A

AAA (sf)

349.25

157.48

36.50

Three-month CME term SOFR + 1.530

B

AA (sf)

68.75

131.58

24.00

Three-month CME term SOFR + 1.950

C (deferrable)

A (sf)

33.00

121.95

18.00

Three-month CME term SOFR + 2.300

D (deferrable)

BBB- (sf)

33.00

113.64

12.00

Three-month CME term SOFR + 3.300

E (deferrable)

BB- (sf)

22.00

108.70

8.00

Three-month CME term SOFR + 6.100

Subordinated notes

NR

47.75

N/A

N/A

Residual

Total leverage (x)(ii)

10.60

10.06

Par subordination ('AAA'/'BBB') (%)

36.50/12.00

34.97/11.90

WA cost of debt (%)(iii)

1.95

2.04

Portfolio WAS (excluding floors) (%)

3.72

3.68

SDR ('AAA'/'BBB') (%)

59.51/40.58

58.84/40.07

WA portfolio recovery ('AAA'/'BBB') (%)

41.06/62.36

41.36/63.08

Expected closing date

June 6, 2024.

Effective date

To be determined.

Debt payment frequency

Quarterly, beginning Oct. 25, 2024.

Non-call period end date

June 6, 2026.

Reinvestment period end date

April 25, 2029.

Stated maturity date

April 25, 2037.

Collateral manager

Benefit Street Partners LLC.

Placement agent

J.P. Morgan Securities LLC.

Trustee

U.S. Bank Trust Co. National Association.

Reduction in cash flow

Defaults, adverse interest rate movements, and low recoveries can reduce the cash flow generated by the underlying portfolio and affect the issuer's ability to meet its obligations in a timely manner.

S&P Global Ratings' quantitative analysis simulates various default patterns and interest rate movements under various stress scenarios, considering portfolio characteristics, payment mechanics, covenants, collateral quality tests, and excess spread.

Excess concentration in certain types of collateral obligations

The collateral manager's ability to invest in certain types of collateral is outlined in the indenture. Larger concentrations in certain obligations can introduce additional risks to the rated debt.

S&P Global Ratings' cash flow analysis generally assumes that the underlying portfolio contains the maximum allowable amount of certain types of collateral obligations to stress test the transaction for concentration risk. Examples include obligations that are current-pay, fixed-rate, fully deferrable, and long-dated, as well as assets rated 'CCC+' or lower and assets paying less frequently than quarterly. For current-pay, long-dated, and 'CCC+' or lower obligations, we generally apply stresses when the exposure is greater than 10.0%, 5.0%, and 7.5%, respectively. For more details on allowable maximum concentrations for this transaction, see tables 8 and 9.

Collateral manager trading performance

During the reinvestment period, the collateral manager can change the underlying portfolio's composition, thus exposing the transaction to potential deterioration in credit enhancement. The collateral manager can reinvest all proceeds received during the reinvestment period. For this particular transaction, after the reinvestment period, the collateral manager can also continue to reinvest proceeds from credit risk sales or unscheduled prepayments, subject to additional restrictions.

After the reinvestment period, in addition to some other requirements, any asset purchased must have the same or higher S&P Global Ratings' credit rating and the same or lower stated maturity than the asset being replaced and the coverage tests must be satisfied.

Divergence of the effective date portfolio from preliminary assumptions

Most underlying portfolios are not fully purchased by the transaction's closing date. Therefore, there is a risk that the fully ramped-up portfolio at the transaction's effective date will be materially different than the one presented to S&P Global Ratings for its preliminary analysis.

S&P Global Ratings offers collateral managers a formula-based version of its CDO Monitor at the transaction's closing. This tool is intended to assist the collateral manager in maintaining a similar credit risk and cash flow profile to what was initially presented for our preliminary analysis.

Exposure to covenant-lite loans

The collateral manager can purchase covenant-lite loans (those that do not contain regular financial maintenance covenants for the lending party's benefit) for up to a certain percentage of the underlying portfolio (see table 8). Exposure to these types of loans may reduce the transaction's recovery prospects.

For covenant-lite loans that do not have an asset-specific recovery rating, we apply reduced recovery rates in our cash flow analysis (41.0% under a 'AAA' stress scenario versus 50.0% for a senior secured first-lien loan that is not covenant-lite). In addition, the transaction documents mandate that any loan that is pari passu with a non-covenant-lite loan of the same obligor, or that contains a cross-default provision with such loan, will also use the reduced recovery rates regardless of whether these pari passu or cross-defaulted loans are counted as covenant-lite for the purposes of portfolio concentration limits.For covenant-lite loans that do have an asset-specific recovery rating, the absence of financial maintenance covenants is factored into our recovery analysis and generally results in lower estimated recovery rates.

