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

              Sunday, February 26, 2023, Vol. 27, No. 56

                            Headlines

A10 SINGLE 2023-GTWY: DBRS Gives Prov. B(low) Rating on F Certs
AMERICAN CREDIT 2023-1: DBRS Finalizes BB Rating on Class E Notes
AMERIQUEST MORTGAGE 2004-R3: Moody's Hikes M-3 Debt to Caa1
ARBOR REALTY 2020-FL1: DBRS Confirms B(low) Rating on G Notes
BAMLL COMMERCIAL 2016-ISQR: DBRS Confirms BB(low) on E Certs

BAMLL COMMERCIAL 2016-SS1: DBRS Confirms BB(low) Rating on F Certs
BEAR STEARNS 2007-PWR18: DBRS Confirms C Rating on 3 Classes
BMO 2023-C4: Fitch Assigns 'B-sf' Rating on Class J-RR Certs
BRAVO RESIDENTIAL 2023-NQM2: Fitch Gives B(EXP) Rating on B-2 Notes
BREAN ASSET 2023-RM6: DBRS Gives Prov. B Rating on Class M5 Notes

BX TRUST 2017-CQHP: Moody's Lowers Rating on Cl. D Certs to B1
BXP TRUST 2017-CC: DBRS Confirms BB Rating on Class E Certs
COLLEGE LOAN 2006-1: Fitch Lowers Rating on Cl. B-1 Notes to BBsf
COMM 2012-CCRE1: Moody's Lowers Rating on 3 Tranches to Caa3
COMM 2012-LC4: Moody's Lowers Rating on Class C Certs to B3

COMM 2013-CCRE6: DBRS Confirms BB(low) Rating on Class E Certs
COMM 2014-CCRE17: Fitch Lowers Rating on Class D Certs to 'BBsf'
COMM 2014-UBS4: DBRS Confirms B Rating on 2 Classes
DBUBS 2011-LC2: DBRS Confirms B Rating on Class FX Certs
EXETER AUTOMOBILE 2023-1: Fitch Gives 'BB(EXP)sf' Rating on E Notes

FLAGSHIP CREDIT 2023-1: DBRS Finalizes BB Rating on Class E Notes
GENERATE CLO 11: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
GS MORTGAGE 2017-GS6: Fitch Affirms B- Rating on Class F Debt
GS MORTGAGE 2023-PJ2: Fitch Gives B-(EXP)sf Rating on Cl. B5 Certs
HMH TRUST 2017-NSS: S&P Lowers Class E Notes Rating to 'D (sf)'

HOMES 2023-NQM1: Fitch Assigns 'B(EXP)' Rating on Class B2 Certs
IMPERIAL FUND 2023-NQM1: DBRS Finalizes B(low) Rating on B-2 Certs
INVESCO US 2023-1: Moody's Assigns B3 Rating to $1.2MM Cl. F Notes
JP MORGAN 2023-2: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B-5 Certs
MFA 2023-INV1: DBRS Gives Prov. B(high) Rating on Class B-2 Certs

MILL CITY 2023-NQM1: Fitch Gives 'B(EXP)sf' Rating on Cl. B-2 Notes
MORGAN STANLEY 2015-UBS8: Fitch Cuts Rating on Two Tranches to Csf
MORGAN STANLEY 2017-C33: Fitch Affirms B- Rating on Cl. F Certs
MOSAIC SOLAR 2023-1: Fitch Assigns 'BBsf' Rating on Class D Notes
MSC 2011-C3: DBRS Confirms B Rating on Class X-B Certs

NASSAU 2019 CFO: Fitch Affirms 'BB' Rating on USD47MM Class B Notes
OBX TRUST 2023-NQM2: Fitch Assigns B(EXP) Rating on Cl. B-2 Notes
OCP CLO 2015-9: Fitch Affirms 'BB-sf' Rating on Class E-R Notes
OCTANE RECEIVABLES 2023-1: S&P Assigns BB (sf) Rating on E Notes
OFSI BSL XII: S&P Assigns BB- (sf) Rating on Class E Notes

OZLM LTD XX: Moody's Cuts Rating on $6.975MM Class E Notes to Caa1
PIKES PEAK 12: Fitch Gives BB-sf Rating on E Notes, Outlook Stable
UBS COMMERCIAL 2018-C10: Fitch Affirms B- Rating on F-RR Debt
VENTURE CLO 31: Moody's Hikes Rating on $12MM Class F Notes to B1
WELLS FARGO 2016-BNK1: Fitch Lowers Rating on Class X-F Debt to Csf

[*] S&P Takes Various Actions on 17 Classes From Four US RMBS Deals

                            *********

A10 SINGLE 2023-GTWY: DBRS Gives Prov. B(low) Rating on F Certs
---------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2023-GTWY
(the Certificates) to be issued by A10 Single Asset Commercial
Mortgage 2023-GTWY (A10 SACM 2023-GTWY):

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

All trends are Stable.

The A10 SACM 2022-GTWY single-asset/single-borrower transaction is
collateralized by the borrower's fee simple interest in The Gateway
at Wynwood (Gateway), a 219,532-sf office building, and an adjacent
5,348-sf retail building (2830 N Miami) in the Miami neighborhood
of Wynwood. The Gateway was developed by the sponsor, R&B Realty,
and delivered in December 2021 while the 2830 N Miami building was
built in 1936 and acquired by the sponsor in 2015. As of loan
closing, the collateral was 66.1% leased. Of the $92.0 million
A-note, $80.5 million will be contributed to the trust; the
remaining $11.5 million represents future funding for accretive
leasing. The loan is structured with a three-year initial term and
two one-year extension options that are exercisable subject to the
lender's discretion with no performance metric thresholds stated
within the loan documents. As a result, this allows for ambiguity
on expectations on loan performance and metrics throughout the
fully extended loan term; however, for the extension options to be
granted, the lender needs approval from 100% of the bondholders,
per the transaction documents. The floating-rate loan is IO
throughout the fully extended term and includes a step-up spread
mechanism where once the loan is fully-funded the spread increases
from 5.765% to 5.91%.

The Gateway at Wynwood comprises 24,078 sf of ground-floor retail,
195,454 sf of Class A office space, and a rooftop. The rooftop is
leased to a restaurant tenant that will also have operations in a
portion of the ground-floor retail. As of loan closing, 19.4% of
the space was physically occupied and the remaining 106,007-sf of
leased space is in varying stages of construction. The largest
tenant is OpenStore, an e-commerce company focused on acquiring and
managing Shopify stores. The tenant currently occupies 14,914 sf
(6.6% of the NRA), and its expansion space is under construction,
which will increase its footprint to 41,896 sf (18.6% of the NRA).
Mindspace, a coworking space, is the second largest tenant,
accounting for 30,272 sf (13.5% of NRA). The third-largest tenant,
Thoma Bravo, a software private equity firm, recently signed a
short-term 18 month lease for 20,930 sf (9.3% of NRA). The firm has
a long-term lease signed at a neighboring property in Miami, but
construction for that space is delayed and they are in need of
office space in the area. The other office tenants include a
commercial real estate company, a biotechnology company, and a
cryptocurrency company, and no other tenant represents more than
5.4% of the NRA. The collective collateral is 19.4% physically
occupied and 66.1 % leased; however, the sponsor has been unable to
execute a new long-term lease since July 2022, which is partially
due to the sponsor having insufficient funds for tenant
improvements. Thoma Bravo is taking over the previously vacant
spec-suites and the sponsor plans to build-out the eighth floor to
a spec level. The diversity of industry at the property is seen as
a positive, as it insulates the collateral from industry-specific
downturns; however, the general lack of occupancy and the inability
to execute a lease over the past six months are concerns,
particularly given the rejuvenation and interest in the Wynwood
submarket in addition to the current economic environment.

The Wynwood neighborhood is an up-and-coming office market and
emerging tech hub that was previously known as an industrial
district. Per the appraisal, office inventory has nearly doubled
over the past 10 years, and four new construction projects,
totaling 223,729 sf of office space or 10.3% of current inventory,
will be added in the near term. While The Gateway at Wynwood is a
recently delivered property, the neighborhood is experiencing a
significant increase in inventory, which could limit the upside
typically associated with a newly constructed building. The subject
is claiming competitive rents, with a WA rental rate of $66.18 psf
compared with the appraiser's competitive set adjusted rent of
$71.38. However, the property could struggle to be attractive and
retain tenants as new product continues to enter the market unless
above market concessions are granted. The substantial impact of
inventory on vacancy has already been observed as seen by the
10-year average vacancy rate of 11.5% compared with 24.4% in Q2
2022, per the appraisal, or 31.2% in Q3 2022, per Reis. The
sponsor's primary goal is to increase occupancy at the property and
$14.8 million ($11.5 million of future funding and $3.3 million
from the sponsor) will be collected at closing and reserved for
future leasing.

The sponsor for this transaction is a family-owned, fully
integrated real estate management firm based in New York. The
sponsor's real estate portfolio comprises over one million sf of
commercial real estate and includes three office buildings in New
York, four commercial buildings in varying locations, and the
subject collateral. The sponsor is inexperienced in the Miami
office market as the only other commercial building the sponsor
owns in Miami was fully leased to a restaurant that closed per the
restaurant's website. The loan collateral represents the sponsor's
largest project to-date and represents 45.5% of the sponsor's total
portfolio value of $290.9 million. The principal was involved in
family-centered lawsuits regarding the family's real estate assets.
The cases were settled in September 2022 and include a general
release of all claims known and unknown between the named family
members. Additionally, the sponsor is in litigation that started in
September 2021 with a subcontractor who alleged nonpayment in
relation to the construction of the asset. The subcontractor's
original claim was settled when the contractor paid such amount to
the subcontractor; however, the contractor's cross-claim against
the sponsor of $1.2 million in relation to design revisions,
traffic issues, and adverse weather conditions remains unsettled.
The sponsor is considering making a claim against the contractor in
a separate incident related to a $3.2 million construction payment
made by the sponsor in 2020. The sponsor received a email with wire
instructions to an account that was not the contractor's. It has
been alleged that the contractor's system had been hacked and when
the theft was discovered the contractor demanded a second $3.2
million payment or construction would be stopped. In order to
mitigate damages and complete construction, the sponsor paid under
protest and is now seeking to recover the duplicate payment.

The sponsor's net worth and liquidity are lower than the metrics
DBRS Morningstar typically sees for a transaction of this size. The
sponsor's inexperience and low net worth and liquidity ratios
resulted in a downward adjustment of the LTV thresholds. DBRS
Morningstar applied an additional downward adjustment to the LTV
thresholds in relation to the lack of disclosure of the
aforementioned litigation by the sponsor during initial due
diligence.

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


AMERICAN CREDIT 2023-1: DBRS Finalizes BB Rating on Class E Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by American Credit Acceptance Receivables
Trust 2023-1 (ACAR 2023-1 or the Issuer):

-- $129,710,000 Class A Notes at AAA (sf)
-- $29,750,000 Class B Notes at AA (sf)
-- $54,400,000 Class C Notes at A (low) (sf)
-- $49,130,000 Class D Notes at BBB (low) (sf)
-- $19,210,000 Class E Notes at BB (sf)

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

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

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

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

(2) ACAR 2023-1 provides for the Class A, B, C, and D coverage
multiples being slightly below the DBRS Morningstar range of
multiples set forth in the "Rating U.S. Retail Auto Loan
Securitizations" methodology for this asset class. DBRS Morningstar
believes that this is warranted, given the magnitude of expected
loss and structural features of the transaction.

(3) The DBRS Morningstar CNL assumption is 28.40% based on the
expected cut-off date pool composition and concentration limits for
the prefunding collateral.

(4) The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios for
Rated Sovereigns: December 2022 Update," published on December 21,
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.

(5) The consistent operational history of American Credit
Acceptance, LLC (ACA or the Company) as well as the overall
strength of the Company and its management team.

-- The ACA senior management team has considerable experience,
with an approximate average of 18 years in banking, finance, and
auto finance companies as well as an average of approximately ten
years of Company tenure.

(6) ACA's operating history and its capabilities with regard to
originations, underwriting, and servicing.

-- DBRS Morningstar has performed an operational review of ACA and
considers the entity an acceptable originator and servicer of
subprime automobile loan contracts.

-- ACA has completed 41 securitizations since 2011, including four
transactions in 2021 and four in 2022.

-- ACA maintains a strong corporate culture of compliance and a
robust compliance department.

(7) The credit quality of the collateral and the consistent
performance of ACA's auto loan portfolio.

-- Availability of considerable historical performance data and a
history of consistent performance of the ACA portfolio.

-- The statistical pool characteristics include the following: the
pool is seasoned by approximately three months and contains ACA
originations from Q2 2015 through Q1 2023, the weighted-average
(WA) remaining term of the collateral pool is approximately 68
months, and the WA FICO score of the pool is 542.

(8) The Company indicated that it may be subject to various
consumer claims and litigation seeking damages and statutory
penalties. Some litigation against ACA could take the form of
class-action complaints by consumers; however, the Company
indicated that there is no material pending or threatened
litigation.

(9) The legal structure and presence of legal opinions which
address the true sale of the assets to the Issuer, the
nonconsolidation of each of the depositor and the Issuer with ACA,
that the Issuer has a valid first-priority security interest in the
assets, and the consistency with the DBRS Morningstar "Legal
Criteria for U.S. Structured Finance" methodology.

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

The ACAR 2023-1 transaction represents the 42nd securitization
completed by ACA since 2011 and offers both senior and subordinate
rated securities. The receivables securitized in ACAR 2023-1 are
subprime automobile loan contracts secured primarily by used
automobiles, light-duty trucks, vans, motorcycles, and minivans.

The rating on the Class A Notes reflects 62.85% of initial hard
credit enhancement provided by the subordinated notes in the pool,
the reserve fund (1.00% as a percentage of the initial collateral
balance), and OC (17.00% of the total pool balance). The ratings on
the Class B, C, D, and E Notes reflect 54.10%, 38.10%, 23.65%, and
18.00% of initial hard credit enhancement, respectively. Additional
credit support may be provided from excess spread available in the
structure.

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


AMERIQUEST MORTGAGE 2004-R3: Moody's Hikes M-3 Debt to Caa1
-----------------------------------------------------------
Moody's Investors Service has upgraded the ratings of two bonds and
downgraded the ratings of two bonds from three US residential
mortgage-backed transactions (RMBS), backed prime jumbo and
subprime mortgages issued by multiple issuers.

A list of Affected Credit Ratings is available at
https://bit.ly/3Kt9HFb

Complete rating actions are as follows:

Issuer: Aegis Asset Backed Securities Trust 2003-2

Cl. M1, Downgraded to A3 (sf); previously on May 4, 2012 Upgraded
to A1 (sf)

Issuer: Ameriquest Mortgage Securities Inc., Series 2004-R3

Cl. M-3, Upgraded to Caa1 (sf); previously on Aug 15, 2016 Upgraded
to Caa2 (sf)

Cl. M-4, Upgraded to Caa3 (sf); previously on May 4, 2012
Downgraded to C (sf)

Issuer: CHL Mortgage Pass-Through Trust 2003-54

Cl. A-1, Downgraded to Baa3 (sf); previously on Aug 9, 2013
Downgraded to Baa1 (sf)

RATINGS RATIONALE

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

Principal Methodology

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

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

Up

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

Down

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

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


ARBOR REALTY 2020-FL1: DBRS Confirms B(low) Rating on G Notes
-------------------------------------------------------------
DBRS, Inc. upgraded its ratings on five classes of floating-rate
notes issued by Arbor Realty Commercial Real Estate Notes 2020-FL1,
Ltd. as follows:

-- Class B Secured Floating Rate Notes to AAA (sf) from AA (low)
(sf)

-- Class C Secured Floating Rate Notes to A (high) (sf) from A
(low) (sf)

-- Class D Secured Floating Rate Notes to A (low) (sf) from BBB
(high) (sf)

-- Class E Secured Floating Rate Notes to BBB (sf) from BBB (low)
(sf)

-- Class F Floating Rate Notes to BB (sf) from BB (low) (sf)

DBRS Morningstar also confirmed the following ratings on three
classes:

-- Class A Senior Secured Floating Rate Notes at AAA (sf)
-- Class A-S Senior Secured Floating Rate Notes at AAA (sf)
-- Class G Floating Rate Notes at B (low) (sf)

All trends are Stable.

The rating upgrades reflect the increased credit support to the
bonds as a result of successful loan repayment, as there has been a
collateral reduction of 32.3% since issuance. In addition, the
borrowers on the remaining loans are generally progressing with
their respective business plans, which DBRS Morningstar expects
will ultimately lead to property stabilization and value growth. 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 31 floating-rate loans with a
cutoff balance totaling $640.5 million, which was subsequently
ramped up to the maximum deal balance of $800.0 million. The
transaction had a 36-month reinvestment period that originally was
scheduled to expire with the March 2023 Payment Date; however, the
collateral manager chose to end the reinvestment period in December
2022 as existing available reinvestment proceeds and principal from
subsequent loan repayments have been used to amortize the rated
notes since that date forward.

As of the January 2023 remittance, the pool comprised 37 loans
secured by 49 properties with a cumulative trust balance of $541.4
million. Since issuance, 56 loans have been repaid from the pool,
including six loans with a former trust balance of $99.9 million
that have been repaid since the previous DBRS Morningstar rating
action in November 2022. Only one of the original 31 loans,
representing 3.5% of the current trust balance, remains in the
transaction.

The transaction is concentrated by multifamily properties as 33
loans, representing 85.4% of the current pool balance, are secured
by multifamily properties while the remaining four loans are each
secured by one student-housing, office, healthcare, or retail
property. Through September 2023, the collateral manager advanced
$20.9 million in loan future funding to 28 individual borrowers to
aid in property stabilization efforts. The largest portion of this
funding ($2.3 million) has been advanced to the borrower of the
Aston Villa Apartments loan, which is secured by a multifamily
property in Columbus, Ohio. The borrower's business plan is to
complete a significant $2.2 million capital improvement plan to the
property's unit interiors, amenities, and common areas with
additional reserves for radon testing and debt service advances.

An additional $29.4 million of unadvanced loan future funding
allocated to 35 individual borrowers remains outstanding. The
largest portion of unadvanced future funding dollars ($2.8 million)
is allocated to the borrower of the Parkview Village Apartments
loan, which is secured by a 388-unit garden-style property in Fort
Wayne, Indiana. The borrower's business plan is to institute a $3.7
million capital improvement program across the property to increase
rental rates by bringing down units back online as well as
renovating unit interiors and building exteriors. Through Q3 2022,
the collateral manager had advanced $1.4 million of the renovation
reserve.

Beyond the property type concentration, the transaction is also
concentrated by properties in suburban markets, which DBRS
Morningstar defines as markets with a DBRS Morningstar Market Rank
of 3, 4, or 5. As of January 2023, 22 loans, representing 57.5% of
the cumulative loan balance, are secured by properties in suburban
markets. An additional 13 loans, representing 35.3% of the
cumulative loan balance, are secured by properties in tertiary and
rural markets, which historically have less liquidity and demand.
In comparison with the pool composition as of the January 2022
reporting, there were 28 loans, representing 57.6% of the
cumulative loan balance, in suburban markets and 16 loans,
representing 35.3% of the cumulative loan balance, in tertiary and
rural markets.

The collateral pool exhibits similar leverage from issuance with a
current weighted-average (WA) appraised loan-to-value ratio (LTV)
of 77.8% and WA stabilized LTV of 66.2%. In comparison, these
figures were 76.2% and 70.3%, respectively, at closing. As the
majority of these appraisals were conducted prior to 2022, there is
the possibility that select property values may have decreased
given the current interest rate and capitalization rate
environment.

As of January 2023, two loans, representing 4.4% of the pool
balance, are in special servicing. The River Ridge Apartments loan
(Prospectus ID#39; 1.7% of the pool) is secured by a multifamily
property in Columbia, South Carolina. The loan transferred to
special servicing in September 2022 for pending maturity default.
The collateral manager confirmed the loan was extended with a new
maturity date in September 2023 to allow the borrower additional
time to complete planned property upgrades and stabilize property
operations. As of November 2022, the property was 82.9% occupied
with an average rental rate of $857/unit; however, 32 units, or
21.9% of the total unit count were occupied, on a month-to-month
basis. The collateral manager also confirmed that 54.0% of the $2.7
million renovation reserve had been advanced through December 2022.
While the current performance of the asset is below expectations,
an updated November 2022 appraisal value indicated there is
sufficient market equity remaining in the transaction as the fully
funded loan balance is $9.3 million.

The other specially serviced loan, Forest Manor (Prospectus ID#79;
2.7% of the pool), is secured by a healthcare property in
Northport, Alabama. The loan transferred to special servicing in
January 2023 because it matured in the same month and the borrower
had not communicated a repayment strategy. According to an update
from the collateral manager; however, the borrower received a
financing commitment from the U.S. Department of Housing and Urban
Development with take-out financing scheduled to close by month-end
February 2023. As a result, the borrower has requested a short-term
loan extension, which DBRS Morningstar expects the lender will
grant. According to the most recent financials provided, property
operations generated a debt service coverage ratio of 2.0 times.
There are no loans on the servicer's watchlist.

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


BAMLL COMMERCIAL 2016-ISQR: DBRS Confirms BB(low) on E Certs
------------------------------------------------------------
DBRS, Inc. confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2016-ISQR issued by BAMLL
Commercial Mortgage Securities Trust 2016-ISQR as follows:

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

DBRS Morningstar changed the trends on all classes to Negative from
Stable.

The Negative trends reflect persistent declines in performance
metrics as a result of tenants vacating upon lease expiration and a
lack of leasing activity to backfill vacant spaces. Office
submarket fundamentals have softened, and there is general
uncertainty surrounding future demand for office space. Despite the
downward pressure to ratings as a result of the reduction in net
cash flow (NCF), DBRS Morningstar considered mitigating factors as
support for the rating confirmations, including the strong
sponsorship, prime location, collateral quality, and a recent lease
renewal for the largest tenant. In addition, DBRS Morningstar
considered the recent multi-million-dollar property renovation,
which included upgrades to ground-floor amenities, as well as the
remaining loan term, which has some time for stabilization ahead of
the 2026 maturity.

The transaction consists of a $370.0 million trust loan secured by
the fee interest in the Class A, 1.16 million-square-foot (sf)
International Square office property in downtown Washington, D.C.
The trust loan consists of a $166.7 million senior A-1 note and a
$203.3 million junior note with an additional $80.0 million pari
passu senior A-2 note split across three commercial mortgage-backed
security (CMBS) multiborrower transactions. The loan is sponsored
by a joint venture between Tishman Speyer Properties and the Abu
Dhabi Investment Authority, which purchased the subject in 2006.
The fixed-rate loan is interest only (IO) throughout the 10-year
loan term.

The property includes three separate office buildings connected by
a 12-story atrium developed between 1978 and 1982 along I Street NW
between 18th Street NW and 19th Street NW. The subject has direct
access to Farragut West Metro Station and is four blocks northwest
of the White House in the Golden Triangle area of the central
business district in Washington, D.C. In addition to the 1.1
million sf of office space, the collateral includes 67,000 sf of
ground-floor retail space, 12,000 sf of storage space, and a
637-space subterranean parking garage.

As of September 2022, the property was 68.7% occupied, and the loan
has remained on the servicer's watchlist since October 2020 for low
occupancy, which has steadily declined from 94.2% at
securitization. The occupancy decline has been attributable to
notable tenants, including the World Bank, Morgan Stanley, and HQ
Global Workplaces LLC, downsizing or completely vacating the
property in the last few years. According to the September 2022
rent roll, presale leases total approximately 5.8% of the net
rentable area (NRA) and tenant rollover risk over the next three
years is minimal with tenants representing 8.3% of the NRA
scheduled to roll through year-end (YE) 2025. According to LoopNet
as of February 2023, there is 280,230 sf (23.1% of the NRA)
available for lease, which suggests that additional square feet may
have been absorbed since the September 2022 rent roll provided by
the servicer.

The current largest tenants are the Federal Reserve System (the
Fed; 33.7% of the NRA) and Blank Rome LLP (14.5% of the NRA), which
account for more than half of the property's rental revenue
combined. The Fed recently executed leases to renew 319,888 sf out
of the 390,233 sf it currently occupies at the subject. The terms
of the renewals include rent concessions ranging from eight to 14
months and a tenant improvement allowance ranging from $70 per sf
(psf) to $110 psf. The leases will extend through 2029 and 2033,
with the Fed vacating the remaining 55,675 sf (4.8% of the NRA) at
lease expiration dates in January 2026 and April 2028.

Based on financial reporting for the trailing nine-month (T-9)
period ended September 30, 2022, the loan reported annualized NCF
of $11.7 million, compared with the YE2021 NCF of $25.0 million and
the DBRS Morningstar NCF of $34.25 million, derived when ratings
were assigned in April 2020 and based on an annualized T-9 ended
September 30, 2019, figure. It is noteworthy that the DBRS
Morningstar NCF figure was more than $4.0 million below the
issuer's figure, reflecting the in-place cash flows at the time,
which have consistently reported below the issuer's expectations.

Despite declining occupancy, the debt service coverage ratio (DSCR)
remained well above breakeven until the September 2022 reporting
when it fell to 0.71 times (x), which reflects concessions for the
renewal leases executed by the Fed. NCF is expected to increase in
2023, and the DSCR is expected to return to above breakeven as the
concessions will have burned off. However, the property is not
expected to realize NCF in line with pre-Coronavirus Disease
(COVID-19) pandemic levels until the property occupancy reaches
stabilized levels. DBRS Morningstar expects an extended lease-up
period given the current office market landscape; however, DBRS
Morningstar notes that the recent $40 million renovation project
enhancing the ground-floor amenities, including a new food hall and
an upgraded fitness center and conference space, should aid in
attracting new tenants.

According to Reis, as of November 2022, the Downtown Washington,
D.C., submarket for Class A office had an average vacancy rate of
14.1% compared with 12.3% at YE2020, and an average asking rental
rate of $55 psf. Market rents were relatively unchanged from the
YE2020 levels but remained below the in-place rents at the
property, which averaged approximately $62 psf, and recently
renewed leases by the Fed, which averaged a rental rate of $60 psf.
Although the submarket vacancy rate remained relatively low
compared with the subject's in-place vacancy rate, DBRS Morningstar
notes sublease availability was likely much higher, with the
probability of renewal down across the sector given the current
shift allowing for flexible work schedules for office workers.

To determine the ratings exposed to the impacts of the challenges
of occupancy declines in recent years, DBRS Morningstar considered
a stressed analysis based on an estimate of the as-is value of the
property. A stressed DBRS Morningstar NCF of $31.0 million,
assuming a property vacancy rate of 20%, was derived by analyzing
the submarket as well as the leases in place as of September 2022
and an estimate of expenses based on historical figures. Based on
that figure and a capitalization rate of 6.75%, the resulting DBRS
Morningstar value was $458.6 million, implying a loan-to-value
ratio (LTV) of 80.7% on the trust debt and 98.1% on the whole loan
compared with the LTV of 59.4% on the whole loan based on the
appraised value at securitization. This stressed value and the
resulting levels implied by the LTV sizing benchmarks support the
Negative trends assigned for all classes. DBRS Morningstar will
continue to assess the market dynamics, as well as leasing activity
at the property over the next year as these trends and ratings are
monitored.

The DBRS Morningstar ratings assigned to all classes are lower than
the results implied by the LTV sizing benchmarks. These variances
are warranted given the below-market occupancy rate, recent
investment in the property, strong sponsorship, and leases in place
that suggest the loan should return to a DSCR above breakeven in
the near to moderate term. In addition, DBRS Morningstar notes
sales for five properties since Q2 2020 in the Downtown submarket
indicate values ranging from $354 psf to $536 psf compared with the
outstanding debt of $388 psf for the whole loan, suggesting the
trust remains generally well insulated against loss through the
remainder of the loan term.

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


BAMLL COMMERCIAL 2016-SS1: DBRS Confirms BB(low) Rating on F Certs
------------------------------------------------------------------
DBRS Limited confirmed its ratings on all classes of Commercial
Mortgage Pass-Through Certificates issued by BAMLL Commercial
Mortgage Securities Trust 2016-SS1 as follows:

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

All trends are Stable.

The rating confirmations reflect the transaction's overall stable
performance, which remains in line with DBRS Morningstar's
expectations at issuance. The collateral office property benefits
from a long-term lease to an investment-grade-rated single tenant
and a significant equity infusion at acquisition from the minority
owner of the loan sponsor.

The transaction is backed by a $166.0 million fixed-rate, 10-year
interest-only (IO) loan, which is secured by a 501,650-sqaure-foot
Class A single-tenant office building (One Channel Center) and an
adjacent 965-space parking garage structure in Boston's Seaport
District. The office property was constructed in 2014 and was built
to suit the current tenant, State Street Corporation (State
Street), a long-term credit tenant (rated AA with a Stable trend by
DBRS Morningstar).

