain Capital Credit
CLO 2022-5, Limited

   A 05685JAA7         LT PIFsf  Paid In Full   AAAsf
   A-R                 LT AAAsf  New Rating
   B-R                 LT NRsf   New Rating
   C 05685JAE9         LT PIFsf  Paid In Full   Asf
   C-1-R               LT Asf    New Rating
   C-F-R               LT Asf    New Rating
   D 05685JAG4         LT PIFsf  Paid In Full   BBB-sf
   D-R                 LT BBB-sf New Rating
   E 05685KAA4         LT PIFsf  Paid In Full   BB-sf
   E-R                 LT BB-sf  New Rating

TRANSACTION SUMMARY

Bain Capital Credit CLO 2022-5, Limited (the issuer) is an
arbitrage cash flow collateralized loan obligation (CLO) managed by
Bain Capital Credit U.S. CLO Manager II, LP that originally closed
in July 2022. The CLO's secured notes will be refinanced in whole
on Jan. 17, 2024 (the first refinancing date) from proceeds of the
new secured notes. Net proceeds from the issuance of the secured
notes, along with the existing subordinated notes, will provide
financing on a portfolio of approximately $400 million of primarily
first lien senior secured leveraged loans.

KEY RATING DRIVERS

Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 24.16, versus a maximum covenant, in accordance with
the initial expected matrix point of 24.5. Issuers rated in the 'B'
rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.

Asset Security (Positive): The indicative portfolio consists of
96.98% first-lien senior secured loans. The weighted average
recovery rate (WARR) of the indicative portfolio is 75.41% versus a
minimum covenant, in accordance with the initial expected matrix
point of 71.65%.

Portfolio Composition (Negative): The largest three industries may
comprise up to 60% of the portfolio balance in aggregate while the
top five obligors can represent up to 12.5% of the portfolio
balance in aggregate. The level of diversity resulting from the
obligor and geographic concentrations is in line with other recent
CLOs. Industry concentration limitations are higher than typical
CLOs.

Portfolio Management (Neutral): The transaction has a five-year
reinvestment period and reinvestment criteria similar to other
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting to the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.

Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings.

The weighted average life (WAL) used for the transaction stress
portfolio and matrices analysis is 12 months less than the WAL
covenant to account for structural and reinvestment conditions
after the reinvestment period. In Fitch's opinion, these conditions
would reduce the effective risk horizon of the portfolio during
stress periods.

RATING SENSITIVITIES

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

Variability in key model assumptions, such as decreases in recovery
rates and increases in default rates, could result in a downgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
a metric. The results under these sensitivity scenarios are as
severe as between 'BBB+sf' and 'AA+sf' for class A-R, between
'B+sf' and 'BBB+sf' for class C-R, between less than 'B-sf' and
'BB+sf' for class D-R; and between less than 'B-sf' and 'B+sf' for
class E-R.

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

Upgrade scenarios are not applicable to the class A-R notes; and as
these notes are in the highest rating category of 'AAAsf'.

Variability in key model assumptions, such as increases in recovery
rates and decreases in default rates, could result in an upgrade.
Fitch evaluated the notes' sensitivity to potential changes in such
metrics; the minimum rating results under these sensitivity
scenarios are 'A+sf' for class C-R, 'Asf' for class D-R; and
'BBB+sf' for class E-R.

Key Rating Drivers and Rating Sensitivities are further described
in the new issue report, which is available to investors.

DATA ADEQUACY

The majority of the underlying assets or risk-presenting entities
have ratings or credit opinions from Fitch and/or other nationally
recognized statistical rating organizations and/or European
Securities and Markets Authority-registered rating agencies. Fitch
has relied on the practices of the relevant groups within Fitch
and/or other rating agencies to assess the asset portfolio
information.

Overall, Fitch's assessment of the asset pool information relied
upon for its rating analysis according to its applicable rating
methodologies indicates that it is adequately reliable.


BARINGS CLO 2024-I: S&P Assigns Prelim BB- (sf) Rating on E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Barings CLO
Ltd. 2024-I/Barings CLO 2024-I 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 Barings LLC, a subsidiary of
MassMutual.

The preliminary ratings are based on information as of Jan. 31,
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 diversification of the collateral pool's;

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

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

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

  Preliminary Ratings Assigned

  Barings CLO Ltd. 2024-I/Barings CLO 2024-I LLC

  Class A, $256.00 million: AAA (sf)
  Class B, $48.00 million: AA (sf)
  Class C (deferrable), $24.00 million: A (sf)
  Class D (deferrable), $24.00 million: BBB- (sf)
  Class E (deferrable), $14.00 million: BB- (sf)
  Subordinated notes, $42.00 million: Not rated



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



BFLD TRUST 2020-EYP: S&P Lowers Class D Certs Rating to 'CCC (sf)'
------------------------------------------------------------------
S&P Global Ratings lowered its ratings on five classes of
commercial mortgage pass-through certificates from BFLD Trust
2020-EYP, a U.S. CMBS transaction.

This U.S. stand-alone (single-borrower) CMBS transaction is backed
by a floating-rate, interest-only (IO) mortgage loan secured by the
borrower's fee simple interest in EY Plaza, a class A office
property, and a portion of an adjacent parking structure in the
Downtown Los Angeles office submarket.

Rating Actions

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

-- The property manager and receiver's inability to materially
increase the property's occupancy and net cash flow (NCF) since
S&P's last review in September 2023.

-- S&P's expected-case valuation, which is in line with the
revised December 2023 appraisal value of $210.7 million, 52.8%
below the issuance appraisal value of $446.0 million. S&P's
expected-case value, which, while unchanged from its last review,
is 23.0% lower than the valuation it derived at issuance due
primarily to reported decreases in occupancy and NCF at the
property.

-- S&P's belief that there is a potential for reduced liquidity
and recovery of the $275.0 million loan, which has a reported
nonperforming matured balloon payment status following the special
servicer's release of a revised December 2023 appraisal value of
$210.7 million. The servicer, KeyBank Real Estate Capital,
implemented a $104.7 million appraisal reduction amount (ARA),
causing certain classes in the transaction to experience interest
shortfalls.

Specifically, S&P lowered its rating on class D to 'CCC (sf)' to
reflect its view that, due to the recent ARA, current market
conditions, and its position in the payment waterfall, the class
has heightened risks of default and loss and is susceptible to
liquidity interruption.

The downgrade on the class X-EXT IO certificates reflects S&P's
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 the class X-EXT
certificates references class A.

S&P said, "In our Sept. 12, 2023, review, we noted that the
property was 74.6% leased as of the July 31, 2023, rent roll.
However, after considering known tenant movements, we expected the
occupancy rate to decline to 69.4%. As a result, at that time, we
revised and lowered our sustainable NCF to $15.0 million, assuming
a 69.4% occupancy rate, an S&P Global Ratings $50.97-per-sq.-ft.
gross rent, a 49.5% operating expense ratio, and higher tenant
improvement costs. Using an S&P Global Ratings capitalization rate
of 7.5%, deducting $10.5 million in mechanic liens recorded against
the property, and including $34,932 for the present value of future
rent steps for investment-grade tenants, we arrived at an S&P
Global Ratings expected case value of $189.1 million, or $202 per
sq. ft.

"As of the Jan. 5, 2024, rent roll, the property's occupancy rate
was 71.2%, but we expect it to decrease to 69.8% after excluding a
tenant that indicated it will vacate upon its lease expiration in
early 2024. In our current analysis, assuming a 69.8% occupancy
rate, an S&P Global Ratings' $50.90-per-sq.-ft. gross rent, a 51.9%
operating expense ratio, and higher tenant improvement costs, we
derived a sustainable NCF of $15.0 million, the same as in our last
review. Using an S&P Global Ratings capitalization rate of 7.5%,
unchanged from our last review, and deducting $10.5 million, mainly
due to mechanic liens recorded against the property for outstanding
tenant improvement work, we arrived at an S&P Global Ratings
expected case value of $189.1 million, or $202 per sq. ft., 10.3%
lower than the December 2023 appraisal value and the same as in our
last review. This yielded an S&P Global Ratings loan-to-value (LTV)
ratio of 145.4% on the trust balance."

The loan, which has a reported nonperforming matured balloon
payment status, was transferred to the special servicer on April
11, 2023, due to imminent monetary default after the borrower
failed to make its April 2023 debt service payment. According to
the special servicer, Situs Holdings LLC, the borrower is not
requesting a loan modification or resolution for the missed
payments, and the mezzanine lender has still not indicated if it
plans to foreclose or cure the default on the first mortgage loan.
On May 24, 2023, the court appointed Gregg Williams of Trident
Pacific Real Estate as the receiver, who hired Colliers as the
property manager and leasing agent.

Situs informed S&P that funds in escrow and reserve accounts were
recently used to pay down outstanding advances. As of the January
2024 reporting period, outstanding advances and accruals totaled
$15.8 million, which comprised $13.4 million in interest advances,
$258,232 in other expenses advances, $360,651 in accrued unpaid
interest, and $1.8 million in cumulative appraisal subordinate
entitlement reduction amounts. Situs stated that it is still
developing a liquidation strategy and resolution timing is
currently unknown.

Further, Situs noted that the mechanic liens related to outstanding
lease obligations to fund tenant improvements for two tenants,
Jackson Lewis P.C. (5.2% of net rentable area) and Saiful Bouquet
Structural Engineers (2.7%), are still in place. While Situs
received approval last year from the controlling class
representative to fund the outstanding amounts totaling $10.5
million to eliminate the litigations and liens on the property,
preserve the tenant leases, and complete the tenant improvement
work, the settlement documents are currently in negotiations. Situs
anticipates the documents to be finalized and approved by the court
by the end of February 2024.

S&P said, "We will continue to monitor the tenancy and performance
of the property and loan. If we receive information that differs
materially from our expectations, such as property performance that
is materially below our expectations or a liquidation strategy that
negatively affects the transaction's liquidity and recovery, we may
revisit our analysis and take further rating actions."

Property-Level Analysis

The loan collateral includes EY Plaza, a 41-story, 938,097-sq.-ft.
class A office building located at 725 South Figueroa St., and a
portion (1,480 parking spaces) of an adjacent 13-level, 2,400-space
parking garage in downtown Los Angeles. EY Plaza, built in 1985 and
most recently renovated in 2019, is adjacent to the sponsor-owned
FIGat7th open-air shopping mall, within walking distance of the 7th
Street retail and restaurant corridor and cultural venues, and one
block from the subway station and Interstate 110. The sponsor,
Brookfield DTLA Holdings LLC, has owned the subject property since
2006.

Occupancy at the property has hovered around mid- to high-70% since
2021. According to Situs, there are a few leasing proposals. As of
the January 2024 rent roll, the property was 71.2% leased. The five
largest tenants comprise 36.2% of the net rentable area (NRA) and
are:

-- Ernst & Young U.S. LLP (12.7% of NRA, 18.5% of in place gross
rent, as calculated by S&P Global Ratings, October 2032 lease
expiration. According to CoStar, the tenant has marketed 3.3% of
its NRA for sublease);

-- The General Services Administration (Secret Service; 9.9%,
11.3%, June 2025);

-- Pillsbury Winthrop Shaw Pittman LLP (5.3%, 8.0%, November
2033);

-- Jackson Lewis P.C. (5.2%, 4.3%, September 2038; the tenant
recently renewed its lease for 15 years effective Oct. 1, 2023);
and

-- Great American Insurance Company (3.1%, 4.6%, July 2026).

-- The property's notable rollover risk is in 2025 (15.1% of NRA,
19.2% of S&P Global Ratings' in-place gross rent) and 2032 (15.4%,
22.3%).

According to CoStar, as of year-to-date January 2024, the four- and
five-star office properties in the Downtown Los Angeles office
submarket had a 23.1% vacancy rate, 23.6% availability rate, and
$41.79-per-sq.-ft. asking rent, versus a 18.7% vacancy rate, 21.9%
availability rate, and $42.23-per-sq.-ft. asking rent in our
September 2023 review. The property is currently 71.2% leased with
a gross rent of $50.90 per sq. ft., as calculated by S&P Global
Ratings. CoStar projects vacancy to increase to 25.6% in 2024,
26.3% in 2025, and 27.4% in 2026 and asking rent to contract to
$40.24 per sq. ft., $39.10 per sq. ft., and $38.54 per sq. ft. for
the same periods. CoStar noted that the peer properties in the
submarket had a $39.51-per-sq.-ft. asking rent, 25.1% vacancy rate,
and 25.4% availability rate.

Transaction Summary

The IO mortgage loan had an initial and current balance of $275.0
million (as of the Jan. 16, 2024, trustee remittance report) and
pays an annual floating interest rate currently indexed to
one-month term SOFR plus a 2.971% alternate rate spread. The loan
was originated with an initial two-year term with three one-year
extension options (the fully extended maturity date is Oct. 9,
2025) exercisable upon satisfying certain terms and conditions,
including the borrower obtaining a substitute interest rate cap
agreement. The specially serviced loan matured on Oct. 9, 2023.
KeyBank reported debt service coverage (DSC) of 1.27x in 2022, down
from 2.14x in 2021. However, due to raising interest rates, using
the current one-month term SOFR of 5.477%, according to the January
2024 trustee remittance report, the alternate rate spread, and the
servicer-reported 2022 NCF, S&P calculated DSC of 0.66x. To date,
the trust has not incurred any principal losses.

Based on the updated Dec. 4, 2023, appraisal value of $210.7
million, KeyBank implemented an ARA of $104.7 million in the
December 2023 reporting period, causing classes subordinate to and
including class E (not rated by S&P Global Ratings) to incur
interest shortfalls. According to the Jan. 16, 2024, trustee
remittance report, the monthly interest shortfalls totaled
$907,440, and the cumulative interest shortfalls totaled $1.8
million.

In addition, there is an outstanding $30.0 million IO mezzanine
loan that is coterminous with the mortgage loan. Including the
mezzanine loan, the S&P Global Ratings LTV ratio increases to
161.3%, based on our revised valuation.

  Ratings Lowered

  BFLD Trust 2020-EYP

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



BOSPHORUS 2015-1A: Moody's Upgrades Rating on Class A Notes to B2
-----------------------------------------------------------------
Moody's Investors Service upgraded the Class A Enhanced Equipment
Notes of Bosphorus Pass Through Trust 2015-1A ("Bosphorus") to B2
from B3 and the Class A Enhanced Equipment Trust Certificates, the
Class A Equipment Asset Backed Notes, the Class B Enhanced
Equipment Trust Certificates and the Class B Equipment Asset Backed
Notes of the Anatolia Pass Through Trust ("Anatolia") to B1 from
B2.  The separate outlooks on the Bosphorus transaction and the
Anatolia transaction were changed to positive from stable.

RATINGS RATIONALE

The upgrades follow the January 12 and January 19 rating actions on
the Government of Turkiye and on Turk Hava Yollari Anonim Ortakligi
("Turkish Airlines"), respectively. The outlook on Turkiye was
changed to positive from stable. Moody's also raised its country
ceilings for Turkiye; foreign currency ceiling to B2 and local
currency ceiling to Ba3. Turkish Airlines' corporate family rating
was upgraded to B2 and the outlook was changed to positive from
stable.

The B2 rating for the Bosphorus transaction aligns the rating with
Turkish Airlines' B2 corporate family rating. Moody's estimates the
loan-to-value at about 115%. Moody's believes that the negative
equity in the financing mitigates any potential piercing of the
foreign currency country ceiling because of the 18-month liquidity
facility that is offshore. This transaction, with $145.89 million
outstanding, is secured by three Boeing 777-300ERs delivered new to
Turkish Airlines in 2015. The final scheduled payment date for this
transaction is March 15, 2027.

The upgrades to B1 for each of the Anatolia Class A and Class B
instruments maintains the position of these ratings at one notch
above Turkiye's foreign currency country ceiling now B2. Moody's
estimates the loan-to-value on this transaction at 39% for the
Class As and 41% for the Class Bs. Moody's used an exchange rate of
147.5 yen to the US dollar to calculate the loan-to-value in US
dollar terms. The significant equity cushion in the Anatolia
transaction and having a liquidity facility provided by a financial
institution outside of the Turkish banking system facilitates the
piercing of the foreign currency country ceiling by one notch.

The Anatolia transaction, with approximately $22.1 million and
$0.83 million with USD equivalent outstanding in senior and junior
classes, respectively, is secured by three Airbus A321-200s
delivered new in 2015. These amounts for the Anatolia transaction
are US dollar equivalents of the Japanese Yen-denominated
certificates, using a current exchange rate of 147 Japanese yen to
the US dollar. The final scheduled payment dates for this
transaction are March 15, 2024 and September 15, 2027,
respectively.

The transactions are each subject to the Cape Town Convention as
implemented in Turkish law, which is intended to facilitate the
timely repossession of the collateral should a payment default
occur. The transactions also have the standard features found in
EETC financings, including cross-default, cross-collateralization,
18-month liquidity facilities and the issuers of the rated
certificates are bankruptcy-remote entities. Moody's EETC ratings
consider the credit quality of the airline that issues the
equipment notes in a mortgage type transaction or is the lessee in
a lease transaction. Payments on these instruments fund the
pass-through trusts that are the structural foundation of an EETC
transaction. Moody's opinion of the importance (or essentiality) of
specific aircraft models to an airline's network and its estimates
of equity cushion are also factors in its EETC ratings. Moody's
believes the 777-300ERs and the A321s will remain in Turkish
Airline's operations over the transactions' remaining lives.

The positive outlook aligns the outlook on these financings with
the outlooks on Turkish Airlines and Turkiye.

FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS

Changes in EETC ratings can result from any combination of changes
in Moody's estimates of aircraft market values, which will affect
estimates of loan-to-value; the underlying credit quality or
ratings of the airline issuer or lessee; Moody's opinion of the
importance of particular aircraft models to an airline's network or
changes in the Long Term Foreign Currency Issuer Rating of The
Government of Turkiye, which is currently B3 or Moody's foreign
currency country ceiling for Turkiye, which is currently B2.

The methodologies used in these ratings were Enhanced Equipment
Trust and Equipment Trust Certificates published in July 2018.

Founded in 1933, Turkish Airlines is the national flag carrier of
the Republic of Turkiye and is a member of the Star Alliance
network since April 2008. Through the Istanbul Airport acting as
the airline's primary hub since early 2019, the airline operates
scheduled services to 345 international and domestic destinations
across 129 countries globally. It has a fleet of 296 narrow-body,
120 wide-body and 24 cargo planes.

