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

              Sunday, January 15, 2023, Vol. 27, No. 14

                            Headlines

BAMLL COMMERCIAL 2020-BOC: Fitch Affirms BBsf Rating on Cl. E Certs
BB-UBS TRUST 2012-TFT: DBRS Confirms B(high) Rating on TE Certs
BEAR STEARNS 2007-AR4: Moody's Ups Cl. II-A-1 Debt Rating to Ba1
BRIGHTWOOD CAPITAL 2020-1: S&P Assigns BB (sf) Rating on E-R Notes
BWAY COMMERCIAL: DBRS Confirms BB(low) Rating on Class E Certs

CHNGE MORTGAGE 2022-5: DBRS Gives Prov. B Rating on B2 Certs
CITIGROUP MORTGAGE 2018-RP3: Moody's Ups B-1 Debt Rating to Ba1
COMM 2014-LC17: Fitch Affirms 'BBsf' Rating on Two Tranches
DIAMETER CAPITAL 4: S&P Assigns Prelim BB- (sf) Rating on D Notes
FANNIE MAE 2023-R01: S&P Assigns Prelim 'BB+' Rating on 1B-1 Notes

HERTZ VEHICLE III: DBRS Confirms BB Rating on 2 Classes of Notes
JP MORGAN 2012-C8: Fitch Hikes Rating on Class G Certs to 'BBsf'
JP MORGAN 2013-C15: Fitch Affirms 'Bsf' Rating on Class F Certs
JP MORGAN 2023-1: Fitch Assigns 'B-(EXP)' Rating on Cl. B-5 Certs
MILL CITY 2019-1: Moody's Upgrades Rating on Cl. B2 Bonds to B3

MSC MORTGAGE 2012-C4: DBRS Confirms C Rating on 3 Classes of Certs
NASSAU 2022-I LTD: Fitch Assigns 'BB-sf' Rating on Cl. E Notes
OBX TRUST 2023-NQM1: Fitch Assigns 'B(EXP)' Rating on Cl. B-2 Notes
PALISADES CENTER 2016-PLSD: Moody's Cuts Cl. A Certs Rating to B2
PARK BLUE 2022-II: Moody's Assigns B3 Rating to $1MM Class F Notes

PRMI SEC 2022-CMG1: DBRS Finalizes B Rating on Class B2 Notes
ROCKFORD TOWER 2022-3: S&P Assigns BB-(sf) Rating on Class E Notes
SEQUOIA MORTGAGE 2023-1: Fitch Gives 'BB(EXP)' Rating on B4 Certs
SHELTER GROWTH 2021-FL3: DBRS Confirms B(low) Rating on H Notes
TPR FUNDING 2022-1: DBRS Gives Prov. B(low) Rating on E Advance

TRINITAS CLO XXI: S&P Assigns BB- (sf) Rating on Class E Notes
VERUS SECURITIZATION 2022-2: DBRS Finalizes B Rating on B-2 Notes
VERUS SECURITIZATION 2023-1: S&P Assigns Prelim B-(sf) on B-2 Notes
VITALITY RE XIV: S&P Assigns 'BB+ (sf)' Rating on Class E Notes
WHITNEY FUNDING: DBRS Hikes Class D Loan Rating to BB(low)

[*] DBRS Reviews 477 Classes from 45 U.S. RMBS Transactions
[*] DBRS Reviews 674 Classes From 29 U.S. RMBS Transactions
[*] Moody's Takes Action on $98MM of US RMBS Issued 2002-2007
[*] S&P Takes Various Actions on 190 Ratings from Six US RMBS Deals

                            *********

BAMLL COMMERCIAL 2020-BOC: Fitch Affirms BBsf Rating on Cl. E Certs
-------------------------------------------------------------------
Fitch Ratings has affirmed the ratings for BAMLL Commercial
Mortgage Securities Trust 2020-BOC Commercial Mortgage Pass-Through
Certificates, Series 2020-BOC.

   Entity/Debt      Rating             Prior
   -----------      ------             -----
BAMLL 2020-BOC
  
   A 05551JAA8   LT AAAsf  Affirmed    AAAsf
   B 05551JAE0   LT AA-sf  Affirmed    AA-sf
   C 05551JAG5   LT A-sf   Affirmed     A-sf
   D 05551JAJ9   LT BBB-sf Affirmed   BBB-sf
   E 05551JAL4   LT BBsf   Affirmed     BBsf
   X 05551JAC4   LT A-sf   Affirmed     A-sf

KEY RATING DRIVERS

Stable Performance: The single-tenant property continues to exhibit
stable performance as reflected in the most recent servicer
reported TTM September 2022 (TTM 9 2022) NCF, which is consistent
with Fitch expectations at issuance. The reported TTM 9 2022 net
cash flow debt service coverage ratio (DSCR) is 2.48x and occupancy
remains at 100%. Fitch's analysis reflects the current in-place
base rent with the pass-through of expenses as a fully net-lease
structure. The updated Fitch net cash flow (NCF) is 3.5% below the
Fitch NCF from issuance due to reduced transient parking income
caused by the pandemic.

High-Quality Office Collateral in Strong Location: The Bravern
Office Commons is a 749,694-sf, class A office property located in
downtown Bellevue, WA. Developed in 2009, the property consists of
two buildings (Bravern I and Bravern II) and is part of a mixed-use
development that includes approximately 305,000sf of luxury retail
space (non-collateral) and 455 high-end residential units
(non-collateral). The loan collateral includes a seven-level,
approximately 3,130-stall, subterranean parking garage. Fitch
assigned a property quality grade of 'B+'.

Single-Tenant Lease Exposure and Rollover Risk: The office
buildings are entirely net-leased to Microsoft Corporation
(AAA/F1+/Stable), the world's largest software company with a $1.75
trillion market cap and $107.3 billion in cash and short-term
investments. Microsoft has invested over $181 million ($241psf) of
its own capital to enhance the design and technical performance
specifications of the office buildings.

The Microsoft lease expires during the loan term and has a weighted
average remaining term of 2.5 years. There are two, five-year
renewal options remaining for Bravern I and one, five-year renewal
option remaining for Bravern II. Twelve months' prior written
notice is required, and there are no termination or contraction
options for either space.

Reserves: Upfront reserves of approximately $7.3 million were
funded to address all outstanding landlord obligations, including
tenant improvements and rent differential. The loan includes a cash
flow sweep upon a trigger event, which occurs if Microsoft does not
provide notice to renew within 12 months of lease expiration or
ceases to be in physical occupancy of more than 375,000sf
(approximately 47% of NRA).

Low Fitch Leverage: The $304 million mortgage loan has a Fitch debt
service coverage ratio and loan-to-value of 1.11x and 80.3%,
respectively based on the updated Fitch NCF. The sponsor acquired
the property in December 2019 for $608 million ($811psf).

Institutional Sponsorship: QSuper was founded in 1912 and is a
superannuation benefits fund with approximately AUD133 billion (USD
88.6 billion) in assets under management as of June 31, 2021. The
firm provides its services to employees of Queensland Government
departments, authorities and enterprises. The firm invests in
public equity, fixed-income markets, cash and properties in
Australia and across the globe. Invesco currently serves as
investment advisor to QSuper, pursuant to an investment advisory
and management agreement.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

A downgrade to classes A and B is not considered likely due to the
position in the capital structure, but may occur should interest
shortfalls occur. A downgrade to classes C, D and E is considered
unlikely given the credit quality of the single-tenant, but is
possible given the binary risk of the property.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

It is unlikely that any classes would be upgraded during the
remaining loan term, given the single-tenant and non-amortizing
nature of the securitized loan, but is possible with significant
improvement in cash flow and mitigation of rollover risk. Classes
would not be upgraded beyond 'Asf' if there is any likelihood of
interest shortfalls.

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This 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.


BB-UBS TRUST 2012-TFT: DBRS Confirms B(high) Rating on TE Certs
---------------------------------------------------------------
DBRS Limited downgraded the ratings on four classes of Commercial
Mortgage Pass-Through Certificates, Series 2012-TFT issued by
BB-UBS Trust 2012-TFT as follows:

-- Class B to BBB (high) (sf) from A (high) (sf)
-- Class C to B (low) (sf) from BB (high) (sf)
-- Class D to CCC (sf) from B (low) (sf)
-- Class E to C (sf) from CCC (sf)

In addition, DBRS Morningstar confirmed the ratings on three
classes as follows:

-- Class A at AAA (sf)
-- Class X-A at AAA (sf)
-- Class TE at B (high) (sf)

With this review, DBRS Morningstar revised the trends on Classes C
and TE to Stable from Negative. All other trends are Stable,
excluding Classes D and E, which have ratings that generally do not
carry a trend.

The transaction was originally backed by three separate 7.5-year,
fixed-rate, interest-only (IO) first-mortgage loans with a combined
principal balance of $567.8 million. The three loans were secured
by the Tucson Mall (Prospectus ID#1; 59.8% of the pool) in Tucson;
the Fashion Place mall (Prospectus ID#2) in Murray, Utah; and the
Town East Mall (Prospectus ID#3; 40.2% of the pool) in Mesquite,
Texas. The loans were sponsored by GGP Limited Partnership, which
Brookfield Property Partners, L.P. acquired in July 2018. As of the
December 2022 reporting, two of the original three loans remain in
the trust with an outstanding balance of $343.8 million, reflecting
a collateral reduction of 39.4% since issuance as a result of the
payoff of the Fashion Place loan in June 2021.

During the June 2021 review, both of the remaining mall properties
were specially serviced and DBRS Morningstar downgraded Classes B
and C, and placed negative trends on Classes C, D, and TE, to
reflect the initial 2020 value decline for both collateral mall
properties, representing a combined decline of 35.1% from issuance.
Following a return of the loans to the master servicer, and given
the overall property quality of both malls, favorable tenant
rosters, and strong sales, which remained stable throughout the
Coronavirus Disease (COVID-19) pandemic, DBRS Morningstar confirmed
its ratings in June 2022 and has continued to monitor the loans for
evidence of cash flow improvements. While the performance of Town
East Mall appears to have stabilized, the most recent financial
reporting indicates Tucson Mall's operations will not recover
despite stable occupancy and sales. Additionally, appraised values
for both underlying properties have continued to decline, now
representing a 52.9% cut from issuance. DBRS Morningstar believes
Tucson Mall, representing the majority of the pool balance, will be
unlikely to achieve pre-pandemic performance in the near term. In
addition, DBRS Morningstar remains concerned about the increased
refinance risk based on the general lack of liquidity for regional
malls. The final extended maturity date for both loans is June
2024. These factors are the drivers behind DBRS Morningstar's
downgrades of classes B through E.

For this review's rating analysis, DBRS Morningstar derived a net
cash flow (NCF) for both properties based on an annualization of
the most recently reported NCF; the NCF for Tucson Mall was given
an additional stress to reflect the deterioration of the property's
value and the continued decline in revenue. DBRS Morningstar
applied cap rates that are at the high end of DBRS Morningstar's
Cap Rate Ranges for regional mall properties and in line with the
appraiser's estimates, reflecting the secondary market locations
and Class B nature of the collateral. The combined DBRS Morningstar
concluded value of $286.9 million suggests Class E and a portion of
Class D could be exposed to losses should a default and liquidation
ultimately occur within the near to moderate term.

DBRS Morningstar maintained positive and negative qualitative
adjustments to the final loan-to-value (LTV) sizing benchmarks used
for this rating analysis to account for property quality and market
fundamentals, amounting to a positive 0.25% adjustment for the Town
East Mall loans and -0.50% for the Tucson Mall loan.

The rating confirmations and Stable trends reflect the sufficient
credit support available to the remaining bonds relative to DBRS
Morningstar's ongoing expectations. Although DBRS Morningstar
believes that the recent cash flow trends at Tucson Mall and the
as-is values for both malls have fallen significantly since
issuance, it considers the Class A certificate to be well insulated
from potential loss. DBRS Morningstar's outlook for Town East Mall
as the better performer of the remaining assets points to
additional insulation for the directed Class TE certificate. The
loans are neither cross defaulted nor cross collateralized. Based
on the most recent financials, both malls have maintained
consistent occupancy year over year, stable sales volumes, and
above-breakeven cash flows in comparison with the YE2021 reporting.
Foot traffic is also expected to hold steady as these are the
primary malls for residents of each mall's respective area.
Additionally, the loans received loan modifications and/or maturity
extensions in 2021, including a maturity extension for both
properties to June 2022 with two additional, one-year extension
options in tandem with a small equity infusion to pay down the loan
balances and a full cash flow sweep until the loans are paid in
full. According to the servicer, both properties have met the
extension requirements, consisting of debt yield hurdle tests, and
both loan maturities have been extended to June 2023. The fully
extended maturity date is June 1, 2024.

According to the December 2022 reporting, the two remaining loans
are current, with Town East Mall being monitored on the servicer's
watchlist for the upcoming lease expiration of the noncollateral
anchor tenants. Please see below for more information.

The Tucson Mall loan is secured by a 667,581-square foot (sf)
portion of a 1.3 million-sf super regional mall in Tucson. The
property is currently anchored by Dillard's, Macy's, JCPenney,
Dick's Sporting Goods, and Forever 21, all of which own their own
improvements. As of the September 2022 rent roll, the total mall
occupancy rate was 93.8%, in line with the February 2022 figure of
94.0%, and consistent with reporting since issuance. According to
the most recent sales report, in-line sales for YE2021 were
reported to be $464 psf, which is well above the YE2020 sales of
$318 psf and the issuance level of $389 psf. Downward pressure on
rents as a result of rent deferrals, combined with increasing
operating expenses, continues to stress the NCF as of the
year-to-date (YTD) ended June 30, 2022, financials. The annualized
Q2 2022 NCF is reported at $12.3 million (with a debt service
coverage ratio (DSCR) of 1.71 times (x)), representing a 15.7%
decrease from the YE2021 NCF of $14.6 million (with a DSCR of
1.99x), and well below the issuer's NCF of $24.1 million (with a
DSCR of 3.29x). Should the deferred rents be recollected, DBRS
Morningstar expects that, barring a significant improvement in base
rental rates, the asset is unlikely to recapture pre-pandemic
performance. The most recent appraisal valued the property at
$121.0 million, representing a 70.0% decline from $400.0 million at
issuance.

The Town East Mall loan is secured by a 421,206-sf portion of a 1.2
million-sf regional mall in Mesquite, 10 miles east of Dallas. The
property is anchored by Dillard's, JCPenney, and Macy's, none of
which are included as collateral for the loan. All three anchor
leases have reported ground lease expiration dates of December 31,
2022, and, according to the servicer, the borrower is working on
long-term renewals. Other major retailers at the mall include
Dick's Sporting Goods, Forever 21, and H&M. According to the
September 2022 rent roll, total mall occupancy was 80.0%, in line
with the YE2021 figure of 80.5%. The vacancy is due to the
departure of the non-collateral Sears in April 2021. The DSCR for
the YTD period ended June 30, 2022, was 2.79x, which remains in
line with the YE2021 and issuer's DSCR of 2.77x and 2.89x,
respectively. In-line sales for the 12 month period (T-12) ended
March 31, 2022, were reported to be $562 psf, surpassing sales for
the T-12 ended September 30, 2021, of $554 psf and pre-pandemic
YE2019 sales of $539 psf. As of June 2021, the property was
revalued by the appraiser at $187.0 million, a 26.4% decline from
the issuance value of $254.0 million.

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



BEAR STEARNS 2007-AR4: Moody's Ups Cl. II-A-1 Debt Rating to Ba1
----------------------------------------------------------------
Moody's Investors Service has upgraded the rating of Class II-A-1
issued by Bear Stearns Mortgage Funding Trust 2007-AR4. The
collateral backing this deal consists of Option ARM mortgages.

Complete rating action is as follows:

Issuer: Bear Stearns Mortgage Funding Trust 2007-AR4

Cl. II-A-1, Upgraded to Ba1 (sf); previously on Oct 1, 2021
Upgraded to Ba3 (sf)

RATING RATIONALE

The rating action reflects the recent performance as well as
Moody's updated loss expectations on the underlying pool. The
rating upgrade is a result of the improving performance of the
related pool and an increase in credit enhancement available to the
bond.

Principal Methodologies

The principal methodology used in this rating was "US RMBS
Surveillance Methodology" published in July 2022.

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

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.


BRIGHTWOOD CAPITAL 2020-1: S&P Assigns BB (sf) Rating on E-R Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to the replacement class
A-1R loans; replacement class A-1R, B-1R, B-2R, C-1R, C-2R, and D-R
notes; and new class A-2R and E-R notes from Brightwood Capital MM
CLO 2020-1 Ltd./Brightwood Capital MM CLO 2020-1 LLC, a CLO
originally issued in December 2020 that is managed by Brightwood
SPV Advisors LLC, an affiliate of Brightwood Capital Advisors LLC.