The current lease extends through December 2029 with no termination
options and two five-year renewal options at 95% of fair market
rent. The lease was signed in 2012, when the rental market was
considerably weaker, and the in-place rental rate is well below
current market rates. According to the September 2022 rent roll,
State Street paid a base rent of $27.50 per square foot (psf),
compared with the Q3 2022 submarket average of $69.50 psf as
reported by Reis. State Street's next rent step is in January 2025,
when the annual base rent will increase to $28.50 psf. The servicer
reported a trailing six months ended June 30, 2022, debt service
coverage ratio (DSCR) of 2.02 times (x), compared with 1.83x at
YE2021 and the DBRS Morningstar DSCR at issuance of 2.05x, which
reflects straight-line rent credit given to State Street's
scheduled rent steps over the loan term. The garage portion of the
property operates on a lease to VPNE Parking Solutions Inc.,
expiring in December 2024 with a fixed rental rate of $2.5
million.

The loan includes a cash sweep period that will be triggered if
State Street occupies, or has given notice to occupy, less than
50.0% of the rentable square footage. The sponsor of the loan, U.S
Core Office Holdings, L.P., is majority owned by national pension
funds of Sweden and the Republic of Korea. The sponsor is minority
owned, and indirectly controlled, by affiliates of Tishman Speyer
Properties, a global owner, developer, and operator of commercial
real estate, which contributed $152.7 million of cash equity into
the transaction.

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


BEAR STEARNS 2007-PWR18: DBRS Confirms C Rating on 3 Classes
------------------------------------------------------------
DBRS Limited confirmed its ratings on all classes of Commercial
Mortgage Pass-Through Certificates, Series 2007-PWR18 issued by
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 as
follows:

-- Class B at C (sf)
-- Class C at C (sf)
-- Class D at C (sf)

All rated classes have ratings that do not typically carry trends.

DBRS Morningstar's loss expectations for the last remaining loan in
the pool, Houston Marriott Westchase (Prospectus ID#6; 100% of the
pool), remains unchanged from the prior review in January 2022. The
loan is secured by a 600-key, full-service hotel in Houston, Texas.
There has been collateral reduction of 97.2% since issuance, and to
date, the pool has incurred losses in excess of $210.0 million. The
unrated Class E certificate, which has a current balance of $2.8
million and has already taken losses with previous loan
liquidations, is the current junior bond in the transaction.

The loan originally transferred to special servicing in March 2019
after the borrower requested a loan modification, which
subsequently closed in December 2019. The terms of the modification
included an extension of the maturity date to June 2023 and the
establishment of a new capital improvement reserve for
brand-mandated upgrades. In April 2020, the borrower requested
relief, citing Coronavirus Disease (COVID-19)-related hardship. The
servicer noted that the borrower requested a short-term forbearance
and access to cash balances and reserve funds controlled by the
servicer, while negotiations regarding a third modification
remained ongoing. The borrower, however, has yet to make a
comprehensive workout proposal or contribute new equity and,
through counsel, the special servicer is in process of drafting the
necessary documents to petition the court for the appointment of a
receiver. The property was inspected in June 2022 and was found to
be in overall good condition with some work required to the parking
lot.

The hotel's performance has been depressed for many years,
beginning with the downturn in Houston's energy markets in 2015.
According to the December 2022 Smith Travel Research report, the
property reported a year-to-date occupancy rate of 49.9%, an
average daily rate of $111.50, and revenue per available room of
$55.69. The most recently reported property level financials is
from YE2019 as the borrower has not provided operating performance
information to the servicer since that time. The YE2019 financial
reporting showed that even before the pandemic, the debt service
coverage ratio was below breakeven, at 0.81 times. An April 2022
appraisal valued the property at $45.3 million, above the May 2021
appraisal value of $39.8 million, but below the July 2020 appraisal
value of $47.5 million. Marriott's franchise agreement also ends in
2023, and the status of a renewal is unknown. If a receiver is
installed, it will likely be a top priority of the servicer to
retain the Marriott flag, though the cost of any brand-mandated
property updates will certainly be taken into consideration by the
servicer in its decision to sign a new franchise agreement or
operate the subject as an unflagged hotel.

As of the December 2022 remittance, the loan had an outstanding
principal balance of $69.9 million, with outstanding advances in
excess of $3.0 million. The current exposure of $138,202 per key is
high, given the hotel's sustained performance challenges, upcoming
franchise agreement expiration, and location within the
energy-reliant Westchase neighborhood. As a result, a potential
buyer would likely not pay above the April 2022 appraised value for
the asset, especially given the recent widening in capitalization
rates and the general slowdown in capital markets. In its analysis,
DBRS Morningstar applied a 15.0% haircut to the most recent
appraisal value, resulting in a loan loss severity in excess of
60.0%.

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


BMO 2023-C4: Fitch Assigns 'B-sf' Rating on Class J-RR Certs
------------------------------------------------------------
Fitch Ratings has assigned final ratings and Rating Outlooks to BMO
2023-C4 Mortgage Trust commercial mortgage pass-through
certificates, series 2023-C4, as follows:

   Entity/Debt           Rating                   Prior
   -----------           ------                   -----
BMO 2023-C4

   A-1 05610CAA2    LT  AAAsf  New Rating    AAA(EXP)sf
   A-2 05610CAB0    LT  AAAsf  New Rating    AAA(EXP)sf
   A-3 05610CAC8    LT  AAAsf  New Rating    AAA(EXP)sf
   A-4 05610CAD6    LT  AAAsf  New Rating    AAA(EXP)sf
   A-5 05610CAE4    LT  AAAsf  New Rating    AAA(EXP)sf
   A-S 05610CAJ3    LT  AAAsf  New Rating    AAA(EXP)sf
   A-SB 05610CAF1   LT  AAAsf  New Rating    AAA(EXP)sf
   B 05610CAK0      LT  AA-sf  New Rating    AA-(EXP)sf
   C 05610CAL8      LT  A-sf   New Rating     A-(EXP)sf
   D 05610CAP9      LT  BBBsf  New Rating    BBB(EXP)sf
   E-RR 05610CAR5   LT  BBB-sf New Rating   BBB-(EXP)sf
   F-RR 05610CAT1   LT  BBsf   New Rating     BB(EXP)sf
   G-RR 05610CAV6   LT  BB-sf  New Rating    BB-(EXP)sf
   J-RR 05610CAX2   LT  B-sf   New Rating     B-(EXP)sf
   K-RR 05610CAZ7   LT  NRsf   New Rating     NR(EXP)sf
   X-A 05610CAG9    LT  AAAsf  New Rating    AAA(EXP)sf
   X-B 05610CAH7    LT  AA-sf  New Rating    AA-(EXP)sf
   X-D 05610CAM6    LT  WDsf   Withdrawn     BBB(EXP)sf

- $4,403,000 class A-1 'AAAsf'; Outlook Stable;

- $163,126,000 class A-2 'AAAsf'; Outlook Stable;

- $9,922,000 class A-3 'AAAsf'; Outlook Stable;

- $136,000,000 class A-4 'AAAsf'; Outlook Stable;

- $228,127,000 class A-5 'AAAsf'; Outlook Stable;

- $7,994,000 class A-SB 'AAAsf'; Outlook Stable;

- $549,572,000a class X-A 'AAAsf'; Outlook Stable;

- $75,566,000 class A-S 'AAAsf'; Outlook Stable;

- $34,348,000 class B 'AA-sf'; Outlook Stable;

- $33,367,000 class C 'A-sf'; Outlook Stable;

- $143,281,000a class X-B 'AA-sf'; Outlook Stable;

- $19,000,000b class D 'BBBsf'; Outlook Stable;

- $16,330,000bc class E-RR 'BBB-sf'; Outlook Stable;

- $7,851,000bc class F-RR 'BBsf'; Outlook Stable;

- $7,851,000bc class G-RR 'BB-sf'; Outlook Stable;

- $8,832,000bc class J-RR 'B-sf'; Outlook Stable.

The following classes are not rated by Fitch:

- $32,385,870bc class K-RR.

a) Notional amount and interest only (IO).

b) Privately placed and pursuant to Rule 144A.

c) Horizontal risk retention interest is 9.330% of the
certificates.

Since Fitch published its expected ratings on Feb. 14, 2023, the
following changes have occurred. The balances for classes A-4 and
A-5 were finalized. At the time the expected ratings were
published, the initial aggregate certificate balance of classes A-4
and A-5 was expected to be approximately $364,127,000, subject to a
variance of plus or minus 5%. The final class balances for classes
A-4 and A-5 are $136,000,000 and $228,127,000, respectively.

The ratings are based on information provided by the issuer as of
Feb. 14, 2023.

TRANSACTION SUMMARY

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 46 loans secured by 109
commercial properties having an aggregate principal balance of
$785,102,870 as of the cut-off date. The loans were contributed to
the trust by Bank of Montreal, Citi Real Estate Funding Inc., LMF
Commercial, LLC, Argentic Real Estate Finance LLC, 3650 Real Estate
Investment Trust 2 LLC, Natixis Real Estate Capital LLC, Oceanview
Commercial Mortgage Finance, LLC, Greystone Commercial Mortgage
Capital LLC and Starwood Mortgage Capital LLC. The master servicer
is Midland Loan Services, A Division of PNC Bank, National
Association, and the special servicer is LNR Partners, LLC.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 37.7% of the loans by
balance, cash flow analysis of 90.9% of the pool and asset summary
reviews on 100% of the pool.

Fitch has withdrawn the expected rating of 'BBB(EXP)sf' for class
X-D because the class was removed from the final deal structure.
The classes above reflect the final ratings and deal structure.

KEY RATING DRIVERS

Lower Leverage than Recent Transactions: The pool has lower
leverage compared with recent multiborrower transactions rated by
Fitch. The pool's Fitch loan-to-value ratio (LTV) of 95.4% is lower
than the 2022 and 2021 averages of 99.3% and 103.3%. However, the
pool's Fitch debt service coverage ratio (DSCR) of 1.17x is lower
than the 2022 and 2021 averages of 1.31x and 1.38x, respectively.
Excluding credit opinion loans, the pool's Fitch LTV and DSCR are
98.6% and 1.16x, respectively.

Investment-Grade Credit Opinion Loans: Three loans representing
11.5% of the pool received an investment-grade credit opinion. 70
Hudson Street (4.6%) received a standalone credit opinion of
'BBBsf*', Gilardian NYC Portfolio (3.6%) received a standalone
credit opinion of 'Asf*' and Park West Village (3.3%) received a
standalone credit opinion of 'BBB-sf*'. The pool's total credit
opinion percentage of 11.5% is lower the 2022 and 2021 averages of
14.4% and 13.3%, respectively.

Minimal Amortization: Based on the scheduled balances at maturity,
the pool will only pay down by 2.2%, which is below the 2022 and
2021 averages of 3.3% and 4.8%, respectively. The pool has 31 loans
(72.1% of the pool by balance) that are full-term interest-only
loans, which is lower than the 2022 average of 77.5% but above the
2021 average of 70.5%. Eleven loans (21.4% of the pool by balance)
are partial interest-only loans, which is above the 2022 and 2021
averages of 10.2% and 16.8%, respectively. Four loans (6.5% of the
pool) are amortizing balloon loans.

RATING SENSITIVITIES

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

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

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

- 10% NCF Decline: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'BB-sf'
/ 'B-sf' / 'CCCsf' / 'CCCsf';

- 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BB-sf' / 'CCCsf' /
'CCCsf' / 'CCCsf' / 'CCCsf' /'CCCsf';

- 30% NCF Decline: 'BBB-sf' / 'BB-sf' / 'CCCsf' / 'CCCsf' / 'CCCsf'
/ 'CCCsf' / 'CCCsf' /'CCCsf'.

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

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

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

- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'AA-sf' / 'A-sf'
/ 'A-sf' / 'BBB+sf' / 'BBB-sf'.

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.


BRAVO RESIDENTIAL 2023-NQM2: Fitch Gives B(EXP) Rating on B-2 Notes
-------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
to be issued by BRAVO Residential Funding Trust 2023-NQM2 (BRAVO
2023-NQM2).

   Entity/Debt       Rating        
   -----------       ------        
BRAVO 2023-NQM2

   A-1           LT AAA(EXP)sf Expected Rating
   A-2           LT AA(EXP)sf  Expected Rating
   A-3           LT A(EXP)sf   Expected Rating
   M-1           LT BBB(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
   FB            LT NR(EXP)sf  Expected Rating
   R             LT NR(EXP)sf  Expected Rating
   SA            LT NR(EXP)sf  Expected Rating
   AIOS          LT NR(EXP)sf  Expected Rating
   XS            LT NR(EXP)sf  Expected Rating

TRANSACTION SUMMARY

The notes are supported by 577 loans with a total interest-bearing
balance of approximately $245 million as of the cut-off date. There
is also roughly 230,026 of non-interest-bearing deferred amounts
whose payments or losses will be used solely to pay down or write
off the class FB notes.

Loans in the pool were originated primarily by Acra Lending with
the remainder coming from multiple originators. The loans are
serviced by Acra and Rushmore Loan Management Services LLC.

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 8.3% above a long-term sustainable level (versus
10.5% on a national level as of January 2023, down 1.7% qoq). The
rapid gain in home prices through the coronavirus pandemic has
shown signs of moderating, with a decline in 3Q22. Home prices rose
9.2% yoy nationally as of October 2022 due to strong gains in
1H22.

Non-qualified Mortgage Credit Quality (Negative): The collateral
consists of 577 loans totaling $245 million and seasoned at
approximately 19 months in aggregate, calculated as the difference
between the origination date and the cut-off date. The borrowers
have a moderate credit profile — a 727 model FICO and a 47%
debt-to-income ratio (DTI), which includes mapping for debt service
coverage ratio (DSCR) loans — and leverage, as evidenced by a 64%
sustainable loan-to-value ratio (sLTV).

The pool comprises 56.1% of loans treated as owner-occupied, while
43.9% are treated as an investor property or second home, which
includes loans to foreign nationals or loans where residency status
was not confirmed. Additionally, 16.5% of the loans were originated
through a retail channel. Of the loans, 2% were designated as
qualified mortgages (QM), while 1.1% are higher priced QM (HPQM)
and 55.9% are non-QM.

Loan Documentation (Negative): Approximately 87% of the pool loans
were underwritten to less than full documentation and 37% were
underwritten to a 12-month or 24-month bank statement program for
verifying income, which is not consistent with Appendix Q standards
and Fitch's view of a full documentation program. A key distinction
between this pool and legacy Alt-A loans is that these loans adhere
to underwriting and documentation standards required under the
Consumer Financial Protections Bureau's (CFPB)
Ability-to-Repay/Qualified Mortgage Rule (ATR), which reduces the
risk of borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to the
rigors of the ATR mandates regarding underwriting and documentation
of the borrower's ability to repay.

Additionally, 37% of loans comprise a DSCR or property cash
flow-focused product, 0.7% are a CPA or P&L product and the
remainder are a mix of other alternative documentation products.
Separately, 30 loans were originated to foreign nationals and four
were unable to confirm residency.

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

No P&I Advancing (Mixed): The transaction is structured without
servicer advances for delinquent P&I. The lack of advancing reduces
loss severities, as there is a lower amount repaid to the servicer
when a loan liquidates and liquidation proceeds are prioritized to
cover principal repayment over accrued but unpaid interest. The
downside is the additional stress on the structure side, as there
is limited liquidity in the event of large and extended
delinquencies.

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 'AAA'. The
analysis indicates that there is some potential for rating
migration with higher MVDs for all rated classes, compared with the
model projection. Specifically, a 10% additional decline in home
prices would result in a downgrade of up to five notches.

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

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

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.

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.


BREAN ASSET 2023-RM6: DBRS Gives Prov. B Rating on Class M5 Notes
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Notes, Series 2023-RM6, to be issued by Brean
Asset-Backed Securities Trust 2023-RM6 (the Issuer):

-- $129.8 million Class A1 at AAA (sf)
-- $20.0 million Class A2 at AAA (sf)
-- $149.8 million Class AM at AAA (sf)
-- $2.7 million Class M1 at AA (sf)
-- $2.7 million Class M2 at A (sf)
-- $2.1 million Class M3 at BBB (sf)
-- $2.0 million Class M4 at BB (sf)
-- $2.1 million Class M5 at B (sf)

The AAA (sf) rating reflects 109.95% of the cumulative advance
rate. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings
reflect 111.93%, 113.91%, 115.45%, 116.92%, and 118.46%, of
cumulative advance rates, respectively.

Other than the specified classes above, DBRS Morningstar did not
rate classes in this transaction.

Lenders typically offer reverse mortgage loans to people who are at
least 62 years old. Through reverse mortgage loans, borrowers have
access to home equity through a lump-sum amount or a stream of
payments without periodically repaying principal or interest,
allowing the loan balance to accumulate over a period of time until
a maturity event occurs. Loan repayment is required (1) if the
borrower dies, (2) if the borrower sells the related residence, (3)
if the borrower no longer occupies the related residence for a
period (usually a year), (4) if it is no longer the borrower's
primary residence, (5) if a tax or insurance default occurs, or (6)
if the borrower fails to properly maintain the related residence.
In addition, borrowers must be current on any homeowners'
association dues if applicable. Reverse mortgages are typically
nonrecourse; borrowers don't have to provide additional assets in
cases where the outstanding loan amount exceeds the property's
value (the crossover point). As a result, liquidation proceeds will
fall below the loan amount in cases where the outstanding balance
reaches the crossover point, contributing to higher loss severities
for these loans.

As of the January 10, 2023, cut-off date, the collateral has
approximately $136.2 million in current unpaid principal balance
from 236 active and two Called Due: Death fixed-rate jumbo reverse
mortgage loans secured by first liens on single-family residential
properties, condominiums, townhomes, multifamily (two- to
four-family) properties, and one manufactured home. The loans were
all originated in 2022. All loans in this pool have a fixed
interest rate with a 9.222% weighted average coupon.

The note rate for Class A Notes will reduce to 0.25% if the Home
Price Percentage (as measured using the Standard and Poor (S&P)
CoreLogic Case-Shiller National Index) declines by 30% or more
compared with the value on the cut-off date.

If the notes are not paid in full or redeemed by the issuer on
January 2028, the Expected Repayment Date, the issuer will be
required to conduct an auction within 180 calendar days of the
Expected Repayment Date to offer all the mortgage assets and use
the proceeds, net of fees and expenses due to auction, to be
applied to payments to all amounts owed. If the proceeds of the
auction are not sufficient to cover all the amounts owed, the
issuer will be required to conduct an auction within six months of
the previous auction.

If, on any Payment Date (1) the average one-month conditional
prepayment rate over the immediately preceding six month period is
equal to or greater than 25%, or (2) if the average per annum
increase in the Case-Shiller Index, or, to the extent the
Case-Shiller is no longer published, the HPI Index, over the
immediately preceding 12-month period is less than or equal to 2%
then on such date, 50% of available funds remaining after payment
of fees and expenses and interest to the Class A Notes will be
deposited into the Refunding Account, which may be used to purchase
additional mortgage loans.

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


BX TRUST 2017-CQHP: Moody's Lowers Rating on Cl. D Certs to B1
--------------------------------------------------------------
Moody's Investors Service has affirmed the rating on one class and
downgraded the ratings on five classes in BX Trust 2017-CQHP,
Commercial Mortgage Pass-Through Certificates, Series 2017-CQHP as
follows:

Cl. A, Downgraded to Aa2 (sf); previously on Oct 12, 2020 Affirmed
Aaa (sf)

Cl. B, Downgraded to A2 (sf); previously on Oct 12, 2020 Affirmed
Aa3 (sf)

Cl. C, Downgraded to Ba1 (sf); previously on Oct 12, 2020
Downgraded to Baa2 (sf)

Cl. D, Downgraded to B1 (sf); previously on Oct 12, 2020 Downgraded
to Ba2 (sf)

Cl. E, Downgraded to B3 (sf); previously on Oct 12, 2020 Downgraded
to B2 (sf)

Cl. F, Affirmed Caa3 (sf); previously on Oct 12, 2020 Downgraded to
Caa3 (sf)

RATINGS RATIONALE

The ratings on the five senior P&I classes were downgraded due to
an increase in Moody's LTV as a result of decline in performance as
well as the loan's delinquent status, increase in outstanding
advances and the uncertainty around timing and extent of the
portfolio's recovery. The rating on the most junior class was
affirmed as the expected loss estimates are consistent with the
current rating.

This floating rate loan has been in special servicing since June
2020 as the portfolio catered to corporate business travel with the
two largest assets located in San Francisco and Chicago, which are
both lagging in recovery timing compared to other major cities in
the country.  As of the current distribution date, the loan remains
last paid through its April 2020 payment date and there are
approximately $26 million of outstanding loan advances.

In this credit rating action Moody's considered qualitative and
quantitative factors in relation to the senior-sequential structure
and quality of the collateral, and Moody's analyzed multiple
scenarios to reflect various levels of stress in property values
could impact loan proceeds at each rating level.

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. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.

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 these ratings was "Large Loan and
Single Asset/Single Borrower Commercial Mortgage-Backed
Securitizations Methodology" published in July 2022.

DEAL PERFORMANCE

As of the February 15, 2023 distribution date, the transaction's
aggregate certificate balance remains unchanged at $274 Million.
The securitization is backed by a single floating rate loan
collateralized by four Club Quarter hotels.  The portfolio totals
1,228 rooms, and includes the 346 room Club Quarters San Francisco,
the 429 room Club Quarters Chicago Central Loop, the 178 room Club
Quarters Boston, and the 275 room Club Quarters Philadelphia.  The
portfolio is encumbered with $61.3 million of non-pooled mezzanine
debt. The loan sponsor is Blackstone Real Estate Partners VII-NQ
L.P., an affiliate of Blackstone Group L.P.

Club Quarters drives business through memberships with corporate
clients that commit to a minimum number of room nights at a
property annually. On weekends when corporate travel demand
generally decreases, they cater to non-members and leisure
travelers.

The portfolio's net cash flow (NCF) for year end 2019 was $29.4
Million, compared to 2018 NCF of $27.3 Million and $34.2 million at
securitization.  The coronavirus outbreak had an outsized negative
impact on densely populated urban areas and the NCF for the  first
nine months of 2022 was $9.5 million.  Based on the allocated loan
amount (ALA), the San Francisco property (39% of ALA) and the
Chicago hotel (26% of ALA) account for 66% of the portfolio.
According to the year-end 2022 STR Report, overall US RevPAR
(revenue per available room) was up 8.1% compared to that of 2019,
and the RevPAR for the Top 25 markets was 0.2% higher than in 2019.
However, the San Francisco/San Mateo MSA had the worst comparison
amongst the Top 25 MSAs at -33.4% compared to 2019 and the Chicago
MSA's 2022 RevPAR was 4.5% lower than that of 2019.

The loan transferred to special servicing in June 2020 for monetary
default stemming from COVID related closure. As of the February
distribution date there are outstanding loan advances totaling
approximately $26 million as the borrower's last debt service
payment date was made in April 2020.

The first mortgage balance of $274 million represents Moody's LTV
of 171%.  There is outstanding interest shortfalls totaling $3,365
affecting up to Cl. F and no losses have been realized as of the
current distribution date.


BXP TRUST 2017-CC: DBRS Confirms BB Rating on Class E Certs
-----------------------------------------------------------
DBRS Limited confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2017-CC
issued by BXP Trust 2017-CC:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction, which remains in line with DBRS Morningstar's
expectations at issuance.

The loan is secured by Colorado Center, an office park consisting
of six Class A buildings totaling 1.2 million square feet (sf) and
a three-level underground parking garage in the Media and
Entertainment District of Santa Monica, California. The whole loan
of $550.0 million consists of $298.0 million of senior debt and
$252.0 million of subordinate debt. The subject transaction
represents $98.0 million of the senior debt and the entire
subordinate debt amount. The 10-year fixed-rate loan is interest
only (IO) for the full loan term with a maturity in August 2027.

According to the September 2022 rent roll, the property was 87.1%
occupied, an improvement from 80.0% in March 2021 after the
departure of Home Box Office. Hulu moved into the space, which
serves as the company's corporate headquarters. Hulu currently
represents 33.9% of the net rentable area (NRA) on a lease through
February 2029. Other large tenants at the property include
Edmunds.com Inc. (Edmunds; 18.9% of NRA, lease expires in January
2028), Rubin Postaer and Associates (RPA; 18.8% of NRA, lease
expires in June 2033), and Kite Pharma (15.5% of NRA, lease expires
July 2032). Based on an online article published by The Real Deal
on August 3, 2022, Edmunds had given up 128,500 sf (10.8% of NRA)
of its total area of 195,594 sf to sublease. Per the terms of its
lease, Edmunds must notify and obtain approval from the servicer
prior to subleasing its space. According to the servicer, 81,183 sf
of RPA's space (6.8% of NRA) was subleased to Roku, Inc., and the
sublease is co-terminus with the direct lease. As of the January
2023 loan-level reserve report, the loan reported $5.3 million in
tenant reserves. According to Reis, office properties in the Santa
Monica submarket reported a YE2022 vacancy rate of 17.0%, in line
with the YE2021 vacancy rate of 16.3%. The vacancy rate is forecast
to dip slightly to 15.6% by 2027. The sponsor, Boston Properties,
Inc., had completed upgrades to the property since issuance,
suggesting its commitment to the subject.

According to the financials for the trailing nine months ended
September 30, 2022, the loan reported a net a debt service coverage
ratio (DSCR) of 2.62 times (x), compared with the YE2021 net cash
flow DSCR of 2.56x and the YE2020 DSCR of 2.84x.

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


COLLEGE LOAN 2006-1: Fitch Lowers Rating on Cl. B-1 Notes to BBsf
-----------------------------------------------------------------
Fitch Ratings has affirmed the College Loan Trust - I Amended and
Restated 2003 Indenture of Trust class A, 2002-1B-1, 2002-2B-4 and
2003-1B-1 notes. The 2004-1B-1, 2005-1B-1 and 2006-1B-1 notes have
been downgraded to 'BBsf' from 'BBBsf', and the 2007-2B-1 notes
have been downgraded to 'Bsf' from 'BBBsf'.

   Entity/Debt         Rating              Prior
   -----------         ------              -----
College Loan
Trust I –
Amended and
Restated 2003
Indenture of
Trust (2002)
2003-1

   A-2 194262BM2    LT AAAsf  Affirmed     AAAsf
   A-3 194262BN0    LT AAAsf  Affirmed     AAAsf
   A-4 194262BP5    LT AAAsf  Affirmed     AAAsf
   A-5 194262BQ3    LT AAAsf  Affirmed     AAAsf
   A-6 194262BR1    LT AAAsf  Affirmed     AAAsf
   A-7 194262BS9    LT AAAsf  Affirmed     AAAsf
   A-8 194262BT7    LT AAAsf  Affirmed     AAAsf
   B-1 194262BW0    LT BBBsf  Affirmed     BBBsf

College Loan
Trust I –
Amended and
Restated 2003
Indenture of
Trust (2002)
2006-1

   A-5 194262CS8    LT AAAsf  Affirmed     AAAsf
   A-6 194262CT6    LT AAAsf  Affirmed     AAAsf
   A-7A 194262CW9   LT AAAsf  Affirmed     AAAsf
   A-7B 194262CX7   LT AAAsf  Affirmed     AAAsf
   B-1 194262CV1    LT BBsf   Downgrade    BBBsf

College Loan
Trust I –
Amended and
Restated 2003
Indenture of
Trust (2002)
2005-1

   A-3 194262CJ8    LT AAAsf  Affirmed     AAAsf
   A-4 194262CK5    LT AAAsf  Affirmed     AAAsf
   B-1 194262CM1    LT BBsf   Downgrade    BBBsf

College Loan
Trust I –
Amended and
Restated 2003
Indenture of
Trust (2002)
2002-2

   A-11 194262AM3   LT AAAsf  Affirmed     AAAsf
   A-13 194262AP6   LT PIFsf  Paid In Full AAAsf
   A-16 194262AS0   LT AAAsf  Affirmed     AAAsf
   A-21 194262AX9   LT AAAsf  Affirmed     AAAsf
   A-22 194262AY7   LT AAAsf  Affirmed     AAAsf
   A-23 194262AZ4   LT AAAsf  Affirmed     AAAsf
   A-24 194262BA8   LT AAAsf  Affirmed     AAAsf
   A-25 194262BB6   LT AAAsf  Affirmed     AAAsf
   A-26 194262BC4   LT AAAsf  Affirmed     AAAsf
   A-27 194262BD2   LT AAAsf  Affirmed     AAAsf
   A-28 194262BE0   LT AAAsf  Affirmed     AAAsf
   A-29 194262BF7   LT AAAsf  Affirmed     AAAsf
   A-30 194262BG5   LT AAAsf  Affirmed     AAAsf
   B-4 194262BK6    LT BBBsf  Affirmed     BBBsf

College Loan
Trust I –
Amended and
Restated 2003
Indenture of
Trust (2002)
2004-1

   A-4 194262CE9    LT AAAsf  Affirmed     AAAsf
   B-1 194262CF6    LT BBsf   Downgrade    BBBsf

College Loan
Trust I –
Amended and
Restated 2003
Indenture of
Trust (2002)
2007-2

   A-1 194262CY5    LT PIFsf  Paid In Full AAAsf
   A-10 194262DH1   LT AAAsf  Affirmed     AAAsf
   A-11 194262DJ7   LT AAAsf  Affirmed     AAAsf
   A-12 194262DK4   LT AAAsf  Affirmed     AAAsf
   A-13 194262DL2   LT AAAsf  Affirmed     AAAsf
   A-14 194262DM0   LT AAAsf  Affirmed     AAAsf
   B-1 194262DN8    LT Bsf    Downgrade    BBBsf

College Loan
Trust I –
Amended and
Restated 2003
Indenture of
Trust (2002)
2002-1

   A-4 194262AD3    LT AAAsf  Affirmed     AAAsf
   A-5 194262AE1    LT AAAsf  Affirmed     AAAsf
   B-1 194262AK7    LT BBBsf  Affirmed     BBBsf

The senior notes are performing as expected, and credit metrics did
not change significantly from the last annual review. The notes
pass Fitch's credit and maturity stresses in cash flow modeling for
their respective ratings with sufficient hard credit enhancement
(CE).