Long-dated collateral obligations can introduce market value risk

A portfolio containing long-dated collateral obligations exposes a transaction to market value risk. To repay the debtholders at the transaction's maturity, the collateral manager will be forced to sell those obligations at the prevailing market price, which may be below par.

According to the transaction documents, the collateral manager cannot purchase any long-dated collateral obligations or, generally, may not vote in favor of any amendment that would extend a collateral obligation's maturity beyond the debt's stated maturity. Any long-dated collateral obligations will receive a haircut in the O/C numerator. The weighted average life test must generally be satisfied following any maturity amendment.

A

36.50

62.59

59.51

3.08

B

24.00

59.09

51.81

7.27

C (deferrable)

18.00

52.01

45.93

6.08

D (deferrable)

12.00

42.68

36.94

5.74

E (deferrable)

8.00

33.24

30.13

3.11

A

AAA (sf)

349.25

41.75

23.06

B

AA (sf)

68.75

33.96

18.88

C (deferrable)

A (sf)

33.00

N/A

14.70

D (deferrable)

BBB- (sf)

33.00

N/A

10.36

E (deferrable)

BB- (sf)

22.00

N/A

7.84

WA life (years)(i)

4.89

9.00

4.11

WAS (including floors) (%)

3.72

3.65

0.07

WA fixed coupon (%)(ii)

3.19

6.00

(2.81)

WA rating

B

N/A

N/A

Target par balance (mil. $)

550.00

Par balance of identified collateral (mil. $)

522.07

Par balance of collateral not yet identified (mil. $)

27.93

S&P Global Ratings' ratings and confidential indications (% of identified collateral)(i)

99.62

No. of obligors

255

Avg. obligor holding (%)

0.39

Largest-obligor holding (%)

0.57

Smallest-obligor holding (%)

0.04

1

Hotels, restaurants. and leisure

Senior secured

BB

No

Positive

3.00

3.00

0.55

0.55

2

Wireless telecommunication services

Senior secured

N/A

No

N/A

2.75

5.75

0.50

1.05

3

Software

Senior secured

B-

No

Stable

2.75

8.50

0.50

1.55

4

Capital markets

Senior secured

B

No

Stable

2.75

11.25

0.50

2.05

5

Health care providers and services

Senior secured

B+

No

Stable

2.75

14.00

0.50

2.55

AAA (sf)

41.06

40.06

AA (sf)

50.42

49.62

A (sf)

56.08

55.33

BBB (sf)

62.36

61.78

BB (sf)

67.87

66.98

Other than senior secured loans, cash, and eligible investments

10.0

Bonds

5.0

Covenant-lite loans(i)

60.0

Current-pay obligations(ii)

2.5

Debtor-in-possession obligations

7.5

Deferrable obligations: fully(ii)/partially

0.0 / 5.0

Delayed-drawdown and revolving obligations

7.5

Discount obligations

25.0

Fixed-rate obligations(ii)

5.0

Long-dated obligations(ii)

2.0

Obligations purchased at a price less than 60.0% [but greater than 55.0%] of its principal balance

5.0

Obligations that pay interest less frequently than quarterly (but not less than semiannually)(ii)

7.5

Obligor and its affiliates: single/up to five

1.5/2.5

Participation interests

10

S&P Global Ratings' industry classification: single/ third largest/ second largest/ largest

10.0/12.0/12.0/15.0

S&P Global Ratings' credit rating of 'CCC+' or below(ii)

7.5

S&P Global Ratings' derived from Moody's rating

10.0

Second-lien, unsecured loans and bonds

10.0

Structured finance obligations

0.0

Other than the U.S.

20.0

Emerging markets

0.0

Current-pay obligations

S&P Global Ratings' criteria allow transactions to purchase current-pay obligations as long as the collateral manager reasonably believes the obligor will remain current on all contractual payments (as well as other factors). Due to the increased risk associated with these obligations, they may be carried at the higher of their issue credit rating or 'CCC' in the portfolio analysis, which may increase the SDRs produced by the CDO Evaluator. In addition, any excess holding allowance above 10% is carried as defaulted in the cash flow analysis, which will decrease the BDRs produced by the Cash Flow Evaluator.

Deferrable obligations

Obligations where interest payments may be deferred can result in a discrepancy in the timing of cash inflows and outflows. If this mismatch is significant, it may result in a shortfall in cash available to pay the rated debtholders. S&P Global Ratings conducts its cash flow analysis assuming that the transaction holds the maximum amount of deferrable obligations permitted. The timing differences will be captured in the BDRs generated by the Cash Flow Evaluator.

Fixed-rate obligations

Because interest payments for most of the rated debt is tied to a floating reference rate (initially, three-month SOFR), obligations in the underlying portfolio that pay a fixed rate create exposure to interest rate movements. Excess spread may decline if market rates change significantly over the transaction's life. To account for this risk, S&P Global Ratings' cash flow analysis assumes the transaction holds the maximum amount of fixed-rate obligations permitted. The results are captured in the BDRs generated by the Cash Flow Evaluator.