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

-- The replacement class A-1R loans and replacement class A-1R,
B-1R, C-1R, and D-R notes were issued at a higher spread over the
reference rate than the original notes.

-- The replacement class B-2R and C-2R notes were issued at a
higher coupon than the original notes.

-- A senior fixed-rate class A-2R note was issued.

-- A junior floating-rate class E-R note was issued.

-- The stated maturity was extended three years.

-- A one-year non-call period was implemented.

-- Of the identified underlying collateral obligations, 95.33%
have credit ratings assigned by S&P Global Ratings.

  Replacement And Original Note Issuances

  Replacement debt

  Class A-1R notes, $89.75 million: Three-month SOFR + 2.80%
  Class A-1R loans, $75.00 million: Three-month SOFR + 2.80%
  Class A-2R, $40.85 million: 7.471%
  Class B-1R, $33.50 million: Three-month SOFR + 3.75%
  Class B-2R, $13.00 million: 7.802%
  Class C-1R (deferrable), $28.00 million: Three-month SOFR +
5.50%
  Class C-2R (deferrable), $5.00 million: 9.345%
  Class D-R (deferrable), $16.90 million: Three-month SOFR + 6.25%
  Class E-R (deferrable), $28.20 million: Three-month SOFR + 8.72%

  Original notes

  Class A, $117.80 million: Three-month LIBOR + 1.90%
  Class A loan, $111.44 million: Three-month LIBOR + 1.90%
  Class B-1, $31.00 million: Three-month LIBOR + 2.75%
  Class B-2, $21.80 million: 3.00%
  Class C-1 (deferrable), $23.80 million: Three-month LIBOR +
4.00%
  Class C-2 (deferrable), $5.00 million: 4.29%
  Class D, $14.50 million: Three-month LIBOR + 5.40%
  Subordinated notes, $95.85 million: Residual

  SOFR--Secured overnight financing rate.

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

"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."

  Ratings Assigned

  Brightwood Capital MM CLO 2020-1 Ltd./
  Brightwood Capital MM CLO 2020-1 LLC

  Class A-1R notes, $89.75 million: AAA (sf)
  Class A-1R loans, $75.00 million: AAA (sf)
  Class A-2R, $40.85 million: AAA (sf)
  Class B-1R, $33.50 million: AA (sf)
  Class B-2R, $13.00 million: AA (sf)
  Class C-1R (deferrable), $28.00 million: A (sf)
  Class C-2R (deferrable), $5.00 million: A (sf)
  Class D-R (deferrable), $16.90 million: BBB+ (sf)
  Class E-R (deferrable), $28.20 million: BB (sf)

  Ratings Withdrawn

  Brightwood Capital MM CLO 2020-1 Ltd./
  Brightwood Capital MM CLO 2020-1 LLC

  Class A to not rated from 'AAA (sf)'
  Class A loan to not rated from 'AAA (sf)'
  Class B-1 to not rated from 'AA (sf)'
  Class B-2 to not rated from 'AA (sf)'
  Class C-1 to not rated from 'A (sf)'
  Class C-2 to not rated from 'A (sf)'
  Class D to not rated from 'BBB (sf)'

  Other Outstanding Notes

  Brightwood Capital MM CLO 2020-1 Ltd./
  Brightwood Capital MM CLO 2020-1 LLC

  Subordinated notes: Not rated



BWAY COMMERCIAL: DBRS Confirms BB(low) Rating on Class E Certs
--------------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2022-26WB issued by BWAY
Commercial Mortgage Trust 2022-26BW as follows:

-- Class A at AAA (sf)
-- Class X at BBB (high) (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (sf)
-- Class E at BB (low) (sf)

All trends are Stable.

The rating confirmations and Stable trends reflect the overall
stable performance of the underlying collateral since issuance. The
collateral for the transaction consists of a 29-story,
839,712-square-foot (sf) office building in the Financial District
of Manhattan, New York. The property includes 18,960 sf of
street-level retail space. The $290.0 million mortgage loan
consists of a $222.2 million trust component with the remaining
$67.8 million in companion loans evidenced by four promissory notes
that were not deposited into the trust. In addition, the property
is encumbered by a $40.0 million mezzanine loan.

The collateral was 82.2% leased at issuance, with credit tenants
accounting for more than 40% of the net rentable area (NRA). While
occupancy remains healthy at 78.7% per the September 2022 rent
roll, the loan was added to the servicer's watchlist for a low debt
service coverage ratio of 0.74 times, which appears to be
attributed to the reduced rents for the second-largest tenant, Live
Primary, LLC (Live Primary; 8.8% of the NRA, lease expiry December
2027), coupled with rent steps not fully realized and a lack of
full-year reporting as the deal only closed in February 2022. The
servicer has reached out to the borrower to gather additional
information in regards to the net cash flow decline. The loan,
however, has remained current on its debt service payments since
issuance.

At issuance, DBRS Morningstar noted the second-largest tenant, Live
Primary, filed for federal bankruptcy in 2020. Although the
coworking company is not in bankruptcy anymore, it does pay reduced
rent through Q1 2023. The loan includes a Live Primary Rent
Replication Reserve of $1.15 million to pay the difference between
the reduced Live Primary rent through March 31, 2023, and the rent
payable after April 1, 2023. As of the December 2022 reserve
report, the loan noted a total reserve balance of $5.6 million,
including the Live Primary Rent Replication Reserve and a $1.5
million capital expenditure reserve to address the physical needs
of the property.

The largest tenants at the collateral include The New York City
Department of Education (34.3% of NRA, lease expires in January
2039 and March 2041; noted as a long-term credit tenant by DBRS
Morningstar), Live Primary, and Court of Claims (5.2% of NRA, lease
expiry January 2032). Through YE2023 there is minimal rollover
risk, with only 6.1% of the NRA with upcoming lease expirations.

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



CHNGE MORTGAGE 2022-5: DBRS Gives Prov. B Rating on B2 Certs
------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following Mortgage
Pass-Through Certificates, Series 2022-5 to be issued by CHNGE
Mortgage Trust 2022-5 (CHNGE 2022-5 or the Trust):

-- $166.3 million Class A-1 at A (sf)
-- $10.2 million Class M-1 at BBB (sf)
-- $10.5 million Class B-1 at BB (sf)
-- $7.0 million Class B-2 at B (sf)

The A (sf) rating on the Class A-1 certificates reflects 17.30% of
credit enhancement provided by subordinated certificates. The BBB
(sf), BB (sf), and B (sf) ratings reflect 12.25%, 7.05%, and 3.55%
of credit enhancement, respectively.

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

This is a securitization of a portfolio of fixed- and
adjustable-rate expanded prime first-lien residential mortgages
funded by the issuance of the Certificates. The Certificates are
backed by 378 mortgage loans with a total principal balance of
$201,116,776 as of the Cut-Off Date (December 1, 2022).

CHNGE 2022-5 represents the fifth securitization issued by the
Sponsor, Change Lending, LLC (Change), comprised entirely of loans
from its Community Mortgage and EZ Prime programs. All the loans in
the pool were originated by Change, which is certified by the U.S.
Department of the Treasury as a Community Development Financial
Institution (CDFI). As a CDFI, Change is required to lend at least
60% of its production to certain target markets, which include
low-income borrowers or other underserved communities.

While loans originated by a CDFI are not required to comply with
the Consumer Financial Protection Bureau's Qualified Mortgage and
Ability-to-Repay rules, the mortgages included in this pool were
made to generally creditworthy borrowers with near-prime credit
scores, low loan-to-value ratios, and robust reserves.

The loans in the pool were underwritten through Change's Community
Mortgage (96.3%) and EZ Prime (3.7%) programs, both of which are
considered weaker than other origination programs because income
documentation verification is not required. Generally, underwriting
practices of these programs focus on borrower credit, borrower
equity contribution, housing payment history, and liquid reserves
relative to monthly mortgage payments. Because post-2008 crisis
historical performance is limited on these products, DBRS
Morningstar applied additional assumptions to increase the expected
losses for the loans in its analysis.

On or after the earlier of (1) the distribution date occurring in
January 2025 and (2) the date on which the aggregate stated
principal balance of the loans falls to 30% or less of the Cut-Off
Date balance, at its option, the Depositor may redeem all of the
outstanding certificates at the redemption price (par plus
interest). Such optional redemption may be followed by 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 Sponsor will have the option, but not the obligation, to
repurchase any mortgage loan that becomes 90 or more days
delinquent (not related to a Coronavirus Disease (COVID-19)
forbearance) under the Mortgage Bankers Association method at par
plus interest, provided that such purchases in aggregate do not
exceed 7.5% of the total principal balance as of the Cut-Off Date.

Change is the Servicer for the transaction. NewRez LLC doing
business as Shellpoint Mortgage Servicing (85.0%) and LoanCare, LLC
(15.0%) are the Subservicers. The Servicer will fund advances of
delinquent principal and interest (P&I) on any mortgage until such
loan becomes 90 days delinquent, 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.

This transaction employs a sequential-pay cash flow structure.
Principal proceeds can be used to cover interest shortfalls on
certificates, but such shortfalls on the Class M-1 certificates and
more subordinate bonds will not be paid from principal proceeds
until the more senior classes are retired. Furthermore, excess
spread can be used to cover realized losses and prior period bond
writedown amounts first before being allocated to unpaid cap
carryover amounts to Class A-1.

Under the U.S. Risk Retention Rules, CDFI loans fall within the
definition of "community-focused residential mortgages." A
securitization transaction containing only community-focused
residential mortgages is exempt under the U.S. Risk Retention Rules
and accordingly, the Sponsor will not be required to retain any
credit risk under Section 15G of the Securities Exchange Act of
1934 and the regulations promulgated thereunder. Notwithstanding
the exemption, Change has elected to retain the Class B-3, A-IO-S,
and XS certificates.

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



CITIGROUP MORTGAGE 2018-RP3: Moody's Ups B-1 Debt Rating to Ba1
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 14 tranches
from six transactions issued by Citigroup Mortgage Loan Trust
between 2015 and 2019.

The transactions are backed by seasoned performing and modified
re-performing residential mortgage loans (RPL), serviced by Fay
Servicing LLC and Shellpoint Mortgage Servicing.

The complete rating actions are as follows:

Issuer: Citigroup Mortgage Loan Trust 2015-A

Cl. B-4, Upgraded to A3 (sf); previously on Mar 16, 2022 Upgraded
to Baa2 (sf)

Issuer: Citigroup Mortgage Loan Trust 2015-PS1

Cl. B-3, Upgraded to Aa2 (sf); previously on Mar 16, 2022 Upgraded
to A1 (sf)

Issuer: Citigroup Mortgage Loan Trust 2015-RP2

Cl. B-3, Upgraded to Aaa (sf); previously on Mar 16, 2022 Upgraded
to Aa1 (sf)

Cl. B-4, Upgraded to A1 (sf); previously on Mar 16, 2022 Upgraded
to A3 (sf)

Issuer: Citigroup Mortgage Loan Trust 2018-RP2

Cl. M-2, Upgraded to Aa2 (sf); previously on Mar 16, 2022 Upgraded
to A1 (sf)

Cl. M-3, Upgraded to A3 (sf); previously on Mar 16, 2022 Upgraded
to Baa2 (sf)

Issuer: Citigroup Mortgage Loan Trust 2018-RP3

Cl. B-1, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed
at Ba2 (sf)

Cl. M-1, Upgraded to Aaa (sf); previously on Aug 9, 2018 Definitive
Rating Assigned Aa2 (sf)

Cl. M-2, Upgraded to Aa3 (sf); previously on Jan 14, 2020 Upgraded
to A2 (sf)

Cl. M-3, Upgraded to Baa2 (sf); previously on Sep 28, 2020
Confirmed at Baa3 (sf)

Issuer: Citigroup Mortgage Loan Trust 2019-RP1

Class B-1, Upgraded to Ba1 (sf); previously on Sep 28, 2020
Confirmed at Ba3 (sf)

Class M-1, Upgraded to Aaa (sf); previously on Apr 30, 2019
Definitive Rating Assigned Aa2 (sf)

Class M-2, Upgraded to A1 (sf); previously on Apr 30, 2019
Definitive Rating Assigned A3 (sf)

Class M-3, Upgraded to Baa1 (sf); previously on Sep 28, 2020
Confirmed at Baa3 (sf)

RATINGS RATIONALE

The rating upgrades are driven by stronger performance of the
underlying loans in the pools relative to initial expectations and
an increase in the credit enhancement available to the rated bonds
due to the sequential pay structures as well as prepayments. The
actions reflect Moody's updated loss expectations on the pools
which incorporate Moody's assessment of the representations and
warranties framework of the transactions, the due diligence
findings of the third-party reviews at the time of issuance, and
the transactions' servicing arrangement.

The loans underlying the pools have fewer delinquencies and have
prepaid at a faster rate than originally anticipated, resulting in
an improvement in Moody's loss projections for the pools (link
above provides Moody's current estimates). In Moody's analysis,
Moody's also considered the likelihood of higher future pool
expected losses due to rising borrower defaults driven by an
increase in unemployment and inflation while prepayments remain
broadly subdued amid elevated interest rates.

Principal Methodologies

The methodologies used in these ratings were "Non-Performing and
Re-Performing Loan Securitizations 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.


COMM 2014-LC17: Fitch Affirms 'BBsf' Rating on Two Tranches
-----------------------------------------------------------
Fitch Ratings has upgraded two classes and affirmed 13 classes of
COMM 2014-LC17 Mortgage Trust. The Rating Outlooks of classes B and
X-B are Stable following the upgrade. Fitch has also revised the
Rating Outlook on Class C to Positive from Stable.

   Entity/Debt         Rating            Prior
   -----------         ------            -----
COMM 2014-LC17
  
   A-4 12592MBJ8    LT AAAsf  Affirmed   AAAsf
   A-5 12592MBK5    LT AAAsf  Affirmed   AAAsf
   A-M 12592MBM1    LT AAAsf  Affirmed   AAAsf
   A-SB 12592MBG4   LT AAAsf  Affirmed   AAAsf
   B 12592MBN9      LT AAAsf  Upgrade    AAsf
   C 12592MBQ2      LT Asf    Affirmed   Asf
   D 12592MAN0      LT BBsf   Affirmed   BBsf
   E 12592MAQ3      LT CCCsf  Affirmed   CCCsf
   F 12592MAS9      LT CCsf   Affirmed   CCsf
   PEZ 12592MBP4    LT Asf    Affirmed   Asf
   X-A 12592MBL3    LT AAAsf  Affirmed   AAAsf
   X-B 12592MAA8    LT AAAsf  Upgrade    AAsf
   X-C 12592MAC4    LT BBsf   Affirmed   BBsf
   X-D 12592MAE0    LT CCCsf  Affirmed   CCCsf
   X-E 12592MAG5    LT CCsf   Affirmed   CCsf

KEY RATING DRIVERS

Increasing Credit Enhancement (CE) and Defeasance: The upgrade to
class B (and interest only class X-B) reflects increasing CE as a
result of amortization and loan payoffs as well as stable to
improving pool performance. The Positive Outlook for class C
reflects the potential for an upgrade over the next one to two
years with loan payoffs and/or additional defeasance combined with
continued stable pool performance.

As of the December 2022 distribution date, the pool's aggregate
principal balance has paid down by 39.8% to $744.5 million from
$1.24 billion at issuance. Since Fitch's prior rating action, five
loans totaling $48.4 million prepaid with yield maintenance or paid
in full post maturity. Fourteen loans (13.5%) have been fully
defeased up from nine loans (7.4%) at the prior rating action.
There has been $35.7 million in realized losses to date.

Six loans (24.5%) are full-term interest only and the remaining
loans are amortizing. All of the remaining loans mature August
through October 2024.

Stable Loss Expectations: Loss expectations are generally stable
compared with the prior rating action. There has been continued
performance stabilization of loans that had been affected by the
pandemic. There are seven Fitch Loans of Concern (FLOC; 10.4% of
pool), including three (2.7%) in special servicing. However, the
majority of the remaining pool continues to perform as expected.
Fitch's current ratings incorporate a base case loss of 5.2%.

The largest FLOC is the Aloft Cupertino loan (4.2%), which is
secured by a 123-key, limited service hotel in Cupertino, CA,
within Silicon Valley. The loan had transferred to special
servicing in March 2021 for payment default resulting from economic
hardship brought on by the coronavirus pandemic and diminished
business travel. At issuance, the borrower stated that corporate
demand accounted for 85% of revenue, given its close proximity to
Apple's, Google's, Seagate's, PWC's and Amazon's offices.