The airline is 49.12% owned by the Government of Turkiye through
the Turkiye Wealth Fund while the balance is public on Borsa
Istanbul stock exchange. For the 12 months ended September 30,
2023, the company reported revenues of $20.6 billion and a Moody's
adjusted operating profit of $4.0 billion.


CPS AUTO 2024-A: DBRS Gives Prov. BB Rating on Class E Notes
------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the classes of notes to
be issued by CPS Auto Receivables Trust 2024-A (the Issuer) as
follows:

-- $128,512,000 Class A Notes at AAA (sf)
-- $37,870,000 Class B Notes at AA (sf)
-- $48,557,000 Class C Notes at A (sf)
-- $33,218,000 Class D Notes at BBB (sf)
-- $32,767,000 Class E Notes at BB (sf)

CREDIT RATING RATIONALE/DESCRIPTION

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

(1) Transaction capital structure, proposed ratings, and form and
sufficiency of available credit enhancement.

-- Credit enhancement is in the form of overcollateralization
(OC), subordination, amounts held in the reserve fund, and excess
spread. Credit enhancement levels are sufficient to support the
Morningstar DBRS-projected cumulative net loss (CNL) assumption
under various stress scenarios.

-- Unlike prior CPS transactions, the series 2024-A will not
include an CNL trigger.

-- The transaction assumptions consider Morningstar DBRS'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 Morningstar
DBRS's moderate and adverse Coronavirus Disease (COVID-19) pandemic
scenarios, which were first published in April 2020.

-- The Morningstar DBRS CNL assumption is 17.00% based on the
expected pool composition.

(2) The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and the payment of
principal by the legal final maturity date.

(3) The consistent operational history of Consumer Portfolio
Services, Inc. (CPS or the Company) and the strength of the overall
Company and its management team.

-- The CPS senior management team has considerable experience and
a successful track record within the auto finance industry.

(4) The capabilities of CPS with regard to originations,
underwriting, and servicing.

-- Morningstar DBRS performed an operational review of CPS and
considers the Company to be an acceptable originator and servicer
of subprime automobile loan contracts with an acceptable backup
servicer.

(5) Morningstar DBRS exclusively used the static pool approach
because CPS has enough data to generate a sufficient amount of
static pool projected losses.

-- Morningstar DBRS was conservative in the loss forecast analysis
that it performed on the static pool data.

(6) The Company indicated that there is no material pending or
threatened litigation.

(7) The legal structure and presence of legal opinions that address
the true sale of the assets to the Issuer, the nonconsolidation of
the special-purpose vehicle with CPS, that the trust has a valid
first-priority security interest in the assets, and the consistency
with Morningstar DBRS's "Legal Criteria for U.S. Structured
Finance."

CPS is an independent full-service automotive financing and
servicing company that provides (1) financing to borrowers who do
not typically have access to prime credit-lending terms for the
purchase of late-model vehicles and (2) refinancing of existing
automotive financing.

The rating on the Class A Notes reflects 58.25% of initial hard
credit enhancement provided by the subordinated notes in the pool
(50.70%), the reserve account (1.00%), and OC (6.55%). The ratings
on the Class B, C, D, and E Notes reflect 45.65%, 29.50%, 18.45%,
and 7.55% of initial hard credit enhancement, respectively.
Additional credit support may be provided from excess spread
available in the structure.

Morningstar DBRS'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 Noteholders' Monthly Interest
Distributable Amount and the related Note Balance.

Morningstar DBRS' credit rating does not address nonpayment risk
associated with contractual payment obligations contemplated in the
applicable transaction document(s) that are not financial
obligations. For example, the associated contractual payment
obligation that is not a financial obligation is interest on unpaid
interest for each of the rated notes.

Morningstar DBRS' long-term credit ratings provide opinions on risk
of default. Morningstar DBRS considers risk of default to be the
risk that an issuer will fail to satisfy the financial obligations
in accordance with the terms under which a long-term obligation has
been issued. The Morningstar DBRS short-term debt rating scale
provides an opinion on the risk that an issuer will not meet its
short-term financial obligations in a timely manner.

Notes: All figures are in U.S. dollars unless otherwise noted.


CQS US 2023-3: S&P Assigns BB- (sf) Rating on $13M Class E Notes
----------------------------------------------------------------
S&P Global Ratings assigned its 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 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

  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



CSWF 2021-SOP2: S&P Lowers Class F Certs Rating to 'CCC (sf)'
-------------------------------------------------------------
S&P Global Ratings lowered its ratings on three classes of
commercial mortgage pass-through certificates from CSWF 2021-SOP2,
a U.S. CMBS transaction. At the same time, S&P affirmed three
ratings from the same transaction.

This U.S. stand-alone (single-borrower) CMBS transaction is backed
by a floating-rate, interest-only (IO) mortgage loan secured by the
borrower's fee simple and leasehold interests in a portfolio of
nine majorly single-tenanted suburban office properties totaling
1.1 million sq. ft., located in five U.S. states: Arizona, Florida,
California, Texas, and Oregon.

Rating Actions

The downgrades on classes D, E, and F reflect:

-- S&P's revised expected-case valuation, which includes its
higher vacancy rate assumptions than at issuance because of lower
overall in-place occupancy (93.9% versus 100%) at the remaining
properties and elevated tenant rollover risk during the loan term.
According to the servicer, two tenants with leases that expire in
2026 and 2028, comprising about 9.0% of the net rentable area
(NRA), are currently dark.

-- S&P's belief that the weakened office submarket fundamentals
make it more challenging for the sponsor to backfill vacant spaces
in a timely manner.

-- The affirmations on the class A, B, and C certificates reflect
increases in credit enhancement levels from the de-leveraging of
the mortgage loan due to property releases and the relatively low
debt per sq. ft. ($83.23 per sq. ft. through class C). S&P said,
"We also considered that additional principal prepayments currently
are distributed sequentially. At issuance, we noted that principal
prepayments up to 20.0% of the original loan amount were
distributed on a pro rata basis to the certificates."

S&P said, "While the model-indicated rating was higher for the
class B certificates, we affirmed the outstanding rating because we
qualitatively considered the potential for higher-than-expected
vacancy at the properties because leases comprising approximately
38.9% of the NRA roll in 2026, coincide with the loan's final
extended maturity date. We believe that the borrower faces
headwinds re-leasing vacant spaces due to weakened office submarket
fundamentals, which we assessed may affect its ability to refinance
the loan by the fully extended term.

"Specifically, we lowered our rating on the class F certificates to
'CCC (sf)' from 'B- (sf)' to reflect our view that this class is at
a heightened risk of default and loss due to current market
conditions and its position in the payment waterfall."

Since issuance, four properties were released as collateral for the
trust loan, yielding $112.0 million (33.4% of original balance) of
paydowns. In early 2022, the T-Mobile Bothell (in Bothell, Wash.)
and Lockheed Martin Dallas (in Arlington, Texas) properties were
sold and released for about 105% and 110% of the allocated loan
balance (ALA), respectively. In late 2023, a vacant 127,786-sq.-ft.
office building that was previously leased to Early Warning
Services LLC within the two-building Vanguard/EWS Scottsdale
property and a vacant 99,239-sq.-ft. office building that was
previously leased to SAGE Publications Inc. within the two-building
Conejo Corporate Campus were sold and released at 100% of their
revised ALAs, which in accordance with the transaction documents,
is equal to the greater of the ALA and the lesser of the net sales
proceeds and paydown required to meet the debt yield threshold.
This resulted in an overall debt per sq. ft. of approximately $195
per sq. ft., which is the same as at issuance.

As of the Sept. 1, 2023, rent roll, the nine remaining properties
were 93.9% leased, down from 100.0% at issuance. The decline in
occupancy is primarily driven by the Cigna Austin property (7.9% of
portfolio's NRA). Following the departure of two tenants, Cigna
Health and Life Insurance Co., and Taylor Morrison of Texas Inc.,
the property's occupancy fell to 22.4% from 100% at issuance. In
addition, Wells Fargo noted that the spaces (totaling 9.0% of the
portfolio's NRA) leased to sole tenant, Allstate Insurance Co., in
the Allstate Chandler property and On Q Financials Inc., a tenant
within The Circuit property, are dark.

S&P said, "In our current analysis, assuming an 80.1% overall
occupancy rate (reflecting the greater of in-place and a 15.0%
floor vacancy rate [in consideration of the weakened office
submarket fundamentals] at each property), an S&P Global Ratings
$24.69 per-sq.-ft. gross rent, and a 34.5% operating expense ratio,
we derived a sustainable net cash flow (NCF) of $13.1 million.
Using an S&P Global Ratings capitalization rate of 8.50%, we
arrived at an S&P Global Ratings expected case value of $153.8
million, or $134 per sq. ft. on the remaining properties. This
yielded a loan-to-value ratio of 145.0% on the current trust
balance, up from 119.3% on the original trust balance at issuance.

"We will continue to monitor the tenancy and performance of the
property and loan, as well as the borrower's ability to extend or
refinance the loan upon its June 2024 maturity date. If we receive
information that differs materially from our expectations, such as
reported negative changes in the property performance beyond what
we already considered or the loan is transferred to special
servicing with potential resolution strategies that may negatively
impact the payment waterfall of the trust, we may revisit our
analysis and take further rating actions as we deem necessary."

Property-Level Analysis

The loan collateral currently consists of nine predominantly
single-tenanted suburban office properties totaling 1.1 million sq.
ft. located in five U.S. states: Arizona (in the Phoenix
metropolitan statistical area; four properties; 526,976 sq. ft. or
46.0% of NRA; 47.8% of total gross rent, as calculated by S&P
Global Ratings), Florida (two; 348,750 sq. ft. or 30.4%; 29.6%),
California (one; 97,353 sq. ft. or 8.5%; 9.8%), Texas (one; 90,000
sq. ft. or 7.9%; 7.8%), and Oregon (one; 82,819 sq. ft. or 7.2%;
5.0%). Details on the remaining properties and respective tenancy
as of the September 2023 rent roll include:

-- Vanguard/EWS Scottsdale: a 127,787-sq.-ft. suburban office
building in Scottsdale, Ariz., built in 2006. It is 100% leased to


-- The Vanguard Group Inc. until June 30, 2026.

-- The Circuit: a 184,291-sq.-ft. suburban office building in
Tempe, Ariz., built in 1982 and renovated in 2018. It is 100%
leased to Oscar Management Corp. (75.8% of NRA) until May 31, 2032,
and On Q Financials Inc. (24.2%) until June 30, 2028. According to
Wells Fargo, the On Q Financials Inc.'s space is currently dark.
Additionally, it is our understanding from Wells Fargo that the
tenant is not paying rent.

-- Conejo Corporate Campus: a 97,353-sq.-ft. suburban office
building in Thousand Oaks, Calif., built in 2001. It is 100% leased
to ATARA Biotherapeutics Inc. (52.6%) until Feb. 28, 2026, and SAGE
Publications Inc. (47.4%) until Jan. 31, 2026.

-- Syniverse Tampa: a 198,750-sq.-ft. suburban office building in
Tampa, Fla., built in 2000 and renovated in 2019. It is 100% leased
to Syniverse Technologies LLC until Jan. 31, 2027.

-- DB Jacksonville: a 150,000-sq.-ft. suburban office building in
Jacksonville, Fla., built in 2006. It is 100% leased to DB Services
New Jersey Inc. until Nov. 30, 2026.

-- Allstate Chandler: a 117,394-sq.-ft. suburban office building
in Chandler, Ariz., built in 2018. It is 100% leased to Allstate
Insurance Co. (50.1%) until Jan. 31, 2026, and Dish Network LLC
(49.9%) until Jan. 31, 2029. The servicer informed us that Allstate
Insurance Co. is currently dark but still paying its rent.

-- Amkor Tempe: a 97,504-sq.-ft. suburban office building in
Tempe, Ariz., built in 2015. It is 100% leased to Amkor Technology
Inc. until Jan. 31, 2025.

-- Cigna Austin: a 90,000-sq.-ft. suburban office building in
Austin, Texas, built in 2007. It is leased 22.4% leased to
Activision Publishing Inc. until Nov. 30, 2024.

-- Beaverton Creek: an 82,819-sq.-ft. suburban office building in
Beaverton, Ore., built in 1999. It is 100% leased to Fresenius
Medical Care West Portland Dialysis LLC (13.7%) until July 31,
2026, and Nike Inc. (86.3%) until Aug. 31, 2024, and Nov. 30,
2024.

-- The portfolio faces notable tenant rollover, with 8.0% of NRA
and 6.1% of in-place gross rent, as calculated by S&P Global
Ratings rolling in 2024; 38.9% and 41.8% in 2026; 17.3% and 21.1%
in 2027; and 12.2% and 12.2% in 2032.

According to CoStar, the nine properties are in office submarkets
that reported double-digit vacancy and availability rates. The
portfolio has the largest exposure in Arizona (46.0% of NRA; 47.8%
of total gross rent, as calculated by S&P Global Ratings). The
Chandler, Scottsdale, and Tempe office submarkets where the four
collateral properties are located, experienced similar market
dynamics. Growing employment offset by elevated construction
activities and modest absorptions have resulted in vacancy rate
increases across the three office submarkets in recent years. As of
year-end 2023, the Chandler submarket had a vacancy rate of 16.4%,
availability rate of 20.7%, and asking rent of $29.54 per sq. ft.
The Scottsdale office submarket had a vacancy rate of 16.2%,
availability rate of 18.1%, and asking rent of $32.34 per sq. ft.
The Tempe office submarket had a vacancy rate of 23.6%,
availability rate of 26.0%, and asking rent of $32.96 per sq. ft.
CoStar projects minimal rent growth and elevated vacancy rates for
these three office submarkets through 2026 (the loan's final
maturity date), with the Chandler office submarket vacancy rate
increasing to 18.2%, the Scottsdale office submarket vacancy
holding steady at 16.2%, and the Tempe office submarket vacancy
increasing slightly to 24.2%.

S&P accounted for the concentrated rollover risk during the loan
term and dark tenant spaces at the remaining properties by
utilizing an overall portfolio vacancy rate of 19.9%, which is the
greater of an in-place vacancy rate and a 15.0% floor vacancy rate
for each property versus the portfolio's 6.1% in-place vacancy
rate, to arrive at our sustainable NCF.

Transaction Summary

The IO mortgage loan had an initial balance of $335.0 million.
Following the aforementioned property releases, the loan balance
was $223.0 million, as of the Jan. 16, 2024, trustee remittance
report. The loan pays a floating interest rate indexed to one-month
term SOFR plus a 3.157% spread, and currently matures June 9, 2024.
The borrower has two one-year extension options remaining (final
maturity June 9, 2026) after exercising its first extension option
in June 2023. As part of extending the loan's maturity date to June
2024, the borrower purchased a replacement interest rate cap
agreement with SMBC Capital Markets Inc., with credit support
provided by SMBC Derivative Products Ltd. ('AA-/Stable') to hedge
against rising interest rate risk, at a strike rate of 2.50%. The
replacement interest rate cap agreement terminates Jan. 15, 2025.
Wells Fargo recently confirmed that for the borrower to exercise
its second extension option to extend the loan's maturity to June
9, 2025, the borrower will need to pay an increased 10 basis points
additional loan spread and purchase a replacement interest rate cap
agreement with a strike rate that provides for debt service
coverage (DSC) of no less than 1.10x through June 2025.

The loan has a reported current payment status and is on the
servicer's watchlist due to a low reported DSC, which was 0.76x as
of the six months ended June 30, 2023, down from 1.86x as of
year-end 2022.

According to the January 2024 servicer's CREFC IRP reserve report,
$6.5 million is held in various reserves, of which $6.2 million is
in the tenant reserve account.

To date, the trust has not incurred any principal losses.

  Ratings Lowered

  CSWF 2021-SOP2

  Class D to 'BB+ (sf)' from 'BBB- (sf)'
  Class E to 'B- (sf)' from 'BB- (sf)'
  Class F to 'CCC (sf)' from 'B- (sf)'

  Ratings Affirmed

  CSWF 2021-SOP2

  Class A: 'AAA (sf)'
  Class B: 'AA- (sf)'
  Class C: 'A- (sf)'



EXETER AUTOMOBILE 2024-1: Fitch Assigns BB(EXP) Rating on E Notes
-----------------------------------------------------------------
Fitch Ratings expects to assign ratings and Rating Outlooks to
Exeter Automobile Receivables Trust (EART) 2024-1.

   Entity/Debt          Rating           
   -----------          ------           
Exeter Automobile
Receivables Trust
2024-1

   A-1              ST F1+(EXP)sf  Expected Rating
   A-2              LT AAA(EXP)sf  Expected Rating
   A-3              LT AAA(EXP)sf  Expected Rating
   B                LT AA(EXP)sf   Expected Rating
   C                LT A(EXP)sf    Expected Rating
   D                LT BBB(EXP)sf  Expected Rating
   E                LT BB(EXP)sf   Expected Rating

KEY RATING DRIVERS

Collateral Performance — Subprime Credit Quality: EART 2024-1 is
backed by collateral with subprime credit attributes, including a
weighted average (WA) FICO score of 574, a WA loan-to-value (LTV)
ratio of 114.29% and WA APR of 22.72%. In addition, 97.98% of the
pool is backed by used vehicles and the WA payment-to-income (PTI)
ratio is 11.88%. The pool is consistent with those in recent EART
series transactions.

Forward-Looking Approach to Derive Rating Case Proxy: Fitch
considered economic conditions and future expectations by assessing
key macroeconomic and wholesale market conditions to derive the
series loss proxy. Although recessionary performance data from
Exeter are not available, the initial rating case cumulative net
loss (CNL) proxy was derived utilizing 2006-2009 data from
Santander Consumer — as proxy recessionary static-managed
portfolio data — and 2016-2017 vintage data from Exeter to arrive
at a forward-looking rating case CNL proxy of 20.00%.

Payment Structure — Sufficient Credit Enhancement: Initial hard
credit enhancement (CE) levels are 59.80%, 43.25%, 28.90%, 14.70%
and 6.65% for classes A, B, C, D and E, respectively. The class A,
B, C, D and E CE levels are down from the prior 2023 transaction CE
levels. Excess spread is expected to be 12.70%, up from 11.94% per
annum in 2023-5. Loss coverage for each class of notes is
sufficient to cover the respective multiples of Fitch's rating case
CNL proxy of 20.00%.