The rising interest rate environment has caused a deterioration in
the excess spread performance of the subordinate notes, resulting
in a collateral shortfall under the credit stress scenario in
Fitch's cash flow modelling. Significant negative excess spread is
a credit negative for the trust, which will continue if interest
rates remain at their current levels or move higher. In cashflow
modelling, Fitch assumed the junior classes are paid in order of
maturity date, thus class 2007-2B1 is the most impacted by the
negative excess spread in cashflow modeling.

These factors are reflected in the affirmation of the 2002-1B-1,
2002-2B-4, and 2003-1B-1 notes at 'BBBsf', the downgrade of the
2004-1B-1, 2005-1B-1, and 2006-1B-1 notes to 'BBsf' from 'BBBsf',
and the downgrade 2007-2B-1 notes to 'Bsf' from 'BBBsf'. The Rating
Outlook for all the notes remains Stable reflecting Fitch's
cashflow modeling indicating stability at current ratings in an
increasing interest rate environment.

KEY RATING DRIVERS

U.S. Sovereign Risk: The trust collateral comprises 100% Federal
Family Education Loan Program (FFELP) loans with guaranties
provided by eligible guarantors and reinsurance provided by the
U.S. Department of Education for at least 97% of principal and
accrued interest. The U.S. sovereign rating is currently
'AAA'/Stable.

Collateral Performance: Based on transaction-specific performance
to date, Fitch assumes a cumulative default rate of 16.50% under
the base case scenario and a default rate of 49.50% under the 'AAA'
credit stress scenario. After applying the default timing curve per
criteria, the effective default rate is unchanged from the
cumulative default rate. Fitch is maintaining the sustainable
constant default rate (sCDR) of 3.00% and the sustainable constant
prepayment rate (sCPR; voluntary and involuntary prepayments) of
8.00% in cash flow modelling.

As of Dec. 31, 2022, the TTM CDR was 2.41%, higher than 0.92% at
the last review, and the TTM CPR was 22.28% (12.31% at Dec. 31,
2021). Defaults have returned to pre-pandemic levels, resulting in
the recent rise in CDR, while consolidation from the Public Service
Loan Forgiveness Program is driving the short-term inflation of
CPR. Fitch applies the standard default timing curve in its credit
stress cash flow analysis. The claim reject rate is assumed to be
0.25% in the base case and 2.00% in the 'AAA' case.

The TTM levels of deferment, forbearance and income-based repayment
(IBR; prior to adjustment) are 3.24% (3.53% at Dec. 31, 2021),
5.48% (6.73%) and 20.61% (18.39%). These assumptions and are used
as the starting point in cash flow modelling, and subsequent
declines or increases are modelled as per criteria. The 31-60 DPD
and the 91-120 DPD have decreased from one year ago and are
currently 2.17% for 31 DPD and 0.89% for 91 DPD compared to 3.12%
and 0.92% at Dec. 31, 2021 for 31 DPD and 91 DPD, respectively. The
borrower benefit is approximately 0.09%, based on information
provided by the sponsor.

Basis and Interest Rate Risk: Basis risk for this transaction
arises from any rate and reset frequency mismatch between interest
rate indices for SAP and the securities. As December 2022, 23.35%
of principal balance is indexed to three-month LIBOR, with 76.65%
currently indexed to either 91-day T-bill rate or one-month LIBOR
as auction rate notes. All of the notes are indexed to one-month
LIBOR. Fitch applies its standard basis and interest rate stresses
to this transaction as per criteria.

Payment Structure: CE is provided by overcollateralization, excess
spread, and for the class A notes, subordination provided by the
class B notes. As of the December 2022 distribution date, the
reported total parity/asset percentage was 99.89%. Liquidity
support is provided by a reserve account maintained at the greater
of 0.75% of the note balance and $3,000,000.

The transaction will release cash when the reported total and
senior parity rations are at least 100.50% and 107.00%,
respectively, and the reported overcollateralization amount is at
least $5,000,000. Once the 2004-1 LIBOR notes are paid in full, no
cash will be released until the other LIBOR notes are paid down to
meet their respective amortization schedules.

Operational Capabilities: Day-to-day servicing is provided by
Nelnet Inc., (Nelnet). Fitch believes Nelnet to be an adequate
servicer due to its extensive track record as one of the largest
servicers of FFELP loans.

RATING SENSITIVITIES

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

'AAAsf' rated tranches of most FFELP securitizations will likely
move in tandem with the U.S. sovereign rating given the strong
linkage to the U.S. sovereign, by nature of the reinsurance
provided by the Department of Education. Aside from the U.S.
sovereign rating, defaults, basis risk and loan extension risk
account for the majority of the risk embedded in FFELP student loan
transactions.

This section provides insight into the model-implied sensitivities
the transactions face when one assumption is modified, while
holding others equal. Fitch conducts credit and maturity stress
sensitivity analysis by increasing or decreasing key assumptions by
25% and 50% over the base case. The credit stress sensitivity is
viewed by stressing both the base case default rate and the basis
spread.

The maturity stress sensitivity is viewed by stressing remaining
term, IBR usage and prepayments. The results below should only be
considered as one potential outcome, as the transaction is exposed
to multiple dynamic risk factors and should not be used as an
indicator of possible future performance.

College Loan Trust I - Amended and Restated 2003 Indenture of Trust
2002-1

Current Ratings: class A 'AAAsf'; class B 'BBBsf';

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity
Stress); class B 'BBsf' (Credit Stress) / 'BBBsf' (Maturity
Stress)

Credit Stress Rating Sensitivity

- Default increase 25%: class A 'Asf', class B 'BBsf';

- Default increase 50%: class A 'Asf'; class B 'BBsf';

- Basis spread increase 0.25%: class A 'Asf'; class B 'Bsf';

- Basis spread increase 0.50%: class A 'Asf', class B 'CCCsf'.

Maturity Stress Rating Sensitivity

- CPR decrease 25%: class A 'AAsf'; class B 'BBBsf';

- CPR decrease 50%: class A 'AAsf'; class B 'BBBsf';

- IBR usage increase 25%: class A 'AAsf'; class B 'BBBsf';

- IBR usage increase 50%: class A 'AAsf; class B 'BBsf';

- Remaining Term increase 25%: class A 'BBBsf'; class B 'BBsf';

- Remaining Term increase 50%: class A 'BBsf'; class B 'Bsf'.

College Loan Trust I - Amended and Restated 2003 Indenture of Trust
2002-2

Current Ratings: class A 'AAAsf'; class B 'BBBsf';

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity
Stress); class B 'BBsf' (Credit Stress) / 'BBBsf' (Maturity
Stress)

Credit Stress Rating Sensitivity

- Default increase 25%: class A 'Asf', class B 'BBsf';

- Default increase 50%: class A 'Asf'; class B 'BBsf';

- Basis spread increase 0.25%: class A 'Asf'; class B 'Bsf';

- Basis spread increase 0.50%: class A 'Asf', class B 'CCCsf'.

Maturity Stress Rating Sensitivity

- CPR decrease 25%: class A 'AAsf'; class B 'BBBsf';

- CPR decrease 50%: class A 'AAsf'; class B 'BBBsf';

- IBR usage increase 25%: class A 'AAsf'; class B 'BBBsf';

- IBR usage increase 50%: class A 'AAsf; class B 'BBsf';

- Remaining Term increase 25%: class A 'BBBsf'; class B 'BBsf

- Remaining Term increase 50%: class A 'BBsf'; class B 'Bsf.

College Loan Trust I - Amended and Restated 2003 Indenture of Trust
2003-1

Current Ratings: class A 'AAAsf'; class B 'BBBsf';

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity
Stress); class B 'BBsf' (Credit Stress) / 'BBBsf' (Maturity
Stress)

Credit Stress Rating Sensitivity

- Default increase 25%: class A 'Asf', class B 'BBsf';

- Default increase 50%: class A 'Asf'; class B 'BBsf';

- Basis spread increase 0.25%: class A 'Asf'; class B 'Bsf';

- Basis spread increase 0.50%: class A 'Asf', class B 'CCCsf'.

Maturity Stress Rating Sensitivity

- CPR decrease 25%: class A 'AAsf'; class B 'BBBsf';

- CPR decrease 50%: class A 'AAsf'; class B 'BBBsf';

- IBR usage increase 25%: class A 'AAsf'; class B 'BBBsf';

- IBR usage increase 50%: class A 'AAsf; class B 'BBsf';

- Remaining Term increase 25%: class A 'BBBsf'; class B 'BBsf';

- Remaining Term increase 50%: class A 'BBsf'; class B 'Bsf'.

College Loan Trust I - Amended and Restated 2003 Indenture of Trust
2004-1

Current Ratings: class A 'AAAsf'; class B 'BBBsf'

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity
Stress); class B 'Bsf' (Credit Stress) / 'BBsf' (Maturity Stress)

Credit Stress Rating Sensitivity

- Default increase 25%: class A 'Asf', class B 'Bsf';

- Default increase 50%: class A 'Asf'; class B 'Bsf';

- Basis spread increase 0.25%: class A 'Asf'; class B 'CCCsf';

- Basis spread increase 0.50%: class A 'Asf', class B 'CCCsf'.

Maturity Stress Rating Sensitivity

- CPR decrease 25%: class A 'AAsf'; class B 'BBsf';

- CPR decrease 50%: class A 'AAsf'; class B 'BBsf';

- IBR usage increase 25%: class A 'AAsf'; class B 'Bsf';

- IBR usage increase 50%: class A 'AAsf; class B 'Bsf';

- Remaining Term increase 25%: class A 'BBBsf'; class B 'Bsf';

- Remaining Term increase 50%: class A 'BBsf'; class B 'CCCsf'.

College Loan Trust I - Amended and Restated 2003 Indenture of Trust
2005-1

Current Ratings: class A 'AAAsf'; class B 'BBBsf'

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity
Stress); class B 'Bsf' (Credit Stress) / 'BBsf' (Maturity Stress)

Credit Stress Rating Sensitivity

- Default increase 25%: class A 'Asf', class B 'Bsf';

- Default increase 50%: class A 'Asf'; class B 'Bsf';

- Basis spread increase 0.25%: class A 'Asf'; class B 'CCCsf';

- Basis spread increase 0.50%: class A 'Asf', class B 'CCCsf'.

Maturity Stress Rating Sensitivity

- CPR decrease 25%: class A 'AAsf'; class B 'BBsf';

- CPR decrease 50%: class A 'AAsf'; class B 'BBsf';

- IBR usage increase 25%: class A 'AAsf'; class B 'BBsf';

- IBR usage increase 50%: class A 'AAsf; class B 'Bsf';

- Remaining Term increase 25%: class A 'BBBsf'; class B 'Bsf';

- Remaining Term increase 50%: class A 'BBsf'; class B 'Bsf'.

College Loan Trust I - Amended and Restated 2003 Indenture of Trust
2006-1

Current Ratings: class A 'AAAsf'; class B 'BBBsf'

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity
Stress); class B 'Bsf' (Credit Stress) / 'BBsf' (Maturity Stress)

Credit Stress Rating Sensitivity

- Default increase 25%: class A 'Asf', class B 'Bsf';

- Default increase 50%: class A 'Asf'; class B 'Bsf';

- Basis spread increase 0.25%: class A 'Asf'; class B 'CCCsf';

- Basis spread increase 0.50%: class A 'Asf', class B 'CCCsf'.

Maturity Stress Rating Sensitivity

- CPR decrease 25%: class A 'AAsf'; class B 'BBsf';

- CPR decrease 50%: class A 'AAsf'; class B 'BBsf';

- IBR usage increase 25%: class A 'AAsf'; class B 'BBsf';

- IBR usage increase 50%: class A 'AAsf; class B 'Bsf';

- Remaining Term increase 25%: class A 'BBBsf'; class B 'Bsf';

- Remaining Term increase 50%: class A 'BBsf'; class B 'Bsf'.

College Loan Trust I - Amended and Restated 2003 Indenture of Trust
2007-2

Current Ratings: class A 'AAAsf'; class B 'BBBsf';

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity
Stress); class B 'CCCsf' (Credit and Maturity Stress).

Credit Stress Rating Sensitivity

- Default increase 25%: class A 'Asf', class B 'CCCsf';

- Default increase 50%: class A 'Asf'; class B 'CCCsf';

- Basis spread increase 0.25%: class A 'Asf'; class B 'CCCsf';

- Basis spread increase 0.50%: class A 'Asf', class B 'CCCsf'.

Maturity Stress Rating Sensitivity

- CPR decrease 25%: class A 'AAsf'; class B 'CCCsf';

- CPR decrease 50%: class A 'AAsf'; class B 'CCCsf';

- IBR usage increase 25%: class A 'AAsf'; class B 'CCCsf';

- IBR usage increase 50%: class A 'AAsf; class B 'CCCsf';

- Remaining Term increase 25%: class A 'BBBsf'; class B 'CCCsf';

- Remaining Term increase 50%: class A 'BBsf'; class B 'CCCsf.

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

College Loan Trust I - Amended and Restated 2003 Indenture of Trust
2002-1

No upgrade credit or maturity stress sensitivity is provided for
the class A notes, as they are at their highest possible current
and model-implied ratings.

Credit Stress Sensitivity

- Default decrease 25%: class B 'BBBsf';

- Basis Spread decrease 0.25%: class B 'BBBsf';

Maturity Stress Sensitivity

- CPR increase 25%: class B 'BBBsf';

- IBR usage decrease 25%: class B 'BBBsf';

- Remaining term decrease 25%: class B 'AAsf'.

College Loan Trust I - Amended and Restated 2003 Indenture of Trust
2002-2

No upgrade credit or maturity stress sensitivity is provided for
the class A notes, as they are at their highest possible current
and model-implied ratings.

Credit Stress Sensitivity

- Default decrease 25%: class B 'BBBsf';

- Basis Spread decrease 0.25%: class B 'BBBsf';

Maturity Stress Sensitivity

- CPR increase 25%: class B 'BBBsf';

- IBR usage decrease 25%: class B 'BBBsf';

- Remaining term decrease 25%: class B 'AAsf'.

College Loan Trust I - Amended and Restated 2003 Indenture of Trust
2003-1

No upgrade credit or maturity stress sensitivity is provided for
the class A notes, as they are at their highest possible current
and model-implied ratings.

Credit Stress Sensitivity

- Default decrease 25%: class B 'BBBsf';

- Basis Spread decrease 0.25%: class B 'BBBsf';

Maturity Stress Sensitivity

- CPR increase 25%: class B 'BBBsf';

- IBR usage decrease 25%: class B 'BBBsf';

- Remaining term decrease 25%: class B 'AAsf'.

College Loan Trust I - Amended and Restated 2003 Indenture of Trust
2004-1

No upgrade credit or maturity stress sensitivity is provided for
the class A notes, as they are at their highest possible current
and model-implied ratings.

Credit Stress Sensitivity

- Default decrease 25%: class B 'BBsf';

- Basis Spread decrease 0.25%: class B 'BBBsf';

Maturity Stress Sensitivity

- CPR increase 25%: class B 'BBsf';

- IBR usage decrease 25%: class B 'BBsf';

- Remaining term decrease 25%: class B 'Asf'.

College Loan Trust I - Amended and Restated 2003 Indenture of Trust
2005-1

No upgrade credit or maturity stress sensitivity is provided for
the class A notes, as they are at their highest possible current
and model-implied ratings.

Credit Stress Sensitivity

- Default decrease 25%: class B 'BBsf';

- Basis Spread decrease 0.25%: class B 'BBBsf';

Maturity Stress Sensitivity

- CPR increase 25%: class B 'BBsf';

- IBR usage decrease 25%: class B 'BBsf';

- Remaining term decrease 25%: class B 'Asf'.

College Loan Trust I - Amended and Restated 2003 Indenture of Trust
2006-1

No upgrade credit or maturity stress sensitivity is provided for
the class A notes, as they are at their highest possible current
and model-implied ratings.

Credit Stress Sensitivity

- Default decrease 25%: class B 'BBsf';

- Basis Spread decrease 0.25%: class B 'BBBsf';

Maturity Stress Sensitivity

- CPR increase 25%: class B 'BBsf';

- IBR usage decrease 25%: class B 'BBsf';

- Remaining term decrease 25%: class B 'Asf'.

College Loan Trust I - Amended and Restated 2003 Indenture of Trust
2007-2

No upgrade credit or maturity stress sensitivity is provided for
the class A notes, as they are at their highest possible current
and model-implied ratings.

Credit Stress Sensitivity

- Default decrease 25%: class B 'CCCsf';

- Basis Spread decrease 0.25%: class B 'CCCsf'.

Maturity Stress Sensitivity

- CPR increase 25%: class B 'CCCsf';

- IBR usage decrease 25%: class B 'CCCsf';

- Remaining term decrease 25%: class B 'CCCsf'.

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.


COMM 2012-CCRE1: Moody's Lowers Rating on 3 Tranches to Caa3
------------------------------------------------------------
Moody's Investors Service has downgraded the ratings on seven
classes in COMM 2012-CCRE1 Mortgage Trust ("COMM 2012-CCRE1"),
Commercial Pass-Through Certificates, Series 2012-CCRE1 as
follows:

Cl. B, Downgraded to Baa2 (sf); previously on Jul 13, 2022
Downgraded to Baa1 (sf)

Cl. C, Downgraded to Ba2 (sf); previously on Jul 13, 2022
Downgraded to Ba1 (sf)

Cl. D, Downgraded to Caa2 (sf); previously on Jul 13, 2022 Affirmed
Caa1 (sf)

Cl. E, Downgraded to Caa3 (sf); previously on Jul 13, 2022 Affirmed
Caa2 (sf)

Cl. F, Downgraded to Caa3 (sf); previously on Jul 13, 2022 Affirmed
Caa2 (sf)

Cl. G, Downgraded to C (sf); previously on Jul 13, 2022 Affirmed
Caa3 (sf)

Cl. X-B*, Downgraded to Caa3 (sf); previously on Jul 13, 2022
Downgraded to Caa2 (sf)

* Reflects Interest-Only Classes

RATINGS RATIONALE

The ratings on six P&I classes were downgraded due to higher
anticipated losses and increased risk of interest shortfalls from
the specially serviced and troubled loans driven primarily by
significant exposure to class B regional malls. RiverTown Crossings
Mall (30% of the pool) is in special servicing and Crossgates Mall
(64% of the pool) failed to pay off at its original scheduled
maturity in May 2022.

The ratings on one IO class, Cl. X-B, was downgraded due to decline
in the credit quality of its referenced classes. The IO Class
references all P&I classes including Class H, which is not rated by
Moody's.

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.

Moody's rating action reflects a base expected loss of 49.2% of the
current pooled balance, compared to 33.4% at Moody's last review.
Moody's base expected loss plus realized losses is now 8.1% of the
original pooled balance, compared to 6.0% at Moody's last review.

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

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

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

Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 36% of the pool is in
special servicing and Moody's has identified additional troubled
loans representing 64% of the pool. In this approach, Moody's
determines a probability of default for each specially serviced and
troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value
(if available), other information from the special servicer,
available market data and Moody's internal data. The loss given
default for each loan also takes into consideration repayment of
servicer advances to date, estimated future advances and closing
costs. Translating the probability of default and loss given
default into an expected loss estimate, Moody's then applies the
aggregate loss from specially serviced and troubled loans to the
most junior class(es) and the recovery as a pay down of principal
to the most senior class(es).

DEAL PERFORMANCE

As of the January 11, 2023 distribution date, the transaction's
aggregate certificate balance has decreased by 84% to $153.8
million from $932.4 million at securitization. The certificates are
collateralized by three mortgage loans ranging in size from 7% to
64% of the pool.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of two, the same as at Moody's last review.

Two loans, constituting 36% of the pool, are currently in special
servicing. All the specially serviced loans have transferred to
special servicing since March 2020. Additionally, there is one
troubled loan constituting 64% of the pool that is on the servicer
watchlist.

The largest specially serviced loan is the RiverTown Crossings Mall
Loan ($45.4 million – 29.5% of the pool), which represents a
pari-passu portion of a $129.1 million mortgage loan. The loan is
secured by an approximately 635,800 square feet (SF) portion of a
1.2 million SF regional mall located in Grandville, Michigan. The
property was built in 2000 and is anchored by Macy's, Kohl's, J.C.
Penney, Dick's Sporting Goods and Celebration Cinemas. The sponsor
purchased a vacant, former non-collateral Younkers (closed 2018)
anchor box (150,081 SF) in 2019 for $4.4 million. There was also a
former non-collateral Sears which closed in January 2021. The only
collateral anchors are Dick's Sporting Goods and Celebration
Cinemas, and both tenants have renewed their leases in early 2020
for an additional five years. As of September 2022, the collateral
and inline occupancy were 93% and 78%, respectively, compared to an
in-line occupancy of 79% in September 2021 and 88% in March 2020.
As of March 2022, comparable in-line sales (less than 10,000 SF)
were $443 PSF, compared to $309 PSF in December 2020, and $382 PSF
for the year ending December 2019. While property performance
generally improved through 2016, it has since declined primarily
due to lower rental revenues. The year-end 2021 net operating
income (NOI) was lower than in 2019 and underwritten levels. The
loan transferred to special servicing in October 2020 due to
imminent monetary default and failed to pay off at its maturity
date in June 2021. Cash management is in place and the borrower and
special servicer are discussing a potential loan modification or
deed-in-lieu of foreclosure. In August 2022, an updated appraisal
indicated an As-Is market value of $68.9 million, a 73% decline in
value since securitization. As of the January 2023 payment date,
this loan was last paid through December 2022, and has amortized by
17.9% since securitization.

The second largest specially serviced loan is the Philadelphia
Square Loan ($10.3 million – 6.7% of the pool), which is secured
by a student housing property located in Indiana, Pennsylvania
approximately 60 miles east of Pittsburgh. The property is located
several blocks from the Indiana University of Pennsylvania campus.
Indiana University's enrollment has dropped significantly over the
last 10 years due to higher admission standards, freshman dorm
requirements, and the development of four new on campus dorms. The
loan transferred to special servicing in March 2022 due to
anticipated default at loan maturity in May 2022. The loan has
amortized by 18.3% since securitization. In May 2022, an updated
appraisal indicated an As-Is market value of $16.8 million, a 57%
decline in value since securitization. The borrower has been unable
to refinance the loan, and reports continued occupancy issues due
to decreased enrollment and increased designated student housing. A
settlement through receiver sale is expected.

Moody's has also assumed a high default probability on the
Crossgates Mall Loan and estimates an aggregate $45.8 million loss
for the specially serviced and troubled loans (a 30% expected loss
on average).

The largest loan not in special servicing is the Crossgates Mall
Loan ($98.2 million – 63.8% of the pool), which represents a
pari-passu portion of a $245.4 million mortgage loan. The loan is
secured by a two-story, 1.3 million SF super regional mall located
in Albany, New York. The mall is anchored by Macy's
(non-collateral), J.C. Penney, Dick's Sporting Goods, Burlington
Coat Factory, Best Buy, and Regal Crossgates 18. A non-collateral
anchor, Lord & Taylor, has closed its store at the property due to
its recent filing for Chapter 11 bankruptcy reorganization. As of
December 2022, the total mall and collateral occupancy was 94%,
compared to 96% in June 2020. The in-line occupancy was 76% in
December 2022 compared to 86% occupied in June 2020 and 90% in
December 2019. Several large tenants leasing spaces over 5,000 SF
are listed as month-to-month as of the December 2022 rent roll.
Property performance had been relatively stable through year-end
2022 and NOI was 10% lower than securitization levels. The mall
represents a dominant super-regional mall with over 10 anchors and
junior anchors and benefits from its location at the junction of
Interstate 87 and Interstate 90. An updated appraisal in August
2020 valued the property at $281.0 million, 40% decline from the
value at securitization. The loan has been extended through May
2023 after receiving a modification. As of the January 2023 payment
date, the loan has amortized by 18.2% and current on P&I payments.

As of the January 2023 remittance statement cumulative interest
shortfalls were $582,325. Moody's anticipates interest shortfalls
will continue because of the exposure to specially serviced loans.
Interest shortfalls are caused by special servicing fees, including
workout and liquidation fees, appraisal entitlement reductions
(ASERs), loan modifications and extraordinary trust expenses.


COMM 2012-LC4: Moody's Lowers Rating on Class C Certs to B3
-----------------------------------------------------------
Moody's Investors Service has affirmed the ratings on four classes
and downgraded the ratings on two classes in COMM 2012-LC4 Mortgage
Trust, Commercial Mortgage Pass-Through Certificates, Series
2012-LC4 ("COMM 2012-LC4") as follows:

Cl. B, Downgraded to Baa2 (sf); previously on Sep 22, 2022
Downgraded to Baa1 (sf)

Cl. C, Downgraded to B3 (sf); previously on Sep 22, 2022 Downgraded
to B1 (sf)

Cl. D, Affirmed Caa3 (sf); previously on Sep 22, 2022 Affirmed Caa3
(sf)

Cl. E, Affirmed C (sf); previously on Sep 22, 2022 Affirmed C (sf)

Cl. F, Affirmed C (sf); previously on Sep 22, 2022 Affirmed C (sf)

Cl. X-B*, Affirmed Ca (sf); previously on Sep 22, 2022 Downgraded
to Ca (sf)

* Reflects Interest-Only Classes

RATINGS RATIONALE

The ratings on two P&I classes were downgraded due to higher
anticipated losses and the increased risk of potential interest
shortfalls from the specially serviced and troubled loans. The
largest loan, Square One Mall Loan (52.8% of the pool), has been
previously modified and is secured by a regional mall with recent
declines in performance. The remaining three loans (47.2%) are all
in special servicing and are either classified as real estate owned
(REO) or undergoing a foreclosure process.

The ratings on two P&I classes were affirmed because the ratings
are consistent with Moody's expected loss.

The ratings on one IO class, Cl. X-B, was affirmed based on the
credit quality of the referenced classes. The IO Class references
all P&I classes including Class G, which is not rated by Moody's.

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.

Moody's rating action reflects a base expected loss of 75.2% of the
current pooled balance, compared to 76.2% at Moody's last review.
Moody's base expected loss plus realized losses is now 13.5% of the
original pooled balance, compared to 13.4% at Moody's last review.


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

The performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. Performance that falls outside the given range can
indicate that the collateral's credit quality is stronger or weaker
than Moody's had previously expected. Additionally, significant
changes in the 5-year rolling average of 10-year US Treasury rates
will impact the magnitude of the interest rate adjustment and may
lead to future rating actions.

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

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

METHODOLOGY UNDERLYING THE RATING ACTION

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

Moody's analysis incorporated a loss and recovery approach in
rating the P&I classes in this deal since 47% of the pool is in
special servicing and Moody's has identified an additional troubled
loan representing 53% of the pool. In this approach, Moody's
determines a probability of default for each specially serviced and
troubled loan that it expects will generate a loss and estimates a
loss given default based on a review of broker's opinions of value
(if available), other information from the special servicer,
available market data and Moody's internal data. The loss given
default for each loan also takes into consideration repayment of
servicer advances to date, estimated future advances and closing
costs. Translating the probability of default and loss given
default into an expected loss estimate, Moody's then applies the
aggregate loss from specially serviced and troubled loans to the
most junior class(es) and the recovery as a pay down of principal
to the most senior class(es).

DEAL PERFORMANCE

As of the February 10, 2023 distribution date, the transaction's
aggregate certificate balance has decreased by 84% to $150.6
million from $941.3 million at securitization. The certificates are
collateralized by four mortgage loans ranging in size from 5% to
52.8% of the pool

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of three, the same as at Moody's last review.

Three loans, constituting 47% of the pool, are currently in special
servicing. Additionally, there is one troubled loan constituting
53% of the pool that is on the servicer watchlist.