However, the lender and borrower agreed to a
modification/forbearance agreement, which included the deferral of
delinquent principal and interest payments, an interest-only period
between July 2021 and June 2022, deferment of FF&E deposits between
January 2021 and June 2022 and a waiver of default interest and
late fees. Deferred amounts are to be paid back by the end of June
2024, two months prior to this loan's maturity. The loan was
returned to the master servicer as a corrected loan in June 2022,
but performance continues to recover. Per the Smith Travel Report
(STR) as of TTM June 2021, RevPAR was $29.21, compared with $202.11
as of June 2019.

The largest contributor to expected losses is Parkway 120 (5.5%), a
221,664-sf office property located in Matawan, NJ, approximately 35
miles south of New York City. Property performance has been
generally stable for the past several years. As of YE 2021, the
DSCR and occupancy were reported to be 1.31x and 94%, respectively.
The lease for the subject's largest tenant, ICIMS Inc. (NRA 37.9%),
is scheduled to expire in July 2023. In its analysis, Fitch applied
a 10% cap rate and a 15% haircut to YE 2021 NOI to reflect lease
rollover risk associated with the ICIMS lease resulting in a 23.5%
expected loss.

The loan in special servicing is the Paradise Valley asset (1.8% of
pool), a shopping center located in Phoenix, AZ, which became REO
in January 2022. The loan transferred to special servicing in
August 2020 for imminent monetary default. The property was already
exhibiting performance issues in 2016 when the largest tenant,
RoomStore of Phoenix (35.3% of NRA) declared bankruptcy and
vacated. Occupancy has fallen to 41% as of October 2022 from 65% at
YE 2018. However, the servicer reports that there has been strong
leasing traction and occupancy is expected to improve. Fitch's
expected loss of 25% incorporates a discount to a recent appraisal,
reflecting a stressed value of $118 psf.

Alternative Loss Considerations: Due to upcoming maturities (100%
of the pool matures by October 2024), Fitch performed a sensitivity
and liquidation analysis, which grouped the remaining loans based
on their current status and collateral quality and ranked them by
their perceived likelihood of repayment and/or loss expectation. In
this scenario, Fitch assumed that the Parkway 120 loan and the
specially serviced loans/assets remain in the pool. This analysis
contributed to the upgrade to class B (and interest-only class X-B)
as well as the Positive Outlook for class C.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

- Downgrades to classes A-4 through B and the interest-only classes
X-A and X-B are not likely due to the position in the capital
structure and the expected paydown from maturing loans, but may
occur should interest shortfalls occur;

- Downgrades to classes C, D and PEZ are possible should overall
loss expectations for the pool increase significantly, performance
of the FLOCs further decline and loans fail to repay at their
respective maturity dates and transfer to special servicing;

- Downgrades to distressed classes E and F would occur as losses
are realized and/or become more certain.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

The Positive Outlook on Class C reflects the potential for upgrade
with continued paydown and defeasance, stable pool performance
and/or there is certainty of loans paying off at or prior to their
respective maturity dates, particularly for the Parkway 120 loan.

An upgrade of class D is considered unlikely and would be limited
based on the sensitivity to concentrations or the potential for
future concentrations; the class would not be upgraded above 'Asf'
if there is a likelihood of interest shortfalls. An upgrade to
classes E and F is not likely, but would be possible if the pool
continues to stabilize/improve and the loans in special servicing
are resolved with losses that are much lower than expected.

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This 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.


DIAMETER CAPITAL 4: S&P Assigns Prelim BB- (sf) Rating on D Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Diameter
Capital CLO 4 Ltd./Diameter Capital CLO 4 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 Diameter CLO Advisors LLC.

The preliminary ratings are based on information as of Jan. 9,
2023. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

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

-- The diversification of the collateral pool;

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

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

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

  Preliminary Ratings Assigned

  Diameter Capital CLO 4 Ltd./Diameter Capital CLO 4 LLC

  Class A-1, $149.00 million: AAA (sf)
  Class A-1L loans(i), $151.00 million: AAA (sf)
  Class A-1N(i), $0.00 million: AAA (sf)
  Class A-2A, $52.00 million: AA (sf)
  Class A-2B, $20.00 million: AA (sf)
  Class B (deferrable), $28.00 million: A (sf)
  Class C-1 (deferrable), $22.50 million: BBB (sf)
  Class C-2 (deferrable), $5.50 million: BBB- (sf)
  Class D (deferrable)(ii), $17.00 million: BB- (sf)
  Subordinated notes, $62.10 million: Not rated

(i)Class A-1L loans can be converted to class A-1N notes but not
vice versa.
(ii)Class D notes will not initially be issued but can be for up to
$17.00 million on a future date.



FANNIE MAE 2023-R01: S&P Assigns Prelim 'BB+' Rating on 1B-1 Notes
------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Fannie Mae
Connecticut Avenue Securities Trust 2023-R01's notes.

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

The preliminary ratings are based on information as of Jan. 9,
2023. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

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

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

-- The issuer's aggregation experience and the alignment of
interests between the issuer and noteholders in the transaction's
performance, which S&P believes enhances the notes' strength;

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

-- The potential impact that current and near-term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, "On April 17, 2020, we updated our mortgage
outlook and corresponding archetypal foreclosure frequency levels
to account for the potential impact of the COVID-19 pandemic on the
overall credit quality of collateralized pools. While
pandemic-related performance concerns have waned, we continue to
maintain our updated 'B' FF for the archetypal pool at 3.25%, given
our current outlook for the U.S. economy. With rising interest
rates and inflation, the Russia-Ukraine conflict ongoing, tensions
over Taiwan escalating, and the China slowdown exacerbating
supply-chain and pricing pressures, the U.S. economy appears to be
teetering toward recession."

  Preliminary Ratings Assigned

  Fannie Mae Connecticut Avenue Securities Trust 2023-R01

  Class 1A-H(i), $21,515,392,348: Not rated
  Class 1M-1, $429,855,000: BBB+ (sf)
  Class 1M-1H(i), $22,624,334: Not rated
  Class 1M-2A(ii), $82,388,000: BBB+ (sf)
  Class 1M-AH(i), $4,337,206: Not rated
  Class 1M-2B(ii), $82,388,000: BBB (sf)
  Class 1M-BH(i), $4,337,206: Not rated
  Class 1M-2C(ii), $82,388,000: BBB- (sf)
  Class 1M-CH(i), $4,337,206: Not rated
  Class 1M-2(ii), $247,164,000: BBB- (sf)
  Class 1B-1A(ii), $26,865,000: BB+ (sf)
  Class 1B-AH(i), $1,414,958: Not rated
  Class 1B-1B(ii), $26,865,000: BB+ (sf)
  Class 1B-BH(i), $1,414,958: Not rated
  Class 1B-1(ii), $53,730,000: BB+ (sf)
  Class 1B-2H(i), $226,239,667: Not rated
  Class 1B-3H(i), $113,119,834: Not rated

(i)Reference tranche only and will not have corresponding notes.
Fannie Mae retains the risk of these tranches.
(ii) The holders of the class 1M-2 notes 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 holders of the class
1B-1 notes may exchange all or part of that class for proportionate
interests in the class 1B-1A and 1B-1B notes and vice versa. The
holders of the class 1M-2A, 1M-2B, 1M-2C, 1B-1A and 1B-1B notes may
exchange all or part of those classes for proportionate interests
in the classes of RCR notes as specified in the offering
documents.



HERTZ VEHICLE III: DBRS Confirms BB Rating on 2 Classes of Notes
----------------------------------------------------------------
DBRS, Inc. confirmed the ratings on eight securities issued by two
Hertz Vehicle Financing III LLC transactions:

-- Series 2021-1, Class A Notes at AAA (sf)
-- Series 2021-1, Class B Notes at A (sf)
-- Series 2021-1, Class C Notes at BBB (sf)
-- Series 2021-1, Class D Notes at BB (sf)
-- Series 2021-2, Class A Notes at AAA (sf)
-- Series 2021-2, Class B Notes at A (sf)
-- Series 2021-2, Class C Notes at BBB (sf)
-- Series 2021-2, Class D Notes at BB (sf)

The confirmations are based on the following analytical
considerations:

-- The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios for
Rated Sovereigns: September 2022 Update," published on September
19, 2022. These baseline macroeconomic scenarios replace DBRS
Morningstar's moderate and adverse Coronavirus Disease (COVID-19)
pandemic scenarios, which were first published in April 2020.

-- The fleet mix remains strong, with a high portion of vehicles
from investment-grade manufacturers.

-- Gains above book value remain strong, with residual gains well
over 100% in recent months.

-- The pool is in compliance with all concentration limits.

Notes: The principal methodology is DBRS Morningstar Master U.S.
ABS Surveillance (November 8, 2022), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.



JP MORGAN 2012-C8: Fitch Hikes Rating on Class G Certs to 'BBsf'
----------------------------------------------------------------
Fitch Ratings has upgraded and assigned a Stable Outlook to the
remaining rated class of J.P. Morgan Chase Commercial Mortgage
Securities Trust 2012-C8 commercial pass-through certificates
series 2012-C8 (JPMCC 2012-C8).

   Entity/Debt          Rating          Prior
   -----------          ------          -----
JPMCC 2012-C8
  
   G 46638UAX4       LT BBsf  Upgrade    CCsf

KEY RATING DRIVERS

Lower Loss Expectations; Increased Credit Enhancement: The upgrade
of class G reflects the better than expected recoveries from
previously assigned Fitch Loans of Concern (FLOCs) that were
disposed since Fitch's prior rating action. Twenty-six loans with a
combined loan balance of $605.0 million paid in full, including
seven loans that were designated FLOCs and had a combined modeled
loss of $31.9 million at Fitch's prior rating action.

As of the December 2022 distribution date, the overall pool has
paid down by 95.7% to $49.5 million from $1.137 billion at
issuance. There are no realized losses to date, and interest
shortfalls of $74,342 are currently affecting the non-rated NR
class.

Pool Concentration; Alternative Loss Consideration: One loan,
Ashford Office Complex, remains in the pool and is secured by a
570,045-sf suburban office property within the Energy Corridor of
Houston, TX. The loan, which is sponsored by Accesso Partners,
transferred to special servicing in August 2022 for maturity
default as the borrower was unable to obtain financing. The
servicer is dual tracking foreclosure and workout alternatives with
the borrower.

Property performance has declined due to several tenant vacancies
since issuance. Occupancy reported at 62% per the September 2022
rent roll, up from 47% at YE 2021 but still low compared to 93% at
issuance. Servicer-reported NOI DSCR for this amortizing loan was
also low at 0.71x as of the YTD September 2022, down from 0.84x in
2021 and 1.70x at issuance. The largest tenant, CH2M Hill, leases
14.5% NRA through November 2024.

Due to the concentrated nature of the pool, Fitch's analysis
considered the likelihood of repayment and recovery for the
remaining loan in the pool. Fitch's stressed value of approximately
$47 per-square-foot (psf) considered a 12% cap rate off the YE 2021
NOI. The Stable Outlook reflects the high likelihood of
recoverability for class G based on current loss expectations;
however, Fitch limited the upgrade for the class to below
investment grade due to the reliance for repayment from a
non-performing loan with uncertain timing of disposition. The
current rating also reflects concerns with the collateral quality,
low property occupancy, high submarket vacancy and low DSCR.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

A downgrade of class G could occur if performance and/or the
valuation of Ashford Office Complex declines significantly. If
workout for the loan is prolonged, fees and expenses could continue
to increase loan exposure and loss expectations would continue to
increase.

Fitch has identified both a baseline and a worse-than-expected,
adverse stagflation scenario based on fallout from the
Russia-Ukraine war whereby growth is sharply lower amid higher
inflation and interest rates; even if the adverse scenario should
play out, Fitch expects virtually no impact on ratings performance,
indicating very few rating or Outlook changes. However, for some
transactions with concentrations in underperforming retail
exposure, the ratings impact may be mild to modest, indicating some
changes on sub-investment grade notes.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

An upgrade of class G is considered unlikely due to the pool
concentration, but may be possible if performance and/or the
valuation of Ashford Office Complex improves significantly, with
increased certainty for timing of disposition and recoverability.

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This 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.


JP MORGAN 2013-C15: Fitch Affirms 'Bsf' Rating on Class F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 11 classes of J.P. Morgan Chase
Commercial Mortgage Securities Trust (JPMBB) Commercial Mortgage
Pass-Through Certificates series 2013-C15.

   Entity/Debt         Rating             Prior
   -----------         ------             -----
JPMBB 2013-C15
  
   A-4 46640NAD0    LT AAAsf  Affirmed    AAAsf
   A-5 46640NAE8    LT AAAsf  Affirmed    AAAsf
   A-S 46640NAJ7    LT AAAsf  Affirmed    AAAsf
   A-SB 46640NAF5   LT AAAsf  Affirmed    AAAsf
   B 46640NAK4      LT AAsf   Affirmed     AAsf
   C 46640NAL2      LT Asf    Affirmed      Asf
   D 46640NAP3      LT BBB-sf Affirmed   BBB-sf
   E 46640NAR9      LT BBsf   Affirmed     BBsf
   F 46640NAT5      LT Bsf    Affirmed      Bsf
   X-A 46640NAG3    LT AAAsf  Affirmed    AAAsf
   X-B 46640NAH1    LT AAsf   Affirmed     AAsf

KEY RATING DRIVERS

Increased Loss Expectations: Loss expectations have increased since
Fitch's last rating action mainly due to concerns with 1615 L
Street. While the majority of pool performance remains stable,
refinance concerns remain given the uncertain capital markets
environment as all the remaining loans mature in 2023 and the
weighted average coupon is 5.2%. Fitch has identified seven loans
(30.5%) as Fitch loans of concern (FLOCs), including two loans
(2.6%) in special servicing.

Fitch's current ratings incorporate a base case loss of 7.80%. The
analysis incorporated a full recognition of losses on loans in the
pool flagged as maturity defaults to reflect imminent refinance
risk as loans approach maturity.

The largest change in loss since Fitch's last review is 1615 L
Street (16.5%), which is secured by a 417,383sf office property in
Washington, DC. According to the Sept. 2022 rent roll, occupancy is
at 89.3% (79.9% after removing the lease on the 10th floor that
will not take occupancy) compared to 78.1% that was reported in
September 2021 and 93.8% in September 2020. This drop in occupancy
was largely due to the tenant Cardinia Real Estate, which
previously occupied 15.1% of NRA (totaling 63,496 sf on the 10th
and 11th floors), vacating in September 2020.

Per the most recent servicer update, there is no leasing activity
or prospects for the 10th and 11th floors vacated by Cardinia Real
Estate. Servicer commentary had previously noted there was a
proposed lease out for signature for the entire 10th floor (40,456
sf). However, per the servicer, the agreement was terminated in
December 2022. It was a revenue share agreement and the tenant
notified them earlier this year they were not going to fulfil their
obligation due to deteriorating market conditions in Washington, DC
CBD. They did not have any recourse other than to settle for their
out-of-pocket cost to date.

Fitch's loss expectation of 28% reflects a 9.00% cap rate and 5%
stress to YE 2021 NOI and accounts for the occupancy decline at the
property.

Improved Credit Enhancement and Defeasance: As of the December 2022
distribution, the pool's aggregate principal balance has been paid
down by 47.4% to $627.1 million from $1.20 billion at issuance.
Seventeen loans (21.4% of current pool) are fully defeased,
including two loans (3.4%) which have defeased since the last
rating action. All of the loans in the pool mature in 2023.

Alternative Loss Considerations: Due to the large concentration of
loan maturities in 2023, Fitch performed a sensitivity and
liquidation analysis, which grouped the remaining loans based on
their current status and collateral quality and ranked them by
their perceived likelihood of repayment and/or loss expectation.

Fitch considered scenarios where only the specially serviced loans
and the 1615 L Street loan remain in the pool. Fitch assumed
expected paydown from defeased loans, as well as loans with
sufficient cash flow for assumed ability to refinance in a higher
interest rate environment using Fitch's stressed refinance
constants. Fitch also considered a scenario that assumed higher cap
rates and stresses to NOI to address these concerns. The ratings
and Rating Outlooks reflect these scenarios; the Positive Outlook
on class B reflects the potential for upgrades if loans begin to
refinance in 2023 and credit enhancement (CE) continues to
increase.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

Downgrades would occur with an increase in pool-level losses from
underperforming or specially serviced loans. Downgrades to the
'AAsf' and 'AAAsf' categories are not expected given their high CE
relative to expected losses and continued amortization, but may
occur if interest shortfalls occur or if a high proportion of the
pool defaults and expected losses increase considerably.

Downgrades to the 'Asf' and 'BBB-sf' categories would occur should
overall pool losses increase significantly and/or one or more large
loans have an outsized loss, which would erode CE. Downgrades to
the 'BBsf' and 'Bsf' categories would occur should loss
expectations increase and if performance of the FLOCs or loans
vulnerable to the pandemic fail to stabilize or additional loans
default and/or transfer to the special servicer.