Seller/Servicer Operational Review — Adequate
Origination/Underwriting/Servicing: Exeter demonstrates adequate
abilities as the originator, underwriter and servicer, as evidenced
by historical portfolio and securitization performance. Fitch does
not rate Exeter but deems the company as capable to service this
transaction. In addition, Citibank, N.A., which Fitch rates
'A+'/'F1'/Stable, has been contracted as backup servicer for this
transaction.

Fitch's base-case loss expectation, which does not include a margin
of safety and is not used in Fitch's quantitative analysis to
assign ratings, is 19.00%, based on the agency's Global Economic
Outlook and transaction-based forecast loss projections.

RATING SENSITIVITIES

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

Unanticipated increases in the frequency of defaults could produce
CNL levels that are higher than the rating case and would likely
result in declines of CE and remaining net loss coverage levels
available to the notes. Additionally, unanticipated declines in
recoveries could also result in lower net loss coverage, which may
make certain note ratings susceptible to potential negative rating
actions, depending on the extent of the decline in coverage.

Therefore, Fitch conducts sensitivity analyses by stressing both a
transaction's initial rating case CNL and recovery rate
assumptions, as well as by examining the rating implications on all
classes of issued notes. The CNL sensitivity stresses the CNL proxy
to the level necessary to reduce each rating by one full category,
to non-investment grade (BBsf) and to 'CCCsf' based on the
break-even loss coverage provided by the CE structure.

Fitch also conducts 1.5x and 2.0x increases to the CNL proxy,
representing both moderate and severe stresses. Fitch also
evaluates the impact of stressed recovery rates on an auto loan ABS
structure and rating impact with a 50% haircut. These analyses are
intended to provide an indication of the rating sensitivity of the
notes to unexpected deterioration of a trust's performance.

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

Stable to improved asset performance driven by stable delinquencies
and defaults would lead to rising CE levels and consideration for
potential upgrades. If CNL is 20% less than the projected proxy,
the expected subordinate note ratings could be upgraded by up to
one category.

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years. The complete span of best- and
worst-case scenario credit ratings for all rating categories ranges
from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings
are based on historical 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 Ernst & Young LLP. The third-party due diligence
described in Form 15E focused on comparing or recomputing certain
information with respect to 150 loans from the statistical data
file. Fitch considered this information in its analysis and it did
not have an effect on Fitch's analysis or conclusions.

ESG CONSIDERATIONS

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


FANNIE MAE 2004-T5: S&P Affirms BB- (sf) Rating in Cl. AB-4 Bonds
-----------------------------------------------------------------
S&P Global Ratings completed its review of 10 classes from Fannie
Mae Grantor Trust 2004-T5, a U.S. RMBS re-securitized real estate
mortgage investment conduit (re-REMIC) issued in 2004. The review
yielded two downgrades and eight affirmations.

Analytical Considerations

S&P said, "We incorporate various considerations into our decisions
to lower or affirm ratings when reviewing the indicative ratings
suggested by our projected cash flows. These considerations are
based on transaction-specific performance or structural
characteristics (or both) and their potential effects on certain
classes." Some of these considerations may include:

-- Underlying collateral performance or delinquency trends, and

-- Available subordination and/or overcollateralization.

Rating Actions

The rating changes reflect S&P's view of the associated underlying
transaction-specific collateral performance, structural
characteristics, and/or applicable criteria.

The affirmations reflect S&P's view that its projected credit
support and collateral performance on these classes have remained
relatively consistent with its prior projections.


  Ratings list

  RATING

  ISSUER    
             SERIES    CLASS    CUSIP        TO       FROM

  Fannie Mae Grantor Trust 2004-T5

             2004-T5    A-1    31394AXN1    AA+ (sf)   AA+ (sf)

  Fannie Mae Grantor Trust 2004-T5

             2004-T5    AB-1   31394AXP6    BB+ (sf)   A- (sf)

  MAIN RATIONALE: Underlying bond performance. Erosion of credit
support available on the underlying bond to cover our projected
losses at higher rating levels.

  Fannie Mae Grantor Trust 2004-T5

             2004-T5    A-2A   31394AXQ4    AA+ (sf)   AA+ (sf)

  Fannie Mae Grantor Trust 2004-T5

             2004-T5    A-4    31394AXX9    AA+ (sf)   AA+ (sf)

  Fannie Mae Grantor Trust 2004-T5

             2004-T5    AB-4   31394AXY7    BB- (sf)   BB- (sf)

  Fannie Mae Grantor Trust 2004-T5

             2004-T5    A-7    31394AYD2    AAA (sf)   AAA (sf)

  Fannie Mae Grantor Trust 2004-T5

             2004-T5    AB-7   31394AYE0    AA+ (sf)   AA+ (sf)

  Fannie Mae Grantor Trust 2004-T5

             2004-T5    A-11   31394AYP5    AA+ (sf)   AA+ (sf)

  Fannie Mae Grantor Trust 2004-T5

             2004-T5    A-13   31394AYR1    AAA (sf)   AAA (sf)

  Fannie Mae Grantor Trust 2004-T5

             2004-T5    AB-2A               BBB+ (sf)  A- (sf)

  MAIN RATIONALE: Underlying bond performance. Erosion of credit
support available on the underlying bond to cover our projected
losses at higher rating levels.



FANNIE MAE 2024-R01: S&P Assigns B+ (sf) Rating on 1B-2 Notes
-------------------------------------------------------------
S&P Global Ratings assigned its 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.

After S&P assigned its preliminary ratings on Jan. 22, 2024, the
principal balance of the class 1B-1 notes was increased to
$182,304,000 from $115,140,000, with a proportionate increase to
the principal balances of the class 1B-1A, 1B-1B, and 1B-1Y notes,
the notional amounts of the class 1B-1A and 1B-1B reference
tranches, and the class 1B-1X notes. At the same time, the notional
balances of the class 1B-AH and 1B-BH reference tranches were
proportionately decreased by the same amount. The underlying credit
enhancement for these notes did not change.

The ratings reflect S&P's view of:

-- The credit enhancement provided by the subordinated reference
tranches and the associated structural deal mechanics;

-- The real estate mortgage investment conduit (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
representations and warranties 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, 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 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."

  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), $91,152,000: BB+ (sf)
  Class 1B-AH(i), $4,798,521: NR
  Class 1B-1B(ii), $91,152,000: BB (sf)
  Class 1B-BH(i), $4,798,521: NR
  Class 1B-1(ii), $182,304,000: 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, $182,304,000: BB (sf)
  Class 1B-1X, $182,304,000(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.
RCR--Related combinable and recombinable.
NR--Not rated.



GCAT TRUST 2024-INV1: Moody's Assigns B2 Rating to Cl. B-5 Certs
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to 59
classes of residential mortgage-backed securities (RMBS) issued by
GCAT 2024-INV1 Trust, 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, Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. 2-A-2, Definitive Rating Assigned Aaa (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Cl. B-1, Definitive Rating Assigned Aa3 (sf)

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

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

Cl. B-2, Definitive Rating Assigned A2 (sf)

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

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

Cl. B-3, Definitive Rating Assigned Baa2 (sf)

Cl. B-4, Definitive Rating Assigned Ba2 (sf)

Cl. B-5, Definitive Rating Assigned B2 (sf)

*Reflects Interest-Only Classes

Moody's is withdrawing the provisional ratings for the Class 1-A-1A
and 2-A-1A loans, assigned on January 18, 2024, because the issuer
will not be issuing these 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.

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 2024-70P: Moody's Gives (P)B2 Rating to Cl. HRR Certs
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to seven
classes of CMBS securities, to be issued by GS Mortgage Securities
Corporation Trust 2024-70P, Commercial Mortgage Pass-Through
Certificates, Series 2024-70P:

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

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

Cl. C, Assigned (P)A3 (sf)

Cl. D, Assigned (P)Baa3 (sf)

Cl. E, Assigned (P)Ba3 (sf)

Cl. HRR, Assigned (P)B2 (sf)

Cl. X*, Assigned (P)Aaa (sf)

* Reflects Interest-Only Classes

RATINGS RATIONALE

The certificates are collateralized by a single loan backed by a
first lien mortgage on the borrower's fee simple interest in a
Class A, mixed-use building ("70 Pine Street" or the "property")
comprised of approximately one million gross square (690,306 NRSF)
feet of residential, retail and hospitality units located in New
York, NY. Moody's ratings are based on the credit quality of the
loans and the strength of the securitization structure.

The collateral is a 66-story, mixed-use tower comprised of
approximately 612 market-rate residential units, ground
floor/rooftop retail space (39,075 SF) and a 165-key hotel. The
site lies within Manhattan's Financial District, approximately one
block north of Wall Street. The building's location is easily
accessed by mass transit, situated directly across from the Wall
Street subway station (2,3 lines) and a short walk from Fulton
Street Transit Center (2,3,4,5,A,C,E,J,M,R and Z train lines). The
property is also within five blocks of Pier 11, which provides
ferry access to various stops in Brooklyn, Queens and the Manhattan
waterfronts. Access to and within the neighborhood is considered
good due to several primary thoroughfares, such as the FDR Drive
expressway and West Side Highway.

The property contains multiple cash flow components (residential,
retail and hospitality); however, the majority of the building's
revenue is derived from multifamily rentals. The residential
component consists of approximately 612 luxury, market-rate rental
units. All multifamily units are located on floors 7 through 61 and
are comprised of approximately 535,855 SF of net rentable area. The
residential component contains a mix of studio (250 units; 40.8% of
residential units), one-bedroom (212 units; 34.6% of residential
units), two-bedroom (130 units; 21.2% of residential units),
three-bedroom (18 units; 2.9% of residential units) and
four-bedroom (2 units; 0.3% of residential units) apartments. As of
January 2024, the residential component was approximately 96.2%
occupied.

Residential amenities at the property include a 22,000 SF fitness
center, two golf simulators, Pilates studio, bowling alleys, game
room, theater room, children's playroom, laundry facility,
co-working space, lounge space for hosting events and a 24-hour
attended lobby with concierge services. In terms of unit amenities,
all apartments include a high level of finish, with hardwood
floors, high-end open-layout kitchens, granite countertops,
stainless steel appliances, in-unit washer/dryers, walk-in closets,
ceiling height windows and private balconies (in 110 select units).
There is also approximately 39,075 SF of ground floor / rooftop
retail space in the building serving residents and the surrounding
neighborhood. As of January 1, 2024, the retail space is 100.0%
leased to eight tenants across six leases.

The hospitality component consists of a 165-key hotel, known as the
Mint House, which is located on floors 2 through 6. It has been in
operation at the property since 2021 and primarily functions as an
extended-stay hotel. Hotel rooms are all fully equipped with
kitchens and range in size from studios to two-bedroom units. Per
the November 2023 operating statement, the property's TTM occupancy
rate and ADR were 79.3% and $317.75, resulting in a RevPAR of
$252.12.

Moody's approach to rating this transaction involved the
application of both Moody's Large Loan and Single Asset/Single
Borrower Commercial Mortgage-Backed Securitization methodology and
Moody's IO Rating methodology. The rating approach for securities
backed by a single loan compares the credit risk inherent in the
underlying collateral with the credit protection offered by the
structure. The structure's credit enhancement is quantified by the
maximum deterioration in property value that the securities are
able to withstand under various stress scenarios without causing an
increase in the expected loss for various rating levels. In
assigning single borrower ratings, Moody's also consider a range of
qualitative issues as well as the transaction's structural and
legal aspects.

The credit risk of loans is determined primarily by two factors: 1)
Moody's assessment of the probability of default, which is largely
driven by each loan's DSCR, and 2) Moody's assessment of the
severity of loss upon a default, which is largely driven by each
loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV.
As described in the CMBS methodology used to rate this transaction,
Moody's make various adjustments to the MLTV. Moody's adjust the
MLTV for each loan using a value that reflects capitalization (cap)
rates that are between Moody's sustainable cap rates and market cap
rates. Moody's also use an adjusted loan balance that reflects each
loan's amortization profile.

The Moody's first mortgage actual DSCR is 0.98x and Moody's first
mortgage actual stressed DSCR is 0.68x. Moody's DSCR is based on
Moody's stabilized net cash flow.

The loan first mortgage balance of $395,000,000 represents a
Moody's LTV ratio of 119.1% based on Moody's value. Adjusted
Moody's LTV ratio for the first mortgage balance is 106.2% based on
Moody's Value using a cap rate adjusted for the current interest
rate environment.

Moody's also grades properties on a scale of 0 to 5 (best to worst)
and considers those grades when assessing the likelihood of debt
payment. The factors considered include property age, quality of
construction, location, market, and tenancy. The property quality
grade is 0.55.

Notable strengths of the transaction include: the property's asset
quality, strong location, submarket performance and experienced
sponsorship.

Notable concerns of the transaction include: the high Moody's
loan-to-value ("MLTV") ratio, lack of asset diversification,
interest-only loan profile and certain credit negative legal
features.

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

Moody's approach for single borrower and large loan multi-borrower
transactions evaluates credit enhancement levels based on an
aggregation of adjusted loan level proceeds derived from Moody's
loan level LTV ratios. Major adjustments to determining proceeds
include leverage, loan structure, and property type. These
aggregated proceeds are then further adjusted for any pooling
benefits associated with loan level diversity, other concentrations
and correlations.

Moody's analysis considers the following inputs to calculate the
proposed IO rating based on the published methodology: original and
current bond ratings and credit estimates; original and current
bond balances grossed up for losses for all bonds the IO(s)
reference(s) within the transaction; and IO type corresponding to
an IO type as defined in the published methodology.

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

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously anticipated. Factors that may cause an
upgrade of the ratings include significant loan pay downs or
amortization, an increase in the pool's share of defeasance or
overall improved pool performance. Factors that may cause a
downgrade of the ratings include a decline in the overall
performance of the pool, loan concentration, increased expected
losses from specially serviced and troubled loans or interest
shortfalls.


GS MORTGAGE 2024-RPL1: DBRS Gives B Rating on B-3 Notes
-------------------------------------------------------
DBRS, Inc. assigned credit ratings to the Mortgaged-Backed
Securities, Series 2024-RPL1 (the Notes) issued by GS
Mortgage-Backed Securities Trust 2024-RPL1 (GSMBS 2024-RPL1 or the
Trust) as follows:

-- $417.9 million Class A-1 at AAA (sf)
-- $14.9 million Class A-2 at AA (high) (sf)
-- $432.8 million Class A-3 at AA (high) (sf)
-- $443.6 million Class A-4 at A (high) (sf)
-- $451.9 million Class A-5 at BBB (high) (sf)
-- $10.9 million Class M-1 at A (high) (sf)
-- $8.3 million Class M-2 at BBB (high) (sf)
-- $4.3 million Class B-1 at BB (high) (sf)
-- $4.3 million Class B-2 at B (high) (sf)
-- $4.0 million Class B-3 at B (sf)

The Class A-3, Class A-4, and Class A-5 Notes are exchangeable.
These classes can be exchanged for combinations of initial
exchangeable notes as specified in the offering documents.

The AAA (sf) credit rating on the Notes reflects 11.55% of credit
enhancement provided by subordinated notes. The AA (high) (sf), A
(high) (sf), BBB (high) (sf), BB (high) (sf), B (high) (sf), and B
(sf) credit ratings reflect 8.40%, 6.10%, 4.35%, 3.45%, 2.55%, and
1.70% of credit enhancement, respectively.

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

The Trust is a securitization of a portfolio of seasoned performing
and reperforming first-lien residential mortgages funded by the
issuance of mortgage-backed notes (the Notes). The Notes are backed
by 2,566 loans with a total principal balance of $497,328,147 as of
the Cut-Off Date (November 30, 2023).

The portfolio is approximately 215 months seasoned and contains
62.4% modified loans. The modifications happened more than two
years ago for 90.8% of the modified loans. Within the pool, 584
mortgages have non-interest-bearing deferred amounts, which equate
to approximately 3.7% of the total principal balance. There are no
government-sponsored enterprise Home Affordable Modification
Program and proprietary principal forgiveness amounts included in
the deferred amounts.

As of the Cut-Off Date, 98.0% of the loans in the pool are current.
Approximately 0.2% are in bankruptcy (all bankruptcy loans are
performing) and 1.8% are 30 days delinquent. Approximately 84.0% of
the mortgage loans have been zero times 30 days delinquent (0 x 30)
for at least the past 24 months under the Mortgage Bankers
Association (MBA) delinquency method and 91.7% have been 0 x 30 for
at least the past 12 months under the MBA delinquency method.

The majority of the pool (96.6%) is exempt from the Consumer
Financial Protection Bureau Ability-to-Repay (ATR)/Qualified
Mortgage (QM) rules because the loans were originated as investor
property loans or were originated prior to January 10, 2014, the
date on which the rules became applicable. The loans subject to the
ATR rules are designated as QM Safe Harbor (0.4%), non-QM (1.8%),
or missing (1.2%).

The Mortgage Loan Seller, Goldman Sachs Mortgage Company (GSMC),
acquired the mortgage loans in various transactions prior to the
Closing Date from various mortgage loan sellers or from an
affiliate. GS Mortgage Securities Corp. (the Depositor) will
contribute the loans to the Trust. These loans were originated and
previously serviced by various entities through purchases in the
secondary market.

The Sponsor, GSMC, or a majority-owned affiliate will retain an
eligible vertical interest in the transaction consisting of an
uncertificated interest (the Retained Interest) in the Trust
representing the right to receive at least 5.0% of the amounts
collected on the mortgage loans, net of the Trust's fees, expenses,
and reimbursements and paid on the Notes (other than the Class R
Notes) and the Retained Interest to satisfy the credit risk
retention requirements under Section 15G of the Securities Exchange
Act of 1934 and the regulations promulgated thereunder.

As of the Closing Date, the mortgage loans will be serviced by
NewRez LLC doing business as Shellpoint Mortgage Servicing (SMS).

Similar to previous GSMBS RPL securitizations, the servicing fee
payable to SMS for the GSMBS 2024-RPL1 mortgage loans will be
calculated using a dollar servicing fee construct. The monthly
servicing fee charged per loan will be determined based on the
delinquency status of each mortgage loan. In its analysis,
Morningstar DBRS assumed a fixed aggregate servicing fee rate.