The largest specially serviced loan is the Alamance Crossing Loan
($41.2 million – 27.4% of the pool), which is secured by the fee
interest in a 457,000 square foot (SF) regional mall/lifestyle
center located in Burlington, North Carolina. The collateral
consists of a portion of the Alamance Crossing East shopping center
and the Alamance Crossing Central shopping center. Alamance
Crossing East is a 649,989 SF open-air lifestyle center anchored by
Dillard's, JC Penney, and Belk, along with a 16-screen Carousel
Cinemas theater. Dillard's (124,683 SF) and JC Penney (102,826 SF)
own their own stores and underlying land and are non-collateral for
the loan. Alamance Crossing Central is a strip retail shopping
center located across an access road and west of Alamance Crossing
East. It contains 32,600 SF of NRA, all of which are part of the
collateral. The loan transferred to special servicing in November
2020 due to the sponsor's bankruptcy filing. In November 2022, an
updated appraisal indicated an As-Is market value of $45.0 million,
a 38% decline in value since securitization. As of the February
2023 payment date, this loan was current on P&I payments and the
loan has amortized 18% since securitization. The loan matured in
July 2021 and a motion for receiver was filed in November 2022.

The second largest specially serviced loan is the Susquehanna
Valley Mall loan ($22.4 million – 14.9% of the pool), which is
secured by a 628,063 SF component of a 745,000 SF regional mall
located in Selinsgrove, Pennsylvania. The property is located in a
tertiary market 50 miles north of Harrisburg, Pennsylvania and 40
miles east of State College, Pennsylvania. At securitization, the
property was anchored by a Sears, JCPenney, Bon-Ton, Boscov's and
Carmike Cinemas. The Sears, JCPenney, and Bon-Ton have closed at
the property leaving Boscov's and Carmike Cinemas as the only two
remaining anchors. The property also had an outparcel
grocery-anchor, Weis Market, which closed its doors in October
2018. Recent closures at the mall include Victoria's Secret, The
Children's Place, Garfields, Yankee Candle. The former Sears box
has been leased to Family Practice, a medical clinic, through 2049.
The mall has faced competition from a local power center which also
offers a robust mix of national tenants. The loan transferred to
special servicing in March 2018 due to imminent monetary default. A
receiver was appointed in October 2018 and the property became REO.
In March 2022, an updated appraisal indicated an As-Is market value
of $7.8 million, an 82% decline in value since securitization and
significantly below the remaining outstanding loan balance. As of
the February 2023 payment date, this loan was current on P&I
payments, and the loan has amortized by 19.8%.

The remaining specially serviced loan is secured by a senior living
property in Springfield, Illinois that has seen a decline in
occupancy to 56% in September 2021 from 81% in December 2019. The
loan transferred to cpecial servicing in February 2022 due to
imminent monetary default. The borrower consented to having a
receiver put into place and the court appointed a receiver.   As of
the February 2023 payment date, this loan was last paid through
December 2021 and the loan has amortized by 16.5%.

Moody's has also assumed a high default probability on the Square
One Mall Loan and estimates an aggregate $73.8 million loss for the
specially serviced and troubled loans (49% expected loss on
average).

The largest loan not in special servicing is the Square One Mall
Loan ($79.5 million – 52.8% of the pool), which is secured by the
fee interest in a 541,000 SF component of a 929,000 SF
super-regional mall located in Saugus, Massachusetts, approximately
10 miles northeast of Boston. The sponsor is Mayflower Realty LLC,
a joint-venture between Simon Properties, TIAA, and the Canada
Pension Plan Investment Board. The property is anchored by a Sears,
Macy's, Dick's Sporting Goods, Best Buy, BD's Furniture, and
TJMaxx. Macy's and Sears own their own boxes and are non-collateral
for the loan. In August 2021, an updated appraisal indicated an
As-Is market value of $48.6 million, a 76% decline in value since
securitization and well below the remaining outstanding loan
balance. This loan failed to pay off at its maturity and was
modified with a loan extension through January 2027, switched to
interest-only payments, and is currently cash managed with hyper
amortization of all excess cash flow. The former Sears space that
was being prepared for the failed Apex Entertainment lease was
recently sold in October 2022 for $19.7 million. Moody's has
identified this as a troubled loan. As of the February 2023 payment
date, this loan was current on P&I payments, and has amortized by
20.3% since securitization.

As of the February 2023 remittance statement cumulative interest
shortfalls were $1,577,358. Moody's anticipates interest shortfalls
will continue because of the exposure to specially serviced loans.
Interest shortfalls are caused by special servicing fees, including
workout and liquidation fees, appraisal entitlement reductions
(ASERs), loan modifications and extraordinary trust expenses.


COMM 2013-CCRE6: DBRS Confirms BB(low) Rating on Class E Certs
--------------------------------------------------------------
DBRS Limited upgraded the rating on one class of the Commercial
Mortgage Pass-Through Certificates, Series 2013-CCRE6 issued by
COMM 2013-CCRE6 Mortgage Trust as follows:

-- Class B to AAA (sf) from AA (high) (sf)

DBRS Morningstar also downgraded the rating on the following
class:

-- Class F to C (sf) from CCC (sf)

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

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

The trend on all classes are Stable with the exception of Class F,
which has a rating that does not carry a trend. DBRS Morningstar
discontinued the rating on Class A-4 as the bond fully repaid with
the January 2023 remittance.

The rating confirmations and upgrade of Class B reflect the
increased credit support provided to the bonds as 21 loans have
repaid from the trust since DBRS Morningstar's last rating action,
representing principal paydown of $346.6 million. As the pool
continues to wind down, with all remaining loans having a maturity
date before the end of March 2023, DBRS Morningstar looked to a
recovery analysis as part of the ratings rationale.

According to the January 2023 reporting, 12 of the original 48
loans remain in the trust with an aggregate principal balance of
$395.7 million, representing collateral reduction of 73.5% since
issuance. The pool is concentrated by property type, with loans
backed by office, hotel, and retail properties representing 52.4%,
37.5%, and 9.2% of the current pool balance, respectively. Three
loans, representing 25.0% of the pool are on the servicer's
watchlist for declines in occupancy, the debt service coverage
ratio (DSCR), and/or failure to submit updated financial
statements, and three loans, representing 65.1% of the pool, are in
special servicing.

The rating downgrade of the lower-rated Class F reflects an
increase in DBRS Morningstar's loss expectations for loans in
special servicing, most notably The Avenues (Prospectus ID#3; 27.8%
of the pool) and Embassy Suites Lubbock (Prospectus ID#18; 4.4% of
the pool). As part of the analysis for this review, DBRS
Morningstar considered hypothetical liquidation scenarios for both
of these loans, resulting in an implied loss of nearly $49 million,
indicating that Class F was exposed to loss upon resolution.

The Avenues loan is secured by a portion of a 1.1 million square
foot (sf) (599,030 sf of which is collateral for the subject loan)
regional mall in Jacksonville, Florida. The mall includes three
noncollateral anchors in Dillard's, Belk, and JCPenney. The
collateral anchors include a larger-than-average Forever 21, which
occupies 116,298 sf (representing 19.4% of the collateral net
rentable area (NRA)), and a vacant former Sears box totaling
121,208 sf (representing 20.2% of the NRA), which closed in 2019
and has not been backfilled to date. The collateral's occupancy
rate, which was reported at 63.4% as of June 2022, was marginally
higher than the YE2021 rate of 60.1% but well below the issuance
rate of 91.3%. Forever 21's lease expired at the end of January
2023 and the servicer has not confirmed if the tenant intends to
extend its lease. The subject is significantly inferior to the
favored mall in the area, St. Johns Town Center, which also secures
commercial mortgage-backed securities debt and is owned by one of
the subject loan sponsors, Simon Property Group (Simon).

Occupancy and cashflows have consistently declined since issuance
with the YE2021 net cash flow (NCF) 30.3% lower that the issuance
NCF. The most recent full-year DSCR was 2.76 times (x) as of
YE2021, significantly lower than 4.02x at issuance. Occupancy and
cash flow declines, diminished investor appetite for this property
type, and the subject mall's status as the inferior mall within the
Jacksonville market all suggest that a sharp value decline from
issuance is likely. In addition, Simon recategorized the subject
mall as one of its "other" assets in its financial reporting,
suggesting it may not remain fully committed to the property. DBRS
Morningstar applied a 65.0% haircut to the property's December 2012
appraisal value, resulting in a loss severity of nearly 30%, or $32
million.

Embassy Suites Lubbock is secured by the borrower's fee-simple
interest in a 156-key, full-service hotel in Lubbock, Texas. Cash
flow declines began with the energy market downturn in 2015, and
the loan ultimately transferred to special servicing in 2020. The
current franchise agreement with Hilton expires at YE2023 and
Hilton is not expected to renew it, according to the special
servicer. The receiver attempted an auction sale of the property in
December 2021, but the highest bid failed to meet the receiver's
reserve price. The August 2021 appraisal estimated an as-is value
of $19.9 million, down considerably from the issuance appraised
value of $31.0 million, and below the trust exposure as of the
January 2023 remittance of $23.6 million. DBRS Morningstar,
however, expects the as-is value could be even lower, given the
expectation that the property will lose its Hilton flag next year.
As such, DBRS Morningstar applied a haircut to the 2021 appraisal
in the liquidation scenario for this loan to arrive at a projected
loss amount of nearly $17.0 million, representing a loss severity
in excess of 95.0%.

The largest loan in special servicing, Federal Center Plaza
(Prospectus ID#1; 32.9% of the pool) is secured by the borrower's
fee-simple interest in two adjoining eight-story office buildings,
400 C and 500 C Street SW, totaling 725,317 sf, as well as a 57.1%
interest in a three-level, connected, subgrade 912-space parking
garage (521 owned stalls) in Washington, D.C. At issuance, The
General Services Administration (GSA) leased more than 93.0% of the
property on behalf of multiple federal agencies, including Federal
Emergency Management Agency (FEMA). The building was designed as a
build-to-suit for the agency in the early 1980s and has been
continuously occupied by GSA tenant(s) ever since; however, the GSA
has downsized its overall footprint in recent years, reducing
occupancy at the property to 74.5% as of the September 2022 rent
roll. The borrower executed an amendment for FEMA's lease at 400 C
Street (162,293 sf; 22.4% of NRA) and 500 C Street (303,546 sf;
41.9% of NRA) effectively extending the leases through to August
2027. In addition, a new lease (46,821 sf; 6.5% of NRA) was signed
for another GSA tenant, USAID, which runs through to 2027. The
borrower has stated that the GSA is potentially interested in
signing a new 15- to 20-year lease, for a total of 600,000 sf of
space, which would consolidate all of the existing leases across
both properties into one roll-up. The servicer noted that a final
decision will likely be made within the first quarter of 2023.

The loan transferred to the special servicer in December 2022 for
imminent monetary default after the borrower delivered notice
stating that it would not be able to repay the loan upon maturity
in February 2023. The special servicer has confirmed that an
extension is being executed for a yet to be determined length and
rate. Despite the borrower's inability to repay the loan at
maturity, the loan benefits from low leverage with a going-in
loan-to-value ratio of 42.1%. Moreover, the collateral's desirable
location close to Washington's central business district, and the
servicer's update regarding a potential long term lease with the
GSA for a significant portion of the total NRA could potentially be
positive mitigating factors. The loan continues to cover debt
obligations with a healthy DSCR of 2.13x for the trailing nine
months ended September 30, 2022. d The loan was rated investment
grade at issuance and, based on the mitigating factors described
above, DBRS Morningstar confirms that the loan's performance
remains in line with the investment-grade shadow rating.

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



COMM 2014-CCRE17: Fitch Lowers Rating on Class D Certs to 'BBsf'
----------------------------------------------------------------
Fitch Ratings has downgraded one class and affirmed 12 classes of
COMM 2014-CCRE17 Mortgage Trust commercial mortgage pass-through
certificates. The Rating Outlooks on classes D and E remain
Negative. The Rating Outlooks for four classes have been revised to
Stable from Negative.

   Entity/Debt         Rating             Prior
   -----------         ------             -----
COMM 2014-CCRE17
  
   A-4 12631DBA0   LT AAAsf  Affirmed     AAAsf
   A-5 12631DBB8   LT AAAsf  Affirmed     AAAsf
   A-M 12631DBD4   LT AAAsf  Affirmed     AAAsf
   A-SB 12631DAZ6  LT AAAsf  Affirmed     AAAsf
   B 12631DBE2     LT AA-sf  Affirmed     AA-sf
   C 12631DBG7     LT A-sf   Affirmed     A-sf
   D 12631DAG8     LT BBsf   Downgrade    BBB-sf
   E 12631DAJ2     LT B-sf   Affirmed     B-sf
   F 12631DAL7     LT CCCsf  Affirmed     CCCsf
   PEZ 12631DBF9   LT A-sf   Affirmed     A-sf
   X-A 12631DBC6   LT AAAsf  Affirmed     AAAsf
   X-B 12631DAA1   LT A-sf   Affirmed     A-sf
   X-C 12631DAC7   LT CCCsf  Affirmed     CCCsf

KEY RATING DRIVERS

Higher Certainty of Loss; Upcoming Loan Maturities: The downgrade
and Negative Outlooks factor in the higher certainty of loss upon
resolution of the specially serviced assets, the concentration of
loan maturities in 2024 as well as the large retail exposure
(35.2%). The affirmations and Stable Outlooks reflect overall lower
loss expectations for the remaining pool since Fitch's last rating
action.

Fitch's current ratings incorporates a base case loss of 9.1% and
includes the higher loan-level default assumptions and full
recognition of losses given the imminent refinance risk as loans
approach maturity. Six loans (15.9% of the pool) are considered
Fitch Loans of Concern (FLOCs), including the four specially
serviced loans (14.3%).

Alternative Loss Considerations: Due to the large concentration of
loan maturities in 2024, Fitch performed 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. The non-investment grade classes
are reliant on recoveries on underperforming collateral, including
the specially serviced Cottonwood Mall loan. 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 where the Cottonwood Mall remains the last
asset in the pool. The ratings and Outlooks reflect these
scenarios.

The largest contributor to overall loss expectations since the
prior rating action is the Cottonwood Mall loan (9.8%), which is
secured by a super-regional mall located in Albuquerque, NM. The
loan transferred to special servicing for a second time in June
2021 due to the bankruptcy filing of the sponsor. Washington Prime
Group (WPG) considers this mall a non-core asset and does not
intend to retain ownership. The current strategy is to maximize
value by stabilizing leasing and maintenance at the property
through the appointment of a receiver, which was appointed in
February 2022.

As of December 2022, the servicer reported that the receiver is
continuing to have success in lease renewals, new leases, and
converting leases from temporary to permanent. The largest
collateral tenant is Regal Cinema (17.9% of collateral NRA leased
through December 2026). Non-collateral anchors include Dillard's,
JCPenney and Conn's Home Plus; the vacant non-collateral Macy's box
was redeveloped into a Hobby Lobby and furniture stores.

Collateral occupancy was 95.1% as of the most recently provided
rent roll from November 2022, compared with 92.2% in July 2021. As
of the November 2022 rent roll, with the exception of Forever 21
(3.3%; January 2023) and Old Navy (3.6%; April 2023), no single
tenant scheduled to roll through YE 2024 represents more than 2.4%
of the collateral NRA. For TTM October 2022, in-line sales for
tenants occupying less than 10,000 sf were $384 psf, compared with
$271 psf as of TTM July 2021, $223 psf for TTM August 2020 and $309
psf for TTM November 2019. Fitch's base case loss of 54.8% is based
on 20% cap rate and 5% HC to the YE 2022 NOI to reflect significant
upcoming lease rollover, regional mall performance concerns,
tertiary market location, and superior competition.

Three are three additional loans that are specially serviced (4.5%
of the pool); total modeled losses on these three loans is in line
with prior rating actions. The largest specially serviced hotel
loan is Crowne Plaza Houston River Oaks (2.4%), located in Houston,
TX. The loan transferred to special servicing in July 2020 for
payment default after the borrower had requested coronavirus
relief. Prior to the pandemic, the hotel experienced significant
cash flow declines since issuance from lower occupancy and ADR due
to softness in the overall Houston hotel market and the contraction
of the oil and gas industry. The hotel was closed for all of 2021
and reopened in January 2022. A receiver sale is being considered
in the near to medium term. Fitch's base case loss of 53.0% is
based on a discount to a servicer-reported November 2022 appraisal
value for the property.

Increased Credit Enhancement (CE): As of the January 2023
distribution date, the pool's principal balance has paid down by
23.8% to $907 million from $1.2 billion at issuance; realized
losses to date have been de minimis (0.1% of original pool
balance). Since Fitch's prior rating action, Defeasance has
increased to 27.6% of the pool (19 loans; $249.9 million) as of
January 2023 from 25.6% of the pool (16 loans; $236 million) at the
prior rating action. Interest shortfalls of approximately $1.8
million are currently affecting the non-rated class H.

Three loans (31.5%) are full-term, interest-only and the remaining
45 loans (68.5%) are amortizing. Scheduled maturities include four
loans (2.8%) in 2023 and the remaining 44 loans (97.2%) mature in
2024.

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 classes
A-4 through A-M and class X-A are not likely due to the position in
the capital structure, but may occur should interest shortfalls
affect these classes. Downgrades to classes B, C, PEZ, and X-B are
possible should expected losses for the pool increase
significantly. A downgrade to classes D and E is possible should
performance of the FLOCs continue to decline, should additional
loans transfer to special servicing, loans do not payoff at
maturity and/or should FLOCs not stabilize. Further downgrades to
classes F and X-C would occur as losses are realized and/or greater
certainty of loss.

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 to classes B, C, PEZ, and X-B could occur with significant
improvement in CE due to loan payoffs, amortization and/or
defeasance; however, adverse selection, increased concentrations
and/or further underperformance of the remaining collateral could
offset the improvement in CE. Classes would not be upgraded above
'Asf' if interest shortfalls are likely. An upgrade to class D
would be limited based on sensitivity to concentrations or the
potential for future concentration. Classes E, F and X-C are
unlikely to be upgraded absent significant performance improvement
on the FLOCs, substantially higher recoveries than expected on the
specially serviced loans/assets and sufficient CE to the classes.

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.


COMM 2014-UBS4: DBRS Confirms B Rating on 2 Classes
----------------------------------------------------
DBRS Limited confirmed its ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2014-UBS4 issued by COMM
2014-UBS4 Mortgage Trust as follows:

-- Class A-3 at AAA (sf)
-- Class A-4 at AAA (sf)
-- Class A-5 at AAA (sf)
-- Class A-SB at AAA (sf)
-- Class A-M at AAA (sf)
-- Class X-A at AAA (sf)
-- Class B at AA (sf)
-- Class X-B at A (high) (sf)
-- Class C at A (sf)
-- Class PEZ at A (sf)
-- Class D at BBB (low) (sf)
-- Class X-C at B (high) (sf)
-- Class E at B (sf)
-- Class X-D at B (sf)
-- Class F at B (low) (sf)

All trends are Stable.

The rating confirmations and Stable trends reflect DBRS
Morningstar's current outlook and loss expectations for the
transaction, which remain relatively unchanged from the November
2022 review. Although the pool is generally stable, it is
noteworthy that there is a high concentration of loans
collateralized by office properties, which represent more than 30%
of the current pool balance. Those loans include the two largest
loans in the pool, one of which is delinquent and the other of
which is current but showing some challenges related to dark space
across the collateral office portfolio. In addition to these loans,
there are select others showing increased risks from issuance.
However, in addition to loan-level factors mitigating risks in some
cases, DBRS Morningstar also notes that the transaction as a whole
benefits from increased credit support to the bonds as a result of
scheduled amortization and loan repayments, as well as significant
defeasance.

At issuance, the transaction consisted of 91 fixed-rate loans
secured by 124 commercial and multifamily properties, with a trust
balance of $1.29 billion. As of the January 2023 remittance, 80
loans remain within the transaction with a trust balance of $1.0
billion, reflecting total collateral reduction of 21.72% since
issuance. There are currently 28 fully defeased loans, representing
13.8% of the pool. Six loans, representing 13.1% of the pool, are
currently in special servicing, and 17 loans, representing 25.5% of
the pool, are on the servicer's watchlist.

The largest loan in the pool, State Farm Portfolio (Prospectus
ID#1; 12.7% of the pool), is a pari passu loan secured by 14
cross-collateralized and cross-defaulted properties spread across
11 states. The portfolio properties were 100% occupied by State
Farm Mutual Automobile Insurance Company (State Farm) at issuance,
with all but two of the leases running through 2028. The leases
remain in place, but the physical occupancy rate has declined in
recent years. State Farm as a company has reportedly transitioned
to a hybrid/flex model in the United States, with the workforce
rotating between on-site and remote work. News reports have
suggested that a majority of the office locations backing the
subject loan have been vacated, or use has been significantly
reduced; despite these developments, the loan is not on the
servicer's watchlist.

The portfolio is generally located across secondary markets in the
Midwest and Eastern United States; the largest three by allocated
loan balance are located in Charlottesville, Virginia;
Murfreesboro, Tennessee; and Malta, New York (a total of 36% of the
allocated balance). These locations will be more difficult to
sublease given the lower demand for office space and the slowdown
in leasing across the office sector that has been affecting the
country as a whole for the past few years. Given that the majority
of lease expirations are four years past the loan's scheduled 2024
anticipated repayment date ((ARD); final maturity is scheduled for
April 2029), refinance risk, rather than term risk, is the primary
concern. The loan structure requires the loan's interest rate to
increase significantly if the ARD is not met, and a cash flow sweep
would also be initiated in the event of a missed ARD. The loan has
historically covered at a debt service coverage ratio (DSCR) of
approximately 2.0 times (x), suggesting there should be excess cash
to sweep and reserve for the remainder of the State Farm lease
periods through the final maturity date in 2029.

The largest specially serviced loan and the second largest loan in
the pool, 597 Fifth Avenue (Prospectus ID#2; 10.4% of the pool), is
secured by two adjacent mixed-use properties in Manhattan's Midtown
neighborhood. The property consists of 80,032 square feet (sf) of
Class B office and ground-floor retail space. The loan transferred
to the special servicer in October 2020, at which time a new
leasing and management firm was appointed, and a consent agreement
was approved allowing for the use of reserves to fund debt service
payments. The loan was subsequently brought current and paid
through to October 2022, when the reserve account was depleted. The
loan is currently over 60 days delinquent and is being cash
managed. A significant discounted-payoff proposal made by the
borrower was ultimately rejected by the special servicer, who is
reportedly dual-tracking foreclosure and receivership proceedings
while pursuing potential alternatives with the borrower.

Cash flows at the property have been in flux since Sephora vacated
the ground-floor retail space in 2017. The space was later taken by
Lululemon on a short-term basis; however, Lululemon's departure in
2020 (formerly 10.0% of net rentable area (NRA)) caused significant
cash flow declines, given that 80% of the asset's total base rent
had historically been generated by the retail tenant. Club Monaco,
which was purchased in June 2021 by Regent, L.P. (Regent), a global
private equity firm, has since taken over the space on a short-term
lease expiring in 2023, roughly one year prior to loan maturity.
The prospect of Club Monaco renewing its lease at the property
remains uncertain, especially if the sponsor attempts to reset the
tenant's rental rate to market. According to the June 2022 rent
roll, Club Monaco was paying approximately $285 per square foot
(psf), far below the submarket average of $2,000 psf for retail
properties in the Upper Fifth Avenue corridor.

The property was 71.4% occupied according to the June 2022 rent
roll, with Club Monaco occupying 12,229 sf (14.6% of the NRA). Cash
flow at the property has declined consistently since issuance, with
the annualized June 2022 figure of $3.4 million significantly below
the issuance figure of $7.4 million, but above the YE2021 figure of
$1.9 million. Likewise, the DSCR has declined from 1.5x at issuance
to 0.34x as of June 2022. Although the general performance of
retail space along the Fifth Avenue corridor has improved in recent
months, DBRS Morningstar remains concerned about the property's
sustained occupancy and cash flow declines as well as the loan
sponsor, Joseph Sitt of Thor Equities, who retains positions in
other properties that are in various states of delinquency and/or
foreclosure. While the collateral's value has likely declined in
recent years, the issuance appraisal implies a loan-to-value ratio
of 58.3%, suggesting significant cushion exists.

DBRS Morningstar did not perform an updated model run given the
lack of meaningful changes in performance since the last review,
conducted in November 2022. As of the previous actions published on
November 4, 2022, material deviations from the North American CMBS
Insight Model were reported for Class E, as the quantitative
results suggested higher ratings. The material deviations were
warranted given the uncertain loan-level event risk with the loans
in special servicing and on the servicer's watchlist.

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



DBUBS 2011-LC2: DBRS Confirms B Rating on Class FX Certs
--------------------------------------------------------
DBRS, Inc. confirmed its ratings on the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2011-LC2
issued by DBUBS 2011-LC2 Mortgage Trust:

-- Class FX at B (sf)
-- Class F at B (low) (sf)

All trends are Stable.

The rating confirmations and Stable trends reflect DBRS
Morningstar's view of the underlying collateral for the remaining
loan in the pool, as further described below. Although there is a
significant amount of cushion in the unrated Class G first loss
certificate of $32.6 million and Class F is likely to be repaid
with a small balance of $1.3 million, the uncertainty with regard
to the final workout terms for the remaining loan was the primary
driver for DBRS Morningstar's conservative approach with this
review.

Since the last rating action, one loan, The Tower, was liquidated
from the pool. This action resulted in a loss of $4.6 million to
the Class G certificate, which was in line with DBRS Morningstar's
expectations. Interest shortfalls of $1.8 million are affecting the
nonrated Class G certificate.

The Magnolia Hotel Houston loan is secured by a 314-key
full-service hotel in downtown Houston. A loan modification was
executed after the loan transferred to special servicing because of
a payment default near the timing of the borrower's relief request
associated with the Coronavirus Disease (COVID-19) pandemic. The
loan modification terms include reduced payments between May 2021
and July 2021, a loan maturity extension to June 2023 from June
2021, and waived default interest and late fees. The loan was
returned to the master servicer in February 2022 and will continue
to be cash managed through loan maturity, although it is unlikely
that meaningful funds would be trapped considering the loan has
been reporting debt service coverage ratios (DSCRs) well below
breakeven for the last several years. Property performance declines
were initially driven by the extensive property improvement plan
renovations required to align the property with Starwood Tribute
brand standards. The declines were then compounded by the general
challenges within the oil and gas industry, which were further
exacerbated by the effects of the pandemic.

According to the September 2020 appraisal, the property was valued
at $46.6 million, a 27% decline from the issuance value of $63.7
million. This represents a loan-to-value (LTV) ratio of 72.8%,
compared with the issuance LTV of 65.9%. According to the most
recent reporting for the trailing 12 months ended September 30,
2022, the occupancy rate, average daily rate, and revenue per
available room (RevPAR) were 47.1%, $166.47, and $78.41,
respectively. Performance continues to lag when compared with
pre-pandemic levels, as the YE2019 RevPAR was $136.57.

Although the 2020 appraisal is above the outstanding loan balance,
other commercial mortgage-backed securities loans secured by
Houston hotels have exhibited steeper value declines from issuance,
suggesting the current value of the property may have decreased
further. The sponsor appears to be committed to the property;
however, given the subject had performance issues and reported low
DSCRs prior to the pandemic, it will be challenging for the
subject's performance to rebound near issuance expectations,
supporting DBRS Morningstar's conservative approach.

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



EXETER AUTOMOBILE 2023-1: Fitch Gives 'BB(EXP)sf' Rating on E Notes
-------------------------------------------------------------------
Fitch Ratings expects to assign ratings and Rating Outlooks to
Exeter Automobile Receivables Trust (EART) 2023-1.

   Entity/Debt         Rating        
   -----------         ------        
Exeter Automobile
Receivables
Trust 2023-1

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

KEY RATING DRIVERS

Collateral Performance - Subprime Credit Quality: EART 2023-1 is
backed by collateral with subprime credit attributes, including a
weighted-average (WA) FICO score of 574, a WA loan-to-value (LTV)
ratio of 113.72% and a WA annual percentage rate (APR) of 21.83%.
In addition, 97.98% of the loans are backed by used cars, and the
WA payment-to-income (PTI) ratio is 12.14%.

Forward-Looking Approach to Derive Base-Case Proxy: Fitch
considered economic conditions and future expectations by assessing
key macroeconomic and wholesale market conditions to derive the
series loss proxy. Although recessionary performance data from
Exeter are not available, the initial base-case cumulative net loss
(CNL) proxy was derived utilizing 2006-2010 data from Santander
Consumer as proxy recessionary static-managed portfolio data and
2016-2017 vintage data from Exeter to arrive at a forward-looking
base-case CNL proxy of 19.00%.

Payment Structure - Sufficient Credit Enhancement: Initial hard
credit enhancement (CE) totals 60.05%, 47.65%, 34.75%, 21.60% and
10.65% for classes A, B, C, D and E, respectively. The class E CE
is in line with 2022-6 and the Class A, B, C and D CE levels are
all higher than recent transactions. Excess spread is expected to
be 10.68% per annum. Loss coverage for each class of notes is
sufficient to cover the respective multiples of Fitch's base case
CNL proxy of 19%.