Fitch has identified both a baseline and a worse-than-expected,
adverse stagflation scenario based on fallout from the
Russia-Ukraine war whereby growth is sharply lower amid higher
inflation and interest rates; even if the adverse scenario should
play out, Fitch expects virtually no impact on ratings performance,
indicating very few rating or Outlook changes. However, for some
transactions with concentrations in underperforming retail
exposure, the ratings impact may be mild to modest, indicating some
changes on sub-investment-grade notes.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Upgrades would occur with stable to improved performance of the
overall pool coupled with additional paydown and loan payoffs from
refinancing and/or increased defeasance. Upgrades to the 'AAsf'
class are expected with loan payoffs; upgrades to the 'Asf'
category would only occur with significant improvement in CE,
defeasance and and greater certainty of refinanceability of the
larger loans in the pool including 1615 L Street; however, adverse
selection, increased concentrations and further underperformance of
the FLOCs could cause this trend to reverse.

Upgrades to the 'BBB-sf' and 'BBsf' categories may occur as the
number of FLOCs are reduced, properties vulnerable to the pandemic
further stabilize and/or return to pre-pandemic levels and there is
sufficient CE to the classes. Classes would not be upgraded above
'Asf' if there were likelihood for interest shortfalls. An upgrade
to the 'Bsf' rated class is not likely unless the performance of
the remaining pool stabilizes and the senior classes pay off so
there is sufficient CE to the class.

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This 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.


JP MORGAN 2023-1: Fitch Assigns 'B-(EXP)' Rating on Cl. B-5 Certs
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to JP Morgan Mortgage
Trust 2023-1 (JPMMT 2023-1).

   Entity/Debt      Rating        
   -----------      ------        
JPMMT 2023-1

   A-1          LT AA+(EXP)sf  Expected Rating
   A-1-A        LT AA+(EXP)sf  Expected Rating
   A-1-B        LT AA+(EXP)sf  Expected Rating
   A-1-C        LT AA+(EXP)sf  Expected Rating
   A-1-X        LT AA+(EXP)sf  Expected Rating
   A-10         LT AAA(EXP)sf  Expected Rating
   A-10-A       LT AAA(EXP)sf  Expected Rating
   A-10-B       LT AAA(EXP)sf  Expected Rating
   A-10-C       LT AAA(EXP)sf  Expected Rating
   A-10-X       LT AAA(EXP)sf  Expected Rating
   A-11         LT AAA(EXP)sf  Expected Rating
   A-11-A       LT AAA(EXP)sf  Expected Rating
   A-11-B       LT AAA(EXP)sf  Expected Rating
   A-11-C       LT AAA(EXP)sf  Expected Rating
   A-11-X       LT AAA(EXP)sf  Expected Rating
   A-12         LT AAA(EXP)sf  Expected Rating
   A-12-A       LT AAA(EXP)sf  Expected Rating
   A-12-B       LT AAA(EXP)sf  Expected Rating
   A-12-C       LT AAA(EXP)sf  Expected Rating
   A-12-X       LT AAA(EXP)sf  Expected Rating
   A-13         LT AA+(EXP)sf  Expected Rating
   A-13-A       LT AA+(EXP)sf  Expected Rating
   A-13-B       LT AA+(EXP)sf  Expected Rating
   A-13-C       LT AA+(EXP)sf  Expected Rating
   A-13-X       LT AA+(EXP)sf  Expected Rating
   A-14         LT AA+(EXP)sf  Expected Rating
   A-14-A       LT AA+(EXP)sf  Expected Rating
   A-14-B       LT AA+(EXP)sf  Expected Rating
   A-14-C       LT AA+(EXP)sf  Expected Rating
   A-14-X       LT AA+(EXP)sf  Expected Rating
   A-15         LT AA+(EXP)sf  Expected Rating
   A-15-A       LT AA+(EXP)sf  Expected Rating
   A-15-B       LT AA+(EXP)sf  Expected Rating
   A-15-C       LT AA+(EXP)sf  Expected Rating
   A-15-X       LT AA+(EXP)sf  Expected Rating
   A-2          LT AAA(EXP)sf  Expected Rating
   A-3          LT AAA(EXP)sf  Expected Rating
   A-3-A        LT AAA(EXP)sf  Expected Rating
   A-3-C        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-B        LT AAA(EXP)sf  Expected Rating
   A-4-C        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-B        LT AAA(EXP)sf  Expected Rating
   A-5-C        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-B        LT AAA(EXP)sf  Expected Rating
   A-6-C        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-B        LT AAA(EXP)sf  Expected Rating
   A-7-C        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-B        LT AAA(EXP)sf  Expected Rating
   A-8-C        LT AAA(EXP)sf  Expected Rating
   A-8-X        LT AAA(EXP)sf  Expected Rating
   A-9          LT AAA(EXP)sf  Expected Rating
   A-9-A        LT AAA(EXP)sf  Expected Rating
   A-9-B        LT AAA(EXP)sf  Expected Rating
   A-9-C        LT AAA(EXP)sf  Expected Rating
   A-9-X        LT AAA(EXP)sf  Expected Rating
   A-X-1        LT AA+(EXP)sf  Expected Rating
   A-X-2        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 2023-1 (JPMMT 2023-1) as
indicated above. The certificates are supported by 359 loans with a
total balance of approximately $410.48 million as of the cutoff
date. The pool consists of prime-quality fixed-rate mortgages from
various mortgage originators.

The pool consists of loans mainly originated by United Wholesale
Mortgage, LLC (25.1%) with the remaining 74.9% of the loans
originated by various originators, each contributing less than 10%
to the pool. The loan-level representations and warranties are
provided by the various originators or Maxex (aggregator).

NewRez LLC (f/k/a New Penn Financial, LLC), d/b/a Shellpoint
Mortgage Servicing (Shellpoint), will act as interim servicer for
approximately 59.9% of the pool from the closing date until the
servicing transfer date, which is expected to occur on or about
March 1, 2023. 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 these loans. Chase is also the servicer for 0.3% of the loans,
which it is currently servicing. The other servicers in the
transaction are United Wholesale Mortgage, LLC (servicing 25.1% of
the loans), loanDepot.com, LLC (servicing 9.8% of the loans), and
PennyMac Loan Services, LLC (servicing 4.9% of the loans).
Nationstar Mortgage LLC (Nationstar) will be the master servicer.

99.5% of the loans qualify as safe-harbor qualified mortgage
(SHQM), or QM safe-harbor (average prime offer rate [APOR]) and
0.5% of the loans were designated as rebuttable presumption QM.

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 8.9% above a long-term sustainable level (versus
10.5% on a national level as of January 2023, down 1.7% since last
quarter). Underlying fundamentals are not keeping pace with the
growth in prices, resulting from a supply/demand imbalance driven
by low inventory, favorable mortgage rates, and new buyers entering
the market. These trends have led to significant home price
increases over the past year, with home prices rising 9.2% YoY
nationally as of October 2022.

High Quality Mortgage Pool (Positive): The pool consists of high
quality, fixed-rate, fully amortizing loans with maturities of up
to 30 years. 99.5% of the loans qualify as safe-harbor qualified
mortgage (SHQM) or QM safe-harbor (average prime offer rate [APOR])
and 0.5% of the loans were designated as rebuttable presumption QM.
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 six months, according to
Fitch (five months per the transaction documents). The pool has a
WA original FICO score of 759, as determined by Fitch, which is
indicative of very high credit quality borrowers. Approximately
63.9%, as determined by Fitch, of the loans 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 81.9%,
represents substantial borrower equity in the property and reduced
default risk.

A 97.4% portion of the pool comprises nonconforming loans, while
the remaining 2.6% represents conforming loans. All of the loans
are designated as QM loans, with 56.1% 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, planned unit
developments (PUDs), and single-family attached dwellings
constitute 91.4% of the pool; condominiums make up 4.7%; and
multifamily homes make up 3.9%. The pool consists of loans with the
following loan purposes: purchases (78.2%), cashout refinances
(18.4%) and rate-term refinances (3.4%).

A total of 196 loans in the pool are over $1.0 million, and the
largest loan is approximately $2.99 million. Fitch determined that
six of the loans were made to nonpermanent residents.

Of the pool, 34.0% is concentrated in California. The largest MSA
concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA
(12.8%), followed by the Miami-Fort Lauderdale-Miami Beach, FL MSA
(6.2%) and San Francisco-Oakland-Fremont, CA MSA (5.4%). The top
three MSAs account for 24% 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 P&I on
loans that enter into a coronavirus pandemic-related forbearance
plan. 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 servicer
is 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 2.60%
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 1.60% 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 40.8% 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.

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, and Clayton 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
are 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 2023-1 has an ESG Relevance Score of '4+' for Transaction
Parties and Operational Risk. Operational risk is well controlled
for in JPMMT 2023-1, including strong transaction due diligence, an
'Above Average' aggregator, the majority of the pool originated by
an 'Above Average' originator, and the majority of the pool being
serviced by an 'RPS1-' servicer. 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 that were 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 impact the expected losses
assigned or were not relevant to the rating, in Fitch's view.

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This 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.


MILL CITY 2019-1: Moody's Upgrades Rating on Cl. B2 Bonds to B3
---------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 25 bonds from
eight transactions issued by Mill City Mortgage Loan Trust between
2017 and 2019. The transactions are backed by seasoned performing
and modified re-performing residential mortgage loans (RPL). The
collateral is serviced by multiple servicers.

The complete rating actions are as follows:

Issuer: Mill City Mortgage Loan Trust 2017-1

Cl. B1, Upgraded to Aaa (sf); previously on Mar 15, 2022 Upgraded
to Aa1 (sf)

Issuer: Mill City Mortgage Loan Trust 2017-2

Cl. B1, Upgraded to Aa1 (sf); previously on Mar 15, 2022 Upgraded
to Aa2 (sf)

Issuer: Mill City Mortgage Loan Trust 2017-3

Cl. B1, Upgraded to Aa2 (sf); previously on Mar 15, 2022 Upgraded
to Aa3 (sf)

Issuer: MILL CITY MORTGAGE LOAN TRUST 2018-3

Cl. A3, Upgraded to Aaa (sf); previously on Mar 15, 2022 Upgraded
to Aa1 (sf)

Cl. A4, Upgraded to Aa1 (sf); previously on Mar 15, 2022 Upgraded
to Aa2 (sf)

Cl. M2, Upgraded to Aaa (sf); previously on Mar 15, 2022 Upgraded
to Aa1 (sf)

Cl. M3, Upgraded to Aa2 (sf); previously on Mar 15, 2022 Upgraded
to A1 (sf)

Issuer: MILL CITY MORTGAGE LOAN TRUST 2018-4

Cl. A3, Upgraded to Aa1 (sf); previously on Mar 15, 2022 Upgraded
to Aa2 (sf)

Cl. A4, Upgraded to Aa3 (sf); previously on Mar 15, 2022 Upgraded
to A1 (sf)

Cl. M2, Upgraded to Aa1 (sf); previously on Mar 15, 2022 Upgraded
to Aa3 (sf)

Cl. M3, Upgraded to A1 (sf); previously on Mar 15, 2022 Upgraded to
A3 (sf)

Issuer: Mill City Mortgage Loan Trust 2019-1

Cl. A3, Upgraded to Aa1 (sf); previously on Mar 15, 2022 Upgraded
to Aa2 (sf)

Cl. A4, Upgraded to Aa3 (sf); previously on Mar 15, 2022 Upgraded
to A2 (sf)

Cl. B1, Upgraded to Baa3 (sf); previously on Mar 15, 2022 Upgraded
to Ba1 (sf)

Cl. B2, Upgraded to B3 (sf); previously on Mar 15, 2022 Upgraded to
Caa1 (sf)

Cl. M2, Upgraded to Aa2 (sf); previously on Mar 15, 2022 Upgraded
to A1 (sf)

Cl. M3, Upgraded to A2 (sf); previously on Mar 15, 2022 Upgraded to
Baa1 (sf)

Issuer: Mill City Mortgage Loan Trust 2019-GS1

Cl. A2, Upgraded to Aaa (sf); previously on Mar 15, 2022 Upgraded
to Aa1 (sf)

Cl. A3, Upgraded to Aa2 (sf); previously on Mar 15, 2022 Upgraded
to Aa3 (sf)

Cl. A4, Upgraded to A1 (sf); previously on Mar 15, 2022 Upgraded to
A2 (sf)

Cl. M1, Upgraded to Aaa (sf); previously on Mar 15, 2022 Upgraded
to Aa1 (sf)

Cl. M2, Upgraded to A1 (sf); previously on Mar 15, 2022 Upgraded to
A2 (sf)

Issuer: MILL CITY MORTGAGE LOAN TRUST 2019-GS2

Cl. A3, Upgraded to Aa2 (sf); previously on Mar 15, 2022 Upgraded
to Aa3 (sf)

Cl. A4, Upgraded to A1 (sf); previously on Mar 15, 2022 Upgraded to
A2 (sf)

Cl. M2, Upgraded to A1 (sf); previously on Mar 15, 2022 Upgraded to
A2 (sf)

RATINGS RATIONALE

The rating upgrades are driven by stronger performance of the
underlying loans in the pools relative to initial expectations and
an increase in the credit enhancement available to the rated bonds
due to the sequential pay structures as well as prepayments. The
actions reflect Moody's updated loss expectations on the pools
which incorporate Moody's assessment of the representations and
warranties framework of the transactions, the due diligence
findings of the third-party reviews at the time of issuance, and
the transactions' servicing arrangement.

The loans underlying the pools have fewer delinquencies and have
prepaid at a faster rate than originally anticipated, resulting in
an improvement in Moody's loss projections for the pools (link
above provides Moody's current estimates). In Moody's analysis,
Moody's also considered the likelihood of higher future pool
expected losses due to rising borrower defaults driven by an
increase in unemployment and inflation while prepayments remain
broadly subdued amid elevated interest rates.

Principal Methodologies

The methodologies used in these ratings were "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.


MSC MORTGAGE 2012-C4: DBRS Confirms C Rating on 3 Classes of Certs
------------------------------------------------------------------
DBRS, Inc. confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates (the Certificates) Series 2012-C4, issued
by MSC Mortgage Securities Trust, 2012-C4 as follows:

-- Class D at BBB (high) (sf)
-- Class E at C (sf)
-- Class F at C (sf)
-- Class G at C (sf)

DBRS Morningstar also changed the trend on Class D to Stable from
Negative. Classes E, F, and G have ratings that do not carry a
trend in Commercial Mortgage Backed Securities (CMBS) ratings.

Since DBRS Morningstar's rating actions for this deal in March
2022, Classes B and C have repaid in full and the balance of Class
D has been significantly reduced as a result of the repayment of
four loans. The trend change to Stable from Negative on Class D
reflects the better-than-expected recovery for the Independence
Hill Independent Living loan, which DBRS Morningstar was closely
monitoring ahead of its March 2022 maturity date because of its
declining performance metrics combined with increased competition
in the market.

The C (sf) ratings on Classes E, F, and G are reflective of DBRS
Morningstar's loss expectations for the transaction's only
remaining loan, Shoppes at Buckland Hills. The loan is secured by a
regional mall in Manchester, Connecticut, and was transferred to
special servicing in November 2020 because of monetary default
after the borrower (an affiliate of Brookfield Property Partners
(Brookfield)) submitted a hardship letter indicating that debt
service and operating shortfalls would not be funded. As of the
most recent update from the servicer, a receiver appointed by the
court with consent from the borrower is working to stabilize
tenancy. Various disposition strategies are being evaluated.

Occupancy declined to 77.6% as of June 2022 compared with 91.0% at
YE2021 and 96.2% at YE2020. The decrease in the occupancy rate is
primarily attributable to the departure of the former largest
collateral tenant, Dick's Sporting Goods, which closed at lease
expiration in January 2022. The non-collateral anchors at the
property include Macy's, Macy's Men's & Home, JCPenney, and a
vacant former Sears, which closed in January 2021. The servicer
reported net cash flow (NCF) declined to $7.4 million at YE2020
from $12.2 million at YE2019. The annualized June 2022 NCF shows a
further decline in cash flow to $6.2 million. Prior to 2020, the
property's performance was generally in line with the issuer's
expectations. The mall is located just north of I-84 in Manchester,
a suburb of Hartford, Connecticut. Surrounding the property is a
significant concentration of retail development, with a Walmart
Supercenter directly east and The Home Depot, Lowe's Home
Improvement, Costco, and an upscale open air shopping center known
as The Promenade Shops at Evergreen Walk to the north and west.