There will not be any advancing of delinquent principal or interest
on any mortgages by the Servicer or any other party to the
transaction; however, the Servicer is obligated to make advances in
respect to the preservation, inspection, restoration, protection,
and repair of a mortgaged property, which includes delinquent tax
and insurance payments, the enforcement of judicial proceedings
associated with a mortgage loan, and the management and liquidation
of properties (to the extent that the related Servicer deems such
advances recoverable).

When the aggregate pool balance of the mortgage loans is reduced to
less than 25% of the Cut-Off Date balance, the Controlling
Noteholder will have the option to purchase all remaining loans and
other property of the Issuer at a specified minimum price. The
Controlling Noteholder will be the beneficial owner of more than
50% the Class B-5 Notes (if no longer outstanding, the next most
subordinate class of Notes, other than Class X).

As a loss-mitigation alternative, the Controlling Noteholder may
direct the Servicer to sell mortgage loans that are in an early or
advanced stage of default or for which foreclosure or default is
imminent to unaffiliated third-party investors in the secondary
whole loan market on arm's-length terms and at fair market value to
maximize proceeds on such loans on a net present value basis.

The transaction employs a sequential-pay cash flow structure.
Principal proceeds and excess interest can be used to cover
interest shortfalls on the Notes, but such shortfalls on the Class
M-1 Notes and more subordinate bonds will not be paid from
principal proceeds until the more senior classes are retired.
Excess interest can be used to amortize the principal of the notes
after paying transaction parties' fees, net weighted-average coupon
(WAC) shortfalls, and making deposits on to the breach reserve
account.

Notes: All figures are in U.S. dollars unless otherwise noted.


GUGGENHEIM MM 2024-7: S&P Assigns BB- (sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its 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 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

  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



JP MORGAN 2024-1: Fitch Assigns 'B-(EXP)' Rating on Cl. B-5 Notes
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to JP Morgan Mortgage
Trust 2024-1 (JPMMT 2024-1).

   Entity/Debt      Rating           
   -----------      ------            
JPMMT 2024-1

   A-2          LT AAA(EXP)sf  Expected Rating
   A-3          LT AAA(EXP)sf  Expected Rating
   A-3-X        LT AAA(EXP)sf  Expected Rating
   A-4          LT AAA(EXP)sf  Expected Rating
   A-4-A        LT AAA(EXP)sf  Expected Rating
   A-4-X        LT AAA(EXP)sf  Expected Rating
   A-5          LT AAA(EXP)sf  Expected Rating
   A-5-A        LT AAA(EXP)sf  Expected Rating
   A-5-X        LT AAA(EXP)sf  Expected Rating
   A-6          LT AAA(EXP)sf  Expected Rating
   A-6-A        LT AAA(EXP)sf  Expected Rating
   A-6-X        LT AAA(EXP)sf  Expected Rating
   A-7          LT AAA(EXP)sf  Expected Rating
   A-7-A        LT AAA(EXP)sf  Expected Rating
   A-7-X        LT AAA(EXP)sf  Expected Rating
   A-8          LT AAA(EXP)sf  Expected Rating
   A-8-A        LT AAA(EXP)sf  Expected Rating
   A-8-X        LT AAA(EXP)sf  Expected Rating
   A-9          LT AA+(EXP)sf  Expected Rating
   A-9-A        LT AA+(EXP)sf  Expected Rating
   A-9-X        LT AA+(EXP)sf  Expected Rating
   A-X-1        LT AA+(EXP)sf  Expected Rating
   B-1          LT AA-(EXP)sf  Expected Rating
   B-2          LT A-(EXP)sf   Expected Rating
   B-3          LT BBB-(EXP)sf Expected Rating
   B-4          LT BB-(EXP)sf  Expected Rating
   B-5          LT B-(EXP)sf   Expected Rating
   B-6          LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed certificates
issued by J.P. Morgan Mortgage Trust 2024-1 (JPMMT 2024-1) as
indicated above. The certificates are supported by 551 loans with a
total balance of approximately $571.15 million as of the cutoff
date. The pool consists of prime-quality fixed-rate mortgages
(FRMs) from various mortgage originators.

The pool consists of loans mainly originated by United Wholesale
Mortgage, LLC (43.3%) and Movement Mortgage (17.6%), with the
remaining 39.1% of the loans originated by various originators,
each contributing less than 10% to the pool. The loan-level
representations and warranties (R&Ws) are provided by the various
originators, as well as MAXEX and Redwood (the aggregators).

NewRez LLC (fka New Penn Financial, LLC), dba Shellpoint Mortgage
Servicing (Shellpoint), will act as interim servicer for
approximately 51.1% of the pool from the closing date until the
servicing transfer date, which is expected to occur on or about
March 1, 2024. After the servicing transfer date, these mortgage
loans will be serviced by JPMorgan Chase Bank, National Association
(Chase). Since Chase will service these loans after the transfer
date, Fitch performed its analysis assuming Chase is the servicer
for the loans. Chase is also the servicer for 3.9% of the loans.
The other servicers in the transaction are United Wholesale
Mortgage, LLC (servicing 41.5% of loans), loanDepot.com, LLC
(2.8%), PennyMac Corp (0.5%), and Amerihome Mortgage Company, LLC
(servicing 0.3% of the loans). Nationstar Mortgage LLC (Nationstar)
will be the master servicer.

Most of the loans (99.8%) qualify as safe-harbor qualified mortgage
(SHQM), agency SHQM, or SHQM average prime offer rate (APOR); the
remaining 0.2% qualify as QM rebuttable presumption (APOR).

There is no exposure to Libor in this transaction. The collateral
comprises 100% fixed-rate loans, and the certificates are fixed
rate and capped at the net weighted average coupon (WAC) or based
on the net WAC.

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 9.8% above a long-term sustainable level (vs. 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 1.87% YoY nationally as of October 2023 despite modest
regional declines, but are still being supported by limited
inventory.

High Quality Mortgage Pool (Positive): The pool consists of high
quality, fixed-rate, fully amortizing prime-quality loans with
maturities of up to 30 years. Most of the loans (99.8%) qualify as
SHQM, agency SHQM, or SHQM (APOR); the remaining 0.2% qualify as QM
rebuttable presumption (APOR). The loans were made to borrowers
with strong credit profiles, relatively low leverage and large
liquid reserves.

The loans are seasoned at an average of nine months, according to
Fitch (seven months, per the transaction documents). The pool has a
WA original FICO score of 767, as determined by Fitch, which is
indicative of very high credit-quality borrowers. Approximately
75.7% of the loans, as determined by Fitch, have a borrower with an
original FICO score equal to or above 750. In addition, the
original WA combined loan to value (CLTV) ratio of 75.8%,
translating to a sustainable loan to value (sLTV) ratio of 81.4%,
represents moderate borrower equity in the property and reduced
default risk compared to a borrower with a CLTV over 80%.

Per the transaction documents and Fitch's analysis, nonconforming
loans constitute 91.0% of the pool, while the remaining 9.0%
represent conforming loans. All of the loans are designated as QM
loans, with 59.3% of the pool originated by a retail and
correspondent channel.

Of the pool, 100.0% comprises loans where the borrower maintains a
primary or secondary residence. Single-family homes, townhouses,
planned unit developments (PUDs) and single-family attached
dwellings constitute 93.8% of the pool; condominiums and co-ops
make up 4.9%, and multifamily homes make up 1.3%.

The pool consists of loans with the following loan purposes, as
determined by Fitch and per the transaction documents: purchases
(90.7%), cashout refinances (6.2%) and rate term refinances (3.1%).
Fitch only considers a loan a cashout loan if the cashout amount is
greater than 3%.

Fitch views favorably that there are no loans to investment
properties, and a majority of the mortgages are purchases.

A total of 264 loans in the pool are over $1.0 million, and the
largest loan is approximately $3.0 million.

Twenty-nine loans in the collateral pool for this transaction have
an interest rate buydown feature. Fitch increased its loss
expectations on these loans to address the potential payment shock
the borrower may face.

Of the pool loans, 33.1% are concentrated in California. The
largest MSA concentration is in the Los Angeles-Long Beach-Santa
Ana, CA MSA (12.8%), followed by the Seattle-Tacoma-Bellevue, WA
MSA (6.7%) and the San Francisco-Oakland-Fremont, CA MSA (5.9%).
The top three MSAs account for 25% of the pool. As a result, there
was no probability of default (PD) penalty applied for geographic
concentration.

Shifting-Interest Structure with Full Advancing (Mixed): The
mortgage cash flow and loss allocation are based on a
senior-subordinate, shifting-interest structure whereby the
subordinate classes receive only scheduled principal and are locked
out from receiving unscheduled principal or prepayments for five
years. The lockout feature helps to maintain subordination for a
longer period should losses occur later in the life of the
transaction. The applicable credit support percentage feature
redirects subordinate principal to classes of higher seniority if
specified credit enhancement (CE) levels are not maintained.

The servicers will provide full advancing for the life of the
transaction; each servicer is expected to advance delinquent
principal and interest (P&I) on loans. Although full P&I advancing
will provide liquidity to the certificates, it will also increase
the loan-level loss severity (LS) since the servicer looks to
recoup P&I advances from liquidation proceeds, which results in
less recoveries.

Nationstar is the master servicer and will advance if the servicers
are unable to do so. If the master servicer is unable to advance,
then the securities administrator (Citibank) will advance.

CE Floor (Positive): A CE or senior subordination floor of 1.60%
has been considered to mitigate potential tail-end risk and loss
exposure for senior tranches as the pool size declines and
performance volatility increases due to adverse loan selection and
small loan count concentration. Additionally, a junior
subordination floor of 0.90% has been considered to mitigate
potential tail-end risk and loss exposure for subordinate tranches
as the pool size declines and performance volatility increases due
to adverse loan selection and small loan count concentration.

RATING SENSITIVITIES

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

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analyses was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.

This defined negative rating sensitivity analysis demonstrates how
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 41.3% at 'AAA'. The analysis indicates that there
is some potential rating migration with higher MVDs for all rated
classes, compared with the model projection. Specifically, a 10%
additional decline in home prices would lower all rated classes by
one full category.

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

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

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Consolidated Analytics, Clayton, Digital
Risk, and Opus. The third-party due diligence described in Form 15E
focused on four areas: compliance review, credit review, valuation
review and data integrity. Fitch considered this information in its
analysis and, as a result, Fitch decreased its loss expectations by
0.31% at the 'AAAsf' stress due to 100% due diligence with no
material findings.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC, Consolidated Analytics, Clayton, Digital Risk, and Opus
were engaged to perform the review. Loans reviewed under this
engagement were given compliance, credit and valuation grades and
assigned initial grades for each subcategory. Minimal exceptions
and waivers were noted in the due diligence reports. Refer to the
"Third-Party Due Diligence" section for more detail.

Fitch also utilized data files provided by the issuer on its SEC
Rule 17g-5 designated website. Fitch received loan level
information based on the ResiPLS data layout format, and the data
provided was considered comprehensive. The data contained in the
ResiPLS layout data tape were reviewed by the due diligence
companies, and no material discrepancies were noted.

ESG CONSIDERATIONS

JPMMT 2024-1 has an ESG Relevance Score of '4+' for Transaction
Parties and Operational Risk. Operational risk is well controlled
in JPMMT 2024-1, including strong transaction due diligence, an
'Above Average' aggregator, a large portion of the pool being
originated by an 'Above Average' originator and a large portion of
the pool being serviced by a servicer rated 'RPS1-'. All of these
attributes result in a reduction in expected losses and are
relevant to the ratings in conjunction with other factors.

Although this transaction has loans purchased in connection with
the sponsor's Elevate Diversity and Inclusion program or the
sponsor's Clean Energy program, Fitch did not take these programs
into consideration when assigning an ESG Relevance Score, as the
programs did not directly affect the expected losses assigned or
were not relevant to the rating, in Fitch's view.

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.


MARATHON CLO 14: S&P Affirms BB- (sf) Rating on Class D Notes
-------------------------------------------------------------
S&P Global Ratings assigned its ratings to the class A-1A-R and
B-a-R replacement debt from Marathon CLO 14 Ltd./Marathon CLO 14
LLC, a CLO originally issued in 2019 that is managed by Marathon
Asset Management L.P. S&P said, "At the same time, we withdrew our
ratings on the original class A-1a and B-a debt following payment
in full on the Jan. 30, 2024, refinancing date. We also affirmed
our ratings on the class A-2a, A-2b, B-b, C-1a, C-1b, C-2, and D
debt, which were not refinanced."

The replacement debt were issued via a supplemental indenture,
which outlines the terms of the replacement debt. According to the
supplemental indenture:

-- The noncall period was extended by approximately 2.8 years to
Oct. 20, 2024.

-- No additional assets was purchased on the Jan. 30, 2024,
refinancing date, and the target initial par amount will remain at
$400 million.

-- There was no additional effective date or ramp-up period, and
the first payment date following the refinancing is April 20,
2024.

-- The required minimum overcollateralization and interest
coverage ratios remain unchanged.

-- No additional subordinated notes were issued on the refinancing
date.

S&P said, "On a standalone basis, our cash flow analysis indicated
a lower rating on the class C-1a and C-1b debt (which were not
refinanced). However, we affirmed our 'BBB (sf)' ratings on the
class C-1a and C-1b debt after considering the margin of failure,
the relatively stable overcollateralization ratio since our last
rating action on the transaction, and the transaction entering its
amortization phase soon. Based on the latter, we expect the credit
support available to all rated classes to increase as principal is
collected and the senior debt are paid down."

  Replacement And Original Debt Issuances

  Replacement debt

  Class A-1A-R, $248.00 million: Three-month term SOFR + 1.38%
  Class B-a-R, $15.00 million: Three-month term SOFR + 2.70%
  
  Original debt

  Class A-2a, $35.00 million: Three-month term SOFR + 2.72161
  Class A-2b, $21.00 million: 4.06%
  Class B-b, $7.00 million: 5.14%
  Class C-1a, $10.00 million: Three-month term SOFR + 5.13161%
  Class C-1b, $12.00 million: 6.49%
  Class C-2, $10.00 million: Three-month term SOFR + 6.23161%
  Class D, $6.00 million: Three-month term SOFR + 8.30161
  Subordinated notes, $41.80 million: Not applicable

S&P Said, "Our review of this transaction included a cash flow
analysis to estimate future performance, based on the portfolio and
transaction data in the trustee report. In line with our criteria,
our cash flow scenarios applied forward-looking assumptions on the
expected timing and pattern of defaults and the recoveries upon
default under various interest rate and macroeconomic scenarios.
Our analysis also considered the transaction's ability to pay
timely interest and/or ultimate principal to each of the rated
tranches. The results of the cash flow analysis (and other
qualitative factors, as applicable) demonstrated, in our view, that
the outstanding rated classes all have adequate credit enhancement
available at the rating levels associated with the rating actions.

"We will continue to review whether, in our view, the ratings
assigned to the debt remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."

  Ratings Assigned

  Marathon CLO 14 Ltd./Marathon CLO 14 LLC

  Class A-1A-R, $248.00 million: AAA (sf)
  Class B-a-R (deferrable), $15.00 million: A (sf)

  Ratings Withdrawn

  Marathon CLO 14 Ltd./Marathon CLO 14 LLC

  Class A-1a to NR from 'AAA (sf)'
  Class B-a to NR from 'A (sf)'

  Ratings Affirmed

  Marathon CLO 14 Ltd./Marathon CLO 14 LLC

  Class A-2a, $35.00 million: AA (sf)
  Class A-2b, $21.00 million: AA (sf)
  Class B-b (deferrable), $7.00 million: A (sf)
  Class C-1a (deferrable), $10.00 million: BBB (sf)
  Class C-1b (deferrable), $12.00 million: BBB (sf)
  Class C-2 (deferrable), $10.00 million: BB+ (sf)
  Class D (deferrable), $6.00 million: BB- (sf)
  
  NR--Not rated.



MORGAN STANLEY 2024-1: Fitch Assigns 'B(EXP)' Rating on B-5 Notes
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to Morgan Stanley
Residential Mortgage Loan Trust 2024-1 (MSRM 2024-1).

   Entity/Debt      Rating           
   -----------      ------           
MSRM 2024-1

   A-1          LT AAA(EXP)sf  Expected Rating
   A-1-IO       LT AAA(EXP)sf  Expected Rating
   A-2          LT AAA(EXP)sf  Expected Rating
   A-2-IO       LT AAA(EXP)sf  Expected Rating
   A-3          LT AAA(EXP)sf  Expected Rating
   A-3-IO       LT AAA(EXP)sf  Expected Rating
   A-4          LT AAA(EXP)sf  Expected Rating
   A-4-IO       LT AAA(EXP)sf  Expected Rating
   A-5          LT AAA(EXP)sf  Expected Rating
   A-6          LT AAA(EXP)sf  Expected Rating
   A-6-IO       LT AAA(EXP)sf  Expected Rating
   A-7          LT AAA(EXP)sf  Expected Rating
   A-8          LT AAA(EXP)sf  Expected Rating
   A-8-IO       LT AAA(EXP)sf  Expected Rating
   A-9          LT AAA(EXP)sf  Expected Rating
   A-10         LT AAA(EXP)sf  Expected Rating
   A-10-IO      LT AAA(EXP)sf  Expected Rating
   A-11         LT AAA(EXP)sf  Expected Rating
   A-12         LT AAA(EXP)sf  Expected Rating
   B-1          LT AA-(EXP)sf  Expected Rating
   B-1-A        LT AA-(EXP)sf  Expected Rating
   B-1-X        LT AA-(EXP)sf  Expected Rating
   B-2          LT A-(EXP)sf   Expected Rating
   B-2-A        LT A-(EXP)sf   Expected Rating
   B-2-X        LT A-(EXP)sf   Expected Rating
   B-3          LT BBB-(EXP)sf Expected Rating
   B-4          LT BB-(EXP)sf  Expected Rating
   B-5          LT B(EXP)sf    Expected Rating
   B-6          LT NR(EXP)sf   Expected Rating
   R            LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by Morgan Stanley Residential Mortgage Loan
Trust 2024-1 (MSRM 2024-1), as indicated.

This is the 16th post-crisis transaction off the Morgan Stanley
Residential Mortgage Loan Trust shelf; the first transaction was
issued in 2014. This is the 14th MSRM transaction to comprise loans
from various sellers that were acquired by Morgan Stanley in its
prime-jumbo aggregation process and their first prime transaction
in 2024.