Long-dated obligations

Collateral obligations scheduled to mature after the transaction's stated maturity date introduce market value risk because the collateral manager must sell the obligations at the prevailing market price to pay the rated debtholders. To account for this risk, if the allowable bucket exceeds 5% of the asset balance, absent any other risk mitigating factors, S&P Global Ratings' cash flow analysis haircuts the par amount of these obligations (10% per year after the transaction's stated maturity), which will lower the BDRs produced by the Cash Flow Evaluator. This stress may also be considered for long-dated assets that the transaction can hold after any maturity amendments.

Obligations that pay interest less frequently than quarterly

Because CLO transactions typically require quarterly interest payments to be made to the debtholders, a portfolio consisting of collateral obligations that pay interest less frequently creates a discrepancy in the timing of cash inflows and outflows. If this mismatch is significant, it may result in a shortfall in cash available to pay the rated debtholders. S&P Global Ratings conducts its cash flow analysis assuming that the transaction holds the maximum amount of non-quarterly obligations permitted. The timing differences will be captured in the BDRs generated by the Cash Flow Evaluator.

Obligations rated 'CCC+' or below by S&P Global Ratings

The transaction documents typically limit the amount of obligations rated 'CCC+' or below that the collateral manager can purchase. A higher concentration of these obligations will increase the SDRs produced by the CDO Evaluator.

B

131.58

121.58

120.00

C

121.95

113.95

110.00

D

113.64

107.64

105.00

E

108.70

103.70

N/A

Reinvestment O/C(i)

108.70

104.70

N/A

1

Taxes and fees, and then administrative expenses (capped).

2

Senior management fee.

3

Class A note interest.

4

Class B note interest.

5

Class A/B coverage test(i)(ii).

6

Class C note interest.

7

Class C note deferred interest.

8

Class C coverage test(i)(ii).

9

Class D note interest.

10

Class D note deferred interest.

11

Class D coverage test(i)(ii).

12

Class E note interest.

13

Class E note deferred interest.

14

Class E coverage test(i)(ii).

15

Effective date ratings confirmation. If it is not obtained, pay according to the note payment sequence(ii) or purchase collateral obligations (each to the extent necessary to obtain a rating agency confirmation or until the notes are paid in full).

16

Interest diversion test (during the reinvestment period only). If it fails, deposit to collection account to purchase additional collateral obligations and/or pay according to the note payment sequence(ii).

17

Subordinated management fee.

18

Deferred subordinated management fee.

19

Administrative expenses (uncapped).

20

To the contributors, pro rata.

21

To the subordinated noteholders to realize an IRR of 12%.

22

20% of remaining proceeds to the incentive management fee, and 80% of remaining proceeds to the holders of the subordinated notes.

1

Items 1-4 of the interest waterfall.

2

Item 5 of the interest waterfall(i)(ii).

3

Item 6 of the interest waterfall(iii).

4

Item 7 of the interest waterfall(iii).

5

Item 8 of the interest waterfall(i)(ii).

6

Item 9 of the interest waterfall(iii).

7

Item 10 of the interest waterfall(iii).

8

Item 11 of the interest waterfall(i)(ii).

9

Item 12 of the interest waterfall(iii).

10

Item 13 of the interest waterfall(iii).

11

Item 14 of the interest waterfall(i)(ii).

12

Principal proceeds that the collateral manager has determined cannot be practicably reinvested in additional collateral obligations, pay according to the note payment sequence(ii).

13

During the reinvestment period, purchase additional collateral obligations and/or eligible investments. After the reinvestment period, invest in eligible investments and/or purchase substitute obligations, provided that in either case such payment would not, in the collateral manager's reasonable determination, cause a retention deficiency.

14

Note payment sequence(ii)

15

Item 17 of the interest waterfall.

16

Item 18 of the interest waterfall.

17

Item 19 of the interest waterfall.

18

To the contributors, pro rata;

19

Item 21 of the interest waterfall.

20

20% of remaining proceeds to the incentive management fee, and 80% of remaining proceeds to the subordinated noteholders.

S&P Global Ratings' weighted average rating factor(i)

2,615.86

2595.59

20.27

2,500.00-3,000.00

Default rate dispersion(ii)

768.07

853.42

(85.35)

500.00-1,000.00

Obligor diversity measure(iii)

261.53

219.46

42.07

100.00-250.00

Industry diversity measure(iv)

26.22

23.59

2.63

12.00-22.00

Regional diversity measure(v)

1.17

1.19

(0.03)

1.00-1.30 for U.S. CLOs (higher for European CLOs)

Weighted average life (years)(vi)

4.81

4.59

0.22

4.00-7.00