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

RATING SENSITIVITIES

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

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

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

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

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

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

ESG CONSIDERATIONS

The concentration of electric and hybrid vehicles in the pool is
low and did not have an impact on Fitch's ratings analysis or
conclusion of this transaction and has no impact on Fitch's ESG
Relevance Score.

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.


FLAGSHIP CREDIT 2023-1: DBRS Finalizes BB Rating on Class E Notes
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by Flagship Credit Auto Trust 2023-1 (the
Issuer):

-- $49,250,000 Class A-1 Notes at R-1 (high) (sf)
-- $186,190,000 Class A-2 Notes at AAA (sf)
-- $55,080,000 Class A-3 Notes at AAA (sf)
-- $37,540,000 Class B Notes at AA (sf)
-- $49,140,000 Class C Notes at A (sf)
-- $35,030,000 Class D Notes at BBB (sf)
-- $34,810,000 Class E Notes at BB (sf)

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

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

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

(2) The DBRS Morningstar CNL assumption is 10.75%, based on the
expected Cut-Off Date pool composition.

(3) The transaction assumptions consider DBRS Morningstar's
baseline macroeconomic scenarios for rated sovereign economies,
available in its commentary "Baseline Macroeconomic Scenarios for
Rated Sovereigns: December 2022 Update," published on December 21,
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.

(4) The consistent operational history of Flagship Credit
Acceptance, LLC (Flagship or the Company) and the strength of the
overall Company and its management team.

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

(5) The capabilities of Flagship with regard to originations,
underwriting, and servicing.

-- DBRS Morningstar performed an operational review of Flagship
and considers the entity an acceptable originator and servicer of
subprime automobile loan contracts with an acceptable backup
servicer.

(6) The Company indicated it may be subject to various consumer
claims and litigation seeking damages and statutory penalties. Some
litigation against Flagship could take the form of class-action
complaints by consumers; however, the Company indicated there is no
material pending or threatened litigation.

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

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

Initial credit enhancement for the Class A-1, Class A-2, and Class
A-3 Notes is expected to be 37.15% and will include a 1.00% reserve
account (funded at inception and nondeclining), initial OC of
1.75%, and subordination of 34.40% of the initial pool balance.
Initial Class B enhancement is expected to be 28.90% and will
include a 1.00% reserve account (funded at inception and
nondeclining), initial OC of 1.75%, and subordination of 26.15% of
the initial pool balance. Initial Class C enhancement is expected
to be 18.10% and will include a 1.00% reserve account (funded at
inception and nondeclining), initial OC of 1.75%, and subordination
of 15.35% of the initial pool balance. Initial Class D enhancement
is expected to be 10.40% and will include a 1.00% reserve account
(funded at inception and nondeclining), initial OC of 1.75%, and
subordination of 7.65% of the initial pool balance. Initial Class E
enhancement is expected to be 2.75% and will include a 1.00%
reserve account (funded at inception and nondeclining) and initial
OC of 1.75%.

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


GENERATE CLO 11: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes
-----------------------------------------------------------------
S&P Global Ratings assigned its preliminary ratings to Generate CLO
11 Ltd./Generate CLO 11 LLC's 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 Generate Advisors LLC.

The preliminary ratings are based on information as of Feb. 17,
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 collateral pool's diversification;

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

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

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

  Preliminary Ratings Assigned

  Generate CLO 11 Ltd./Generate CLO 11 LLC

  Class A, $186.00 million: Not rated
  Class B, $40.35 million: AA (sf)
  Class C (deferrable), $17.85 million: A (sf)
  Class D (deferrable), $16.65 million: BBB- (sf)
  Class E (deferrable), $8.70 million: BB- (sf)
  Subordinated notes, $27.00 million: Not rated



GS MORTGAGE 2017-GS6: Fitch Affirms B- Rating on Class F Debt
-------------------------------------------------------------
Fitch Ratings has affirmed 12 classes of GS Mortgage Securities
Trust, commercial mortgage pass-through certificates, series
2017-GS6 (GSMS 2017-GS6). The Rating Outlook for class F was
revised to Stable from Negative.

   Entity/Debt          Rating            Prior
   -----------          ------            -----
GSMS 2017-GS6

   A-2 36253PAB8    LT AAAsf  Affirmed    AAAsf
   A-3 36253PAC6    LT AAAsf  Affirmed    AAAsf
   A-AB 36253PAD4   LT AAAsf  Affirmed    AAAsf
   A-S 36253PAG7    LT AAAsf  Affirmed    AAAsf
   B 36253PAH5      LT AA-sf  Affirmed    AA-sf
   C 36253PAJ1      LT A-sf   Affirmed    A-sf
   D 36253PAK8      LT BBB-sf Affirmed    BBB-sf
   E 36253PAP7      LT BBsf   Affirmed    BBsf
   F 36253PAR3      LT B-sf   Affirmed    B-sf
   X-A 36253PAE2    LT AAAsf  Affirmed    AAAsf
   X-B 36253PAF9    LT A-sf   Affirmed    A-sf
   X-D 36253PAM4    LT BBB-sf Affirmed    BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations Since Issuance: Overall pool performance
remains stable; the Outlook Revision on class F to Stable from
Negative reflects consistent pool performance compared to the last
rating action. There have been no specially serviced loans since
issuance. Four loans (8.9% of pool) were flagged as Fitch Loans of
Concern (FLOCs) due to upcoming rollover concerns and/or declining.
Fitch's ratings assume a base case loss expectation of 3.7%.

The largest contributor to overall loss expectations is the One
West 34th Street loan (4.3% of pool), which is secured by a
210,358-sf office property located at the corner of West 34th
Street and Fifth Avenue in Manhattan, across the street from the
Empire State Building. The current largest tenants are CVS (7.0% of
NRA; through January 2034), Olivia Miller (6.1%; July 2024),
International Inspiration (4.0%; November 2026), Amazon.com
Services (3.4%; October 2026), and Global Coverage (3.0%; May
2030). Upcoming rollover includes 8.6% of the NRA (10 leases) in
2023, 20.7% (13 leases) in 2024 and 10.7% (10 leases) in 2025.

Recent performance improved slightly with the September 2022 NOI
DSCR at 0.93x, compared with 0.82x at YE 2021 and 0.80x at YE 2020.
The property was 85% occupied as of September 2022, up from 80% at
YE 2021 and 83% at YE 2020. Fitch's base case loss of 28% reflects
an 8.25% cap on the YE 2021 NOI, factoring in the property's strong
Manhattan location and excellent access to public and mass
transit.

The second largest contributor to overall loss expectations,
Redlands Towne Center (5%), is secured by a 251,621- sf anchored
retail property anchored by JC Penney (39% NRA; lease expires 2026)
located in Redlands, California. Occupancy and DSCR were a reported
90% and 1.80x respectively as of September 2022 compared to 85% and
1.59x at YE 2020. Upcoming rollover is as follows: 10.3% (2022; 8
tenants representing 22% of base rent); 0.7% (2023); 0% (2024). An
updated rent roll was requested but remains outstanding. Fitch's
base case loss of 5% reflects a 9% cap rate and 15% stress to YE
2021 to account for rollover concerns.

Minimal Change to Credit Enhancement: There has been minimal change
to credit enhancement (CE) since issuance. As of the January 2023
distribution date, the pool's aggregate balance has been paid down
by 3.3% to $927.7 million from $959.1 million at issuance. One loan
(0.61% of the original pool balance) prepaid in November 2022
before its February 2027 maturity date. Six loans (8.7%) are fully
defeased. Based on the loans' scheduled maturity balances, the pool
is expected to amortize 5.3% during the term. Twelve loans (55% of
pool) are full-term, interest-only and 11 loans (28.2%) have a
partial-term, interest-only component of which all have begun to
amortize.

Loan Concentration: The pool is concentrated with a total of 31
loans. The largest 10 loans comprise 67.5% of the pool. The largest
property-type concentration is office at 49.5% of the pool,
followed by mixed use at 19% and retail at 16.4%.

Pari Passu Loans: Nine of the top 10 loans (62.4%) have pari-passu
additional debt.

RATING SENSITIVITIES

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

Downgrades to classes A-2, A-3, A-AB, A-S and X-A are not likely
due to their position in the capital structure and the high CE;
however, downgrades to these classes may occur should interest
shortfalls occur. Downgrades to class B, X-B and C would occur if
loss expectations increase significantly and/or should CE be
eroded. Downgrades to the classes D, X-D, E and F would occur if
the performance of the FLOCs continues to decline and/or fail to
stabilize or loans transfer to special servicing.

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 of classes B and X-B would occur with continued
improvement in CE and/or defeasance and continued stable to
improving performance of the overall pool. Upgrades of classes C,
D, X-D, E and F may occur with significant improvement in CE and/or
defeasance, but would be limited based on sensitivity to
concentrations or the potential for future concentration. Classes
would not be upgraded above 'Asf' if there is a likelihood for
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.


GS MORTGAGE 2023-PJ2: Fitch Gives B-(EXP)sf Rating on Cl. B5 Certs
------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates issued by GS Mortgage-Backed Securities Trust 2023-PJ2
(GSMBS 2023-PJ2).

   Entity/Debt         Rating        
   -----------         ------        
GSMBS 2023-PJ2

   A1              LT AA+(EXP)sf  Expected Rating
   A10             LT AAA(EXP)sf  Expected Rating
   A11             LT AAA(EXP)sf  Expected Rating
   A11X            LT AAA(EXP)sf  Expected Rating
   A12             LT AAA(EXP)sf  Expected Rating
   A13             LT AAA(EXP)sf  Expected Rating
   A13X            LT AAA(EXP)sf  Expected Rating
   A14             LT AAA(EXP)sf  Expected Rating
   A15             LT AAA(EXP)sf  Expected Rating
   A15X            LT AAA(EXP)sf  Expected Rating
   A16             LT AAA(EXP)sf  Expected Rating
   A16L            LT AAA(EXP)sf  Expected Rating
   A17             LT AAA(EXP)sf  Expected Rating
   A17X            LT AAA(EXP)sf  Expected Rating
   A18             LT AAA(EXP)sf  Expected Rating
   A19             LT AAA(EXP)sf  Expected Rating
   A19X            LT AAA(EXP)sf  Expected Rating
   A1X             LT AA+(EXP)sf  Expected Rating
   A2              LT AA+(EXP)sf  Expected Rating
   A20             LT AAA(EXP)sf  Expected Rating
   A21             LT AAA(EXP)sf  Expected Rating
   A21X            LT AAA(EXP)sf  Expected Rating
   A22             LT AAA(EXP)sf  Expected Rating
   A22L            LT AAA(EXP)sf  Expected Rating
   A23             LT AA+(EXP)sf  Expected Rating
   A23X            LT AA+(EXP)sf  Expected Rating
   A24             LT AA+(EXP)sf  Expected Rating
   A3              LT AAA(EXP)sf  Expected Rating
   A3A             LT AAA(EXP)sf  Expected Rating
   A3L             LT AAA(EXP)sf  Expected Rating
   A3X             LT AAA(EXP)sf  Expected Rating
   A4              LT AAA(EXP)sf  Expected Rating
   A4A             LT AAA(EXP)sf  Expected Rating
   A4L             LT AAA(EXP)sf  Expected Rating
   A5              LT AAA(EXP)sf  Expected Rating
   A5X             LT AAA(EXP)sf  Expected Rating
   A6              LT AAA(EXP)sf  Expected Rating
   A7              LT AAA(EXP)sf  Expected Rating
   A7X             LT AAA(EXP)sf  Expected Rating
   A8              LT AAA(EXP)sf  Expected Rating
   A9              LT AAA(EXP)sf  Expected Rating
   A9X             LT AAA(EXP)sf  Expected Rating
   AX              LT AA+(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 B-(EXP)sf   Expected Rating
   B6              LT NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

The certificates are supported by 366 prime-jumbo and agency
conforming loans with a total balance of approximately $405.5
million, as of the cut-off date. The transaction is expected to
close on Feb. 28, 2023.

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 8.9% 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. 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 collateral consists of
30-year, fixed-rate mortgage (FRM) fully amortizing loans seasoned
at approximately seven months in aggregate.

The collateral comprises primarily prime-jumbo loans and less than
1% agency conforming loans. Borrowers in this pool have moderate
credit profiles (a 758 model FICO) but lower than what Fitch has
observed for other prime-jumbo securitizations. The sustainable
loan to value ratio (sLTV) is 82% and the mark-to-market (MTM)
combined LTV ratio (CLTV) is 74%.

Fitch treated 100% of the loans as full documentation collateral,
and all the loans are qualified mortgages (QMs). Of the pool, 86%
are loans for which the borrower maintains a primary residence,
while 14% are for second homes. Additionally, 46% of the loans were
originated through a retail channel or a correspondent's retail
channel. The expected losses in the 'AAA' stress is 8.0%. This is
higher than in prior issuances and other prime-jumbo shelves due to
the higher sLTV and lower FICO.

Shifting-Interest Deal Structure (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 deal. The applicable credit
support percentage feature redirects subordinate principal to
classes of higher seniority if specified credit enhancement (CE)
levels are not maintained.

Due to the leakage to the subordinate bonds, the shifting-interest
structure requires more CE. While there is only minimal leakage to
the subordinate bonds early in the life of the transaction, the
structure is more vulnerable to defaults occurring at a later stage
compared to a sequential or modified-sequential structure.

To help mitigate tail risk, which arises as the pool seasons and
fewer loans are outstanding, a subordination floor of 2.55% of the
original balance will be maintained for the senior notes, and a
subordination floor of 1.75% of the original balance will be
maintained for the subordinate notes.

RATING SENSITIVITIES

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

The defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper 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 40.8% 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:

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

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

CRITERIA VARIATION

The analysis includes a variation to Fitch's "Global Structured
Finance and Covered Bonds Counterparty Criteria." Under the
criteria, liquidity providers are assessed as a primary risk and
are subject to ratings of 'A'/'F1' to support structured finance
ratings of 'AAAsf'. The proposal for this transaction is to view
the liquidity provider as a secondary risk driver and have ratings
subject to 'BBB'/'F2' rating thresholds.

SUMMARY OF FINANCIAL ADJUSTMENTS

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years.

The complete span of best- and worst-case scenario credit ratings
for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and
worst-case scenario credit ratings are based on historical
performance.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by AMC Diligence LLC and Consolidated Analytics Inc. The
third-party due diligence described in Form 15E focused on a review
of credit, regulatory compliance and property valuation for each
loan and is consistent with Fitch criteria for RMBS loans. Fitch
considered this information in its analysis and, as a result, Fitch
made the following adjustment to its analysis: a 5% reduction to
each loan's probability of default. This adjustment resulted in a
35bps reduction to the 'AAAsf' expected loss.

DATA ADEQUACY

Fitch relied in its analysis on an independent third-party due
diligence review performed on 100% of the pool. The third-party due
diligence was consistent with Fitch's "U.S. RMBS Rating Criteria."
AMC Diligence LLC, Opus Capital Market Consultants, Infinity,
Covius, Clayton and Consolidated Analytics Inc. 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.

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.


HMH TRUST 2017-NSS: S&P Lowers Class E Notes Rating to 'D (sf)'
---------------------------------------------------------------
S&P Global Ratings lowered its ratings on five classes of
commercial mortgage pass-through certificates from HMH Trust
2017-NSS, a U.S. CMBS transaction.

This U.S. stand-alone (single borrower) CMBS transaction is backed
by a fixed-rate, interest-only (IO), five-year mortgage loan
secured by the borrower's fee simple interest in one
limited-service hotel and the borrower's leasehold interests in 21
limited-service and extended-stay hotel properties totaling 2,883
guestrooms in nine U.S. states.

Rating Actions

S&P said, "The downgrades on classes A, B, C, and D reflect our
reevaluation of the 22-hotel portfolio that secures the sole loan
in the transaction. Our analysis included a review of the most
recent available financial performance data provided by the special
servicer and the lower updated 2022 appraisal values and our
assessment that the portfolio's performance continues to lag the
expectations we derived in our last review in May 2022. In
addition, we considered that the portfolio requires significant
property improvement plan (PIP) expenses because of the age, last
renovation date, and brand's requirements and that the portfolio
has yet to liquidate despite the receiver marketing the lodging
properties for sale since June 2022.

"While our current expected-case value of $152.2 million ($52,806
per guestroom) is unchanged from our last review in May 2022 (see
"HMH Trust 2017-NSS Ratings Lowered On Five Classes," published May
10, 2022), it is 26.2% lower than our valuation at issuance. The
most recent reported appraiser's aggregated as-is valuation of
$186.2 million ($64,589 per guestroom) as of July 2022 is 37.0%
below the $295.8 million appraised value as of January 2021 and
47.8% below the $356.6 million appraised value at issuance. In our
last review, we lowered our net cash flow (NCF) assumption by 16.5%
to $16.2 million from $19.4 million at issuance to account for
higher operating expenses: specifically, rooms expenses, ground
rents, real estate taxes, and insurance expenses. We then applied a
weighted average capitalization rate of 10.66% (up from 9.66%
utilized at issuance), yielding an S&P Global Ratings loan-to-value
(LTV) ratio of 134.0%, compared with 98.9% at issuance. Our current
long-term sustainable value estimate is 18.2% lower than the
appraiser's aggregated as-is July 2022 valuation."

Although the model-indicated ratings were lower than the current
ratings on classes A and B, S&P tempered our downgrades on these
classes because we weighed qualitative considerations, including:

-- The potential that the lodging portfolio liquidates in the near
term and above our current expectations;

-- The significant market value decline based on the aggregated
July 2022 appraisal value of $186.2 million that would be needed
before these classes experience losses;

-- The liquidity support provided in the form of servicer
advancing;

-- The additional principal recovery support provided by the $10.2
million horizontal cash reserve (HCR) account; and

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

S&P said, "The downgrade on class E to 'D (sf)' from 'CCC (sf)'
reflects accumulated interest shortfalls that we expect to remain
outstanding for a prolonged period. The loan transferred to special
servicing on May 28, 2020, due to monetary default because the
borrower requested COVID-19-related relief. At that time, the
properties were operating, on average, at occupancy levels between
10% and 15%. A receiver, Jeff Kolessar with GF Hotels & Resorts,
was appointed by a New York federal court on Aug. 24, 2020, to
manage the properties. Discussions with the mezzanine lender to
take over control of the properties were unsuccessful. According to
special servicer comments, the receiver entered into a listing
agreement with JLL Americas Inc. on April 14, 2022, to sell the
subject portfolio. JLL marketed the portfolio for sale in early
June 2022 and received several cash as well as loan assumption bids
in September 2022. A proposed buyer was selected in October 2022;
however, the deal fell through. According to the special servicer,
Mount Street US (Georgia) LLP, there are currently no potential
buyers, and it is evaluating the portfolio and a new 2023 marketing
strategy.

According to the Feb. 7, 2023, trustee remittance report, the trust
experienced $373,438 of monthly interest shortfalls ($2.8 million
in accumulated interest shortfalls) due to appraisal subordinate
entitlement reduction (ASER) amounts. Based on the most recent
updated appraisal values, the servicer implemented a $59.9 million
appraisal reduction amount in December 2022. Concurrently, class F
(not rated by S&P Global Ratings) received none of its accrued
certificate interest amounts in February, while class E received
22.6% of its accrued interest amount. To date, these classes have
shorted for three consecutive months. In addition, today's
downgrade on class E considers that, based on the revised July 2022
appraisal values aggregating to $186.2 million, this class would
incur principal losses upon the eventual resolution of the
specially serviced loan.

The loan has a reported nonperforming matured balloon payment
status. The borrower made its last debt service payment in August
2021. As of February 2023, the loan's $227.5 million exposure
included:

-- Interest advances totaling $11.9 million;

-- Other expense advances totaling $1.4 million, which we believe
consists of ground rent expense;

-- Taxes and insurance advances totaling $6.0 million;

-- Cumulative accrued unpaid advance interest totaling $1.5
million; and

-- Cumulative ASER amounts totaling $2.8 million.

S&P said, "We will continue to monitor for further developments,
including the eventual resolution of the specially serviced loan.
If there are negative changes in the performance beyond what we
have already considered, we may revisit our analysis and adjust our
ratings as necessary.

"At issuance, to comply with risk retention regulations, the
sponsor deposited $10.2 million into an eligible HCR account, which
is maintained by the certificate administrator. On the final
distribution date, the certificate administrator will be required
to remit funds from the account to reimburse certain trust fund
expenses to the extent the trust has insufficient funds to pay such
amounts. After trust expenses are paid in full, the certificate
administrator will be required to remit funds to the distribution
account to make payments on the certificates to the extent
necessary, including reimbursement of principal losses that do not
exceed the amount of the HCR account. After these disbursements,
any amounts remaining in the HCR account will be remitted back to
the sponsor. A loan default could indirectly accelerate the
disbursement of funds in the HCR account by accelerating the final
distribution date. The loan going into receivership may also result
in an earlier final distribution date. Given that the current
outstanding advances exceed the HCR amount, similarly to our last
review in May 2022, we did not carry forward the positive LTV
capital structure adjustment that we applied at issuance and in our
July 2020 review."

Portfolio-Level Analysis

S&P said, "The collateral portfolio consists of 22 limited-service
and extended stay hotel properties totaling 2,883 guestrooms with
an average age of more than 25 years. The portfolio is relatively
granular as the largest hotel, Hyatt House Pleasanton, represents
11.3% of the allocated loan amount (ALA), while the top five hotels
combined represent 45.5% of ALA. The properties are located across
nine U.S. states, with the largest concentrations in California
(two hotels in northern California, 21.6% by ALA); Florida (six
hotels, 15.8%); and North Carolina (four hotels, 14.5%). Of the 22
properties, nine (49.7% by ALA) are located in markets that we
consider to be primary, nine (40.7%) are in secondary markets, and
four (9.6%) are in tertiary markets. The properties are within 10
metropolitan statistical areas, the largest of which are Oakland,
Calf. (two hotels, 21.6% by ALA); Washington, D.C. (two hotels,
14.7%); and Phoenix (two hotels, 11.2%). At issuance, we noted that
the top five hotels in the portfolio--Hyatt House Pleasanton, Hyatt
House Pleasant Hill, Hyatt House Scottsdale, Hilton Garden Inn
Atlanta, and Marriott Residence Inn Greenbelt--generate their
occupied room nights mainly from a combination of corporate,
leisure, and, to a lesser degree, meeting and group demand."

The sponsor of the loan is Jay H. Shidler. Mr. Shidler acquired the
22 properties in phases between May 2015 and June 2017.
Concurrently with the acquisition, the leasehold estate was split
from the leased fee estate for 21 of the 22 hotels. The associated
leased fee interests were acquired by the irrevocable trusts
established by the borrower for the benefit of the University of
Hawaii Foundation, in support of The Shidler College of Business.

The hotels are managed under 22 separate management agreements by
HHM L.P. (44.4% of ALA), MMH Management LLC (39.9%), or Chartwell
Hospitality LLC (15.8%). They operate under nine brand families
affiliated with Hilton (38.1% of ALA), Marriott (28.4%), Hyatt
(29.7%), or Choice (3.9%). The three largest brands within the
portfolio are Hyatt House (three hotels; 29.7% by ALA), Hampton Inn
& Suites (six; 18.1%), and Courtyard by Marriott (three; 13.6%).
The franchise agreements are long term and expire between 2030 and
2039, except for the franchise agreement for the Marriott Residence
Inn Greenbelt, which expires in 2024. Each management agreement has
a management fee equal to 3.0% of total revenue. According to the
special servicer, the franchise brands have issued required PIPs
for the subject portfolio with estimated costs between $60 million
to $70 million that are required to be completed to maintain the
respective flags. The current appraiser deducted PIP cost estimates
for each property (between $10,000 and $30,000 per guestroom) to
arrive at the final concluded value.

The 21 ground-leased hotels are each subject to separate 99-year
ground leases that expire between April 2114 and June 2116 with no
extension options. The total reported ground rent expense was $9.7
million (9.4% of revenue) in 2019, $10.8 million (21.6%) in 2020,
$11.1 million (16.1%) in 2021, and $8.4 million (12.3%) for the
nine months ended Sept. 30, 2022, up from $9.6 million (9.1%) in
2018. The ground rent increases at an annual rate of approximately
2.8% to 3.0% per year through 2060 and then by less than 2.0% per
year through the end of the ground lease terms between 2114 and
2116. In our current analysis, S&P assumed an $11.8 million (12.2%)
ground rent expense, up from $11.4 million (11.9%) in its last
review and $10.8 million (11.1%) at issuance.

As previously discussed, the collateral portfolio continues to
exhibit stressed NCF performance and is taking longer to recover.
The lodging properties exhibited declining performance prior to the
COVID-19 pandemic. The portfolio's revenue per available room
(RevPAR) was $94.96 in 2017 and $94.53 in 2018. It fell to $92.38
in 2019 prior to the onset of the pandemic and then $45.18 in 2020
before rebounding to $63.17 in 2021. S&P said, "The reported NCF
was $26.2 million in 2017 and $26.8 million in 2018 before
declining to $23.0 million in 2019, which we believe is partially
attributable to renovations across several of the hotels, including
five of the largest properties by ALA. The portfolio's reported NCF
was negative $5.3 million in 2020 and $430,847 in 2021 due to the
negative impact of the pandemic when demand was severely depressed.
As of the nine months ended Sept. 30, 2022, the reported NCF
improved to $8.3 million. Comparatively, we assumed a $16.2 million
NCF in our current analysis, the same as our last review. Occupancy
and average daily rate (ADR) dropped to 40.4% and $111.87,
respectively, in 2020 and 51.4% and $122.83 in 2021 from 72.8% and
$126.94 in 2019. As of the nine months ended Sept. 30, 2022, the
servicer-reported occupancy, ADR, and RevPAR were 64.1%, $130.62,
and $83.67, respectively. This compares with our current assumed
71.0% occupancy, $123.06 ADR, and $87.40 RevPAR, unchanged from our
last review and at issuance."

Transaction Summary

The fixed-rate, IO, five-year mortgage loan had an initial and
current balance of $204.0 million (according to the Feb. 7, 2023,
trustee remittance report), pays a per annum fixed-rate equal to
4.78% and matured on July 1, 2022. At issuance, there was an $25.0
million mezzanine loan, which, according to the servicer, remains
outstanding. The master servicer, Wells Fargo Bank N.A., reported a
debt service coverage of 0.87x for the nine months ended Sept. 30,
2022, up from 0.04x as of year-end 2021. To date, the trust has not
incurred any principal losses.

  Ratings Lowered

  HMH Trust 2017-NSS

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



HOMES 2023-NQM1: Fitch Assigns 'B(EXP)' Rating on Class B2 Certs
----------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed
certificates to be issued by HOMES 2023-NQM1 Trust (HOMES
2023-NQM1).

   Entity/Debt         Rating        
   -----------         ------        
HOMES 2023-NQM1

   A1             LT   AAA(EXP)sf  Expected Rating
   A2             LT   AA(EXP)sf   Expected Rating
   A3             LT   A(EXP)sf    Expected Rating
   M1             LT   BBB(EXP)sf  Expected Rating
   B1             LT   BB(EXP)sf   Expected Rating
   B2             LT   B(EXP)sf    Expected Rating
   B3             LT   NR(EXP)sf   Expected Rating
   AIOS           LT   NR(EXP)sf   Expected Rating
   X              LT   NR(EXP)sf   Expected Rating

TRANSACTION SUMMARY

The certificates are supported by 785 non-prime loans with a total
balance of approximately $358 million as of the cut-off date.

Loans in the pool were primarily originated by HomeXpress Mortgage
Corporation. Loans were aggregated by subsidiaries of funds managed
by Ares Alternative Credit Management LLC (Ares). Loans are
currently serviced by Select Portfolio Servicing, Inc. or
Specialized Loan Servicing, LLC.

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.3% above a long-term sustainable level (versus
10.5% on a national level as of January 2023, down 1.7% since last
quarter). The rapid gain in home prices through the pandemic has
seen signs of moderating with a decline observed in 3Q22. Driven by
the strong gains seen in 1H22, home prices rose 9.2% yoy nationally
as of October 2022.

Non-QM Credit Quality (Negative): The collateral consists of 785
loans, totaling $358 million and seasoned approximately eight
months in aggregate. The borrowers have a moderate credit profile
(728 Fitch model FICO). The borrowers also have moderate leverage:
78.9% sustainable loan to value ratio (sLTV) and 72.3% combined LTV
(cLTV). The pool consists of 59.7% of loans where the borrower
maintains a primary residence, while 37.0% comprise an investor
property. Additionally, 63.7% are non-QM while the remainder are
generally not applicable to QM/ATR.

Fitch's expected loss in the 'AAAsf' stress is 26.0%. This is
mostly driven by the non-QM collateral and the significant investor
cash flow product concentration.

Loan Documentation (Negative): Approximately 92% of the loans in
the pool were underwritten to less than full documentation, and 59%
were underwritten to a bank statement program for verifying income,
which is not consistent with Appendix Q standards and Fitch's view
of a full documentation program.

A key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the Consumer Financial Protections Bureau's (CFPB)
Ability to Repay (ATR) Rule (ATR Rule, or the Rule), which reduces
the risk of borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to rigor
of the Rule's mandates with respect to the underwriting and
documentation of the borrower's ATR.