The certificates are supported by 358 prime-quality loans with a
total balance of approximately $328.60 million as of the cutoff
date. The pool consists of 100% fixed-rate mortgages (FRMs) from
various mortgage originators. The largest originators are Movement
Mortgage at 17.6% and United Wholesale Mortgage, LLC (UWM) at 11.4%
with all other originators making up less than 10% of the overall
pool. The servicers for this transaction are Specialized Loan
Servicing, LLC (SLS) servicing 86.9% of the loans, PennyMac (which
includes PennyMac Corp. and PennyMac Loan Services) servicing 12.3%
of the loans, and First National Bank of Pennsylvania (FNBPA)
servicing the remaining 0.8% of the loans. Nationstar Mortgage LLC
(Nationstar) will be the master servicer.

Of the loans, 99.4% qualify as Safe Harbor qualified mortgage
(SHQM) or SHQM average prime offer rate (APOR) loans. The remaining
0.6% are higher-priced QM (HPQM) APOR loans.

There is no exposure to LIBOR in this transaction. The collateral
comprises 100% fixed-rate loans, and the certificates are
fixed-rate and capped at the net weighted average coupon (WAC).

As with other prime transactions, this transaction utilizes a
senior-subordinate, shifting-interest structure with subordination
floors to protect against tail risk.

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 10.7% 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 1.87% yoy nationally as of October 2023 despite modest
regional declines, but are still being supported by limited
inventory.

High Quality Prime Mortgage Pool (Positive): The collateral
consists of 100% first-lien, prime-quality mortgage loans with
terms of mainly 30 years. More specifically, the collateral
consists of 15- or 30-year, fixed-rate fully amortizing loans
seasoned at approximately 6.3 months in aggregate as determined by
Fitch (four months per the transaction documents). Of the loans,
64.2% were originated through the sellers' retail channels. The
borrowers in this pool have strong credit profiles with a 771 WA
FICO according to Fitch's analysis (FICO scores range from 663 to
820) and represent either owner-occupied homes or second homes. Of
the pool, 91.9% of loans are collateralized by single-family homes,
including single-family, planned unit development (PUD) and
single-family attached homes, while condominiums make up the
remaining 7.3% and multi-family homes make up 0.9%. There are no
investor loans in the pool, which Fitch views favorably.

The WA combined loan-to-value ratio (CLTV) is 74.2%, which
translates into an 82.0% sustainable LTV (sLTV) as determined by
Fitch. The 74.2% CLTV is driven by the large percentage of purchase
loans (95.6%), which have a WA CLTV of 74.6%.

A total of 139 loans are over $1.0 million, and the largest loan
totals $2.9 million. Fitch considered 100% of the loans in the pool
to be fully documented loans.

Fourteen loans in the collateral pool for this transaction have an
interest rate buydown feature. Fitch increased its loss
expectations on these loans to address the potential payment shock
that the borrower may face.

Lastly, two loans in the pool comprise a nonpermanent resident, and
none of the loans in the pool were made to foreign nationals. Based
on historical performance, Fitch found that nonpermanent residents
performed in line with U.S. citizens; as a result, this loan did
not receive additional adjustments in the loss analysis.

Approximately 29% of the pool is concentrated in California with
moderate MSA concentration for the pool as a whole. The largest MSA
concentration is in the Seattle MSA (13.0%), followed by the San
Francisco MSA (8.7%) and the Los Angeles MSA (6.1%). The top three
MSAs account for 28% of the pool. There was no adjustment for
geographic concentration.

Loan Count Concentration (Negative): The loan count for this pool
(358 loans) results in a loan count concentration penalty. The loan
count concentration penalty applies when the WA number (WAN) of
loans is less than 300; in this pool, the WAN is 268. The loan
count concentration for this pool results in a 1.06x penalty, which
increases loss expectations by 41 basis points (bps) at the 'AAAsf'
rating category.

Shifting-Interest Structure and Full Advancing (Mixed): The
mortgage cash flow and loss allocation are based on a
senior-subordinate, shifting-interest structure whereby the
subordinate classes receive only scheduled principal and are locked
out from receiving unscheduled principal or prepayments for five
years. The lockout feature helps to maintain subordination for a
longer period should losses occur later in the life of the
transaction. The applicable credit support percentage feature
redirects subordinate principal to classes of higher seniority if
specified credit enhancement (CE) levels are not maintained.

The servicers will provide full advancing for the life of the
transaction. Although full P&I advancing will provide liquidity to
the certificates, it will also increase the loan-level loss
severity (LS) since the servicers look to recoup P&I advances from
liquidation proceeds, which results in less recoveries.

Nationstar is the master servicer and will advance if the servicers
are unable to. If the master servicer is not able to advance, then
the securities administrator (Citibank, N.A.) will advance.

Credit Enhancement Floor (Positive): A CE or senior subordination
floor of 2.80% has been considered to mitigate potential tail-end
risk and loss exposure for senior tranches as the pool size
declines and performance volatility increases due to adverse loan
selection and small loan count concentration. Additionally, a
junior subordination floor of 1.70% has been considered to mitigate
potential tail-end risk and loss exposure for subordinate tranches
as the pool size declines and performance volatility increases due
to adverse loan selection and small loan count concentration.

RATING SENSITIVITIES

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

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analyses were conducted at
the state and national levels to assess the effect of higher MVDs
for the subject pool as well as lower MVDs, illustrated by a gain
in home prices.

This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10%, 20% and 30%, in addition to the model
projected MVD, which is 42.0% in the 'AAAsf' stress. The analysis
indicates that there is some potential rating migration with higher
MVDs, 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 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 modelling 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 four areas: compliance review, credit review,
valuation review and data integrity. Fitch considered this
information in its analysis and, as a result, Fitch did not make
any adjustments to its analysis based on the findings. Due to the
fact that there was 100% due diligence provided and there were no
material findings, Fitch reduced the 'AAAsf' expected loss by
0.33%.

DATA ADEQUACY

Fitch relied on an independent third-party due diligence review
performed on 100% of the pool. The third-party due diligence was
generally consistent with Fitch's "U.S. RMBS Rating Criteria."
SitusAMC was engaged to perform the review. Loans reviewed under
this engagement were given compliance, credit and valuation grades,
and assigned initial grades for each subcategory. Minimal
exceptions and waivers were noted in the due diligence reports.
Refer to the Third-Party Due Diligence section of the presale
report for more detail.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5 designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered to be
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.

ESG CONSIDERATIONS

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


OCEANVIEW MORTGAGE 2021-1: Moody's Ups Rating on B-5 Certs to B1
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 15 bonds from
three US residential mortgage-backed transactions (RMBS), backed by
prime jumbo mortgage loans.

Complete rating actions are as follows:

Issuer: Oceanview Mortgage Trust 2021-1

Cl. B-1, Upgraded to Aa1 (sf); previously on Apr 22, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to A1 (sf); previously on Apr 22, 2021 Definitive
Rating Assigned A3 (sf)

Cl. B-3, Upgraded to Baa1 (sf); previously on Apr 22, 2021
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Ba1 (sf); previously on Apr 22, 2021
Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Upgraded to B1 (sf); previously on Apr 22, 2021 Definitive
Rating Assigned B3 (sf)

Issuer: Oceanview Mortgage Trust 2021-3

Cl. B-1, Upgraded to Aa1 (sf); previously on Nov 1, 2023 Upgraded
to Aa2 (sf)

Cl. B-2, Upgraded to A1 (sf); previously on Nov 1, 2023 Upgraded to
A2 (sf)

Cl. B-3, Upgraded to Baa2 (sf); previously on Jul 23, 2021
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Ba2 (sf); previously on Jul 23, 2021
Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Upgraded to B2 (sf); previously on Jul 23, 2021 Definitive
Rating Assigned B3 (sf)

Issuer: Oceanview Mortgage Trust 2021-5

Cl. B-1, Upgraded to Aa1 (sf); previously on Oct 15, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to A1 (sf); previously on Oct 15, 2021 Definitive
Rating Assigned A3 (sf)

Cl. B-3, Upgraded to Baa1 (sf); previously on Oct 15, 2021
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Ba1 (sf); previously on Oct 15, 2021
Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Upgraded to Ba3 (sf); previously on Oct 15, 2021
Definitive Rating Assigned B3 (sf)

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 Methodology

The principal methodology used in these ratings 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.

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


OCP CLO 2024-31: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to OCP CLO
2024-31 Ltd./OCP CLO 2024-31 LLC's fixed- and floating-rate debt.

The debt issuance is a CLO securitization governed by investment
criteria and backed primarily by broadly syndicated
speculative-grade (rated 'BB+' or lower) senior secured term loans.
The transaction is managed by Onex Credit Partners LLC.

The preliminary ratings are based on information as of Jan. 25,
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 debt through portfolio
identification and ongoing management; and

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

  Preliminary Ratings Assigned

  OCP CLO 2024-31 Ltd./OCP CLO 2024-31 LLC

  Class A-1, $320.000 million: AAA (sf)
  Class A-2, $15.000 million: AAA (sf)
  Class B-1, $35.000 million: AA+ (sf)
  Class B-2, $10.000 million: AA+ (sf)
  Class C (deferrable), $30.000 million: A+ (sf)
  Class D (deferrable), $30.000 million: BBB- (sf)
  Class E (deferrable), $20.000 million: BB- (sf)
  Subordinated notes, $43.525 million: Not rated



PRESTIGE AUTO 2022-1: S&P Assigns 'BB-(sf)' Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings stated that its 'BB- (sf)' rating on the class E
notes of Prestige Auto Receivables Trust 2022-1 remain on
CreditWatch with negative implication.

S&P said, "On Oct. 27, 2023, we placed the rating on CreditWatch
negative due to the transaction's collateral performance trending
worse than our original cumulative net loss (CNL) expectations (see
"Various Rating Actions Taken On Prestige Auto Receivables Trust
2022-1"). Cumulative gross losses are significantly higher than
prior transactions at this point in time, which, coupled with lower
cumulative recoveries, is resulting in elevated CNLs. Additionally,
delinquencies and extensions are relatively high for this
transaction. As a result, excess spread has largely been used to
cover net losses, leaving very little or no funds available to
build the transaction's overcollateralization.

"Since the CreditWatch placement, monthly gross charge-offs have
increased, which, along with reduced recovery rates, has yielded
higher monthly net losses. In view of the series' weaker
performance, Prestige Financial Services Inc. (Prestige), as
servicer, has made further capital contributions of $3.1 million in
November 2023, and $1.0 million in January 2024. Additionally,
Prestige forwent its servicing fee again for the collection periods
of November and December 2023. Together, these credit positive
actions slowed the decline in the overcollateralization to date.
Nevertheless, PART 2022-1 remains below its overcollateralization
target. Prestige has also submitted a written plan to continue to
forgo its monthly servicing fee until the earlier of the
overcollateralization target being reached or the June 2024
collection period, and to contribute additional capital to PART
2022-1 sufficient to cause the overcollateralization amount to
build in any period in which the overcollateralization does not
build. We view this support as credit positive for building
overcollateralization in light of the series' weaker performance to
date.

"Nevertheless, we believe the evolving economic headwinds and
potential negative impact on consumers could result in a greater
proportion of delinquent accounts ultimately defaulting, which, if
not offset by timely recovery, are risks to excess spread and
overcollateralization. We acknowledge that the current high
delinquencies could be reflecting the industry-wide seasonality
phenomenon that generally self corrects after the tax refund
period.

"As such, given the current period of seasonality and that a
proportion of the gross loss is due to full balance charge-off with
lagging recoveries, we believe that extending our negative
CreditWatch placement on the ratings will afford more insight to
future collateral performance, which will help us more accurately
determine whether any adjustments are needed beyond our last
revised ECNL. This in turn will allow us to test whether credit
enhancement (including the availability of excess spread and O/C
sustainability) is sufficient to cover these losses at multiples
that are commensurate with the current rating."



SEQUOIA MORTGAGE 2024-1: Fitch Assigns 'BBsf' Rating on B4 Certs
----------------------------------------------------------------
Fitch Ratings has assigned final ratings to the residential
mortgage-backed certificates issued by Sequoia Mortgage Trust
2024-1 (SEMT 2024-1).

   Entity/Debt       Rating             Prior
   -----------       ------             -----
SEMT 2024-1

   A1            LT AAAsf  New Rating   AAA(EXP)sf    
   A2            LT AAAsf  New Rating   AAA(EXP)sf
   A3            LT AAAsf  New Rating   AAA(EXP)sf
   A4            LT AAAsf  New Rating   AAA(EXP)sf
   A5            LT AAAsf  New Rating   AAA(EXP)sf
   A6            LT AAAsf  New Rating   AAA(EXP)sf
   A             LT AAAsf  New Rating   AAA(EXP)sf
   A8            LT AAAsf  New Rating   AAA(EXP)sf
   A9            LT AAAsf  New Rating   AAA(EXP)s
   A10           LT AAAsf  New Rating   AAA(EXP)sf
   A11           LT AAAsf  New Rating   AAA(EXP)sf
   A12           LT AAAsf  New Rating   AAA(EXP)sf
   A13           LT AAAsf  New Rating   AAA(EXP)sf
   A14           LT AAAsf  New Rating   AAA(EXP)sf
   A15           LT AAAsf  New Rating   AAA(EXP)sf
   A16           LT AAAsf  New Rating   AAA(EXP)sf
   A17           LT AAAsf  New Rating   AAA(EXP)sf
   A18           LT AAAsf  New Rating   AAA(EXP)sf
   A19           LT AAAsf  New Rating   AAA(EXP)sf
   A20           LT AAAsf  New Rating   AAA(EXP)sf
   A21           LT AAAsf  New Rating   AAA(EXP)sf
   A22           LT AAAsf  New Rating   AAA(EXP)sf
   A23           LT AAAsf  New Rating   AAA(EXP)sf
   A24           LT AAAsf  New Rating   AAA(EXP)sf
   A25           LT AAAsf  New Rating   AAA(EXP)sf
   AIO1          LT AAAsf  New Rating   AAA(EXP)sf
   AIO2          LT AAAsf  New Rating   AAA(EXP)sf
   AIO3          LT AAAsf  New Rating   AAA(EXP)sf
   AIO4          LT AAAsf  New Rating   AAA(EXP)sf
   AIO5          LT AAAsf  New Rating   AAA(EXP)sf
   AIO6          LT AAAsf  New Rating   AAA(EXP)sf
   AIO7          LT AAAsf  New Rating   AAA(EXP)sf
   AIO8          LT AAAsf  New Rating   AAA(EXP)sf
   AIO9          LT AAAsf  New Rating   AAA(EXP)sf
   AIO10         LT AAAsf  New Rating   AAA(EXP)sf
   AIO11         LT AAAsf  New Rating   AAA(EXP)sf
   AIO12         LT AAAsf  New Rating   AAA(EXP)sf
   AIO13         LT AAAsf  New Rating   AAA(EXP)sf
   AIO14         LT AAAsf  New Rating   AAA(EXP)sf
   AIO15         LT AAAsf  New Rating   AAA(EXP)sf
   AIO16         LT AAAsf  New Rating   AAA(EXP)sf
   AIO17         LT AAAsf  New Rating   AAA(EXP)sf
   AIO18         LT AAAsf  New Rating   AAA(EXP)sf
   AIO19         LT AAAsf  New Rating   AAA(EXP)sf
   AIO20         LT AAAsf  New Rating   AAA(EXP)sf
   AIO21         LT AAAsf  New Rating   AAA(EXP)sf
   AIO22         LT AAAsf  New Rating   AAA(EXP)sf
   AIO23         LT AAAsf  New Rating   AAA(EXP)sf
   AIO24         LT AAAsf  New Rating   AAA(EXP)sf
   AIO25         LT AAAsf  New Rating   AAA(EXP)sf
   AIO26         LT AAAsf  New Rating   AAA(EXP)sf
   B             LT AA-sf  New Ratin    AA-(EXP)sf
   B2            LT A-sf   New Rating   A-(EXP)sf
   B3            LT BBB-sf New Rating   BBB-(EXP)sf
   B4            LT BBsf   New Rating   BB(EXP)sf  
   B5            LT NRsf   New Rating   NR(EXP)sf
   AIOS          LT NRsf   New Rating   NR(EXP)sf

TRANSACTION SUMMARY

Fitch has assigned final ratings to the residential mortgage-backed
certificates issued by Sequoia Mortgage Trust 2024-1 (SEMT 2024-1)
as indicated. The certificates are supported by 406 loans with a
total balance of approximately $433.32 million as of the cutoff
date. The pool consists of prime jumbo fixed-rate mortgages
acquired by Redwood Residential Acquisition Corp. from various
mortgage originators. Distributions of principal and interest (P&I)
and loss allocations are based on a senior-subordinate,
shifting-interest structure.

Following the publication of its presale and expected ratings, the
issuer informed Fitch that they were removing four loans,
accounting for approximately $7.5 million, from the pool due to
servicing transfer issues. Fitch received an updated collateral
tape and re-ran its loss analysis. The issuer also provided a
subsequent structure with updated balances to reflect the change.
Fitch's expected losses and ratings are unchanged from the time of
the expected ratings publication.

KEY RATING DRIVERS

High Quality Mortgage Pool (Positive): The collateral consists of
406 loans totaling approximately $433.3 million and seasoned at
approximately eight months in aggregate, as determined by Fitch.
The borrowers have a strong credit profile (775 model FICO and
35.4% debt-to-income ratio [DTI]) and moderate leverage (75.0%
sustainable loan-to-value ratio [sLTV] and 67.3% mark-to-market
combined LTV ratio [cLTV]).

Overall, the pool consists of 92.1% in loans where the borrower
maintains a primary residence, while 7.9% are of a second home;
81.2% of the loans were originated through a retail channel.
Additionally, 99.5% are designated as qualified mortgage (QM) loans
and 0.5% are designated as QM rebuttable presumption.

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 9.8% above a long-term sustainable level (versus
9.4% on a national level as of 2Q23, up 1.8% since the prior
quarter). Home prices increased 4.7% yoy nationally as of October
2023, despite modest regional declines, but are still being
supported by limited inventory.