In March 2022, DBRS Morningstar assumed a liquidation scenario for
the subject loan based on a 75% haircut to the issuance value, with
the haircut based on value declines for similarly positioned mall
properties in CMBS transactions that defaulted since 2020. Since
that time, a November 2021 appraisal was finalized by the servicer
concluding an as-is value of $59.95 million (implied loan-to-value
of 176.2%), which is approximately 25% above the value derived by
DBRS Morningstar in March 2022. However, given the cash flow
declines that have continued in 2022 and the increased risk of a
second closed anchor for the mall that could reduce investor
demand, DBRS Morningstar considered a liquidation scenario based on
a haircut to the 2021 appraised value, with an analyzed loss
severity approaching 70%.

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



NASSAU 2022-I LTD: Fitch Assigns 'BB-sf' Rating on Cl. E Notes
--------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Nassau
2022-I Ltd.

   Entity/Debt            Rating        
   -----------            ------        
Nassau 2022-I Ltd.

   A-1                 LT AAAsf  New Rating
   A-2                 LT AAAsf  New Rating
   B                   LT AA+sf  New Rating
   C                   LT A+sf   New Rating
   D                   LT BBB-sf New Rating
   E                   LT BB-sf  New Rating
   Subordinated Notes  LT NRsf   New Rating

TRANSACTION SUMMARY

Nassau 2022-I Ltd., is an arbitrage cash flow collateralized loan
obligation (CLO) that will be managed by NCC CLO Manager LLC. Net
proceeds from the issuance of the secured and subordinated notes
will provide financing on a portfolio of approximately $350 million
of primarily first lien senior secured loans.

KEY RATING DRIVERS

Asset Credit Quality (Negative): The average credit quality of the
purchased portfolio is 'B+'/'B', which is in line with that of
recent CLOs. Issuers rated in the 'B' rating category denote a
highly speculative credit quality; however, the notes benefit from
appropriate credit enhancement and standard U.S. CLO structural
features.

Asset Security (Positive): The purchased portfolio consists of
100.0% first-lien senior secured loans and has a weighted average
recovery assumption of 75.26%.

Portfolio Composition (Positive): The largest three industries
comprise 33.6% of the portfolio balance in aggregate, while the top
five obligors represent 5.3% of the portfolio balance in aggregate.
The level of diversity required by industry, obligor and geographic
concentrations is in line with other recent U.S. CLOs.

Portfolio Management (Neutral): The transaction does not have a
reinvestment period; however, the issuer has the ability to extend
the weighted average life (WAL) of the portfolio as a result of
maturity amendments. Fitch's analysis was based on a stressed
portfolio considering a one-notch downgrade on the Fitch IDR
Equivalency Rating for assets with a Negative Outlook on the
driving rating of the obligor. The shorter risk horizon means the
transaction is less vulnerable to underlying price movements,
economic conditions and asset performance.

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, each class of notes was
able to withstand default rates in excess of the respective rating
hurdle. The recommended ratings are in line with the model-implied
ratings for each respective class.

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 between
'A+sf' and 'AAAsf' for class A-1, between 'A-sf' and 'AAAsf' for
class A-2, between 'BBB-sf' and 'AA+sf' for class B, between 'Bsf'
and 'Asf' for class C, between less than 'B-sf' and 'BBB+sf' for
class D, and between less than 'B-sf' and 'BBsf' for class E.

Factors that could, individually or collectively, lead to positive
rating action/upgrade:

Upgrade scenarios are not applicable to the class A-1 and A-2
notes, as these notes are in the highest rating category of
'AAAsf'.

At other rating levels, variability in key modeling 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. Results under these
sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf'
and 'AAsf' for class C notes, 'A+sf' for class D notes, and
'BBB+sf' for class E notes.

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, and together with any assumptions referred to above,
Fitch's assessment of the information relied upon for the agency's
rating analysis according to its applicable rating methodologies
indicates that it is adequately reliable.


OBX TRUST 2023-NQM1: Fitch Assigns 'B(EXP)' Rating on Cl. B-2 Notes
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to OBX 2023-NQM1
Trust.

   Entity/Debt      Rating        
   -----------      ------        
OBX 2023-NQM1

   A-1          LT AAA(EXP)sf Expected Rating
   A-2          LT AA(EXP)sf  Expected Rating
   A-3          LT A(EXP)sf   Expected Rating
   A-IO-S       LT NR(EXP)sf  Expected Rating
   B-1          LT BB(EXP)sf  Expected Rating
   B-2          LT B(EXP)sf   Expected Rating
   B-3          LT NR(EXP)sf  Expected Rating
   M-1          LT BBB(EXP)sf Expected Rating
   R            LT NR(EXP)sf  Expected Rating
   XS           LT NR(EXP)sf  Expected Rating

TRANSACTION SUMMARY

Fitch Ratings expects to rate the residential mortgage-backed notes
issued by the OBX 2023-NQM1 Trust as indicated above. The
transaction is scheduled to close on Jan. 13, 2023.

The notes are supported by 842 loans with an unpaid principal
balance of approximately $405.21 million as of the cutoff date. The
pool consists of fixed-rate mortgages and adjustable-rate mortgages
acquired by Annaly Capital Management, Inc. (Annaly) from various
originators and aggregators.

Distributions of P&I and loss allocations are based on a modified
sequential-payment structure. The transaction has a stop-advance
feature where the P&I advancing party will advance delinquent P&I
for up to 120 days. Of the loans, approximately 62.9% are
designated as non-qualified mortgage (non-QM), 36.8% are investment
properties not subject to the Ability to Repay (ATR) Rule.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, it views the home price values of
this pool as 8.2% above a long-term sustainable level, versus 12.2%
on a national level as of October 2022, down 1.7% since last
quarter. Underlying fundamentals are not keeping pace with the
growth in prices, resulting from a supply/demand imbalance driven
by low inventory, favorable mortgage rates and new buyers entering
the market. These trends have led to significant home price
increases over the past year, with home prices rising 9.2% yoy
nationally as of October 2022.

Nonprime Credit Quality (Mixed): The collateral consists of 30-year
and 40-year fixed-rate and adjustable-rate loans. Adjustable-rate
loans constitute 15.9% of the pool as calculated by Fitch, which
includes 2.2% debt service coverage ratio (DSCR) loans with a
default interest rate feature; 7.5% are interest-only loans and the
remaining 84.1% are fully amortizing loans.

The pool is seasoned approximately seven months in aggregate, as
calculated by Fitch. Borrowers in this pool have a moderate credit
profile with a Fitch-calculated weighted average (WA) FICO score of
741, debt-to-income ratio of 44.0% and moderate leverage of 77.1%
sustainable loan to value ratio (sLTV). Pool characteristics
resemble recent nonprime collateral.

Investor Properties, Non-QM and Alternative Documentation
(Negative): The pool contains a meaningful amount of investor
properties (36.8%), and non-QM loans (62.9%). Fitch's loss
expectations reflect the higher default risk associated with these
attributes as well as loss severity (LS) adjustments for potential
ATR challenges. Higher LS assumptions are assumed for the investor
property product to reflect potential risk of a distressed sale or
disrepair.

Fitch viewed approximately 92.0% of the pool as less than full
documentation, and alternative documentation was used to underwrite
the loans. Of this, 45.3% were underwritten to a bank statement
program to verify income, which is not consistent with Appendix Q
standards or Fitch's view of a full-documentation program. To
reflect the additional risk, Fitch increases the probability of
default (PD) by 1.64x on the bank statement loans. Besides loans
underwritten to a bank statement program, 26.3% are a DSCR product,
12.1% are P&L loans, 6.7% are a WVOE product, and 1.0% constitute
an asset depletion product.

Modified Sequential-Payment Structure with Limited Advancing
(Mixed): The structure distributes principal pro rata among the
senior notes while shutting out the subordinate bonds from
principal payments until all senior classes are paid in full. If a
credit event, either a cumulative loss trigger event or a
delinquency trigger event, occurs in a given period, principal will
be distributed sequentially to class A-1, A-2 and A-3 notes until
each class balance is reduced to zero.

The structure includes a step-up coupon feature where the fixed
interest rate for class A-1, A-2 and A-3 will increase by 100bps
starting on the January 2027 payment date. This reduces the modest
excess spread available to repay losses. However, the interest rate
is subject to the net WAC, and any unpaid cap carryover amount for
class A-1A, A-2 and A-3 may be reimbursed from the distribution
amounts otherwise allocable to the unrated class B-3, to the extent
available.

Advances of delinquent P&I will be made on the mortgage loans for
the first 120 days of delinquency, to the extent such advances are
deemed recoverable. The P&I advancing party (Onslow Bay Financial
LLC) is obligated to fund delinquent P&I advances for the SPS and
Shellpoint serviced loans. AmWest will be responsible for making
P&I advances with respect to the AmWest serviced mortgage loans. If
AmWest or the P&I advancing party, as applicable, fails to remit
any P&I advance required to be funded, the master servicer
(Computershare Trust Company, N.A.) will fund the advance.

The stop-advance feature limits the external liquidity to the bonds
in the event of large and extended delinquencies, but the
loan-level LS are less for this transaction than for those where
the servicer is obligated to advance P&I for the life of the
transaction, as P&I advances made on behalf of loans that become
delinquent and eventually liquidate reduce liquidation proceeds to
the trust.

The ultimate advancing party in the transaction is the master
servicer, Computershare (BBB/F3).

Computershare does not hold a rating from Fitch of at least 'A' or
'F1' and, as a result, does not meet Fitch's counterparty criteria
for advancing delinquent P&I payments. Fitch ran additional
analysis to determine if there was any impact to the structure if
it assumed no advancing of delinquent P&I for the losses and cash
flows. This is in addition to running the loss and cash flow
analysis assuming four months of delinquent P&I servicer advancing,
per the transaction documents. Assuming four months of delinquent
P&I advancing was more conservative; therefore, Fitch's losses and
credit enhancement analysis assumed this.

High California Concentration (Negative): Approximately 38.7% of
the pool is located in California. Additionally, the top three MSAs
— Los Angeles (19.9%), New York (7.7%) and Miami (6.3%) —
account for 33.9% of the pool. As a result, a geographic
concentration penalty of 1.01x was applied to the PD.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative
rating action/downgrade:

The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper market value declines (MVDs) at
the national level. The analysis assumes MVDs of 10.0%, 20.0% and
30.0%, in addition to the model-projected 40.4% at 'AAAsf'. 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 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'.

ESG CONSIDERATIONS

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This 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.


PALISADES CENTER 2016-PLSD: Moody's Cuts Cl. A Certs Rating to B2
-----------------------------------------------------------------
Moody's Investors Service has downgraded one class in Palisades
Center Trust 2016-PLSD, Commercial Mortgage Pass-Through
Certificates, Series 2016-PLSD as follows:

Cl. A, Downgraded to B2 (sf); previously on Dec 2, 2022 Downgraded
to Ba2 (sf) and Placed Under Review for Possible Downgrade

RATINGS RATIONALE

The rating on Cl. A was downgraded due to increased interest
shortfalls and the expectation that interest shortfalls will
continue due to the significant appraisal reduction amount (ARA)
recognized as of the December 2022 remittance statement. The loan
is now 30 days delinquent after it was unable to payoff at its
already extended maturity and subsequent 30-day forbearance period
that expired in November 2022. The recent appraisal reduction has
caused interest shortfalls to impact up to Cl. A.

Moody's regard e-commerce competition as a social risk under
Moody's ESG framework. The rise in e-commerce and changing consumer
behavior presents challenges to brick-and-mortar discretionary
retailers.

The action concludes the review for downgrade that was initiated on
December 2, 2022.

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

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

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

Factors that could lead to a downgrade of the ratings include a
further decline in actual or expected performance of the loan or
interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

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

DEAL PERFORMANCE

As of the December 2022 payment date, the transaction's aggregate
certificate balance remains unchanged since securitization at
approximately $389 million. The whole loan of $419 million has a
split loan structure represented by the trust loan component of
$389 million and a companion loan component of $30 million (not
included in the trust) that is securitized in JPMDB 2016-C2. The
trust includes notes A, B, C and D. The $229 million senior trust A
note and the $30 million companion loan component in JPMDB 2016-C2
are pari passu. The trust notes B, C and D are junior to the trust
note A and the companion loan component.  Additionally, there is
$142 million of mezzanine debt held outside the trust.

The loan first transferred to special servicing in 2020 and the
original April 2021 maturity date was eventually extended to
October 2022. The loan modification also included a 6-month
principal and interest forbearance. The loan returned to the master
servicer in May 2021, however, the loan returned to special
servicing for imminent default ahead of its October 2022 maturity
date and was again unable to payoff at its already extended
maturity date.  The loan received an additional 30-day forbearance
period that expired on November 8, 2022. As of the December 2022
remittance statement the loan was classified as 30 days delinquent,
however, due to the past forbearance periods the loan is last paid
through its May 2022 payment date and now has outstanding P&I
advances of $9.76 million.

The most recent appraisal value from November 2022 valued the
property 49% below the appraised value in August 2020 and 75% below
the appraisal at securitization. The most recent value is
significant below the outstanding loan balance and as a result the
master servicer has recognized an appraisal reduction of $208
million. Due to the appraisal reduction and delinquent payments all
the outstanding classes were impacted with interest shortfalls as
of the December 2022 remittance date. As of the December 2022
remittance statement cumulative interest shortfalls were $813,465
and impact up to Cl. A. Moody's anticipates interest shortfalls
will likely continue due to the significant ARA and the property's
performance. Interest shortfalls are caused by special servicing
fees, including workout and liquidation fees, appraisal entitlement
reductions (ASERs), loan modifications, extraordinary trust
expenses and non-recoverable determinations.

The property's performance was already declining prior to 2020 but
was further significantly impacted by the coronavirus pandemic and
performance has remained well below levels at securitization. The
property's NCF increased year over year to $25.0 million in 2021
from its low of $16.2 million NCF in 2020, however, the 2021 NCF
was still 32% lower than in 2019 and approximately 44% below the
2016 NCF. Based on the property's performance in the three quarters
ending September 30, 2022, the annualized 2022 NCF would be
essentially unchanged from 2021. The property's NCF in 2019 was
$36.9 million, down from $40.5 million in 2018 and $44.9 million in
2016.

The Palisades Center is located approximately 3.5 miles northwest
of the Tappan Zee Bridge and 18 miles northwest of New York City.
The property is managed by the loan's sponsor, Pyramid Management
Group, LLC, a privately held real estate management and development
company headquartered in Syracuse, New York. The Palisades Center
contains several occupied anchors comprised of Macy's (201,000
square feet (SF)), Home Depot (132,800 SF), Target (130,140 SF),
BJ's Wholesale Club (118,076 SF), Dick's Sporting Goods (94,745 SF)
and Burlington Coat Factory (54,609 SF). Anchor collateral for the
loan does not include the Macy's space. Other larger collateral
tenants include a 21-screen AMC Palisades Center Cinema, Barnes and
Noble, Best Buy, Dave and Busters, DSW, and Autobahn Indoor
Speedway.

The property's occupancy rate has declined since securitization. In
July 2017, JC Penney closed and vacated their three-level 157,000
SF anchor space, which is part of the loan collateral. The JC
Penney space remains vacant. In addition, Lord & Taylor (120,000
SF) closed in January 2020 and Bed Bath and Beyond (45,000 SF with
lease expiring in January 2022) closed in June 2020. As of
September 2022, the collateral was 74% occupied.


PARK BLUE 2022-II: Moody's Assigns B3 Rating to $1MM Class F Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to three classes of
notes issued by Park Blue CLO 2022-II, Ltd. (the "Issuer" or "Park
Blue 2022-II").  

US$240,000,000 Class A-1 Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$24,000,000 Class A-2 Senior Secured Floating Rate Notes due
2035, Assigned Aaa (sf)

US$1,000,000 Class F Deferrable Mezzanine Floating Rate Notes due
2035, Assigned B3 (sf)

The notes listed are referred to herein, collectively, as the
"Rated Notes."

RATINGS RATIONALE

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

Park Blue 2022-II is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
senior secured loans, cash, and eligible investments, and up to
7.5% of the portfolio may consist of first lien last out loans,
second lien loans, unsecured loans and bonds. The portfolio is
approximately 75% ramped as of the closing date.

Centerbridge Credit Funding Advisors, LLC (the "Manager") will
direct the selection, acquisition and disposition of the assets on
behalf of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's three year
reinvestment period. Thereafter, the manager may not reinvest and
all proceeds received will be used to amortize the notes in
sequential order.

In addition to the Rated Notes, the Issuer issued five other
classes of secured notes and one class of subordinated notes.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in December 2021.

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount: $400,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2670

Weighted Average Spread (WAS): SOFR + 3.30%

Weighted Average Coupon (WAC): 5.00%

Weighted Average Recovery Rate (WARR): 47.00%

Weighted Average Life (WAL): 6.00 years

Methodology Underlying the Rating Action:

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

Factors That Would Lead to an Upgrade or 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.