Fitch's treatment of alternative loan documentation increased the
'AAAsf' expected loss by 622 bps relative to a fully documented
loan.

High Percentage of DSCR Loans (Negative): There are 379 DSCR
products in the pool (48% by loan count). These business-purpose
loans are available to real estate investors that are qualified on
a cash flow basis, rather than DTI, and borrower income and
employment are not verified. Compared to standard investment
properties, for DSCR loans, Fitch converts the DSCR values to a DTI
and treats them as low documentation.

Fitch's expected loss for these loans is 36.1% in the 'AAAsf'
stress, which is driving the higher pool expected losses due to the
32.2% weighted average concentration.

Modified Sequential-Payment Structure with no Advancing (Mixed):
The structure distributes principal pro rata among the senior
certificates while shutting out the subordinate bonds from
principal until all senior classes are reduced to zero. If a
cumulative loss trigger event or delinquency trigger event occurs
in a given period, principal will be distributed sequentially to
class A-1, A-2 and A-3 certificates until they are reduced to
zero.

There will be no servicer advancing of delinquent principal and
interest. The lack of advancing reduces loss severities as a lower
amount is repaid to the servicer when a loan liquidates, and
liquidation proceeds are prioritized to cover principal repayment
over accrued but unpaid interest.

The downside to this is the additional stress on the structure, as
there is limited liquidity in the event of large and extended
delinquencies. The structure has enough internal liquidity through
the use of principal to pay interest, excess spread and credit
enhancement to pay timely interest to senior notes during stressed
delinquency and cash flow periods.

The structure has a step-up coupon for the senior classes (A-1, A-2
and A-3). After four years, the senior classes pay the lesser of a
100-bp increase to the fixed coupon or the net weighted average
coupon (WAC) rate. Fitch expects the senior classes to be capped by
the Net WAC. Additionally, beginning at issuance, the unrated class
B-3 interest allocation goes toward the senior cap carryover amount
for as long as the senior cap carryover amount is greater than
zero. This increases the P&I allocation for the senior classes as
long as the B-3 is not written down.

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 41.0% at 'AAA'. The
analysis indicates that there is some potential rating migration
with higher MVDs for all rated classes, compared with the model
projection. Specifically, a 10% additional decline in home prices
would lower all rated classes by one full category.

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

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

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

SUMMARY OF FINANCIAL ADJUSTMENTS

International scale credit ratings of Structured Finance
transactions have a best-case rating upgrade scenario (defined as
the 99th percentile of rating transitions, measured in a positive
direction) of seven notches over a three-year rating horizon; and a
worst-case rating downgrade scenario (defined as the 99th
percentile of rating transitions, measured in a negative direction)
of seven notches over three years.

The complete span of best- and worst-case scenario credit ratings
for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and
worst-case scenario credit ratings are based on historical
performance.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Clayon, Consolidated Analytics, Selene, and Infinity.
The third-party due diligence described in Form 15E focused on
credit, compliance, and property valuation review. Fitch considered
this information in its analysis and, as a result, Fitch made the
following adjustment(s) to its analysis: a 5% credit at the loan
level for each loan where satisfactory due diligence was completed.
This adjustment resulted in a 46bps reduction to the 'AAAsf'
expected loss.

DATA ADEQUACY

Fitch relied in its analysis on an independent third-party due
diligence review performed on 100% of the pool. The third-party due
diligence was consistent with Fitch's "U.S. RMBS Rating Criteria."
Clayton, Consolidated Analytics, Selene, and Infinity 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.

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.


IMPERIAL FUND 2023-NQM1: DBRS Finalizes B(low) Rating on B-2 Certs
------------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
Mortgage Pass-Through Certificates, Series 2023-NQM1 issued by
Imperial Fund Mortgage Trust 2023-NQM1 (the Trust):

-- $230.9 million Class A-1 at AAA (sf)
-- $37.4 million Class A-2 at AA (low) (sf)
-- $24.1 million Class A-3 at A (low) (sf)
-- $18.4 million Class M-1 at BBB (low) (sf)
-- $29.2 million Class B-1 at BB (low) (sf)
-- $13.5 million Class B-2 at B (low) (sf)

The AAA (sf) rating on the Class A-1 Certificates reflects 36.70%
of credit enhancement provided by subordinated Certificates. The AA
(low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B
(low) (sf) ratings reflect 26.45%, 19.85%, 14.80%, 6.80%, and 3.10%
of credit enhancement, respectively.

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

This transaction is a securitization of a portfolio of fixed-rate
and adjustable-rate prime and nonprime first-lien residential
mortgages funded by the issuance of the Certificates. The
Certificates are backed by 974 loans with a total principal balance
of approximately $364,838,861 as of the Cut-Off Date (January 1,
2023).

The originators for the mortgage pool are A&D Mortgage LLC (ADM;
93.8%) and others (6.2%). ADM originated the mortgages under the
following six programs:

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

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

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

Although the applicable mortgage loans were originated to satisfy
the Consumer Financial Protection Bureau (CFPB) ability-to-repay
(ATR) rules, they were made to borrowers who generally do not
qualify for the agency, government, or private-label nonagency
prime products for various reasons described above. In accordance
with the CFPB Qualified Mortgage (QM)/ATR rules, 43.2% of the loans
are designated as non-QM. Approximately 56.8% of the loans are made
to investors for business purposes and are thus not subject to the
QM/ATR rules. Also, one loan (0.1% of the pool) is a qualified
mortgage with a conclusive presumption of compliance with the ATR
rules and is designated as QM Safe Harbor.

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

The Sponsor (ADM) will have the option, but not the obligation, to
repurchase any mortgage loan that is 90 or more days delinquent
under the MBA method (or, in the case of any Coronavirus Disease
(COVID-19) forbearance loan, such mortgage loan becomes 90 or more
days delinquent under the MBA method after the related forbearance
period ends) at the Repurchase Price, provided that such
repurchases in aggregate do not exceed 7.5% of the total principal
balance as of the Cut-Off Date.

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

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

Of note, the Class A-1, Class A-2, and Class A-3 Certificates'
coupon rates step up by 100 basis points on and after the payment
date in February 2027 (Step-Up Certificates). Also, the interest
and principal otherwise payable to the Class B-3 Certificates as
accrued and unpaid interest may be used to pay the Class A-1, Class
A-2, and Class A-3 Certificates' Cap Carryover Amounts after the
Class A coupons step up.

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



INVESCO US 2023-1: Moody's Assigns B3 Rating to $1.2MM Cl. F Notes
------------------------------------------------------------------
Moody's Investors Service has assigned ratings to four classes of
notes issued and one class of loans incurred by Invesco U.S. CLO
2023-1, Ltd. (the "Issuer" or "Invesco 2023-1").  

Moody's rating action is as follows:

US$332,000,000 Class A-1 Senior Secured Floating Rate Notes due
2035, Definitive Rating Assigned Aaa (sf)

US$40,000,000 Class A-1 Loans Notes maturing 2035, Definitive
Rating Assigned Aaa (sf)

Up to US$40,000,000 Class A-1C Senior Secured Floating Rate Notes
due 2035, Definitive Rating Assigned Aaa (sf)

US$18,000,000 Class A-2 Senior Secured Floating Rate Notes due
2035, Definitive Rating Assigned Aaa (sf)

US$1,200,000 Class F Deferrable Junior Secured Floating Rate Notes
due 2035, Definitive Rating Assigned B3 (sf)

The notes and loans listed are referred to herein, collectively, as
the "Rated Debt."  

The outstanding principal amount of Class A-1C Notes is zero on the
closing date and may be increased up to $40,000,000 upon the
exercise of the conversion option. Upon the conversion of Class A-1
Loans into the Class A-1C Notes, the aggregate outstanding amount
of Class A-1C Notes will be increased by the amount of the Class
A-1 Loans so converted and the outstanding amount of the Class A-1
Loans will be decreased accordingly.

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.

Invesco 2023-1 is a managed cash flow CLO. The issued debt will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 90.0% of the portfolio must consist of
senior secured loans and up to 10.0% of the portfolio may consist
of senior unsecured loans, second lien loans, first-lien last-out
loans and permitted debt securities. The portfolio is fully ramped
as of the closing date.

Invesco CLO Equity Fund 3 L.P. (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, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

In addition to the Rated Debt, the Issuer issued four 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 debt 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: $600,000,000

Diversity Score: 75

Weighted Average Rating Factor (WARF): 2951

Weighted Average Spread (WAS): SOFR + 3.40%

Weighted Average Coupon (WAC): 7.00%

Weighted Average Recovery Rate (WARR): 47.00%

Weighted Average Life (WAL): 7.0 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 Debt is subject to uncertainty. The
performance of the Rated Debt 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 Debt.


JP MORGAN 2023-2: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B-5 Certs
-------------------------------------------------------------------
Fitch Ratings has assigned expected ratings to JP Morgan Mortgage
Trust 2023-2 (JPMMT 2023-2).

   Entity/Debt        Rating        
   -----------        ------        
JPMMT 2023-2

   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-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-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-X-1          LT AA+(EXP)sf  Expected Rating
   A-X-2          LT AA+(EXP)sf  Expected Rating
   A-X-3          LT AA+(EXP)sf  Expected Rating
   A-X-4          LT AA+(EXP)sf  Expected Rating
   A-X-5          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 2023-2 (JPMMT 2023-2) as
indicated above. The certificates are supported by 320 loans with a
total balance of approximately $360.72 million as of the cut-off
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 (43.2%) and LoanDepot.com LLC (10.3%), with the
remaining 46.5% 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 43.1% of the pool from the closing date until the
servicing transfer date, which is expected to occur on or about
June 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.

The other main servicers in the transaction are United Wholesale
Mortgage, LLC (servicing 43.2% of the loans) and loanDepot.com, LLC
(servicing 10.3% of the loans); the remaining 3.4% of the loans are
being serviced by various servicers, each contributing less than
10% to the pool. Nationstar Mortgage LLC (Nationstar) will be the
master servicer.

100.0% of the loans qualify as safe-harbor qualified mortgage
(SHQM), or QM safe-harbor (average prime offer rate [APOR]).

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

KEY RATING DRIVERS

Updated Sustainable Home Prices (Negative): Due to Fitch's updated
view on sustainable home prices, Fitch views the home price values
of this pool as 9.4% 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. 100.0% of the loans qualify as safe-harbor
qualified mortgage (SHQM) or QM safe-harbor (average prime offer
rate [APOR]). The loans were made to borrowers with strong credit
profiles, relatively low leverage and large liquid reserves.

The loans are seasoned at an average of seven months, according to
Fitch (five months per the transaction documents). The pool has a
WA original FICO score of 753, as determined by Fitch, which is
indicative of very high credit quality borrowers. Approximately
61.2%, 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 74.7%,
translating to a sustainable loan-to-value (sLTV) ratio of 80.4%,
represents moderate borrower equity in the property and reduced
default risk compared with a borrower with a CLTV over 80%.

A 96.4% portion of the pool comprises nonconforming loans, while
the remaining 3.6% represents conforming loans. All of the loans
are designated as QM loans, with 46.0% 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
94.5% of the pool; condominiums make up 3.7%; and multifamily homes
make up 1.8%. The pool consists of loans with the following loan
purposes: purchases (78.5%), cashout refinances (16.9%) and
rate-term refinances (4.7%). Fitch views the fact that there are no
loans to investment properties and the majority of the mortgages
are purchases favorably.

A total of 157 loans in the pool are over $1.0 million, and the
largest loan is approximately$2.97 million.

Of the pool, 29.6% is concentrated in California. The largest MSA
concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA
(12.1%), followed by the Miami-Fort Lauderdale-Miami Beach, FL MSA
(8.6%) and New York-Northern New Jersey-Long Island, NY-NJ-PA MSA
(6.2%). The top three MSAs account for 27% of the pool. As a
result, there was no probability of default (PD) penalty applied
for geographic concentration.

Loan Count Concentration (Negative): The loan count of this pool
(320 loans) resulted in a loan count concentration penalty. The
loan count concentration penalty applies when the weighted average
number of loans is less than 300. The loan count concentration of
this pool resulted in a 1.03x penalty, which increased the loss
expectations by 30 basis points (bps) at the 'AAAsf' rating
category.

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 3.30%
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 2.00% has been considered to mitigate
potential tail-end risk and loss exposure for subordinate tranches
as the pool size declines and performance volatility increases due
to adverse loan selection and small loan count concentration.

RATING SENSITIVITIES

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

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

This defined negative rating sensitivity analysis demonstrates how
the ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the
model-projected 41.1% 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.

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 2023-2 has an ESG Relevance Score of '4+' for Transaction
Parties and Operational Risk. Operational risk is well controlled
for in JPMMT 2023-2, 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.


MFA 2023-INV1: DBRS Gives Prov. B(high) Rating on Class B-2 Certs
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following Mortgage
Pass-Through Certificates, Series 2023-INV1 to be issued by MFA
2023-INV1 Trust (MFA 2023-INV1):

-- $108.9 million Class A-1 at AAA (sf)
-- $21.9 million Class A-2 at AA (high) (sf)
-- $23.2 million Class A-3 at A (high) (sf)
-- $14.3 million Class M-1 at BBB (high) (sf)
-- $12.2 million Class B-1 at BB (high) (sf)
-- $9.0 million Class B-2 at B (high) (sf)

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

The AAA (sf) rating on the Class A-1 certificates reflects 46.60%
of credit enhancement provided by subordinate certificates. The AA
(high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B
(high) (sf) ratings reflect 35.85%, 24.45%, 17.40%, 11.40%, and
7.00% of credit enhancement, respectively.

This is a securitization of a portfolio of fixed- and
adjustable-rate (including loans with initial Interest-Only (IO)
period) investor debt service coverage ratio (DSCR), first-lien
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 788 mortgage loans with a total
principal balance of $203,853,952 as of the Cut-Off Date (December
31, 2022).

The originator of the loans in the mortgage pool is Lima One
Capital, LLC (Lima One; 100.0%). Lima One will service the loans
within the pool as of the Closing Date. MFA Financial, Inc. (MFA)
is the Sponsor and the Servicing Administrator of the transaction.

The mortgage loans were underwritten to program guidelines for
business-purpose loans that are designed to rely on property value,
the mortgagor's credit profile, and the DSCR, where applicable.
Since the loans were made to investors for business purposes, they
are exempt from the Consumer Financial Protection Bureau's
Ability-to-Repay rules and the TILA/RESPA Integrated Disclosure
rule.

The Sponsor and Servicing Administrator are the same entity, and
the Depositor is its affiliate. The initial Controlling Holder is
expected to be the Depositor. The Depositor will retain an eligible
horizontal interest consisting of a portion of Class B-2, and all
of Class B-3 and XS Certificates representing at least 5% of the
aggregate fair value of the Certificates to satisfy the credit
risk-retention requirements under Section 15G of the Securities
Exchange Act of 1934 and the regulations promulgated thereunder.
Such retention aligns Sponsor and investor interest in the capital
structure. Additionally, the Depositor will initially own the Class
M-1, Class B-1, and the portion of the Class B-2 not required to be
held as noted above.

Computershare Trust Company, N.A. (Computershare; rated BBB with a
Stable trend by DBRS Morningstar) will act as the Securities
Administrator and Certificate Registrar. Computershare, Deutsche
Bank National Trust Company, and Wilmington Trust, National
Association will act as the Custodians.

On or after the earlier of (1) the third anniversary of the Closing
Date or (2) the date when the aggregate unpaid principal balance
(UPB) of the mortgage loans is reduced to 30% of the Cut-Off Date
balance, the Depositor, at its option, may redeem all of the
outstanding Certificates at a price equal to the class balances of
the related Certificates plus accrued and unpaid interest,
including any Cap Carryover Amounts, and any non-interest bearing
deferred amounts due to the Class XS Certificates (optional
redemption). After such purchase, the Depositor may 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.

On any date following the date on which the aggregate UPB of the
mortgage loans is less than or equal to 10% of the Cut-Off Date
balance, the Servicing Administrator will have the option to
terminate the transaction by purchasing all of the mortgage loans
and any real estate owned (REO) property from the Issuer at a price
equal to the sum of the aggregate UPB of the mortgage loans (other
than any REO property) plus accrued interest thereon, the lesser of
the fair market value of any REO property and the stated principal
balance of the related loan, and any outstanding and unreimbursed
servicing advances, accrued and unpaid fees, any non-interest
bearing deferred amounts, and expenses that are payable or
reimbursable to the transaction parties (optional termination). An
optional termination is conducted as a qualified liquidation.

For this transaction, the Servicer or any other transaction party
will not fund advances on delinquent principal and interest (P&I)
on any mortgage. 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).

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

Of note, the Class A-1, A-2, and A-3 Certificates' coupon rates
step up by 100 basis points on and after the payment date in
February 2027. Of note, interest and principal otherwise available
to pay the Class B-3 interest and principal may be used to pay the
Cap Carryover Amounts.

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



MILL CITY 2023-NQM1: Fitch Gives 'B(EXP)sf' Rating on Cl. B-2 Notes
-------------------------------------------------------------------
Fitch Ratings expects to rate the residential mortgage-backed notes
to be issued by Mill City Mortgage Loan Trust 2023-NQM1 (MCMLT
2023-NQM1).

   Entity/Debt             Rating        Recovery   Prior
   -----------             ------        --------   -----
MCMLT 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
   M-1             LT BBB(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
   R               LT NR(EXP)sf  Expected Rating
   XS              LT NR(EXP)sf  Expected Rating

TRANSACTION SUMMARY

The notes are supported by 753 loans with a total interest-bearing
balance of approximately $383 million as of the cutoff date.

Loans in the pool were originated primarily by HomeXpress Mortgage
Corp. (HX) and Excelerate Capital (Excelerate) with the remainder
coming from multiple originators. The loans are serviced by
Shellpoint Mortgage Servicing (Shellpoint).

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 7.9% above a long-term sustainable level (versus
10.5% on a national level as of January 2023, down 1.7% since last
quarter). The rapid gain in home prices through the pandemic has
seen signs of moderating with a decline observed in 3Q22. Driven by
the strong gains seen in 1H22, home prices rose 9.2% yoy nationally
as of October 2022.

Non-Qualified Mortgage (QM) Credit Quality (Negative): The
collateral consists of 753 loans totaling $383 million and seasoned
approximately 10 months in aggregate, calculated as the difference
between the origination date and the cutoff date. The borrowers
have a moderate credit profile — a 733 model FICO and a 46%
debt/income (DTI) ratio, which includes mapping for debt service
coverage ratio (DSCR) loans — and leverage, as evidenced by a 76%
sustainable loan-to-value (sLTV) ratio.

The pool comprises 53% of loans treated as owner-occupied, while
47% were treated as an investor property or second home, which
includes loans to foreign nationals or loans where the residency
status was not provided (seven foreign nationals and 17 loans where
residency was not available). Of the loans, 52% are designated as a
non-QM loan, while the Ability to Repay Rule (ATR) does not apply
for 48%. Lastly, 4.7% of the loans are delinquent as of the cutoff
date, while 7.3% are current but have experienced a delinquency or
had missing pay string data within the past 24 months.

Loan Documentation (Negative): Approximately 93% of the pool loans
were underwritten to less than full documentation, and 47% were
underwritten to a 12- or 24-month bank statement program for
verifying income, which is not consistent with Appendix Q standards
and Fitch's view of a full documentation program. A key distinction
between this pool and legacy Alt-A loans is that these loans adhere
to underwriting and documentation standards required under the
Consumer Financial Protections Bureau's (CFPB) ATR, which reduces
the risk of borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to rigors
of the ATR mandates regarding the underwriting and documentation of
the borrower's ability to repay.

Additionally, 38% of loans comprise a DSCR or property cash
flow-focused product, 2.9% are an asset underwriting based product
and the remaining is a mix of other alternative documentation
products. Separately, seven loans were originated to foreign
nationals and 17 were unable to confirm residency.

Limited Advancing (Mixed): The servicers will be advancing
delinquent monthly payments of principal and interest for only the
initial 90 days but only to the extent deemed recoverable. Because
P&I advances made on behalf of loans that become delinquent and
eventually liquidate reduce liquidation proceeds to the trust, the
loan-level loss severities (LS) are less for this transaction than
for those where the servicer is obligated to advance P&I.

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

ESG Transaction parties and Operational Risks (Negative): The
transaction has an ESG score of '4' for Transaction Parties and
Operational Risk which has an impact on the transaction due to the
adjustment for the Representations & Warranties framework without
other operational mitigants.

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 40.1% at 'AAA'. The
analysis indicates that there is some potential for rating
migration with higher MVDs for all rated classes, compared with the
model projection. Specifically, a 10% additional decline in home
prices would result in a downgrade of up to five notches.

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

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

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.

ESG CONSIDERATIONS

MCMLT 2023-NQM1 has an ESG Relevance Score of '4' for Transaction
Parties & Operational Risk due to the representations &warranty
framework without sufficient mitigants which has a negative impact
on the credit profile, and is relevant to the rating[s] 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.


MORGAN STANLEY 2015-UBS8: Fitch Cuts Rating on Two Tranches to Csf
------------------------------------------------------------------
Fitch Ratings has downgraded six and affirmed nine classes Morgan
Stanley Capital (MSCI) 2015-UBS8 Commercial Mortgage Pass-Through
certificates. The Rating Outlooks for three classes have been
revised to Stable from Negative.

   Entity/Debt          Rating            Prior
   -----------          ------            -----
MSCI 2015-UBS8
  
   A-3 61691ABK8    LT AAAsf  Affirmed    AAAsf
   A-4 61691ABL6    LT AAAsf  Affirmed    AAAsf
   A-S 61691ABN2    LT AA-sf  Affirmed    AA-sf
   A-SB 61691ABJ1   LT AAAsf  Affirmed    AAAsf
   B 61691ABP7      LT A-sf   Affirmed    A-sf
   C 61691ABQ5      LT BBB-sf Downgrade   BBBsf
   D 61691AAQ6      LT CCCsf  Downgrade   B-sf
   E 61691AAS2      LT CCsf   Downgrade   CCCsf
   F 61691AAU7      LT Csf    Downgrade   CCsf
   G 61691AAW3      LT Csf    Affirmed    Csf
   X-A 61691ABM4    LT AAAsf  Affirmed    AAAsf
   X-B 61691AAA1    LT A-sf   Affirmed    A-sf
   X-D 61691AAC7    LT CCsf   Downgrade   CCCsf
   X-F 61691AAG8    LT Csf    Downgrade   CCsf
   X-G 61691AAJ2    LT Csf    Affirmed    Csf

KEY RATING DRIVERS

Decrease in Credit Enhancement: The downgrades to classes C, D, E,
F, X-D, X-F reflect the decline in credit enhancement (CE) since
Fitch's prior rating action due to the disposition of The WPC
Department Store loan (2.5% of the original pool balance). The loan
was disposed in July 2022 while in special servicing, which
resulted in a $21.5 million loss (108% loss) to the trust absorbed
by the non-rated class J.

As of the January 2023 distribution date, the pool balance has
reduced 12.9% (including 2.4% of incurred losses) to $701.1 million
from $805 million at issuance. Eight loans (38.4% of the pool) are
full-term interest-only (IO); 26 loans (33.6%) are currently
amortizing; and 11 loans (24.4%) are still in their partial IO
periods. There are eight loans (12.4% of the pool) that have fully
defeased. All loans mature between August 2025 and December of
2025.

Loss Expectations Remain High: While loss expectations remain
relatively in-line with the Fitch's prior rating action, the pool
level loss remains elevated due to further performance declines on
loans in special servicing and several large retail loans in the
pool. The pool contains higher retail exposure with 18 loans (45%
of the pool) collateralized by retail properties, including four
outlet center loans (21.3%) and one specially serviced mall
(3.2%).

Fitch's current ratings reflect a base case loss of 9.40% of the
current pool balance. The concentration of Fitch Loans of Concern
(FLOCs) is high with 14 loans (45.6% of the pool), including four
loans (6.6%) in special servicing. The Negative Outlook on class C
reflects the potential for further downgrades should performance of
the FLOCs, particularly the specially serviced loans and loans
secured by larger retail/outlet center and underperforming office,
further decline. The Rating Outlooks for classes A-S, B, and X-B
have been revised to Stable from Negative due to sufficient CE.

Largest Contributors to Losses: The largest contributor to losses
is The Mall de las Aguilas (3.2% of the pool balance), which is
secured by a 356,877-sf enclosed mall located in Eagle Pass, TX.
The loan transferred to special servicing in October 2020 due to
imminent monetary default caused by the pandemic, and the property
became REO in August 2021. Per servicer commentary, the current REO
strategy is to continue to manage new leasing and asses the sale of
the property.

Occupancy has slightly improved to 76% as of February 2022, from
71.4% at YE 2021. A vacant anchor space (17.5% NRA) previously
occupied by Beall's has been divided in to five spaces with a
letter of intent from Old Navy for 2.4% of the NRA.

Fitch's base case loss of 80.5% reflects a stress to the most
recent servicer provided appraised value, which is significantly
below the outstanding debt amount and 80% below the appraised value
at issuance. Fitch noted at issuance that 60% of the demand at the
subject comes from Mexican nationals from Piedras Negras, a Mexican
city just across the Rio Grande to the west.

The second largest contributor to losses and largest increase in
loss since Fitch's prior rating action is the Grove City Premium
Outlets (5.7%), which is secured by a 531,200-sf outlet center
located in Grove City, PA, approximately 50 miles north of
Pittsburgh. Occupancy has significantly declined since issuance,
reporting at 74% as of September 2022, compared with 70% at YE
2021, 77% at YE 2019, and 100% at issuance. Per the September 2022
rent roll, 12 leases for 10.9% of the NRA are set to rollover in
2022 and 18 leases for 19.2% of the NRA are set to rollover in
2023.

The YE 2021 NOI is relatively flat to YE 2020, and is 14% below the
issuers underwritten NOI. The YTD September 2022 NOI debt service
coverage ratio (DSCR) reported at 2.09x compared with 2.29x at YE
2021. Fitch requested from the servicer an updated 2022 sales
report, but did not receive one. The mall reported in-line sales of
$381 psf as of YE 2021 as compared with TTM November 2018 sales of
$363 and YE 2017 sales of $367.

Fitch's base case loss of 37% reflects a 15% cap rate and 5% stress
to YE 2021 NOI. The current analysis recognizes the full loss for
the loan due to maturity default and refinance risks. The loan has
remained current and matures in December 2025.

The next largest contributor to losses and second largest increase
in loss is the Gulfport Premium Outlets (3.4%), which is secured by
a 300,238-sf outlet center located in Gulfport, MS. Occupancy for
the center continues to decline, falling to 74% as of June 2022
from 76% at YE 2021, 80% at YE 2020 and 85% at YE 2019. Despite
lower occupancy, property NOI remains in-line with issuance with
the DSCR at 2.59x as of YTD September 2022 NOI DSCR and 2.87x as of
YE 2021.

The property faces significant near-term rollover risks, with
leases for approximately 49% of the NRA scheduled to expire by
year-end 2024. The largest tenants include H&M (6.5%; January
2029), VF Factory Outlet (5.8%; January 2023), Nike Factory Store
(4.5%; January 2022) and Polo Ralph Lauren Factory Store (3.5%;
January 2026). Most recently reported in-line sales as of YE 2021
were $433 psf as compared with $318 in 2019, $326 in 2018, and $347
psf in 2016.

Fitch's loss expectations of 24% reflects a 15% cap rate and a 10%
stress to the YE 2021 NOI. The current analysis recognizes the full
loss for the loan due to maturity default and refinance risks. The
loan has remained current and matures in December 2025.

RATING SENSITIVITIES

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

- Downgrades of classes A-SB, A-3, A-4, A-S, B, X-A and X-B would
occur should expected losses for the pool increase substantially,
all of the retail mall/outlet loans incur outsized losses and/or if
interest shortfalls occur;

- Further downgrades of the 'BBB-sf' category would occur if
overall pool losses increase substantially, performance of the
FLOCs further deteriorates, and/or losses on the specially serviced
loans are higher than expected;

- Further downgrades of the 'Csf', 'CCsf' and 'CCCsf' rated classes
would occur with increased certainty of losses or as losses are
realized.

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:

- Sensitivity factors that lead to upgrades would include stable to
improved asset performance coupled with pay down and/or defeasance.
Upgrades of the 'Asf' and 'AAsf' categories would only occur with
significant improvement in credit enhancement (CE) and/or
defeasance and with the stabilization of performance on the FLOCs;

- An upgrade to the 'BBB-sf' category also would consider these
factors but would be limited based on sensitivity to concentrations
or the potential for future concentration. Classes would not be
upgraded above 'Asf' if there is likelihood for interest
shortfalls.

- Upgrades to the 'Csf', 'CCsf' and 'CCCsf' categories are unlikely
absent significant performance improvement on the FLOCs and
substantially higher recoveries than expected on the specially
serviced loans.

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.