Shifting-Interest Structure (Negative): The mortgage cash flow and
loss allocation are based on a senior-subordinate,
shifting-interest structure whereby the subordinate classes receive
only scheduled principal and are locked out from receiving
unscheduled principal or prepayments for five years. The lockout
feature helps to maintain subordination for a longer period should
losses occur later in the life of the transaction. The applicable
credit support percentage feature redirects subordinate principal
to classes of higher seniority if specified credit enhancement
levels are not maintained.

Interest Reduction Risk (Negative): The transaction incorporates a
structural feature most commonly used by Redwood's program for
loans more than 120 days delinquent (a stop-advance loan). Unpaid
interest on stop-advance loans reduces the amount of interest that
is contractually due to bondholders in reverse-sequential order.
While this feature helps to limit cash flow leakage to subordinate
bonds, it can result in interest reductions to rated bonds in high
delinquency scenarios.

RATING SENSITIVITIES

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

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper market value declines (MVDs) than
assumed at the MSA level. Sensitivity analyses was conducted at the
state and national levels to assess the effect of higher MVDs for
the subject pool as well as lower MVDs, illustrated by a gain in
home prices.

This defined negative rating sensitivity analysis demonstrates how
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

Fitch incorporates a sensitivity analysis to demonstrate how the
ratings would react to steeper MVDs than assumed at the MSA level.
Sensitivity analyses was conducted at the state and national levels
to assess the effect of higher MVDs for the subject pool as well as
lower MVDs, illustrated by a gain in home prices.

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

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Clayton, AMC and Consolidated Analytics. The
third-party due diligence described in Form 15E focused on credit,
compliance, and property valuation. Fitch considered this
information in its analysis and, as a result, Fitch made the
following adjustment(s) to its analysis: a 5% reduction in its
analysis. This adjustment resulted in a 13bps reduction to the
'AAAsf' expected loss.

DATA ADEQUACY

Fitch relied in its analysis on an independent third-party due
diligence review performed on about 90.1% of the pool. The
third-party due diligence was consistent with Fitch's "U.S. RMBS
Rating Criteria." Clayton, AMC, and Consolidated Analytics were
engaged to perform the review. Loans reviewed under this engagement
were given credit, compliance and valuation grades and assigned
initial grades for each subcategory. Minimal exceptions and waivers
were noted in the due diligence reports. Refer to the Third-Party
Due Diligence section of the presale report for further details.

Fitch also utilized data files that were made available by the
issuer on its SEC Rule 17g-5-designated website. Fitch received
loan-level information based on the American Securitization Forum's
(ASF) data layout format, and the data are considered
comprehensive. The ASF data tape layout was established with input
from various industry participants, including rating agencies,
issuers, originators, investors and others, to produce an industry
standard for the pool-level data in support of the U.S. RMBS
securitization market. The data contained in the ASF layout data
tape were reviewed by the due diligence companies, and no material
discrepancies were noted.

ESG CONSIDERATIONS

SEMT 2024-1 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in SEMT 2024-1 and includes strong R&W and transaction due
diligence as well as a strong aggregator, which resulted in a
reduction in the expected losses. This has a positive 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.


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



SYCAMORE TREE 2023-2: S&P Assigns Prelim 'BB-' Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to the class
A-R, B-R, C-R, D-R, and E-R replacement notes from Sycamore Tree
CLO 2023-2 Ltd./Sycamore Tree CLO 2023-2 LLC, a CLO originally
issued in February 2023 that is managed by Sycamore Tree CLO
Advisors L.P.

The preliminary ratings are based on information as of Jan. 30,
2024. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

S&P said, "On the Feb. 22, 2024, refinancing date, the proceeds
from the replacement notes will be used to redeem the original
notes. At that time, we expect to withdraw our ratings on the
original notes and assign ratings to the replacement notes.
However, if the refinancing doesn't occur, we may affirm our
ratings on the original notes and withdraw our preliminary ratings
on the replacement notes."

The replacement notes will be issued via a proposed supplemental
indenture, which outlines the terms of the replacement notes.
According to the proposed supplemental indenture:

-- The replacement class A-R, B-R, C-R, D-R, and E-R notes are
expected to be issued at a lower spread over three-month SOFR than
the original notes.

-- The replacement class A-R, B-R, C-R, D-R, and E-R notes are
expected to be issued at a floating spread, replacing the current
floating spread.

-- The stated maturity and reinvestment period will be extended by
1.75 and 2.75 years, respectively.

All of the identified underlying collateral obligations have credit
ratings (which may include confidential ratings, private ratings,
and credit estimates) assigned by S&P Global Ratings.
Of the identified underlying collateral obligations, 97.42% have
recovery ratings (which may include confidential and private
ratings) assigned by S&P Global Ratings.

A number of new features will be added, including but not limited
to the ability to purchase a small percentage of second lien loans,
amendments to the concentration limitation buckets, and modified
provisions regarding workout related assets.

S&P said, "Our review of this transaction included a cash flow
analysis, based on the portfolio and transaction data in the
trustee report, to estimate future performance. In line with our
criteria, our cash flow scenarios applied forward-looking
assumptions on the expected timing and pattern of defaults, and
recoveries upon default, under various interest rate and
macroeconomic scenarios. Our analysis also considered the
transaction's ability to pay timely interest and/or ultimate
principal to each of the rated tranches.

"We will continue to review whether, in our view, the ratings
assigned to the notes remain consistent with the credit enhancement
available to support them and take rating actions as we deem
necessary."

  Preliminary Ratings Assigned

  Sycamore Tree CLO 2023-2 Ltd./Sycamore Tree CLO 2023-2 LLC

  Class A-R, $256.00 million: AAA (sf)
  Class B-R, $48.00 million: AA (sf)
  Class C-R (deferrable), $24.00 million: A (sf)
  Class D-R (deferrable), $20.00 million: BBB- (sf)
  Class E-R (deferrable), $16.00 million: BB- (sf)
  Subordinated notes, $44.47 million: Not rated

  Other Outstanding Ratings

  Sycamore Tree CLO 2023-2 Ltd./Sycamore Tree CLO 2023-2 LLC

  Class A, $247.00 million: AAA (sf)
  Class B, $53.00 million: AA (sf)
  Class C (deferrable), $24.00 million: A (sf)
  Class D (deferrable), $22.00 million: BBB- (sf)
  Class E (deferrable), $14.00 million: BB- (sf)
  Subordinated notes, $44.47 million: Not rated



TABERNA PREFERRED VII: Fitch Withdraws 'Dsf' Rating on All Tranches
-------------------------------------------------------------------
Fitch Ratings has affirmed the class A-1LB and A-2LA notes at 'Dsf'
and downgraded the class A-2LB, A-3L, B-1L and B-2L notes of
Taberna Preferred Funding VII, Ltd./Inc. (Taberna VII) to 'Dsf'
from 'Csf', due to the failure to pay the entire amount of their
principal balances from the transaction's liquidation in December
2023.

   Entity/Debt                 Rating           Prior
   -----------                 ------           -----
Taberna Preferred
Funding VII, Ltd./Inc.

   Class A-1LB 873315AB1   LT Dsf   Affirmed    Dsf
   Class A-1LB 873315AB1   LT WDsf  Withdrawn   Dsf
   Class A-2LA 873315AC9   LT Dsf   Affirmed    Dsf
   Class A-2LA 873315AC9   LT WDsf  Withdrawn   Dsf
   Class A-2LB 873315AD7   LT Dsf   Downgrade   Csf
   Class A-2LB 873315AD7   LT WDsf  Withdrawn   Dsf
   Class A-3L 873315AE5    LT Dsf   Downgrade   Csf
   Class A-3L 873315AE5    LT WDsf  Withdrawn   Dsf
   Class B-1L 873315AF2    LT Dsf   Downgrade   Csf
   Class B-1L 873315AF2    LT WDsf  Withdrawn   Dsf
   Class B-2L 873314AA6    LT Dsf   Downgrade   Csf
   Class B-2L 873314AA6    LT WDsf  Withdrawn   Dsf

Subsequent to the affirmations and downgrades, Fitch has withdrawn
the ratings as Taberna VII has defaulted. Accordingly, Fitch will
no longer provide rating or analytical coverage for Taberna VII.

KEY RATING DRIVERS

A Notice of Status of Liquidation and Notice of Distribution dated
Dec. 20, 2023 stated that all of the collateral was sold and
liquidated and the proceeds of the liquidation were to be
distributed on Dec. 28, 2023 in accordance with the indenture
priority of payments. The class A-1LA notes were paid in full,
whereas the class A-1LB and A-2LA notes were only partially paid
and the class A-2LB, A-3L, B-1L and B-2L received no payments due
to insufficient proceeds. A cumulative note balance of
approximately $375.8 million was unpaid.

RATING SENSITIVITIES

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

  Negative sensitivities do not apply as the ratings have been
withdrawn.

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

  Positive sensitivities do not apply as the ratings have been
withdrawn.


TRICOLOR AUTO 2024-1: Moody's Assigns B2 Rating to Class F Notes
----------------------------------------------------------------
Moody's Investors Service has assigned definitive ratings to the
notes 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, Definitive Rating Assigned A1 (sf)

Class C Asset Backed Notes, Definitive Rating Assigned A2 (sf)

Class D Asset Backed Notes, Definitive Rating Assigned Baa1 (sf)

Class E Asset Backed Notes, Definitive Rating Assigned Ba2 (sf)

Class F Asset Backed Notes, Definitive Rating Assigned 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.

The definitive rating for the Class D notes, Baa1 (sf) is one notch
higher than the provisional rating for Class D notes, (P)Baa2 (sf).
The difference is a result of the transaction closing with a lower
weighted average cost of funds (WAC) than Moody's modeled when the
provisional ratings were assigned. The WAC assumptions and other
structural features, were provided by the issuer.

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, the Class A notes, Class B notes, Class C notes, Class
D notes, Class E notes and Class F notes are expected to benefit
from 50.65%, 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



VELOCITY COMMERCIAL 2024-1: DBRS Finalizes BB(low) on 2 Classes
---------------------------------------------------------------
DBRS, Inc. finalized its provisional credit ratings on the
Mortgage-Backed Certificates, Series 2024-1 (the Certificates)
issued by Velocity Commercial Capital Loan Trust 2024-1 (VCC 2024-1
or the Issuer) as follows:

-- $136.2 million Class A at AAA (sf)
-- $13.3 million Class M-1 at AA (low) (sf)
-- $12.9 million Class M-2 at A (low) (sf)
-- $16.8 million Class M-3 at BBB (sf)
-- $19.8 million Class M-4 at BB (high) (sf)
-- $10.8 million Class M-5 at BB (low) (sf)
-- $136.2 million Class A-S at AAA (sf)
-- $136.2 million Class A-IO at AAA (sf)
-- $13.3 million Class M1-A at AA (low) (sf)
-- $13.3 million Class M1-IO at AA (low) (sf)
-- $12.9 million Class M2-A at A (low) (sf)
-- $12.9 million Class M2-IO at A (low) (sf)
-- $16.8 million Class M3-A at BBB (sf)
-- $16.8 million Class M3-IO at BBB (sf)
-- $19.8 million Class M4-A at BB (high) (sf)
-- $19.8 million Class M4-IO at BB (high) (sf)
-- $10.8 million Class M5-A at BB (low) (sf)
-- $10.8 million Class M5-IO at BB (low) (sf)

Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO and M5-IO are
interest-only (IO) certificates. The class balances represent
notional amounts.

Classes A, M-1, M-2, M-3, M-4 and M-5 are exchangeable
certificates. These classes can be exchanged for combinations of
initial exchangeable certificates as specified in the offering
documents.

The AAA (sf) credit ratings on the Certificates reflect 38.40% of
credit enhancement (CE) provided by subordinated certificates. The
AA (low) (sf), A (low) (sf), BBB (sf), BB (high) (sf), and BB (low)
(sf) credit ratings reflect 32.40%, 26.55%, 18.95%, 10.00%, and
5.10% of CE, respectively.

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

VCC 2024-1 is a securitization of a portfolio of newly originated
and seasoned fixed-rate, first-lien residential mortgages
collateralized by investor properties with one to four units
(residential investor loans) and small-balance commercial mortgages
(SBC) collateralized by various types of commercial, multifamily
rental, and mixed-use properties. The securitization is funded by
the issuance of the Mortgage-Backed Certificates, Series 2024-1
(the Certificates). The Certificates are backed by 530 mortgage
loans with a total principal balance of $221,140,088 as of the
Cut-Off Date (December 1, 2024).

Approximately 61.8% of the pool comprises residential investor
loans and about 38.2% comprises SBC loans. Most of the loans in
this securitization (92.9%) were originated by Velocity Commercial
Capital, LLC (Velocity or VCC). The remaining nine loans (7.1%)
were originated by New Day Commercial Capital, LLC (New Day), which
is a wholly owned subsidiary of Velocity, which is a wholly owned
subsidiary of Velocity Financial, Inc. The loans were generally
underwritten to program guidelines for business-purpose loans where
the lender generally expects the property (or its value) to be the
primary source of repayment (No Ratio). The lender reviews the
mortgagor's credit profile, though it does not rely on the
borrower's income to make its credit decision. However, the lender
considers the property-level cash flows or minimum debt-service
coverage ratio (DSCR) in underwriting SBC loans with balances more
than USD 750,000 for purchase transactions and more than USD
500,000 for refinance transactions. Because the 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.

PHH Mortgage Corporation (PMC) will service all loans within the
pool for a servicing fee of 0.30% per annum. New Day will act as
subservicer for the nine New Day originated loans, and PHH will
also act as Backup Servicer for these loans. In the event that New
Day fails to service these loans in accordance with the related
subservicing agreement, PHH will terminate the subservicing
agreement and commence directly servicing such Mortgage Loans
within 30 days. In addition, Velocity will act as a Special
Servicer servicing the loans that defaulted or became 60 or more
days delinquent under the Mortgage Bankers Association (MBA) method
and other loans, as defined in the transaction documents (Specially
Serviced Mortgage Loans). The Special Servicer will be entitled to
receive compensation based on an annual fee of 0.75% and the
balance of Specially Serviced Loans. Also, the Special Servicer is
entitled to a liquidation fee equal to 2.00% of the net proceeds
from the liquidation of a Specially Serviced Mortgage Loan, as
described in the transaction documents.

The Servicer will fund advances of delinquent principal and
interest (P&I) until the advances are deemed unrecoverable. Also,
the Servicer is obligated to make advances with respect to taxes,
insurance premiums, and reasonable costs incurred in the course of
servicing and disposing properties.

U.S. Bank National Association (U.S. Bank; rated AA (high) with a
Negative trend by Morningstar DBRS) will act as the Custodian. U.S.
Bank Trust Company, National Association will act as the Trustee.

The Seller, directly or indirectly through a majority-owned
affiliate, is expected to retain an eligible horizontal residual
interest consisting of Class XS Certificates, collectively
representing at least 5% of the fair value of all 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 later of (1) the three-year anniversary of the
Closing Date or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Closing Date
balance, the Depositor may purchase all outstanding Certificates
(Optional Purchase) at a price equal to the sum of the remaining
aggregate balance of the Certificates plus accrued and unpaid
interest, and any fees, expenses, and indemnity payments due and
unpaid to the transaction parties, including any unreimbursed P&I
and servicing advances, and other amounts due as applicable. The
Optional Purchase will be conducted concurrently with a qualified
liquidation of the Issuer.

Additionally, if on any date on which the unpaid mortgage loan
balance and the value of (REO) properties has declined to less than
10% of the initial mortgage loan balance as of the Cut-Off Date,
the Directing Holder, the Special Servicer, or the Servicer, in
that order of priority, may purchase all of the mortgages, REO
properties, and any other properties from the Issuer (Optional
Termination) at a price specified in the transaction documents. The
Optional Termination will be conducted as a qualified liquidation
of the Issuer. The Directing Holder (initially, the Seller) is the
representative selected by the holders of more than 50% of the
Class XS certificates (the Controlling Class).

The transaction uses a structure sometimes referred to as a
modified pro rata structure. Prior to the Class A credit
enhancement (CE) falling below 10.0% of the loan balance as of the
Cut-Off Date (Class A Minimum CE Event), the principal
distributions allow for amortization of all senior and subordinate
bonds based on CE targets set at different levels for performing
(same CE as at issuance) and nonperforming (higher CE than at
issuance) loans. Each class' target principal balance is determined
based on the CE targets and the performing and nonperforming (those
that are 90 or more days MBA delinquent, in foreclosure and REO,
and subject to a servicing modification within the prior 12 months)
loan amounts. As such, the principal payments are paid on a pro
rata basis, up to each class' target principal balance, so long as
no loans in the pool are nonperforming. If the share of
nonperforming loans grows, the corresponding CE target increases.
Thus, the principal payment amount increases for the senior and
senior subordinate classes and falls for the more subordinate
bonds. The goal is to distribute the appropriate amount of
principal to the senior and subordinate bonds each month, to always
maintain the desired level of CE, based on the performing and
nonperforming pool percentages. After the Class A Minimum CE Event,
the principal distributions are made sequentially.

Relative to the sequential pay structure, the modified pro rata
structure is more sensitive to the timing of the projected defaults
and losses as the losses may be applied at a time when the amount
of credit support is reduced as the bonds' principal balances
amortize over the life of the transaction. That said, the excess
spread can be used to cover realized losses after being allocated
to the unpaid net weighted-average coupon shortfalls (Net WAC Rate
Carryover Amounts).

COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY

The collateral for the SBC portion of the pool consists of 168
individual loans secured by 168 commercial and multifamily
properties with an average cut-off date loan balance of $502,872.
None of the mortgage loans are cross-collateralized or
cross-defaulted with each other. Given the complexity of the
structure and granularity of the pool, Morningstar DBRS applied its
"North American CMBS Multi-Borrower Rating Methodology" (the CMBS
Methodology).

The CMBS loans have a weighted-average (WA) fixed interest rate of
11.6%. This is approximately 30 basis points (bps) lower than the
VCC 2023-4 transaction, 40 bps lower than the VCC 2023-3
transaction, 20 bps higher than the VCC 2023-2 transaction, 110 bps
higher than the VCC 2023-1 transaction, 230 bps higher than the VCC
2022-5 transaction, and more than 330 bps higher than the interest
rates of the VCC 2022-4, VCC 2022-3, and VCC 2022-2 transactions,
highlighting the recent increase in interest rates.