PRMI SEC 2022-CMG1: DBRS Finalizes B Rating on Class B2 Notes
-------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the Mortgage-Backed
Notes, Series 2022-CMG1 issued by PRMI Securitization Trust
2022-CMG1 (PRMI 2022-CMG1 or the Trust) as follows:

-- $218.6 million Class A-1 at AAA (sf)
-- $28.7 million Class A-2 at AA (sf)
-- $15.5 million Class A-3 at A (sf)
-- $9.2 million Class M-1 at BBB (sf)
-- $5.4 million Class B-1 at BB (sf)
-- $2.1 million Class B-2 at B (sf)

The AAA (sf) rating on the Class A-1 Notes reflects 22.45% of
credit enhancement provided by subordinated certificates. The AA
(sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 12.25%,
6.75%, 3.50%, 1.60%, and 0.85% of credit enhancement,
respectively.

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

This is a securitization of newly originated and seasoned,
performing, adjustable-rate, fully amortizing, interest-only (IO),
open-ended, revolving first-lien line of credit (LOC) loans funded
by the issuance of the Notes. The Notes are backed by 669 LOC loans
with a total unpaid principal balance (UPB) of $281,830,037 and a
total current credit limit of $368,340,920 as of the Cut-Off Date
(November 30, 2022).

The portfolio, on average, is 25 months seasoned, though seasoning
ranges from six to 101 months. Approximately 98.0% of the LOC loans
have been performing since origination. All of the loans in the
pool are first-lien LOCs evidenced by promissory notes secured by
mortgages or deeds of trust or other instruments creating first
liens on one- to four-family residential properties, planned unit
development (PUDs), townhouses and condominiums.

CMG Mortgage, Inc. (CMG) is the Originator of all LOC loans in the
pool. CMG is a wholly owned subsidiary of CMG Financial Services,
Inc., a privately held company that was founded in 1993 as CMG
Mortgage, Inc. The company originates conventional, government, and
jumbo mortgages. CMG also originates first-lien LOC loans to prime
borrowers under the All-In-One loan program, which offers borrowers
convenient cash management features and an opportunity to reduce
the interest charges and accelerate principal repayment. Such
features are detailed in the related report.

The transaction's Sponsor is PRMI Capital Markets LLC, an affiliate
of the PR Mortgage Investment, LP (PRMI or the Fund). PRMI, a
leveraged debt fund that specializes in real estate related assets,
commenced operations in 2019. The Fund's general partner is PRMIGP,
LLC, and the investment manager is PR Mortgage Investment
Management, LLC. B3 LLC, composed of three senior investment
executives, holds a majority interest in the Fund's general partner
and investment manager, and Merchants Bancorp, the holding company
of Merchants Bank of Indiana (MBIN), holds a minority interest in
the general partner and investment manager, and is also a limited
partner in the Fund. MBIN is a publicly traded bank with
approximately $10 billion in assets.

The transaction is the first securitization of LOC loans by the
Sponsor. Previously, the Fund sponsored a securitization of the
prime agency-eligible mortgage loans rated by two credit rating
agencies, PRMI Securitization Trust 2021-1, demonstrating robust
performance to date.

In this transaction, all loans originated under the All-In-One
program are open-LOCs, with a draw period of generally 30 years
during which borrowers may make draws up to a credit limit, though
such right to make draws may be temporarily frozen in certain
circumstances. A 30-year draw period offers borrower flexibility to
draw funds over the life of the loan. However, the total credit
line amount (or credit limit) begins to decline after remaining
constant for the first 10 years. Thereafter, the credit limit
declines every payment period by a monthly amortization amount
required to pay off the loan at maturity or 1/240th of the maximum
capacity of the credit line (limit reduction amount). As such, even
if a borrower redraws the amount to a limit at some point in the
future, the limit is lowered to match the amount that could be
repaid at maturity using the required monthly payments.

All but one LOC in this transaction have 10-year IO terms (IO
payment period), so borrowers are required to make IO payments
within the IO payment period and both interest and principal
payments during and repayment period. No loans require a balloon
payment.

Although LOC loans include a 10-year IO term, the borrowers are
qualified for income using, among other measures, a debt-to-income
ratio (DTI) calculated with a fully indexed interest rate and
assuming principal amortization over 360 periods (as if the
borrower is required to make principal payments during the IO
payment period).

Relative to other types of HELOCs backing DBRS Morningstar-rated
deals, the loans in the pool generally have high borrower credit
scores, are in a first-lien position, and do not include balloon
payments. The relatively long IO period and income qualification
based on the fully amortized payment amount help ensure the
borrower has enough cushion to absorb increased payments after the
IO term expires. Also, the lack of balloon payment allows borrowers
to avoid the payment shock that typically occurs when a balloon
payment is required.

On or prior to the Closing Date, CMG will sell 476 loans
(approximately 75.5% of the pool by balance as of the Cut-Off
Date), including the servicing rights with respect thereto, to the
Seller (PRMI Trust). Also, MBIN will sell 193 loans (approximately
24.5% by balance) originated by CMG and previously acquired by MBIN
to the Seller. These loans (Merchants Mortgage Loans) will be sold
excluding the servicing rights thereto, which will be retained by
CMG as the Servicing Rights Owner. The PRMI Mortgage Loans and the
Merchants Mortgage Loans are collectively referred to as the
mortgage loans or LOC loans in the report.

Northpointe Bank (Northpointe), a Michigan-chartered bank, is the
Servicer of all loans in the pool. The initial annual servicing fee
is 0.25% per year. U.S. Bank National Association (rated AA (high)
with a Stable trend by DBRS Morningstar) will serve as the
Custodian. U.S. Bank Trust Company, National Association (rated AA
(high) with a Stable trend by DBRS Morningstar) will serve as the
Indenture Trustee, Paying Agent, and Note Registrar. U.S. Bank
Trust National Association will serve as the Owner Trustee.

In accordance with U.S. credit risk retention requirements, the PR
Mortgage Holdings I LLC, a majority-owned affiliate of the Sponsor,
will acquire and intends to retain an "eligible horizontal residual
interest," 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.

This transaction uses a structural mechanism similar to other
comparable transactions to fund future draw requests. Assuming the
funding of the subsequent draw is valid and required under the LOC
agreement, the obligation to fund it falls originally on CMG as the
lender under the LOC agreement. In addition, under the transaction
documents, the Issuer will engage Northpointe, as the Servicer
under the servicing agreement. Northpointe, as a servicer, will
determine whether a borrower is entitled to the requested draw
under the related LOC agreement and will fund any valid draw
request.

The Servicer will be required to fund draws and will be entitled to
reimburse itself for such draws prior to any payments on the Notes
from the principal collections. If the aggregate draws exceed the
principal collections (Net Draw), the Servicer is still obligated
to fund draws even if principal collections and the reserve fund
are insufficient in a given month for full reimbursement. In such
cases, the Paying Agent will reimburse the Servicer first from
amounts on deposit in the variable-funding account (VFA), and
second, if the amounts available in the VFA are insufficient on the
related payment date or future payment dates, then from the future
principal collections.

The VFA is expected to have an initial balance of $100,000 and a
VFA required amount for each payment date. If the amount on deposit
in the VFA is less than such required amount on a payment date, the
Paying Agent will use excess cash flow (i.e., remaining amounts
after covering losses and paying Cap Carryover Amounts) to deposit
in the VFA. To the extent the VFA is not funded up to its required
amount from excess cash flow, the holder of the Trust Certificates
on behalf of the Class R Note will be required to use its own funds
to make any deposits to the VFA or to reimburse the Servicer for
any Net Draws. The balance of Trust Certificates will be increased
by an amount deposited to the VFA used to reimburse the Servicer
for the Net Draws (residual principal balance). The Trust
Certificates, on behalf of the Class R Note, will be entitled to
receive principal and the net interest that accrues on the residual
principal balance at the Net WAC Rate. The holder of the Trust
Certificate is permitted to finance these funding obligations by
using the financing secured by the Trust Certificate with a
third-party lender.

The Sponsor or a majority-owned affiliate, as an expected holder of
the Trust Certificates/Class R Note, will have ultimate
responsibility to ensure draws are funded, as long as all borrower
conditions are met to warrant draw funding.

In its analysis of the proposed transaction structure, DBRS
Morningstar does not rely on the creditworthiness of either the
Servicer or the Sponsor and relies solely on the issuer's assets'
ability to generate sufficient cash flows to pay the transaction
parties and bondholders. Please see the Cash Flow Analysis section
of this report for more details.

The transaction, based on a static pool, employs a modified
sequential-pay cash flow structure with a pro rata principal
distribution among the more senior tranches (Class A-1, A-2, and
A-3 Notes) subject to a sequential priority trigger (Credit Event)
related to cumulative losses or delinquencies exceeding a specified
threshold. Principal proceeds can be used to cover interest
shortfalls on the Class A-1 and Class A-2 Notes (IIPP) before being
applied sequentially to amortize the balances of the senior and
subordinated notes. For the Class A-3 Notes (only after a Credit
Event) and for the mezzanine and subordinate classes of notes (both
before and after a Credit Event), principal proceeds will be
available to cover interest shortfalls only after the more senior
notes 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 Class A-1 down to Class B-3.

The Trust Certificates have a pro rata principal distribution with
all senior and subordinate tranches while the Credit Event is not
in effect. When the trigger is in effect, the Trust Certificates'
principal distribution will be subordinated to both the senior and
subordinate notes in the payment waterfall. While a Credit Event is
in effect, realized losses will be allocated reverse sequentially
starting with the Trust Certificates, followed by the Class B-3
Notes, and then continuing up to Class A-1 Notes based on their
respective payment priority. While a Credit Event is not in effect,
the losses will be allocated pro rata between the Trust
Certificates and all outstanding notes based on their respective
priority of payments. The outstanding notes will allocate realized
losses reverse sequentially, beginning with Class B-3 up to Class
A-1.

For this transaction, other than the Servicer's obligation to fund
any monthly Net Draws, described above, neither the Servicer nor
any other transaction party will fund any monthly advances of
principal and interest (P&I) on any LOC loan. However, the Servicer
is obligated to make advances in respect of taxes, insurance
premiums, and reasonable costs incurred in the course of servicing
and disposing of properties (servicing advances) to the extent such
advances are deemed recoverable or as directed by the Controlling
Holder (the holder or holders of more than a 50% interest of the
Class XS Notes; initially, the Depositor's affiliate).

All of the loans in the pool are exempt from the Consumer Financial
Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM)
rules because the LOC loans are not subject to the ATR/QM rules.

On or after the payment date in January 2026, the Issuer may, at
the direction of the holder of the Trust Certificates, purchase all
of the loans and any real estate owned properties at an optional
termination price described in the transaction documents. An
Optional Termination 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 Certificateholder may sell,
transfer, convey, assign, or otherwise pledge the right to direct
the Issuer to exercise the Optional Termination to a third party,
in which case the right must be exercised by such third party, as
described in the transaction documents.

On any payment date on or after 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 aggregate loans' principal balance is less than or equal
to 30% of the Cut-Off Date balance, the Issuer may, at the
direction of the holder of the Trust Certificates, purchase all of
the outstanding Notes and the Trust Certificates at the purchase
price in the transaction documents (Optional Redemption). An
Optional Redemption will be followed by a qualified liquidation.

The Depositor, at its option, may purchase any mortgage loan that
is 90 days or more delinquent under the Mortgage Bankers
Association method at the repurchase price (Optional Purchase)
described in the transaction documents. The total balance of such
loans purchased by the Depositor will not exceed 10% of the Cut-Off
balance.

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



ROCKFORD TOWER 2022-3: S&P Assigns BB-(sf) Rating on Class E Notes
------------------------------------------------------------------
S&P Global Ratings assigned its ratings to Rockford Tower CLO
2022-3 Ltd./Rockford Tower CLO 2022-3 LLC's fixed- and
floating-rate notes.

The note 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 Rockford Tower 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

  Rockford Tower CLO 2022-3 Ltd./Rockford Tower CLO 2022-3 LLC

  Class A, $248.00 million: AAA (sf)
  Class B-1, $41.00 million: AA (sf)
  Class B-2, $15.00 million: AA (sf)
  Class C (deferrable), $18.00 million: A (sf)
  Class D (deferrable), $26.00 million: BBB- (sf)
  Class E (deferrable), $12.00 million: BB- (sf)
  Subordinated notes, $35.50 million: Not rated



SEQUOIA MORTGAGE 2023-1: Fitch Gives 'BB(EXP)' Rating on B4 Certs
-----------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by Sequoia Mortgage Trust 2023-1 (SEMT
2023-1).

   Entity/Debt       Rating        
   -----------       ------        
SEMT 2023-1

   A1            LT AAA(EXP)sf  Expected Rating
   A10           LT AAA(EXP)sf  Expected Rating
   A11           LT AAA(EXP)sf  Expected Rating
   A12           LT AAA(EXP)sf  Expected Rating
   A13           LT AAA(EXP)sf  Expected Rating
   A14           LT AAA(EXP)sf  Expected Rating
   A15           LT AAA(EXP)sf  Expected Rating
   A16           LT AAA(EXP)sf  Expected Rating
   A17           LT AAA(EXP)sf  Expected Rating
   A18           LT AAA(EXP)sf  Expected Rating
   A19           LT AAA(EXP)sf  Expected Rating
   A2            LT AAA(EXP)sf  Expected Rating
   A20           LT AAA(EXP)sf  Expected Rating
   A21           LT AAA(EXP)sf  Expected Rating
   A22           LT AAA(EXP)sf  Expected Rating
   A23           LT AAA(EXP)sf  Expected Rating
   A24           LT AAA(EXP)sf  Expected Rating
   A25           LT AAA(EXP)sf  Expected Rating
   A3            LT AAA(EXP)sf  Expected Rating
   A4            LT AAA(EXP)sf  Expected Rating
   A5            LT AAA(EXP)sf  Expected Rating
   A6            LT AAA(EXP)sf  Expected Rating
   A7            LT AAA(EXP)sf  Expected Rating
   A8            LT AAA(EXP)sf  Expected Rating
   A9            LT AAA(EXP)sf  Expected Rating
   AIO1          LT AAA(EXP)sf  Expected Rating
   AIO10         LT AAA(EXP)sf  Expected Rating
   AIO11         LT AAA(EXP)sf  Expected Rating
   AIO12         LT AAA(EXP)sf  Expected Rating
   AIO13         LT AAA(EXP)sf  Expected Rating
   AIO14         LT AAA(EXP)sf  Expected Rating
   AIO15         LT AAA(EXP)sf  Expected Rating
   AIO16         LT AAA(EXP)sf  Expected Rating
   AIO17         LT AAA(EXP)sf  Expected Rating
   AIO18         LT AAA(EXP)sf  Expected Rating
   AIO19         LT AAA(EXP)sf  Expected Rating
   AIO2          LT AAA(EXP)sf  Expected Rating
   AIO20         LT AAA(EXP)sf  Expected Rating
   AIO21         LT AAA(EXP)sf  Expected Rating
   AIO22         LT AAA(EXP)sf  Expected Rating
   AIO23         LT AAA(EXP)sf  Expected Rating
   AIO24         LT AAA(EXP)sf  Expected Rating
   AIO25         LT AAA(EXP)sf  Expected Rating
   AIO26         LT AAA(EXP)sf  Expected Rating
   AIO3          LT AAA(EXP)sf  Expected Rating
   AIO4          LT AAA(EXP)sf  Expected Rating
   AIO5          LT AAA(EXP)sf  Expected Rating
   AIO6          LT AAA(EXP)sf  Expected Rating
   AIO7          LT AAA(EXP)sf  Expected Rating
   AIO8          LT AAA(EXP)sf  Expected Rating
   AIO9          LT AAA(EXP)sf  Expected Rating
   AIOS          LT NR(EXP)sf   Expected Rating
   B1            LT AA-(EXP)sf  Expected Rating
   B2            LT A-(EXP)sf   Expected Rating
   B3            LT BBB-(EXP)sf Expected Rating
   B4            LT BB(EXP)sf   Expected Rating
   B5            LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

Fitch expects to rate the residential mortgage-backed certificates
issued by Sequoia Mortgage Trust 2023-1 (SEMT 2023-1) as indicated
above. The certificates are supported by 355 loans with a total
balance of approximately $333 million as of the cutoff date. The
pool consists of prime jumbo fixed-rate mortgages acquired by
Redwood Residential Acquisition Corp. (Redwood) from various
mortgage originators. Distributions of P&I and loss allocations are
based on a senior-subordinate, shifting-interest structure.

KEY RATING DRIVERS

High-Quality Mortgage Pool (Positive): The collateral consists of
355 loans totaling $333 million and seasoned approximately six
months in aggregate. The borrowers have a strong credit profile
(765 FICO and 36.8% debt-to-income ratio [DTI]) and moderate
leverage (79% sustainable loan-to-value ratio [sLTV] and 70%
mark-to-market combined LTV ratio [cLTV]). The pool consists of
87.1% of loans where the borrower maintains a primary residence,
while 12.9% are of a second home; 75.6% of the loans were
originated through a retail channel. Additionally, 96.8% are
designated as qualified mortgage (QM) loans, while 3.2% are
designated as QM rebuttable assumption.