MORGAN STANLEY 2017-C33: Fitch Affirms B- Rating on Cl. F Certs
---------------------------------------------------------------
Fitch Ratings has affirmed Morgan Stanley Bank of America Merrill
Lynch Trust Series 2017-C33 commercial mortgage pass-through
certificates. The Rating Outlooks remain Stable.

   Entity/Debt         Rating            Prior
   -----------         ------            -----
MSBAM 2017-C33
   
   A-3 61767CAT5   LT AAAsf  Affirmed    AAAsf
   A-4 61767CAU2   LT AAAsf  Affirmed    AAAsf
   A-5 61767CAV0   LT AAAsf  Affirmed    AAAsf
   A-S 61767CAY4   LT AAAsf  Affirmed    AAAsf
   A-SB 61767CAS7  LT AAAsf  Affirmed    AAAsf
   B 61767CAZ1     LT AA-sf  Affirmed    AA-sf
   C 61767CBA5     LT A-sf   Affirmed    A-sf
   D 61767CAC2     LT BBB-sf Affirmed    BBB-sf
   E 61767CAE8     LT BB-sf  Affirmed    BB-sf
   F 61767CAG3     LT B-sf   Affirmed    B-sf
   X-A 61767CAW8   LT AAAsf  Affirmed    AAAsf
   X-B 61767CAX6   LT A-sf   Affirmed    A-sf
   X-D 61767CAA6   LT BBB-sf Affirmed    BBB-sf

KEY RATING DRIVERS

Stable Loss Expectations: The affirmations and Stable Outlooks
reflect overall loss expectations for the pool remaining relatively
stable since Fitch's last rating action and from issuance. Fitch's
current ratings incorporate a base case loss of 4.3%. Fitch has
identified five Fitch Loans of Concerns (20% of the pool balance),
including one loan in special servicing (6.3%), which is in the top
15.

Fitch Loans of Concern: The largest contributor to loss is the 141
Fifth Avenue loan (4.3%), which is secured by a 4,425-sf
single-tenant retail condominium located in the Flatiron District
of Manhattan on the southeast corner of 5th Avenue and East 21st
Street. The property is comprised of 3,500 sf of ground floor space
and 925 sf of basement storage space and is located at the base of
a 12-story mixed-use condominium building. The single tenant, HSBC
(rated 'A+' by Fitch), vacated prior to their October 2022 lease
expiration, and the space remains vacant. A cash flow sweep was
triggered with approximately $750,000 collected in reserves. The
sponsor is currently marketing the space with no active prospects.
The loan remains current as of the February 2023 remittance.

Fitch's base case analysis includes a 20% stress to YE 2021 NOI to
reflect concerns with the vacated space coupled with a sharp
decline in market rents from issuance. The high loss severity
reflects

The next largest contributor to loss is the D.C. Office Portfolio
loan (5.9%), which is secured by a portfolio of three office
buildings totaling 328,319 sf located in the Golden Triangle of
Washington, D.C. The tenancy within the portfolio is granular as
the buildings are leased to over 100 tenants, none of which is
greater than 4.2% of the NRA. Portfolio occupancy declined to a
trough of 73% at YE 2020 from 87% at YE 2019 due to the impact of
the pandemic but has improved to 85% as of June 2022. Cash flow
remains challenged with a reported June 2022 NOI DSCR of 0.98x
which has declined from 1.40x at YE 2020 and 1.56x at YE 2019.
Fitch's base case loss of 13% reflects a 9.25% cap rate on the YE
2020 NOI resulting in a stressed value of $231 psf.

The third largest contributor to loss is the MVP Midwest Portfolio
loan (2.0%), which is secured by a portfolio of two parking garages
and four surface parking lots. The subject properties are located
within the Saint Paul, Cleveland, Milwaukee, St. Louis, and Denver
CBDs. The MVP Midwest Portfolio properties located in proximity to
major CBD demand drivers, including the Xcel Energy Stadium where
the Minnesota Wild NHL team plays and the BMO Harris Bradley
Center, which is home to the Milwaukee Bucks NBA team.

Performance is showing signs of recovery as September 2022 NOI DSCR
of 0.77x has improved from 0.24x at YE 2021. The parking collateral
was significantly impacted by the effects of the pandemic with a
60% decline in gross receipts in 2020 resulting in cashflow
insufficient to service the debt. In August 2021, alternative
investment management firm, Bombe Asset Management, acquired a
majority stake in the parent company of the sponsor resulting in a
change in control of ownership.

Fitch's analysis reflects a 25% stress to YE 2019 NOI resulting in
a 32% loss severity. Given the commitment and capital investment by
new ownership, the assets are expected to stabilize over time.

Increasing Credit Enhancement (CE): CE has increased since issuance
due to amortization and loan repayments, with 17.0% of the original
pool balance repaid. The transaction has not realized any losses to
date. Additionally, 12.5% of the pool has been defeased. Interest
shortfalls are currently affecting the non-rated class G. Five
loans (21.7%) are full-term IO, and the remaining 35 loans (78.3%)
are amortizing.

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
'AA-sf' and 'AAAsf' categories are not likely due to the position
in the capital structure, but may occur should interest shortfalls
affect the classes.

Downgrades to the 'BBB-sf' and A-sf' category 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 'B-sf' and 'BB-sf' categories would occur should loss
expectations increase and if performance of the FLOCs fail to
stabilize or additional loans default and/or transfer to the
special servicer.

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

Factors that could lead to upgrades would include stable to
improved asset performance coupled with pay down and/or defeasance.
Upgrades of the 'A-sf' and 'AA-sf' categories would likely occur
with significant improvement in CE and/or defeasance; however,
adverse selection, increased concentrations and further
underperformance of the FLOCs could cause this trend to reverse.

Upgrades to the 'BBB-sf' category would be limited based on
sensitivity to concentrations or the potential for future
concentration. Classes would not be upgraded above 'Asf' if there
is likelihood for interest shortfalls. Upgrades to the 'B-sf' and
'BB-sf' categories are not likely until the later years in a
transaction and only if the performance of the remaining pool is
stable and there is sufficient CE to the classes.

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.


MOSAIC SOLAR 2023-1: Fitch Assigns 'BBsf' Rating on Class D Notes
-----------------------------------------------------------------
Fitch Ratings has converted expected ratings into final ratings on
the notes issued by Mosaic Solar Loan Trust 2023-1 (Mosaic
2023-1).

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

   Class A            LT  AA-sf New Rating      AA-(EXP)sf
   Class B            LT  A-sf  New Rating      A-(EXP)sf
   Class C            LT  BBBsf New Rating      BBB(EXP)sf
   Class D            LT  BBsf  New Rating      BB(EXP)sf
   Class R            LT  NRsf  New Rating      NR(EXP)sf

TRANSACTION SUMMARY

Mosaic 2023-1 is a securitization of consumer loans backed by
residential solar equipment. The originator is Solar Mosaic, LLC,
one of the longest-established solar lenders in the U.S. The
company has advanced solar loans since 2014 and financed them
through public securitizations since 2017.

KEY RATING DRIVERS

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

Extrapolated Asset Assumptions: Fitch considered both
originator-wide data and previous Mosaic transactions to set a
lifetime default expectation of 8.3%. Fitch has also assumed a 30%
base case recovery rate. Fitch's rating default rates (RDRs) for
'AA-sf', 'A-sf', 'BBBsf' and 'BBsf' are, respectively, 33.5%,
24.9%, 19.9% and 13.7%. Fitch's rating recovery rates (RRRs) are,
respectively, 19%, 21.8%, 23.3% and 25.5%.

Target OC and Amortization Trigger: The class A and B notes will
amortize based on target overcollateralization (OC) percentages.
The target OC is 100% of the outstanding adjusted balance for the
first 16 months, ensuring that there is no leakage of funds
initially, irrespective of the collateral performance; OC then
falls to 10.5%. Should the escalating cumulative loss trigger be
breached, the payment waterfall will switch to turbo sequential,
deferring any interest payments for class C and D and thus
accelerating the senior note deleveraging. The repayment timings of
class C and D are highly sensitive to the timing of a trigger
breach.

Standard, Reputable Counterparties; No Swap: The transaction
account is with Wilmington Trust and the servicer's collection
account is with Wells Fargo Bank. Commingling risk is mitigated by
transfer of collections within two business days, the high initial
ACH share and Wells Fargo's ratings. As both assets and liabilities
pay a fixed coupon, there is no need for an interest rate hedge
and, thus, no exposure to swap counterparties.

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

RATING SENSITIVITIES

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

Asset performance that indicates an implied annualized default rate
(ADR) above 1.5% and a simultaneous fall in prepayments activity
may put pressure on the rating or lead to a Negative Rating
Outlook.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Fitch currently caps ratings in the 'AAsf' category due to limited
performance history, while the assigned rating of 'AA-sf' is
further constrained by the available credit enhancement (CE). As a
result, a positive rating action could result from an increase in
CE due to class A deleveraging, underpinned by good transaction
performance, for example, through high prepayments and ADR at
around 1% or below. The overall economic environment is also an
important consideration and Fitch's ABS outlook is generally
deteriorating in the short term.

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

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

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

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

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

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

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

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

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

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

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

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

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

CRITERIA VARIATION

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

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

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by Deloitte & Touche LLP. The third-party due diligence
described in Form 15E focused on comparing or re-computing certain
information with respect to 150 relevant loan contracts. Fitch
considered this information in its analysis and it did not have an
effect on Fitch's analysis or conclusions.

DATA ADEQUACY

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

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

ESG CONSIDERATIONS

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.


MSC 2011-C3: DBRS Confirms B Rating on Class X-B Certs
------------------------------------------------------
DBRS Limited confirmed the ratings on the Commercial Mortgage
Pass-Through Certificates, Series 2011-C3 issued by MSC 2011-C3
Mortgage Trust as follows:

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

All trends are Stable.

The rating confirmations reflect the overall stable performance of
the transaction since DBRS Morningstar's last review in June 2022.
As of the January 2023 remittance, five of the original 63 loans
remain in the pool, with an aggregate principal balance of $171.9
million, representing a collateral reduction of 88.5% since
issuance. There are two loans, representing 44.1% of the pool
balance, on the servicer's watchlist and there are no delinquent or
specially serviced loans.

The largest loan is Westfield Belden Village (Prospectus ID#2;
53.3% of the pool), which is secured by a portion of a regional
mall in Canton, Ohio. The loan was previously in special servicing
in May 2020 for imminent monetary default related to a downgrade of
Israeli bonds that backed the subject and other Starwood Retail
Partners malls. The loan was ultimately resolved when an agreement
was reached to allow holders of the Israeli bonds to take control
of the subject mall. The trust loan was brought current under the
modification agreement, with terms including interest-only (IO)
payments from July 2021 through December 2022, as well as a
maturity extension to July 2026. The loan returned to the master
servicer in April 2022 and as of the January 2023 remittance, the
borrower has resumed its principal and interest (P&I) payments. The
modification also required the loan to be cash managed, with excess
funds swept and held for a minimum of 18 months from the November
2021 execution date or until a 1.25 times (x) debt service coverage
ratio (DSCR) threshold is met for six consecutive months. The last
reported cash flow is for the YE2021 reporting period, when the
DSCR was 1.43x; no updated financials were reported since.

According to the June 2022 rent roll, the collateral occupancy was
91.7%. The mall is anchored by Macy's (collateral) and Dillard's
(noncollateral). The noncollateral anchor Sears downsized from
approximately 190,000 square feet (sf) to 73,000 sf in 2019, and
the remaining space was substantially backfilled by a combination
of three tenants in Dave & Buster's, Dick's Sporting Goods, and
Golf Galaxy. Based on the trailing 12 months (T-12) ended November
30, 2022, tenant sales report, in-line tenants occupying less than
10,000 sf reported T-12 sales of $439 per square foot (psf),
compared with the T-12 ended November 30, 2021, sales of $451 psf.
Tenants occupying more than 10,000 sf reported T-12 ended November
30, 2022, sales of $416 psf, compared with sales of $429 psf for
the same period in November 2021.

The most recent appraisal obtained by the special servicer, dated
August 2021, valued the property on an as-is basis at $81.6
million, which suggests a loan-to-value in excess of 100% on the
current loan balance of $91.6 million. In addition, the August 2021
value is well below the issuance value of $159.0 million. While
DBRS Morningstar acknowledges the positive developments for this
loan in the resumption of P&I payments and the relatively healthy
occupancy rate, the challenges for regional malls in secondary
markets continue to persist and will likely continue to hinder the
sponsor's ability to refinance the subject loan without significant
equity investment.

The second-largest loan, Oxmoor Center (Prospectus ID#3; 41.5% of
the pool), is secured by a regional mall in Louisville, Kentucky.
The loan was previously in special servicing in June 2021 for
maturity default but was returned to the master servicer in
February 2022 after a loan modification was approved to extend the
loan's maturity through June 2023. The loan is currently on the
watchlist because of the upcoming maturity and the servicer
reported that the borrower is working on the refinance.

Based on the September 2022 rent roll, the property was 77.9%
occupied, which is in line with the YE2021 occupancy rate 78.6%.
Occupancy has been depressed since the departure of Sears in 2018;
however, the space has since been repurposed for Topgolf, which
opened in November 2022, suggesting the occupancy rate has improved
to approximately 93%. Other anchors at the subject include Macy's,
Von Maur, and Dick's Sporting Goods. According to the T-9 ended
September 30, 2022, financials, the loan reported a DSCR of 1.23x,
compared with the YE2021 DSCR of 1.20x and YE2020 DSCR of 1.02x.

The sponsor is an affiliate of Brookfield Property Partners L.P.
(Brookfield), which also owns another mall in the immediate
vicinity, Mall St. Matthews, which secures a CMBS loan held across
two 2013 transactions, including the DBRS Morningstar-rated GS
Mortgage Securities Trust 2013-GCJ14. The Mall St. Matthews loan
also transferred to special servicing for a maturity default and
was ultimately resolved with a five-year maturity extension. Both
that mall and the subject mall have historically performed well
overall, but DBRS Morningstar notes that Brookfield was at one time
expressing interest in transferring the title for Mall St. Matthews
to the lender, according to previous special servicer commentary.
The special servicer never reported an interest to transfer the
title for the Oxmoor Center property, which is the superior
property between the two by a significant margin based on tenancy,
sales, and general position in the submarket.

As the Oxmoor Center loan never became delinquent on its debt
service payments, the special servicer did not report an updated
appraisal during the time in special servicing. It is noteworthy
that Mall St. Matthews reported an updated appraisal showing the
as-is value as of August 2021 of $83.0 million, nearly $200 million
below the issuance value of $280.0 million. While DBRS Morningstar
believes it is likely that the as-is value for Oxmoor Center has
declined from issuance, the decline is less likely to be drastic as
compared to other malls given the subject's strong tenant mix, the
recent development of Topgolf taking over the former Sears space,
and Brookfield's recent investment in constructing additional
outparcel space for restaurant tenants. In addition, it was
reported that the sponsor is seeking to convert approximately
28,000 sf of space to office use on the mall's second floor. Given
these factors, DBRS Morningstar expects Brookfield will continue to
show commitment to the loan, even if another maturity extension is
required amid the challenges commercial property owners are facing
with higher interest rates and lower lending appetites for some
property types and markets.

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


NASSAU 2019 CFO: Fitch Affirms 'BB' Rating on USD47MM Class B Notes
-------------------------------------------------------------------
Fitch Ratings has taken the following rating actions with regards
to the notes issued by Nassau 2019 CFO LLC (Nassau 2019 CFO).

- Undrawn liquidity facility affirmed at 'A+sf'; Outlook Stable;

- USD113 million class A notes affirmed at 'Asf'; Outlook Revised
   to Negative from Stable;

- USD47 million class B notes affirmed at 'BBsf'; Outlook Revised

   to Negative from Stable.

Nassau 2019 CFO is a private equity collateralized fund obligation
(PE CFO) managed by Nassau Alternative Investments (NAI), an
affiliate of Nassau Financial Group. Nassau 2019 CFO owns interests
in a diversified pool of alternative investment funds. The notes
issued by Nassau 2019 CFO are backed by the cash flows generated by
the funds.

   Entity/Debt             Rating         Prior
   -----------             ------         -----
Nassau 2019 CFO LLC
  
   Class A 63172DAA9   LT Asf   Affirmed    Asf

   Class B 63172DAB7   LT BBsf  Affirmed   BBsf

   Liquidity Loans     LT A+sf  Affirmed   A+sf

TRANSACTION SUMMARY

The transaction consisted of approximately $226 million net asset
value (NAV) of funded commitments and $56 million of unfunded
capital commitments across 99 funds, as of the Oct. 31, 2022
valuation date.

KEY RATING DRIVERS

The rating affirmation of the undrawn liquidity facility reflects
its senior position in the capital structure and low LTV of
approximately 11% LTV (considering equity in-kind distributions) if
fully drawn.

The rating affirmations of the class A and B notes reflect their
loan-to-value (LTV) detachment points of approximately 50% and 71%
of NAV, respectively, as of the Nov. 15, 2022 distribution date.
The affirmations also reflect Fitch's expectation that the notes
will continue to pass Fitch's stress scenarios at the current
rating levels with sufficient cushion.

The weaker market environment in recent quarters has caused a
decline in distributions and NAV, leading to slightly increased
LTVs. The revision of the Rating Outlook on the class A and B notes
to Negative from Stable reflects elevated uncertainty over the
change in NAV (and therefore LTV) as well as cash flows in the
coming months combined with reduced cushions relative to Fitch's
stress scenarios. The NAV as of Oct. 31, 2022 was based on
valuations of the underlying private equity funds primarily as of
Jun. 30, 2022, and adjusted for subsequent capital calls and
distributions.

Fitch believes Nassau 2019 CFO's liquidity position is strong,
which should allow it to continue meeting capital calls, expenses,
and interest, even if distributions were to decline. In the
one-year period through Nov. 15, 2022, Nassau 2019 CFO's liquidity
needs included approximately $12 million in capital calls, $2
million in expenses, and $9 million in note interest, for a total
of $23 million. Over the same period, liquidity sources included
$30 million of capacity available on the liquidity facility, and
$122 million of cash from distributions. Based on these figures,
Fitch estimates the transaction's liquidity coverage ratio for a
one-year period at 6.6x. However, distributions in the last three
periods declined from the prior trend, and Fitch expects the
liquidity coverage ratio to be lower in upcoming periods.

Fitch measured the ability of the structure to withstand weak
performance in its underlying funds in combination with adverse
market cycles. The class A note passed Fitch's fourth-quartile
scenario analysis, indicating 'Asf' model implied rating and the
class B note passed Fitch's third-quartile scenario analysis
indicating 'BBBsf' model implied rating.

The Negative Outlook placement for the class A notes reflect
tighter payback period and NAV cushion margins under two of Fitch's
fourth-quartile scenario analysis, and the note's ability to
de-lever under higher levels of depreciation and distribution
short-falls in Fitch's pro-forma LTV analysis. The Negative Outlook
placement for the class B notes reflect tighter payback period and
NAV cushion margins under three of Fitch's third-quartile scenario
analysis, and the note's lower ratings stability under its model
sensitivity scenarios.

Key structural features include amortization triggers tied to LTV
levels, a liquidity facility to cover interest, expenses, and
capital calls in the event of liquidity gaps, and long final
maturities on the notes to allow the structure additional time to
potentially weather a down market.

Certain structural features of the transaction involve reliance on
counterparties, such as the liquidity lender and account banks. The
ratings of the notes could be negatively affected in the event that
key counterparties fail to perform their duties. Fitch believes
this risk is mitigated by counterparty rating requirements and
replacement provisions in the transaction documents that align with
Fitch's criteria.

Fitch believes the manager (NAI) has the capabilities and resources
required to manage this transaction. NAI's management team has
extensive experience, although the team is comparably smaller than
at other Fitch-rated PE CFOs.

The sponsor and noteholders' interests are sufficiently aligned, as
the sponsor and its affiliates hold the equity stake and a portion
of the class B notes in Nassau 2019 CFO.

Fitch has a rating cap at the 'Asf' category for PE CFO
transactions to reflect the less proven nature of the PE CFO asset
class relative to other structured finance asset classes,
uncertainty related to investment performance and timing of cash
flows, variability of asset valuations, and lags in performance
reporting.

TRANSACTION PERFORMANCE

Thus far, Nassau 2019 CFO's underlying fund investments have
performed well and better than the stress scenarios run by Fitch in
the rating analysis. Nassau 2019 CFO received distributions of $418
million and capital calls of $56 million since inception as of Oct.
31, 2022.

Nassau 2019 CFO has had sufficient cash distributions to cover
expenses, interest payments, and capital calls thus far. As a
result, there have been no draws on the transaction's liquidity
facility.

RATING SENSITIVITIES

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

- The class A notes are likely to be downgraded to 'A-sf' if NAV
decline cushions to Fitch's stress scenarios are expected to
sustain at low single digits. The class A notes are likely to be
downgraded to 'BBBsf' if Fitch's 'Asf' stress scenarios are
expected to be breached for a sustained period, or if liquidity
deteriorates materially;

- The class B notes are likely to be downgraded to 'BB-sf' if
cushions to Fitch's 'BBsf' stress scenarios are expected to sustain
at low single digits for a prolonged period. The class B notes are
likely to be downgraded to 'Bsf' if Fitch's 'BBsf' stress scenarios
are expected to be breached for a sustained period, or if liquidity
deteriorates materially;

- The liquidity facility rating is likely to be downgraded if it is
drawn and the transaction's liquidity position deteriorates
materially;

- The ratings assigned to the notes may be sensitive to cash flows
coming in lower than model projections, creating an increased risk
that the funds will not generate enough overall cash to repay the
noteholders, or pay for capital calls, expenses, and interest on
time;

- A material decline in NAV that in Fitch's view would indicate
insufficient forthcoming cash distributions to support the notes at
the assigned rating level stress;

- The ratings are sensitive to the financial health of the
transaction's counterparties. A rating downgrade of a counterparty
may be linked to and materially affect the ratings on the notes,
given the reliance of the issuer on counterparties to provide
functions, including providers of the liquidity facility and bank
accounts.

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

- The class A and B notes could be upgraded if the notes' LTV
detachment points decrease significantly, although this is unlikely
in the short term given the amortization structure;

- Fitch has an 'Asf' category rating cap for PE CFOs. Therefore,
positive rating sensitivities are not applicable for the undrawn
liquidity facility;

- PE CFOs have many inherent risks that the ratings may be
sensitive to, including the uncertainty of distributions, less
liquid nature of the underlying investments, the degree of
transaction leverage and the subjective nature of NAV valuations.

DATA ADEQUACY

As the timing and size of the cash flows is uncertain, Fitch used
historical private equity fund performance data from a well-known
third-party data provider, which covers all performance quartiles
of the various fund strategies and vintages ranging from 1990 to
2022, to model expected distributions, capital calls and NAVs of
the underlying funds.


OBX TRUST 2023-NQM2: Fitch Assigns B(EXP) Rating on Cl. B-2 Notes
-----------------------------------------------------------------
Fitch Ratings has assigned expected ratings to OBX 2023-NQM2
Trust.

   Entity/Debt       Rating        
   -----------       ------        
OBX 2023-NQM2

   A-1           LT AAA(EXP)sf Expected Rating
   A-2           LT AA(EXP)sf  Expected Rating
   A-3           LT A(EXP)sf   Expected Rating
   M-1           LT BBB(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
   A-IO-S        LT NR(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-NQM2 Trust as indicated above. The
transaction is scheduled to close on or about March 3, 2023.

The notes are supported by 910 loans with an unpaid principal
balance (UPB) of approximately $420.7 million as of the cut-off
date. The pool consists of fixed-rate mortgages (FRMs) and
adjustable-rate mortgages (ARMs) acquired by Annaly Capital
Management, Inc. from various originators and aggregators.

Distributions of principal and interest (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 60.3% are designated as non-qualified mortgage
(non-QM), 1.2% are safe-harbor QM (SHQM), 0.6% are higher-priced QM
(HPQM) and the remaining 37.9% 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, Fitch views the home price values
of this pool as 9.3% above a long-term sustainable level (versus
10.5% on a national level as of January 2023, down 1.7% since last
quarter). The rapid gain in home prices through the pandemic has
seen signs of moderating with a decline observed in 3Q22. Driven by
the strong gains seen in 1H22, home prices rose 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 10.9% of the pool as calculated by Fitch, which
includes 4.2% DSCR loans with a default interest rate feature;
17.7% are interest-only (IO) loans and the remaining 82.3% are
fully amortizing loans.

The pool is seasoned approximately eight months in aggregate, as
calculated by Fitch (five months per the transaction documents).
Borrowers in this pool have a moderate credit profile with a
Fitch-calculated weighted average (WA) FICO score of 742, debt to
income ratio (DTI) of 43.7% and moderate leverage of 76.8%
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 (37.9%) and non-QM loans (60.3%). The remaining loans
are SHQM (1.2%) or HPQM (0.6%). 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 86.8% of the pool as less than full
documentation, and alternative documentation was used to underwrite
the loans. Of this, 49.7% 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 1.4x on the bank statement loans. Besides loans
underwritten to a bank statement program, 29.8% are a DSCR product,
4.6% are P&L loans, 5.8% are a WVOE product and 0.9% constitute an
asset depletion product.

Modified Sequential-Payment Structure (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 delinquency trigger for this transaction is tighter than seen
in many other recent NQM transactions; 10% for the first three
years which steps up to 15% in year three and 20% in year five.
Given this, the triggers trip early in the life of the deal,
switching the deal to sequential pay, under Fitch's stress
scenarios. By paying sequentially, the structure does not leak
principal to the A-2 and A-3 classes, which is resulting in a
smaller differential between Fitch's rating case expected losses
and actual tranche credit enhancement relative to other recent NQM
deals.

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 March 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-1, A-2 and A-3 may be reimbursed from the distribution
amounts otherwise allocable to the unrated class B-3, to the extent
available.

Limited Advancing (Mixed): 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. If 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, rated 'BBB'/'F3' by Fitch.

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
CE analysis assumed this.

High California Concentration (Negative): Approximately 33.6% of
the pool is located in California. Additionally, the top three
metropolitan statistical areas (MSAs) — Los Angeles (16.3%), New
York (14.8%) and Miami (8.2%) — account for 39.3% 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'.

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

Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as
prepared by SitusAMC, Covius Real Estate Services, LLC, and Evolve
Mortgage Services. The third-party due diligence described in Form
15E focused on three areas: compliance review, credit review and
valuation review.

Fitch considered this information in its analysis and, as a result,
Fitch did not make any adjustments to its analysis due to
loan-level due diligence findings. Based on the results of the 100%
due diligence performed on the pool, the overall expected loss was
reduced by 47 bps.


OCP CLO 2015-9: Fitch Affirms 'BB-sf' Rating on Class E-R Notes
---------------------------------------------------------------
Fitch Ratings has affirmed the ratings for the class X, A-1-R2,
A-2-R2, B-R2, C-R2, D-R and E-R notes of OCP CLO 2015-9, Ltd. and
the class X, A-R2, B-R2, C-R2, D-R2 and E-R2 notes of OCP CLO
2016-12, Ltd. The Rating Outlook on all rated tranches remain
Stable.

   Entity/Debt             Rating            Prior
   -----------             ------            -----
OCP CLO 2015-9, Ltd.

   A-1-R2 67091YAU8    LT AAAsf  Affirmed    AAAsf
   A-2-R2 67091YAW4    LT AAAsf  Affirmed    AAAsf
   B-R2 67091YAY0      LT AAsf   Affirmed    AAsf
   C-R2 67091YBA1      LT Asf    Affirmed    Asf
   D-R 67091YBC7       LT BBB-sf Affirmed    BBB-sf
   E-R 67092BAG8       LT BB-sf  Affirmed    BB-sf
   X 67091YAS3         LT AAAsf  Affirmed    AAAsf

OCP CLO 2016-12 Ltd.

   A-R2 67092RAL2      LT AAAsf  Affirmed    AAAsf
   B-R2 67092RAN8      LT AAsf   Affirmed    AAsf
   C-R2 67092RAQ1      LT Asf    Affirmed    Asf
   D-R2 67092RAS7      LT BBB-sf Affirmed   BBB-sf
   E-R2 67092TAG9      LT BB-sf  Affirmed    BB-sf
   X 67092RAJ7         LT AAAsf  Affirmed    AAAsf

TRANSACTION SUMMARY

OCP CLO 2015-9, Ltd. (OCP 2015-9) and OCP CLO 2016-12, Ltd. (OCP
2016-12) are broadly syndicated collateralized loan obligations
(CLOs) managed by Onex Credit Partners LLC. OCP 2015-9 originally
closed in July 2015, and was subsequently refinanced in November
2017 and March 2022. OCP 2016-12 originally closed in October 2016,
and was subsequently refinanced in October 2018 and March 2022. OCP
2015-9 and OCP 2016-12 will exit their reinvestment periods in
January 2025 and April 2025, respectively. Both CLOs are secured
primarily by first-lien, senior secured leveraged loans.