All of the SBC loans were originated between September 2023 and
November 2023 (100.0% of the cut-off pool balance), resulting in
the WA seasoning of 0.5 months. The SBC pool has a WA original term
length of 360 months, or 30 years. Based on the current loan
amount, which reflects 30 bps of amortization, and the current
appraised values, the SBC pool has a WA loan-to-value (LTV) ratio
of 59.6%. However, Morningstar DBRS made LTV adjustments to 31
loans that had an implied capitalization rate more than 200 bps
lower than a set of minimal capitalization rates established by the
Morningstar DBRS Market Rank. The Morningstar DBRS minimum
capitalization rates range from 5.0% for properties in Market Rank
8 to 8.0% for properties in Market Rank 1. This resulted in a
higher Morningstar DBRS LTV of 68.2%. Lastly, all loans fully
amortize over their respective remaining terms, resulting in 100%
expected amortization; this amount of amortization is greater than
what is typical for CMBS conduit pools. Morningstar DBRS research
indicates that, for CMBS conduit transactions securitized between
2000 and 2021, average amortization by year has ranged between 6.5%
and 22.0%, with a median rate of 16.5%.

As contemplated and explained in the "Rating North American CMBS
Interest-Only Certificates" methodology, the most significant risk
to an IO cash flow stream is term default risk. As Morningstar DBRS
noted in the methodology, for a pool of approximately 63,000 CMBS
loans that had fully cycled through to their maturity defaults, the
average total default rate across all property types was
approximately 17%, the refinance default rate was 6% (approximately
one third of the total default rate), and the term default rate was
approximately 11%. Morningstar DBRS recognizes the muted impact of
refinance risk on IO certificates by notching the IO rating up by
one notch from the Reference Obligation rating. When using the
10-year Idealized Default Table default probability to derive a
probability of default (POD) for a CMBS bond from its credit
rating, Morningstar DBRS estimates that, in general, a one-third
reduction in the CMBS Reference Obligation POD maps to a tranche
rating that is approximately one notch higher than the Reference
Obligation or the Applicable Reference Obligation, whichever is
appropriate. Therefore, similar logic regarding term default risk
supported the rationale for Morningstar DBRS to reduce the POD in
the CMBS Insight Model by one notch because refinance risk is
largely absent for this SBC pool of loans.

The CMBS Insight Model does not contemplate the ability to prepay
loans, which is generally seen as credit positive because a prepaid
loan cannot default. The CMBS predictive model was calibrated using
loans that have prepayment lockout features. Those loans'
historical prepayment performance is close to a 0% conditional
prepayment rate. If the CMBS predictive model had an expectation of
prepayments, Morningstar DBRS would expect the default levels to be
reduced. Any loan that prepays is removed from the pool and can no
longer default. This collateral pool does not have any prepayment
lockout features, and Morningstar DBRS expects this pool will have
prepayments over the remainder of the transaction. Morningstar DBRS
applied a 5.0% reduction to the cumulative default assumptions to
provide credit for expected payments. The assumption reflects
Morningstar DBRS' opinion that in a rising interest rate
environment fewer borrowers may elect to prepay their loan.

As a result of higher interest rates and lending spreads, the SBC
pool has a significant increase in interest rates compared with
prior VCC transactions. Consequently, approximately more than 70.0%
of the deal has less than a 1.0 times (x) Issuer net operating
income DSCR, which is a larger composition than previous VCC
transactions in 2023 and 2022. Additionally, although the CMBS
Insight Model does not contemplate FICO scores, it is important to
point out the WA FICO score of 728 for the SBC loans, which is
relatively similar to prior transactions. With regard to the
aforementioned concerns, Morningstar DBRS applied a 5.0% penalty to
the fully adjusted cumulative default assumptions to account for
risks given these factors.

The SBC pool is quite diverse, based on loan count and size, with
an average cut-off date balance of $502,872, a concentration
profile equivalent to that of a transaction with 72 equal-size
loans, and a top-10 loan concentration of 25.7%. Increased pool
diversity helps insulate the higher-rated classes from event risk.

The loans are mostly secured by traditional property types (i.e.,
multifamily, retail, office, and industrial), while one loan is
secured by a hotel, which is a higher-volatility property type.

All loans in the SBC pool fully amortize over their respective
remaining loan terms, reducing refinance risk.

As classified by Morningstar DBRS for modeling purposes, the SBC
pool contains a significant exposure to retail (24.4% of the SBC
pool) and office (14.4% of the SBC pool), which are two of the
higher-volatility asset types. Loans counted as retail include
those identified as automotive and potentially commercial
condominium. Combined, retail and office properties represent 38.8%
of the SBC pool balance. Morningstar DBRS applied a 20.0% reduction
to the net cash flow (NCF) for retail properties and a 31.4%
reduction to the NCF for office assets in the SBC pool, which is
above the average NCF reduction applied for comparable property
types in CMBS analyzed deals.

Morningstar DBRS did not perform site inspections on loans within
its sample for this transaction. Instead, Morningstar DBRS relied
upon the analysis of third-party reports and online searches to
determine property quality assessments. Of the 78 loans Morningstar
DBRS sampled, 13 were Average quality (30.1%), 41 were Average –
(42.3%), 20 were Below Average (21.4%), and four were Poor (6.2%).
Morningstar DBRS assumed unsampled loans were Average – quality,
which has a slightly increased POD level. This is consistent with
the assessments from sampled loans and other SBC transactions rated
by Morningstar DBRS.

Limited property-level information was available for Morningstar
DBRS to review. Asset summary reports, property condition reports,
Phase I/II environmental site assessment (ESA) reports, and
historical cash flows were generally not available for review in
conjunction with this securitization. Morningstar DBRS received and
reviewed appraisals for the top 20 loans, which represent 37.8% of
the SBC pool balance. These appraisals were issued between May2023
and October 2023 when the respective loans were originated.
Morningstar DBRS was able to perform a loan-level cash flow
analysis on the top 20 loans. The NCF haircuts for the top 20 loans
ranged from 6.2% to 100.0%, with an average of 28.0%. No ESA
reports were provided nor required by the Issuer; however, all of
the loans have an environmental insurance policy that provides
coverage to the Issuer and the securitization trust in the event of
a claim. No Probable Maximum Loss information or earthquake
insurance requirements are provided. Therefore, a loss given
default penalty was applied to all properties in California to
mitigate this potential risk.

Morningstar DBRS received limited borrower information, net worth
or liquidity information, and credit history. Additionally, the WA
interest rate of the deal is 11.6%, which is indicative of the
broader increased interest rate environment and represents a large
increase over previous VCC deals. Morningstar DBRS generally
initially assumed loans had Weak sponsorship scores, which
increases the stress on the default rate. The initial assumption of
Weak reflects the generally less sophisticated nature of small
balance borrowers and assessments from past small balance
transactions rated by Morningstar DBRS. Furthermore, Morningstar
DBRS received a 12-month pay history on each loan between September
2023 and December 2023. If any loan has more than two late payments
within this period or was currently 30 days past due, Morningstar
DBRS applied an additional stress to the default rate. This did not
occur for any loans of the SBC pool.

RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY

The collateral pool consists of 362 mortgage loans with a total
balance of approximately $136.7 million collateralized by one- to
four-unit investment properties. Velocity underwrote the mortgage
loans to No Ratio program guidelines for business-purpose loans.

Notes: All figures are in U.S. dollars unless otherwise noted.


VENTURE CLO XIV: Moody's Cuts Rating on Class E-R Notes to Caa3
---------------------------------------------------------------
Moody's Investors Service has upgraded the rating on the following
notes issued by Venture XIV CLO, Limited:

US$55,500,000 Class C-R-R Mezzanine Secured Deferrable Floating
Rate Notes due 2029 (the "Class C-R-R Notes"), Upgraded to Aaa
(sf); previously on July 27, 2023 Upgraded to Aa2 (sf)

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

US$31,750,000 Class E-R Junior Secured Deferrable Floating Rate
Notes due 2029 (the "Class E-R Notes"), Downgraded to Caa3 (sf);
previously on July 27, 2023 Downgraded to B3 (sf)

Venture XIV CLO, Limited, originally issued in August 2013 and last
refinanced in February 2020, is a managed cashflow CLO. The notes
are collateralized primarily by a portfolio of broadly syndicated
senior secured corporate loans. The transaction's reinvestment
period ended in August 2021.

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

RATINGS RATIONALE

The upgrade rating action on the Class C-R-R notes is primarily a
result of deleveraging of the senior notes and an increase in the
transaction's over-collateralization (OC) ratios since July 2023.
The Class A-R-R notes have been paid down by approximately 78.6% or
$162.9 million since then. Based on Moody's calculation, the OC
ratio for the Class C-R-R notes is currently 133.97% versus July
2023 level of 122.57%.

The downgrade rating action on the Class E-R notes reflects the
specific risks to the junior notes posed by par loss observed in
the underlying CLO portfolio. Based on Moody's calculation, the OC
ratio for the Class E-R notes is currently 94.93% versus July 2023
level of 101.83%.

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

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in "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: $220,617,667

Defaulted par: $15,517,318

Diversity Score: 54

Weighted Average Rating Factor (WARF): 2936

Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.60%

Weighted Average Coupon (WAC): 9.91%

Weighted Average Recovery Rate (WARR): 46.86%

Weighted Average Life (WAL): 2.4 years

Par haircut in OC tests and interest diversion test:  4.97%

Finally, Moody's notes that it also considered the information in
the January 2024 trustee report[1] which became available
immediately prior to the release of this announcement.

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.


VERUS SECURITIZATION 2024-1: DBRS Gives Prov. B Rating on B2 Notes
------------------------------------------------------------------
DBRS, Inc. assigned provisional credit ratings to the
Mortgage-Backed Notes, Series 2024-1 (the Notes) to be issued by
Verus Securitization Trust 2024-1 (VERUS 2024-1 or the Trust) as
follows:

-- $433.2 million Class A-1 at AAA (sf)
-- $69.1 million Class A-2 at AA (high) (sf)
-- $87.7 million Class A-3 at A (high) (sf)
-- $47.7 million Class M-1 at BBB (sf)
-- $28.8 million Class B-1 at BB (high) (sf)
-- $17.5 million Class B-2 at B (sf)

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

The AAA (sf) credit rating on the Class A-1 certificates reflects
38.25% of credit enhancement provided by subordinate certificates.
The AA (high) (sf), A (high) (sf), BBB (sf), BB (high) (sf), and B
(sf) credit ratings reflect 28.40%, 15.90%, 9.10%, 5.00%, and 2.50%
of credit enhancement, respectively.

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-Backed
Notes, Series 2024-1 (the Notes). The Notes are backed by 1,360
mortgage loans with a total principal balance of $701,556,565 as of
the Cut-Off Date (January 1,2024).

Through various entities, Invictus Capital Partners, LP (Invictus)
began acquiring loans in 2015, and Verus 2024-1 represents the 54th
rated securitization issued from the Verus shelf.

The pool was originated by Hometown Equity Mortgage, LLC (15.8%) as
well as various other originators (84.2%), each contributing less
than 10.0% of the loans to the Trust.

Shellpoint Mortgage Servicing will act as the Servicer for all
loans. The loans were acquired by the Mortgage Loan Sellers or
their affiliates and underwritten to Sponsor approved underwriting
standards, which correspond to certain programs.

Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau's (CFPB) Ability-to-Repay (ATR) rules,
they 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, 32.5% of
the loans are designated as non-QM, 13.6% are designated as QM
Rebuttable Presumption, and 11.9% are designated as QM Safe Harbor.
Approximately 42.0% of the loans are made to investors for business
purposes and, hence, are not subject to the QM/ATR rules.

Approximately 29.7% of the loans were originated under a Property
Focused Investor Loan Debt Service Coverage Ratio (DSCR) program
and 0.2% were originated under a Property Focused Investor Loan
program. Certain loans (9.2%) within the DSCR program had a DSCR
less than 1.00 times (x).

The Sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible vertical interest, which
represents at least 5% of the aggregate fair value of the Notes to
satisfy the credit risk-retention requirements under Section 15G of
the Securities Exchange Act of 1934 and the regulations promulgated
thereunder. Additionally, as of the Closing Date, the Sponsor is
expected to initially retain 100% of the Class B-3, A-IO-S, and XS
Notes.

On or after the earlier of (1) the Payment Date occurring in
January 2027 or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Administrator, at the Optional Redemption Right
Holder's option, may redeem all of the outstanding Notes at a price
equal to the greater of (A) the class balances of the related Notes
plus accrued and unpaid interest, including any cap carryover
amounts and (B) the class balances of the related Notes less than
90 days delinquent with accrued unpaid interest plus fair market
value of the loans 90 days or more delinquent and real estate-owned
properties. After such purchase, the Depositor must complete a
qualified liquidation, which requires (1) a complete liquidation of
assets within the Trust and (2) proceeds to be distributed to the
appropriate holders of regular or residual interests.

The Advancing Party will fund advances of delinquent principal and
interest (P&I) on any mortgage until such loan becomes 90 days
delinquent. The Advancing Party has no obligation to advance P&I on
a mortgage approved for a forbearance plan during its related
forbearance period. The Servicer, however, is obligated to make
advances in respect of taxes, insurance premiums, and reasonable
costs incurred in the course of servicing and disposing
properties.

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

Notes: All figures are in U.S. dollars unless otherwise noted.


VITALITY RE XV 2024: S&P Assigns 'BB+ (sf) Rating on Class B Notes
------------------------------------------------------------------
S&P Global Ratings assigned its 'BBB+ (sf)' and 'BB+ (sf)' ratings
to the series 2024 class A and B notes, respectively, issued by
Vitality Re XV Ltd. The notes will cover claims payments of Health
Re Inc.--and ultimately, Aetna Life Insurance Co. (ALIC;
A-/Stable/--)--related to the covered insurance business to the
extent the medical benefits ratio (MBR) exceeds 106% for the class
A notes and 100% for the class B notes. The MBR is calculated on an
annual aggregate basis.

S&P bases its ratings on the lowest of the following:

-- The MBR risk factor for the ceded risk ('bbb+' for the class A
notes and 'bb+' for the class B notes),

-- The rating on ALIC (the underlying ceding insurer), or

-- The rating on the permitted investments ('AAAm') that will be
held in the collateral account (there is a separate collateral
account for each class of notes) at closing.

According to the risk analysis provided by Milliman Inc., one of
the world's largest providers of actuarial and related products and
services, the primary factors in historical medical insurance
financial fluctuations have been the volatility in per capita claim
cost trends and lags in insurers' reactions to these trend changes
in their premium rating actions. Other sources of volatility
include changes in expenses and target profit margins. Although
these factors cause the majority of claims volatility, the extreme
tail risk is affected by severe pandemics.

This is the ninth Vitality Re issuance that permits the probability
of attachment--for the class A notes only--to be reset higher or
lower than at issuance. For each reset of the class A notes, if any
class B notes are outstanding on the applicable reset calculation
date, the updated MBR attachment of the class A notes will be set
so it is equal to the updated MBR exhaustion for the class B
notes.



[*] DBRS Places 77 NA SASB Transactions Under Review
----------------------------------------------------
DBRS, Inc. placed outstanding public credit ratings associated with
77 North American single-asset/single-borrower (NA SASB)
transactions backed by commercial real estate (CRE) loans primarily
secured by office collateral types Under Review with Negative
Implications and removed the existing trends on the ratings, as
credit ratings placed under review do not carry trends. These NA
SASB transactions were issued between 2013 and 2023, with just
under half (37) issued between 2020 and 2023. In addition,
Morningstar DBRS placed outstanding public credit ratings on four
rake bonds associated with multi-borrower transactions issued
between 2014 and 2020, each of which are also backed by loans
collateralized by office properties, Under Review with Negative
Implications and removed the trends on the ratings. All of the
credit ratings Morningstar DBRS placed Under Review with Negative
Implications are determined and monitored using the LTV Sizing
Benchmarks as described in the "North American
Single-Asset/Single-Borrower Ratings Methodology" (the NA SASB
Methodology).

Morningstar DBRS decided to place these credit ratings Under Review
with Negative Implications to undertake a review of the NA SASB
office-related loans as the office market dynamics may have
shifted, prompting a review of the Morningstar DBRS Values and, by
extension, the Morningstar DBRS Capitalization (Cap) Rates assigned
to determine that those values are reflective of the change in the
office sector's forward-looking credit outlook. The change in the
outlook on office is a result of the overall stress observed over
the last few years for office property types across the country, as
a significantly higher interest rate environment has coincided with
shifting office use dynamics following the increase in remote work
amid the coronavirus pandemic. These dynamics have resulted in
lower investor appetite for office property types, which has, along
with higher interest rates, contributed to higher cap rates for the
relatively few sales that have occurred since the beginning of
2022. These same factors have also contributed to increased
defaults on office loans in commercial mortgage-backed securities
(CMBS) and other CRE finance sectors over the last year.

Morningstar DBRS' credit ratings for seven publicly rated NA SASB
transactions have recently been addressed to reflect event-driven
stress such as term and/or maturity defaults, significant
performance declines, and tenancy issues. As the credit ratings for
those transactions were deemed to currently reflect those and the
market-driven stresses in the most recent analytical approaches,
they were excluded from this Under Review with Negative
Implications action.

The NA SASB Methodology outlines the approach for arriving at a
Morningstar DBRS Value for the collateral properties securing the
loans typically backing an NA SASB transaction. A Morningstar DBRS
Net Cash Flow is derived and a Morningstar DBRS Cap Rate is
applied, with a Morningstar DBRS Cap Rate range for office property
types of 6.0% to 10.0%. As part of the review process for this
credit rating action, Morningstar DBRS will evaluate the
Morningstar DBRS Cap Rates applied in the valuation approach for
each transaction to determine the need (if any) for further stress
given the increased volatility for the property type as described
above.

For the 77 NA SASB transactions affected by this credit rating
action, the Morningstar DBRS Cap Rates at issuance ranged between
6.0% and 8.75%, with an average of 6.85%. Approximately 50 of the
77 transactions are secured by collateral properties in major
markets within New York or California. According to CBRE's H1 2023
Cap Rate Survey, cap rates for stabilized office properties in New
York City ranged between 5.5% and 6.25% for H1 2023 (up from 5.5%
to 6.0% in H1 2022). The same report showed that cap rates for
stabilized office properties in Los Angeles and San Francisco
ranged between 7.0% and 7.5% and 6.5% and 7.5%, respectively; these
figures compare with the H1 2022 ranges of 6.25% and 7.0% for Los
Angeles and 6.0% and 6.75% for San Francisco.