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, we view the home price values of
this pool as 10.5% above a long-term sustainable level (versus
10.5% on a national level as of January 2023, down 1.7% since last
quarter). Underlying fundamentals are not keeping pace with the
growth in prices. These trends have led to significant home price
increases over the past year, with home prices rising 9.2% YOY
nationally as of October 2022.

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 deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
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
stress 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 41.8% 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.

DATA ADEQUACY

Fitch relied in its analysis on an independent third-party due
diligence review performed on about 91.5% of the pool. The
third-party due diligence was consistent with Fitch's "U.S. RMBS
Rating Criteria." AMC, Clayton and Canopy 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 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 2023-1 has an ESG Relevance Score of '4' [+] for Transaction
Parties & Operational Risk. Operational risk is well controlled for
in SEMT 2023-1 and includes strong R&W and transaction due
diligence as well as a strong aggregator, which resulted in a
reduction in expected losses. This has a positive impact on the
credit profile and is relevant to the ratings in conjunction with
other factors.

Unless otherwise disclosed in this section, the highest level of
ESG credit relevance is a score of '3'. This 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.


SHELTER GROWTH 2021-FL3: DBRS Confirms B(low) Rating on H Notes
---------------------------------------------------------------
DBRS, Inc. confirmed its ratings on the following classes of notes
issued by Shelter Growth CRE 2021-FL3 Issuer Ltd (the Issuer):

-- Class A at AAA (sf)
-- Class A-S at AAA (sf)
-- Class B at AA (sf)
-- Class C at A (sf)
-- Class D at BBB (high) (sf)
-- Class E at BBB (sf)
-- Class F at BBB (low) (sf)
-- Class G at BB (low) (sf)
-- Class H at B (low) (sf)

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction. In conjunction with this press release, DBRS
Morningstar has published a Surveillance Performance Update report
with in-depth analysis and credit metrics for the transaction and
with business plan updates on select loans.

The initial collateral consisted of 20 floating-rate mortgages
secured by 26 transitional properties with a cut-off date balance
totaling approximately $453.9 million, excluding approximately
$32.3 million of future funding commitments. Most of the loans are
in a period of transition with plans to stabilize performance and
improve the asset value. The collateral pool for the transaction is
static with no ramp-up period or reinvestment period; however, the
Issuer has the right to use principal proceeds to acquire fully
funded future funding participations, subject to stated criteria,
during the Permitted Funded Companion Participation Acquisition
period, which ends on the payment date in September 2023. As of the
November 2022 reporting, the Permitted Funded Companion
Participation Acquisition Account had a balance of $46,351.
Acquisitions of loan future funding participations of $1.0 million
or greater require rating agency confirmation.

As of the November 2022 remittance, the pool comprised 17 loans
secured by 23 properties with a cumulative trust balance of $360.9
million. Since issuance, three loans with a former cumulative trust
balance of $92.9 million have been successfully repaid from the
pool resulting in a collateral reduction of 20.5%. In general,
borrowers are progressing toward completion of the stated business
plans.

The transaction is concentrated by multifamily properties as 13
loans, representing 83.0% of the current pool balance, are secured
by multifamily properties. The remaining four loans are secured by
a healthcare, industrial, office and student-housing property.
Through October 2022, the collateral manager advanced $11.0 million
in loan future funding to 10 individual borrowers to aid in
property stabilization efforts. The largest advance, $2.3 million,
was made to the borrower of the Bay One Apartments loans, which is
secured by a multifamily property in Bayonne, New Jersey. The
borrower used future funding dollars to build out the improvements
for the ground floor restaurant tenant as well as add improvements
to the adjacent park. An additional $19.4 million of unadvanced
loan future funding allocated to 11 individual borrowers remains
outstanding. The largest portion of unadvanced future funding
dollars is allocated to the borrower of the Vesta OKC Portfolio
loan, which is secured by a portfolio of four multifamily
properties in Oklahoma City, Oklahoma. The borrower's business plan
is to institute a capital renovation program across the property to
increase rental rates.

Beyond a property type concentration, the transaction is also
concentrated by properties located in Suburban markets, which DBRS
Morningstar defines as markets with a DBRS Morningstar Market Rank
of 3, 4, or 5. As of November 2022, there were 10 loans,
representing 57.6% of the cumulative loan balance, secured by
properties in suburban markets. An additional five loans, 30.4% of
the cumulative loan balance are secured by properties in urban
markets, which historically have shown greater liquidity and
demand. In comparison with the pool composition at closing, there
were 13 loans, representing 62.7% of the cumulative loan balance,
in suburban markets and five loans, representing 27.7% of the
cumulative loan balance, in urban markets.

The collateral pool exhibits similar leverage from issuance with a
current weighted-average (WA) appraised loan-to-value ratio (LTV)
of 72.3% and WA stabilized LTV of 66.4%. In comparison, these
figures were 72.2% and 66.3%, respectively, at closing. As these
appraisals were conducted prior to transaction issuance in 2021,
there is the possibility that select property values may have
decreased given the current interest rate and cap rate
environment.

As of November 2022, the Fulton & Ralph loan (Prospectus ID#2;
14.7% of the pool balance) represents the only loan on the
servicer's watchlist. The loan was flagged for maturity risk as the
loan matured in October 2022; however, the collateral manager
confirmed the borrower exercised its 12-month extension option
extending the loan through October 2023. As property operations did
not yield the required 7.0% debt yield to qualify for the extension
option, the lender and borrower agreed to mutually beneficial terms
including the borrower depositing of $1.8 million into an operating
and debt service reserve and the purchase of an interest rate cap,
among other terms. The loan is backed by two Class A multifamily
properties totaling 152 units in Brooklyn, New York. The borrower's
business plan is to complete the initial lease-up of the property
to market levels and obtain the 421a property tax abatement.
According to the collateral manager, leasing activity remained
behind schedule as the Fulton Street property was only 55% leased
as of the April 2022 rent roll, while leasing activity at the Ralph
Avenue property had not yet commenced. The borrower attributed the
slow leasing progress to delays with the New York City Department
of Housing Preservation and Development (HPD). According to the
borrower, the HPD approval of the plans was received in April 2022
and anticipates that the 421a will be finalized by year-end 2022.
As property cash flow currently does not cover debt service, DBRS
Morningstar expects the loan to remain on the servicer's
watchlist.

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



TPR FUNDING 2022-1: DBRS Gives Prov. B(low) Rating on E Advance
---------------------------------------------------------------
DBRS, Inc. assigned the following provisional ratings on the Class
A-1 Advance, the Class A-2 Advance, the Class B Advance, the Class
C Advance, the Class D Advance, and the Class E Advance (together,
the Advances) issued by TPR Funding 2022-1, LLC pursuant to the
Loan, Security and Servicing Agreement, dated as of December 15,
2022 (the Loan Agreement), entered into by and among TPR Funding
2022-1, LLC as the Borrower; Delaware Life Insurance Company as the
Servicer; Capital One, National Association (rated "A" with a
Stable trend by DBRS Morningstar) as the Administrative Agent,
Hedge Counterparty and Arranger; Citibank, N.A. (rated AA (low)
with a Stable trend by DBRS Morningstar) as Collateral Custodian
and Document Custodian; Virtus Group, LP as Collateral
Administrator; and each of the Lenders and Subordinated Lenders
from time to time party thereto:

-- Class A-1 Advance: AA (sf)
-- Class A-2 Advance: AA (low) (sf)
-- Class B Advance: A (low) (sf)
-- Class C Advance: BBB (low) (sf)
-- Class D Advance: BB (low) (sf)
-- Class E Advance: B (low) (sf)

The provisional rating on the Class A-1 Advance addresses the
timely payment of interest (other than Interest attributable to
Excess Interest Amounts, as defined in the Loan Agreement referred
to above) and the ultimate payment of principal on or before the
Facility Maturity Date (as defined in the Loan Agreement referred
to above).

The provisional ratings on the Class A-2 Advance, the Class B
Advance, the Class C Advance, the Class D Advance, and the Class E
Advance address the ultimate payment of interest (other than
Interest attributable to Excess Interest Amounts, as defined in the
Loan Agreement referred to above) and the ultimate payment of
principal on or before the Facility Maturity Date (as defined in
the Loan Agreement referred to above).

The Advances are collateralized primarily by a portfolio of U.S.
middle-market corporate loans. The servicer for TPR Funding 2022-1,
LLC is Delaware Life Insurance Company. DBRS Morningstar considers
Delaware Life Insurance Company to be an acceptable collateralized
loan obligation (CLO) servicer.

RATING RATIONALE

In its analysis, DBRS Morningstar considered the following aspects
of the transaction:

(1) The transaction's capital structure and the form and
sufficiency of available credit enhancement.
(2) Relevant credit enhancement in the form of subordination and
excess spread.
(3) The ability of the Advances to withstand projected collateral
loss rates under various cash flow stress scenarios.
(4) The credit quality of the underlying collateral and the ability
of the transaction to reinvest Principal Proceeds into new
Collateral Obligations, subject to the Eligibility Criteria, which
include testing the Concentration Limitations, Collateral Quality
Tests, and Coverage Tests.
(5) DBRS Morningstar's assessment of the origination, servicing,
and CLO management capabilities of Delaware Life Insurance
Company.
(6) The legal structure as well as legal opinions addressing
certain matters of the Borrower and the consistency with the DBRS
Morningstar "Legal Criteria for U.S. Structured Finance"
methodology.

The Scheduled Revolving Period End Date is December 15, 2025. The
Facility Maturity Date is December 15, 2032.

The transaction has a dynamic structural configuration that permits
variations of certain asset metrics via a selection of an
applicable row from a collateral quality matrix (the CQM, as
defined in Schedule V of the Loan Agreement). Depending on a given
Diversity Score, the following metrics are selected accordingly
from the applicable row of the CQM: DBRS Morningstar Risk Score and
Weighted-Average Spread. DBRS Morningstar analyzed each structural
configuration as a unique transaction, and all configurations
(matrix points) passed the applicable DBRS Morningstar rating
stress levels. The Coverage Tests and triggers as well as the
Collateral Quality Tests that DBRS Morningstar modeled during its
analysis are presented below.

(1) Class A-1 Overcollateralization Ratio Test: 142.86%
(2) Class A-2 Junior Overcollateralization Ratio Test: 138.15%
(3) Class B Junior Overcollateralization Ratio Test: 118.21%
(4) Class C Junior Overcollateralization Ratio Test: 113.21%
(5) Class D Junior Overcollateralization Ratio Test: 106.68%
(6) Class E Junior Overcollateralization Ratio Test: 103.70%
(7) Maximum Weighted-Average Life Test: 6.00
(8) Minimum Diversity Test: Subject to CQM; 20
(9) Maximum DBRS Morningstar Risk Score Test: Subject to CQM;
41.27%
(10) Minimum Weighted-Average DBRS Morningstar Recovery Rate Test:
51.90%
(11) Minimum Weighted-Average Spread Test: Subject to CQM; 4.25%
(12) Minimum Weighted-Average Coupon Test: 6.00%

Some particular strengths of the transaction are (1) the collateral
quality, which will consist mostly of senior-secured middle-market
loans; and (2) the expected adequate diversification of the
portfolio of collateral obligations (Diversity Score, matrix
driven).

Some challenges were identified: (1) the expected weighted-average
credit quality of the underlying obligors may fall below investment
grade (per the CQM), and the majority may not have public ratings
once purchased, and (2) the underlying collateral portfolio may be
insufficient to redeem the Advances in an Event of Default.

DBRS Morningstar modeled the transaction using the DBRS Morningstar
CLO Asset Model and its proprietary cash flow engine, which
incorporated assumptions regarding principal amortization, amount
of interest generated, default timings, and recovery rates, among
other credit considerations referenced in the DBRS Morningstar
rating methodology "Cash Flow Assumptions for Corporate Credit
Securitizations." Model-based analysis produced satisfactory
results, which supported the assignment of the provisional ratings
on the Advances.

Considering the transaction structure, its legal aspects, and the
results produced by the models, DBRS Morningstar assigned the
provisional ratings specified above on each class of Advances
issued by TPR Funding 2022-1, LLC.

To assess portfolio credit quality, DBRS Morningstar provides a
credit estimate or internal assessment for each nonfinancial
corporate obligor in the portfolio not rated by DBRS Morningstar.
Credit estimates are not ratings; rather, they represent a
model-driven default probability for each obligor that DBRS
Morningstar uses when rating the Advances.

Notes: The principal methodologies are Rating CLOs and CDOs of
Large Corporate Credit (January 26, 2022) and Cash Flow Assumptions
for Corporate Credit Securitizations (January 26, 2022), which can
be found on dbrsmorningstar.com under Methodologies & Criteria.



TRINITAS CLO XXI: S&P Assigns BB- (sf) Rating on Class E Notes
--------------------------------------------------------------
S&P Global Ratings assigned its ratings to Trinitas CLO XXI
Ltd./Trinitas CLO XXI LLC's floating-rate notes. The transaction is
managed by Trinitas Capital Management LLC.

The note 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 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

  Trinitas CLO XXI Ltd./Trinitas CLO XXI LLC

  Class A, $310.00 million: Not rated
  Class B-1, $58.50 million: AA (sf)
  Class B-2, $6.50 million: AA (sf)
  Class C (deferrable), $28.75 million: A (sf)
  Class D (deferrable), $26.25 million: BBB- (sf)
  Class E (deferrable), $16.25 million: BB- (sf)
  Subordinated notes, $52.00 million: Not rated



VERUS SECURITIZATION 2022-2: DBRS Finalizes B Rating on B-2 Notes
-----------------------------------------------------------------
DBRS, Inc. finalized provisional ratings on the Mortgage-Backed
Notes, Series 2022-2 (the Notes) issued by Verus Securitization
Trust 2022-2 (VERUS 2022-2 or the Trust) as follows:

-- $491.9 million Class A-1 at AAA (sf)
-- $69.1 million Class A-2 at AA (high) (sf)
-- $89.5 million Class A-3 at A (sf)
-- $42.3 million Class M-1 at BBB (low) (sf)
-- $24.9 million Class B-1 at BB (sf)
-- $18.5 million Class B-2 at B (low) (sf)

The AAA (sf) rating on the Class A-1 certificates reflects 34.90%
of credit enhancement provided by subordinated certificates. The AA
(high) (sf), A (sf), BBB (low) (sf), BB (sf), and B (low) (sf)
ratings reflect 25.75%, 13.90%, 8.30%, 5.00%, and 2.55% of credit
enhancement, respectively.

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

This a securitization of a portfolio of primarily fixed- and
adjustable-rate, expanded prime and nonprime, first-lien
residential mortgages funded by the issuance of the Mortgage-Backed
Notes, Series 2022-2. The Notes are backed 1,268 mortgage loans
with a total principal balance of $755,593,539 as of the Cut-Off
Date ( December 1, 2022).

The pool was originated by various originators, each contributing
less than 15.0% of the loans to the Trust. Shellpoint will act as
the Servicer for all loans.
 
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 Qualified Mortgage
(QM)/ATR rules, 45.7% of the loans are designated as non-QM, 0.1%
are designated as QM Rebuttable Presumption, and 1.6% are
designated as QM Safe Harbor. Approximately 52.6% of the loans are
made to investors for business purposes and, hence, are not subject
to the QM/ATR rules.

Approximately 43.9% of the loans were originated under a Property
Focused Investor Loan Debt Service Coverage Ratio (DSCR) program
and 0.6% were originated under a Property Focused Investor Loan
program. Both programs allow for property cash flow/rental income
to qualify borrowers for income.

The Sponsor, directly or indirectly through a majority-owned
affiliate, will retain an eligible vertical interest, representing
at least 5% 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 be the
beneficial holder with respect to 100% of the Class B-3 Notes, and
the Class A-IO-S and Class XS Certificates.

Nationstar Mortgage LLC dba Mr. Cooper Master Servicing will be the
Master Servicer. Wilmington Savings Fund Society, FSB will act as
the Indenture and Owner Trustee. Computershare Trust Company, N.A.
(Computershare; rated BBB with a Stable trend by DBRS Morningstar)
will act as the Custodian.

On or after the earlier of (1) the Payment Date occurring in
November 2027 or (2) the date when the aggregate stated principal
balance of the mortgage loans is reduced to 10% 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 Principal and Interest (P&I) Advancing Party will fund advances
of delinquent P&I on any mortgage until such loan becomes 90 days
delinquent. The P&I 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 feature among the senior tranches. Principal
proceeds can be used to cover interest shortfalls on the Class A-1
and A-2 Notes sequentially (IIPP) after a Trigger Event. For more
subordinated Notes, principal proceeds can be used to cover
interest shortfalls as the more senior Notes are paid in full.
Furthermore, excess spread can be used to cover realized losses and
prior period bond writedown amounts first before being allocated to
unpaid cap carryover amounts to Class A-1 down to Class A-3.