KEY RATING DRIVERS

Asset Credit Quality, Asset Security, Portfolio Management and
Portfolio Composition

The affirmations are driven by the portfolios' stable performance
since the last rating actions. The credit quality of both
portfolios as of January 2023 reporting has remained at the
'B'/'B-' rating level. The Fitch weighted average rating factors
(WARF) for OCP 2015-9 and OCP 2016-12 portfolios were at 24.9 and
24.6, respectively, compared to 25.1 and 25.0 at refinancing in
March 2022.

Envision Healthcare Second Out term loan and Third Out term loan
were reported as defaulted in both transactions, comprising 0.3% of
each portfolio. Exposure to issuers with a Negative Outlook and
Fitch's watchlist is 14.3% and 4.2%, respectively, for OCP 2015-9,
and 13.4% and 4.1%, respectively, for OCP 2016-12. OCP 2015-9's
portfolio consists of 278 obligors, and the largest 10 obligors
represent 8.2% of the portfolio (excluding cash). OCP 2016-12 has
299 obligors, with the largest 10 obligors comprising 7.3% of the
portfolio (excluding cash).

First lien loans, cash and eligible investments comprise 97.0% of
the portfolios on average.

All coverage tests, collateral quality tests (CQTs), and
concentration limitations are in compliance for both transactions.

Cash Flow Analysis

Fitch conducted updated cash flow analyses based on newly run Fitch
Stressed Portfolio (FSP) since both transactions are still in their
reinvestment periods. The rating actions for all classes of notes
are in line with their model-implied ratings (MIRs), as defined in
the CLOs and Corporate CDOs Rating Criteria.

The FSP analysis stressed the current portfolio from the latest
trustee report to account for permissible concentration and CQT
limits. The FSP analysis assumed weighted average life of 6.15
years for OCP 2015-9 and 6.19 years for OCP 2016-12. Weighted
average spread and weighted average recovery rating were stressed
to the covenant Fitch test matrix points reflected in the latest
trustee report. WARF was stressed to 27.0 and 29.0 for OCP 2015-9
and OCP 2016-12, respectively. In addition, assumptions of both 0%
and 5% fixed rate assets were tested as part of the FSP's cash flow
modelling.

The Stable Outlooks reflect Fitch's expectation that the notes have
sufficient level of credit protection to withstand potential
deterioration in the credit quality of the portfolios in stress
scenarios commensurate with each class' rating.

RATING SENSITIVITIES

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

- Downgrades may occur if realized and projected losses of the
portfolio are higher than what was assumed at closing and the
notes' credit enhancement do not compensate for the higher loss
expectation than initially assumed.

- A 25% increase of the mean default rate across all ratings, along
with a 25% decrease of the recovery rate at all rating levels for
the current portfolio, would lead to no rating impact for the class
X, A-1-R2 and A-2-R2 notes in OCP 2015-9, and class X, A-R2 and
B-R2 notes in OCP 2016-12, and one rating notch downgrade for the
other classes, based on the MIRs.

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

- Except for the tranches already at the highest 'AAAsf' rating,
upgrades may occur in the event of better-than-expected portfolio
credit quality and transaction performance.

- A 25% reduction of the mean default rate across all ratings,
along with a 25% increase of the recovery rate at all rating levels
for the current portfolio, would lead to upgrades of up to five
rating notches, based on the MIRs.

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the
information it has received about the performance of the asset pool
and the transaction. Fitch has not reviewed the results of any
third-party assessment of the asset portfolio information or
conducted a review of origination files as part of its ongoing
monitoring.

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 or information on the risk-presenting entities.


OCTANE RECEIVABLES 2023-1: S&P Assigns BB (sf) Rating on E Notes
----------------------------------------------------------------
S&P Global Ratings assigned ratings to Octane Receivables Trust
2023-1's asset-backed notes.

The note issuance is an ABS transaction backed by consumer
powersport receivables.

The ratings reflect:

-- The availability of approximately 33.71%, 26.11%, 18.53%,
12.22%, and 9.44% credit support, including excess spread, for the
class A, B, C, D, and E notes, respectively, based on stressed cash
flow scenarios. These credit support levels provide at least 5.00x,
4.00x, 3.00x, 2.00x, and 1.60x coverage of S&P's stressed net loss
levels for the class A, B, C, D, and E notes, respectively.

-- The timely payment of interest and principal by the designated
legal final maturity dates under our stressed cash flow modeling
scenarios, which S&P believes are appropriate for the assigned
ratings.

-- The expectation that under a moderate ('BBB') stress scenario
(2.00x its expected loss level), all else being equal, S&P's
ratings will be within the credit stability limits specified in
section A.4 of the Appendix in "S&P Global Ratings Definitions,"
published Nov. 10, 2021.

-- The collateral characteristics of the consumer powersport
amortizing receivables securitized, including a weighted average
nonzero FICO score of approximately 703 and an average monthly
payment of approximately $305.

-- The transaction's credit enhancement in the form of
subordination, overcollateralization that builds to a target level
of 3.50% of the initial receivables balance, a nonamortizing
reserve account, and excess spread.

-- The transaction's sequential-pay structure, which builds credit
enhancement (on a percentage-of-receivables basis) as the pool
amortizes.

-- The transaction's payment and legal structure.

  Ratings Assigned

  Octane Receivables Trust 2023-1

  Class A, $291.686 million: AAA (sf)
  Class B, $34.377 million: AA (sf)
  Class C, $34.169 million: A (sf)
  Class D, $30.835 million: BBB (sf)
  Class E, $15.834 million: BB (sf)



OFSI BSL XII: S&P Assigns BB- (sf) Rating on Class E Notes
----------------------------------------------------------
S&P Global Ratings assigned its ratings to OFSI BSL XII CLO Ltd.'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 OFS CLO Management II LLC.

The ratings reflect S&P's view of:

-- The collateral pool's diversification;

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

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

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

  Ratings Assigned

  OFSI BSL XII CLO Ltd./OFSI BSL XII CLO LLC

  Class A-1, $180.00 million: AAA (sf)
  Class A-J, $9.00 million: AAA (sf)
  Class B, $39.00 million: AA (sf)
  Class C (deferrable), $16.50 million: A (sf)
  Class D-1 (deferrable), $7.50 million: BBB- (sf)
  Class D-2 (deferrable), $9.00 million: BBB- (sf)
  Class E (deferrable), $10.50 million: BB- (sf)
  Subordinated notes, $28.85 million: Not rated



OZLM LTD XX: Moody's Cuts Rating on $6.975MM Class E Notes to Caa1
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by OZLM XX, Ltd.:

US$49,050,000 Class A-2 Senior Secured Floating Rate Notes due 2031
(the "Class A-2 Notes"), Upgraded to Aa1 (sf); previously on May
11, 2018 Assigned Aa2 (sf)

US$24,750,000 Class B Senior Secured Deferrable Floating Rate Notes
due 2031 (the "Class B Notes"), Upgraded to A1 (sf); previously on
May 11, 2018 Assigned A2 (sf)

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

US$6,975,000 Class E Secured Deferrable Floating Rate Notes due
2031 (the "Class E Notes"), Downgraded to Caa1 (sf); previously on
August 13, 2020 Confirmed at B3 (sf)

OZLM XX, Ltd., originally issued in May 2018, is a managed cashflow
CLO. The notes are collateralized primarily by a portfolio of
broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in April 2023.

RATINGS RATIONALE

These upgrade rating actions reflect the benefit of the short
period of time remaining before the end of the deal's reinvestment
period in April 2023. In light of the reinvestment restrictions
during the amortization period which limit the ability of the
manager to effect significant changes to the current collateral
pool, Moody's analyzed the deal assuming a higher likelihood that
the collateral pool characteristics will be maintained and continue
to satisfy certain covenant requirements. In particular, Moody's
assumed that the deal will benefit from lower weighted average
rating factor (WARF) and higher weighted average spread (WAS)
levels compared to their covenant levels. Moody's used the WARF of
2600 and WAS of 3.40% compared to their current respective covenant
levels of 2876 and 3.35%.

The downgrade rating action on the Class E notes reflects the
specific risks to the junior notes posed by par loss observed in
the underlying CLO portfolio. Based on the Moody's calculation, the
over-collateralization (OC) ratio for the Class E notes is
currently at 103.45% compared to 104.85% since the last rating
action.

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

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

Performing par and principal proceeds balance: $433,649,645

Defaulted par: $7,491,786

Diversity Score: 81

Weighted Average Rating Factor (WARF): 2600

Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.40%

Weighted Average Recovery Rate (WARR): 46.58%

Weighted Average Life (WAL): 4.3 years

In addition to base case analysis, Moody's considered additional
scenarios where outcomes could diverge from the base case. The
additional scenarios include, among others, near term defaults by
companies facing liquidity pressure, deterioration in credit
quality of the underlying portfolio, decrease in overall WAS and
lower recoveries on defaulted assets.

Methodology Used for the Rating Action

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

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

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


PIKES PEAK 12: Fitch Gives BB-sf Rating on E Notes, Outlook Stable
------------------------------------------------------------------
Fitch Ratings has assigned ratings and Rating Outlooks to Pikes
Peak CLO 12 Ltd.

   Entity/Debt             Rating                    Prior
   -----------             ------                    -----
Pikes Peak CLO
12 Ltd

   A                    LT NRsf   New Rating     NR(EXP)sf
   A-L Loans            LT NRsf   New Rating     NR(EXP)sf
   A-L                  LT NRsf   New Rating     NR(EXP)sf
   B                    LT AAsf   New Rating     AA(EXP)sf
   C                    LT Asf    New Rating     A(EXP)sf
   D                    LT BBB-sf New Rating     BBB-(EXP)sf
   E                    LT BB-sf  New Rating     BB-(EXP)sf
   Subordinated Notes   LT NRsf   New Rating     NR(EXP)sf

TRANSACTION SUMMARY

Pikes Peak CLO 12 Ltd (the issuer) is an arbitrage cash flow
collateralized loan obligation (CLO) that will be managed by
Partners Group US Management CLO LLC. Net proceeds from the
issuance of the secured and subordinated notes will provide
financing on a portfolio of approximately $400 million of primarily
first-lien senior secured leveraged loans.

KEY RATING DRIVERS

Asset Credit Quality (Negative): The average credit quality of the
indicative portfolio is 'B', which is in line with that of recent
CLOs. The weighted average rating factor (WARF) of the indicative
portfolio is 24.52, versus a maximum covenant, in accordance with
the initial expected matrix point of 26.31. Issuers rated in the
'B' rating category denote a highly speculative credit quality;
however, the notes benefit from appropriate credit enhancement and
standard U.S. CLO structural features.

Asset Security (Positive): The indicative portfolio consists of
100% first-lien senior secured loans. The weighted average recovery
rate (WARR) of the indicative portfolio is 74.52% versus a minimum
covenant, in accordance with the initial expected matrix point of
72.20%.

Portfolio Composition (Positive): The largest three industries may
comprise up to 40.0% of the portfolio balance in aggregate, while
the top five obligors can represent up to 11.5% 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 has a 5.2-year
reinvestment period and reinvestment criteria similar to other U.S.
CLOs. Fitch's analysis was based on a stressed portfolio created by
adjusting the indicative portfolio to reflect permissible
concentration limits and collateral quality test levels.

Cash Flow Analysis (Positive): Fitch used a customized proprietary
cash flow model to replicate the principal and interest waterfalls
and assess the effectiveness of various structural features of the
transaction. In Fitch's stress scenarios, the rated notes can
withstand default and recovery assumptions consistent with their
assigned ratings. The weighted average life (WAL) used for the
transaction stress portfolio and matrices analysis is 12 months
less than the WAL covenant to account for structural and
reinvestment conditions after the reinvestment period. Fitch
believes these conditions would reduce the effective risk horizon
of the portfolio during stress periods. The performance of the
rated notes at the other permitted matrix points is in line with
other recent CLOs.

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
metrics; results under these sensitivity scenarios are as severe as
between 'BB+sf' and 'A+sf' for class B notes, between 'B-sf' and
'BBB+sf' for class C notes, between less than ''B-sf' and 'BB+sf'
for class D notes, and between less than 'B-sf' and 'B+sf' for
class E notes.

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

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


UBS COMMERCIAL 2018-C10: Fitch Affirms B- Rating on F-RR Debt
-------------------------------------------------------------
Fitch Ratings has affirmed 14 classes of UBS Commercial Mortgage
Trust 2018-C10. In addition, Fitch has revised the Rating Outlook
for one class to Stable from Negative.

   Entity/Debt         Rating            Prior
   -----------         ------            -----
UBS 2018-C10

   A-2 90276FAT1   LT AAAsf  Affirmed    AAAsf
   A-3 90276FAV6   LT AAAsf  Affirmed    AAAsf
   A-4 90276FAW4   LT AAAsf  Affirmed    AAAsf
   A-S 90276FAZ7   LT AAAsf  Affirmed    AAAsf
   A-SB 90276FAU8  LT AAAsf  Affirmed    AAAsf
   B 90276FBA1     LT AA-sf  Affirmed    AA-sf
   C 90276FBB9     LT A-sf   Affirmed    A-sf
   D 90276FAC8     LT BBB-sf Affirmed    BBB-sf
   D-RR 90276FAE4  LT BBB-sf Affirmed    BBB-sf
   E-RR 90276FAG9  LT BB-sf  Affirmed    BB-sf
   F-RR 90276FAJ3  LT B-sf   Affirmed    B-sf
   X-A 90276FAX2   LT AAAsf  Affirmed    AAAsf
   X-B 90276FAY0   LT AA-sf  Affirmed    AA-sf
   X-D 90276FAA2   LT BBB-sf Affirmed    BBB-sf

KEY RATING DRIVERS

Stable Performance and Loss Expectations: Overall pool performance
and base case loss expectations remained stable since Fitch's prior
rating action. Fitch has identified eight Fitch Loans of Concern
(FLOCs; 12.2% of the pool balance), including three (2.3%)
specially serviced loans. Ten loans (24%) are on the master
servicer's watchlist for declines in occupancy, pandemic-related
performance declines, upcoming rollover and/or deferred
maintenance. Fitch's current ratings incorporate a base case loss
of 5.0%.

The largest contributor to overall loss expectations is the 130
Orchard Street loan (4.0%), which is secured by a 25,613-sf
multifamily, ground floor retail property located in the Lower East
Side of NYC. The retail portion is 100% occupied by Galerie
Perrotin, an art gallery operated by Emmanuel Perrotin. Galerie
Perrotin also occupies 25.2% of the multifamily NRA. The property
also has seven free-market multifamily units that were 100%
occupied, per the July 2022 rent roll.

The 130 Orchard Street loan is on the master servicer's watchlist
for overdue financials. The servicer reported NOI debt service
coverage ratio (DSCR) as of the second quarter of 2020 was 1.07x
compared with 1.35x at YE 2019 and 1.18x at YE 2018. Collateral
occupancy was 92% as of July 2022 compared with 92% as of YE 2020,
and 100% at issuance. Fitch's analysis includes an 8.25% cap rate
on the YE 2020 NOI resulting in a 16% modeled loss.

The second largest contributor to overall loss expectations is the
Sleep Inn SeaTac Airport (1.7%), which is secured by a 105-room
limited-service hotel adjacent to the Seattle-Tacoma International
Airport. The loan was previously transferred to the special
servicer in June 2020 for payment default and returned to the
master servicer in December 2022. The borrower brought the loan
current in September 2021 and continues to perform within the terms
of a settlement agreement.

Performance improved with the annualized June 2022 NOI DSCR at
1.07x compared to YE 2021 at 1.01x, and YE 2020 at 0.33x. Fitch's
analysis includes a 10.5% cap rate and a 10% stress to the YE 2021
NOI to account for hotel volatility, performance concerns resulting
in a 26% modeled loss.

The third contributor to overall loss expectations is the
Manchester Highlands (3.6% of the pool) loan, which is secured by a
353,701-sf retail power center located in Ballwin, Missouri. The
property is shadow anchored by a 148,714-sf Costco and anchored by
a Walmart Supercenter. Annualized NOI DSCR was 2.33x as of
September 2022 compared with 2.01x at YE 2021 and 2.46x at YE 2010.
The most recent servicer-reported occupancy was 100% as of
September 2022. Near-term rollover includes 1.2% of the collateral
NRA in 2023 and 29% in 2024. Fitch's analysis includes a 9% cap
rate and 5% stress to the YE 2021 NOI resulting in a 11% modeled
loss.

Increased Credit Enhancement (CE): As of the January 2023
distribution date, the pool's aggregate balance has been paid down
by 5.3% to $691.5 million from $730.4 million at issuance. One
loan, Alorica Office Portfolio ($18.6 million at prior review), was
prepaid in May 2022. One loan (3.6% of current pool) is fully
defeased. Sixteen full-term interest-only loans comprise 45.3% of
the pool. Sixteen loans representing 26.4% of the pool had a
partial interest-only component, and twenty-four loans (28.3%) are
balloon loans.

Property Type Concentration: The highest concentration is office
(29.4%), followed by retail (22.4%), hotel (14.4%), and mixed use
(13.8%).

Pari Passu Loans: Eight loans (31.5% of pool) are pari passu.

RATING SENSITIVITIES

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

- Increase in pool-level losses from underperforming and specially
serviced loans/assets.

- Downgrades to the 'AAAsf' and 'AA-sf' classes are not likely due
to the continued expected amortization and sufficient CE relative
to loss expectations, but may occur should interest shortfalls
affect these classes.

- Downgrades to the 'A-sf' and 'BBB-sf' classes would occur should
expected losses for the pool increase substantially, with continued
underperformance of the FLOCs and/or the transfer of loans to
special servicing.

- Downgrades to the 'BB-sf', and 'B-sf' classes would occur should
loss expectations increase as FLOC performance declines or fails to
stabilize.

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:

- Stable to improved asset performance, coupled with additional
paydown and/or defeasance.

- Upgrades to the 'AA-sf' and 'A-sf' classes may occur with
significant improvement in CE and/or defeasance, and with the
stabilization of performance on the FLOCs; however, adverse
selection and increased concentrations could cause this trend to
reverse.

- Upgrades to class 'BBB-sf' may occur as the number of FLOCs are
reduced, and there is sufficient CE to the classes. Classes would
not be upgraded above 'Asf' if there were any likelihood of
interest shortfalls.

- Upgrades to classes 'BB-sf' and 'B-sf' are not likely until the
later years in the transaction and only if the performance of the
remaining pool is stable, FLOCs stabilize, and/or there is
sufficient CE to the bonds.

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.


VENTURE CLO 31: Moody's Hikes Rating on $12MM Class F Notes to B1
-----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Venture 31 CLO, Limited:

US$72,000,000 Class B Senior Secured Floating Rate Notes due 2031
(the "Class B Notes"), Upgraded to Aaa (sf); previously on April 4,
2018 Assigned Aa2 (sf)

US$47,000,000 Class C-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class C-1 Notes"), Upgraded to Aa3 (sf);
previously on April 4, 2018 Assigned A2 (sf)

US$5,000,000 Class C-2 Mezzanine Secured Deferrable Fixed Rate
Notes due 2031 (the "Class C-2 Notes"), Upgraded to Aa3 (sf);
previously on April 4, 2018 Assigned A2 (sf)

US$44,000,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2031 (the "Class D Notes"), Upgraded to Baa2 (sf);
previously on October 6, 2020 Confirmed at Baa3 (sf)

US$32,000,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class E Notes"), Upgraded to Ba2 (sf); previously on
October 6, 2020 Confirmed at Ba3 (sf)

US$12,000,000 Class F Junior Secured Deferrable Floating Rate Notes
due 2031 (the "Class F Notes"), Upgraded to B1 (sf); previously on
October 6, 2020 Confirmed at B3 (sf)

Venture 31 CLO, Limited, issued in April 2018, is a managed
cashflow CLO. The notes are collateralized primarily by a portfolio
of broadly syndicated senior secured corporate loans. The
transaction's reinvestment period will end in April 2023.

RATINGS RATIONALE

These rating actions reflect the benefit of the short period of
time remaining before the end of the deal's reinvestment period in
April 2023. In light of the reinvestment restrictions during the
amortization period which limit the ability of the manager to
effect significant changes to the current collateral pool, Moody's
analyzed the deal assuming a higher likelihood that the collateral
pool characteristics will be maintained and continue to satisfy
certain covenant requirements. In particular, Moody's assumed that
the deal will benefit from lower weighted average rating factor
(WARF), higher weighted average spread (WAS) and diversity score
compared to their respective covenant levels.  Moody's modeled a
WARF of 2602 compared to its current covenant of 2961, WAS of 3.81%
compared to the current covenant of 3.65%, and diversity score of
107 compared to the current covenant of 95.

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

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

Performing par and principal proceeds balance: $783,385,589

Defaulted par:  $10,421,234

Diversity Score: 107

Weighted Average Rating Factor (WARF): 2602

Weighted Average Spread (WAS) (before accounting for reference rate
floors): 3.81%

Weighted Average Coupon (WAC): 13.08%

Weighted Average Recovery Rate (WARR): 46.76%

Weighted Average Life (WAL): 4.53 years

In addition to base case analysis, Moody's ran additional scenarios
where outcomes could diverge from the base case. The additional
scenarios consider one or more factors individually or in
combination, and include: defaults by obligors whose low ratings or
debt prices suggest distress, defaults by obligors with potential
refinancing risk, deterioration in the credit quality of the
underlying portfolio, decrease in overall WAS or net interest
income, lower recoveries on defaulted assets.

Methodology Used for the Rating Action

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

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

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


WELLS FARGO 2016-BNK1: Fitch Lowers Rating on Class X-F Debt to Csf
-------------------------------------------------------------------
Fitch Ratings has downgraded six classes and affirmed eight classes
of Wells Fargo Commercial Mortgage Trust 2016-BNK1 commercial
mortgage pass-through certificates.

   Entity/Debt         Rating            Prior
   -----------         ------            -----
WFCM 2016-BNK1
  
   A-2 95000GAX2   LT AAAsf  Affirmed    AAAsf
   A-3 95000GAY0   LT AAAsf  Affirmed    AAAsf
   A-S 95000GBA1   LT AAsf   Affirmed    AAsf
   A-SB 95000GAZ7  LT AAAsf  Affirmed    AAAsf
   B 95000GBD5     LT Asf    Affirmed    Asf
   C 95000GBE3     LT BBBsf  Affirmed    BBBsf
   D 95000GAJ3     LT B-sf   Downgrade   Bsf
   E 95000GAL8     LT CCsf   Downgrade   CCCsf
   F 95000GAN4     LT Csf    Downgrade   CCsf
   X-A 95000GBB9   LT AAAsf  Affirmed    AAAsf
   X-B 95000GBC7   LT BBBsf  Affirmed    BBBsf
   X-D 95000GAA2   LT B-sf   Downgrade   Bsf
   X-E 95000GAC8   LT CCsf   Downgrade   CCCsf
   X-F 95000GAE4   LT Csf    Downgrade   CCsf

KEY RATING DRIVERS

Increased Loss Expectations: Overall transaction expected losses
have increased since the prior rating action. Seven loans (30.1%)
have been designated Fitch Loans of Concern (FLOCs) including two
loans (11.5%) in special servicing. Fitch incorporates a base case
loss expectation of 8.4%. The downgrades reflect the elevated risks
associated with several office/mixed-use loans within top 15 in
addition to Fitch's continued concern about One Stamford Forum and
Simon Premium Outlets.

Fitch Loans of Concern: The largest contributor to the loss is the
One Stamford Forum loan, which is secured by a 504,471-sf office
building located in Stamford, CT. The loan transferred to special
servicing in March 2019 for imminent monetary default when Purdue
Pharma, a sponsor-owned pharmaceutical company focusing on pain
medication, filed bankruptcy in September 2019 due to lawsuits
related to the opioid crisis. A settlement agreement has been
executed to accommodate a cooperative transition of the property
and a receiver has been appointed as the servicer evaluates a
disposition strategy.

At issuance, Purdue Pharma occupied 92% of the NRA through a direct
lease (33% of the NRA) and sublease (57.8%) from UBS, and had
executed a wraparound lease for the remainder of the building that
was planned to take effect when UBS' lease for 33% of the NRA
expired at YE 2020. However, in September 2019, Purdue Pharma filed
Chapter 11 bankruptcy and rejected the wraparound lease via
bankruptcy. They have since downsized to 126,747 sf (25%) on the
ninth floor, 10th floor and ancillary spaces. As of the December
2022 rent roll, previously existing subtenants within the Purdue
space signed direct leases at the property, resulting in an
occupancy of 52%.

Fitch's modeled loss of 57% is based on a dark value analysis,
which reflects a recovery value of $79 psf.

The largest non-specially serviced contributor to overall loss
expectations is the Simon Premium Outlets loan (4.1%), which is
secured by a 782,765-sf portfolio of three outlet centers located
in tertiary markets, including Lee, MA; Gaffney, SC and Calhoun,
GA.

Portfolio occupancy declined to 64% as of September 2022 from 65%
at YE 2021, 69% at YE 2020 and 82% at YE 2019. Per the December
2022 rent rolls, approximately 36% of NRA of leases expire in 2023
at Lee Premium Outlets, 29% at Gaffney Premium Outlets and 47% at
Calhoun Premium Outlets.

Total portfolio sales have declined to $121.0 million as of YTD
October 2021, which were 36% lower than $190.2 million at YE 2018
and 56% lower than the $215.9 million reported around the time of
issuance.

Fitch's modeled loss of 31% incorporates a cap rate of 25% and a 5%
stress to the YE 2020 NOI due to concerns about upcoming tenant
rollover, declines in sales and overall performance, as well as the
tertiary market locations.

The Pinnacle II loan is secured by a 230,000-sf office building
located in Burbank, CA in the Los Angeles metro. The property is
located less than a half mile from the Warner Brothers Studio who
leases approximately 900,000 sf of space in the area. The subject
was fully occupied by Warner Brothers with a lease expiring in
October 2022. Warner Brothers did not renew at expiration. Cash
management has been in place since July 2020 with approximately
$9.2 million swept into reserves as of January 2023.

Fitch's modeled loss of approximately 6% is based on a cap rate of
8.75% and a 30% stress to the YE 2021 NOI, which reflects a
recovery value of $330 psf.

Minimal Change to Credit Enhancement (CE): As of the January 2023
distribution date, the pool's aggregate principal balance has been
reduced by 6.4% to $814.5 million from $870.6 million at issuance.
Twelve loans (40.1%) are full-term IO and 10 loans (29.2%) are
partial-term IO, which all have begun amortizing. Four loans (3.6%)
are defeased and interest shortfalls are currently impacting
classes G and RRI.

RATING SENSITIVITIES

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

Downgrades to the senior classes, A-1, A-2, A-3, A-SB and X-A are
less likely due to the high CE, but may occur should interest
shortfalls occur. Downgrades to classes A-S, B, C, and X-B could
occur if overall pool losses increase and/or one or more large
loans, such as One Stamford Forum or the Simon Premium Outlets,
have an outsized loss which would erode CE. Downgrades to classes
D, X-D, E, X-E, F and X-F could occur if loss expectations
increased due to an increase in specially serviced loans or an
increase in the certainty of sizable losses on specially serviced
loans.

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:

The upgrade of classes A-S, B, C and X-B would only occur with
significant improvement in CE and/or defeasance, and with the
stabilization of performance on the FLOCs. Classes would not be
upgraded above 'Asf' if there is a likelihood for interest
shortfalls. An upgrade to classes D, X-D, E, X- E, F and X-F is not
likely until the later years in a transaction and only if the
performance of the remaining pool is stable and/or if there is
sufficient CE, which would likely occur when the senior classes
payoff and if the non-rated classes are not eroded. While
uncertainty surrounding the FLOCs, particularly One Stamford Forum
and the Simon Premium Outlets continues, upgrades are not likely.

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.


[*] S&P Takes Various Actions on 17 Classes From Four US RMBS Deals
-------------------------------------------------------------------
S&P Global Ratings completed its review of 17 ratings from four
U.S. RMBS transactions issued by Mid-State Trust and Mid-State
Capital Corp. between 2001 and 2006. All of these transactions are
backed by a mix of subprime mortgage loans and residential retail
installment contracts. The review yielded 14 upgrades and three
affirmation.

A list of Affected Ratings can be viewed at:

             https://bit.ly/3EeUxPM

Analytical Considerations

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

-- Collateral performance or delinquency trends;
-- Increases in credit support; and
-- Available subordination or overcollateralization.

Rating Actions

S&P said, "The rating changes reflect our opinion regarding the
associated transaction-specific collateral performance and/or
structural characteristics, as well as the application of specific
criteria applicable to these classes. See the ratings list below
for the specific rationales associated with each of the classes
with rating transitions.

"The rating affirmations reflect our opinion that our projected
credit support, collateral performance, and credit-related
reductions in interest on these classes has remained relatively
consistent with our prior projections."

Application of U.S. RMBS pre-2009 criteria for transactions that
contain residential retail installment contracts.

A portion of the collateral for each of the reviewed transactions
consists of residential retail installment contracts, which S&P
considers subprime collateral. As such, for this surveillance
review, S&P applied its criteria "U.S. RMBS Surveillance Credit And
Cash Flow Analysis For Pre-2009 Originations," published March 2,
2016, which address the surveillance methodology for subprime
collateral originated before 2009."


                            *********

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