As these transactions are reviewed, Morningstar DBRS will consider
factors including the collateral building quality, the location,
respective market dynamics, in-place tenancy, and others to
evaluate the Morningstar DBRS Cap Rate and other analytical
considerations used to determine the credit rating. Morningstar
DBRS typically resolves an Under Review action within 90 days but
notes the review period for some transactions may take longer as
the timeline for gathering information could be disrupted as market
conditions and collateral-specific dynamics continue to evolve.

Notes: All figures are in U.S. dollars unless otherwise noted.


[*] DBRS Reviews 76 Classes From 11 US Rental Transactions
----------------------------------------------------------
DBRS, Inc. reviewed 76 classes from 11 U.S. single-family rental
transactions. Of the 76 classes reviewed, Morningstar DBRS
confirmed 63 credit ratings and upgraded 13 credit ratings as
follows:

AMSR 2019-SFR1 Trust

-- AMSR 2019-SFR1 Trust, Class A confirmed at AAA (sf)
-- AMSR 2019-SFR1 Trust, Class B confirmed at AAA (sf)
-- AMSR 2019-SFR1 Trust, Class C confirmed at AAA (sf)
-- AMSR 2019-SFR1 Trust, Class D confirmed at AA (sf)
-- AMSR 2019-SFR1 Trust, Class E confirmed at BBB (low) (sf)
-- AMSR 2019-SFR1 Trust, Class F confirmed at BB (sf)
-- AMSR 2019-SFR1 Trust, Class G confirmed at B (high) (sf)

AMSR 2021-SFR1 Trust

-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)

-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AA (sf)

-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at A (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at A (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class E-1
confirmed at BBB (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class E-2
confirmed at BBB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class F
confirmed at BB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class G
confirmed at B (low) (sf)

AMSR 2022-SFR1 Trust

-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)

-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AAA (sf)

-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at AA (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at AA (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class E-1
confirmed at BBB (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class E-2
confirmed at BBB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class F
confirmed at BB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class G
confirmed at B (low) (sf)

AMSR 2022-SFR2 Trust

-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)

-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AA (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at BBB (sf)

-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at BBB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class E
confirmed at BB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class F
confirmed at B (low) (sf)

FirstKey Homes 2020-SFR2 Trust

-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)

-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AA (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class C upgraded
to AA (low) (sf) from A (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class D upgraded
to A (low) (sf) from BBB (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class E upgraded
to BBB (sf) from BBB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class F1
confirmed at BB (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class F2
confirmed at BB (sf)

-- Single-Family Rental Pass-Through Certificate, Class F3
confirmed at BB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class G1
confirmed at B (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class G2
confirmed at B (high) (sf)

Home Partners of America 2019-1 Trust

-- HPA 2019-1, Class A confirmed at AAA (sf)
-- HPA 2019-1, Class B upgraded to AAA (sf) from AA (high) (sf)
-- HPA 2019-1, Class C upgraded to AA (sf) from AA (low) (sf)
-- HPA 2019-1, Class D upgraded to A (sf) from A (low) (sf)
-- HPA 2019-1, Class E confirmed at BBB (sf)
-- HPA 2019-1, Class F confirmed at BBB (low) (sf)

Home Partners of America 2019-2 Trust

-- HPA 2019-2, Class A confirmed at AAA (sf)
-- HPA 2019-2, Class B confirmed at AAA (sf)
-- HPA 2019-2, Class C upgraded to AA (high) (sf) from AA (sf)
-- HPA 2019-2, Class D upgraded to A (sf) from A (low) (sf)
-- HPA 2019-2, Class E upgraded to BBB (sf) from BBB (low) (sf)
-- HPA 2019-2, Class F confirmed at BB (sf)

Home Partners of America 2020-2 Trust

-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)

-- Single-Family Rental Pass-Through Certificate, Class B upgraded
to AA (high) (sf) from AA (sf)

-- Single-Family Rental Pass-Through Certificate, Class C upgraded
to A (high) (sf) from A (sf)

-- Single-Family Rental Pass-Through Certificate, Class D upgraded
to A (low) (sf) from BBB (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class E upgraded
to BBB (sf) from BBB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class F
confirmed at BB (low) (sf)

Home Partners of America 2021-1 Trust

-- Single-Family Rental Pass-Through Certificate A confirmed at
AAA (sf)

-- Single-Family Rental Pass-Through Certificate B confirmed at AA
(low) (sf)

-- Single-Family Rental Pass-Through Certificate C confirmed at A
(low) (sf)

-- Single-Family Rental Pass-Through Certificate D confirmed at
BBB (sf)

-- Single-Family Rental Pass-Through Certificate E confirmed at
BBB (low) (sf)

-- Single-Family Rental Pass-Through Certificate F confirmed at BB
(sf)

Home Partners of America 2021-2 Trust

-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)

-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AA (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at AA (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at A (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class E1
confirmed at BBB (sf)

-- Single-Family Rental Pass-Through Certificate, Class E2
confirmed at BBB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class F
confirmed at BB (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class G
confirmed at B (sf)

Home Partners of America 2022-1 Trust

-- Single-Family Rental Pass-Through Certificate, Class A
confirmed at AAA (sf)

-- Single-Family Rental Pass-Through Certificate, Class B
confirmed at AA (low) (sf)

-- Single-Family Rental Pass-Through Certificate, Class C
confirmed at A (sf)

-- Single-Family Rental Pass-Through Certificate, Class D
confirmed at BBB (high) (sf)

-- Single-Family Rental Pass-Through Certificate, Class E
confirmed at BBB (low) (sf)

The credit rating confirmations reflect asset performance and
credit-support levels that are consistent with the current credit
ratings.

Morningstar DBRS' credit rating actions are based on the following
analytical consideration:

-- Key performance measures as reflected in month-over-month
changes in vacancy and delinquency, quarterly analysis of the
actual expenses, credit enhancement increases since deal inception,
and bond paydown factors.

Notes: The principal methodology applicable to the credit ratings
is Rating and Monitoring U.S. Single-Family Rental
Securitizations.



[*] Moody's Takes Action on $158.9MM of US RMBS Issued 1998-2006
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 17 bonds and
downgraded the ratings of 5 bonds from 13 US residential
mortgage-backed transactions (RMBS), backed by Alt-A, option ARM
and subprime mortgages issued by multiple issuers.

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

Complete rating actions are as follows:

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-ASAP3

Cl. A-1, Upgraded to A2 (sf); previously on Nov 14, 2022 Upgraded
to Baa3 (sf)

Cl. A-2D, Upgraded to A2 (sf); previously on Nov 14, 2022 Upgraded
to Baa3 (sf)

Issuer: ACE Securities Corp. Home Equity Loan Trust, Series
2006-ASAP4

Cl. A-1, Upgraded to Ba1 (sf); previously on Nov 20, 2018 Upgraded
to Ba3 (sf)

Cl. A-2D, Upgraded to Baa2 (sf); previously on Nov 20, 2018
Upgraded to Ba3 (sf)

Issuer: Equifirst Mortgage Loan Trust 2004-1

Cl. I-A1, Downgraded to Aa2 (sf); previously on May 20, 2004
Assigned Aaa (sf)

Cl. II-A3, Downgraded to Aa2 (sf); previously on May 20, 2004
Assigned Aaa (sf)

Issuer: GE-WMC Asset-Backed Pass-Through Certificates, Series
2006-1

Cl. A-1a, Upgraded to Aa3 (sf); previously on Apr 26, 2018 Upgraded
to A1 (sf)

Issuer: GSAA Home Equity Trust 2004-5

Cl. AF-4, Upgraded to Aa1 (sf); previously on May 26, 2017 Upgraded
to A1 (sf)

Issuer: IMC Home Equity Loan Trust 1998-1

A-5, Upgraded to Aaa (sf); previously on Apr 25, 2023 Upgraded to
A3 (sf)

A-6, Upgraded to Aaa (sf); previously on Apr 25, 2023 Upgraded to
A2 (sf)

Issuer: Merrill Lynch Mortgage Investors Trust 2005-A8

Cl. M-1, Upgraded to Aaa (sf); previously on Apr 25, 2023 Upgraded
to A2 (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE4

Cl. B-2, Upgraded to B2 (sf); previously on May 8, 2023 Upgraded to
Caa2 (sf)

Cl. B-3, Upgraded to Caa3 (sf); previously on Feb 11, 2009
Downgraded to C (sf)

Cl. M-2, Upgraded to B1 (sf); previously on May 24, 2017 Upgraded
to B2 (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-HE6

Cl. A-2, Downgraded to Aa2 (sf); previously on Sep 29, 2004
Assigned Aaa (sf)

Cl. M-3, Upgraded to B2 (sf); previously on Sep 23, 2013 Downgraded
to Caa1 (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-NC3

Cl. B-1, Upgraded to B2 (sf); previously on Nov 21, 2019 Upgraded
to Caa1 (sf)

Cl. B-2, Upgraded to Caa1 (sf); previously on Nov 21, 2019 Upgraded
to Ca (sf)

Issuer: Morgan Stanley Capital I Inc. Trust 2006-HE1

Cl. A-4, Upgraded to Aa1 (sf); previously on May 8, 2023 Upgraded
to A1 (sf)

Issuer: Option One Mortgage Loan Trust 2004-3

Cl. A-1, Downgraded to Aa3 (sf); previously on Apr 1, 2013 Affirmed
Aaa (sf)

Cl. A-4, Downgraded to Aa3 (sf); previously on Apr 1, 2013 Affirmed
Aaa (sf)

Issuer: RAMP Series 2004-RS2 Trust

Cl. M-I-1, Upgraded to Aa3 (sf); previously on Apr 13, 2018
Upgraded to Baa3 (sf)

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. The rating downgrades are primarily due to a
deterioration in collateral performance, and/or a decline in credit
enhancement available to the bonds due to the deals passing
performance triggers.

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 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 $186MM of US RMBS Issued 2021
-------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 40 bonds from
six US residential mortgage-backed transactions (RMBS), backed by
agency eligible mortgage loans.

The complete rating actions are as follows:

Issuer: New Residential Mortgage Loan Trust 2021-INV1

Cl. B, Upgraded to Aa3 (sf); previously on Aug 24, 2021 Definitive
Rating Assigned A2 (sf)

Cl. B1, Upgraded to Aa2 (sf); previously on Aug 24, 2021 Definitive
Rating Assigned Aa3 (sf)

Cl. B1A, Upgraded to Aa2 (sf); previously on Aug 24, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. B2, Upgraded to Aa3 (sf); previously on Aug 24, 2021 Definitive
Rating Assigned A2 (sf)

Cl. B2A, Upgraded to Aa3 (sf); previously on Aug 24, 2021
Definitive Rating Assigned A2 (sf)

Cl. B3, Upgraded to A3 (sf); previously on Aug 24, 2021 Definitive
Rating Assigned Baa2 (sf)

Cl. B4, Upgraded to Baa3 (sf); previously on Aug 24, 2021
Definitive Rating Assigned Ba2 (sf)

Cl. B5, Upgraded to Ba3 (sf); previously on Aug 24, 2021 Definitive
Rating Assigned B3 (sf)

Cl. BX*, Upgraded to Aa3 (sf); previously on Aug 24, 2021
Definitive Rating Assigned A2 (sf)

Cl. BX1*, Upgraded to Aa2 (sf); previously on Aug 24, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. BX2*, Upgraded to Aa3 (sf); previously on Aug 24, 2021
Definitive Rating Assigned A2 (sf)

Issuer: New Residential Mortgage Loan Trust 2021-INV2

Cl. A3, Upgraded to Aaa (sf); previously on Dec 10, 2021 Definitive
Rating Assigned Aa1 (sf)

Cl. A4, Upgraded to Aaa (sf); previously on Dec 10, 2021 Definitive
Rating Assigned Aa1 (sf)

Cl. A5, Upgraded to Aaa (sf); previously on Dec 10, 2021 Definitive
Rating Assigned Aa1 (sf)

Cl. AX3*, Upgraded to Aaa (sf); previously on Dec 10, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. AX4*, Upgraded to Aaa (sf); previously on Dec 10, 2021
Definitive Rating Assigned Aa1 (sf)

Cl. B, Upgraded to Aa3 (sf); previously on Dec 10, 2021 Definitive
Rating Assigned A1 (sf)

Cl. B1, Upgraded to Aa1 (sf); previously on Dec 10, 2021 Definitive
Rating Assigned Aa3 (sf)

Cl. B1A, Upgraded to Aa1 (sf); previously on Dec 10, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. B2, Upgraded to Aa3 (sf); previously on Dec 10, 2021 Definitive
Rating Assigned A2 (sf)

Cl. B2A, Upgraded to Aa3 (sf); previously on Dec 10, 2021
Definitive Rating Assigned A2 (sf)

Cl. B3, Upgraded to A2 (sf); previously on Dec 10, 2021 Definitive
Rating Assigned Baa2 (sf)

Cl. B4, Upgraded to Baa3 (sf); previously on Dec 10, 2021
Definitive Rating Assigned Ba2 (sf)

Cl. B5, Upgraded to Ba2 (sf); previously on Dec 10, 2021 Definitive
Rating Assigned B2 (sf)

Cl. BX*, Upgraded to Aa3 (sf); previously on Dec 10, 2021
Definitive Rating Assigned A2 (sf)

Cl. BX1*, Upgraded to Aa1 (sf); previously on Dec 10, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. BX2*, Upgraded to Aa3 (sf); previously on Dec 10, 2021
Definitive Rating Assigned A2 (sf)

Issuer: UWM Mortgage Trust 2021-INV2

Cl. B-1, Upgraded to Aa2 (sf); previously on Sep 24, 2021
Definitive Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to A2 (sf); previously on Sep 24, 2021 Definitive
Rating Assigned A3 (sf)

Cl. B-3, Upgraded to Baa2 (sf); previously on Sep 24, 2021
Definitive Rating Assigned Baa3 (sf)

Cl. B-4, Upgraded to Ba2 (sf); previously on Sep 24, 2021
Definitive Rating Assigned Ba3 (sf)

Cl. B-5, Upgraded to B2 (sf); previously on Sep 24, 2021 Definitive
Rating Assigned B3 (sf)

Issuer: UWM Mortgage Trust 2021-INV3

Cl. B-1, Upgraded to Aa2 (sf); previously on Nov 5, 2021 Definitive
Rating Assigned Aa3 (sf)

Cl. B-2, Upgraded to A2 (sf); previously on Nov 5, 2021 Definitive
Rating Assigned A3 (sf)

Cl. B-4, Upgraded to Ba2 (sf); previously on Nov 5, 2021 Definitive
Rating Assigned Ba3 (sf)

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

Issuer: UWM Mortgage Trust 2021-INV4

Cl. B-2, Upgraded to A2 (sf); previously on Nov 24, 2021 Definitive
Rating Assigned A3 (sf)

Cl. B-4, Upgraded to Ba2 (sf); previously on Nov 24, 2021
Definitive Rating Assigned Ba3 (sf)

Issuer: UWM Mortgage Trust 2021-INV5

Cl. B-2, Upgraded to A2 (sf); previously on Dec 21, 2021 Definitive
Rating Assigned A3 (sf)

Cl. B-4, Upgraded to Ba2 (sf); previously on Dec 21, 2021
Definitive Rating Assigned Ba3 (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.


[*] Moody's Ups $115MM of US RMBS Issued by RASC From 2004-2005
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 16 bonds from
eight US residential mortgage-backed transactions (RMBS), backed by
subprime mortgages issued by RASC.

A list of the Affected Credit Ratings is available at
https://urlcurt.com/u?l=9B0Cgj

Complete rating actions are as follows:

Issuer: RASC Series 2004-KS10 Trust

Cl. M-2, Upgraded to Aaa (sf); previously on May 30, 2023 Upgraded
to Aa3 (sf)

Issuer: RASC Series 2004-KS8 Trust

Cl. M-I-3, Upgraded to Ca (sf); previously on Mar 30, 2011
Downgraded to C (sf)

Cl. M-I-2, Upgraded to A1 (sf); previously on May 30, 2023 Upgraded
to A3 (sf)

Issuer: RASC Series 2005-AHL2 Trust

Cl. M-2, Upgraded to A1 (sf); previously on May 30, 2023 Upgraded
to A3 (sf)

Issuer: RASC Series 2005-EMX1 Trust

Cl. M-2, Upgraded to A1 (sf); previously on May 30, 2023 Upgraded
to Baa1 (sf)

Cl. M-3, Upgraded to Baa3 (sf); previously on May 30, 2023 Upgraded
to B3 (sf)

Cl. M-4, Upgraded to B3 (sf); previously on May 30, 2023 Upgraded
to Caa3 (sf)

Issuer: RASC Series 2005-EMX4 Trust

Cl. M-3, Upgraded to Aaa (sf); previously on May 30, 2023 Upgraded
to A1 (sf)

Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 5, 2013 Affirmed
C (sf)

Issuer: RASC Series 2005-KS1 Trust

Cl. M-2, Upgraded to Aaa (sf); previously on May 30, 2023 Upgraded
to A2 (sf)

Cl. M-3, Upgraded to Ba2 (sf); previously on May 30, 2023 Upgraded
to B1 (sf)

Issuer: RASC Series 2005-KS10 Trust

Cl. M-3, Upgraded to A1 (sf); previously on May 30, 2023 Upgraded
to Baa1 (sf)

Cl. M-4, Upgraded to Ca (sf); previously on Mar 5, 2013 Affirmed C
(sf)

Issuer: RASC Series 2005-KS3 Trust

Cl. M-6, Upgraded to Aaa (sf); previously on May 30, 2023 Upgraded
to Aa3 (sf)

Cl. M-7, Upgraded to A2 (sf); previously on May 30, 2023 Upgraded
to Baa1 (sf)

Cl. M-8, Upgraded to Caa1 (sf); previously on May 30, 2023 Upgraded
to Caa3 (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, credit enhancement and other
qualitative considerations. This includes the potential impact of
collateral performance volatility on ratings.

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.


                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
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                            *********

S U B S C R I P T I O N   I N F O R M A T I O N

Troubled Company Reporter is a daily newsletter co-published
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Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA.
Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante,
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Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and
Peter A. Chapman, Editors.

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