The transaction assumptions consider DBRS Morningstar's baseline
macroeconomic scenarios for rated sovereign economics, available in
its commentary: Baseline Macroeconomic Scenarios For Rated
Sovereigns September 2022 Update, dated September 19, 2022. These
baseline macroeconomic scenarios replace DBRS Morningstar's
moderate and adverse COVID-19 pandemic scenarios, which were first
published in April 2020.

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


VERUS SECURITIZATION 2023-1: S&P Assigns Prelim B-(sf) on B-2 Notes
-------------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Verus
Securitization Trust 2023-1's mortgage-backed notes.

The note issuance is an RMBS transaction backed by U.S. residential
mortgage loans.

The preliminary ratings are based on information as of Jan. 10,
2023. Subsequent information may result in the assignment of final
ratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The pool's collateral composition;

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

-- The mortgage aggregator, Invictus Capital Partners; and

-- The potential impact current and near-term macroeconomic
conditions may have on the performance of the mortgage borrowers in
the pool. S&P said, "Per our latest macroeconomic update, we
continue to expect the U.S. will fall into recession in 2023.
Recent indicators support our view, as rising prices and interest
rates eat away at private-sector purchasing power. Indeed, of the
leading indicators we track in our Business Cycle Barometer, only
one of the nine indicators was in positive territory through
October: Seven were negative and one was neutral. Although our
10-year/three-month term spread indicator remained neutral in
September, daily readings have been inverted since Oct. 25.
Moreover, both the 10-year/one-year and 10-year/two-year indicators
have been inverted for, on average, three straight months, which
signals a recession. The average 10-year/three-month indicator is
headed for an inversion in November, with the average through Nov.
22 at -0.35%. If it's inverted for the second straight month, that
would also be a recession signal. While economic momentum has
protected the U.S. economy this year, what's around the bend in
2023 is the bigger worry. Extremely high prices and aggressive rate
hikes will weigh on affordability and aggregate demand. With the
Russia-Ukraine conflict ongoing, tensions over Taiwan escalating,
and the China slowdown exacerbating supply-chain and pricing
pressures, the U.S. economy appears to be teetering toward
recession. As a result, we continue to maintain the revised outlook
per the April 2020 update to the guidance to our RMBS criteria
(which increased the archetypal 'B' projected foreclosure frequency
to 3.25% from 2.50%)."

  Preliminary Ratings Assigned

  Verus Securitization Trust 2023-1(i)

  Class A-1, $289,122,000: AAA (sf)
  Class A-2, $44,948,000: AA (sf)
  Class A-3, $60,497,000: A (sf)
  Class M-1, $34,257,000: BBB- (sf)
  Class B-1, $21,867,000: BB- (sf)
  Class B-2, $17,250,000: B- (sf)
  Class B-3, $17,979,266: Not rated
  Class A-IO-S, notional(ii): Not rated
  Class XS, notional(ii): Not rated
  Class DA, $4,740: Not rated
  Class R, not applicable: Not rated

(i)The collateral and structural information reflect the term sheet
dated Jan. 6, 2023. The preliminary ratings address the ultimate
payment of interest and principal; they do not address payment of
the cap carryover amounts.
(ii)The notional amount equals the loans' aggregate unpaid
principal balance.



VITALITY RE XIV: S&P Assigns 'BB+ (sf)' Rating on Class E Notes
---------------------------------------------------------------
S&P Global Ratings assigned preliminary ratings of 'BBB+ (sf)' and
'BB+ (sf)' to the class A and B notes, respectively, to be issued
by Vitality Re XIV 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 benefit 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 based its ratings on the lowest of the following:

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

-- The rating on ALIC (the underlying covered business company),
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 driver of historical medical insurance
financial fluctuations has been the volatility in per capita claim
cost trends and lags in insurers' reactions to these trend changes
in their premium rating actions. Other volatility factors 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 eighth 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.



WHITNEY FUNDING: DBRS Hikes Class D Loan Rating to BB(low)
----------------------------------------------------------
DBRS, Inc. assigned a provisional rating of B (low) (sf) to the
Class E Loan and upgraded the following provisional ratings on the
Class A Loan, the Class B Loan, the Class C Loan, and the Class D
Loan issued by Whitney Funding, LLC, pursuant to the terms of the
Second Amended and Restated Loan Agreement (the Loan Agreement)
dated as of December 15, 2022, among Whitney Funding, LLC as
Borrower; Delaware Life Insurance Company as a Lender and the
Managing Lender; and Alter Domus (US) LLC as the Paying Agent and
Calculation Agent:

-- Class A Loan upgraded to AA (low) (sf) from A (high) (sf)
-- Class B Loan upgraded to A (low) (sf) from BBB (low) (sf)
-- Class C Loan upgraded to BBB (sf) from BB (sf)
-- Class D Loan upgraded to BB (low) (sf) from B (low) (sf)

The provisional rating on the Class A Loan addresses the timely
payment of interest and the ultimate payment of principal on or
before the Legal Final Maturity Date of December 18, 2034. The
provisional ratings on the Class B Loan, Class C Loan, Class D
Loan, and Class E Loan address the ultimate payment of interest and
the ultimate payment of principal on or before the Legal Final
Maturity Date of December 18, 2034.

A provisional rating is not a final rating with respect to the
above-mentioned Loans and may change or be different than the final
rating assigned or may be discontinued. The assignment of final
ratings on the above-mentioned Loans is subject to receipt by DBRS
Morningstar of all data and/or information and final documentation
that DBRS Morningstar deems necessary to finalize the ratings,
including, for these Loans: completion of the funding period, up to
the Maximum Commitment Amount (as defined in the Loan Agreement)
and satisfaction of the Portfolio Criteria (as defined in the Loan
Agreement). Failure by the Borrower to complete the above
conditions, as described in the Loan Agreement, may result in the
provisional ratings not being finalized or being finalized at
different ratings than the provisional ratings assigned.

Should a Distribution Event (as defined in the Loan Agreement)
occur, the Designated Lender (as defined in the Loan Agreement)
shall have the right at any time, upon written notice to the
Borrower, the Paying Agent, and the Rating Agency, to instruct the
Paying Agent to distribute the Borrower's assets to the Designated
Lenders. In consideration therefor, the Aggregate Loan Balance of
the Loans will be reduced to zero and all obligations of the
Borrower (except those that expressly survive the termination of
the Loan Agreement) shall be deemed satisfied.

The Borrower is a bankruptcy-remote special-purpose vehicle set up
by Delaware Life Insurance Company as the Managing Lender and
Servicer. At the time of closing, DBRS Morningstar understands that
Delaware Life Insurance Company is the sole Lender to the Borrower
(though Delaware Life Insurance Company may sell or assign the
Loans following the closing). As such, as of this date, certain key
parties to this transaction are related parties. In addition,
Delaware Life Insurance Company engaged DBRS Morningstar for the
determination of the credit ratings on the Loans.

The Loans issued by the Borrower are collateralized primarily by a
portfolio of U.S. middle-market corporate loans. Whitney Funding,
LLC will be managed by Delaware Life Insurance Company. DBRS
Morningstar considers Delaware Life Insurance Company to be an
acceptable collateralized loan obligation (CLO) manager.

RATING RATIONALE

In its analysis, DBRS Morningstar considered the following aspects
of the transaction:

(1) The execution of the Second Amended and Restated Loan
Agreement, dated as of December 15, 2022.
(2) The transaction's capital structure and the form and
sufficiency of available credit enhancement.
(3) Relevant credit enhancement in the form of subordination and
excess spread.
(4) The ability of the Loans to withstand projected collateral loss
rates under various cash flow stress scenarios.
(5) The credit quality of the underlying collateral and the ability
of the transaction to reinvest Principal Proceeds into new
Collateral Obligations, subject to the Eligibility Criteria, which
include testing the Concentration Limitations, Collateral Quality
Tests, and Coverage Tests.
(6) DBRS Morningstar's assessment of the origination, servicing,
and CLO management capabilities of Delaware Life Insurance
Company.
(7) The legal structure as well as legal opinions addressing
certain matters of the Borrower and the consistency with the DBRS
Morningstar "Legal Criteria for U.S. Structured Finance"
methodology.

The Scheduled Reinvestment Period Termination Date is three years
following the DBRS Final Ratings Effective Date (as defined in the
Loan Agreement). The Legal Final Maturity Date is December 18,
2034.

The transaction has a dynamic structural configuration that permits
variations of certain asset metrics via a selection of an
applicable row from a collateral quality matrix (the CQM, as
defined in Schedule 5 of the Loan Agreement). Depending on a given
Maximum Average Life, the following metrics are selected
accordingly from the applicable row of the CQM: Row Spread Level
and Maximum DBRS Morningstar Risk Score Test. DBRS Morningstar
analyzed each structural configuration as a unique transaction, and
all configurations (matrix rows) passed the applicable DBRS
Morningstar rating stress levels. The Coverage Tests and triggers
as well as the Collateral Quality Tests that DBRS Morningstar
modeled during its analysis are presented below.

(1) Class A Loan Overcollateralization Test: 137.06%
(2) Class B Loan Overcollateralization Test: 125.33%
(3) Class C Loan Overcollateralization Test: 119.00%
(4) Class D Loan Overcollateralization Test: 110.28%
(5) Class E Loan Overcollateralization Test: 106.73%
(6) Maximum Weighted-Average Life Test: Subject to CQM; 5.5
(7) Row Spread Level: Subject to CQM; 5.25%
(8) Maximum DBRS Morningstar Risk Score Test: Subject to CQM;
35.0%
(9) Minimum Weighted-Average Coupon Test: 5.50%

Some particular strengths of the transaction are (1) the collateral
quality, which will consist mostly of senior-secured middle-market
loans; and (2) the expected adequate diversification of the
portfolio of collateral obligations.

Some challenges were identified: (1) the expected weighted-average
credit quality of the underlying obligors may fall below investment
grade (per the CQM), and the majority may not have public ratings
once purchased; and (2) the underlying collateral portfolio may be
insufficient to redeem the Loans in an Event of Default.

DBRS Morningstar modeled the proposed amendment pursuant to the
Second Amended and Restated Loan Agreement using the DBRS
Morningstar CLO Asset Model and its proprietary cash flow engine,
which incorporated assumptions regarding principal amortization,
amount of interest generated, default timings, and recovery rates,
among other credit considerations referenced in the DBRS
Morningstar rating methodology "Cash Flow Assumptions for Corporate
Credit Securitizations." Model-based analysis produced satisfactory
results, which supported the assignment of the provisional ratings
on the Loans.

Considering the transaction structure, its legal aspects, and the
results produced by the models, DBRS Morningstar assigned a
provisional rating to the Class E Loan and upgraded the provisional
ratings specified above on the Loans issued by Whitney Funding,
LLC.

To assess portfolio credit quality, DBRS Morningstar provides a
credit estimate or internal assessment for each nonfinancial
corporate obligor in the portfolio not rated by DBRS Morningstar.
Credit estimates are not ratings; rather, they represent a
model-driven default probability for each obligor that DBRS
Morningstar uses when rating the Loans.


[*] DBRS Reviews 477 Classes from 45 U.S. RMBS Transactions
-----------------------------------------------------------
DBRS, Inc. reviewed 477 classes from 45 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 477 classes
reviewed, DBRS Morningstar upgraded 45 ratings, confirmed 420
ratings, and discontinued 12 ratings.

The Affected Ratings are available at https://bit.ly/3Gf3hWy

The rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new rating levels. The rating confirmations reflect asset
performance and credit-support levels that are consistent with the
current ratings. The discontinued ratings reflect the full
repayment of principal to bondholders.

The pools backing the reviewed RMBS transactions consist of
subprime, Alt-A, prime, second-lien, and reperforming mortgage
collateral.

The ratings assigned to the securities listed below differ from the
ratings implied by the quantitative model. DBRS Morningstar
considers these differences material deviations; however, in these
cases, the ratings on the subject securities may reflect additional
seasoning being warranted to substantiate a further upgrade.

Notes: The principal methodology is U.S. RMBS Surveillance
Methodology (February 21, 2020), which can be found on
dbrsmorningstar.com under Methodologies & Criteria.



[*] DBRS Reviews 674 Classes From 29 U.S. RMBS Transactions
-----------------------------------------------------------
DBRS, Inc. reviewed 674 classes from 29 U.S. residential
mortgage-backed security (RMBS) transactions. Of the 674 classes
reviewed, DBRS Morningstar upgraded 427 ratings, confirmed 217
ratings, and discontinued 30 ratings.

The Affected Ratings are available at https://bit.ly/3Gytv6i

The rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new rating levels. The rating confirmations reflect asset
performance and credit-support levels that are consistent with the
current ratings. The discontinued ratings reflect the full
repayment of principal to bondholders.

The pools backing the reviewed RMBS transactions consist of prime
Fannie Mae and Freddie Mac collateral.

The ratings assigned to the securities listed below differ from the
ratings implied by the quantitative model. DBRS Morningstar
considers these differences material deviations; however, in these
cases, the ratings on the subject securities may reflect additional
seasoning being warranted to substantiate a further upgrade or that
the actual deal or tranche performance is not fully reflected in
the projected cash flows/model output.

Notes: The principal methodology is the U.S. RMBS Surveillance
Methodology.



[*] Moody's Takes Action on $98MM of US RMBS Issued 2002-2007
-------------------------------------------------------------
Moody's Investors Service, on Jan. 6, 2023, took action on the
ratings of six bonds from four US residential mortgage-backed
transaction (RMBS), backed by subprime and option ARM mortgages
issued by multiple issuers.

Complete rating actions are as follows:

Issuer: Greenpoint Mortgage Funding Trust 2006-AR1

Cl. A-1A, Upgraded to Ba1 (sf); previously on May 22, 2019 Upgraded
to B3 (sf)

Cl. A-1B, Upgraded to Ba1 (sf); previously on May 22, 2019 Upgraded
to B3 (sf)

Issuer: MESA 2002-3 Global Issuance Company

Cl. B-1, Downgraded to Caa3 (sf); previously on Apr 13, 2018
Downgraded to Caa1 (sf)

Issuer: Morgan Stanley ABS Capital I Inc. Trust 2007-HE7

Cl. A-2B, Upgraded to Baa3 (sf); previously on Oct 24, 2019
Upgraded to Ba2 (sf)

Issuer: Nationstar Home Equity Loan Asset-Backed Certificates,
Series 2007-C

Cl. 1-AV-1, Upgraded to A2 (sf); previously on Jan 13, 2020
Upgraded to Baa1 (sf)

Cl. 2-AV-4, Upgraded to A3 (sf); previously on Jan 13, 2020
Upgraded to Baa2 (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 an increase in credit enhancement
available to the bonds. In addition, for bonds issued by Greenpoint
Mortgage Funding Trust 2006-AR1, the increase in credit enhancement
reflects a significant settlement distribution received pursuant to
JPMorgan RMBS Trust Settlement Agreement. The rating downgrade is
primarily due to the decline in the credit enhancement available,
and the losses incurred by the bond.

Principal Methodologies

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.


[*] S&P Takes Various Actions on 190 Ratings from Six US RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 190 classes from six
U.S. RMBS transactions between 2018 and 2020, which are all backed
by prime collateral. The review yielded 34 upgrades and 156
affirmations.

A list of Affected Ratings can be viewed:

           https://bit.ly/3GLcqaE

S&P said, "For each transaction, we performed a credit analysis
using updated loan-level information from which we determined
foreclosure frequency, loss severity, and loss coverage amounts
commensurate for each rating level. In addition, we used the same
mortgage operational assessment, representation and warranty, and
due diligence factors that were applied at issuance. Our geographic
concentration adjustment factor was based on the transactions'
current pool composition."

The upgrades primarily reflect deleveraging because the
transactions benefit from very low delinquencies and a growing
percentage of credit support to the rated classes.

The affirmations reflect S&P's view that the projected collateral
performance relative to its projected credit support on these
classes remains relatively consistent with our prior projections.

Analytical Considerations

S&P incorporates various considerations into its decisions to
raise, lower, or affirm ratings when reviewing the indicative
ratings suggested by the application of its criteria. These
considerations are based on transaction-specific performance or
structural characteristics (or both) and their potential effects on
certain classes. Some of these considerations include:

-- Collateral performance or delinquency trends;
-- Priority of principal payments;
-- Priority of loss allocation;
-- Application of interest-only criteria;
-- Available subordination and/or credit enhancement floors; and
-- Large-balance loan exposure/tail risk.



                            *********

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